N-CSRS 1 d594653dncsrs.htm LOOMIS SAYLES FUNDS II Loomis Sayles Funds II
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06241

 

 

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)

 

 

Russell L. Kane, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

 

 

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

Date of fiscal year end: September 30

Date of reporting period: March 31, 2017

 

 

 

Table of Contents
Item 1. Reports to Stockholders.

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

Table of Contents

SEMIANNUAL REPORT

March 31, 2017

LOGO

 

Loomis Sayles Global Equity and Income Fund

Loomis Sayles Growth Fund

Loomis Sayles Value Fund

 

LOGO

 

 

TABLE OF CONTENTS

Portfolio Review  page 1

Portfolio of Investments  page 11

Financial Statements  page  39

Notes to Financial Statements  page 57

 

Table of Contents

LOOMIS SAYLES GLOBAL EQUITY AND INCOME FUND

 

Managers   Symbols
Daniel J. Fuss, CFA®, CIC   Class A    LGMAX
Eileen N. Riley, CFA®   Class C    LGMCX
David W. Rolley, CFA®   Class N    LGMNX
Lee M. Rosenbaum   Class Y    LSWWX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks high total investment return through a combination of capital appreciation and current income.

 

1  |

Table of Contents

Average Annual Total Returns — March 31, 20175

 

                                         Expense Ratios6  
     6 Months     1 Year     5 Years     10 Years     Life of
Class N		     Gross     Net  
     
Class Y (Inception 5/1/96)                
NAV     3.84 %      10.48 %      7.04 %      7.26 %      — %      0.92 %      0.92 % 
     
Class A (Inception 2/1/06)                
NAV     3.70       10.19       6.78       6.99       —       1.17       1.17  
With 5.75% Maximum Sales Charge     -2.27       3.86       5.52       6.36       —        
     
Class C (Inception 2/1/06)                
NAV     3.28       9.42       5.97       6.19       —       1.92       1.92  
With CDSC1     2.28       8.42       5.97       6.19       —        
     
Class N (Inception 2/1/17)                
NAV     —       —       —       —       2.76       0.84       0.84  
   
Comparative Performance                
MSCI ACWI (Net)2     8.18       15.04       8.37       4.00       3.96        
Blended Index3     2.56       8.03       5.25       4.04       2.78        
MSCI World Index4     8.63       15.43       9.99       4.81       3.92                  

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

 

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

 

2 The MSCI All Country World Index (Net) represents the performance of 46 markets in both the developed and emerging markets in Africa, Europe, North America and South America. Effective September 30, 2016, the MSCI ACWI (Net) replaced the MSCI World Index as the Fund’s primary benchmark because the Fund believes the MSCI ACWI (Net), an index which is designed to measure the equity market performance of both developed and emerging markets, is more representative of the Fund’s investment strategy and geographical exposure.

 

3 The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Bond Index. The Bloomberg Barclays Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.

 

4 MSCI World Index is an unmanaged index that is designed to measure the equity market performance of developed markets. It is comprised of common stocks of companies representative of the market structure of 22 developed market countries in North America, Europe, and the Asia/Pacific Region. The index is calculated without dividends, with net or with gross dividends reinvested, in both U.S. dollars and local currencies.

 

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

 

6 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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LOOMIS SAYLES GROWTH FUND

 

Manager   Symbols
Aziz V. Hamzaogullari, CFA®   Class A    LGRRX
Loomis, Sayles & Company, L.P.   Class C    LGRCX
  Class N    LGRNX
  Class Y    LSGRX

 

 

Investment Goal

The Fund seeks long-term growth of capital.

 

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Average Annual Total Returns — March 31, 20173

 

                                        Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years     Life of
Class N		     Gross     Net  
     
Class Y (Inception 5/16/91)                
NAV     3.61 %      15.39 %      15.06 %      7.66 %      — %      0.66 %      0.66 % 
     
Class A (Inception 12/31/96)                
NAV     3.48       15.13       14.79       7.34       —       0.92       0.92  
With 5.75% Maximum Sales Charge     -2.47       8.47       13.42       6.71       —        
     
Class C (Inception 9/12/03)                
NAV     3.05       14.20       13.93       6.54       —       1.66       1.66  
With CDSC1     2.05       13.20       13.93       6.54       —        
     
Class N (Inception 2/1/13)                
NAV     3.68       15.57       —       —       14.64       0.58       0.58  
   
Comparative Performance                
Russell 1000® Growth Index2     10.01       15.76       13.32       9.13       14.65                  

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

 

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

 

2

Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values.

 

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

 

4 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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Table of Contents

LOOMIS SAYLES VALUE FUND

 

Managers   Symbols   
Arthur J. Barry, CFA®   Class A    LSVRX

Loomis, Sayles & Company, L.P.

   Class C    LSCVX
  Class N    LSVNX
  Class Y    LSGIX
  Admin Class    LSAVX

 

 

Investment Goal

The Fund seeks long-term growth of capital and income.

 

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Average Annual Total Returns — March 31, 20174

 

                                        Expense Ratios5  
     6 Months     1 Year     5 Years     10 Years     Life of
Class N		     Gross     Net  
     
Class Y (Inception 5/13/91)                
NAV     10.70 %      17.72 %      12.19 %      6.15 %      — %      0.69 %      0.69 % 
     
Class A (Inception 6/30/06)1                
NAV     10.59       17.51       11.92       5.86       —       0.94       0.94  
With 5.75% Maximum Sales Charge     4.26       10.75       10.60       5.23       —        
     
Class C (Inception 6/1/07)1                
NAV     10.18       16.63       11.09       5.08       —       1.69       1.69  
With CDSC2     9.18       15.63       11.09       5.08       —        
     
Class N (Inception 2/1/13)                
NAV     10.81       17.95       —       —       11.19       0.57       0.57  
     
Admin Class (Inception 2/1/10)1                
NAV     10.46       16.89       11.60       5.57       —       1.19       1.19  
   
Comparative Performance                
Russell 1000® Value Index3     10.16       19.22       13.13       5.93       12.48                  

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

 

1 Prior to 6/1/07, performance of Class A shares is that of Retail Class shares, which were redesignated as Class A shares, restated to reflect the sales load of Class A shares. Prior to the inception of Class C shares (6/1/07), performance is that of Institutional Class shares, restated to reflect the higher net expenses and sales loads of Class C shares. Prior to the inception of Admin Class shares (2/1/10), performance is that of Class A shares, restated to reflect the higher net expenses of Admin Class shares.

 

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

 

3

Russell 1000® Value Index is an unmanaged index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values.

 

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

 

5 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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Table of Contents

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

 

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Table of Contents

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions; and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of Fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2016 through March 31, 2017. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period row as shown below for your class.

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

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

 

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Table of Contents
LOOMIS SAYLES GLOBAL EQUITY AND
INCOME FUND		  

BEGINNING
ACCOUNT VALUE
10/1/2016

    

ENDING
ACCOUNT VALUE
3/31/2017

    

EXPENSES PAID
DURING PERIOD*
10/1/2016 – 3/31/2017

  
Class A        
Actual     $1,000.00       $1,037.00       $6.04 1 
Hypothetical (5% return before expenses)     $1,000.00       $1,019.00       $5.99 * 
Class C        
Actual     $1,000.00       $1,032.80       $9.83 1 
Hypothetical (5% return before expenses)     $1,000.00       $1,015.26       $9.75 * 
Class N        
Actual     $1,000.00       $1,027.60       $1.16 2 
Hypothetical (5% return before expenses)     $1,000.00       $1,021.34       $3.63 * 
Class Y        
Actual     $1,000.00       $1,038.40       $4.78 1 
Hypothetical (5% return before expenses)     $1,000.00       $1,020.24       $4.73 * 

 

* Hypothetical expenses are equal to the Fund’s annualized expense ratio: 1.19%, 1.94%, 0.72% and 0.94% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

1 

Actual expenses for Class A, C and Y are equal to the Fund’s annualized expense ratio: 1.19%, 1.94% and 0.94%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

2 

Class N commenced operations on February 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio of: 0.72%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (58), divided by 365 (to reflect the partial period).

 

LOOMIS SAYLES GROWTH FUND  

BEGINNING
ACCOUNT VALUE
10/1/2016

    

ENDING
ACCOUNT VALUE
3/31/2017

    

EXPENSES PAID
DURING PERIOD*
10/1/2016 – 3/31/2017

  
Class A        
Actual     $1,000.00       $1,034.80       $4.67  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.34       $4.63  
Class C        
Actual     $1,000.00       $1,030.50       $8.45  
Hypothetical (5% return before expenses)     $1,000.00       $1,016.60       $8.40  
Class N        
Actual     $1,000.00       $1,036.80       $2.95  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.04       $2.92  
Class Y        
Actual     $1,000.00       $1,036.10       $3.40  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.59       $3.38  

 

* Expenses are equal to the Fund’s annualized expense ratio: 0.92%, 1.67%, 0.58% and 0.67% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

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LOOMIS SAYLES VALUE FUND  

BEGINNING
ACCOUNT VALUE
10/1/2016

    

ENDING
ACCOUNT VALUE
3/31/2017

    

EXPENSES PAID
DURING PERIOD*
10/1/2016 – 3/31/2017

  
Class A        
Actual     $1,000.00       $1,105.90       $5.04  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.15       $4.84  
Class C        
Actual     $1,000.00       $1,101.80       $8.96  
Hypothetical (5% return before expenses)     $1,000.00       $1,016.41       $8.60  
Class N        
Actual     $1,000.00       $1,108.10       $3.10  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.99       $2.97  
Class Y        
Actual     $1,000.00       $1,107.00       $3.73  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.39       $3.58  
Admin Class        
Actual     $1,000.00       $1,104.60       $6.35  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.90       $6.09  

 

* Expenses are equal to the Fund’s annualized expense ratio: 0.96%, 1.71%, 0.59%, 0.71% and 1.21% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

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Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund

 

Shares

      Description    Value (†)  
  Common Stocks — 66.1% of Net Assets  
   Belgium — 1.6%  
  226,359      Anheuser-Busch InBev S.A.    $ 24,803,339  
     

 

 

  
   Canada — 1.3%  
  408,500      CGI Group, Inc., Class A(b)      19,573,350  
     

 

 

  
   China — 3.1%  
  449,028      Alibaba Group Holding Ltd., Sponsored ADR(b)      48,418,689  
     

 

 

  
   France — 1.8%  
  290,241      Thales S.A.      28,036,133  
     

 

 

  
   Hong Kong — 2.2%  
  5,289,200      AIA Group Ltd.      33,385,194  
     

 

 

  
   India — 1.4%  
  593,020      HCL Technologies Ltd.      7,988,238  
  571,950      HDFC Bank Ltd.      13,019,903  
     

 

 

  
        21,008,141  
     

 

 

  
   Japan — 0.9%  
  376,987      Nomura Research Institute Ltd.      13,897,562  
     

 

 

  
   Sweden — 2.4%  
  1,027,301      Assa Abloy AB      21,118,933  
  469,928      Atlas Copco AB, A Shares      16,564,529  
     

 

 

  
        37,683,462  
     

 

 

  
   Switzerland — 4.6%  
  150,083      Dufry AG, (Registered)(b)      22,851,608  
  23,858      Geberit AG, (Registered)      10,280,667  
  483,608      Nestle S.A., (Registered)      37,117,744  
     

 

 

  
        70,250,019  
     

 

 

  
   United Kingdom — 3.3%  
             2,956,818      ITV PLC      8,116,954  
  8,101,640      Legal & General Group PLC      25,086,238  
  447,153      London Stock Exchange Group PLC      17,789,740  
     

 

 

  
        50,992,932  
     

 

 

  
   United States — 43.5%  
  195,778      Accenture PLC, Class A      23,469,867  
  23,167      Alphabet, Inc., Class C(b)      19,218,417  
  39,403      Alphabet, Inc., Class A(b)      33,405,863  
  23,715      Amazon.com, Inc.(b)      21,024,296  
  55,449      AutoZone, Inc.(b)      40,092,399  
  254,328      Colgate-Palmolive Co.      18,614,266  
  809,192      Comcast Corp., Class A      30,417,527  
  162,777      CVS Health Corp.      12,777,995  
  670      Dex Media, Inc.(b)(c)(d)      1,809  
  50,218      EOG Resources, Inc.      4,898,766  
  327,382      Facebook, Inc., Class A(b)      46,504,613  
  116,701      FactSet Research Systems, Inc.      19,245,162  

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Shares

      Description    Value (†)  
   United States — continued  
  119,080      Goldman Sachs Group, Inc. (The)    $ 27,355,058  
  783      Hawaiian Telcom Holdco, Inc.(b)      17,939  
  213,369      LyondellBasell Industries NV, Class A      19,457,119  
  117,864      M&T Bank Corp.      18,237,097  
  426,735      Marriott International, Inc., Class A      40,189,902  
  34,258      Mettler-Toledo International, Inc.(b)      16,406,499  
  675,560      Newell Brands, Inc.      31,866,165  
  98,139      Northrop Grumman Corp.      23,341,380  
  15,028      Priceline Group, Inc. (The)(b)      26,749,389  
  172,517      Roper Technologies, Inc.      35,623,035  
  178,370      S&P Global, Inc.      23,320,094  
  146,841      Schlumberger Ltd.      11,468,282  
  131,806      Sherwin-Williams Co. (The)      40,884,903  
  288,974      Texas Instruments, Inc.      23,279,745  
  79,174      Travelers Cos., Inc. (The)      9,543,634  
  181,319      UnitedHealth Group, Inc.      29,738,129  
  408,773      Wells Fargo & Co.      22,752,305  
     

 

 

  
        669,901,655  
     

 

 

  
   Total Common Stocks
(Identified Cost $816,445,745)		      1,017,950,476  
     

 

 

  
     
Principal
Amount (‡)		                
  Bonds and Notes — 30.5%  
  Non-Convertible Bonds — 29.6%  
   Argentina — 0.4%  
$ 775,000      Provincia de Buenos Aires, 9.125%, 3/16/2024, 144A      860,932  
  535,000      Republic of Argentina, 6.875%, 4/22/2021, 144A      574,574  
  1,390,000      Republic of Argentina, 7.625%, 4/22/2046, 144A      1,419,190  
  382,136      Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A      411,083  
  565,000      YPF S.A., 8.500%, 3/23/2021, 144A      620,088  
  1,755,000      YPF S.A., 8.750%, 4/04/2024, 144A      1,945,417  
     

 

 

  
        5,831,284  
     

 

 

  
   Australia — 0.2%  
  970,000      Commonwealth Bank of Australia, 1.375%, 9/06/2018, 144A(e)      965,276  
  1,150,000      Commonwealth Bank of Australia, 2.250%, 3/10/2020, 144A(e)      1,150,779  
  670,000      GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A(e)      649,543  
  110,000      Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A      118,294  
  95,000      Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A      93,105  
     

 

 

  
        2,976,997  
     

 

 

  
   Belgium — 0.1%  
  1,040,000      Anheuser-Busch InBev Finance, Inc., 3.300%, 2/01/2023(e)      1,058,523  
  350,000      Anheuser-Busch InBev SA/NV, EMTN, 6.500%, 6/23/2017, (GBP)(e)      443,953  
  440,000      Solvay Finance (America) LLC, 3.400%, 12/03/2020, 144A      452,698  
     

 

 

  
        1,955,174  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  12

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Brazil —1.0%  
$ 800,000      Braskem Finance Ltd., 5.750%, 4/15/2021, 144A    $ 845,040  
  8,500(††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)      2,720,359  
  2,250(†††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2019, (BRL)      725,340  
  8,815(†††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)      2,834,576  
  2,300,000      BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(e)      699,786  
  1,000,000      CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A      882,500  
  400,000      Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A      398,000  
  1,180,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025(e)      1,213,040  
  285,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      293,972  
  915,000      Itau Unibanco Holding S.A., 2.850%, 5/26/2018, 144A      919,575  
  1,825,000      Petrobras Global Finance BV, 4.375%, 5/20/2023      1,729,187  
  300,000      Petrobras Global Finance BV, 6.875%, 1/20/2040      285,600  
  575,000      Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A      582,187  
  345,000      Rumo Luxembourg S.a.r.l., 7.375%, 2/09/2024, 144A      354,919  
  500,000      Tupy Overseas S.A., 6.625%, 7/17/2024, 144A      497,500  
  850,000      Vale S.A., 5.625%, 9/11/2042(e)      803,080  
     

 

 

  
        15,784,661  
     

 

 

  
   Canada — 2.3%  
  483,064      Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A(e)      492,725  
  815,000      Bank of Montreal, 1.750%, 6/15/2022, 144A(e)      794,405  
  3,000,000      BMW Canada Auto Trust, Series 2017-1A, Class A2, 1.677%, 5/20/2020, 144A, (CAD)(e)      2,258,172  
  21,030,000      Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)(e)      16,168,992  
  970,000      Canadian Imperial Bank of Commerce, 1.600%, 9/06/2019(e)      961,376  
  1,335,000      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(e)      1,019,222  
  6,165,000      Province of Ontario Canada, 1.250%, 6/17/2019(e)      6,100,557  
  7,200,000      Province of Ontario Canada, 1.875%, 5/21/2020(e)      7,177,766  
  600,000      Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)(e)      490,287  
     

 

 

  
        35,463,502  
     

 

 

  
   Chile — 0.5%  
  1,450,000      Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A(e)      1,455,618  
  200,000      Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022      209,504  
  600,000      Chile Government International Bond, 3.125%, 1/21/2026(e)      609,300  
  300,000,000      Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(e)      479,000  
  1,160,000      CODELCO, Inc., 4.500%, 9/16/2025, 144A(e)      1,221,240  
  250,000      Engie Energia Chile S.A., 5.625%, 1/15/2021, 144A      270,942  
  800,000      Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A(e)      818,996  
  550,000      Itau CorpBanca, 3.125%, 1/15/2018(e)      554,343  
  240,000      Latam Airlines Group S.A., 7.250%, 6/09/2020, 144A      253,416  
  573,685      Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025      559,343  
  1,120,000      Transelec S.A., 4.250%, 1/14/2025, 144A(e)      1,144,008  
     

 

 

  
        7,575,710  
     

 

 

  

 

See accompanying notes to financial statements.

 

13  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   China — 0.1%  
$ 800,000      Baidu, Inc., 2.250%, 11/28/2017(e)    $ 801,702  
  700,000      Baidu, Inc., 3.250%, 8/06/2018(e)      710,238  
  400,000      China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(e)      420,772  
     

 

 

  
        1,932,712  
     

 

 

  
   Colombia — 0.3%  
  555,000      Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A      558,469  
  490,000      Ecopetrol S.A., 5.875%, 5/28/2045      445,900  
  1,265,000,000      Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)      448,891  
  2,140,000,000      Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)(e)      751,797  
  575,000      Republic of Colombia, 3.875%, 4/25/2027      572,700  
  200,000,000      Republic of Colombia, 7.750%, 4/14/2021, (COP)      73,552  
  6,150,000,000      Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(e)      2,257,108  
     

 

 

  
        5,108,417  
     

 

 

  
   Dominican Republic — 0.2%  
  1,410,000      Dominican Republic, 5.500%, 1/27/2025, 144A      1,432,912  
  590,000      Dominican Republic, 5.950%, 1/25/2027, 144A      603,659  
  425,000      Dominican Republic, 8.625%, 4/20/2027, 144A      501,309  
     

 

 

  
        2,537,880  
     

 

 

  
   France — 0.7%  
  970,000      Air Liquide Finance S.A., 1.375%, 9/27/2019, 144A(e)      954,771  
  425,000      Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029      467,500  
  15,000      Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028      16,387  
  200,000      AXA S.A., 7.125%, 12/15/2020, (GBP)(e)      300,314  
  410,000      BNP Paribas S.A., 3.800%, 1/10/2024, 144A(e)      408,002  
  390,000      Credit Agricole S.A., (fixed rate to 6/23/2026, variable rate thereafter), 7.500% , (GBP)(f)      496,997  
  735,000      Danone S.A., 1.691%, 10/30/2019, 144A(e)      725,199  
  500,000      Dexia Credit Local S.A., 2.250%, 2/18/2020, 144A(e)      499,029  
  1,100,000      Electricite de France S.A., EMTN, (fixed rate to 1/22/2022, variable rate thereafter), 4.125% , (EUR)(e)(f)      1,183,483  
  3,170,000      French Republic Government Bond OAT, 4.250%, 10/25/2023, (EUR)      4,230,447  
  1,015,000      Societe Generale S.A., 4.750%, 11/24/2025, 144A(e)      1,021,197  
  475,000      Societe Generale S.A., (fixed rate to 4/07/2021, variable rate thereafter), 6.750% , (EUR)(f)      527,503  
     

 

 

  
        10,830,829  
     

 

 

  
   Germany — 0.2%  
  470,000      Commerzbank AG, EMTN, 4.000%, 3/23/2026, (EUR)      530,118  
  675,000      Daimler Finance North America LLC, 1.750%, 10/30/2019, 144A(e)      667,854  
  200,000      Schaeffler Finance BV, 3.250%, 5/15/2025, (EUR)      228,060  
  1,800,000      Vonovia Finance BV, EMTN, 1.500%, 6/10/2026, (EUR)(e)      1,926,016  
     

 

 

  
        3,352,048  
     

 

 

  
   Hong Kong — 0.0%  
  355,000      AIA Group Ltd., 3.200%, 3/11/2025, 144A(e)      348,010  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  14

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Hungary — 0.3%  
$ 1,330,000      Hungary Government International Bond, 5.375%, 3/25/2024    $ 1,480,208  
  980,000      Hungary Government International Bond, 5.750%, 11/22/2023(e)      1,107,400  
  695,000,000      Hungary Government International Bond, Series 22/B, 1.750%, 10/26/2022, (HUF)      2,345,036  
     

 

 

  
        4,932,644  
     

 

 

  
   Iceland — 0.1%  
  1,000,000      Republic of Iceland, 5.875%, 5/11/2022, 144A(e)      1,129,479  
     

 

 

  
   India — 0.3%  
  550,000      Axis Bank Ltd., 3.250%, 5/21/2020, 144A      555,316  
  605,000      Greenko Investment Co., 4.875%, 8/16/2023      592,158  
  1,400,000      ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A      1,400,000  
  750,000      Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A(e)      818,392  
  700,000      State Bank of India, 4.125%, 8/01/2017, 144A      704,713  
     

 

 

  
        4,070,579  
     

 

 

  
   Indonesia — 0.6%  
  300,000      Indonesia Government International Bond, 4.125%, 1/15/2025, 144A      307,662  
  34,000,000,000      Indonesia Government International Bond, 7.000%, 5/15/2022, (IDR)      2,566,808  
  3,500,000,000      Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)      296,204  
  781,000,000      Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)      64,809  
  35,310,000,000      Indonesia Government International Bond, Series FR53, 8.250%, 7/15/2021, (IDR)      2,782,297  
  14,000,000,000      Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR)(e)      1,126,850  
  795,000      Perusahaan Listrik Negara PT, 5.250%, 10/24/2042, 144A      790,230  
  545,000      Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR)      620,869  
  525,000      Republic of Indonesia, 4.750%, 1/08/2026, 144A      559,939  
  500,000      TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A      503,500  
     

 

 

  
        9,619,168  
     

 

 

  
   Israel — 0.0%  
  510,000      Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036      564,867  
     

 

 

  
   Italy — 0.0%  
  530,000      Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR)      581,902  
     

 

 

  
   Japan — 0.3%  
  900,000      Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 1.700%, 3/05/2018, 144A(e)      900,027  
  940,000      Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 2.150%, 9/14/2018, 144A(e)      941,385  
  540,000      Nissan Motor Acceptance Corp., 2.000%, 3/08/2019, 144A(e)      539,633  
  1,165,000      Nomura Holdings, Inc., GMTN, 2.750%, 3/19/2019(e)      1,177,237  
  850,000      SoftBank Group Corp., 4.500%, 4/15/2020, 144A      874,437  
     

 

 

  
        4,432,719  
     

 

 

  
   Kazakhstan — 0.0%  
  475,000      Tengizchevroil Finance Co. International Ltd., 4.000%, 8/15/2026, 144A      455,097  
     

 

 

  
   Korea — 0.4%  
  3,700,000      Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)(e)      437,628  
  600,000      Industrial Bank of Korea, 2.375%, 7/17/2017, 144A(e)      601,207  

 

See accompanying notes to financial statements.

 

15  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Korea — continued  
$ 400,000      Korea Development Bank (The), 4.625%, 11/16/2021(e)    $ 432,640  
  630,000      Korea Development Bank (The), MTN, 4.500%, 11/22/2019, (AUD)(e)      499,750  
  400,000      Korea National Oil Corp., 3.125%, 4/03/2017, 144A      400,000  
  670,000      KT Corp., 2.500%, 7/18/2026, 144A(e)      629,231  
  1,125,000      Minera y Metalurgica del Boleo S.A. de CV, 2.875%, 5/07/2019, 144A(e)      1,135,233  
  950,000      Shinhan Bank, 2.250%, 4/15/2020, 144A(e)      940,614  
  770,000      Shinhan Bank, 3.875%, 3/24/2026, 144A(e)      771,560  
  140,000      SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A(e)      178,591  
  200,000      Woori Bank, 5.875%, 4/13/2021, 144A(e)      219,950  
     

 

 

  
        6,246,404  
     

 

 

  
   Luxembourg — 0.0%  
  500,000      Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A      509,685  
     

 

 

  
   Mexico — 1.3%  
  620,000      Alfa SAB de CV, 6.875%, 3/25/2044      632,400  
  770,000      America Movil SAB de CV, 2.125%, 3/10/2028, (EUR)(e)      821,268  
  10,000,000      America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)(e)      497,803  
  675,000      Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter), 3.800%, 8/11/2026, 144A      661,500  
  300,000      Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A(e)      303,150  
  1,150,000      Cemex Finance LLC, 6.000%, 4/01/2024, 144A      1,209,225  
  300,000      Cemex SAB de CV, 4.375%, 3/05/2023, 144A, (EUR)      335,882  
  505,000      Cemex SAB de CV, 5.700%, 1/11/2025, 144A      523,938  
  200,000      Cemex SAB de CV, 7.750%, 4/16/2026, 144A      225,042  
  800,000      Gruma SAB de CV, 4.875%, 12/01/2024(e)      850,000  
  680,000      Grupo Televisa SAB, 5.000%, 5/13/2045(e)      620,062  
  10,000,000      Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(e)      404,653  
  270,000(††††)      Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(e)      1,320,000  
  443,452(††††)      Mexican Fixed Rate Bonds, Series M-30, 10.000%, 11/20/2036, (MXN)      2,993,510  
  81,862,578(‡‡)      Mexican Udibonos, CPI Linked Bond, Series S, 4.500%, 12/04/2025, (MXN)      4,767,149  
  920,000      Mexichem SAB de CV, 5.875%, 9/17/2044, 144A(e)      901,600  
  196,000      Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)(e)      181,649  
  1,020,000      Mexico Government International Bond, 4.125%, 1/21/2026(e)      1,048,560  
  625,000      Petroleos Mexicanos, 5.625%, 1/23/2046(e)      558,813  
  135,000(††††)      Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)(e)      627,228  
  100,000      Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR)      109,431  
     

 

 

  
        19,592,863  
     

 

 

  
   Morocco — 0.1%  
  965,000      OCP S.A., 4.500%, 10/22/2025, 144A(e)      950,766  
  590,000      OCP S.A., 6.875%, 4/25/2044, 144A      633,363  
     

 

 

  
        1,584,129  
     

 

 

  
   Netherlands — 0.2%  
  150,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.625%, 7/01/2022      158,227  
  870,000      Cooperatieve Rabobank UA, 4.375%, 8/04/2025(e)      890,845  

 

See accompanying notes to financial statements.

 

|  16

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Netherlands — continued  
$ 675,000      ING Bank NV, 1.650%, 8/15/2019, 144A(e)    $ 666,604  
  580,000      Ziggo Bond Finance BV, 6.000%, 1/15/2027, 144A      577,100  
  525,000      Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A      524,947  
     

 

 

  
        2,817,723  
     

 

 

  
   New Zealand — 0.4%  
  2,921,333      New Zealand Government Bond, 3.000%, 9/20/2030, (NZD)(e)      2,248,565  
  2,340,000      New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)(e)      1,728,613  
  2,590,000      New Zealand Government Bond, 5.500%, 4/15/2023, (NZD)(e)      2,085,834  
     

 

 

  
        6,063,012  
     

 

 

  
   Norway — 0.2%  
  13,275,000      Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)(e)      1,619,766  
  13,760,000      Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)(e)      1,733,995  
     

 

 

  
        3,353,761  
     

 

 

  
   Panama — 0.1%  
  680,000      Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A(e)      686,752  
  300,000      Banco Latinoamericano de Comercio Exterior S.A., 3.750%, 4/04/2017, 144A(e)      300,000  
     

 

 

  
        986,752  
     

 

 

  
   Paraguay — 0.1%  
  800,000      Republic of Paraguay, 5.000%, 4/15/2026, 144A      835,000  
  572,000      Telefonica Celular del Paraguay S.A., 6.750%, 12/13/2022      589,160  
     

 

 

  
        1,424,160  
     

 

 

  
   Peru — 0.2%  
  580,000      Southern Copper Corp., 3.875%, 4/23/2025(e)      583,152  
  1,050,000      Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(e)      1,057,875  
  1,050,000      Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A      1,092,000  
     

 

 

  
        2,733,027  
     

 

 

  
   Portugal — 0.1%  
  400,000      EDP Finance BV, 4.125%, 1/15/2020, 144A      410,800  
  225,000      EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)      239,267  
     

 

 

  
        650,067  
     

 

 

  
   Romania — 0.0%  
  410,000      Romanian Government International Bond, 2.875%, 5/26/2028, 144A, (EUR)      448,690  
     

 

 

  
   Russia — 0.2%  
  72,000,000      Russian Federal Bond-OFZ, Series 6207, 8.150%, 2/03/2027, (RUB)      1,312,009  
  63,000,000      Russian Federal Bond-OFZ, Series 6208, 7.500%, 2/27/2019, (RUB)      1,107,104  
     

 

 

  
        2,419,113  
     

 

 

  
   Singapore — 0.2%  
  495,000      BOC Aviation Ltd., 3.000%, 3/30/2020(e)      496,976  

 

See accompanying notes to financial statements.

 

17  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Singapore — continued  
$ 2,000,000      DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A(e)    $ 2,012,020  
     

 

 

  
        2,508,996  
     

 

 

  
   South Africa — 0.2%  
  930,000      MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A      877,455  
  500,000      Myriad International Holdings BV, 6.000%, 7/18/2020, 144A      538,225  
  15,980,000      South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)(e)      979,618  
     

 

 

  
        2,395,298  
     

 

 

  
   Spain — 0.4%  
  800,000      Gas Natural Fenosa Finance BV, (fixed rate to 4/24/2024, variable rate thereafter), 3.375% , (EUR)(f)      831,332  
  725,000      Spain Government International Bond, 0.750%, 7/30/2021, (EUR)(e)      790,571  
  430,000      Spain Government International Bond, 1.600%, 4/30/2025, 144A, (EUR)(e)      469,686  
  1,825,000      Spain Government International Bond, 4.300%, 10/31/2019, 144A, (EUR)(e)      2,167,047  
  800,000      Spain Government International Bond, 4.400%, 10/31/2023, 144A, (EUR)(e)      1,044,091  
  345,000      Telefonica Emisiones SAU, 4.570%, 4/27/2023      367,819  
     

 

 

  
        5,670,546  
     

 

 

  
   Supranationals — 0.2%  
  1,115,000      Corporacion Andina de Fomento, 4.375%, 6/15/2022(e)      1,188,333  
  1,140,000      International Bank for Reconstruction & Development, 2.500%, 3/12/2020, (AUD)(e)      876,151  
  70,000,000      International Finance Corp., 7.800%, 6/03/2019, (INR)(e)      1,116,295  
     

 

 

  
        3,180,779  
     

 

 

  
   Sweden — 0.0%  
  2,450,000      Sweden Government Bond, 5.000%, 12/01/2020, (SEK)(e)      326,696  
     

 

 

  
   Switzerland — 0.1%  
  1,075,000      Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A(e)      1,120,052  
  740,000      Holcim Finance Luxembourg S.A., EMTN, 2.250%, 5/26/2028, (EUR)(e)      827,080  
  200,000      LafargeHolcim Finance U.S. LLC, 3.500%, 9/22/2026, 144A      193,566  
     

 

 

  
        2,140,698  
     

 

 

  
   Thailand — 0.1%  
  1,010,000      Siam Commercial Bank PCL, 3.500%, 4/07/2019, 144A(e)      1,030,532  
  950,000      Thai Oil PCL, 3.625%, 1/23/2023, 144A(e)      967,606  
     

 

 

  
        1,998,138  
     

 

 

  
   Trinidad — 0.0%  
  415,000      Trinidad Generation UnLtd., 5.250%, 11/04/2027, 144A      413,548  
     

 

 

  
   Turkey — 0.1%  
  800,000      Arcelik AS, 5.000%, 4/03/2023, 144A      788,323  
     

 

 

  
   Ukraine — 0.0%  
  575,000      Kernel Holding S.A., 8.750%, 1/31/2022, 144A      595,125  
     

 

 

  
   United Arab Emirates — 0.1%  
  850,000      DP World Ltd., 3.250%, 5/18/2020, 144A(e)      861,900  

 

See accompanying notes to financial statements.

 

|  18

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   United Arab Emirates — continued  
$ 200,000      DP World Ltd., EMTN, 3.250%, 5/18/2020    $ 202,800  
  600,000      JAFZ Sukuk 2019 Ltd., 7.000%, 6/19/2019      655,620  
     

 

 

  
        1,720,320  
     

 

 

  
   United Kingdom — 0.7%  
  600,000      Anglo American Capital PLC, 2.625%, 9/27/2017, 144A      600,000  
  1,100,000      Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 6.625%(f)      1,097,026  
  400,000      Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 7.000%, (GBP)(f)      499,281  
  585,000      BP Capital Markets PLC, 3.216%, 11/28/2023(e)      587,998  
  300,000      HSBC Holdings PLC, 4.375%, 11/23/2026(e)      302,329  
  565,000      HSBC Holdings PLC, (fixed rate to 6/01/2021, variable rate thereafter), 6.875%(f)      601,725  
  295,000      HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)(e)      442,470  
  150,000      Imperial Brands Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)      203,935  
  400,000      Lloyds Banking Group PLC, 4.500%, 11/04/2024(e)      410,480  
  1,020,000      Lloyds Banking Group PLC, (fixed rate to 6/27/2024, variable rate thereafter), 7.500%(f)      1,078,752  
  400,000      Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)      582,479  
  1,130,000      Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(e)      1,194,415  
  950,000      Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2020, variable rate thereafter), 7.500%(f)      936,586  
  350,000      Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(e)      349,239  
  250,000      Standard Chartered PLC, EMTN, (fixed rate to 10/21/2020, variable rate thereafter), 4.000%, 10/21/2025, (EUR)(e)      282,853  
  600,000      United Kingdom Gilt, 2.000%, 9/07/2025, (GBP)(e)      817,507  
  130,000      Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)      143,018  
  115,000      Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, (GBP)      144,804  
  100,000      WPP PLC, 6.000%, 4/04/2017, (GBP)(e)      125,290  
     

 

 

  
        10,400,187  
     

 

 

  
   United States — 16.6%   
  15,000      21st Century Fox America, Inc., 6.400%, 12/15/2035      18,195  
  9,890,000      AbbVie, Inc., 2.500%, 5/14/2020      9,957,430  
  1,745,000      AES Corp. (The), 4.875%, 5/15/2023      1,736,275  
  8,000,000      Ally Financial, Inc., 4.125%, 2/13/2022      8,000,000  
  745,000      Ally Financial, Inc., 5.125%, 9/30/2024      766,419  
  129,000      Ally Financial, Inc., 8.000%, 12/31/2018      139,320  
  1,728,000      Ally Financial, Inc., 8.000%, 11/01/2031      2,052,000  
  2,542,120      American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025      2,624,739  
  555,000      American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026      568,181  
  165,125      American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027      170,176  
  6,190,000      Anadarko Petroleum Corp., 3.450%, 7/15/2024      6,035,448  
  300,000      Anadarko Petroleum Corp., 4.500%, 7/15/2044      282,988  
  400,000      Antero Resources Corp., 5.125%, 12/01/2022      405,250  

 

See accompanying notes to financial statements.

 

19  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   United States — continued   
$ 175,000      Antero Resources Corp., 5.375%, 11/01/2021    $ 179,741  
  3,060,000      Antero Resources Corp., 5.625%, 6/01/2023      3,128,850  
  150,000      Arconic, Inc., 5.900%, 2/01/2027      160,583  
  1,510,000      AT&T, Inc., 3.400%, 5/15/2025      1,458,548  
  3,960,000      AT&T, Inc., 4.125%, 2/17/2026      4,015,832  
  495,000      Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A      467,156  
  925,000      Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A      1,061,654  
  95,000      Avon Products, Inc., 8.950%, 3/15/2043      83,885  
  200,000      Bank of America Corp., 5.490%, 3/15/2019      211,675  
  2,700,000      Bank of America Corp., 6.110%, 1/29/2037      3,154,321  
  115,000      Bank of America Corp., MTN, 4.250%, 10/22/2026      116,773  
  50,000      Beazer Homes USA, Inc., 7.250%, 2/01/2023      51,625  
  71,000      California Resources Corp., 5.500%, 9/15/2021      52,540  
  10,000      California Resources Corp., 6.000%, 11/15/2024      7,000  
  990,000      California Resources Corp., 8.000%, 12/15/2022, 144A      804,375  
  880,000      CenturyLink, Inc., 6.450%, 6/15/2021      934,903  
  510,000      CenturyLink, Inc., 7.650%, 3/15/2042      448,162  
  55,000      CenturyLink, Inc., Series G, 6.875%, 1/15/2028      53,350  
  605,000      CenturyLink, Inc., Series P, 7.600%, 9/15/2039      534,856  
  360,000      Chemours Co. (The), 6.625%, 5/15/2023      381,600  
  3,210,000      Chesapeake Energy Corp., 4.875%, 4/15/2022      2,889,000  
  315,000      Chesapeake Energy Corp., 5.750%, 3/15/2023      286,650  
  495,000      Chesapeake Energy Corp., 6.125%, 2/15/2021      480,150  
  190,000      Chesapeake Energy Corp., 6.625%, 8/15/2020      189,762  
  95,000      Chesapeake Energy Corp., 6.875%, 11/15/2020      94,763  
  7,030,000      Chesapeake Energy Corp., 8.000%, 12/15/2022, 144A      7,363,925  
  780,000      Chevron Corp., 2.419%, 11/17/2020(e)      787,585  
  1,635,000      Cimarex Energy Co., 4.375%, 6/01/2024      1,698,400  
  525,000      Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A      550,594  
  500,000      Citizens Financial Group, Inc., 4.300%, 12/03/2025      515,336  
  2,913,000      Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020      2,934,847  
  155,000      Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A      159,650  
  480,000      Consolidated Communications, Inc., 6.500%, 10/01/2022      460,800  
  265,000      Constellation Brands, Inc., 4.750%, 11/15/2024      285,437  
  30,175      Continental Airlines Pass Through Certificates, Series 1999-1, Class B, 6.795%, 2/02/2020      31,081  
  1,005,000      Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018      1,044,094  
  255,000      Continental Resources, Inc., 3.800%, 6/01/2024      237,150  
  50,000      Continental Resources, Inc., 4.500%, 4/15/2023      48,656  
  375,000      Cox Communications, Inc., 4.800%, 2/01/2035, 144A      353,089  
  1,335,000      CSC Holdings LLC, 10.875%, 10/15/2025, 144A      1,605,337  
  155,000      Cummins, Inc., 5.650%, 3/01/2098      164,405  
  260,000      Delphi Automotive PLC, 1.600%, 9/15/2028, (EUR)      272,034  
  147,566      Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024      168,963  
  1,200,000      Devon Energy Corp., 3.250%, 5/15/2022      1,188,761  

 

See accompanying notes to financial statements.

 

|  20

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   United States — continued   
$ 475,000      Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A    $ 517,836  
  42,000      Dillard’s, Inc., 6.625%, 1/15/2018      43,167  
  50,000      Dillard’s, Inc., 7.000%, 12/01/2028      56,580  
  8,000      Dillard’s, Inc., 7.750%, 7/15/2026      9,271  
  300,000      Discovery Communications LLC, 1.900%, 3/19/2027, (EUR)      308,613  
  395,000      DISH DBS Corp., 5.000%, 3/15/2023      396,975  
  1,495,000      DISH DBS Corp., 5.875%, 11/15/2024      1,570,124  
  190,000      DPL, Inc., 6.750%, 10/01/2019      199,500  
  310,000      DR Horton, Inc., 4.375%, 9/15/2022      326,292  
  575,000      Enbridge Energy Partners LP, 7.375%, 10/15/2045      701,202  
  600,000      EnLink Midstream Partners LP, 4.150%, 6/01/2025      592,781  
  410,000      FedEx Corp., 1.000%, 1/11/2023, (EUR)      441,517  
  150,000      Foot Locker, Inc., 8.500%, 1/15/2022      176,438  
  40,000      Ford Motor Co., 4.346%, 12/08/2026      40,789  
  685,000      Ford Motor Co., 5.291%, 12/08/2046      683,424  
  25,000      Ford Motor Co., 6.375%, 2/01/2029      28,616  
  50,000      Ford Motor Co., 6.625%, 2/15/2028      58,082  
  2,105,000      Ford Motor Co., 6.625%, 10/01/2028      2,481,201  
  5,000      Ford Motor Co., 7.500%, 8/01/2026      6,065  
  5,000,000      Ford Motor Credit Co. LLC, 2.459%, 3/27/2020      4,986,470  
  1,600,000      Ford Motor Credit Co. LLC, 3.588%, 6/02/2020, (AUD)(e)      1,234,978  
  1,000,000      Ford Motor Credit Co. LLC, 5.000%, 5/15/2018      1,033,174  
  905,000      Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(c)(g)      1,028,512  
  2,370,000      Freeport-McMoRan, Inc., 3.875%, 3/15/2023      2,179,499  
  210,000      Freeport-McMoRan, Inc., 5.400%, 11/14/2034      182,700  
  2,475,000      Freeport-McMoRan, Inc., 5.450%, 3/15/2043      2,094,469  
  865,000      Frontier Communications Corp., 6.875%, 1/15/2025      715,787  
  560,000      Frontier Communications Corp., 11.000%, 9/15/2025      544,600  
  205,000      FTS International, Inc., 6.250%, 5/01/2022      176,813  
  275,000      Gates Global LLC/Gates Global Co., 6.000%, 7/15/2022, 144A      279,812  
  50,000      General Electric Co., GMTN, 3.100%, 1/09/2023      51,392  
  740,000      General Electric Co., Series D, (fixed rate to 1/21/2021, variable rate thereafter), 5.000%(e)(f)      780,700  
  310,000      General Motors Co., 5.200%, 4/01/2045      303,866  
  5,000,000      General Motors Financial Co., Inc., 2.400%, 4/10/2018      5,025,550  
  240,000      General Motors Financial Co., Inc., 3.450%, 4/10/2022      241,836  
  925,000      General Motors Financial Co., Inc., 5.250%, 3/01/2026      993,830  
  170,000      Genworth Holdings, Inc., 4.800%, 2/15/2024      139,825  
  130,000      Genworth Holdings, Inc., 4.900%, 8/15/2023      108,225  
  3,435,000      Georgia-Pacific LLC, 7.250%, 6/01/2028      4,455,126  
  105,000      Georgia-Pacific LLC, 7.375%, 12/01/2025      132,941  
  180,000      Georgia-Pacific LLC, 7.750%, 11/15/2029      249,911  
  315,000      Georgia-Pacific LLC, 8.875%, 5/15/2031      480,565  
  800,000      Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)(e)      611,949  
  2,295,000      Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037      2,831,888  
  165,000      Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028      179,850  

 

See accompanying notes to financial statements.

 

21  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   United States — continued   
$ 70,000      GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.949%, 8/10/2045(h)    $ 70,054  
  1,000,000      HCA Holdings, Inc., 6.250%, 2/15/2021      1,079,375  
  20,000      HCA, Inc., 4.750%, 5/01/2023      20,850  
  225,000      HCA, Inc., 7.050%, 12/01/2027      247,219  
  820,000      HCA, Inc., 7.500%, 11/06/2033      896,875  
  1,500,000      HCA, Inc., 7.690%, 6/15/2025      1,708,125  
  395,000      HCA, Inc., 8.360%, 4/15/2024      465,606  
  195,000      HCA, Inc., MTN, 7.580%, 9/15/2025      219,131  
  75,000      HCA, Inc., MTN, 7.750%, 7/15/2036      82,594  
  855,000      Hecla Mining Co., 6.875%, 5/01/2021      874,237  
  490,000      Hewlett Packard Enterprise Co., 6.350%, 10/15/2045      504,581  
  310,000      Hexion, Inc., 7.875%, 2/15/2023(c)(d)      158,100  
  485,000      Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A      506,825  
  1,585,000      Hyundai Capital America, 2.750%, 9/27/2026, 144A(e)      1,458,200  
  450,000      International Lease Finance Corp., 4.625%, 4/15/2021      474,509  
  640,000      International Lease Finance Corp., 5.875%, 8/15/2022      712,882  
  1,250,000      International Lease Finance Corp., 6.250%, 5/15/2019      1,346,864  
  745,000      INVISTA Finance LLC, 4.250%, 10/15/2019, 144A      765,487  
  145,000      iStar, Inc., 4.875%, 7/01/2018      145,906  
  3,460,000      iStar, Inc., 5.000%, 7/01/2019      3,481,625  
  200,000      iStar, Inc., 7.125%, 2/15/2018      207,000  
  48,000      J.C. Penney Corp., Inc., 6.375%, 10/15/2036      36,600  
  5,000      J.C. Penney Corp., Inc., 7.625%, 3/01/2097      3,850  
  1,070,000      Jefferies Group LLC, 6.250%, 1/15/2036      1,124,540  
  15,000      K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(c)(g)      12,113  
  110,000      K. Hovnanian Enterprises, Inc., 7.000%, 1/15/2019, 144A      97,213  
  165,000      K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A      136,950  
  1,665,000      KB Home, 8.000%, 3/15/2020      1,848,150  
  2,805,000      Kraton Polymers LLC/Kraton Polymers Capital Corp., 10.500%, 4/15/2023, 144A      3,218,737  
  140,000      Level 3 Communications, Inc., 5.750%, 12/01/2022      144,900  
  330,000      Level 3 Financing, Inc., 5.125%, 5/01/2023      337,425  
  760,000      Level 3 Financing, Inc., 5.375%, 5/01/2025      773,300  
  20,000      Macy’s Retail Holdings, Inc., 4.500%, 12/15/2034      17,386  
  165,000      Masco Corp., 6.500%, 8/15/2032      194,735  
  865,000      Masco Corp., 7.750%, 8/01/2029      1,112,178  
  410,000      Micron Technology, Inc., 5.250%, 8/01/2023, 144A      420,250  
  965,000      Micron Technology, Inc., 5.500%, 2/01/2025      1,001,187  
  1,230,000      Micron Technology, Inc., 5.625%, 1/15/2026, 144A      1,294,575  
  1,430,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A      1,476,475  
  825,000      Morgan Stanley, 2.125%, 4/25/2018      828,151  
  220,000      Morgan Stanley, 2.500%, 1/24/2019      222,170  
  450,000      Morgan Stanley, 3.950%, 4/23/2027      445,675  
  725,000      Morgan Stanley, 5.750%, 1/25/2021      804,791  
  3,150,000      Morgan Stanley, MTN, 4.100%, 5/22/2023      3,253,292  

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   United States — continued   
$ 600,000      Morgan Stanley, MTN, 6.250%, 8/09/2026    $ 713,851  
  25,000      MPLX LP, 4.500%, 7/15/2023      26,001  
  95,000      MPLX LP, 4.875%, 6/01/2025      99,511  
  3,000,000      Navient Corp., 5.000%, 10/26/2020      2,992,500  
  95,000      Navient Corp., 5.875%, 10/25/2024      88,617  
  1,600(†††††)      Navient Corp., 6.000%, 12/15/2043      36,155  
  715,000      Navient Corp., MTN, 6.125%, 3/25/2024      681,037  
  10,000      Navient Corp., Series A, MTN, 5.000%, 6/15/2018      10,038  
  175,000      Navient LLC, 4.875%, 6/17/2019      179,156  
  915,000      Navient LLC, 5.500%, 1/25/2023      873,825  
  40,000      Navient LLC, MTN, 4.625%, 9/25/2017      40,300  
  60,000      Navient LLC, MTN, 5.500%, 1/15/2019      62,160  
  415,000      Navient LLC, MTN, 7.250%, 1/25/2022      430,957  
  2,560,000      Navient LLC, Series A, MTN, 5.625%, 8/01/2033(c)(g)      1,990,400  
  360,000      Navient LLC, Series A, MTN, 8.450%, 6/15/2018      383,400  
  4,457,000      New Albertson’s, Inc., 7.450%, 8/01/2029      4,223,007  
  525,000      New Albertson’s, Inc., 7.750%, 6/15/2026      511,875  
  5,710,000      New Albertson’s, Inc., 8.000%, 5/01/2031      5,524,425  
  2,110,000      New Albertson’s, Inc., 8.700%, 5/01/2030      2,088,900  
  1,265,000      New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028      1,132,175  
  365,000      Newell Brands, Inc., 4.000%, 12/01/2024      376,966  
  65,000      Newfield Exploration Co., 5.625%, 7/01/2024      68,494  
  20,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      22,400  
  1,019,000      Noble Energy, Inc., 5.625%, 5/01/2021      1,049,560  
  120,000      Oasis Petroleum, Inc., 6.875%, 1/15/2023      122,100  
  2,275,000      Oceaneering International, Inc., 4.650%, 11/15/2024      2,283,622  
  420,000      Old Republic International Corp., 4.875%, 10/01/2024      446,242  
  3,693,000      ONEOK Partners LP, 4.900%, 3/15/2025      3,909,225  
  25,000      ONEOK Partners LP, 6.200%, 9/15/2043      27,991  
  55,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022      56,925  
  140,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025      146,650  
  535,000      Owens Corning, 7.000%, 12/01/2036      654,398  
  2,965,000      Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A      3,009,475  
  540,000      PulteGroup, Inc., 6.000%, 2/15/2035      529,200  
  785,000      PulteGroup, Inc., 6.375%, 5/15/2033      804,625  
  220,000      PulteGroup, Inc., 7.875%, 6/15/2032      246,950  
  285,000      QEP Resources, Inc., 5.250%, 5/01/2023      279,411  
  145,000      QEP Resources, Inc., 5.375%, 10/01/2022      142,825  
  65,000      QEP Resources, Inc., 6.875%, 3/01/2021      69,063  
  255,000      Quicken Loans, Inc., 5.750%, 5/01/2025, 144A      250,537  
  1,335,000      Qwest Capital Funding, Inc., 6.500%, 11/15/2018      1,408,425  
  650,000      Qwest Capital Funding, Inc., 6.875%, 7/15/2028      616,687  
  400,000      Qwest Capital Funding, Inc., 7.625%, 8/03/2021      412,500  
  60,000      Qwest Capital Funding, Inc., 7.750%, 2/15/2031      56,250  
  476,000      Qwest Corp., 6.875%, 9/15/2033      473,982  
  115,000      Qwest Corp., 7.250%, 9/15/2025      125,697  

 

See accompanying notes to financial statements.

 

23  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   United States — continued   
$ 37,000      R.R. Donnelley & Sons Co., 7.000%, 2/15/2022    $ 37,555  
  200,000      Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A      208,250  
  230,000      Range Resources Corp., 4.875%, 5/15/2025      220,225  
  850,000      Range Resources Corp., 5.000%, 8/15/2022, 144A      841,500  
  220,000      Range Resources Corp., 5.000%, 3/15/2023, 144A      216,700  
  1,075,000      Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022      1,143,126  
  230,000      Regency Energy Partners LP/Regency Energy Finance Corp., 5.500%, 4/15/2023      238,912  
  970,000      Santander Holdings USA, Inc., 2.650%, 4/17/2020(e)      965,488  
  25,000      Sealed Air Corp., 4.875%, 12/01/2022, 144A      26,047  
  640,000      Sealed Air Corp., 5.500%, 9/15/2025, 144A      678,400  
  420,000      ServiceMaster Co. LLC (The), 7.450%, 8/15/2027      458,850  
  760,000      Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A      792,300  
  140,000      Silgan Holdings, Inc., 3.250%, 3/15/2025, 144A, (EUR)      148,979  
  2,495,000      Springleaf Finance Corp., 5.250%, 12/15/2019      2,516,831  
  330,000      Springleaf Finance Corp., 7.750%, 10/01/2021      351,450  
  130,000      Springleaf Finance Corp., 8.250%, 10/01/2023      136,988  
  2,349,000      Sprint Capital Corp., 6.875%, 11/15/2028      2,481,131  
  2,240,000      Sprint Capital Corp., 8.750%, 3/15/2032      2,693,600  
  1,720,000      Sprint Communications, Inc., 6.000%, 11/15/2022      1,758,700  
  120,000      Sprint Corp., 7.125%, 6/15/2024      128,100  
  2,840,000      Sprint Corp., 7.875%, 9/15/2023      3,145,300  
  2,910,000      SUPERVALU, Inc., 6.750%, 6/01/2021      2,895,450  
  1,365,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024      1,481,025  
  520,000      Tenet Healthcare Corp., 5.000%, 3/01/2019      520,796  
  100,000      Tenet Healthcare Corp., 6.750%, 6/15/2023      98,250  
  1,360,000      Tenet Healthcare Corp., 6.875%, 11/15/2031      1,166,200  
  820,000      Textron, Inc., 5.950%, 9/21/2021      912,600  
  90,000      Time Warner Cable LLC, 4.500%, 9/15/2042      81,566  
  565,000      Time Warner Cable LLC, 5.250%, 7/15/2042, (GBP)(e)      835,215  
  85,000      Time Warner Cable LLC, 5.500%, 9/01/2041      87,172  
  1,680,000      Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026      2,157,192  
  171,000      TransDigm, Inc., 6.500%, 7/15/2024      173,351  
  185,000      TransDigm, Inc., 6.500%, 5/15/2025      186,619  
  6,665,000      TRI Pointe Group, Inc., 4.875%, 7/01/2021      6,864,950  
  90,000      TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019      92,025  
  5,000      TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024      5,150  
  870,000      TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A      767,775  
  1,200,287      U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2026(e)(i)      1,171,028  
  3,000,000      U.S. Treasury Note, 0.750%, 9/30/2018      2,980,899  
  4,710,000      U.S. Treasury Note, 0.875%, 6/15/2019      4,664,370  
  3,460,000      U.S. Treasury Note, 1.750%, 11/30/2021(e)      3,437,430  
  630,000      United Continental Holdings, Inc., 6.375%, 6/01/2018      658,350  
  2,940,000      United Rentals North America, Inc., 5.500%, 7/15/2025      3,028,200  
  2,635,000      United Rentals North America, Inc., 5.750%, 11/15/2024      2,746,987  
  106,000      United Rentals North America, Inc., 7.625%, 4/15/2022      110,373  

 

See accompanying notes to financial statements.

 

|  24

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   United States — continued   
$ 1,940,000      United States Steel Corp., 6.650%, 6/01/2037    $ 1,716,900  
  690,000      United States Steel Corp., 7.375%, 4/01/2020      741,750  
  770,000      United States Steel Corp., 7.500%, 3/15/2022      799,837  
  108,330      US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026      120,683  
  56,645      US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021      61,177  
  405,224      US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026      425,485  
  230,000      USG Corp., 8.250%, 1/15/2018      240,925  
  25,000      Viacom, Inc., 4.375%, 3/15/2043      21,669  
  180,000      Viacom, Inc., 4.850%, 12/15/2034      174,143  
  395,000      Viacom, Inc., 5.250%, 4/01/2044      387,402  
  145,000      Viacom, Inc., 5.850%, 9/01/2043      152,718  
  1,380,000      Western Digital Corp., 7.375%, 4/01/2023, 144A      1,512,825  
  60,000      Weyerhaeuser Co., 6.950%, 10/01/2027      72,486  
  315,000      Weyerhaeuser Co., 7.375%, 3/15/2032      414,201  
  1,060,000      Whiting Petroleum Corp., 5.000%, 3/15/2019      1,057,350  
  590,000      Whiting Petroleum Corp., 5.750%, 3/15/2021      584,100  
  130,000      Whiting Petroleum Corp., 6.250%, 4/01/2023      129,350  
  55,000      Windstream Services LLC, 7.500%, 6/01/2022      53,625  
  1,955,000      Windstream Services LLC, 7.500%, 4/01/2023      1,837,700  
  1,105,000      Windstream Services LLC, 7.750%, 10/01/2021      1,088,425  
     

 

 

  
        255,370,394  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $432,577,953)		      455,822,113  
     

 

 

  
     
  Convertible Bonds — 0.9%  
   United States — 0.9%  
  105,000      CalAmp Corp., 1.625%, 5/15/2020      104,213  
  190,000      CalAtlantic Group, Inc., 0.250%, 6/01/2019      178,362  
  4,000      Chesapeake Energy Corp., 2.500%, 5/15/2037      3,940  
  60,000      Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A      62,138  
  185,000      Ciena Corp., 3.750%, 10/15/2018, 144A      241,425  
  2,290,000      Dish Network Corp., 3.375%, 8/15/2026, 144A      2,766,606  
  530,000      Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)      738,025  
  275,000      Iconix Brand Group, Inc., 1.500%, 3/15/2018      259,875  
  603,000      Intel Corp., 3.250%, 8/01/2039      1,053,366  
  1,000,000      KB Home, 1.375%, 2/01/2019      1,024,375  
  1,690,000      Nuance Communications, Inc., 1.000%, 12/15/2035      1,607,663  
  2,095,000      Old Republic International Corp., 3.750%, 3/15/2018      2,787,659  
  1,450,000      Priceline Group, Inc. (The), 0.900%, 9/15/2021      1,630,344  
  1,650,000      Rovi Corp., 0.500%, 3/01/2020      1,602,331  
  40,000      RPM International, Inc., 2.250%, 12/15/2020      48,125  
  90,000      Trinity Industries, Inc., 3.875%, 6/01/2036      109,294  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $11,770,203)		      14,217,741  
     

 

 

  

 

See accompanying notes to financial statements.

 

25  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Municipals — 0.0%  
   United States — 0.0%  
$ 155,000      State of Illinois, 5.100%, 6/01/2033    $ 141,425  
  130,000      Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046      108,942  
     

 

 

  
   Total Municipals
(Identified Cost $252,205)		      250,367  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $444,600,361)		      470,290,221  
     

 

 

  
     
  Senior Loans — 0.0%  
   United States — 0.0%  
  2,121      Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(h)      2,153  
  120,000      PowerTeam Services LLC, 2nd Lien Term Loan, 8.397%, 11/06/2020(h)      119,400  
     

 

 

  
   Total Senior Loans
(Identified Cost $124,343)		      121,553  
     

 

 

  
     
Shares                
  Preferred Stocks — 0.1%  
  Convertible Preferred Stocks — 0.1%  
   United States — 0.1%  
  460      Chesapeake Energy Corp., 5.000%      29,440  
  736      Chesapeake Energy Corp., 5.750%      476,560  
  40      Chesapeake Energy Corp., 5.750%      25,900  
  84      Chesapeake Energy Corp., Series A, 5.750% 144A      54,390  
  5,544      El Paso Energy Capital Trust I, 4.750%      277,200  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $714,389)		      863,490  
     

 

 

  
     
  Non-Convertible Preferred Stock — 0.0%  
   United States — 0.0%  
  2,585      Arconic, Inc., 5.375% (Identified Cost $125,173)      106,114  
     

 

 

  
   Total Preferred Stocks
(Identified Cost $839,562)		      969,604  
     

 

 

  
     
Principal
Amount (‡)		                
  Short-Term Investments — 2.7%  
$ 5,985,000      Federal Home Loan Bank Discount Notes, 0.550%, 4/04/2017(k)      5,984,887  
  4,015,000      Federal Home Loan Bank Discount Notes, 0.560%, 4/10/2017(k)      4,014,462  
  6,199      Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2017 at 0.000% to be repurchased at $6,199 on 4/03/2017 collateralized by $6,300 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $6,336 including accrued interest (Note 2 of Notes to Financial Statements)      6,199  

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Short-Term Investments — continued  
$ 30,936,259      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $30,936,826 on 4/03/2017 collateralized by $15,715,000 U.S. Treasury Note, 1.250% due 10/31/2021 valued at $15,333,251; $16,260,000 U.S. Treasury Note, 1.750% due 11/30/2021 valued at $16,224,732 including accrued interest (Note 2 of Notes to Financial Statements)    $ 30,936,259  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $40,941,622)		      40,941,807  
     

 

 

  
     
   Total Investments — 99.4%
(Identified Cost $1,302,951,633)(a)		      1,530,273,661  
   Other assets less liabilities — 0.6%      9,075,956  
     

 

 

  
   Net Assets — 100.0%    $ 1,539,349,617  
     

 

 

  
     
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.   
  (‡‡)      Security held in units. One unit represents a principal amount of 100. Amount shown represents principal amount including inflation adjustments.  
  (†)      See Note 2 of Notes to Financial Statements.   
  (††)      Security held in units. One unit represents a principal amount of 1,000. Amount shown represents principal amount including inflation adjustments.  
  (†††)      Amount shown represents units. One unit represents a principal amount of 1,000.  
  (††††)      Amount shown represents units. One unit represents a principal amount of 100.  
  (†††††)      Amount shown represents units. One unit represents a principal amount of 25.  
  (a)      Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):  
   At March 31, 2017, the net unrealized appreciation on investments based on a cost of $1,303,806,307 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    $ 240,314,908  
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (13,847,554 ) 
     

 

 

  
   Net unrealized appreciation    $ 226,467,354  
     

 

 

  
     
  (b)      Non-income producing security.   
  (c)      Illiquid security.   
  (d)      Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $159,909 or less than 0.01% of net assets. See Note 2 of Notes to Financial Statements.  
  (e)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.  
  (f)      Perpetual bond with no specified maturity date.   
  (g)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $3,031,025 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.  
  (h)      Variable rate security. Rate as of March 31, 2017 is disclosed.   
  (i)      Treasury Inflation Protected Security (TIPS).   
  (j)      Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.  
  (k)      Interest rate represents discount rate at time of purchase; not a coupon rate.  

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $115,580,737 or 7.5% 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 may be significantly influenced by trading on exchanges not located in the United States.  
  CPI      Consumer Price Index  
  EMTN      Euro Medium Term Note   
  GMTN      Global Medium Term Note   
  MTN      Medium Term Note   
     
  AUD      Australian Dollar   
  BRL      Brazilian Real   
  CAD      Canadian Dollar   
  CLP      Chilean Peso   
  COP      Colombian Peso   
  EUR      Euro   
  GBP      British Pound   
  HUF      Hungarian Forint   
  IDR      Indonesian Rupiah   
  INR      Indian Rupee   
  MXN      Mexican Peso   
  NOK      Norwegian Krone   
  NZD      New Zealand Dollar   
  RUB      New Russian Ruble   
  SEK      Swedish Krona   
  ZAR      South African Rand   

At March 31, 2017, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell		    Delivery
Date		      Currency    Units
of
Currency		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  
Sell1      6/21/2017      Australian Dollar      3,428,000      $ 2,615,273      $ (22,868 ) 
Sell2      6/21/2017      Brazilian Real      11,000,000        3,452,006        (19,868 ) 
Buy1      6/21/2017      British Pound      2,370,000        2,974,919        85,640  
Sell1      6/21/2017      Canadian Dollar      22,630,000        17,035,155        (267,783 ) 
Buy3      6/21/2017      Euro      31,475,000        33,701,409        290,854  
Buy3      6/21/2017      Euro      3,250,000        3,479,891        (48,167 ) 
Sell4      6/21/2017      Hungarian Forint      664,945,000        2,304,740        30,683  
Sell1      6/21/2017      Indonesian Rupiah      39,600,000,000        2,946,677        (11,605 ) 
Buy1      6/21/2017      Japanese Yen      2,486,500,000        22,402,232        630,514  
Sell5      6/21/2017      Mexican Peso      136,000,000        7,178,243        (404,222 ) 
Sell1      6/21/2017      New Zealand Dollar      8,162,000        5,710,268        (15,991 ) 
Sell5      6/21/2017      Norwegian Krone      4,200,000        489,548        8,531  
Buy6      6/21/2017      Polish Zloty      14,420,000        3,633,796        (15,601 ) 
Sell6      6/21/2017      Polish Zloty      14,420,000        3,633,795        (103,375 ) 
Sell5      6/21/2017      South African Rand      13,500,000        992,825        20,964  
Sell5      6/21/2017      Swedish Krona      3,100,000        347,261        (747 ) 
              

 

 

  
Total                $ 156,959  
              

 

 

  

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

At March 31, 2017, the Fund had the following open forward cross currency contracts:

 

Settlement Date    Deliver/Units of Currency    Receive/Units of Currency    Unrealized
Appreciation
(Depreciation)		  
6/21/2017      Norwegian Krone      14,180,000      Euro 1    1,581,733    $ 40,812  
             

 

 

  

1 Counterparty is Credit Suisse International

2 Counterparty is Bank of America, N.A.

3 Counterparty is Morgan Stanley & Co.

4 Counterparty is HSBC Bank USA

5 Counterparty is UBS AG

6 Counterparty is Citibank N.A.

Industry Summary at March 31, 2017 (Unaudited)

 

Internet Software & Services

      9.5 % 

Capital Markets

      5.8  

Treasuries

      5.1  

Chemicals

      4.6  

Insurance

      4.4  

IT Services

      4.2  

Specialty Retail

      4.1  

Banking

      3.8  

Banks

      3.6  

Aerospace & Defense

      3.5  

Internet & Direct Marketing Retail

      3.1  

Hotels, Restaurants & Leisure

      2.6  

Media

      2.5  

Food Products

      2.4  

Industrial Conglomerates

      2.3  

Household Durables

      2.1  

Building Products

      2.0  

Other Investments, less than 2% each

      31.1  

Short-Term Investments

      2.7  
  

 

 

  

Total Investments

      99.4  

Other assets less liabilities (including forward foreign currency contracts)

      0.6  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund – (continued)

 

Currency Exposure Summary at March 31, 2017 (Unaudited)

 

United States Dollar

      74.5 % 

Swiss Franc

      4.6  

Euro

      4.4  

British Pound

      3.5  

Canadian Dollar

      2.5  

Swedish Krona

      2.4  

Hong Kong Dollar

      2.2  

Other, less than 2% each

      5.3  
  

 

 

  

Total Investments

      99.4  

Other assets less liabilities (including forward foreign currency contracts)

      0.6  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Growth Fund

 

Shares

      Description    Value (†)  
  Common Stocks — 98.2% of Net Assets   
   Air Freight & Logistics — 5.5%   
  2,965,330      Expeditors International of Washington, Inc.    $ 167,511,492  
  1,265,806      United Parcel Service, Inc., Class B      135,820,984  
     

 

 

  
        303,332,476  
     

 

 

  
   Beverages — 6.7%  
  3,937,224      Coca-Cola Co. (The)      167,095,786  
  4,420,816      Monster Beverage Corp.(b)      204,109,075  
     

 

 

  
        371,204,861  
     

 

 

  
   Biotechnology — 4.7%  
  680,513      Amgen, Inc.      111,651,768  
  378,198      Regeneron Pharmaceuticals, Inc.(b)      146,555,507  
     

 

 

  
        258,207,275  
     

 

 

  
   Capital Markets — 4.6%  
  590,786      FactSet Research Systems, Inc.      97,426,519  
  3,075,474      SEI Investments Co.      155,126,909  
     

 

 

  
        252,553,428  
     

 

 

  
   Communications Equipment — 5.2%  
  8,432,855      Cisco Systems, Inc.      285,030,499  
     

 

 

  
   Consumer Finance — 1.4%  
  1,012,913      American Express Co.      80,131,547  
     

 

 

  
   Energy Equipment & Services — 2.2%  
  1,580,331      Schlumberger Ltd.      123,423,851  
     

 

 

  
   Food Products — 3.2%  
    12,776,835      Danone S.A., Sponsored ADR      174,914,871  
     

 

 

  
   Health Care Equipment & Supplies — 2.5%  
  440,327      Varex Imaging Corp.(b)      14,794,987  
  1,342,060      Varian Medical Systems, Inc.(b)      122,301,928  
     

 

 

  
        137,096,915  
     

 

 

  
   Health Care Technology — 2.3%  
  2,114,709      Cerner Corp.(b)      124,450,625  
     

 

 

  
   Hotels, Restaurants & Leisure — 2.8%  
  2,192,321      Yum China Holdings, Inc.(b)      59,631,131  
  1,446,190      Yum! Brands, Inc.      92,411,541  
     

 

 

  
        152,042,672  
     

 

 

  
   Household Products — 3.2%  
  1,975,894      Procter & Gamble Co. (The)      177,534,076  
     

 

 

  
   Internet & Direct Marketing Retail — 7.5%  
  465,988      Amazon.com, Inc.(b)      413,117,002  
     

 

 

  
   Internet Software & Services — 17.7%  
  2,521,403      Alibaba Group Holding Ltd., Sponsored ADR(b)      271,882,885  
  190,769      Alphabet, Inc., Class A(b)      161,733,958  
  191,284      Alphabet, Inc., Class C(b)      158,681,555  

 

See accompanying notes to financial statements.

 

31  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Growth Fund – (continued)

 

Shares

      Description    Value (†)  
   Internet Software & Services — continued  
  2,694,795      Facebook, Inc., Class A(b)    $ 382,795,630  
     

 

 

  
        975,094,028  
     

 

 

  
   IT Services — 5.8%  
  493,625      Automatic Data Processing, Inc.      50,542,264  
  3,049,559      Visa, Inc., Class A      271,014,308  
     

 

 

  
        321,556,572  
     

 

 

  
   Machinery — 2.5%  
  1,274,607      Deere & Co.      138,753,718  
     

 

 

  
   Pharmaceuticals — 6.0%  
  1,166,022      Merck & Co., Inc.      74,089,038  
  1,446,246      Novartis AG, Sponsored ADR      107,412,690  
  4,342,688      Novo Nordisk AS, Sponsored ADR      148,867,345  
     

 

 

  
        330,369,073  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 4.0%  
  333,163      Analog Devices, Inc.      27,302,708  
  3,342,553      QUALCOMM, Inc.      191,661,989  
     

 

 

  
        218,964,697  
     

 

 

  
   Software — 10.4%  
  2,114,654      Autodesk, Inc.(b)      182,854,131  
  2,256,911      Microsoft Corp.      148,640,158  
  5,460,406      Oracle Corp.      243,588,712  
     

 

 

  
        575,083,001  
     

 

 

  
   Total Common Stocks
(Identified Cost $4,714,184,986)		      5,412,861,187  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 1.4%   
$ 79,766,002      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $79,767,464 on 4/03/2017 collateralized by $79,865,000 U.S. Treasury Note, 2.250% due 7/31/2021 valued at $81,364,705 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $79,766,002)      79,766,002  
     

 

 

  
   Total Investments — 99.6%
(Identified Cost $4,793,950,988)(a)		      5,492,627,189  
   Other assets less liabilities — 0.4%      19,341,403  
     

 

 

  
   Net Assets — 100.0%    $ 5,511,968,592  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Growth Fund – (continued)

 

     
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):  
   At March 31, 2017, the net unrealized appreciation on investments based on a cost of $4,793,950,988 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    $ 770,502,624  
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (71,826,423 ) 
     

 

 

  
   Net unrealized appreciation    $ 698,676,201  
     

 

 

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

Industry Summary at March 31, 2017 (Unaudited)

 

Internet Software & Services

      17.7 % 

Software

      10.4  

Internet & Direct Marketing Retail

      7.5  

Beverages

      6.7  

Pharmaceuticals

      6.0  

IT Services

      5.8  

Air Freight & Logistics

      5.5  

Communications Equipment

      5.2  

Biotechnology

      4.7  

Capital Markets

      4.6  

Semiconductors & Semiconductor Equipment

      4.0  

Household Products

      3.2  

Food Products

      3.2  

Hotels, Restaurants & Leisure

      2.8  

Machinery

      2.5  

Health Care Equipment & Supplies

      2.5  

Health Care Technology

      2.3  

Energy Equipment & Services

      2.2  

Consumer Finance

      1.4  

Short-Term Investments

      1.4  
  

 

 

  

Total Investments

      99.6  

Other assets less liabilities

      0.4  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

33  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Value Fund

 

Shares

      Description    Value (†)  
  Common Stocks — 98.3% of Net Assets  
   Aerospace & Defense — 3.5%  
  76,670      Northrop Grumman Corp.    $ 18,235,193  
  220,264      United Technologies Corp.      24,715,823  
     

 

 

  
        42,951,016  
     

 

 

  
   Automobiles — 1.0%  
  207,262      Harley-Davidson, Inc.      12,539,351  
     

 

 

  
   Banks — 14.1%  
    1,453,505      Bank of America Corp.      34,288,183  
  376,182      Citigroup, Inc.      22,503,207  
  542,992      Fifth Third Bancorp      13,791,997  
  469,913      JPMorgan Chase & Co.      41,277,158  
  220,821      PNC Financial Services Group, Inc. (The)      26,551,517  
  616,366      Wells Fargo & Co.      34,306,932  
     

 

 

  
        172,718,994  
     

 

 

  
   Beverages — 1.4%  
  157,642      PepsiCo, Inc.      17,633,834  
     

 

 

  
   Building Products — 1.7%  
  490,862      Johnson Controls International PLC      20,675,107  
     

 

 

  
   Capital Markets — 2.4%  
  132,893      Ameriprise Financial, Inc.      17,233,564  
  156,649      State Street Corp.      12,470,827  
     

 

 

  
        29,704,391  
     

 

 

  
   Chemicals — 1.6%  
  237,188      E.I. du Pont de Nemours & Co.      19,053,312  
     

 

 

  
   Communications Equipment — 3.5%  
  646,362      Cisco Systems, Inc.      21,847,036  
  185,197      Harris Corp.      20,606,870  
     

 

 

  
        42,453,906  
     

 

 

  
   Construction Materials — 1.1%  
  112,572      Vulcan Materials Co.      13,562,675  
     

 

 

  
   Consumer Finance — 2.4%  
  163,342      American Express Co.      12,921,986  
  234,242      Discover Financial Services      16,019,810  
     

 

 

  
        28,941,796  
     

 

 

  
   Containers & Packaging — 1.2%  
  347,737      Sealed Air Corp.      15,154,379  
     

 

 

  
   Diversified Telecommunication Services — 1.3%  
  321,123      Verizon Communications, Inc.      15,654,746  
     

 

 

  
   Electric Utilities — 3.0%  
  144,763      NextEra Energy, Inc.      18,583,226  
  278,807      PG&E Corp.      18,501,633  
     

 

 

  
        37,084,859  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  34

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Value Fund – (continued)

 

Shares

      Description    Value (†)  
   Electrical Equipment — 1.1%  
  179,760      Eaton Corp. PLC    $ 13,329,204  
     

 

 

  
   Energy Equipment & Services — 2.5%  
  140,703      Baker Hughes, Inc.      8,416,853  
  441,347      Halliburton Co.      21,718,686  
     

 

 

  
        30,135,539  
     

 

 

  
   Food & Staples Retailing — 1.3%  
  200,518      CVS Health Corp.      15,740,663  
     

 

 

  
   Food Products — 1.4%  
  405,755      Mondelez International, Inc., Class A      17,479,925  
     

 

 

  
   Health Care Equipment & Supplies — 3.5%  
  433,487      Abbott Laboratories      19,251,157  
  295,853      Medtronic PLC      23,833,918  
     

 

 

  
        43,085,075  
     

 

 

  
   Health Care Providers & Services — 3.9%  
       110,847      Aetna, Inc.      14,138,535  
  57,899      Humana, Inc.      11,935,300  
  135,648      UnitedHealth Group, Inc.      22,247,628  
     

 

 

  
        48,321,463  
     

 

 

  
   Household Durables — 1.2%  
  310,127      Newell Brands, Inc.      14,628,691  
     

 

 

  
   Industrial Conglomerates — 1.6%  
  157,085      Honeywell International, Inc.      19,615,204  
     

 

 

  
   Insurance — 7.1%  
  322,536      American International Group, Inc.      20,135,923  
  411,266      FNF Group      16,014,698  
  342,701      MetLife, Inc.      18,101,467  
  142,149      Travelers Cos., Inc. (The)      17,134,640  
  342,997      Unum Group      16,083,129  
     

 

 

  
        87,469,857  
     

 

 

  
   Internet & Direct Marketing Retail — 1.0%  
  591,791      Liberty Interactive Corp./QVC Group, Class A(b)      11,847,656  
     

 

 

  
   IT Services — 1.4%  
  69,750      Alliance Data Systems Corp.      17,367,750  
     

 

 

  
   Machinery — 1.3%  
  253,362      Pentair PLC      15,906,066  
     

 

 

  
   Media — 2.2%  
  730,682      Comcast Corp., Class A      27,466,336  
     

 

 

  
   Multiline Retail — 1.1%  
  189,798      Dollar General Corp.      13,234,615  
     

 

 

  
   Oil, Gas & Consumable Fuels — 6.8%  
  312,897      Anadarko Petroleum Corp.      19,399,614  
  222,076      Chevron Corp.      23,844,300  

 

See accompanying notes to financial statements.

 

35  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Value Fund – (continued)

 

Shares

      Description    Value (†)  
   Oil, Gas & Consumable Fuels — continued  
  230,303      Hess Corp.    $ 11,102,908  
  331,477      Marathon Petroleum Corp.      16,752,847  
  226,957      Royal Dutch Shell PLC, Sponsored ADR      11,967,443  
     

 

 

  
        83,067,112  
     

 

 

  
   Pharmaceuticals — 6.1%  
  73,445      Allergan PLC      17,547,479  
  158,428      Eli Lilly & Co.      13,325,379  
  283,931      Merck & Co., Inc.      18,040,976  
  769,984      Pfizer, Inc.      26,341,153  
     

 

 

  
        75,254,987  
     

 

 

  
   Real Estate Management & Development — 1.1%  
       392,756      CBRE Group, Inc., Class A(b)      13,663,981  
     

 

 

  
   REITs – Diversified — 1.9%  
  241,806      Outfront Media, Inc.      6,419,949  
  493,721      Weyerhaeuser Co.      16,776,640  
     

 

 

  
        23,196,589  
     

 

 

  
   Road & Rail — 1.4%  
  151,752      Norfolk Southern Corp.      16,991,671  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 1.4%  
  289,421      QUALCOMM, Inc.      16,595,400  
     

 

 

  
   Software — 4.9%  
  390,142      Microsoft Corp.      25,694,752  
  481,154      Oracle Corp.      21,464,280  
  409,174      Symantec Corp.      12,553,458  
     

 

 

  
        59,712,490  
     

 

 

  
   Specialty Retail — 1.1%  
  92,302      Advance Auto Parts, Inc.      13,684,695  
     

 

 

  
   Technology Hardware, Storage & Peripherals — 2.4%  
  161,912      Apple, Inc.      23,260,278  
  201,697      Diebold Nixdorf, Inc.      6,192,098  
     

 

 

  
        29,452,376  
     

 

 

  
   Tobacco — 1.6%  
  175,455      Philip Morris International, Inc.      19,808,870  
     

 

 

  
   Wireless Telecommunication Services — 0.8%  
  390,230      Vodafone Group PLC, Sponsored ADR      10,313,779  
     

 

 

  
   Total Common Stocks
(Identified Cost $899,842,930)		      1,205,498,360  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  36

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Value Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Short-Term Investments — 0.6%  
$ 7,658,318      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $7,658,458 on 4/03/2017 collateralized by $8,085,000 U.S. Treasury Note, 1.125% due 9/30/2021 valued at $7,811,501 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,658,318)    $ 7,658,318  
     

 

 

  
     
   Total Investments — 98.9%
(Identified Cost $907,501,248)(a)		      1,213,156,678  
   Other assets less liabilities — 1.1%      13,903,504  
     

 

 

  
   Net Assets — 100.0%    $ 1,227,060,182  
     

 

 

  
     
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):  
   At March 31, 2017, the net unrealized appreciation on investments based on a cost of $907,501,248 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    $ 323,394,470  
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (17,739,040 ) 
     

 

 

  
   Net unrealized appreciation    $ 305,655,430  
     

 

 

  
     
  (b)      Non-income producing security.   
     
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.   
  REITs      Real Estate Investment Trusts   

 

See accompanying notes to financial statements.

 

37  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Value Fund – (continued)

 

Industry Summary at March 31, 2017 (Unaudited)

 

Banks

      14.1 % 

Insurance

      7.1  

Oil, Gas & Consumable Fuels

      6.8  

Pharmaceuticals

      6.1  

Software

      4.9  

Health Care Providers & Services

      3.9  

Health Care Equipment & Supplies

      3.5  

Aerospace & Defense

      3.5  

Communications Equipment

      3.5  

Electric Utilities

      3.0  

Energy Equipment & Services

      2.5  

Capital Markets

      2.4  

Technology Hardware, Storage & Peripherals

      2.4  

Consumer Finance

      2.4  

Media

      2.2  

Other Investments, less than 2% each

      30.0  

Short-Term Investments

      0.6  
  

 

 

  

Total Investments

      98.9  

Other assets less liabilities

      1.1  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  38

Table of Contents

Statements of Assets and Liabilities

 

March 31, 2017 (Unaudited)

 

     Global Equity
and Income
Fund		     Growth Fund      Value Fund  

ASSETS

        

Investments at cost

    $ 1,302,951,633     $ 4,793,950,988      $ 907,501,248  

Net unrealized appreciation

      227,322,028       698,676,201        305,655,430  
  

 

 

    

 

 

     

 

 

  

Investments at value

      1,530,273,661       5,492,627,189        1,213,156,678  

Cash

      24,956       1,311,264        —  

Due from brokers (Note 2)

      230,000       —        —  

Foreign currency at value (identified cost $3,651,869, $0 and $0, respectively)

      3,670,675       —        —  

Receivable for Fund shares sold

      3,851,430       18,043,345        779,369  

Receivable for securities sold

      7,762,912       —        36,180,349  

Collateral received for open forward foreign currency contracts (Note 4)

      1,152,298       —        —  

Dividends and interest receivable

      6,455,292       8,319,514        969,170  

Unrealized appreciation on forward foreign currency contracts (Note 2)

      1,107,998       —        —  

Tax reclaims receivable

      561,053       1,791,744        —  

Prepaid expenses (Note 8)

      634       1,544        587  
  

 

 

    

 

 

     

 

 

  

TOTAL ASSETS

      1,555,090,909       5,522,094,600        1,251,086,153  
  

 

 

    

 

 

     

 

 

  

LIABILITIES

        

Payable for securities purchased

      8,753,106       1,311,446        2,846,629  

Payable for Fund shares redeemed

      3,516,948       5,990,209        20,184,471  

Unrealized depreciation on forward foreign currency contracts (Note 2)

      910,227       —        —  

Foreign taxes payable (Note 2)

      55,184       —        —  

Due to brokers (Note 2)

      1,152,298       —        —  

Management fees payable (Note 6)

      1,020,804       2,289,816        545,575  

Deferred Trustees’ fees (Note 6)

      145,987       188,656        334,216  

Administrative fees payable (Note 6)

      58,739       205,127        48,437  

Payable to distributor (Note 6d)

      16,070       56,210        9,491  

Other accounts payable and accrued expenses

      111,929       84,544        57,152  
  

 

 

    

 

 

     

 

 

  

TOTAL LIABILITIES

      15,741,292       10,126,008        24,025,971  
  

 

 

    

 

 

     

 

 

  

NET ASSETS

    $ 1,539,349,617     $ 5,511,968,592      $ 1,227,060,182  
  

 

 

    

 

 

     

 

 

  

NET ASSETS CONSIST OF:

        

Paid-in capital

    $ 1,317,005,749     $ 4,760,426,747      $ 865,466,750  

Undistributed net investment income

      4,582,214       10,050,767        4,077,971  

Accumulated net realized gain (loss) on investments, short sales and foreign currency transactions

      (9,720,988 )      42,814,877        51,860,031  

Net unrealized appreciation on investments and foreign currency translations

      227,482,642       698,676,201        305,655,430  
  

 

 

    

 

 

     

 

 

  

NET ASSETS

    $ 1,539,349,617     $ 5,511,968,592      $ 1,227,060,182  
  

 

 

    

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

39  |

Table of Contents

Statements of Assets and Liabilities (continued)

 

March 31, 2017 (Unaudited)

 

     Global Equity
and Income
Fund		     Growth Fund      Value Fund  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

        

Class A shares:

        

Net assets

    $ 267,302,582     $ 853,040,386      $ 187,165,797  
  

 

 

    

 

 

     

 

 

  

Shares of beneficial interest

      13,614,670       69,859,617        8,523,852  
  

 

 

    

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 19.63     $ 12.21      $ 21.96  
  

 

 

    

 

 

     

 

 

  

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

    $ 20.83     $ 12.95      $ 23.30  
  

 

 

    

 

 

     

 

 

  

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

        

Net assets

    $ 369,103,978     $ 131,987,486      $ 12,019,657  
  

 

 

    

 

 

     

 

 

  

Shares of beneficial interest

      19,001,574       11,702,162        553,163  
  

 

 

    

 

 

     

 

 

  

Net asset value and offering price per share

    $ 19.42     $ 11.28      $ 21.73  
  

 

 

    

 

 

     

 

 

  

Class N shares:

        

Net assets

    $ 1,028     $ 147,266,795      $ 545,155,503  
  

 

 

    

 

 

     

 

 

  

Shares of beneficial interest

      52       11,331,161        24,776,480  
  

 

 

    

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 19.73 (a)    $ 13.00      $ 22.00  
  

 

 

    

 

 

     

 

 

  

Class Y shares:

        

Net assets

    $ 902,942,029     $ 4,379,673,925      $ 481,864,851  
  

 

 

    

 

 

     

 

 

  

Shares of beneficial interest

      45,761,929       336,854,202        21,870,199  
  

 

 

    

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 19.73     $ 13.00      $ 22.03  
  

 

 

    

 

 

     

 

 

  

Admin Class shares:

        

Net assets

    $ —     $ —      $ 854,374  
  

 

 

    

 

 

     

 

 

  

Shares of beneficial interest

      —       —        38,962  
  

 

 

    

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ —     $ —      $ 21.93  
  

 

 

    

 

 

     

 

 

  

 

(a) Net asset value calculations have been determined utilizing fractional share and penny amounts.

 

See accompanying notes to financial statements.

 

|  40

Table of Contents

Statements of Operations

 

For the Six Months Ended March 31, 2017 (Unaudited)

 

     Global Equity
and Income
Fund		     Growth Fund     Value Fund  

INVESTMENT INCOME

       

Dividends

    $ 8,503,248     $ 35,731,465     $ 13,850,022  

Interest

      12,637,722       21,242       3,549  

Less net foreign taxes withheld

      (157,593 )      (1,004,359 )      (96,996 ) 
  

 

 

    

 

 

    

 

 

  
     20,983,377       34,748,348       13,756,575  
  

 

 

    

 

 

    

 

 

  

Expenses

       

Management fees (Note 6)

      5,624,513       12,208,728       3,121,131  

Service and distribution fees (Note 6)

      2,283,260       1,573,508       298,620  

Administrative fees (Note 6)

      335,301       1,091,886       279,109  

Trustees’ fees and expenses (Note 6)

      33,696       75,533       40,020  

Transfer agent fees and expenses (Notes 6 and 7)

      675,991       2,332,298       447,868  

Audit and tax services fees

      109,197       19,160       19,242  

Custodian fees and expenses

      106,721       57,325       16,679  

Legal fees

      15,829       52,097       12,646  

Registration fees

      74,892       269,246       89,594  

Shareholder reporting expenses

      50,555       99,673       38,152  

Miscellaneous expenses (Note 8)

      45,839       79,039       36,092  
  

 

 

    

 

 

    

 

 

  

Total expenses

      9,355,794       17,858,493       4,399,153  

Less waiver and/or expense reimbursement (Note 6)

      (16 )      (415 )      —  
  

 

 

    

 

 

    

 

 

  

Net expenses

      9,355,778       17,858,078       4,399,153  
  

 

 

    

 

 

    

 

 

  

Net investment income

      11,627,599       16,890,270       9,357,422  
  

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SHORT SALES AND FOREIGN CURRENCY TRANSACTIONS

       

Net realized gain (loss) on:

       

Investments

      (783,259 )      43,872,065       67,428,867  

Short sales

      —       —       52,980  

Foreign currency transactions

      (5,392,241 )      —       —  

Net change in unrealized appreciation (depreciation) on:

       

Investments

      48,433,547       150,958,282       50,220,541  

Short sales

      —       —       (2,724 ) 

Foreign currency translations

      (83,045 )      —       —  
  

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain on investments, short sales and foreign currency transactions

      42,175,002       194,830,347       117,699,664  
  

 

 

    

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 53,802,601     $ 211,720,617     $ 127,057,086  
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

41  |

Table of Contents

Statements of Changes in Net Assets

 

    Global Equity and Income Fund     Growth Fund  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		  

FROM OPERATIONS:

        

Net investment income

   $ 11,627,599     $ 17,726,830     $ 16,890,270     $ 20,422,191  

Net realized gain (loss) on investments and foreign currency transactions

     (6,175,500 )      (11,136,128 )      43,872,065       61,467,333  

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

     48,350,502       125,656,810       150,958,282       460,433,284  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

     53,802,601       132,247,512       211,720,617       542,322,808  
 

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

        

Net investment income

        

Class A

     (3,289,853 )      (2,081,218 )      (2,940,948 )      (638,700 ) 

Class C

     (1,771,656 )      (533,445 )      —       —  

Class N

     —       —       (688,493 )      (27,613 ) 

Class Y

     (12,428,003 )      (7,355,165 )      (21,181,423 )      (7,860,674 ) 

Net realized capital gains

        

Class A

     —       (11,445,258 )      (7,024,881 )      —  

Class C

     —       (18,956,422 )      (1,227,895 )      —  

Class N

     —       —       (992,374 )      —  

Class Y

     —       (31,143,894 )      (34,329,938 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     (17,489,512 )      (71,515,402 )      (68,385,952 )      (8,526,987 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

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

     (35,967,530 )      233,875,615       974,121,100       2,522,919,151  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets

     345,559       294,607,725       1,117,455,765       3,056,714,972  

NET ASSETS

        

Beginning of the period

     1,539,004,058       1,244,396,333       4,394,512,827       1,337,797,855  
 

 

 

    

 

 

    

 

 

    

 

 

  

End of the period

   $ 1,539,349,617     $ 1,539,004,058     $ 5,511,968,592     $ 4,394,512,827  
 

 

 

    

 

 

    

 

 

    

 

 

  

UNDISTRIBUTED NET INVESTMENT INCOME

   $ 4,582,214     $ 10,444,127     $ 10,050,767     $ 17,971,361  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

|  42

Table of Contents

Statements of Changes in Net Assets (continued)

 

     Value Fund  
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		  

FROM OPERATIONS:

     

Net investment income

    $ 9,357,422     $ 27,575,585  

Net realized gain on investments and short sales

      67,481,847       20,497,235  

Net change in unrealized appreciation (depreciation) on investments and securities sold short

      50,217,817       85,543,390  
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      127,057,086       133,616,210  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

     

Net investment income

     

Class A

      (3,300,870 )      (1,396,913 ) 

Class C

      (110,502 )      (62,920 ) 

Class N

      (10,337,308 )      (9,650,934 ) 

Class Y

      (10,883,174 )      (10,292,470 ) 

Admin Class

      —       (1,221,354 ) 

Net realized capital gains

     

Class A

      (4,790,308 )      (25,901,132 ) 

Class B(a)

      —       (7,739 ) 

Class C

      (300,799 )      (3,063,203 ) 

Class N

      (12,741,866 )      (118,136,122 ) 

Class Y

      (14,291,711 )      (138,382,558 ) 

Admin Class

      (20,087 )      (18,149,180 ) 
  

 

 

    

 

 

  

Total distributions

      (56,776,625 )      (326,264,525 ) 
  

 

 

    

 

 

  

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

      (100,251,205 )      (11,555,512 ) 
  

 

 

    

 

 

  

Net decrease in net assets

      (29,970,744 )      (204,203,827 ) 

NET ASSETS

     

Beginning of the period

      1,257,030,926       1,461,234,753  
  

 

 

    

 

 

  

End of the period

    $ 1,227,060,182     $ 1,257,030,926  
  

 

 

    

 

 

  

UNDISTRIBUTED NET INVESTMENT INCOME

    $ 4,077,971     $ 19,352,403  
  

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

43  |

Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    Global Equity and Income Fund—Class A  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 19.17     $ 18.45     $ 19.77     $ 18.57     $ 17.07     $ 14.24  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.15       0.24       0.21       0.28       0.32 (b)      0.35 (c) 

Net realized and unrealized gain (loss)

     0.55       1.47       (0.37 )      1.49       1.45       2.71  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.70       1.71       (0.16 )      1.77       1.77       3.06  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.24 )      (0.15 )      (0.20 )      (0.33 )      (0.27 )      (0.23 ) 

Net realized capital gains

     —       (0.84 )      (0.96 )      (0.24 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.24 )      (0.99 )      (1.16 )      (0.57 )      (0.27 )      (0.23 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 19.63     $ 19.17     $ 18.45     $ 19.77     $ 18.57     $ 17.07  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     3.70 %(e)      9.64 %      (0.91 )%      9.62 %      10.54 %(b)      21.75 %(c) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 267,303     $ 280,263     $ 246,371     $ 237,167     $ 251,211     $ 216,209  

Net expenses

     1.19 %(f)      1.17 %      1.18 %      1.17 %      1.18 %      1.21 % 

Gross expenses

     1.19 %(f)      1.17 %      1.18 %      1.17 %      1.18 %      1.21 % 

Net investment income

     1.62 %(f)      1.32 %      1.06 %      1.46 %      1.82 %(b)      2.16 %(c) 

Portfolio turnover rate

     19 %      43 %      48 %      49 %      58 %      29 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.27, total return would have been 10.25% and the ratio of net investment income to average net assets would have been 1.51%.
(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.31, total return would have been 21.46% and the ratio of net investment income to average net assets would have been 1.93%.
(d) A sales charge for Class A shares is not reflected in total return calculations.
(e) Periods less than one year are not annualized.
(f) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  44

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Global Equity and Income Fund—Class C  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 18.89     $ 18.19     $ 19.51     $ 18.36     $ 16.90     $ 14.10  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.08       0.10       0.06       0.14       0.19 (b)      0.22 (c) 

Net realized and unrealized gain (loss)

     0.54       1.46       (0.36 )      1.45       1.45       2.70  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.62       1.56       (0.30 )      1.59       1.64       2.92  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.09 )      (0.02 )      (0.06 )      (0.20 )      (0.18 )      (0.12 ) 

Net realized capital gains

     —       (0.84 )      (0.96 )      (0.24 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.86 )      (1.02 )      (0.44 )      (0.18 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 19.42     $ 18.89     $ 18.19     $ 19.51     $ 18.36     $ 16.90  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     3.28 %(e)      8.88 %      (1.66 )%      8.72 %      9.77 %(b)      20.83 %(c) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 369,104     $ 423,350     $ 393,416     $ 377,001     $ 340,561     $ 251,366  

Net expenses

     1.94 %(f)      1.92 %      1.93 %      1.92 %      1.93 %      1.96 % 

Gross expenses

     1.94 %(f)      1.92 %      1.93 %      1.92 %      1.93 %      1.96 % 

Net investment income

     0.88 %(f)      0.57 %      0.31 %      0.71 %      1.07 %(b)      1.40 %(c) 

Portfolio turnover rate

     19 %      43 %      48 %      49 %      58 %      29 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.13, total return would have been 9.41% and the ratio of net investment income to average net assets would have been 0.76%.
(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.19, total return would have been 20.55% and the ratio of net investment income to average net assets would have been 1.18%.
(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(e) Periods less than one year are not annualized.
(f) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

45  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Global Equity and
Income Fund—Class N		  
    Period Ended
March 31, 2017*
(Unaudited)		  

Net asset value, beginning of the period

   $ 19.20  
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

  

Net investment income(a)

     0.03  

Net realized and unrealized gain (loss)

     0.50  
 

 

 

  

Total from Investment Operations

     0.53  
 

 

 

  

LESS DISTRIBUTIONS FROM:

  

Net investment income

     —  

Net realized capital gains

     —  
 

 

 

  

Total Distributions

     —  
 

 

 

  

Net asset value, end of the period

   $ 19.73  
 

 

 

  

Total return(b)(c)

     2.76 % 

RATIOS TO AVERAGE NET ASSETS:

  

Net assets, end of the period (000’s)

   $ 1  

Net expenses(d)(e)

     0.72 % 

Gross expenses(e)

     10.61 % 

Net investment income(e)

     0.92 % 

Portfolio turnover rate

     19 % 

 

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

 

See accompanying notes to financial statements.

 

|  46

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Global Equity and Income Fund—Class Y  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 19.29     $ 18.55     $ 19.89     $ 18.68     $ 17.15     $ 14.31  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.18       0.29       0.25       0.33       0.37 (b)      0.40 (c) 

Net realized and unrealized gain (loss)

     0.54       1.49       (0.37 )      1.49       1.47       2.71  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.72       1.78       (0.12 )      1.82       1.84       3.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.28 )      (0.20 )      (0.26 )      (0.37 )      (0.31 )      (0.27 ) 

Net realized capital gains

     —       (0.84 )      (0.96 )      (0.24 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.28 )      (1.04 )      (1.22 )      (0.61 )      (0.31 )      (0.27 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 19.73     $ 19.29     $ 18.55     $ 19.89     $ 18.68     $ 17.15  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     3.84 %(d)      9.97 %      (0.72 )%      9.87 %      10.90 %(b)      21.96 %(c) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 902,942     $ 835,391     $ 604,609     $ 633,057     $ 570,694     $ 460,103  

Net expenses

     0.94 %(e)      0.92 %      0.93 %      0.92 %      0.93 %      0.96 % 

Gross expenses

     0.94 %(e)      0.92 %      0.93 %      0.92 %      0.93 %      0.96 % 

Net investment income

     1.84 %(e)      1.58 %      1.30 %      1.69 %      2.07 %(b)      2.44 %(c) 

Portfolio turnover rate

     19 %      43 %      48 %      49 %      58 %      29 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.31, total return would have been 10.60% and the ratio of net investment income to average net assets would have been 1.76%.
(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.36, total return would have been 21.75% and the ratio of net investment income to average net assets would have been 2.20%.
(d) Periods less than one year are not annualized.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

47  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Growth Fund—Class A  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.96     $ 9.90     $ 9.45     $ 8.07     $ 6.50     $ 5.24  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.03       0.06       0.05       0.05       0.04       0.04  

Net realized and unrealized gain (loss)

     0.38       2.05       0.45       1.34       1.59       1.23  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.41       2.11       0.50       1.39       1.63       1.27  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.05 )      (0.05 )      (0.05 )      (0.01 )      (0.06 )      (0.01 ) 

Net realized capital gains

     (0.11 )      —       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.16 )      (0.05 )      (0.05 )      (0.01 )      (0.06 )      (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 12.21     $ 11.96     $ 9.90     $ 9.45     $ 8.07     $ 6.50  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     3.48 %(c)      21.32 %      5.30 %      17.23 %      25.23 %      24.22 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 853,040     $ 729,989     $ 122,203     $ 63,682     $ 50,248     $ 33,663  

Net expenses

     0.92 %(d)      0.92 %      0.92 %      0.94 %      1.03 %      1.07 % 

Gross expenses

     0.92 %(d)      0.92 %      0.92 %      0.94 %      1.03 %      1.07 % 

Net investment income

     0.50 %(d)      0.58 %      0.45 %      0.55 %      0.57 %      0.61 % 

Portfolio turnover rate

     7 %      11 %      27 %(e)      14 %      6 %      16 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A sales charge for Class A shares is not reflected in total return calculations.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.
(e) Portfolio turnover would have been 6% if excluding the transfer in-kind amounts that occurred during the period.

 

See accompanying notes to financial statements.

 

|  48

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Growth Fund—Class C  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.06     $ 9.18     $ 8.79     $ 7.55     $ 6.09     $ 4.94  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment loss(a)

     (0.01 )      (0.02 )      (0.03 )      (0.02 )      (0.01 )      (0.01 ) 

Net realized and unrealized gain (loss)

     0.34       1.90       0.42       1.26       1.48       1.16  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.33       1.88       0.39       1.24       1.47       1.15  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       —       —       —       (0.01 )      —  

Net realized capital gains

     (0.11 )      —       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.11 )      —       —       —       (0.01 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.28     $ 11.06     $ 9.18     $ 8.79     $ 7.55     $ 6.09  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     3.05 %(c)      20.48 %      4.44 %      16.42 %      24.21 %      23.28 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 131,987     $ 109,798     $ 41,421     $ 29,837     $ 20,798     $ 10,489  

Net expenses

     1.67 %(d)      1.66 %      1.67 %      1.69 %      1.78 %      1.82 % 

Gross expenses

     1.67 %(d)      1.66 %      1.67 %      1.69 %      1.78 %      1.82 % 

Net investment loss

     (0.25 )%(d)      (0.16 )%      (0.29 )%      (0.20 )%      (0.20 )%      (0.13 )% 

Portfolio turnover rate

     7 %      11 %      27 %(e)      14 %      6 %      16 % 

 

(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.
(e) Portfolio turnover would have been 6% if excluding the transfer in-kind amounts that occurred during the period.

 

See accompanying notes to financial statements.

 

49  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Growth Fund—Class N  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Period Ended
September 30,
2013*		  

Net asset value, beginning of the period

   $ 12.73     $ 10.52     $ 10.01     $ 8.56     $ 7.58  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.06       0.10       0.08       0.05       0.03  

Net realized and unrealized gain (loss)

     0.40       2.18       0.49       1.42       0.95  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.46       2.28       0.57       1.47       0.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.08 )      (0.07 )      (0.06 )      (0.02 )      —  

Net realized capital gains

     (0.11 )      —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.19 )      (0.07 )      (0.06 )      (0.02 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 13.00     $ 12.73     $ 10.52     $ 10.01     $ 8.56  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     3.68 %(b)      21.75 %      5.65 %(c)      17.21 %(c)      12.93 %(b)(c) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 147,267     $ 60,765     $ 1     $ 1     $ 1  

Net expenses

     0.58 %(d)      0.58 %      0.55 %(e)      0.95 %(e)      0.95 %(d)(e) 

Gross expenses

     0.58 %(d)      0.58 %      9.82 %      3.45 %      3.50 %(d) 

Net investment income

     0.90 %(d)      0.82 %      0.71 %      0.52 %      0.60 %(d) 

Portfolio turnover rate

     7 %      11 %      27 %(f)      14 %      6 % 

 

* From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Computed on an annualized basis for periods less than one year.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Portfolio turnover would have been 6% if excluding the transfer in-kind amounts that occurred during the period.

 

See accompanying notes to financial statements.

 

|  50

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Growth Fund—Class Y  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 12.73     $ 10.53     $ 10.04     $ 8.57     $ 6.90     $ 5.56  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.05       0.10       0.07       0.08       0.05       0.06  

Net realized and unrealized gain (loss)

     0.40       2.16       0.49       1.42       1.69       1.30  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.45       2.26       0.56       1.50       1.74       1.36  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.07 )      (0.06 )      (0.07 )      (0.03 )      (0.07 )      (0.02 ) 

Net realized capital gains

     (0.11 )      —       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.18 )      (0.06 )      (0.07 )      (0.03 )      (0.07 )      (0.02 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 13.00     $ 12.73     $ 10.53     $ 10.04     $ 8.57     $ 6.90  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     3.61 %(b)      21.55 %      5.59 %      17.51 %      25.49 %      24.57 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 4,379,674     $ 3,493,961     $ 1,174,150     $ 1,004,157     $ 541,245     $ 102,688  

Net expenses

     0.67 %(c)      0.66 %      0.67 %      0.69 %      0.77 %      0.82 % 

Gross expenses

     0.67 %(c)      0.66 %      0.67 %      0.69 %      0.77 %      0.82 % 

Net investment income

     0.75 %(c)      0.82 %      0.69 %      0.79 %      0.68 %      0.87 % 

Portfolio turnover rate

     7 %      11 %      27 %(d)      14 %      6 %      16 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Computed on an annualized basis for periods less than one year.
(d) Portfolio turnover would have been 6% if excluding the transfer in-kind amounts that occurred during the period.

 

See accompanying notes to financial statements.

 

51  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Value Fund—Class A  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 20.73     $ 23.98     $ 28.47     $ 25.59     $ 20.86     $ 16.04  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.13       0.34       0.29       0.45 (b)      0.31       0.27  

Net realized and unrealized gain (loss)

     2.04       1.80       (1.58 )      4.00       4.70       4.78  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     2.17       2.14       (1.29 )      4.45       5.01       5.05  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.38 )      (0.28 )      (0.53 )      (0.27 )      (0.28 )      (0.23 ) 

Net realized capital gains

     (0.56 )      (5.11 )      (2.67 )      (1.30 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.94 )      (5.39 )      (3.20 )      (1.57 )      (0.28 )      (0.23 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 21.96     $ 20.73     $ 23.98     $ 28.47     $ 25.59     $ 20.86  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     10.59 %(d)      9.65 %      (5.59 )%      17.97 %(b)      24.35 %      31.71 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 187,166     $ 191,909     $ 124,662     $ 580,092     $ 171,327     $ 129,572  

Net expenses

     0.96 %(e)      0.94 %      0.95 %      0.96 %      0.97 %      0.98 % 

Gross expenses

     0.96 %(e)      0.94 %      0.95 %      0.96 %      0.97 %      0.98 % 

Net investment income

     1.24 %(e)      1.65 %      1.07 %      1.63 %(b)      1.31 %      1.45 % 

Portfolio turnover rate

     18 %      15 %      20 %      28 %      24 %      25 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.29, total return would have been 17.02% and the ratio of net investment income to average net assets would have been 1.05%.
(c) A sales charge for Class A shares is not reflected in total return calculations.
(d) Periods less than one year are not annualized.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  52

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Value Fund—Class C  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 20.43     $ 23.69     $ 28.14     $ 25.33     $ 20.65     $ 15.85  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.05       0.20       0.10       0.31 (b)      0.13       0.13  

Net realized and unrealized gain (loss)

     2.01       1.76       (1.57 )      3.89       4.68       4.74  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     2.06       1.96       (1.47 )      4.20       4.81       4.87  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.20 )      (0.11 )      (0.31 )      (0.09 )      (0.13 )      (0.07 ) 

Net realized capital gains

     (0.56 )      (5.11 )      (2.67 )      (1.30 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.76 )      (5.22 )      (2.98 )      (1.39 )      (0.13 )      (0.07 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 21.73     $ 20.43     $ 23.69     $ 28.14     $ 25.33     $ 20.65  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     10.18 %(d)      8.85 %      (6.30 )%      17.07 %(b)      23.41 %      30.78 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 12,020     $ 11,474     $ 15,071     $ 16,958     $ 15,158     $ 9,104  

Net expenses

     1.71 %(e)      1.69 %      1.70 %      1.71 %      1.72 %      1.73 % 

Gross expenses

     1.71 %(e)      1.69 %      1.70 %      1.71 %      1.72 %      1.73 % 

Net investment income

     0.49 %(e)      0.94 %      0.40 %      1.15 %(b)      0.55 %      0.70 % 

Portfolio turnover rate

     18 %      15 %      20 %      28 %      24 %      25 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.08, total return would have been 16.11% and the ratio of net investment income to average net assets would have been 0.28%.
(c) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(d) Periods less than one year are not annualized.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

53  |

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Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Value Fund—Class N  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Period Ended
September 30,
2013*		  

Net asset value, beginning of the period

   $ 20.80     $ 24.09     $ 28.58     $ 25.65     $ 22.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.17       0.44       0.42       0.63 (b)      0.25  

Net realized and unrealized gain (loss)

     2.04       1.80       (1.61 )      3.94       2.81  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     2.21       2.24       (1.19 )      4.57       3.06  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.45 )      (0.42 )      (0.63 )      (0.34 )      —  

Net realized capital gains

     (0.56 )      (5.11 )      (2.67 )      (1.30 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (1.01 )      (5.53 )      (3.30 )      (1.64 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 22.00     $ 20.80     $ 24.09     $ 28.58     $ 25.65  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     10.81 %(c)      10.08 %      (5.23 )%      18.43 %(b)      13.55 %(c) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 545,156     $ 499,533     $ 554,946     $ 392,811     $ 260,643  

Net expenses

     0.59 %(d)      0.57 %      0.57 %      0.57 %      0.57 %(d) 

Gross expenses

     0.59 %(d)      0.57 %      0.57 %      0.57 %      0.57 %(d) 

Net investment income

     1.62 %(d)      2.11 %      1.55 %      2.28 %(b)      1.50 %(d) 

Portfolio turnover rate

     18 %      15 %      20 %      28 %      24 % 

 

* From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.39, total return would have been 17.48% and the ratio of net investment income to average net assets would have been 1.43%.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  54

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Value Fund—Class Y  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 20.81     $ 24.10     $ 28.58     $ 25.65     $ 20.91     $ 16.08  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.16       0.41       0.37       0.60 (b)      0.36       0.32  

Net realized and unrealized gain (loss)

     2.04       1.79       (1.60 )      3.94       4.72       4.78  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     2.20       2.20       (1.23 )      4.54       5.08       5.10  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.42 )      (0.38 )      (0.58 )      (0.31 )      (0.34 )      (0.27 ) 

Net realized capital gains

     (0.56 )      (5.11 )      (2.67 )      (1.30 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.98 )      (5.49 )      (3.25 )      (1.61 )      (0.34 )      (0.27 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 22.03     $ 20.81     $ 24.10     $ 28.58     $ 25.65     $ 20.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     10.70 %(c)      9.92 %      (5.37 )%      18.27 %(b)      24.65 %      32.05 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 481,865     $ 553,259     $ 681,109     $ 1,303,492     $ 1,513,807     $ 1,240,093  

Net expenses

     0.71 %(d)      0.69 %      0.70 %      0.71 %      0.72 %      0.73 % 

Gross expenses

     0.71 %(d)      0.69 %      0.70 %      0.71 %      0.72 %      0.73 % 

Net investment income

     1.50 %(d)      1.95 %      1.36 %      2.19 %(b)      1.56 %      1.68 % 

Portfolio turnover rate

     18 %      15 %      20 %      28 %      24 %      25 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.35, total return would have been 17.32% and the ratio of net investment income to average net assets would have been 1.28%.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

55  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Value Fund—Admin Class  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 20.37     $ 23.81     $ 28.34     $ 25.51     $ 20.79     $ 16.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.10       0.32       0.26       0.30 (b)      0.24       0.22  

Net realized and unrealized gain (loss)

     2.02       1.69       (1.61 )      4.07       4.71       4.77  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     2.12       2.01       (1.35 )      4.37       4.95       4.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.34 )      (0.51 )      (0.24 )      (0.23 )      (0.20 ) 

Net realized capital gains

     (0.56 )      (5.11 )      (2.67 )      (1.30 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.56 )      (5.45 )      (3.18 )      (1.54 )      (0.23 )      (0.20 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 21.93     $ 20.37     $ 23.81     $ 28.34     $ 25.51     $ 20.79  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     10.46 %(c)      9.11 %      (5.83 )%      17.68 %(b)      24.08 %      31.43 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 854     $ 854     $ 85,387     $ 268     $ 12     $ 2  

Net expenses

     1.21 %(d)      1.19 %      1.23 %      1.21 %      1.19 %      1.24 % 

Gross expenses

     1.21 %(d)      1.19 %      1.23 %      1.21 %      1.19 %      1.24 % 

Net investment income

     0.98 %(d)      1.61 %      1.03 %      1.07 %(b)      1.01 %      1.17 % 

Portfolio turnover rate

     18 %      15 %      20 %      28 %      24 %      25 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.27, total return would have been 16.73% and the ratio of net investment income to average net assets would have been 0.96%.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

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Table of Contents

Notes to Financial Statements

 

March 31, 2017 (Unaudited)

 

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

Loomis Sayles Global Equity and Income Fund (the “Global Equity and Income Fund”)

Loomis Sayles Growth Fund (the “Growth Fund”)

Loomis Sayles Value Fund (the “Value Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N (effective February 1, 2017 for Global Equity and Income Fund) and Class Y shares. In addition, the Value Fund offers Admin Class shares. As of the close of business on January 11, 2016, Class B shares were converted into Class A shares and are no longer offered.

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee.

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

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

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

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

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

 

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Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

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

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of March 31, 2017, securities held by Global Equity and Income Fund were fair valued as follows:

 

Equity
securities1

  

Percentage
of Net
Assets

  

Securities
classified
as fair
valued

  

Percentage
of Net
Assets

  

Securities fair
valued by the
Fund’s
adviser

  

Percentage
of Net
Assets

$267,036,879

   17.3%   $3,031,025   0.2%   $159,909   Less than 0.1%

 

1 

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

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

c.  Short Sales.  A short sale is a transaction in which a Fund sells a security it does not own, usually in anticipation of a decline in the fair market value of the security. To sell a security short, a Fund typically borrows that security from a prime broker and delivers it to the short sale counterparty. Short sale proceeds are held by the prime broker until the short position is closed out and would be reflected as due from broker in the Statements of Assets and Liabilities. When closing out a short position, a Fund will have to purchase the security it originally sold short. The value of short sales is reflected as a liability in the Statements of Assets and Liabilities and is marked-to-market daily.

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Fund has net losses, reduce the amount of income available to be distributed by the Fund.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

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

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

e.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

f.  Due to/from Brokers.  Transactions and positions in certain forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between a Fund and the various broker/dealers. The due to brokers balance in the Statement of Assets and Liabilities for Global Equity and Income Fund represents cash received as collateral for forward foreign currency contracts. The due from brokers balance in the Statement of Assets and Liabilities for Global Equity and Income Fund represents cash pledged as collateral for forward foreign currency contracts. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.

g.  When-Issued and Delayed Delivery Transactions.  The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no when-issued or delayed delivery securities held by the Funds as of March 31, 2017.

h.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2017 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

 

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i.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as defaulted and/or non-income producing securities, foreign currency gains and losses, paydown gains and losses, contingent payment debt instruments, capital gain and return of capital distributions received, convertible bonds, distribution re-designations and premium amortization. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, forward foreign currency contract mark-to-market, wash sales, premium amortization, contingent payment debt instruments, capital gains taxes, trust preferred securities, convertible bonds and return of capital distributions received. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2016 was as follows:

 

     2016 Distributions Paid From:  

Fund

   

Ordinary
Income

     

Long-Term
Capital Gains

     

Total

  

Global Equity and Income Fund

    $ 13,560,829      $ 57,954,573      $ 71,515,402  

Growth Fund

      8,526,987        —        8,526,987  

Value Fund

      22,731,511        303,533,014        326,264,525  

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2016, capital loss carryforwards were as follows:

 

    

Global
Equity and
Income Fund

    

Growth
Fund

     

Value
Fund

  

Capital loss carryforward:

        

No expiration date

    $ (5,511,225 )    $   —      $   —  
  

 

 

    

 

 

     

 

 

  

 

 

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March 31, 2017 (Unaudited)

 

As of March 31, 2017, unrealized appreciation (depreciation) on a tax basis was approximately as follows:

 

    

Global
Equity and
Income Fund

    

Growth

Fund

     

Value
Fund

  

Unrealized appreciation (depreciation)

        

Investments

    $ 231,702,905     $ 698,676,201      $ 305,655,430  

Foreign currency translations

      (5,074,937 )      —        —  
  

 

 

    

 

 

     

 

 

  

Total unrealized appreciation

   $ 226,627,968     $ 698,676,201      $ 305,655,430  
  

 

 

    

 

 

     

 

 

  

Amounts exclude certain adjustments that will be made at the end of the Funds’ fiscal year for tax purposes.

j.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of March 31, 2017, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

k.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, 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 (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) 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 Funds may bear the risk of loss with respect to the investment

 

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March 31, 2017 (Unaudited)

 

of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended March 31, 2017, none of the Funds had loaned securities under this agreement.

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

m.  New Accounting Pronouncement.  In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

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

 

  •  

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

 

  •  

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

 

  •  

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

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

 

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

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2017, at value:

Global Equity and Income Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Common Stocks

           

Belgium

    $ —      $ 24,803,339      $   —     $ 24,803,339  

France

      —        28,036,133        —       28,036,133  

Hong Kong

      —        33,385,194        —       33,385,194  

India

      13,019,903        7,988,238        —       21,008,141  

Japan

      —        13,897,562        —       13,897,562  

Sweden

      —        37,683,462        —       37,683,462  

Switzerland

      —        70,250,019        —       70,250,019  

United Kingdom

      —        50,992,932        —       50,992,932  

United States

      669,899,846        —        1,809 (b)      669,901,655  

All Other Common Stocks(a)

      67,992,039        —        —       67,992,039  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      750,911,788        267,036,879        1,809       1,017,950,476  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

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March 31, 2017 (Unaudited)

 

Global Equity and Income Fund (continued)

Asset Valuation Inputs (continued)

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

United States

    $ 36,155      $ 255,176,139      $ 158,100 (b)    $ 255,370,394  

All Other Non-Convertible Bonds(a)

      —        200,451,719        —       200,451,719  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      36,155        455,627,858        158,100       455,822,113  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds(a)

      —        14,217,741        —       14,217,741  

Municipals(a)

      —        250,367        —       250,367  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      36,155        470,095,966        158,100       470,290,221  
  

 

 

     

 

 

     

 

 

    

 

 

  

Senior Loans(a)

      —        121,553        —       121,553  

Preferred Stocks

           

Convertible Preferred Stocks(a)

      277,200        586,290        —       863,490  

Non-Convertible Preferred Stock

      106,114        —        —       106,114  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      383,314        586,290        —       969,604  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —        40,941,807        —       40,941,807  

Forward Foreign Currency Contracts (unrealized appreciation)

      —        1,107,998        —       1,107,998  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 751,331,257      $ 779,890,493      $ 159,909     $ 1,531,381,659  
  

 

 

     

 

 

     

 

 

    

 

 

  

Liability Valuation Inputs

 

Description

   

Level 1

     

Level 2

    

Level 3

     

Total

  

Forward Foreign Currency Contracts (unrealized depreciation)

    $   —      $ (910,227 )    $   —      $ (910,227 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Fair valued by the Fund’s adviser.

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

 

 

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Growth Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 5,412,861,187      $ —      $   —      $ 5,412,861,187  

Short-Term Investments

      —        79,766,002        —        79,766,002  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 5,412,861,187      $ 79,766,002      $ —      $ 5,492,627,189  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

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

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

Value Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 1,205,498,360      $ —      $   —      $ 1,205,498,360  

Short-Term Investments

      —        7,658,318        —        7,658,318  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 1,205,498,360      $ 7,658,318      $ —      $ 1,213,156,678  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

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

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

 

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The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or March 31, 2017:

Global Equity and Income Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance
as of

September 30,

2016

    

Accrued

Discounts

(Premiums)

    

Realized

Gain

(Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Purchases

  

Common Stocks

          

United States

   $ 1,332     $ —     $ —     $ 477     $ —  

Bonds and Notes

          

Non-Convertible Bonds

          

United States

     118,622       2,306       1,150       43,124       —  

Warrants

     3,776       —       5,273       (3,776 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 123,730     $ 2,306     $ 6,423     $ 39,825     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investments in Securities

  

Sales

    

Transfers

into Level 3

    

Transfers

out of

Level 3

    

Balance
as of

March 31,

2017

    

Change in

Unrealized

Appreciation

(Depreciation)

from

Investments

Still Held at

March 31,

2017

  

Common Stocks

          

United States

   $ —     $ —     $ —     $ 1,809     $ 477  

Bonds and Notes

          

Non-Convertible Bonds

          

United States

     (7,102 )      —       —       158,100       44,194  

Warrants

     (5,273 )      —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (12,375 )    $ —     $ —     $ 159,909     $ 44,671  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

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

 

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Global Equity and Income Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the six months ended March 31, 2017, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The following is a summary of derivative instruments for Global Equity and Income Fund as of March 31, 2017, as reflected within the Statements of Assets and Liabilities

 

Assets

   

Unrealized

appreciation on

forward foreign

currency contracts

  

Over-the-counter asset derivatives

   

Foreign exchange contracts

    $ 1,107,998  

Liabilities

   

Unrealized

depreciation on

forward foreign

currency contracts

  

Over-the-counter liability derivatives

   

Foreign exchange contracts

    $ (910,227 ) 

Transactions in derivative instruments for Global Equity and Income Fund during the six months ended March 31, 2017 as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Foreign currency

transactions1

  

Foreign exchange contracts

    $ (5,191,622 ) 

 

Net Change in Unrealized Appreciation
(Depreciation) on:

   

Foreign currency

translations1

  

Foreign exchange contracts

    $ (119,097 ) 

 

1 Represents realized gain (loss) and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives

 

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March 31, 2017 (Unaudited)

 

may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Global Equity and Income Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2017:

 

Global Equity and Income Fund

   

Forwards

  

Average Notional Amount Outstanding

      8.17 % 

Highest Notional Amount Outstanding

      9.14 % 

Lowest Notional Amount Outstanding

      7.09 % 

Notional Amount Outstanding as of March 31, 2017

      7.55 % 

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.

Global Equity and Income Fund enters into over-the-counter derivatives, including forward foreign currency contracts, pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

 

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March 31, 2017 (Unaudited)

 

As of March 31, 2017, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Global Equity and Income Fund

 

Counterparty

  

Gross Amounts of
Assets

    

Offset
Amount

    

Net
Asset
Balance

    

Collateral
(Received)/
Pledged

    

Net
Amount

  

Credit Suisse International

   $ 756,966     $ (318,247 )    $ 438,719     $ (438,719 )    $ —  

HSBC Bank USA

     30,683       —       30,683       —       30,683  

Morgan Stanley & Co.

     290,854       (48,167 )      242,687       (242,687 )      —  

UBS AG

     29,495       (29,495 )      —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 1,107,998     $ (395,909 )    $ 712,089     $ (681,406 )    $ 30,683  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Counterparty

  

Gross Amounts of
Liabilities

    

Offset
Amount

    

Net
Liability
Balance

    

Collateral
(Received)/
Pledged

    

Net
Amount

  

Bank of America, N.A.

   $ (19,868 )    $ —     $ (19,868 )    $ —     $ (19,868 ) 

Citibank N.A.

     (118,976 )      —       (118,976 )      —       (118,976 ) 

Credit Suisse International

     (318,247 )      318,247       —       —       —  

Morgan Stanley & Co.

     (48,167 )      48,167       —       —       —  

UBS AG

     (404,969 )      29,495       (375,474 )      230,000       (145,474 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ (910,227 )    $ 395,909     $ (514,318 )    $ 230,000     $ (284,318 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2017:

 

Fund

   

Maximum Amount

of Loss - Gross

     

Maximum Amount

of Loss - Net

  

Global Equity and Income Fund

    $ 1,337,998      $ 30,683  

These amounts include cash received as collateral for Global Equity and Income Fund of $1,152,298.

5.  Purchases and Sales of Securities.  For the six months ended March 31, 2017, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

 

Fund

   

Purchases

     

Sales

  

Global Equity and Income Fund

    $ 230,179,692      $ 273,299,124  

Growth Fund

      1,232,950,358        335,478,710  

Value Fund

      220,494,873        364,933,798  

For the six months ended March 31, 2017, purchases and sales of U.S. Government/Agency securities by the Global Equity and Income Fund were $42,620,907 and $47,496,938, respectively.

 

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6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Separate management agreements for each Fund in effect for the six months ended March 31, 2017, provided for fees at the following annual percentage rates of each Fund’s average daily net assets:

 

     Percentage of
Average
Daily Net Assets		  

Fund

   

First

$2 billion

    

Over

$2 billion

  

Global Equity and Income Fund

      0.75 %      0.73 % 

Growth Fund

      0.50 %      0.50 % 

Value Fund

      0.50 %      0.50 % 

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2018, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended March 31, 2017 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

    

Admin
Class

  

Global Equity and Income Fund

      1.25 %      2.00 %      0.95 %      1.00 %      —  

Growth Fund

      1.25 %      2.00 %      0.95 %      1.00 %      —  

Value Fund

      1.10 %      1.85 %      0.80 %      0.85 %      1.35 % 

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

 

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For the six months ended March 31, 2017, the management fees for each Fund were as follows:

 

Fund

   

Gross

Management

Fees

     

Percentage of

Average
Daily Net Assets

  

Global Equity and Income Fund

    $ 5,624,513        0.75 % 

Growth Fund

      12,208,728        0.50 % 

Value Fund

      3,121,131        0.50 % 

No expenses were recovered for any of the Funds during the six months ended March 31, 2017 under the terms of the expense limitation agreements.

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

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

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

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

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

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

Under the Admin Class Plan, Value Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to

 

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the Fund’s Admin Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Admin Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Value Fund may pay NGAM Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For the six months ended March 31, 2017, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution Fees  

Fund

   

Class A

     

Class C

     

Admin
Class

     

Class C

     

Admin
Class

  

Global Equity and Income Fund

    $ 331,206      $ 488,014      $ —      $ 1,464,040      $ —  

Growth Fund

      969,729        150,945        —        452,834        —  

Value Fund

      237,067        14,893        990        44,680        990  

c.  Administrative Fees.  NGAM Advisors, L.P. (“NGAM Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2017, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

Global Equity and Income Fund

    $ 335,301  

Growth Fund

      1,091,886  

Value Fund

      279,109  

 

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

For the six months ended March 31, 2017, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

Global Equity and Income Fund

    $ 641,039  

Growth Fund

      2,218,576  

Value Fund

      406,085  

As of March 31, 2017, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

Global Equity and Income Fund

    $ 16,070  

Growth Fund

      56,210  

Value Fund

      9,491  

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

 

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e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended March 31, 2017, were as follows:

 

Fund

    Commissions  

Global Equity and Income Fund

    $ 63,536  

Growth Fund

      89,831  

Value Fund

      2,508  

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $155,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

 

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g.  Affiliated Ownership.  As of March 31, 2017, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) and Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of the Funds’ net assets:

 

Fund

   

Pension
Plan

    

Retirement
Plan

    

Total Affiliated
Ownership

  

Global Equity and Income Fund

      0.80 %      1.05 %      1.85 % 

Growth Fund

      0.19 %      0.73 %      0.92 % 

Value Fund

      0.85 %      2.16 %      3.01 % 

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

h.  Reimbursement of Transfer Agent Fees and Expenses.  NGAM Advisors has given a binding contractual undertaking to the Growth Fund and Global Equity and Income Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through January 31, 2018 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended March 31, 2017, NGAM Advisors reimbursed the Funds for transfer agency expenses as follows:

 

Fund

    Reimbursement of Transfer Agency Expenses  
    

Class N

  

Global Equity and Income Fund

    $ 16  

Growth Fund

      415  

7.  Class-Specific Transfer Agent Fees and Expenses.  For the six months ended March 31, 2017, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     Transfer Agent Fees and Expenses  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Admin Class

  

Global Equity and Income Fund

    $ 119,309      $ 175,603      $ 16      $ 381,063      $ —  

Growth Fund

      379,427        59,073        415        1,893,383        —  

Value Fund

      114,938        7,228        946        324,275        481  

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

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated,

 

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committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Effective April 13, 2017, the commitment fee is 0.15% per annum based on the average daily unused portion of the line of credit.

For the six months ended March 31, 2017, none of the Funds had borrowings under this agreement.

9.  Brokerage Commission Recapture.  Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments on the Statements of Operations. For the six months ended March 31, 2017, amounts rebated under these agreements were as follows:

 

Fund

   

Rebates

  

Global Equity and Income Fund

    $ 18,348  

Growth Fund

      43,074  

Value Fund

      36,322  

10.  Concentration of Risk.  Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

11.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of March 31, 2017, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on

 

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accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%
Account Holders

     

Percentage of
Ownership

  

Global Equity and Income Fund

      —        —  

Growth Fund

      2        16.78 % 

Value Fund

      3        45.89 % 

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

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

 

    
 Six Months Ended
March 31, 2017
 		    
 Year Ended
September 30, 2016
 

Global Equity and Income Fund

      Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

      1,756,209     $ 33,514,150       6,518,060     $ 118,574,424  

Issued in connection with the reinvestment of distributions

      140,170       2,609,969       577,893       10,419,401  

Redeemed

      (2,901,090 )      (55,005,177 )      (5,833,275 )      (106,983,972 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (1,004,711 )    $ (18,881,058 )      1,262,678     $ 22,009,853  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      834,439     $ 15,667,218       5,118,112     $ 92,412,220  

Issued in connection with the reinvestment of distributions

      55,158       1,018,222       632,650       11,305,458  

Redeemed

      (4,303,153 )      (80,877,190 )      (4,961,383 )      (89,655,498 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (3,413,556 )    $ (64,191,750 )      789,379     $ 14,062,180  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N(a)         

Issued from the sale of shares

      52     $ 1,000       —     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      52     $ 1,000       —     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      8,526,956     $ 162,982,761       20,904,782     $ 383,282,778  

Issued in connection with the reinvestment of distributions

      520,438       9,732,190       1,658,138       30,028,870  

Redeemed

      (6,590,219 )      (125,610,673 )      (11,843,072 )      (215,508,066 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      2,457,175     $ 47,104,278       10,719,848     $ 197,803,582  
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (1,961,040 )    $ (35,967,530 )      12,771,905     $ 233,875,615  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) From commencement of Class operations on February 1, 2017 through March 31, 2017.

 

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12.  Capital Shares (continued).

 

    
 Six Months Ended
March 31, 2017
 		    
 Year Ended
September 30, 2016
 

Growth Fund

      Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

      16,422,294     $ 190,809,392       56,665,269     $ 606,177,061  

Issued in connection with the reinvestment of distributions

      786,554       8,974,583       45,231       484,871  

Redeemed

      (8,369,429 )      (98,407,140 )      (8,031,026 )      (87,510,712 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      8,839,419     $ 101,376,835       48,679,474     $ 519,151,220  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class B(a)         

Issued from the sale of shares

      —     $ —       —     $ —  

Redeemed

      —       —       (2,435 )      (23,311 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      —     $ —       (2,435 )    $ (23,311 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      3,334,915     $ 35,818,597       7,094,313     $ 72,448,712  

Issued in connection with the reinvestment of distributions

      68,092       719,057       —       —  

Redeemed

      (1,632,159 )      (17,662,961 )      (1,673,262 )      (16,737,009 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      1,770,848     $ 18,874,693       5,421,051     $ 55,711,703  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N         

Issued from the sale of shares

      7,132,491     $ 88,003,315       4,862,039     $ 58,891,254  

Issued in connection with the reinvestment of distributions

      138,457       1,680,867       2,429       27,613  

Redeemed

      (712,117 )      (8,938,189 )      (92,271 )      (1,120,395 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      6,558,831     $ 80,745,993       4,772,197     $ 57,798,472  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      142,639,510     $ 1,771,809,756       211,348,667     $ 2,459,280,818  

Issued in connection with the reinvestment of distributions

      2,860,266       34,723,626       485,301       5,527,574  

Redeemed

      (83,039,211 )      (1,033,409,803 )      (48,951,026 )      (574,527,325 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      62,460,565     $ 773,123,579       162,882,942     $ 1,890,281,067  
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      79,629,663     $ 974,121,100       221,753,229     $ 2,522,919,151  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

12.  Capital Shares (continued).

 

    
 Six Months Ended
March 31, 2017
 		    

 Year Ended

September 30, 2016

  

 

Value Fund

      Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

      365,384     $ 7,895,539       5,405,331     $ 108,937,619  

Issued in connection with the reinvestment of distributions

      349,224       7,462,922       1,230,998       24,706,134  

Redeemed

      (1,448,350 )      (31,139,810 )      (2,577,346 )      (52,841,200 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (733,742 )    $ (15,781,349 )      4,058,983     $ 80,802,553  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class B(a)         

Issued from the sale of shares

      —     $ —       —     $ —  

Issued in connection with the reinvestment of distributions

      —       —       370       7,734  

Redeemed

      —       —       (2,824 )      (60,701 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      —     $ —       (2,454 )    $ (52,967 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      98,006     $ 2,095,486       122,952     $ 2,535,303  

Issued in connection with the reinvestment of distributions

      14,244       301,816       113,598       2,260,606  

Redeemed

      (120,678 )      (2,569,636 )      (311,075 )      (6,355,498 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (8,428 )    $ (172,334 )      (74,525 )    $ (1,559,589 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N         

Issued from the sale of shares

      5,015,816     $ 107,853,698       6,545,776     $ 134,293,918  

Issued in connection with the reinvestment of distributions

      1,078,970       23,079,174       6,367,068       127,787,057  

Redeemed

      (5,338,276 )      (113,359,212 )      (11,927,955 )      (242,790,215 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      756,510     $ 17,573,660       984,889     $ 19,290,760  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      3,165,089     $ 68,312,618       6,678,218     $ 137,583,491  

Issued in connection with the reinvestment of distributions

      1,131,793       24,254,316       6,872,653       138,277,784  

Redeemed

      (8,720,246 )      (188,084,543 )      (15,223,159 )      (315,369,325 ) 

Redeemed in-kind (Note 13)

      (292,779 )      (6,300,603 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (4,716,143 )    $ (101,818,212 )      (1,672,288 )    $ (39,508,050 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Admin Class         

Issued from the sale of shares

      5,513     $ 119,096       303,761     $ 6,542,562  

Issued in connection with the reinvestment of distributions

      —       2       972,040       19,256,108  

Redeemed

      (8,493 )      (172,068 )      (4,819,733 )      (96,326,889 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (2,980 )    $ (52,970 )      (3,543,932 )    $ (70,528,219 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (4,704,783 )    $ (100,251,205 )      (249,327 )    $ (11,555,512 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

13.  Redemption In-Kind.  In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in capital. The Value Fund realized a gain of $1,760,315 on redemptions in-kind during the six months ended March 31, 2017. This amount is included in realized gain (loss) on the Statements of Operations.

14.  Subsequent Event.  In order to preserve the investment team’s ability to efficiently manage future cash flow, Loomis Sayles, in consultation with NGAM Distribution, has concluded that it is in the best interest of current shareholders to close Growth Fund to new investors effective at the close of business April 28, 2017. After this date, Growth Fund will be available for purchase only by existing shareholders and clients of registered investment advisers and registered representatives trading through intermediary programs/platforms on which the Fund is already available.

New defined contribution and defined benefit plans will be permitted to invest in the Fund if they have started the process of adding the Fund as an investment option based on discussions with Loomis Sayles prior to April 28, 2017 and the Fund has been added to the plan line-up by December 31, 2017.

 

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Table of Contents

SEMIANNUAL REPORT

March 31, 2017

LOGO

 

Loomis Sayles High Income Fund

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Limited Term Government

and Agency Fund

 

LOGO

 

 

TABLE OF CONTENTS

Portfolio Review  page 1

Portfolio of Investments  page 11

Financial Statements  page  51

Notes to Financial Statements  page 67

Table of Contents

LOOMIS SAYLES HIGH INCOME FUND

 

Managers   Symbols
Matthew J. Eagan, CFA®   Class A    NEFHX
Elaine M. Stokes   Class C    NEHCX
Loomis, Sayles & Company, L.P.   Class N    LSHNX
  Class Y    NEHYX

 

 

Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return.

 

1  |

Table of Contents

Average Annual Total Returns — March 31, 20174

 

                                        Expense Ratios5  
    

6 Months

    

1 Year

    

5 Years

     10 Years    

Life of

Class N

     Gross     Net  
     

Class Y (Inception 2/29/08)1

                

NAV

     4.44 %      16.45 %      6.41 %      6.27 %      — %      0.89 %      0.85 % 
     

Class A (Inception 2/22/84)

                

NAV

     4.29       16.11       6.17       6.04       —       1.14       1.10  

With 4.25% Maximum Sales Charge

     -0.19       11.18       5.23       5.59       —        
     

Class C (Inception 3/2/98)

                

NAV

     3.88       15.20       5.36       5.24       —       1.89       1.85  

With CDSC2

     2.88       14.20       5.36       5.24       —        
     

Class N (Inception 11/30/16)

                

NAV

     —       —       —       —       4.92       0.77       0.77  
   
Comparative Performance                
Bloomberg Barclays U.S. Corporate High-Yield Bond Index3     4.50       16.39       6.82       7.46       1.13                  

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

 

1 Prior to the inception of Class Y shares (2/29/08), performance is that of Class A shares, restated to reflect the higher net expenses of that share class.

 

2 Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

3 The Bloomberg Barclays U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB /BB or below, excluding emerging market debt. The Bloomberg Barclays U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg Barclays U.S. Universal and Global High-Yield Indices. You may not invest directly in an index.

 

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

 

5 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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Table of Contents

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

Managers   Symbols
Christopher T. Harms   Class A    LSDRX
Clifton V. Rowe, CFA®   Class C    LSCDX
Kurt L. Wagner, CFA®, CIC   Class Y    LSDIX

 

 

Investment Goal

The Fund’s investment objective is above-average total return through a combination of current income and capital appreciation.

 

3  |

Table of Contents

Average Annual Total Returns — March 31, 20174,5

 

           
                             Expense Ratios6  
     6 Months    

1 Year

    

5 Years

    

10 Years

     Gross     Net  
     

Class Y (Inception 1/28/98)1

              

NAV

     -1.08 %      1.32 %      2.46 %      4.57 %      0.47 %      0.40 % 
     

Class A (Inception 5/28/10)1

              

NAV

     -1.11       1.16       2.22       4.32       0.72       0.65  

With 4.25% Maximum Sales Charge

     -5.34       -3.13       1.33       3.86        
     

Class C (Inception 8/31/16)1

              

NAV

     -1.55       0.46       1.39       3.37       1.56       1.40  
With CDSC2     -2.53       -0.52       1.39       3.37                  
   

Comparative Performance

              

Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index3

     -1.30       0.42       1.88       3.76                  

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

 

1 Effective August 31, 2016, the Fund’s Retail Class shares and Institutional Class shares were redesignated as Class A shares and Class Y shares, respectively. Accordingly, the returns shown in the table for Class A shares prior to August 31, 2016 are those of Retail Class shares, restated to reflect the sales loads of Class A shares, and the returns in the table for Class Y shares prior to August 31, 2016 are those of Institutional Class shares. Prior to the inception of Retail Class shares (May 28, 2010), performance is that of Institutional Class shares, restated to reflect the higher net expenses and sales loads of Class A shares. Prior to the inception of Class C shares (August 31, 2016), performance is that of Retail Class shares, restated to reflect the higher net expenses and sales loads of Class C shares.

 

2 Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

3 The Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index includes securities in the intermediate maturity range with in the Government and Credit Indices. The Government Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. You may not invest directly in an index.

 

4 The Fund revised its investment strategy on May 28, 2010; performance may have been different had the current investment strategy been in place for all periods shown.

 

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

 

6 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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Table of Contents

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

Managers   Symbols
Christopher T. Harms   Class A    NEFLX
Clifton V. Rowe, CFA®   Class C    NECLX
Kurt L. Wagner, CFA®, CIC   Class N    LGANX
Loomis, Sayles & Company, L.P.   Class Y    NELYX

 

 

Investment Goal

The Fund seeks a high current return consistent with preservation of capital.

 

5  |

Table of Contents

Average Annual Total Returns — March 31, 20173

 

                                        Expense Ratios4  
     6 Months     1 Year    

5 Years

    

10 Years

    

Life of

Class N

     Gross     Net  
     

Class Y (Inception 3/31/94)

                

NAV

     -0.55 %      0.20 %      1.10 %      3.14 %      — %      0.52 %      0.52 % 
     

Class A (Inception 1/3/89)

                

NAV

     -0.60       0.04       0.85       2.89       —       0.77       0.77  

With 2.25% Maximum Sales Charge

     -2.79       -2.25       0.40       2.66       —        
     

Class C (Inception 12/30/94)

                
NAV     -0.97       -0.71       0.10       2.13       —       1.52       1.52  

With CDSC1

     -1.95       -1.69       0.10       2.13       —        
     
Class N (Inception 2/1/17)                
NAV     —       —       —       —       0.30       0.44       0.44  
   

Comparative Performance

                

Bloomberg Barclays U.S. 1-5 Year Government Bond Index2

     -0.75       -0.13       0.90       2.65       0.24                  

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

 

1 Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

2 The Bloomberg Barclays U.S. 1-5 Year Government Bond Index is a subindex of the Bloomberg Barclays U.S. Government Index, which is composed of the Bloomberg Barclays U.S. Treasury and U.S. Agency Indices. The Bloomberg Barclays U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Bloomberg Barclays U.S. Government Index is a component of the Bloomberg Barclays U.S. Government/Credit Index and the Bloomberg Barclays U.S. Aggregate Index.

 

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

 

4 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

|  6

Table of Contents

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

 

7  |

Table of Contents

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2016 through March 31, 2017. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

 

|  8

Table of Contents
LOOMIS SAYLES HIGH INCOME FUND   BEGINNING
ACCOUNT VALUE
10/1/2016		     ENDING
ACCOUNT VALUE
3/31/2017		     EXPENSES PAID
DURING PERIOD
10/1/2016 – 3/31/2017		  
Class A        
Actual     $1,000.00       $1,042.90       $5.60 1 
Hypothetical (5% return before expenses)     $1,000.00       $1,019.45       $5.54 * 
Class C        
Actual     $1,000.00       $1,038.80       $9.40 1 
Hypothetical (5% return before expenses)     $1,000.00       $1,015.71       $9.30 * 
Class N        
Actual     $1,000.00       $1,049.20       $2.51 2 
Hypothetical (5% return before expenses)     $1,000.00       $1,021.24       $3.73 * 
Class Y        
Actual     $1,000.00       $1,044.40       $4.33 1 
Hypothetical (5% return before expenses)     $1,000.00       $1,020.69       $4.28 * 

 

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.10%, 1.85%, 0.74% and 0.85% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

1 

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

 

2 

Class N commenced operations on November 30, 2016. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): of 0.74%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (121), divided by 365 (to reflect the partial period).

 

LOOMIS SAYLES INTERMEDIATE
DURATION BOND FUND		  

BEGINNING
ACCOUNT VALUE
10/1/2016

    

ENDING
ACCOUNT VALUE
3/31/2017

    

EXPENSES PAID
DURING PERIOD*
10/1/2016 – 3/31/2017

  

Class A

        

Actual

     $1,000.00       $988.90       $3.22  

Hypothetical (5% return before expenses)

     $1,000.00       $1,021.69       $3.28  

Class C

        

Actual

     $1,000.00       $984.50       $6.93  

Hypothetical (5% return before expenses)

     $1,000.00       $1,017.95       $7.04  

Class Y

        

Actual

     $1,000.00       $989.20       $1.98  

Hypothetical (5% return before expenses)

     $1,000.00       $1,022.94       $2.02  

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40% and 0.40% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

9  |

Table of Contents
LOOMIS SAYLES LIMITED TERM
GOVERNMENT AND AGENCY FUND		  

BEGINNING
ACCOUNT VALUE
10/1/2016

    

ENDING
ACCOUNT VALUE
3/31/2017

    

EXPENSES PAID
DURING PERIOD
10/1/2016 – 3/31/2017

  

Class A

        

Actual

     $1,000.00       $994.00       $3.98 1 

Hypothetical (5% return before expenses)

     $1,000.00       $1,020.94       $4.03 * 

Class C

        

Actual

     $1,000.00       $990.30       $7.69 1 

Hypothetical (5% return before expenses)

     $1,000.00       $1,017.20       $7.80 * 

Class N

        

Actual

     $1,000.00       $1,003.00       $0.78 2 

Hypothetical (5% return before expenses)

     $1,000.00       $1,022.49       $2.47 * 

Class Y

        

Actual

     $1,000.00       $994.50       $2.73 1 

Hypothetical (5% return before expenses)

     $1,000.00       $1,022.19       $2.77 * 

 

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55%, 0.49% and 0.55% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

1 

Actual expenses for Class A, C and Y are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55% and 0.55%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

2 

Class N commenced operations on February 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): of 0.49%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (58), divided by 365 (to reflect the partial period).

 

|  10

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund

 

Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 86.7% of Net Assets  
  Non-Convertible Bonds — 81.8%  
   ABS Home Equity — 1.7%   
$ 300,000      American Homes 4 Rent, Series 2014-SFR1, Class E, 3.443%, 6/17/2031, 144A(b)    $ 299,999  
  112,338      Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033      114,481  
  122,326      Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035      125,255  
  89,880      Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034      89,344  
  193,549      Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 1.252%, 4/25/2035(b)      159,949  
  30,123      Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A,
3.184%, 11/20/2035(b)(c)		      26,982  
  234,591      DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1.308%, 9/19/2045(b)      174,932  
  250,000      Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 5.232%, 11/25/2023(b)      271,071  
  305,000      Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3,
4.282%, 10/25/2027(b)		      327,006  
  173,355      GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.574%, 7/19/2035(b)      167,457  
  68,954      JPMorgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 3.198%, 3/25/2036(b)      49,841  
  230,711      Lehman Mortgage Trust, Series 2005-3, Class 1A6, 1.482%, 1/25/2036(b)      145,167  
  293,057      MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 3.447%, 3/25/2035(b)      248,962  
  337,299      MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 3.126%, 3/25/2035(b)      260,692  
  63,130      New York Mortgage Trust, Series 2006-1, Class 2A2, 3.467%, 5/25/2036(b)      57,424  
  220,000      VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(b)      216,605  
  292,548      VOLT XXVII LLC, Series 2014-NPL7, Class A2, 4.750%, 8/27/2057, 144A(b)      292,222  
     

 

 

  
        3,027,389  
     

 

 

  
   ABS Other — 0.1%   
  263,869      AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)      258,592  
     

 

 

  
   Aerospace & Defense — 2.1%   
  210,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      215,880  
  95,000      Engility Corp., 8.875%, 9/01/2024, 144A      100,581  
  770,000      KLX, Inc., 5.875%, 12/01/2022, 144A      794,063  
  1,500,000      Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A      1,582,500  
  900,000      Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A      1,021,500  
     

 

 

  
        3,714,524  
     

 

 

  

 

See accompanying notes to financial statements.

 

11  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Airlines — 0.1%   
$ 70,947      Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A    $ 72,014  
  95,206      Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A      96,649  
     

 

 

  
        168,663  
     

 

 

  
   Automotive — 0.9%   
  195,000      Allison Transmission, Inc., 5.000%, 10/01/2024, 144A      196,950  
  285,000      Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A      287,494  
  115,000      Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026      117,875  
  240,000      Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023      250,200  
  700,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A      722,750  
     

 

 

  
        1,575,269  
     

 

 

  
   Banking — 4.4%   
  1,985,000      Ally Financial, Inc., 4.625%, 3/30/2025      1,975,075  
  485,000      Ally Financial, Inc., 5.750%, 11/20/2025      496,519  
  6,605,000      Banco Hipotecario S.A., 22.333%, 1/12/2020, 144A, (ARS)(b)      427,602  
  7,075,000      Banco Supervielle S.A., 24.438%, 8/09/2020, 144A, (ARS)(b)      476,766  
  1,195,000      Commerzbank AG, 8.125%, 9/19/2023, 144A      1,399,488  
  470,000      Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A      442,144  
  895,000      Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A      867,340  
  300,000      Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024      303,362  
  335,000      Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023      354,096  
  1,025,000      Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(d)      1,085,396  
     

 

 

  
        7,827,788  
     

 

 

  
   Brokerage — 0.3%   
  535,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A      510,925  
     

 

 

  
   Building Materials — 1.1%   
  450,000      Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A      424,687  
  230,000      Cemex SAB de CV, 5.700%, 1/11/2025, 144A      238,625  
  350,000      Cemex SAB de CV, 7.750%, 4/16/2026, 144A      393,824  
  50,000      Masco Corp., 6.500%, 8/15/2032      59,011  
  345,000      Masco Corp., 7.750%, 8/01/2029      443,585  
  245,000      NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A      265,825  
  180,000      U.S. Concrete, Inc., 6.375%, 6/01/2024      186,300  
     

 

 

  
        2,011,857  
     

 

 

  
   Cable Satellite — 6.5%   
  795,000      Altice Financing S.A., 6.625%, 2/15/2023, 144A      827,595  
  170,000      Cablevision S.A., 6.500%, 6/15/2021, 144A      178,925  
  475,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023      488,063  
  625,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A      643,750  
  430,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022      446,125  
  15,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024      15,600  
  865,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A      908,250  
  760,000      CSC Holdings LLC, 5.250%, 6/01/2024      757,150  

 

See accompanying notes to financial statements.

 

|  12

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Cable Satellite — continued   
$ 75,000      CSC Holdings LLC, 6.750%, 11/15/2021    $ 81,328  
  220,000      CSC Holdings LLC, 10.125%, 1/15/2023, 144A      255,200  
  200,000      CSC Holdings LLC, 10.875%, 10/15/2025, 144A      240,500  
  895,000      DISH DBS Corp., 5.125%, 5/01/2020      933,037  
  1,620,000      DISH DBS Corp., 5.875%, 11/15/2024      1,701,405  
  295,000      DISH DBS Corp., 7.750%, 7/01/2026      342,938  
  1,485,000      Unitymedia GmbH, 6.125%, 1/15/2025, 144A      1,562,962  
  265,000      Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A      274,606  
  485,000      Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A      505,613  
  375,000      Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A      382,500  
  141,963      Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(e)      142,495  
  840,000      Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A      839,916  
     

 

 

  
        11,527,958  
     

 

 

  
   Chemicals — 0.8%   
  1,510,000      Hercules LLC, 6.500%, 6/30/2029(f)(g)      1,451,487  
     

 

 

  
   Construction Machinery — 0.5%   
  15,000      United Rentals North America, Inc., 5.500%, 5/15/2027      15,150  
  800,000      United Rentals North America, Inc., 5.750%, 11/15/2024      834,000  
     

 

 

  
        849,150  
     

 

 

  
   Consumer Cyclical Services — 0.7%   
  1,095,000      ServiceMaster Co. LLC (The), 7.450%, 8/15/2027      1,196,288  
     

 

 

  
   Consumer Products — 0.2%   
  290,000      Avon International Operations, Inc., 7.875%, 8/15/2022, 144A      305,950  
     

 

 

  
   Electric — 1.4%   
  520,000      AES Corp. (The), 5.500%, 4/15/2025      527,800  
  150,000      AES Corp. (The), 6.000%, 5/15/2026      155,250  
  1,502,000      Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(d)      1,727,300  
  7,224      Red Oak Power LLC, Series A, 8.540%, 11/30/2019      7,224  
     

 

 

  
        2,417,574  
     

 

 

  
   Environmental — 0.3%   
  335,000      GFL Environmental, Inc., 7.875%, 4/01/2020, 144A      347,562  
  95,000      GFL Environmental, Inc., 9.875%, 2/01/2021, 144A      102,838  
     

 

 

  
        450,400  
     

 

 

  
   Finance Companies — 4.2%   
  740,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 5/15/2021      775,709  
  1,055,000      Aircastle Ltd., 4.125%, 5/01/2024      1,056,319  
  515,000      Aircastle Ltd., 5.500%, 2/15/2022      552,337  
  600,000      iStar, Inc., 4.000%, 11/01/2017      601,500  
  505,000      iStar, Inc., 5.000%, 7/01/2019      508,156  
  565,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A      570,650  

 

See accompanying notes to financial statements.

 

13  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Finance Companies — continued   
$ 585,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017    $ 585,000  
  540,000      Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A      550,800  
  710,000      Quicken Loans, Inc., 5.750%, 5/01/2025, 144A      697,575  
  1,110,000      Springleaf Finance Corp., 7.750%, 10/01/2021      1,182,150  
  405,000      Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A      410,063  
     

 

 

  
        7,490,259  
     

 

 

  
   Financial Other — 0.9%   
  565,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp, 6.000%, 8/01/2020      584,775  
  180,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022      182,700  
  804,000      Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A      819,075  
     

 

 

  
        1,586,550  
     

 

 

  
   Food & Beverage — 1.0%   
  200,000      BRF GmbH, 4.350%, 9/29/2026, 144A      182,742  
  840,000      Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A      872,550  
  330,000      JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A      333,300  
  20,000      JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A      20,550  
  385,000      Marfrig Holdings Europe BV, 8.000%, 6/08/2023, 144A      401,362  
     

 

 

  
        1,810,504  
     

 

 

  
   Gaming — 0.8%   
  175,000      Boyd Gaming Corp., 6.375%, 4/01/2026      187,250  
  375,000      GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026      387,188  
  725,000      MGM Resorts International, 6.000%, 3/15/2023      783,000  
     

 

 

  
        1,357,438  
     

 

 

  
   Government Owned – No Guarantee — 2.0%   
  600,000      Petrobras Global Finance BV, 5.375%, 1/27/2021      615,900  
  320,000      Petrobras Global Finance BV, 6.250%, 3/17/2024      328,160  
  50,000      Petrobras Global Finance BV, 6.750%, 1/27/2041      46,800  
  160,000      Petrobras Global Finance BV, 6.875%, 1/20/2040      152,320  
  195,000      Petrobras Global Finance BV, 7.375%, 1/17/2027      206,456  
  300,000      Petrobras Global Finance BV, 8.375%, 5/23/2021      338,850  
  160,521(††)      Petroleos Mexicanos, 7.190%, 9/12/2024, 144A, (MXN)(d)      758,354  
  129,850(††)      Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)      603,300  
  510,000      YPF S.A., 23.854%, 7/07/2020, 144A(b)      541,397  
     

 

 

  
        3,591,537  
     

 

 

  
   Health Insurance — 0.2%   
  365,000      Centene Corp., 6.125%, 2/15/2024      391,919  
     

 

 

  
   Healthcare — 4.3%   
  235,000      CHS/Community Health Systems, Inc., 6.250%, 3/31/2023      239,113  
  960,000      CHS/Community Health Systems, Inc., 6.875%, 2/01/2022      825,600  
  360,000      Envision Healthcare Corp., 5.625%, 7/15/2022      369,000  
  25,000      HCA, Inc., 4.500%, 2/15/2027      25,000  
  20,000      HCA, Inc., 5.250%, 4/15/2025      21,250  

 

See accompanying notes to financial statements.

 

|  14

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Healthcare — continued   
$ 5,000      HCA, Inc., 5.250%, 6/15/2026    $ 5,263  
  260,000      HCA, Inc., 5.375%, 2/01/2025      271,050  
  170,000      HCA, Inc., 7.050%, 12/01/2027      186,788  
  655,000      HCA, Inc., 7.500%, 12/15/2023      748,337  
  145,000      HCA, Inc., 7.500%, 11/06/2033      158,594  
  590,000      HCA, Inc., 7.690%, 6/15/2025      671,862  
  480,000      HCA, Inc., 8.360%, 4/15/2024      565,800  
  820,000      HCA, Inc., MTN, 7.580%, 9/15/2025      921,475  
  515,000      HCA, Inc., MTN, 7.750%, 7/15/2036      567,144  
  65,000      MEDNAX, Inc., 5.250%, 12/01/2023, 144A      66,300  
  200,000      Quintiles IMS, Inc., 5.000%, 10/15/2026, 144A      200,750  
  310,000      Tenet Healthcare Corp., 5.000%, 3/01/2019      310,474  
  675,000      Tenet Healthcare Corp., 6.750%, 6/15/2023      663,187  
  705,000      Tenet Healthcare Corp., 6.875%, 11/15/2031      604,537  
  125,000      Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A      135,000  
     

 

 

  
        7,556,524  
     

 

 

  
   Home Construction — 1.3%   
  1,200,000      Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(c)(f)(h)      12  
  750,000      K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(f)(g)      605,625  
  800,000      Lennar Corp., 4.750%, 5/30/2025      802,000  
  915,000      TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019      935,587  
     

 

 

  
        2,343,224  
     

 

 

  
   Independent Energy — 8.8%   
  1,205,000      Antero Resources Corp., 5.125%, 12/01/2022      1,220,816  
  110,000      Antero Resources Corp., 5.375%, 11/01/2021      112,980  
  310,000      Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A      320,850  
  685,000      Baytex Energy Corp., 5.625%, 6/01/2024, 144A      602,800  
  370,000      Bonanza Creek Energy, Inc., 5.750%, 2/01/2023(h)      296,000  
  650,000      Bonanza Creek Energy, Inc., 6.750%, 4/15/2021(h)      523,250  
  90,000      California Resources Corp., 5.500%, 9/15/2021      66,600  
  41,000      California Resources Corp., 6.000%, 11/15/2024      28,700  
  460,000      California Resources Corp., 8.000%, 12/15/2022, 144A      373,750  
  140,000      Callon Petroleum Co., 6.125%, 10/01/2024, 144A      145,600  
  153,000      Chesapeake Energy Corp., 4.875%, 4/15/2022      137,700  
  8,000      Chesapeake Energy Corp., 5.750%, 3/15/2023      7,280  
  13,000      Chesapeake Energy Corp., 6.125%, 2/15/2021      12,610  
  34,000      Chesapeake Energy Corp., 6.625%, 8/15/2020      33,958  
  70,000      Concho Resources, Inc., 5.500%, 10/01/2022      72,362  
  125,000      Concho Resources, Inc., 5.500%, 4/01/2023      129,375  
  795,000      CONSOL Energy, Inc., 5.875%, 4/15/2022      786,056  
  645,000      Continental Resources, Inc., 3.800%, 6/01/2024      599,850  
  235,000      Continental Resources, Inc., 4.500%, 4/15/2023      228,683  
  470,000      Continental Resources, Inc., 5.000%, 9/15/2022      474,700  
  690,000      Eclipse Resources Corp., 8.875%, 7/15/2023      703,800  
  835,000      Halcon Resources Corp., 6.750%, 2/15/2025, 144A      819,970  

 

See accompanying notes to financial statements.

 

15  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Independent Energy — continued   
$ 145,000      Matador Resources Co., 6.875%, 4/15/2023    $ 151,525  
  410,000      MEG Energy Corp., 6.375%, 1/30/2023, 144A      366,437  
  300,000      MEG Energy Corp., 6.500%, 1/15/2025, 144A      300,000  
  585,000      MEG Energy Corp., 7.000%, 3/31/2024, 144A      523,575  
  185,000      Newfield Exploration Co., 5.625%, 7/01/2024      194,944  
  625,000      Oasis Petroleum, Inc., 6.875%, 3/15/2022      640,625  
  100,000      PDC Energy, Inc., 6.125%, 9/15/2024, 144A      102,500  
  405,000      QEP Resources, Inc., 5.250%, 5/01/2023      397,058  
  520,000      QEP Resources, Inc., 5.375%, 10/01/2022      512,200  
  1,150,000      Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(i)      592,250  
  1,025,000      Rice Energy, Inc., 6.250%, 5/01/2022      1,055,750  
  565,000      RSP Permian, Inc., 6.625%, 10/01/2022      594,662  
  330,000      Sanchez Energy Corp., 6.125%, 1/15/2023      306,075  
  920,000      SM Energy Co., 5.000%, 1/15/2024      869,400  
  35,000      SM Energy Co., 6.125%, 11/15/2022      35,263  
  60,000      SM Energy Co., 6.500%, 1/01/2023      60,900  
  190,000      SM Energy Co., 6.750%, 9/15/2026      191,544  
  395,000      Southwestern Energy Co., 6.700%, 1/23/2025      389,075  
  55,000      Whiting Petroleum Corp., 5.000%, 3/15/2019      54,862  
  455,000      Whiting Petroleum Corp., 5.750%, 3/15/2021      450,450  
     

 

 

  
        15,486,785  
     

 

 

  
   Industrial Other — 0.2%   
  330,000      Broadspectrum Ltd., 8.375%, 5/15/2020, 144A      344,850  
     

 

 

  
   Life Insurance — 0.2%   
  340,000      CNO Financial Group, Inc., 5.250%, 5/30/2025      348,714  
     

 

 

  
   Local Authorities — 0.8%   
  840,000      Provincia de Buenos Aires, 5.750%, 6/15/2019, 144A      867,888  
  325,000      Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A      325,270  
  270,000      Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A      273,429  
     

 

 

  
        1,466,587  
     

 

 

  
   Lodging — 0.9%   
  150,000      Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024, 144A      148,125  
  755,000      Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.625%, 4/01/2025, 144A      764,211  
  705,000      Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027, 144A      712,050  
     

 

 

  
        1,624,386  
     

 

 

  
   Media Entertainment — 1.4%   
  470,000      Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020      473,525  
  1,155,000      Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022      1,201,200  
  795,000      Viacom, Inc., 4.375%, 3/15/2043      689,084  
  50,000      Viacom, Inc., 4.850%, 12/15/2034      48,373  
  105,000      Viacom, Inc., (fixed rate to 2/28/2027, variable rate thereafter), 6.250%, 2/28/2057      105,840  
     

 

 

  
        2,518,022  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  16

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Metals & Mining — 2.6%   
$ 1,395,000      ArcelorMittal, 7.500%, 3/01/2041    $ 1,561,284  
  180,000      Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)      187,943  
  460,000      Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(f)(g)(h)      51,750  
  145,000      First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A      149,350  
  270,000      First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A      278,438  
  1,375,000      Freeport-McMoRan, Inc., 4.550%, 11/14/2024      1,280,469  
  85,000      Freeport-McMoRan, Inc., 5.450%, 3/15/2043      71,931  
  245,000      Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A      255,268  
  440,000      Lundin Mining Corp., 7.500%, 11/01/2020, 144A      465,300  
  270,000      Vale Overseas Ltd., 6.250%, 8/10/2026      293,287  
     

 

 

  
        4,595,020  
     

 

 

  
   Midstream — 4.5%   
  250,000      Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024      257,164  
  195,000      AmeriGas Partners LP/AmeriGas Finance Corp., 5.500%, 5/20/2025      193,538  
  66,000      Gibson Energy, Inc., 6.750%, 7/15/2021, 144A      68,970  
  75,000      Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042      68,013  
  30,000      Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043      28,476  
  570,000      NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019      572,137  
  365,000      NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021      371,388  
  385,000      Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022      380,430  
  985,000      Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021      1,061,298  
  480,000      Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025      520,389  
  425,000      Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022      471,656  
  935,000      Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022      935,000  
  973,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019      988,811  
  95,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023      92,863  
  640,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023      654,400  
  300,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022      309,375  
  355,000      Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019      374,525  
  360,000      Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022      380,250  
  180,000      Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023      193,500  
     

 

 

  
        7,922,183  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 1.8%   
  935,000      BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 9.142%, 5/15/2020, 144A(b)(f)(g)      910,014  
  480,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A      411,649  
  1,690,000      GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.949%, 8/10/2045(b)      1,691,309  
  118,555      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)      118,457  
     

 

 

  
        3,131,429  
     

 

 

  

 

See accompanying notes to financial statements.

 

17  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Oil Field Services — 0.9%   
$ 430,000      Ensco PLC, 5.750%, 10/01/2044    $ 324,650  
  160,000      Noble Holding International Ltd., 5.250%, 3/15/2042      107,200  
  160,000      Noble Holding International Ltd., 6.050%, 3/01/2041      115,200  
  420,000      Noble Holding International Ltd., 7.750%, 1/15/2024      403,200  
  435,000      Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(f)(g)(h)      78,300  
  905,000      Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(f)(g)(h)      162,900  
  35,000      Parker Drilling Co., 6.750%, 7/15/2022      31,019  
  100,000      Rowan Cos., Inc., 5.850%, 1/15/2044      76,250  
  280,000      Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A      289,100  
     

 

 

  
        1,587,819  
     

 

 

  
   Packaging — 1.4%   
  200,000      ARD Finance S.A., PIK, 7.125%, 9/15/2023, 144A(e)      206,000  
  395,000      Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A      397,963  
  200,000      Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A      214,000  
  755,000      Sealed Air Corp., 6.875%, 7/15/2033, 144A      821,062  
  775,000      Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A      794,855  
     

 

 

  
        2,433,880  
     

 

 

  
   Pharmaceuticals — 2.3%   
  1,540,000      Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A      1,393,700  
  530,000      Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A      451,825  
  335,000      Valeant Pharmaceuticals International, Inc., 5.375%, 3/15/2020, 144A      299,406  
  265,000      Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A      204,050  
  85,000      Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A      68,425  
  2,015,000      Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A      1,564,144  
     

 

 

  
        3,981,550  
     

 

 

  
   Property & Casualty Insurance — 0.5%   
  786,000      HUB International Ltd., 7.875%, 10/01/2021, 144A      819,405  
     

 

 

  
   Refining — 0.2%   
  230,000      Ultrapar International S.A., 5.250%, 10/06/2026, 144A      228,850  
  140,000      Western Refining, Inc., 6.250%, 4/01/2021      144,725  
     

 

 

  
        373,575  
     

 

 

  
   REITs – Mortgage — 0.1%   
  105,000      Starwood Property Trust, Inc., 5.000%, 12/15/2021, 144A      108,938  
     

 

 

  
   Retailers — 1.1%   
  40,000      Dillard’s, Inc., 7.000%, 12/01/2028      45,264  
  435,000      Dillard’s, Inc., 7.750%, 7/15/2026      504,117  
  205,000      Dillard’s, Inc., 7.750%, 5/15/2027(d)      232,458  
  1,035,000      GameStop Corp., 5.500%, 10/01/2019, 144A      1,053,112  
  520,000      Nine West Holdings, Inc., 6.125%, 11/15/2034      109,850  
     

 

 

  
        1,944,801  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  18

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Sovereigns — 0.2%   
$ 285,000      Republic of Argentina, 5.625%, 1/26/2022, 144A    $ 291,840  
     

 

 

  
   Supermarkets — 0.7%   
  335,000      Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC, 5.750%, 3/15/2025, 144A      324,950  
  935,000      New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028      836,825  
     

 

 

  
        1,161,775  
     

 

 

  
   Supranational — 2.2%   
  30,700,000      European Bank for Reconstruction & Development, GMTN, 6.400%, 3/04/2019, (INR)      478,444  
  5,420,000,000      International Bank for Reconstruction & Development, 4.500%, 8/03/2017, (COP)(d)      1,871,148  
  100,890,000      International Finance Corp., 7.800%, 6/03/2019, (INR)(d)      1,608,900  
     

 

 

  
        3,958,492  
     

 

 

  
   Technology — 6.9%   
  1,545,000      Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029      1,699,500  
  1,930,000      Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028      2,108,525  
  571,000      Blackboard, Inc., 9.750%, 10/15/2021, 144A      571,000  
  170,000      Camelot Finance S.A., 7.875%, 10/15/2024, 144A      178,925  
  60,000      CommScope Technologies LLC, 6.000%, 6/15/2025, 144A      62,850  
  190,000      Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021, 144A      199,753  
  1,440,000      Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A      1,569,861  
  580,000      Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.125%, 6/15/2024, 144A      641,178  
  480,000      Equinix, Inc., 5.375%, 1/01/2022      505,200  
  430,000      First Data Corp., 5.000%, 1/15/2024, 144A      437,525  
  800,000      First Data Corp., 7.000%, 12/01/2023, 144A      858,000  
  55,000      Micron Technology, Inc., 5.250%, 1/15/2024, 144A      56,495  
  360,000      Micron Technology, Inc., 5.500%, 2/01/2025      373,500  
  210,000      Microsemi Corp., 9.125%, 4/15/2023, 144A      241,238  
  515,000      Open Text Corp., 5.625%, 1/15/2023, 144A      535,600  
  190,000      Open Text Corp., 5.875%, 6/01/2026, 144A      199,025  
  275,000      Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A      281,187  
  405,000      Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A      414,112  
  235,000      Western Digital Corp., 7.375%, 4/01/2023, 144A      257,619  
  755,000      Western Digital Corp., 10.500%, 4/01/2024      889,956  
     

 

 

  
        12,081,049  
     

 

 

  
   Transportation Services — 0.4%   
  275,000      APL Ltd., 8.000%, 1/15/2024(f)(g)      201,094  
  420,000      Rumo Luxembourg S.a.r.l., 7.375%, 2/09/2024, 144A      432,075  
     

 

 

  
        633,169  
     

 

 

  
   Treasuries — 2.0%   
  55,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(i)      39,017  

 

See accompanying notes to financial statements.

 

19  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Treasuries — continued   
  55,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(i)    $ 38,764  
  20,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(i)      13,938  
  107,066(††)      Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)(d)      559,890  
  263,668(††)      Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(d)      1,289,044  
  131,500(††)      Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d)      693,558  
  151,030(††)      Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)(d)      948,955  
     

 

 

  
        3,583,166  
     

 

 

  
   Wireless — 3.3%   
  100,000      Altice Luxembourg S.A., 7.250%, 5/15/2022, 144A, (EUR)      112,876  
  355,000      Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A      375,191  
  785,000      Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A      833,081  
  6,000,000      America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)      298,682  
  6,100,000      America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)      294,049  
  605,000      SFR Group S.A., 7.375%, 5/01/2026, 144A      623,150  
  786,000      Sprint Capital Corp., 6.875%, 11/15/2028      830,212  
  1,420,000      Sprint Corp., 7.250%, 9/15/2021      1,532,890  
  605,000      T-Mobile USA, Inc., 6.000%, 4/15/2024      645,081  
  200,000      Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A      203,250  
     

 

 

  
        5,748,462  
     

 

 

  
   Wirelines — 2.6%   
  705,000      CenturyLink, Inc., 7.650%, 3/15/2042      619,519  
  30,000      CenturyLink, Inc., Series T, 5.800%, 3/15/2022      30,937  
  130,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      128,050  
  60,000,000      Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)      15,553  
  405,000      Frontier Communications Corp., 9.000%, 8/15/2031      348,300  
  340,000      Frontier Communications Corp., 10.500%, 9/15/2022      344,250  
  15,000      Frontier Communications Corp., 11.000%, 9/15/2025      14,588  
  705,000      Level 3 Communications, Inc., 5.750%, 12/01/2022      729,675  
  1,545,000      Level 3 Financing, Inc., 5.250%, 3/15/2026      1,552,725  
  345,000      Telecom Italia Capital S.A., 6.375%, 11/15/2033      348,664  
  35,000      Telecom Italia Capital S.A., 7.721%, 6/04/2038      38,762  
  450,000      Telecom Italia SpA, 5.303%, 5/30/2024, 144A      455,062  
     

 

 

  
        4,626,085  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $141,230,599)		      144,193,751  
     

 

 

  
     
  Convertible Bonds — 4.9%  
   Cable Satellite — 0.2%   
  415,000      Dish Network Corp., 2.375%, 3/15/2024, 144A      424,597  
     

 

 

  
   Consumer Cyclical Services — 0.3%   
  595,000      Macquarie Infrastructure Corp., 2.000%, 10/01/2023      583,100  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  20

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Diversified Manufacturing — 0.1%   
$ 260,000      Aerojet Rocketdyne Holdings, Inc., 2.250%, 12/15/2023, 144A    $ 280,313  
     

 

 

  
   Diversified Operations — 0.1%   
  160,000      RWT Holdings, Inc., 5.625%, 11/15/2019      164,200  
     

 

 

  
   Healthcare — 0.2%   
  340,000      Evolent Health, Inc., 2.000%, 12/01/2021, 144A      400,987  
     

 

 

  
   Leisure — 0.1%   
  155,000      Rovi Corp., 0.500%, 3/01/2020      150,522  
     

 

 

  
   Media Entertainment — 0.2%   
  265,000      Liberty Media Corp., 2.250%, 9/30/2046, 144A      285,537  
     

 

 

  
   Midstream — 0.5%   
  855,000      Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A      885,459  
     

 

 

  
   Oil Field Services — 0.4%   
  255,000      Hercules Capital, Inc., 4.375%, 2/01/2022, 144A      261,056  
  415,000      Nabors Industries, Inc., 0.750%, 1/15/2024, 144A      387,766  
     

 

 

  
        648,822  
     

 

 

  
   Pharmaceuticals — 1.4%   
  485,000      BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020      572,603  
  465,000      Horizon Pharma Investment Ltd., 2.500%, 3/15/2022      423,150  
  530,000      Impax Laboratories, Inc., 2.000%, 6/15/2022      427,644  
  450,000      Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023      419,344  
  520,000      Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021      500,825  
  100,000      Pacira Pharmaceuticals, Inc., 2.375%, 4/01/2022, 144A      103,562  
     

 

 

  
        2,447,128  
     

 

 

  
   Technology — 1.4%   
  725,000      Finisar Corp., 0.500%, 12/15/2036, 144A      706,875  
  525,000      MagnaChip Semiconductor S.A., 5.000%, 3/01/2021, 144A      713,344  
  1,035,000      Nuance Communications, Inc., 1.000%, 12/15/2035      984,575  
     

 

 

  
        2,404,794  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $8,417,739)		      8,675,459  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $149,648,338)		      152,869,210  
     

 

 

  
     
  Senior Loans — 1.7%  
   Consumer Cyclical Services — 0.2%   
  455,844      SourceHov LLC, 2014 1st Lien Term Loan, 7.897%, 10/31/2019(b)      440,746  
     

 

 

  
   Independent Energy — 0.3%   
  531,086      Chesapeake Energy Corp., Term Loan, 8.553%, 8/23/2021(b)      564,943  
     

 

 

  
   Media Entertainment — 0.0%   
  13,012      Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(b)      13,207  
     

 

 

  

 

See accompanying notes to financial statements.

 

21  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Other Utility — 0.2%   
$ 238,806      PowerTeam Services LLC, 1st Lien Term Loan, 4.397%, 5/06/2020(b)    $ 238,658  
  95,000      PowerTeam Services LLC, 2nd Lien Term Loan, 8.397%, 11/06/2020(b)      94,525  
     

 

 

  
        333,183  
     

 

 

  
   Supermarkets — 0.3%   
  465,960      Albertsons LLC, USD 2016 Term Loan B4, 3.982%, 8/22/2021(b)      467,866  
     

 

 

  
   Wirelines — 0.7%   
  1,200,000      Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)      1,204,800  
     

 

 

  
   Total Senior Loans
(Identified Cost $3,007,804)		      3,024,745  
     

 

 

  
     
Shares                
  Preferred Stocks — 1.7%  
  Convertible Preferred Stocks — 1.4%  
   Food & Beverage — 0.3%   
  4,834      Bunge Ltd., 4.875%      518,447  
     

 

 

  
   Midstream — 0.4%   
  988      Chesapeake Energy Corp., 5.750%      639,730  
  20      Chesapeake Energy Corp., 5.750%, 144A      12,950  
  137      Chesapeake Energy Corp., 5.750%      88,707  
     

 

 

  
        741,387  
     

 

 

  
   Pharmaceuticals — 0.7%   
  974      Allergan PLC, Series A, 5.500%      827,686  
  644      Teva Pharmaceutical Industries Ltd., 7.000%      370,493  
     

 

 

  
        1,198,179  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $2,735,389)		      2,458,013  
     

 

 

  
     
  Non-Convertible Preferred Stocks — 0.3%  
   Finance Companies — 0.3%   
  12,925      iStar, Inc., Series E, 7.875%      314,207  
  7,500      iStar, Inc., Series F, 7.800%      183,975  
  550      iStar, Inc., Series G, 7.650%      13,365  
     

 

 

  
        511,547  
     

 

 

  
   Total Non-Convertible Preferred Stocks
(Identified Cost $417,822)		      511,547  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $3,153,211)		      2,969,560  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Shares

      Description    Value (†)  
  Other Investments — 1.0%  
   Aircraft ABS — 1.0%   
  8,415      Aergen LLC(c)(f)    $ 847,548  
  100      ECAF I Blocker Ltd.(c)(f)      988,352  
     

 

 

  
   Total Aircraft ABS
(Identified Cost $1,841,500)		      1,835,900  
     

 

 

  
     
  Common Stocks — 1.4%  
   Energy Equipment & Services — 0.0%   
  4,625      Hercules Offshore, Inc.(f)(g)(j)      —  
     

 

 

  
   Internet Software & Services — 0.0%   
  4,113      Dex Media, Inc.(c)(f)(j)      11,105  
     

 

 

  
   Oil, Gas & Consumable Fuels — 1.2%   
  12,992      Halcon Resources Corp.(j)      100,038  
  14,882      Kinder Morgan, Inc.      323,535  
  8,265      Pacific Exploration and Production Corp.(j)      264,137  
  17,250      Rex Energy Corp.(j)      8,099  
  162,248      Whiting Petroleum Corp.(j)      1,534,866  
     

 

 

  
        2,230,675  
     

 

 

  
   Pharmaceuticals — 0.2%   
  5,539      Bristol-Myers Squibb Co.      301,211  
     

 

 

  
   Total Common Stocks
(Identified Cost $5,488,268)		      2,542,991  
     

 

 

  
     
  Warrants — 0.0%  
  22,512      Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(j)      54  
  10,360      FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(f)(j)      —  
  3,528      Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(j)      6,209  
     

 

 

  
   Total Warrants
(Identified Cost $29,892)		      6,263  
     

 

 

  
     
Principal
Amount (‡)		                
  Short-Term Investments — 3.5%  
$ 50,472      Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2017 at 0.000% to be repurchased at $50,472 on 4/03/2017 collateralized by $51,200 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $51,495 including accrued interest (Note 2 of Notes to Financial Statements)      50,472  
  4,219,091      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $4,219,168 on 4/03/2017 collateralized by $4,340,000 U.S. Treasury Note, 1.875% due 8/31/2022 valued at $4,305,579 including accrued interest (Note 2 of Notes to Financial Statements)      4,219,091  

 

See accompanying notes to financial statements.

 

23  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Short-Term Investments — (continued)  
$ 1,935,000      U.S. Treasury Bills, 0.793%, 12/07/2017(k)    $ 1,922,603  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $6,193,918)		      6,192,166  
     

 

 

  
     
   Total Investments — 96.0%
(Identified Cost $169,362,931)(a)		      169,440,835  
   Other assets less liabilities — 4.0%      6,995,922  
     

 

 

  
   Net Assets — 100.0%    $ 176,436,757  
     

 

 

  
     
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.  
  (††)      Amount shown represents units. One unit represents a principal amount of 100.  
  (a)      Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):  
   At March 31, 2017, the net unrealized depreciation on investments based on a cost of $169,604,190 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    $ 10,024,812  
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (10,188,167 ) 
     

 

 

  
   Net unrealized depreciation    $ (163,355 ) 
     

 

 

  
     
  (b)      Variable rate security. Rate as of March 31, 2017 is disclosed.  
  (c)      Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $1,873,999 or 1.1% of net assets. See Note 2 of Notes to Financial Statements.  
  (d)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.  
  (e)      Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended March 31, 2017, interest payments were made in cash.  
  (f)      Illiquid security.  
  (g)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $3,461,170 or 2.0% of net assets. See Note 2 of Notes to Financial Statements.  
  (h)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.  
  (i)      Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.  
  (j)      Non-income producing security.  
  (k)      Interest rate represents discount rate at time of purchase; not a coupon rate.  
  
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $60,755,451 or 34.4% of net assets.  
  ABS      Asset-Backed Securities   

 

See accompanying notes to financial statements.

 

|  24

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

     
  GMTN      Global Medium Term Note   
  MTN      Medium Term Note   
  PIK      Payment-in-Kind   
  REITs      Real Estate Investment Trusts   
     
  ARS      Argentine Peso   
  COP      Colombian Peso   
  EUR      Euro   
  INR      Indian Rupee   
  MXN      Mexican Peso   

At March 31, 2017, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell		    Delivery
Date		      Currency    Units of
Currency		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  
Sell1      6/21/2017      Euro      170,000      $ 182,025      $ (1,223 ) 
              

 

 

  
Total                $ (1,223 ) 
              

 

 

  

1 Counterparty is Bank of America, N.A.

Industry Summary at March 31, 2017 (Unaudited)

 

Independent Energy

      9.1 % 

Technology

      8.3  

Cable Satellite

      6.7  

Midstream

      5.4  

Pharmaceuticals

      4.6  

Finance Companies

      4.5  

Healthcare

      4.5  

Banking

      4.4  

Wirelines

      3.3  

Wireless

      3.3  

Metals & Mining

      2.6  

Supranational

      2.2  

Aerospace & Defense

      2.1  

Government Owned - No Guarantee

      2.0  

Treasuries

      2.0  

Other Investments, less than 2% each

      27.5  

Short-Term Investments

      3.5  
  

 

 

  

Total Investments

      96.0  

Other assets less liabilities (including forward foreign currency contracts)

      4.0  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

25  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 99.5% of Net Assets  
  Non-Convertible Bonds — 99.4%  
   ABS Car Loan — 9.5%   
$ 79,508      AmeriCredit Automobile Receivables Trust, Series 2014-1, Class B, 1.680%, 7/08/2019    $ 79,590  
  147,000      AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/09/2020      148,372  
  375,000      AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021      377,363  
  152,000      AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C, 2.890%, 1/10/2022      153,529  
  72,000      AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021      72,790  
  160,000      AmeriCredit Automobile Receivables Trust, Series 2016-3, Class C, 2.240%, 4/08/2022      158,044  
  555,000      Americredit Automobile Receivables Trust, Series 2016-4, Class B, 1.830%, 12/08/2021      549,322  
  110,000      AmeriCredit Automobile Receivables Trust, Series 2017-1, Class B, 2.300%, 2/18/2022      109,918  
  210,000      Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A      211,016  
  360,000      Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A      364,401  
  365,000      Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A, 3.070%, 9/20/2023, 144A      367,726  
  28,760      California Republic Auto Receivables Trust, Series 2013-2, Class A2, 1.230%, 3/15/2019      28,740  
  225,000      California Republic Auto Receivables Trust, Series 2016-2, Class A3, 1.560%, 7/15/2020      224,555  
  520,000      California Republic Auto Recievables Trust, Series 2017-1, Class A4, 2.280%, 6/15/2022      520,373  
  371,000      Capital Auto Receivables Asset Trust, Series 2015-1, Class A3, 1.610%, 6/20/2019      371,410  
  78,109      CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A      78,047  
  9,421      CarMax Auto Owner Trust, Series 2014-1, Class A3, 0.790%, 10/15/2018      9,415  
  325,000      Chrysler Capital Auto Receivables Trust, Series 2016-BA, Class A3, 1.640%, 7/15/2021, 144A      323,964  
  25,151      CPS Auto Receivables Trust, Series 2014-C, Class A, 1.310%, 2/15/2019, 144A      25,138  
  465,000      CPS Auto Receivables Trust, Series 2015-A, Class B, 2.790%, 2/16/2021, 144A      468,970  
  145,787      Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A      145,960  
  275,000      Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A      276,062  
  800,000      Credit Acceptance Auto Loan Trust, Series 2016-2A, Class B, 3.180%, 5/15/2024, 144A      807,906  
  275,000      Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A, 2.150%, 4/15/2024, 144A      273,415  

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Car Loan — continued   
$ 322,000      Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.760%, 7/15/2021, 144A    $ 323,627  
  362,000      Drive Auto Receivables Trust, Series 2016-BA, Class C, 3.190%, 7/15/2022, 144A      366,698  
  470,000      Drive Auto Receivables Trust, Series 2016-CA, Class B, 2.370%, 11/16/2020, 144A      471,371  
  230,000      Drive Auto Receivables Trust, Series 2017-AA, Class C, 2.980%, 1/18/2022, 144A      231,537  
  275,000      Drive Auto Receivables Trust, Series 2017-BA, Class C, 2.610%, 8/16/2021, 144A      274,964  
  107,000      DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A      109,107  
  335,000      DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A      342,821  
  255,000      DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A      267,094  
  440,000      DT Auto Owner Trust, Series 2016-4A, Class C, 2.740%, 10/17/2022, 144A      441,256  
  90,000      DT Auto Owner Trust, Series 2017-1A, Class C, 2.700%, 11/15/2022, 144A      89,931  
  3,535      Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A      3,536  
  17,131      First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A      17,129  
  260,000      First Investors Auto Owner Trust, Series 2017-1A, Class A2, 2.200%, 3/15/2022, 144A      259,819  
  290,000      Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A      291,025  
  195,000      Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A      200,347  
  135,000      Flagship Credit Auto Trust, Series 2016-3, Class B, 2.430%, 6/15/2021, 144A      134,319  
  160,000      Flagship Credit Auto Trust, Series 2016-4, Class B, 2.410%, 10/15/2021, 144A      158,472  
  230,000      Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A      231,946  
  705,000      Ford Credit Auto Owner Trust, Series 2016-2, Class A, 2.030%, 12/15/2027, 144A      695,347  
  115,000      Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A      115,954  
  590,000      GM Financial Automobile Leasing Trust, Series 2016-2, Class A3, 1.620%, 9/20/2019      589,898  
  490,000      Hyundai Auto Lease Securitization Trust, Series 2016-C, Class A4, 1.650%, 7/15/2020, 144A      488,575  
  275,000      Hyundai Auto Lease Securitization Trust, Series 2017-A, Class A3, 1.880%, 8/17/2020, 144A      275,458  
  595,000      NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A      595,612  
  120,000      NextGear Floorplan Master Owner Trust, Series 2016-2A, Class A2, 2.190%, 9/15/2021, 144A      118,903  
  197,225      Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A      197,313  
  505,000      Prestige Auto Receivables Trust, Series 2016-2A, Class A3, 1.760%, 1/15/2021, 144A      501,212  
  121,000      Santander Drive Auto Receivables Trust, Series 2015-4, Class C, 2.970%, 3/15/2021      122,602  

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Car Loan — continued   
$ 188,000      Santander Drive Auto Receivables Trust, Series 2016-2, Class C, 2.660%, 11/15/2021    $ 189,034  
  500,000      Santander Drive Auto Receivables Trust, Series 2016-3, Class B, 1.890%, 6/15/2021      499,131  
  165,000      Santander Drive Auto Receivables Trust, Series 2017-1, Class B, 2.100%, 6/15/2021      164,801  
  79,683      SMART Trust/Australia, Series 2013-2US, Class A4A, 1.180%, 2/14/2019      79,444  
  800,000      Westlake Automobile Receivables Trust, Series 2016-3A, Class B, 2.070%, 12/15/2021, 144A      797,650  
  295,000      Westlake Automobile Receivables Trust, Series 2017-1A, Class B, 2.300%, 10/17/2022, 144A      294,692  
  186,346      World Omni Auto Receivables Trust, Series 2014-B, Class A3, 1.140%, 1/15/2020      185,963  
  640,000      World Omni Auto Receivables Trust, Series 2016-B, Class A3, 1.300%, 2/15/2022      633,579  
     

 

 

  
        16,906,193  
     

 

 

  
   ABS Credit Card — 3.2%   
  605,000      American Express Credit Account Master Trust, Series 2017-1, Class A, 1.930%, 9/15/2022      606,225  
  434,000      Bank of America Credit Card Trust, Series 2015-A2, Class A, 1.360%, 9/15/2020      433,557  
  630,000      Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022      630,824  
  415,000      Barclays Dryrock Issuance Trust, Series 2014-3, Class A, 2.410%, 7/15/2022      420,342  
  745,000      Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023      747,458  
  1,085,000      Chase Issuance Trust, Series 2016-A4, Class A4, 1.490%, 7/15/2022      1,068,964  
  260,000      Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023      267,140  
  470,000      Synchrony Credit Card Master Note Trust, Series 2016-3, Class A, 1.580%, 9/15/2022      466,249  
  501,000      World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023      513,416  
  555,000      World Financial Network Credit Card Master Trust, Series 2016-C, Class A, 1.720%, 8/15/2023      551,865  
     

 

 

  
        5,706,040  
     

 

 

  
   ABS Home Equity — 1.3%   
  468,731      Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A      480,191  
  322,052      Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A      320,282  
  215,528      Colony American Homes, Series 2014-1A, Class A, 2.093%, 5/17/2031, 144A(b)      215,706  
  20,977      Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.746%, 7/25/2021(b)(c)      19,336  
  15,105      Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)      15,294  

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Home Equity — continued   
$ 500,000      Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.832%, 10/25/2027(b)    $ 511,211  
  201,727      Mill City Mortgage Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(b)      200,392  
  10,323      RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A(c)      10,248  
  178,355      Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)      177,912  
  286,954      Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.750%, 8/25/2055, 144A(b)      285,762  
  80,198      Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 3.074%, 5/01/2035(b)      81,575  
     

 

 

  
        2,317,909  
     

 

 

  
   ABS Other — 2.0%   
  21,894      CCG Receivables Trust, Series 2014-1, Class A2, 1.060%, 11/15/2021, 144A      21,884  
  132,300      DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A      132,995  
  34,554      FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A      33,853  
  398,000      John Deere Owner Trust, Series 2014-B, Class A4, 1.500%, 6/15/2021      398,181  
  431,538      Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b)      421,762  
  97,884      OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A      98,042  
  385,000      OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A      389,072  
  350,000      OneMain Financial Issuance Trust, Series 2016-1A, Class A, 3.660%, 2/20/2029, 144A      356,262  
  232,208      Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A      236,540  
  250,000      Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A      251,530  
  190,208      TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A      186,522  
  81,804      TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A      80,106  
  191,667      TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A      185,601  
  795,000      Verizon Owner Trust, Series 2017-1A, Class A, 2.060%, 9/20/2021, 144A      797,561  
     

 

 

  
        3,589,911  
     

 

 

  
   ABS Student Loan — 0.9%   
  373,596      North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.838%, 7/25/2025(b)      374,515  
  128,267      SoFi Professional Loan Program LLC, Series 2015-A, Class A2, 2.420%, 3/25/2030, 144A      128,179  
  446,581      SoFi Professional Loan Program LLC, Series 2015-C, Class A2, 2.510%, 8/25/2033, 144A      445,687  
  295,000      SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A      295,761  
  330,490      South Carolina Student Loan Corp., Series 2010-1, Class A2, 2.038%, 7/25/2025(b)      332,830  
     

 

 

  
        1,576,972  
     

 

 

  

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Aerospace & Defense — 0.9%   
$ 125,000      Arconic, Inc., 6.750%, 7/15/2018    $ 131,750  
  420,000      Northrop Grumman Corp., 3.200%, 2/01/2027      416,032  
  615,000      Rockwell Collins, Inc., 3.200%, 3/15/2024      614,298  
  450,000      Rolls-Royce PLC, 2.375%, 10/14/2020, 144A      447,601  
     

 

 

  
        1,609,681  
     

 

 

  
   Agency Commercial Mortgage-Backed Securities — 4.0%   
  648,018      FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(b)      688,859  
  509,476      FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)      533,159  
  701,647      FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024      699,524  
  368,033      FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018      371,148  
  913,556      FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019      920,218  
  321,775      FHLMC Multifamily Structured Pass Through Certificates, Series K709, Class A2, 2.086%, 3/25/2019      323,669  
  1,304,975      FHLMC Multifamily Structured Pass Through Certificates, Series K710, Class A2, 1.883%, 5/25/2019      1,307,357  
  1,014,484      FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019      1,012,767  
  625,673      FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.682%, 11/25/2022(b)      628,906  
  603,327      FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019      599,470  
     

 

 

  
        7,085,077  
     

 

 

  
   Airlines — 0.3%   
  145,000      American Airlines Pass Through Certificates, Series 2016-3, Class A, 3.250%, 4/15/2030      140,106  
  235,000      American Airlines Pass Through Certificates, Series 2017-1, Class A, 4.000%, 8/15/2030      237,938  
  66,705      Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021      73,511  
     

 

 

  
        451,555  
     

 

 

  
   Automotive — 2.6%   
  500,000      American Honda Finance Corp., MTN, 1.200%, 7/12/2019      493,271  
  447,000      American Honda Finance Corp., MTN, 1.600%, 7/13/2018      447,789  
  425,000      American Honda Finance Corp., MTN, 2.000%, 2/14/2020      426,044  
  585,000      BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A      566,431  
  220,000      Daimler Finance North America LLC, 2.450%, 5/18/2020, 144A      220,277  
  45,000      Delphi Automotive PLC, 3.150%, 11/19/2020      45,908  
  360,000      Ford Motor Credit Co. LLC, 2.459%, 3/27/2020      359,026  
  460,000      Ford Motor Credit Co. LLC, 3.339%, 3/28/2022      461,611  
  331,000      General Motors Financial Co., Inc., 4.250%, 5/15/2023      341,563  
  325,000      General Motors Financial Co., Inc., 4.300%, 7/13/2025      330,058  
  585,000      Hyundai Capital America, 3.100%, 4/05/2022, 144A      583,713  

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Automotive — continued   
$ 103,000      Magna International, Inc., 3.625%, 6/15/2024    $ 105,088  
  150,000      PACCAR Financial Corp., MTN, 1.200%, 8/12/2019      147,864  
     

 

 

  
        4,528,643  
     

 

 

  
   Banking — 18.9%   
  530,000      ABN AMRO Bank NV, 1.800%, 9/20/2019, 144A      524,748  
  515,000      American Express Credit Corp., MTN, 2.200%, 3/03/2020      515,780  
  1,035,000      American Express Credit Corp., MTN, 2.700%, 3/03/2022      1,033,758  
  105,000      Bank of America Corp., 6.000%, 9/01/2017      106,886  
  116,000      Bank of America Corp., MTN, 6.875%, 4/25/2018      122,059  
  49,000      Bank of Montreal, MTN, 1.400%, 9/11/2017      48,993  
  365,000      Bank of Montreal, MTN, 1.500%, 7/18/2019      361,192  
  415,000      Bank of Montreal, MTN, 1.900%, 8/27/2021      404,236  
  545,000      Bank of Montreal, MTN, 2.100%, 12/12/2019      546,971  
  505,000      Bank of New York Mellon Corp. (The), MTN, (fixed rate to 2/7/2027, variable rate thereafter), 3.442%, 2/07/2028      508,840  
  845,000      Bank of Nova Scotia (The), 1.650%, 6/14/2019      839,640  
  1,030,000      Bank of Nova Scotia (The), 2.700%, 3/07/2022      1,032,942  
  295,000      Bear Stearns Cos. LLC (The), 7.250%, 2/01/2018      308,311  
  490,000      BNZ International Funding Ltd., 2.400%, 2/21/2020, 144A      491,827  
  750,000      Canadian Imperial Bank of Commerce, 1.600%, 9/06/2019      743,332  
  540,000      Capital One Financial Corp., 3.050%, 3/09/2022      539,675  
  555,000      Capital One NA, 2.189%, 1/30/2023(b)      557,596  
  870,000      Citibank NA, 2.000%, 3/20/2019      872,991  
  840,000      Citigroup, Inc., 2.900%, 12/08/2021      843,204  
  920,000      Citizens Bank NA, 2.250%, 3/02/2020      918,679  
  430,000      Citizens Bank NA, Series BKNT, 2.500%, 3/14/2019      433,122  
  250,000      Comerica Bank, 2.500%, 6/02/2020      250,114  
  970,000      Commonwealth Bank of Australia, 1.750%, 11/07/2019, 144A      960,813  
  700,000      Credit Agricole S.A., 3.375%, 1/10/2022, 144A      698,180  
  335,000      Credit Suisse Group AG, 4.282%, 1/09/2028, 144A      333,543  
  450,000      Credit Suisse Group Funding Guernsey Ltd., 3.800%, 6/09/2023      451,842  
  735,000      Danske Bank AS, 2.200%, 3/02/2020, 144A      734,013  
  345,000      Deutsche Bank AG, 4.250%, 10/14/2021, 144A      353,584  
  780,000      Fifth Third Bank, Series BKNT, 1.625%, 9/27/2019      770,461  
  549,000      Goldman Sachs Group, Inc. (The), 2.142%, 4/26/2022(b)      553,540  
  215,000      Goldman Sachs Group, Inc. (The), 2.750%, 9/15/2020      216,781  
  259,000      Goldman Sachs Group, Inc. (The), 5.950%, 1/18/2018      267,462  
  665,000      HSBC Holdings PLC, (fixed rate to 3/13/2027, variable rate thereafter), 4.041%, 3/13/2028      672,197  
  185,000      HSBC USA, Inc., 2.375%, 11/13/2019      185,868  
  1,035,000      JPMorgan Chase & Co., 1.656%, 3/09/2021(b)      1,032,930  
  246,000      JPMorgan Chase & Co., 6.000%, 1/15/2018      254,304  
  585,000      JPMorgan Chase Bank NA, 1.650%, 9/23/2019      581,963  
  555,000      Key Bank NA, Series BKNT, 1.600%, 8/22/2019      549,046  
  532,000      Macquarie Bank Ltd., 1.600%, 10/27/2017, 144A      532,007  
  219,000      Merrill Lynch & Co., Inc., Series C, GMTN, 6.400%, 8/28/2017      223,252  
  460,000      Mizuho Bank Ltd., 1.800%, 3/26/2018, 144A      459,535  

 

See accompanying notes to financial statements.

 

31  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Banking — continued   
$ 725,000      Mizuho Financial Group, Inc., 2.953%, 2/28/2022    $ 724,906  
  855,000      Morgan Stanley, Series 3NC2, 1.842%, 2/14/2020(b)      856,860  
  535,000      Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018      559,975  
  295,000      National Bank of Canada, 2.100%, 12/14/2018      296,083  
  540,000      Nordea Bank AB, 1.625%, 9/30/2019, 144A      533,228  
  835,000      PNC Bank NA, 1.700%, 12/07/2018      834,830  
  595,000      PNC Bank NA, 2.625%, 2/17/2022      595,495  
  317,000      Royal Bank of Canada, 1.400%, 10/13/2017      316,909  
  652,000      Royal Bank of Canada, GMTN, 1.625%, 4/15/2019      648,419  
  529,000      Santander Holdings USA, Inc., 2.700%, 5/24/2019      531,503  
  855,000      Santander Holdings USA, Inc., 3.700%, 3/28/2022, 144A      857,951  
  380,000      Santander UK PLC, 2.500%, 3/14/2019      383,115  
  240,000      Societe Generale S.A., 5.000%, 1/17/2024, 144A      249,167  
  525,000      Svenska Handelsbanken AB, Series BKNT, 1.500%, 9/06/2019      518,272  
  740,000      Toronto-Dominion Bank (The), GMTN, 1.450%, 9/06/2018      738,348  
  925,000      Toronto-Dominion Bank (The), MTN, 1.950%, 1/22/2019      929,203  
  840,000      U.S. Bank NA, 2.000%, 1/24/2020      843,123  
  425,000      UBS Group Funding Switzerland AG, 4.253%, 3/23/2028, 144A      431,090  
  770,000      Wells Fargo Bank NA, 1.750%, 5/24/2019      767,569  
     

 

 

  
        33,452,263  
     

 

 

  
   Brokerage — 0.2%   
  430,000      BlackRock, Inc., 3.200%, 3/15/2027      430,188  
     

 

 

  
   Building Materials — 0.1%   
  107,000      Fortune Brands Home & Security, Inc., 3.000%, 6/15/2020      108,299  
  40,000      Masco Corp., 3.500%, 4/01/2021      40,704  
  27,000      Masco Corp., 7.125%, 3/15/2020      30,417  
     

 

 

  
        179,420  
     

 

 

  
   Cable Satellite — 0.1%   
  170,000      Cox Enterprises, Inc., 7.375%, 7/15/2027, 144A      208,243  
     

 

 

  
   Chemicals — 0.1%   
  107,000      Airgas, Inc., 3.050%, 8/01/2020      109,924  
  9,000      Eastman Chemical Co., 4.500%, 1/15/2021      9,604  
  45,000      Methanex Corp., 3.250%, 12/15/2019      45,316  
     

 

 

  
        164,844  
     

 

 

  
   Collateralized Mortgage Obligations — 1.8%   
  219,945      Government National Mortgage Association, Series 2014-H14, Class FA, 1.280%, 7/20/2064(b)      218,920  
  153,130      Government National Mortgage Association, Series 2014-H15, Class FA, 1.280%, 7/20/2064(b)      152,342  
  419,231      Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065      417,243  
  602,821      Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065      589,860  

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Collateralized Mortgage Obligations — continued   
$ 609,183      Government National Mortgage Association, Series 2016-H06, Class FC, 1.700%, 2/20/2066(b)    $ 613,249  
  1,272,436      Government National Mortgage Association, Series 2016-H10, Class FJ, 1.380%, 4/20/2066(b)      1,274,603  
     

 

 

  
        3,266,217  
     

 

 

  
   Construction Machinery — 1.4%   
  835,000      Caterpillar Financial Services Corp., 1.700%, 8/09/2021      805,361  
  870,000      Caterpillar Financial Services Corp., MTN, 1.900%, 3/22/2019      870,163  
  174,000      John Deere Capital Corp., 2.450%, 9/11/2020      175,444  
  220,000      John Deere Capital Corp., MTN, 1.250%, 10/09/2019      216,715  
  450,000      John Deere Capital Corp., MTN, 2.650%, 1/06/2022      451,626  
     

 

 

  
        2,519,309  
     

 

 

  
   Consumer Cyclical Services — 0.8%   
  225,000      Alibaba Group Holding Ltd., 2.500%, 11/28/2019      226,065  
  67,000      Western Union Co. (The), 3.350%, 5/22/2019      68,444  
  1,030,000      Western Union Co. (The), 3.600%, 3/15/2022      1,037,345  
  116,000      Western Union Co. (The), 3.650%, 8/22/2018      118,725  
     

 

 

  
        1,450,579  
     

 

 

  
   Diversified Manufacturing — 0.1%   
  80,000      Snap-on, Inc., 4.250%, 1/15/2018      81,637  
     

 

 

  
   Electric — 4.0%   
  120,000      Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026      116,797  
  1,035,000      Consolidated Edison, Inc., Series A, 2.000%, 3/15/2020      1,033,817  
  385,000      DTE Energy Co., 2.850%, 10/01/2026      360,234  
  510,000      Duke Energy Corp., 2.650%, 9/01/2026      475,175  
  451,000      Exelon Corp., 2.450%, 4/15/2021      445,601  
  605,000      Exelon Corp., (Step to 3.497% on 4/04/2017), 2.500%, 6/01/2022(d)      610,585  
  179,000      Exelon Generation Co. LLC, 2.950%, 1/15/2020      181,460  
  116,000      Exelon Generation Co. LLC, 4.250%, 6/15/2022      121,415  
  395,000      Fortis, Inc., 2.100%, 10/04/2021, 144A      382,731  
  825,000      National Rural Utilities Cooperative Finance Corp., 2.950%, 2/07/2024      826,709  
  188,000      National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043      192,230  
  690,000      National Rural Utilities Cooperative Finance Corp., MTN, 1.500%, 11/01/2019      683,925  
  280,000      NextEra Energy Capital Holdings, Inc., 1.649%, 9/01/2018      279,169  
  456,000      NextEra Energy Capital Holdings, Inc., Series F, 2.056%, 9/01/2017      457,470  
  273,000      Southern Co. (The), 2.750%, 6/15/2020      275,320  
  720,000      Southern Power Co., Series E, 2.500%, 12/15/2021      703,698  
     

 

 

  
        7,146,336  
     

 

 

  
   Finance Companies — 0.2%   
  427,000      Ares Capital Corp., 3.625%, 1/19/2022      423,352  
     

 

 

  
   Food & Beverage — 0.7%   
  9,000      Anheuser-Busch Cos. LLC, 5.000%, 3/01/2019      9,539  
  185,000      Flowers Foods, Inc., 3.500%, 10/01/2026      180,335  

 

See accompanying notes to financial statements.

 

33  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Food & Beverage — continued   
$ 845,000      Molson Coors Brewing Co., 2.250%, 3/15/2020, 144A    $ 845,444  
  140,000      Smithfield Foods, Inc., 3.350%, 2/01/2022, 144A      139,802  
     

 

 

  
        1,175,120  
     

 

 

  
   Government Owned – No Guarantee — 1.9%   
  397,000      Ecopetrol S.A., 5.875%, 9/18/2023      430,249  
  625,000      Export-Import Bank of Korea, 2.750%, 1/25/2022      622,815  
  725,000      Korea Development Bank (The), 2.625%, 2/27/2022      720,898  
  420,000      Korea National Oil Corp., 2.875%, 3/27/2022, 144A      420,218  
  445,000      Petroleos Mexicanos, 6.375%, 2/04/2021      482,705  
  780,000      Sinopec Group Overseas Development 2016 Ltd., 1.750%, 9/29/2019, 144A      768,292  
     

 

 

  
        3,445,177  
     

 

 

  
   Government Sponsored — 0.3%   
  500,000      Ontario Teachers’ Cadillac Fairview Properties Trust, 3.875%, 3/20/2027, 144A      507,170  
     

 

 

  
   Health Insurance — 1.0%   
  695,000      Aetna, Inc., 1.700%, 6/07/2018      695,012  
  1,055,000      UnitedHealth Group, Inc., 3.375%, 4/15/2027      1,061,919  
     

 

 

  
        1,756,931  
     

 

 

  
   Healthcare — 0.3%   
  41,000      Agilent Technologies, Inc., 6.500%, 11/01/2017      42,058  
  245,000      Express Scripts Holding Co., 3.000%, 7/15/2023      236,818  
  183,000      Life Technologies Corp., 6.000%, 3/01/2020      200,487  
  94,000      Quest Diagnostics, Inc., 4.750%, 1/30/2020      100,529  
     

 

 

  
        579,892  
     

 

 

  
   Hybrid ARMs — 0.2%   
  62,617      FHLMC, 2.785%, 1/01/2035(b)      66,228  
  180,004      FHLMC, 3.057%, 5/01/2036(b)      191,361  
     

 

 

  
        257,589  
     

 

 

  
   Independent Energy — 0.2%   
  107,000      ConocoPhillips Co., 2.875%, 11/15/2021      107,910  
  179,000      Encana Corp., 6.500%, 5/15/2019      193,338  
     

 

 

  
        301,248  
     

 

 

  
   Industrial Other — 0.6%   
  600,000      CK Hutchison International 17 Ltd., 2.875%, 4/05/2022, 144A      600,322  
  440,000      Hutchison Whampoa International 14 Ltd., 1.625%, 10/31/2017, 144A      439,594  
     

 

 

  
        1,039,916  
     

 

 

  
   Integrated Energy — 0.8%   
  205,000      BP Capital Markets PLC, 3.588%, 4/14/2027      206,381  
  1,030,000      Chevron Corp., 1.991%, 3/03/2020      1,031,306  
  94,000      Shell International Finance BV, 1.625%, 11/10/2018      93,896  
     

 

 

  
        1,331,583  
     

 

 

  
   Life Insurance — 1.0%   
  165,000      AIG Global Funding, 1.650%, 12/15/2017, 144A      165,109  
  830,000      Jackson National Life Global Funding, 2.200%, 1/30/2020, 144A      828,889  

 

See accompanying notes to financial statements.

 

|  34

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Life Insurance — continued   
$ 371,000      New York Life Global Funding, 1.450%, 12/15/2017, 144A    $ 371,067  
  344,000      Reliance Standard Life Global Funding II, 2.150%, 10/15/2018, 144A      345,033  
  63,000      Unum Group, 5.625%, 9/15/2020      69,315  
     

 

 

  
        1,779,413  
     

 

 

  
   Lodging — 0.3%   
  600,000      Wyndham Worldwide Corp., 4.150%, 4/01/2024      605,113  
     

 

 

  
   Media Entertainment — 0.8%   
  95,000      Activision Blizzard, Inc., 2.300%, 9/15/2021, 144A      93,015  
  715,000      Moody’s Corp., 1.414%, 9/04/2018(b)      716,239  
  112,000      S&P Global, Inc, 3.300%, 8/14/2020      114,421  
  49,000      Scripps Networks Interactive, Inc., 3.950%, 6/15/2025      49,816  
  480,000      Walt Disney Co. (The), MTN, 1.950%, 3/04/2020      481,074  
     

 

 

  
        1,454,565  
     

 

 

  
   Metals & Mining — 0.1%   
  40,000      Barrick North America Finance LLC, 4.400%, 5/30/2021      42,877  
  31,000      Reliance Steel & Aluminum Co., 4.500%, 4/15/2023      32,351  
  22,000      Rio Tinto Finance USA PLC, 3.500%, 3/22/2022      22,910  
     

 

 

  
        98,138  
     

 

 

  
   Midstream — 0.9%   
  405,000      APT Pipelines Ltd., 4.250%, 7/15/2027, 144A      410,403  
  255,000      Energy Transfer Partners LP, 2.500%, 6/15/2018      256,242  
  60,000      Energy Transfer Partners LP, 4.900%, 2/01/2024      62,342  
  246,000      Kinder Morgan Energy Partners LP, 4.150%, 3/01/2022      254,413  
  255,000      Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024      258,348  
  160,000      Plains All American Pipeline LP/PAA Finance Corp., 3.850%, 10/15/2023      160,439  
  143,000      Williams Partners LP, 3.600%, 3/15/2022      145,056  
     

 

 

  
        1,547,243  
     

 

 

  
   Mortgage Related — 3.6%   
  4,991      FHLMC, 3.000%, 10/01/2026      5,123  
  527      FHLMC, 6.500%, 1/01/2024      586  
  94      FHLMC, 8.000%, 7/01/2025      105  
  194      FNMA, 6.000%, 9/01/2021      197  
  249,323      GNMA, 4.287%, 2/20/2063(b)      262,603  
  445,263      GNMA, 4.307%, 2/20/2063(b)      466,492  
  235,727      GNMA, 4.408%, 10/20/2066(b)      256,268  
  56,438      GNMA, 4.411%, 6/20/2066(b)      60,993  
  101,705      GNMA, 4.424%, 9/20/2066(b)      110,323  
  70,783      GNMA, 4.457%, 11/20/2066(b)      76,967  
  194,297      GNMA, 4.475%, 10/20/2062(b)      204,103  
  66,358      GNMA, 4.477%, 8/20/2066(b)      72,056  
  194,007      GNMA, 4.481%, 5/20/2062(b)      202,853  
  126,379      GNMA, 4.492%, 11/20/2066(b)      137,749  
  435,332      GNMA, 4.495%, 4/20/2063(b)      457,728  
  264,107      GNMA, 4.506%, 5/20/2062(b)      276,134  
  241,836      GNMA, 4.512%, 4/20/2063(b)      254,322  

 

See accompanying notes to financial statements.

 

35  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Mortgage Related — continued   
$ 111,592      GNMA, 4.521%, 10/20/2066(b)    $ 121,695  
  183,383      GNMA, 4.538%, 9/20/2066(b)      200,613  
  220,805      GNMA, 4.554%, 3/20/2062(b)      230,293  
  235,611      GNMA, 4.565%, 3/20/2063(b)      247,767  
  101,467      GNMA, 4.566%, 10/20/2066(b)      111,381  
  265,170      GNMA, 4.582%, 2/20/2063(b)      278,102  
  185,409      GNMA, 4.589%, 6/20/2062(b)      193,798  
  823,139      GNMA, 4.594%, 1/20/2067(b)      906,443  
  153,039      GNMA, 4.595%, 7/20/2062(b)      159,603  
  393,002      GNMA, 4.613%, 11/20/2064(b)      410,345  
  676,603      GNMA, 4.685%, with various maturities from 2061 to 2064(b)(e)      723,785  
  1,718      GNMA, 6.500%, 12/15/2023      1,948  
  239      GNMA, 8.500%, 9/15/2022      242  
  670      GNMA, 9.500%, 1/15/2019      697  
     

 

 

  
        6,431,314  
     

 

 

  
   Natural Gas — 0.6%   
  107,000      NiSource Finance Corp., 6.125%, 3/01/2022      122,559  
  965,000      Sempra Energy, 1.625%, 10/07/2019      955,379  
     

 

 

  
        1,077,938  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 8.0%   
  28,700      Banc of America Commercial Mortgage Trust, Series 2007-5, Class A4, 5.492%, 2/10/2051      28,865  
  565,000      Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050      580,452  
  491,600      CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048      510,858  
  361,996      CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058      360,152  
  992,138      Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049      993,312  
  535,000      Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A      532,339  
  263,676      Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(b)      274,825  
  84,913      Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047      85,995  
  232,393      Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047      236,446  
  205,578      Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047      215,672  
  478,193      Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047      491,901  
  730,000      Commercial Mortgage Pass Through Certificates, Series 2014-TWC, Class A, 1.732%, 2/13/2032, 144A(b)      731,831  
  280,000      Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047      290,897  

 

See accompanying notes to financial statements.

 

|  36

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Non-Agency Commercial Mortgage-Backed Securities — continued   
$ 520,299      Commercial Mortgage Trust, Series 2016-DC2, Class A5, 3.765%, 2/10/2049    $ 537,157  
  39,889      Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.715%, 6/15/2039(b)      39,869  
  107,531      Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A4, 5.958%, 9/15/2039(b)      108,048  
  265,763      Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)      266,924  
  380,000      Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A      389,299  
  84,913      CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048      89,055  
  200,434      GP Portfolio Trust, Series 2014-GPP, Class A, 1.862%, 2/15/2027, 144A(b)      200,686  
  189,103      Greenwich Capital Commercial Mortgage Trust, Series 2007-GG11, Class A4, 5.736%, 12/10/2049      190,091  
  340,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b)      343,015  
  332,944      GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.949%, 8/10/2045(b)      332,599  
  225,963      GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047      231,937  
  355,000      Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A      361,544  
  173,417      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.841%, 6/15/2049(b)      173,473  
  120,665      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047      125,968  
  313,755      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.892%, 7/15/2031, 144A(b)      314,424  
  520,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.612%, 7/15/2036, 144A(b)      522,606  
  280,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP5, Class A1, 2.086%, 3/15/2050      280,053  
  213,426      Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4, 5.841%, 6/12/2050(b)      213,849  
  13,136      Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)      13,120  
  263,676      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047      274,432  
  129,604      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048      130,547  
  185,000      SCG Trust, Series 2013-SRP1, Class B, 3.412%, 11/15/2026, 144A(b)      177,637  
  505,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A      501,247  
  565,000      UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046      578,030  
  96,468      Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, 5.760%, 6/15/2049(b)      96,367  
  120,433      Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046      120,918  

 

See accompanying notes to financial statements.

 

37  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Non-Agency Commercial Mortgage-Backed Securities — continued   
$ 201,109      Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059    $ 203,519  
  1,295,000      Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class A2, 3.118%, 1/15/2060      1,328,033  
  204,637      WFCG Commercial Mortgage Trust, Series 2015-BXRP, Class A, 2.034%, 11/15/2029, 144A(b)      204,684  
  178,764      WFRBS Commercial Mortgage Trust, Series 2004-C19, Class A3, 3.660%, 3/15/2047      185,759  
  348,589      WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047      364,723  
     

 

 

  
        14,233,158  
     

 

 

  
   Pharmaceuticals — 1.3%   
  22,000      Amgen, Inc., 2.200%, 5/22/2019      22,145  
  147,000      Eli Lilly & Co., 1.950%, 3/15/2019      148,026  
  425,000      Novartis Capital Corp. (The), 1.800%, 2/14/2020      425,416  
  975,000      Pfizer, Inc., 3.000%, 12/15/2026      965,389  
  775,000      Shire Acquisitions Investments Ireland Designated Activity Co., 1.900%, 9/23/2019      769,415  
     

 

 

  
        2,330,391  
     

 

 

  
   Property Trust — 0.5%   
  850,000      WEA Finance LLC, 3.150%, 4/05/2022, 144A      849,614  
     

 

 

  
   Railroads — 0.8%   
  455,000      Burlington Northern Santa Fe LLC, 3.250%, 6/15/2027      458,393  
  206,000      CSX Corp., 3.700%, 10/30/2020      214,680  
  27,000      CSX Corp., 6.150%, 5/01/2037      33,179  
  430,000      Union Pacific Corp., 3.000%, 4/15/2027      425,191  
  215,000      Union Pacific Corp., 3.646%, 2/15/2024      225,267  
     

 

 

  
        1,356,710  
     

 

 

  
   REITs – Health Care — 1.1%   
  368,000      HCP, Inc., 4.000%, 12/01/2022      379,597  
  31,000      Healthcare Realty Trust, Inc., 3.750%, 4/15/2023      30,969  
  875,000      Omega Healthcare Investors, Inc., 4.750%, 1/15/2028      863,716  
  320,000      Physicians Realty LP, 4.300%, 3/15/2027      320,429  
  370,000      Ventas Realty LP, 3.850%, 4/01/2027      367,104  
     

 

 

  
        1,961,815  
     

 

 

  
   REITs – Hotels — 0.1%   
  155,000      Host Hotels & Resorts LP, 3.875%, 4/01/2024      156,177  
     

 

 

  
   REITs – Shopping Centers — 0.3%   
  435,000      Kimco Realty Corp., 3.800%, 4/01/2027      433,118  
     

 

 

  
   REITs – Single Tenant — 0.1%   
  179,000      Realty Income Corp., 5.875%, 3/15/2035      206,490  
     

 

 

  
   Restaurants — 0.6%   
  1,030,000      McDonald’s Corp., MTN, 2.625%, 1/15/2022      1,029,091  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  38

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Retailers — 0.3%   
$ 430,000      Dollar General Corp., 3.875%, 4/15/2027    $ 430,328  
     

 

 

  
   Sovereigns — 0.3%   
  595,000      Mexico Government International Bond, 4.150%, 3/28/2027      605,115  
     

 

 

  
   Technology — 3.0%   
  45,000      Apple, Inc., 2.250%, 2/23/2021      45,136  
  380,000      Apple, Inc., 3.000%, 2/09/2024      383,264  
  765,000      Applied Materials, Inc., 3.300%, 4/01/2027      768,039  
  285,000      CA, Inc., 3.600%, 8/15/2022      289,190  
  850,000      DXC Technology Co., 4.750%, 4/15/2027, 144A      866,903  
  855,000      Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022, 144A      859,956  
  120,000      Hewlett Packard Enterprise Co., 4.900%, 10/15/2025      124,648  
  246,000      HP, Inc., 4.300%, 6/01/2021      258,969  
  72,000      Ingram Micro, Inc., 5.450%, 12/15/2024      70,846  
  89,000      Jabil Circuit, Inc., 5.625%, 12/15/2020      95,230  
  22,000      Jabil Circuit, Inc., 8.250%, 3/15/2018      23,251  
  36,000      KLA-Tencor Corp., 4.125%, 11/01/2021      37,691  
  405,000      Pitney Bowes, Inc., 3.375%, 10/01/2021      398,010  
  655,000      Seagate HDD Cayman, 4.875%, 3/01/2024, 144A      643,569  
  290,000      Tech Data Corp., 3.700%, 2/15/2022      291,005  
  77,000      Xerox Corp., 4.070%, 3/17/2022, 144A      77,995  
     

 

 

  
        5,233,702  
     

 

 

  
   Tobacco — 0.0%   
  31,000      Philip Morris International, Inc., 2.900%, 11/15/2021      31,374  
  5,000      Philip Morris International, Inc., 5.650%, 5/16/2018      5,228  
     

 

 

  
        36,602  
     

 

 

  
   Transportation Services — 0.6%   
  690,000      Penske Truck Leasing Co. LP/PTL Finance Corp., 4.200%, 4/01/2027, 144A      702,538  
  430,000      TTX Co., 2.600%, 6/15/2020, 144A      430,820  
     

 

 

  
        1,133,358  
     

 

 

  
   Treasuries — 14.3%   
  7,065,000      U.S. Treasury Note, 1.875%, 2/28/2022      7,049,825  
  3,900,000      U.S. Treasury Note, 2.125%, 12/31/2022      3,909,446  
  3,390,000      U.S. Treasury Note, 2.125%, 11/30/2023      3,378,345  
  11,195,000      U.S. Treasury Note, 2.250%, 2/15/2027      11,052,006  
     

 

 

  
        25,389,622  
     

 

 

  
   Wireless — 0.2%   
  185,000      Crown Castle International Corp., 4.875%, 4/15/2022      199,003  
  200,000      Crown Castle International Corp., 5.250%, 1/15/2023      218,248  
     

 

 

  
        417,251  
     

 

 

  
   Wirelines — 2.2%   
  400,000      Deutsche Telekom International Finance BV, 1.500%, 9/19/2019, 144A      393,540  
  415,000      Deutsche Telekom International Finance BV, 2.820%, 1/19/2022, 144A      412,611  
  790,000      Orange S.A., 1.625%, 11/03/2019      778,840  
  750,000      Telefonica Emisiones SAU, 4.103%, 3/08/2027      755,293  

 

See accompanying notes to financial statements.

 

39  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Wirelines — continued   
$ 715,000      TELUS Corp., 3.700%, 9/15/2027    $ 715,330  
  870,000      Verizon Communications, Inc., 4.125%, 3/16/2027      884,739  
     

 

 

  
        3,940,353  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $176,302,933)		      176,225,614  
     

 

 

  
     
  Municipals — 0.1%  
   New Jersey — 0.1%   
  45,000      New Jersey Economic Development Authority Revenue, School Facilities Construction, Refunding, Series QQ, 1.802%, 6/15/2017      45,051  
  230,000      New Jersey Economic Development Authority Revenue, School Facilities Construction, Refunding, Series QQ, 1.802%, 6/15/2017      230,187  
     

 

 

  
   Total Municipals
(Identified Cost $275,000)		      275,238  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $176,577,933)		      176,500,852  
     

 

 

  
     
  Short-Term Investments — 1.9%  
  3,273,303      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $3,273,363 on 4/03/2017 collateralized by $3,350,000 U.S. Treasury Note, 1.750% due 11/30/2021 valued at $3,342,734 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,273,303)      3,273,303  
     

 

 

  
     
   Total Investments — 101.4%
(Identified Cost $179,851,236)(a)		      179,774,155  
   Other assets less liabilities — (1.4)%      (2,412,338 ) 
     

 

 

  
   Net Assets — 100.0%    $ 177,361,817  
     

 

 

  
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):  
   At March 31, 2017, the net unrealized depreciation on investments based on a cost of $180,157,428 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    $ 885,455  
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (1,268,728 ) 
     

 

 

  
   Net unrealized depreciation    $ (383,273 ) 
     

 

 

  
     
  (b)      Variable rate security. Rate as of March 31, 2017 is disclosed.  
  (c)      Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $29,584 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.  
  (d)      Coupon rate is a fixed rate for an initial period than resets at a specified date and rate.  

 

See accompanying notes to financial statements.

 

|  40

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

     
  (e)      The Fund’s investment in mortgage related securities of 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 Portfolio of Investments.  
     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $42,410,068 or 23.9% of net assets.  
  ABS      Asset-Backed Securities  
  ARMs      Adjustable Rate Mortgages  
  FHLMC      Federal Home Loan Mortgage Corp.  
  FNMA      Federal National Mortgage Association  
  GMTN      Global Medium Term Note  
  GNMA      Government National Mortgage Association  
  MTN      Medium Term Note  
  REITs      Real Estate Investment Trusts  

Industry Summary at March 31, 2017 (Unaudited)

 

Banking

      18.9 % 

Treasuries

      14.3  

ABS Car Loan

      9.5  

Non-Agency Commercial Mortgage-Backed Securities

      8.0  

Electric

      4.0  

Agency Commercial Mortgage-Backed Securities

      4.0  

Mortgage Related

      3.6  

ABS Credit Card

      3.2  

Technology

      3.0  

Automotive

      2.6  

Wirelines

      2.2  

ABS Other

      2.0  

Other Investments, less than 2% each

      24.2  

Short-Term Investments

      1.9  
  

 

 

  

Total Investments

      101.4  

Other assets less liabilities

      (1.4 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

41  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 96.5% of Net Assets  
   ABS Car Loan — 1.9%   
$ 1,550,000      Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A    $ 1,568,948  
  1,247,245      CPS Auto Receivables Trust, Series 2015-C, Class A, 1.770%, 6/17/2019, 144A      1,249,289  
  1,138,825      Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A      1,140,184  
  1,825,000      Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A, 2.420%, 11/15/2023, 144A      1,827,155  
  2,875,000      Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A, 2.150%, 4/15/2024, 144A      2,858,426  
  201,141      First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A      201,117  
  2,310,000      Flagship Credit Auto Trust, Series 2016-4, Class A2, 1.960%, 2/16/2021, 144A      2,302,173  
  3,500,000      NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A      3,503,603  
  725,000      NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A2, 2.740%, 4/15/2021, 144A      731,744  
     

 

 

  
        15,382,639  
     

 

 

  
   ABS Home Equity — 0.6%   
  2,339,206      Home Partners of America Trust, Series 2016-1, Class A, 2.563%, 3/17/2033, 144A(b)      2,356,833  
  1,028,072      Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(b)      1,031,663  
  1,630,163      Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)      1,626,120  
     

 

 

  
        5,014,616  
     

 

 

  
   ABS Student Loan — 0.0%   
  351,571      SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1.932%, 1/25/2039, 144A(b)      354,289  
     

 

 

  
   Agency Commercial Mortgage-Backed Securities — 18.7%   
  5,899,466      Federal National Mortgage Association, Series 2015-M17, Class FA, 1.912%, 11/25/2022(b)      5,924,478  
  1,000,000      Federal National Mortgage Association, Series 2016-M3, Class ASQ2, 2.263%, 2/25/2023      978,892  
  6,000,000      FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020      6,361,241  
  4,305,000      FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021      4,581,159  
  4,000,000      FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021      4,155,093  
  6,625,000      FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021      6,809,614  
  3,474,611      FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018      3,513,759  
  686,255      FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018      692,063  

 

See accompanying notes to financial statements.

 

|  42

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Agency Commercial Mortgage-Backed Securities — continued   
$ 2,570,055      FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018    $ 2,594,275  
  7,811,281      FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019      7,868,235  
  34,370,000      FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019      34,311,832  
  4,100,025      FHLMC Multifamily Structured Pass Through Certificates, Series KABM, Class A, 1.479%, 9/25/2022(b)      4,110,250  
  1,429,113      FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 1.109%, 11/25/2021(b)      1,429,113  
  9,951,730      FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1.632%, 1/25/2023(b)      9,995,337  
  4,820,861      FHLMC Multifamily Structured Pass Through Certificates, Series KJ04, Class A1, 1.376%, 10/25/2020      4,778,555  
  19,300,000      FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.682%, 11/25/2022(b)      19,399,721  
  26,135,000      FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019      25,967,932  
  210,241      Government National Mortgage Association, Series 2003-72, Class Z, 5.250%, 11/16/2045(b)      223,359  
  189,324      Government National Mortgage Association, Series 2003-88, Class Z, 4.877%, 3/16/2046(b)      199,544  
  3,539,257      Government National Mortgage Association, Series 2013-52, Class KX, 3.537%, 8/16/2051(b)      3,662,855  
     

 

 

  
        147,557,307  
     

 

 

  
   Collateralized Mortgage Obligations — 17.1%   
  87,030      Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 2.070%, 5/15/2023(b)(c)      84,054  
  57,845      Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.810%, 8/15/2023(b)(c)      57,100  
  227,327      Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029      246,058  
  719,301      Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019      738,582  
  1,246,775      Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020      1,261,050  
  1,699,061      Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035      1,899,294  
  2,517,480      Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035      2,751,909  
  2,439,377      Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038      2,628,294  
  1,826,093      Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.166%, 6/15/2048(b)      1,761,267  
  2,146,907      Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.180%, 12/15/2036(b)      2,225,303  

 

See accompanying notes to financial statements.

 

43  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Collateralized Mortgage Obligations — continued   
$ 801,245      Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 3.012%, 6/15/2043(b)    $ 766,018  
  1,693,387      Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033      1,898,192  
  57,868      Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 2.310%, 9/25/2022(b)(c)      57,225  
  56,477      Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.890%, 4/25/2024(b)(c)      55,891  
  11,899      Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 4.232%, 8/25/2042(b)(c)      12,769  
  918,518      Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025      995,733  
  175,391      Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034      176,000  
  1,001,029      Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 1.042%, 7/25/2037(b)      980,472  
  2,012,888      Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.486%, 8/25/2038(b)      2,088,267  
  5,412,360      Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1.982%, 7/25/2043(b)      5,284,574  
  40,873      Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.900%, 4/25/2023(b)(c)      40,448  
  10,792      FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.554%, 3/25/2044(b)(c)      11,314  
  808,840      FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, 1.814%, 10/25/2044(b)      816,867  
  1,307,389      Government National Mortgage Association, Series 2010-H20, Class AF, 1.110%, 10/20/2060(b)      1,294,991  
  1,181,024      Government National Mortgage Association, Series 2010-H24, Class FA, 1.130%, 10/20/2060(b)      1,170,009  
  1,043,380      Government National Mortgage Association, Series 2011-H06, Class FA, 1.230%, 2/20/2061(b)      1,037,805  
  1,787,905      Government National Mortgage Association, Series 2012-124, Class HT, 7.273%, 7/20/2032(b)      2,016,642  
  1,940,325      Government National Mortgage Association, Series 2012-H15, Class FA, 1.230%, 5/20/2062(b)      1,942,323  
  1,194,615      Government National Mortgage Association, Series 2012-H18, Class NA, 1.300%, 8/20/2062(b)      1,191,546  
  5,368,036      Government National Mortgage Association, Series 2012-H29, Class HF, 1.280%, 10/20/2062(b)      5,374,005  
  4,687,582      Government National Mortgage Association, Series 2013-H02, Class GF, 1.280%, 12/20/2062(b)      4,693,987  
  4,632,674      Government National Mortgage Association, Series 2013-H08, Class FA, 1.130%, 3/20/2063(b)      4,592,296  
  3,458,437      Government National Mortgage Association, Series 2013-H10, Class FA, 1.180%, 3/20/2063(b)      3,436,249  

 

See accompanying notes to financial statements.

 

|  44

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Collateralized Mortgage Obligations — continued   
$ 11,560,909      Government National Mortgage Association, Series 2013-H22, Class FT, 1.460%, 4/20/2063(b)    $ 11,645,609  
  6,621,258      Government National Mortgage Association, Series 2014-H14, Class FA, 1.280%, 7/20/2064(b)      6,590,412  
  4,550,719      Government National Mortgage Association, Series 2014-H15, Class FA, 1.280%, 7/20/2064(b)      4,527,303  
  4,381,476      Government National Mortgage Association, Series 2015-H05, Class FA, 1.080%, 4/20/2061(b)      4,379,016  
  11,199,910      Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065      11,146,823  
  10,188,431      Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065      9,969,389  
  2,395,254      Government National Mortgage Association, Series 2015-H11, Class FA, 1.030%, 4/20/2065(b)      2,392,689  
  5,944,025      Government National Mortgage Association, Series 2015-H19, Class FH, 1.080%, 7/20/2065(b)      5,939,358  
  1,866,626      Government National Mortgage Association, Series 2015-H29, Class FA, 1.480%, 10/20/2065(b)      1,873,142  
  1,183,049      Government National Mortgage Association, Series 2015-H30, Class FA, 1.460%, 8/20/2061(b)      1,186,832  
  6,674,138      Government National Mortgage Association, Series 2016-H06, Class FC, 1.700%, 2/20/2066(b)      6,718,686  
  4,744,355      Government National Mortgage Association, Series 2016-H10, Class FJ, 1.380%, 4/20/2066(b)      4,752,433  
  8,475,644      Government National Mortgage Association, Series 2016-H19, Class FJ, 1.180%, 9/20/2063(b)      8,430,717  
  314,927      NCUA Guaranteed Notes, Series 2010-A1, Class A, 1.208%, 12/07/2020(b)      314,927  
  746,388      NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 1.432%, 10/07/2020(b)      747,204  
  1,251,783      NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 1.337%, 12/08/2020(b)      1,256,849  
  83,341      NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 1.337%, 12/08/2020(b)      83,759  
     

 

 

  
        135,541,682  
     

 

 

  
   Hybrid ARMs — 13.7%   
  1,901,016      FHLMC, 2.720%, 7/01/2033(b)      2,007,352  
  886,094      FHLMC, 2.739%, 9/01/2038(b)      933,582  
  713,901      FHLMC, 2.740%, 4/01/2036(b)      739,298  
  306,017      FHLMC, 2.777%, 9/01/2038(b)      324,000  
  1,224,899      FHLMC, 2.807%, 9/01/2038(b)      1,294,128  
  5,127,207      FHLMC, 2.822%, 3/01/2037(b)      5,420,554  
  1,411,585      FHLMC, 2.873%, 2/01/2036(b)      1,485,178  
  3,123,976      FHLMC, 2.881%, 2/01/2036(b)      3,298,021  
  647,865      FHLMC, 2.920%, 11/01/2038(b)      688,209  
  799,888      FHLMC, 2.997%, 6/01/2037(b)      826,308  
  2,102,906      FHLMC, 3.013%, 9/01/2035(b)      2,232,199  
  4,276,679      FHLMC, 3.023%, 9/01/2041(b)      4,493,387  
  1,253,189      FHLMC, 3.024%, 3/01/2036(b)      1,323,971  
  134,204      FHLMC, 3.104%, 12/01/2037(b)      139,008  
  516,326      FHLMC, 3.105%, 2/01/2035(b)      541,399  

 

See accompanying notes to financial statements.

 

45  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Hybrid ARMs — continued   
$ 807,640      FHLMC, 3.111%, 11/01/2038(b)    $ 858,434  
  1,324,767      FHLMC, 3.137%, 3/01/2038(b)      1,409,697  
  560,690      FHLMC, 3.219%, 12/01/2034(b)      593,993  
  656,903      FHLMC, 3.287%, 4/01/2037(b)      693,531  
  2,616,669      FHLMC, 3.532%, 4/01/2037(b)      2,780,594  
  628,423      FHLMC, 3.875%, 3/01/2037(b)      669,348  
  768,340      FNMA, 2.682%, 9/01/2036(b)      812,357  
  2,495,669      FNMA, 2.709%, 11/01/2033(b)      2,634,425  
  1,392,694      FNMA, 2.750%, 6/01/2036(b)      1,469,188  
  614,849      FNMA, 2.757%, 12/01/2034(b)      643,636  
  332,765      FNMA, 2.761%, 4/01/2033(b)      349,520  
  6,494,449      FNMA, 2.795%, with various maturities from 2033 to 2037(b)(d)      6,868,844  
  618,734      FNMA, 2.796%, 9/01/2034(b)      651,316  
  5,687,781      FNMA, 2.799%, 10/01/2034(b)      6,001,953  
  1,903,910      FNMA, 2.802%, with various maturities from 2035 to 2037(b)(d)      1,980,891  
  1,221,560      FNMA, 2.803%, 6/01/2033(b)      1,290,939  
  3,689,189      FNMA, 2.806%, 6/01/2037(b)      3,922,107  
  4,140,345      FNMA, 2.831%, 4/01/2034(b)      4,367,319  
  1,563,011      FNMA, 2.840%, 8/01/2035(b)      1,654,300  
  1,254,542      FNMA, 2.853%, 1/01/2036(b)      1,332,078  
  3,959,352      FNMA, 2.881%, 7/01/2038(b)      4,180,153  
  3,059,665      FNMA, 2.885%, 4/01/2037(b)      3,228,215  
  409,184      FNMA, 2.893%, 8/01/2035(b)      433,713  
  1,330,444      FNMA, 2.901%, 4/01/2034(b)      1,405,421  
  965,367      FNMA, 2.905%, 8/01/2034(b)      1,028,367  
  397,783      FNMA, 2.907%, 8/01/2038(b)      413,575  
  303,417      FNMA, 2.932%, 8/01/2033(b)      321,257  
  3,070,612      FNMA, 2.936%, 7/01/2035(b)      3,240,733  
  1,820,551      FNMA, 2.941%, 4/01/2037(b)      1,920,755  
  4,733,304      FNMA, 3.017%, 3/01/2037(b)      5,014,678  
  648,497      FNMA, 3.029%, 11/01/2036(b)      687,068  
  369,264      FNMA, 3.055%, 3/01/2034(b)      391,142  
  3,734,891      FNMA, 3.095%, with various maturities from 2035 to 2037(b)(d)      3,962,993  
  631,277      FNMA, 3.103%, 7/01/2041(b)      660,078  
  938,749      FNMA, 3.115%, 5/01/2035(b)      1,000,088  
  639,554      FNMA, 3.119%, 10/01/2033(b)      679,991  
  5,188,045      FNMA, 3.281%, 10/01/2041(b)      5,487,745  
  3,389,098      FNMA, 3.377%, 7/01/2037(b)      3,587,451  
  196,145      FNMA, 3.445%, 1/01/2037(b)      208,585  
  864,086      FNMA, 3.505%, 2/01/2037(b)      916,522  
  1,589,787      FNMA, 3.549%, 2/01/2047(b)      1,669,474  
  1,358,106      FNMA, 3.723%, 6/01/2035(b)      1,437,796  
     

 

 

  
        108,606,864  
     

 

 

  
   Mortgage Related — 17.5%   
  101,904      FHLMC, 3.000%, 10/01/2026      104,611  
  713,322      FHLMC, 4.000%, with various maturities from 2024 to 2042(d)      751,255  
  502,200      FHLMC, 4.500%, with various maturities from 2025 to 2034(d)      530,896  

 

See accompanying notes to financial statements.

 

|  46

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Mortgage Related — continued   
$ 214,904      FHLMC, 5.500%, 10/01/2023    $ 228,759  
  263,872      FHLMC, 5.775%, 6/01/2020(b)      273,874  
  406,417      FHLMC, 5.904%, 8/01/2020(b)      424,960  
  219,691      FHLMC, 5.924%, 10/01/2020(b)      230,449  
  301,200      FHLMC, 5.952%, 11/01/2020(b)      316,512  
  15,308      FHLMC, 6.000%, 11/01/2019      15,783  
  349,517      FHLMC, 6.500%, with various maturities from 2017 to 2034(d)      397,904  
  412      FHLMC, 7.500%, 6/01/2026      463  
  707      FHLMC, 10.000%, 7/01/2019      717  
  12,995      FHLMC, 11.500%, 4/01/2020      13,180  
  180,975      FNMA, 3.000%, 3/01/2042      180,415  
  2,016,223      FNMA, 5.000%, with various maturities from 2037 to 2038(d)      2,208,749  
  1,089,704      FNMA, 5.500%, with various maturities from 2018 to 2033(d)      1,192,345  
  1,445,294      FNMA, 6.000%, with various maturities from 2017 to 2022(d)      1,553,138  
  219,886      FNMA, 6.500%, with various maturities from 2032 to 2037(d)      245,646  
  10,239      FNMA, 7.000%, 12/01/2022      10,258  
  85,011      FNMA, 7.500%, with various maturities from 2030 to 2032(d)      93,695  
  4,182,318      GNMA, 2.472%, 2/20/2061(b)      4,348,016  
  3,111,880      GNMA, 2.651%, 2/20/2063(b)      3,249,069  
  4,186,729      GNMA, 2.926%, 3/20/2063(b)      4,398,988  
  2,365,881      GNMA, 3.039%, with various maturities in 2065(b)(d)      2,527,929  
  2,359,781      GNMA, 3.132%, 2/20/2063(b)      2,487,250  
  3,358,153      GNMA, 4.422%, 6/20/2063(b)      3,549,315  
  1,916,670      GNMA, 4.438%, 3/20/2063(b)      2,013,922  
  1,829,092      GNMA, 4.457%, 2/20/2063(b)      1,917,410  
  3,892,947      GNMA, 4.482%, 2/20/2062(b)      4,056,796  
  4,826,111      GNMA, 4.490%, 10/20/2065(b)      5,231,272  
  3,985,465      GNMA, 4.525%, 12/20/2061(b)      4,136,860  
  15,498,758      GNMA, 4.539%, 12/20/2061(b)      15,998,272  
  6,674,258      GNMA, 4.542%, 12/20/2062(b)      6,992,334  
  1,851,085      GNMA, 4.554%, 3/20/2062(b)      1,930,624  
  1,338,524      GNMA, 4.587%, 4/20/2063(b)      1,410,581  
  16,569,627      GNMA, 4.589%, with various maturities from 2061 to 2063(b)(d)      17,328,124  
  2,169,623      GNMA, 4.604%, 2/20/2066(b)      2,345,044  
  1,572,633      GNMA, 4.629%, 3/20/2062(b)      1,634,473  
  1,888,788      GNMA, 4.634%, 3/20/2064(b)      2,031,042  
  460,447      GNMA, 4.659%, 1/20/2064(b)      494,712  
  6,209,709      GNMA, 4.673%, 2/20/2062(b)      6,462,858  
  2,025,258      GNMA, 4.682%, 11/20/2063(b)      2,189,392  
  8,220,095      GNMA, 4.685%, with various maturities from 2061 to 2064(b)(d)      8,536,329  
  2,934,216      GNMA, 4.687%, 2/20/2062(b)      3,045,280  
  1,202,376      GNMA, 4.699%, 6/20/2061(b)      1,228,272  
  6,358,749      GNMA, 4.700%, with various maturities in 2061(b)(d)      6,542,157  
  1,163,581      GNMA, 4.716%, 3/20/2061(b)      1,194,471  
  1,163,088      GNMA, 4.747%, 8/20/2062(b)      1,209,061  
  479,686      GNMA, 5.053%, 4/20/2061(b)      500,078  
  17,750      GNMA, 6.000%, 12/15/2031      20,589  

 

See accompanying notes to financial statements.

 

47  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Mortgage Related — continued   
$ 72,424      GNMA, 6.500%, 5/15/2031    $ 83,190  
  72,957      GNMA, 7.000%, 10/15/2028      81,231  
  4,097,216      Government National Mortgage Association, Series 2015-H04, Class FL, 1.250%, 2/20/2065(b)      4,073,256  
  6,215,869      Government National Mortgage Association, Series 2015-H12, Class FL, 1.010%, 5/20/2065(b)      6,142,759  
     

 

 

  
        138,164,565  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 5.2%   
  269,066      Banc of America Commercial Mortgage Trust, Series 2007-5, Class A4, 5.492%, 2/10/2051      270,610  
  3,445,000      Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2016-ASHF, Class A, 2.812%, 12/15/2033, 144A(b)      3,460,051  
  478,172      Barclays Commercial Mortgage Securities, Series 2015-RRI, Class A, 2.062%, 5/15/2032, 144A(b)      478,767  
  2,414,059      CDGJ Commercial Mortgage Trust, Series 2014-BXCH, 2.312%, 12/15/2027, 144A(b)      2,418,601  
  2,421,529      CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 1.862%, 6/15/2031, 144A(b)      2,421,037  
  1,310,000      Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A      1,303,485  
  3,425,000      Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class A, 2.282%, 10/15/2031, 144A(b)      3,430,375  
  4,282,000      Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049      4,433,483  
  1,399,000      DBUBS Mortgage Trust, Series 2011-LC2A, Class A4, 4.537%, 7/10/2044, 144A      1,497,200  
  2,201,488      GP Portfolio Trust, Series 2014-GPP, Class A, 1.862%, 2/15/2027, 144A(b)      2,204,251  
  2,710,023      Greenwich Capital Commercial Mortgage Trust, Series 2007-GG11, Class A4, 5.736%, 12/10/2049      2,724,177  
  5,535,000      JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.812%, 10/15/2029, 144A(b)      5,534,997  
  1,478,689      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.892%, 7/15/2031,
144A(b)		      1,481,841  
  4,115,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.612%, 7/15/2036,
144A(b)		      4,135,619  
  110,886      Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)      110,749  
  766,259      Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.993%, 4/15/2032, 144A(b)      766,003  
  3,700,000      Starwood Retail Property Trust, Inc., 2.132%, 11/15/2027, 144A(b)      3,679,020  
  436,012      Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046      437,769  
     

 

 

  
        40,788,035  
     

 

 

  
   Sovereigns — 0.3%   
  1,955,000      U.S. Department of Housing and Urban Development, Series 4, 1.880%, 8/01/2019      1,969,624  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  48

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Treasuries — 21.5%   
$ 23,145,000      U.S. Treasury Note, 1.125%, 6/30/2021    $ 22,475,068  
  28,700,000      U.S. Treasury Note, 1.125%, 8/31/2021      27,804,244  
  37,270,000      U.S. Treasury Note, 1.375%, 1/31/2021      36,747,363  
  17,015,000      U.S. Treasury Note, 2.000%, 12/31/2021      17,080,133  
  5,670,000      U.S. Treasury Note, 2.000%, 11/15/2026      5,477,311  
  13,945,000      U.S. Treasury Note, 2.125%, 9/30/2021      14,088,801  
  19,850,000      U.S. Treasury Note, 2.125%, 3/31/2024      19,732,925  
  26,120,000      U.S. Treasury Note, 2.250%, 1/31/2024      26,201,625  
     

 

 

  
        169,607,470  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $773,553,513)		      762,987,091  
     

 

 

  
     
  Short-Term Investments — 4.8%  
  15,050,000      Federal Home Loan Bank Discount Notes, 0.700%, 4/26/2017(e)      15,043,363  
  10,620,000      Federal National Mortgage Association Discount Notes, 0.700%, 4/04/2017(e)      10,619,798  
  12,162,919      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $12,163,142 on 4/03/2017 collateralized by $12,510,000 U.S. Treasury Note, 1.875% due 8/31/2022 valued at $12,410,783 including accrued interest (Note 2 of Notes to Financial Statements)      12,162,919  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $37,825,982)		      37,826,080  
     

 

 

  
     
   Total Investments — 101.3%
(Identified Cost $811,379,495)(a)		      800,813,171  
   Other assets less liabilities — (1.3)%      (10,319,529 ) 
     

 

 

  
   Net Assets — 100.0%    $ 790,493,642  
     

 

 

  
     
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):  
   At March 31, 2017, the net unrealized depreciation on investments based on a cost of $811,489,803 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    $ 2,913,427  
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (13,590,059 ) 
     

 

 

  
   Net unrealized depreciation    $ (10,676,632 ) 
     

 

 

  
     
  (b)      Variable rate security. Rate as of March 31, 2017 is disclosed.   
  (c)      Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $318,801 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.  

 

See accompanying notes to financial statements.

 

49  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

     
  (d)      The Fund’s investment in mortgage related securities of 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 Portfolio of Investments.  
  (e)      Interest rate represents discount rate at time of purchase; not a coupon rate.   
     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $53,562,791 or 6.8% of net assets.  
  ABS      Asset-Backed Securities   
  ARMs      Adjustable Rate Mortgages   
  FHLMC      Federal Home Loan Mortgage Corp.   
  FNMA      Federal National Mortgage Association   
  GNMA      Government National Mortgage Association   
  REMIC      Real Estate Mortgage Investment Conduit   

Industry Summary at March 31, 2017 (Unaudited)

 

Treasuries

      21.5 % 

Agency Commercial Mortgage-Backed Securities

      18.7  

Mortgage Related

      17.5  

Collateralized Mortgage Obligations

      17.1  

Hybrid ARMs

      13.7  

Non-Agency Commercial Mortgage-Backed Securities

      5.2  

Other Investments, less than 2% each

      2.8  

Short-Term Investments

      4.8  
  

 

 

  

Total Investments

      101.3  

Other assets less liabilities

      (1.3 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  50

Table of Contents

Statements of Assets and Liabilities

 

March 31, 2017 (Unaudited)

 

     High Income
Fund		     Intermediate
Duration Bond
Fund		     Limited Term
Government
and Agency
Fund		  

ASSETS

 

Investments at cost

    $ 169,362,931     $ 179,851,236     $ 811,379,495  

Net unrealized appreciation (depreciation)

      77,904       (77,081 )      (10,566,324 ) 
  

 

 

    

 

 

    

 

 

  

Investments at value

      169,440,835       179,774,155       800,813,171  

Cash

      55,063       18       723  

Receivable for Fund shares sold

      5,618,669       199,246       1,129,715  

Receivable for securities sold

      495,862       4,358,718       25,876,541  

Dividends and interest receivable

      2,365,752       598,378       2,458,459  

Tax reclaims receivable

      113       409       —  

Prepaid expenses (Note 8)

      70       66       404  
  

 

 

    

 

 

    

 

 

  

TOTAL ASSETS

      177,976,364       184,930,990       830,279,013  
  

 

 

    

 

 

    

 

 

  

LIABILITIES

 

Payable for securities purchased

      788,043       7,219,443       32,309,895  

Payable for Fund shares redeemed

      465,695       156,873       6,565,569  

Unrealized depreciation on forward foreign currency contracts (Note 2)

      1,223       —       —  

Distributions payable

      —       —       262,087  

Management fees payable (Note 6)

      91,835       53,381       239,637  

Deferred Trustees’ fees (Note 6)

      137,845       93,940       274,605  

Administrative fees payable (Note 6)

      6,535       6,711       30,538  

Payable to distributor (Note 6d)

      2,007       926       5,554  

Other accounts payable and accrued expenses

      46,424       37,899       97,486  
  

 

 

    

 

 

    

 

 

  

TOTAL LIABILITIES

      1,539,607       7,569,173       39,785,371  
  

 

 

    

 

 

    

 

 

  

NET ASSETS

    $ 176,436,757     $ 177,361,817     $ 790,493,642  
  

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

    $ 180,057,301     $ 179,899,817     $ 819,162,810  

Distributions in excess of net investment income

      (434,069 )      (312,685 )      (3,575,716 ) 

Accumulated net realized loss on investments and foreign currency transactions

      (3,272,339 )      (2,148,234 )      (14,527,128 ) 

Net unrealized appreciation (depreciation) on investments and foreign currency translations

      85,864       (77,081 )      (10,566,324 ) 
  

 

 

    

 

 

    

 

 

  

NET ASSETS

    $ 176,436,757     $ 177,361,817     $ 790,493,642  
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

51  |

Table of Contents

Statements of Assets and Liabilities (continued)

 

March 31, 2017 (Unaudited)

 

     High Income
Fund		     Intermediate
Duration Bond
Fund		      Limited Term
Government
and Agency
Fund		  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

        

Class A shares:

 

Net assets

    $ 36,400,548     $ 20,326,453      $ 365,895,019  
  

 

 

    

 

 

     

 

 

  

Shares of beneficial interest

      8,470,493       1,987,281        32,250,007  
  

 

 

    

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 4.30     $ 10.23      $ 11.35  
  

 

 

    

 

 

     

 

 

  

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

    $ 4.49     $ 10.68      $ 11.61  
  

 

 

    

 

 

     

 

 

  

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

        

Net assets

    $ 12,259,556     $ 3,185,556      $ 55,207,530  
  

 

 

    

 

 

     

 

 

  

Shares of beneficial interest

      2,845,149       311,319        4,861,723  
  

 

 

    

 

 

     

 

 

  

Net asset value and offering price per share

    $ 4.31     $ 10.23      $ 11.36  
  

 

 

    

 

 

     

 

 

  

Class N shares:

 

Net assets

    $ 1,049     $ —      $ 1,587,761  
  

 

 

    

 

 

     

 

 

  

Shares of beneficial interest

      245       —        139,545  
  

 

 

    

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 4.29 (a)    $ —      $ 11.38  
  

 

 

    

 

 

     

 

 

  

Class Y shares:

 

Net assets

    $ 127,775,604     $ 153,849,808      $ 367,803,332  
  

 

 

    

 

 

     

 

 

  

Shares of beneficial interest

      29,809,281       15,046,429        32,314,181  
  

 

 

    

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 4.29     $ 10.23      $ 11.38  
  

 

 

    

 

 

     

 

 

  

 

(a) Net asset value calculations have been determined utilizing fractional share and penny amounts.

 

See accompanying notes to financial statements.

 

|  52

Table of Contents

Statements of Operations

 

For the Six Months Ended March 31, 2017 (Unaudited)

 

     High Income
Fund		     Intermediate
Duration Bond
Fund		     Limited Term
Government
and Agency
Fund		  

INVESTMENT INCOME

       

Interest

    $ 5,003,358     $ 1,866,039     $ 6,537,734  

Dividends

      317,736       —       —  

Less net foreign taxes withheld

      (5,505 )      —       —  
  

 

 

    

 

 

    

 

 

  
     5,315,589       1,866,039       6,537,734  
  

 

 

    

 

 

    

 

 

  

Expenses

       

Management fees (Note 6)

      508,152       210,492       1,564,397  

Service and distribution fees (Note 6)

      102,809       39,682       838,712  

Administrative fees (Note 6)

      37,866       37,647       191,868  

Trustees’ fees and expenses (Note 6)

      17,354       15,240       32,415  

Transfer agent fees and expenses (Notes 6 and 7)

      105,276       36,296       392,338  

Audit and tax services fees

      27,127       35,128       27,157  

Custodian fees and expenses

      11,838       10,504       23,264  

Legal fees

      1,758       1,764       9,317  

Registration fees

      42,488       38,162       76,939  

Shareholder reporting expenses

      21,197       10,952       38,134  

Miscellaneous expenses (Note 8)

      11,689       9,576       23,370  
  

 

 

    

 

 

    

 

 

  

Total expenses

      887,554       445,443       3,217,911  

Less waiver and/or expense reimbursement (Note 6)

      (64,578 )      (68,944 )      (18,085 ) 
  

 

 

    

 

 

    

 

 

  

Net expenses

      822,976       376,499       3,199,826  
  

 

 

    

 

 

    

 

 

  

Net investment income

      4,492,613       1,489,540       3,337,908  
  

 

 

    

 

 

    

 

 

  

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

       

Net realized gain (loss) on:

       

Investments

      (634,188 )      (1,810,472 )      (1,547,489 ) 

Foreign currency transactions

      6,489       —       —  

Net change in unrealized appreciation (depreciation) on:

       

Investments

      3,135,271       (1,402,656 )      (7,583,017 ) 

Foreign currency translations

      9,405       —       —  
  

 

 

    

 

 

    

 

 

  

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

      2,516,977       (3,213,128 )      (9,130,506 ) 
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 7,009,590     $ (1,723,588 )    $ (5,792,598 ) 
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

53  |

Table of Contents

Statements of Changes in Net Assets

 

     High Income Fund     Intermediate Duration
Bond Fund		  
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		  

FROM OPERATIONS:

         

Net investment income

    $ 4,492,613     $ 8,583,675     $ 1,489,540     $ 2,750,862  

Net realized gain (loss) on investments and foreign currency transactions

      (627,699 )      (5,345,683 )      (1,810,472 )      1,570,969  

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

      3,144,676       13,406,022       (1,402,656 )      1,160,767  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      7,009,590       16,644,014       (1,723,588 )      5,482,598  
  

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Net investment income

         

Class A

      (875,545 )      (1,391,187 )      (184,108 )      (390,657 ) 

Class B(a)

      —       (14 )      —       —  

Class C

      (260,793 )      (384,341 )      (17,708 )      (1 ) 

Class N

      (18 )      —       —       —  

Class Y

      (3,328,207 )      (4,855,484 )      (1,553,436 )      (2,556,145 ) 

Net realized capital gains

         

Class A

      —       (81,866 )      (146,821 )      (64,649 ) 

Class B(a)

      —       (3 )      —       —  

Class C

      —       (29,530 )      (22,477 )      —  

Class Y

      —       (273,287 )      (1,093,586 )      (284,383 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      (4,464,563 )      (7,015,712 )      (3,018,136 )      (3,295,835 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (2,384,731 )      (670,213 )      20,290,017       52,609,062  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets

      160,296       8,958,089       15,548,293       54,795,825  

NET ASSETS

 

Beginning of the period

      176,276,461       167,318,372       161,813,524       107,017,699  
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the period

    $ 176,436,757     $ 176,276,461     $ 177,361,817     $ 161,813,524  
  

 

 

    

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME

    $ (434,069 )    $ (462,119 )    $ (312,685 )    $ (46,973 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

|  54

Table of Contents

Statements of Changes in Net Assets (continued)

 

     Limited Term Government and
Agency Fund		  
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		  

FROM OPERATIONS:

 

Net investment income

    $ 3,337,908     $ 9,196,702  

Net realized gain (loss) on investments

      (1,547,489 )      2,246,153  

Net change in unrealized appreciation (depreciation) on investments

      (7,583,017 )      (2,140,764 ) 
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (5,792,598 )      9,302,091  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Net investment income

     

Class A

      (3,304,890 )      (5,792,542 ) 

Class B(a)

      —       (5,359 ) 

Class C

      (277,619 )      (543,862 ) 

Class N

      (2,547 )      —  

Class Y

      (3,535,539 )      (7,311,896 ) 
  

 

 

    

 

 

  

Total distributions

      (7,120,595 )      (13,653,659 ) 
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (124,189,401 )      88,093,679  
  

 

 

    

 

 

  

Net increase (decrease) in net assets

      (137,102,594 )      83,742,111  

NET ASSETS

 

Beginning of the period

      927,596,236       843,854,125  
  

 

 

    

 

 

  

End of the period

    $ 790,493,642     $ 927,596,236  
  

 

 

    

 

 

  

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME

    $ (3,575,716 )    $ 206,971  
  

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

55  |

Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    High Income Fund—Class A  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 4.23     $ 3.99     $ 4.49     $ 4.59     $ 4.60     $ 4.46  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.11       0.20       0.19       0.21       0.24       0.24  

Net realized and unrealized gain (loss)

     0.07       0.21       (0.39 )      0.17       0.03       0.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.18       0.41       (0.20 )      0.38       0.27       0.83  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.11 )      (0.16 )      (0.19 )      (0.22 )      (0.27 )      (0.30 ) 

Net realized capital gains

     —       (0.01 )      (0.11 )      (0.26 )      (0.01 )      (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.11 )      (0.17 )      (0.30 )      (0.48 )      (0.28 )      (0.69 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 4.30     $ 4.23     $ 3.99     $ 4.49     $ 4.59     $ 4.60  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     4.29 %(c)(d)      10.66 %(d)      (4.78 )%(d)      8.42 %      6.27 %      20.90 %(d) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 36,401     $ 34,820     $ 37,870     $ 42,630     $ 45,791     $ 95,876  

Net expenses

     1.10 %(e)(f)      1.10 %(f)      1.11 %(f)(g)      1.14 %      1.15 %(h)      1.15 %(f) 

Gross expenses

     1.18 %(e)      1.14 %      1.13 %      1.14 %      1.15 %(h)      1.19 % 

Net investment income

     5.18 %(e)      5.16 %      4.41 %      4.57 %      5.11 %      5.50 % 

Portfolio turnover rate

     15 %      38 %      69 %      59 %      47 %      34 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A sales charge for Class A shares is not reflected in total return calculations.
(c) Periods less than one year are not annualized.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Computed on an annualized basis for periods less than one year.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Effective July 1, 2015, the expense limit decreased to 1.10%.
(h) Includes fee/expense recovery of 0.02%.

 

See accompanying notes to financial statements.

 

|  56

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class C  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 4.24     $ 4.00     $ 4.50     $ 4.61     $ 4.61     $ 4.47  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.09       0.18       0.16       0.18       0.21       0.21  

Net realized and unrealized gain (loss)

     0.07       0.20       (0.39 )      0.16       0.04       0.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.16       0.38       (0.23 )      0.34       0.25       0.80  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.09 )      (0.13 )      (0.16 )      (0.19 )      (0.24 )      (0.27 ) 

Net realized capital gains

     —       (0.01 )      (0.11 )      (0.26 )      (0.01 )      (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.14 )      (0.27 )      (0.45 )      (0.25 )      (0.66 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 4.31     $ 4.24     $ 4.00     $ 4.50     $ 4.61     $ 4.61  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     3.88 %(c)(d)      9.81 %(d)      (5.48 )%(d)      7.60 %      5.46 %      19.96 %(d) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 12,260     $ 12,288     $ 12,609     $ 14,555     $ 15,233     $ 16,863  

Net expenses

     1.85 %(e)(f)      1.85 %(f)      1.86 %(f)(g)      1.89 %      1.90 %(h)      1.90 %(f) 

Gross expenses

     1.93 %(e)      1.89 %      1.88 %      1.89 %      1.90 %(h)      1.94 % 

Net investment income

     4.43 %(e)      4.43 %      3.68 %      3.84 %      4.36 %      4.78 % 

Portfolio turnover rate

     15 %      38 %      69 %      59 %      47 %      34 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c) Periods less than one year are not annualized.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Computed on an annualized basis for periods less than one year.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Effective July 1, 2015, the expense limit decreased to 1.85%.
(h) Includes fee/expense recovery of 0.01%.

 

See accompanying notes to financial statements.

 

57  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income
Fund—Class N		  
    Period Ended
March 31,
2017
(Unaudited)*		  

Net asset value, beginning of the period

   $ 4.16  
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.08  

Net realized and unrealized gain (loss)

     0.12  
 

 

 

  

Total from Investment Operations

     0.20  
 

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.07 ) 

Net realized capital gains

     —  
 

 

 

  

Total Distributions

     (0.07 ) 
 

 

 

  

Net asset value, end of the period

   $ 4.29  
 

 

 

  

Total return(b)(c)

     4.92 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 1  

Net expenses(d)(e)

     0.74 % 

Gross expenses(e)

     14.48 % 

Net investment income(e)

     5.51 % 

Portfolio turnover rate

     15 % 

 

* From commencement of Class operations on November 30, 2016 through March 31, 2017.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  58

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class Y  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 4.22     $ 3.98     $ 4.48     $ 4.59     $ 4.59     $ 4.46  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.11       0.21       0.20       0.22       0.25       0.26  

Net realized and unrealized gain (loss)

     0.07       0.21       (0.39 )      0.16       0.04       0.57  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.18       0.42       (0.19 )      0.38       0.29       0.83  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.11 )      (0.17 )      (0.20 )      (0.23 )      (0.28 )      (0.31 ) 

Net realized capital gains

     —       (0.01 )      (0.11 )      (0.26 )      (0.01 )      (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.11 )      (0.18 )      (0.31 )      (0.49 )      (0.29 )      (0.70 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 4.29     $ 4.22     $ 3.98     $ 4.48     $ 4.59     $ 4.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     4.44 %(b)(c)      10.98 %(c)      (4.54 )%(c)      8.72 %      6.56 %      20.93 %(c) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 127,776     $ 129,169     $ 116,837     $ 125,185     $ 108,170     $ 110,917  

Net expenses

     0.85 %(d)(e)      0.85 %(e)      0.86 %(e)(f)      0.89 %      0.90 %(g)      0.90 %(e) 

Gross expenses

     0.93 %(d)      0.89 %      0.88 %      0.89 %      0.90 %(g)      0.95 % 

Net investment income

     5.43 %(d)      5.43 %      4.67 %      4.83 %      5.37 %      5.78 % 

Portfolio turnover rate

     15 %      38 %      69 %      59 %      47 %      34 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Computed on an annualized basis for periods less than one year.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Effective July 1, 2015, the expense limit decreased to 0.85%.
(g) Includes fee/expense recovery of 0.01%.

 

See accompanying notes to financial statements.

 

59  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond Fund—Class A*  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 10.52     $ 10.39     $ 10.39     $ 10.34     $ 10.80     $ 10.55  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.08       0.20       0.20       0.22       0.18       0.20  

Net realized and unrealized gain (loss)

     (0.19 )      0.17       0.03       0.11       (0.23 )      0.39  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.11 )      0.37       0.23       0.33       (0.05 )      0.59  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.10 )      (0.21 )      (0.22 )      (0.25 )      (0.24 )      (0.26 ) 

Net realized capital gains

     (0.08 )      (0.03 )      (0.01 )      (0.03 )      (0.17 )      (0.08 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.18 )      (0.24 )      (0.23 )      (0.28 )      (0.41 )      (0.34 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.23     $ 10.52     $ 10.39     $ 10.39     $ 10.34     $ 10.80  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)(c)

     (1.11 )%(d)      3.64 %      2.17 %      3.24 %      (0.46 )%      5.69 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 20,326     $ 19,327     $ 18,425     $ 5,931     $ 5,601     $ 3,084  

Net expenses(e)

     0.65 %(f)      0.65 %      0.65 %      0.65 %      0.65 %      0.65 % 

Gross expenses

     0.73 %(f)      0.72 %      0.71 %      0.85 %      0.79 %      0.84 % 

Net investment income

     1.56 %(f)      1.89 %      1.93 %      2.07 %      1.71 %      1.91 % 

Portfolio turnover rate

     104 %      151 %      151 %      134 %      124 %      82 % 

 

* Effective August 31, 2016, Retail Class shares were redesignated as Class A shares.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A sales charge for Class A shares is not reflected in total return calculations.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Periods less than one year are not annualized.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  60

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond
Fund—Class C		  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Period Ended
September 30,
2016*		  

Net asset value, beginning of the period

   $ 10.53     $ 10.53  
 

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.04       0.01  

Net realized and unrealized gain (loss)

     (0.20 )      0.00 (b) 
 

 

 

    

 

 

  

Total from Investment Operations

     (0.16 )      0.01  
 

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.06 )      (0.01 ) 

Net realized capital gains

     (0.08 )      —  
 

 

 

    

 

 

  

Total Distributions

     (0.14 )      (0.01 ) 
 

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.23     $ 10.53  
 

 

 

    

 

 

  

Total return(c)(d)(e)

     (1.55 )%      0.08 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 3,186     $ 3,088  

Net expenses(f)(g)

     1.40 %      1.40 % 

Gross expenses(g)

     1.49 %      1.56 % 

Net investment income(g)

     0.86 %      0.86 % 

Portfolio turnover rate

     104 %      151 % 

 

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

 

See accompanying notes to financial statements.

 

61  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond Fund—Class Y*  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 10.52     $ 10.39     $ 10.39     $ 10.33     $ 10.80     $ 10.54  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.09       0.22       0.22       0.24       0.21       0.22  

Net realized and unrealized gain (loss)

     (0.19 )      0.18       0.04       0.12       (0.24 )      0.40  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.10 )      0.40       0.26       0.36       (0.03 )      0.62  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.11 )      (0.24 )      (0.25 )      (0.27 )      (0.27 )      (0.28 ) 

Net realized capital gains

     (0.08 )      (0.03 )      (0.01 )      (0.03 )      (0.17 )      (0.08 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.19 )      (0.27 )      (0.26 )      (0.30 )      (0.44 )      (0.36 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.23     $ 10.52     $ 10.39     $ 10.39     $ 10.33     $ 10.80  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (1.08 )%(c)      3.90 %      2.42 %      3.60 %      (0.30 )%      6.06 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 153,850     $ 139,398     $ 88,592     $ 66,759     $ 66,424     $ 75,588  

Net expenses(d)

     0.40 %(e)      0.40 %      0.40 %      0.40 %      0.40 %      0.40 % 

Gross expenses

     0.48 %(e)      0.47 %      0.47 %      0.57 %      0.48 %      0.51 % 

Net investment income

     1.82 %(e)      2.11 %      2.15 %      2.31 %      1.97 %      2.12 % 

Portfolio turnover rate

     104 %      151 %      151 %      134 %      124 %      82 % 

 

* Effective August 31, 2016, Institutional Class shares were redesignated as Class Y shares.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  62

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class A  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.51     $ 11.57     $ 11.61     $ 11.68     $ 12.04     $ 11.87  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.04       0.11       0.14       0.16       0.13       0.18  

Net realized and unrealized gain (loss)

     (0.11 )      0.00 (b)      0.01 (c)      0.01       (0.23 )      0.28  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.07 )      0.11       0.15       0.17       (0.10 )      0.46  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.09 )      (0.17 )      (0.19 )      (0.24 )      (0.26 )      (0.29 ) 

Net realized capital gains

     —       —       —       —       (0.00 )(b)      (0.00 )(b) 

Paid-in capital

     —       —       —       —       (0.00 )(b)      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.17 )      (0.19 )      (0.24 )      (0.26 )      (0.29 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.35     $ 11.51     $ 11.57     $ 11.61     $ 11.68     $ 12.04  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     (0.60 )%(e)      0.93 %      1.26 %      1.44 %      (0.81 )%      3.94 %(f) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 365,895     $ 442,671     $ 346,317     $ 314,360     $ 355,212     $ 357,870  

Net expenses

     0.80 %(g)      0.77 %      0.77 %      0.80 %(h)      0.87 %(i)      0.85 %(j) 

Gross expenses

     0.80 %(g)      0.77 %      0.77 %      0.80 %(h)      0.87 %(i)      0.90 % 

Net investment income

     0.72 %(g)      0.96 %      1.21 %      1.35 %      1.11 %      1.54 % 

Portfolio turnover rate

     62 %      109 %(k)      48 %      24 %      39 %      56 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(d) A sales charge for Class A shares is not reflected in total return calculations.
(e) Periods less than one year are not annualized.
(f) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(g) Computed on an annualized basis for periods less than one year.
(h) Includes fee/expense recovery of less than 0.01%.
(i) Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.84%.
(j) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(k) The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to fluctuation in the level of fund assets due to shareholder flows.

 

See accompanying notes to financial statements.

 

63  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class C  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.52     $ 11.58     $ 11.62     $ 11.69     $ 12.05     $ 11.88  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.00 )(b)      0.02       0.05       0.07       0.04       0.10  

Net realized and unrealized gain (loss)

     (0.11 )      0.00 (b)      0.01 (c)      0.01       (0.23 )      0.27  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.11 )      0.02       0.06       0.08       (0.19 )      0.37  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.05 )      (0.08 )      (0.10 )      (0.15 )      (0.17 )      (0.20 ) 

Net realized capital gains

     —       —       —       —       (0.00 )(b)      (0.00 )(b) 

Paid-in capital

     —       —       —       —       (0.00 )(b)      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.05 )      (0.08 )      (0.10 )      (0.15 )      (0.17 )      (0.20 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.36     $ 11.52     $ 11.58     $ 11.62     $ 11.69     $ 12.05  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     (0.97 )%(e)      0.18 %      0.51 %      0.69 %      (1.55 )%      3.17 %(f) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 55,208     $ 73,027     $ 63,167     $ 56,936     $ 71,963     $ 75,522  

Net expenses

     1.55 %(g)      1.52 %      1.53 %      1.55 %(h)      1.62 %(i)      1.60 %(j) 

Gross expenses

     1.55 %(g)      1.52 %      1.53 %      1.55 %(h)      1.62 %(i)      1.65 % 

Net investment income (loss)

     (0.03 )%(g)      0.21 %      0.47 %      0.61 %      0.36 %      0.80 % 

Portfolio turnover rate

     62 %      109 %(k)      48 %      24 %      39 %      56 % 

 

(a) Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(e) Periods less than one year are not annualized.
(f) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(g) Computed on an annualized basis for periods less than one year.
(h) Includes fee/expense recovery of less than 0.01%.
(i) Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 1.59%.
(j) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(k) The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to fluctuation in the level of fund assets due to shareholder flows.

 

See accompanying notes to financial statements.

 

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Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term
Government
and Agency
Fund—Class N		  
    Period Ended
March 31,
2017
(Unaudited)*		  

Net asset value, beginning of the period

   $ 11.39  
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment loss(a)

     (0.01 ) 

Net realized and unrealized gain (loss)

     0.04  
 

 

 

  

Total from Investment Operations

     0.03  
 

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.04 ) 

Net realized capital gains

     —  
 

 

 

  

Total Distributions

     (0.04 ) 
 

 

 

  

Net asset value, end of the period

   $ 11.38  
 

 

 

  

Total return(b)(c)

     0.30 % 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 1,588  

Net expenses(d)(e)

     0.49 % 

Gross expenses(e)

     0.50 % 

Net investment loss(e)

     (0.41 )% 

Portfolio turnover rate

     62 % 

 

* From commencement of Class operations on February 1, 2017 through March 31, 2017.
(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

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Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class Y  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.55     $ 11.61     $ 11.65     $ 11.72     $ 12.08     $ 11.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.06       0.14       0.17       0.18       0.16       0.21  

Net realized and unrealized gain (loss)

     (0.12 )      0.00 (b)      0.01 (c)      0.02       (0.23 )      0.28  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.06 )      0.14       0.18       0.20       (0.07 )      0.49  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.11 )      (0.20 )      (0.22 )      (0.27 )      (0.29 )      (0.32 ) 

Net realized capital gains

     —       —       —       —       (0.00 )(b)      (0.00 )(b) 

Paid-in capital

     —       —       —       —       (0.00 )(b)      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.11 )      (0.20 )      (0.22 )      (0.27 )      (0.29 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.38     $ 11.55     $ 11.61     $ 11.65     $ 11.72     $ 12.08  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (0.55 )%(d)      1.19 %      1.51 %      1.70 %      (0.56 )%      4.19 %(e) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 367,803     $ 411,898     $ 431,727     $ 330,224     $ 252,127     $ 220,444  

Net expenses

     0.55 %(f)      0.52 %      0.52 %      0.55 %(g)      0.62 %(h)      0.60 %(i) 

Gross expenses

     0.55 %(f)      0.52 %      0.52 %      0.55 %(g)      0.62 %(h)      0.65 % 

Net investment income

     0.97 %(f)      1.20 %      1.45 %      1.58 %      1.35 %      1.77 % 

Portfolio turnover rate

     62 %      109 %(j)      48 %      24 %      39 %      56 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(d) Periods less than one year are not annualized.
(e) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(f) Computed on an annualized basis for periods less than one year.
(g) Includes fee/expense recovery of less than 0.01%.
(h) Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.59%.
(i) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(j) The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to fluctuation in the level of fund assets due to shareholder flows.

 

See accompanying notes to financial statements.

 

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Notes to Financial Statements

 

March 31, 2017 (Unaudited)

 

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

Loomis Sayles Funds I:

Loomis Sayles Intermediate Duration Bond Fund (the “Intermediate Duration Bond Fund”)

Loomis Sayles Funds II:

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

Loomis Sayles Limited Term Government and Agency Fund (the “Limited Term Government and Agency Fund”)

Each Fund is a diversified investment company.

The Funds each offer Class A, Class C and Class Y shares. In addition, High Income Fund and Limited Term Government and Agency Fund began offering Class N shares effective November 30, 2016 and February 1, 2017, respectively. As of the close of business on January 11, 2016, Class B shares of High Income Fund and Limited Term Government and Agency Fund were converted into Class A shares and are no longer offered.

Class A shares of Intermediate Duration Bond Fund and High Income Fund are sold with a maximum front-end sales charge of 4.25%. Class A shares of Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 2.25%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust and Natixis ETF Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”). Expenses of a Fund are

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C) and transfer agent fees for High Income Fund and Limited Term Government and Agency Fund are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

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

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or

 

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March 31, 2017 (Unaudited)

 

closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

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

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

As of March 31, 2017, securities held by the funds were fair valued as follows:

 

Fund

  

Securities
classified as
fair valued

    

Percentage of
Net Assets

    

Securities fair
valued by the
Fund’s adviser

    

Percentage of
Net Assets

  

High Income Fund

   $ 3,461,170       2.0 %    $ 1,873,999       1.1 % 

Intermediate Duration Bond Fund

     —       —       29,584       Less than 0.1 % 

Limited Term Government and Agency Fund

     —       —       318,801       Less than 0.1 % 

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal

 

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March 31, 2017 (Unaudited)

 

income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

During the six months ended March 31, 2017, the amount of income available to be distributed by High Income Fund has been reduced by $81,795, as a result of losses arising from changes in exchange rates.

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

d.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

e.  Futures Contracts.   The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract

 

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position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

No futures contracts were held by the Funds during the six months ended March 31, 2017.

f.  Swap Agreements.   The Funds may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

 

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The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statement of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statement of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

No swap agreements were held by the Funds during the six months ended March 31, 2017.

g.  When-Issued and Delayed Delivery Transactions.  The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to

 

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March 31, 2017 (Unaudited)

 

fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no when-issued or delayed delivery securities held by the Funds as of March 31, 2017.

h.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2017 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

 

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taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

i.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses, contingent payment debt instruments, basis tracking from corporate actions, premium amortization, defaulted and/or non-income producing securities, paydown gains and losses, return of capital distributions received, convertible bonds and distribution re-designations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, forward foreign currency contracts mark-to-market, basis tracking from corporate actions, contingent payment debt instruments, convertible bonds, defaulted and/or non-income producing securities and return of capital distributions received. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2016 was as follows:

 

     2016 Distributions Paid From:  

Fund

   

Ordinary

Income

     

Long-Term
Capital Gains

     

Total

  

High Income Fund

    $ 6,619,464      $ 396,248      $ 7,015,712  

Intermediate Duration Bond Fund

      3,295,835          —        3,295,835  

Limited Term Government and Agency Fund

      13,653,659        —        13,653,659  

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

 

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As of September 30, 2016, the capital loss carryforwards were as follows:

 

    

High Income
Fund

    

Intermediate
Duration
Bond Fund

     

Limited Term
Government
and Agency
Fund

  

Capital loss carryforward:

        

Short-term:

        

No expiration date

    $ (251,066 )    $   —      $ (848,283 ) 

Long-term:

        

No expiration date

      (2,330,822 )      —        (11,847,451 ) 
  

 

 

    

 

 

     

 

 

  

Total capital loss carryforward

    $ (2,581,888 )    $ —      $ (12,695,734 ) 
  

 

 

    

 

 

     

 

 

  

As of March 31, 2017, unrealized appreciation (depreciation) on a tax basis was approximately as follows:

 

    

High Income
Fund

    

Intermediate
Duration

Bond Fund

    

Limited Term
Government
and Agency
Fund

  

Unrealized appreciation (depreciation)

       

Investments

    $ 1,455,614     $ (383,273 )    $ (10,676,632 ) 

Foreign currency translations

      (1,611,009 )      —       —  
  

 

 

    

 

 

    

 

 

  

Total unrealized depreciation

    $ (155,395 )    $ (383,273 )    $ (10,676,632 ) 
  

 

 

    

 

 

    

 

 

  

Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes.

j.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of March 31, 2017, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

 

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k.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, 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 (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) 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 Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended March 31, 2017, none of the Funds had loaned securities under this agreement.

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

m.   New Accounting Pronouncement.   In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

 

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

 

  •  

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

 

  •  

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

 

  •  

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

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

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

 

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The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2017, at value:

High Income Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Bonds and Notes

        

Non-Convertible Bonds

        

ABS Home Equity

   $   —     $ 3,000,407     $ 26,982 (c)    $ 3,027,389  

ABS Other

     —       —       258,592 (b)      258,592  

Home Construction

     —       2,343,212       12 (c)      2,343,224  

Non-Agency Commercial Mortgage-Backed Securities

     —       2,221,415       910,014 (b)      3,131,429  

All Other Non-Convertible Bonds(a)

     —       135,433,117       —       135,433,117  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Non-Convertible Bonds

     —       142,998,151       1,195,600       144,193,751  
 

 

 

    

 

 

    

 

 

    

 

 

  

Convertible Bonds(a)

     —       8,675,459       —       8,675,459  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Bonds and Notes

     —       151,673,610       1,195,600       152,869,210  
 

 

 

    

 

 

    

 

 

    

 

 

  

Senior Loans(a)

     —       3,024,745       —       3,024,745  
 

 

 

    

 

 

    

 

 

    

 

 

  

Preferred Stocks

        

Convertible Preferred Stocks

        

Food & Beverage

     —       518,447       —       518,447  

Midstream

     —       741,387       —       741,387  

Pharmaceuticals

     827,686       370,493       —       1,198,179  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Convertible Preferred Stocks

     827,686       1,630,327       —       2,458,013  
 

 

 

    

 

 

    

 

 

    

 

 

  

Non-Convertible Preferred Stocks

     511,547       —       —       511,547  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Preferred Stocks

     1,339,233       1,630,327       —       2,969,560  
 

 

 

    

 

 

    

 

 

    

 

 

  

Other Investments(a)

     —       —       1,835,900 (d)      1,835,900  

Common Stocks

        

Internet Software & Services

     —       —       11,105 (c)      11,105  

All Other Common Stocks(a)

     2,531,886       —       —       2,531,886  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Common Stocks

     2,531,886       —       11,105       2,542,991  
 

 

 

    

 

 

    

 

 

    

 

 

  

Warrants

     6,263       — (e)      —       6,263  

Short-Term Investments

     —       6,192,166       —       6,192,166  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 3,877,382     $ 162,520,848     $ 3,042,605     $ 169,440,835  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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March 31, 2017 (Unaudited)

 

High Income Fund (continued)

Liability Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Forward Foreign Currency Contracts (unrealized depreciation)

   $   —     $ (1,223 )    $   —     $ (1,223 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Valued using broker-dealer bid prices.
(c) Fair valued by the Fund’s adviser.
(d) Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.
(e) Includes a security fair valued at zero using Level 2 inputs.

A preferred stock valued at $324,791 was transferred from Level 1 to Level 2 during the period ended March 31, 2017. At September 30, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At March 31, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

Intermediate Duration Bond Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

         

ABS Car Loan

    $   —      $ 16,631,229      $ 274,964 (b)    $ 16,906,193  

ABS Home Equity

      —        2,288,325        29,584 (c)      2,317,909  

All Other Non-Convertible Bonds(a)

      —        157,001,512        —       157,001,512  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —        175,921,066        304,548       176,225,614  
  

 

 

     

 

 

     

 

 

    

 

 

  

Municipals(a)

      —        275,238        —       275,238  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —        176,196,304        304,548       176,500,852  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —        3,273,303        —       3,273,303  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $   —      $ 179,469,607      $ 304,548     $ 179,774,155  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Valued using broker-dealer bid prices.
(c) Fair valued by the Fund’s adviser.

 

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Limited Term Government and Agency Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Agency Commercial Mortgage-Backed Securities

    $   —      $ 143,894,452      $ 3,662,855 (b)    $ 147,557,307  

Collateralized Mortgage Obligations

      —        135,222,881        318,801 (c)      135,541,682  

All Other Bonds and Notes(a)

      —        479,888,102        —       479,888,102  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —        759,005,435        3,981,656       762,987,091  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —        37,826,080        —       37,826,080  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $   —      $ 796,831,515      $ 3,981,656     $ 800,813,171  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Valued using broker-dealer bid prices.
(c) Fair valued by the Fund’s adviser.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or March 31, 2017:

High Income Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of

September 30,

2016

    

Accrued

Discounts

(Premiums)

    

Realized

Gain

(Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Home Equity

   $ 98,704     $ —     $ 5,869     $ 3,786     $   —  

ABS Other

     —       —       —       5,011       —  

Government Owned - No Guarantee

     594,150       —       —       —       —  

Home Construction

     23       13,314       (1,039,997 )      1,026,694       —  

Non-Agency Commercial Mortgage-Backed Securities

     908,874       —       —       1,140       —  

Senior Loans

          

Wirelines

     150,561       57       550       8,156       —  

Other Investments

          

Aircraft ABS

     985,586       —       —       8,814       1,841,500  

Common Stocks

          

Internet Software & Services

     8,177       —       —       2,928       —  

Warrants

     5,383       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 2,751,458     $ 13,371     $ (1,033,578 )    $ 1,056,529     $ 1,841,500  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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High Income Fund (continued)

Asset Valuation Inputs (continued)

 

Investments in Securities

  

Sales

    

Transfers

into Level 3

    

Transfers

out of

Level 3

    

Balance as of

March 31,

2017

    

Change in

Unrealized

Appreciation

(Depreciation)

from

Investments

Still Held at

March 31,

2017

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Home Equity

   $ (81,377 )    $ —     $ —     $ 26,982     $ 316  

ABS Other

     (11,071 )      264,652       —       258,592       5,011  

Government Owned - No Guarantee

     —       —       (594,150 )      —       —  

Home Construction

     (22 )      —       —       12       (10,144 ) 

Non-Agency Commercial Mortgage-Backed Securities

     —       —       —       910,014       1,140  

Senior Loans

          

Wirelines

     (159,324 )      —       —       —       —  

Other Investments

          

Aircraft ABS

     (1,000,000 )      —       —       1,835,900       (5,600 ) 

Common Stocks

          

Internet Software & Services

     —       —       —       11,105       2,928  

Warrants

     —       —       (5,383 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (1,251,794 )    $ 264,652     $ (599,533 )    $ 3,042,605     $ (6,349 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

A debt security valued at $264,652 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. At September 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2017, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security.

A debt security valued at $594,150 was transferred from Level 3 to Level 2 during the period ended March 31, 2017. At September 30, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

 

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Warrants valued at $5,383 were transferred from Level 3 to Level 1 during the period ended March 31, 2017. At September 30, 2016, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At March 31, 2017, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

Intermediate Duration Bond Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of

September 30,

2016

    

Accrued

Discounts

(Premiums)

    

Realized

Gain

(Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Car Loan

   $ 439,742     $   —     $ —     $ —     $ 274,964  

ABS Home Equity

     23,756       —       (427 )      866       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 463,498     $ —     $ (427 )    $ 866     $ 274,964  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investments in Securities

  

Sales

    

Transfers

into Level 3

    

Transfers

out of

Level 3

    

Balance as of

March 31,

2017

    

Change in

Unrealized

Appreciation

(Depreciation)

from

Investments

Still Held at

March 31,

2017

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Car Loan

   $ —     $ —     $ (439,742 )    $ 274,964     $ —  

ABS Home Equity

     (15,246 )      20,635       —       29,584       394  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (15,246 )    $ 20,635     $ (439,742 )    $ 304,548     $ 394  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

A debt security valued at $439,742 was transferred from Level 3 to Level 2 during the period ended March 31, 2017. At September 30, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $20,635 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. At September 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in

 

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March 31, 2017 (Unaudited)

 

accordance with the Fund’s valuation policies. At March 31, 2017, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security

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

Limited Term Government and Agency Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of

September 30,

2016

    

Accrued

Discounts

(Premiums)

    

Realized

Gain

(Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Purchases

  

Bonds and Notes

          

ABS Student Loan

   $ 400,000     $   —     $ —     $ —     $   —  

Agency Commercial Mortgage-Backed Securities

     11,781,022       —       (1,408,102 )      1,112,724       —  

Collateralized Mortgage Obligations

     1,488,611       —       (25,881 )      33,138       —  

Non-Agency Commercial Mortgage-Backed Securities

     3,037,018       —       (3,950 )      6,932       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 16,706,651     $ —     $ (1,437,933 )    $ 1,152,794     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

Investments in Securities

  

Sales

    

Transfers

into Level 3

    

Transfers

out of

Level 3

    

Balance as of

March 31,

2017

    

Change in

Unrealized

Appreciation

(Depreciation)

from

Investments

Still Held at

March 31,

2017

  

Bonds and Notes

          

ABS Student Loan

   $ —     $ —     $ (400,000 )    $ —     $ —  

Agency Commercial Mortgage-Backed Securities

     (7,822,789 )      —       —       3,662,855       (6,912 ) 

Collateralized Mortgage Obligations

     (464,343 )      —       (712,724 )      318,801       3,459  

Non-Agency Commercial Mortgage-Backed Securities

     (3,040,000 )      —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (11,327,132 )    $   —     $ (1,112,724 )    $ 3,981,656     $ (3,453 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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March 31, 2017 (Unaudited)

 

A debt security valued at $400,000 was transferred from Level 3 to Level 2 during the period ended March 31, 2017. At September 30, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $712,724 were transferred from Level 3 to Level 2 during the period ended March 31, 2017. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the securities. At March 31, 2017, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

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

High Income Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the six months ended March 31, 2017, High Income Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for High Income Fund as of March 31, 2017, as reflected within the Statements of Assets and Liabilities:

 

Liability

   

Unrealized
depreciation on
forward foreign
currency contracts

  

Over-the-counter liability derivatives

   

Foreign exchange contracts

    $ (1,223 ) 

 

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Transactions in derivative instruments for High Income Fund during the six months ended March 31, 2017, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

   

Foreign currency

transactions1

  

Foreign exchange contracts

    $ 12,717  

Net Change in Unrealized Appreciation
(Depreciation) on:

   

Foreign currency

translations1

  

Foreign exchange contracts

    $ (1,456 ) 

 

1 

Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2017:

 

High Income Fund

   

Forwards

  

Average Notional Amount Outstanding

      0.11 % 

Highest Notional Amount Outstanding

      0.11 % 

Lowest Notional Amount Outstanding

      0.10 % 

Notional Amount Outstanding as of March 31, 2017

      0.10 % 

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure

 

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to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of March 31, 2017, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements by counterparty, are as follows:

 

Counterparty

   

Gross Amounts
of Liabilities

    

Offset
Amount

     

Net Liability
Balance

    

Collateral
(Received)/
Pledged

     

Net
Amount

  

Bank of America, N.A.

    $ (1,223 )    $   —      $ (1,223 )    $   —      $ (1,223 ) 

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts.

 

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March 31, 2017 (Unaudited)

 

While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2017:

 

Fund

   

Maximum Amount
of Loss - Gross

     

Maximum Amount
of Loss - Net

  

High Income Fund

    $   —      $   —  

5.  Purchases and Sales of Securities.   For the six months ended March 31, 2017, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:

 

    U.S. Government/
Agency Securities		     Other Securities  

Fund

  

Purchases

    

Sales

    

Purchases

    

Sales

  

High Income Fund

   $ 3,453,111     $ 3,449,467     $ 20,826,051     $ 24,987,985  

Intermediate Duration Bond Fund

     69,083,031       82,620,523       128,757,123       90,970,726  

Limited Term Government and Agency Fund

     509,208,272       602,722,440       8,015,001       49,883,533  

6.  Management Fees and Other Transactions with Affiliates.

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

 

     Percentage of Average
Daily Net Assets		  

Fund

   

First

$500 million

    

Next

$1.5 billion

    

Over

$2 billion

  

High Income Fund

      0.6000 %      0.6000 %      0.6000 % 

Intermediate Duration Bond Fund

      0.2500 %      0.2500 %      0.2500 % 

Limited Term Government and Agency Fund

      0.3750 %      0.3500 %      0.3000 % 

 

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Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2018, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended March 31, 2017, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

High Income Fund

      1.10 %      1.85 %      0.80 %      0.85 % 

Intermediate Duration Bond Fund

      0.65 %      1.40 %      —       0.40 % 

Limited Term Government and Agency Fund

      0.80 %      1.55 %      0.50 %      0.55 % 

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

For the six months ended March 31, 2017, the management fees and waivers of management fees for each Fund were as follows:

 

Fund

  

Gross
Management

Fees

    

Waivers of
Management

Fees1

    

Net
Management

Fees

    

Percentage of
Average
Daily Net Assets

  
       

Gross

    

Net

  

High Income Fund

   $ 508,152       —     $ 508,152       0.60 %      0.60 % 

Intermediate Duration Bond Fund

     210,492       68,944       141,548       0.25 %      0.17 % 

Limited Term Government and Agency Fund

     1,564,397       —       1,564,397       0.36 %      0.36 % 

 

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For the six months ended March 31, 2017, class-specific expenses have been reimbursed as follows:

 

     Reimbursement1  

Fund

   

Class A

     

Class C

     

Class Y

     

Total

  

High Income Fund

    $ 13,248      $ 4,612      $ 46,671      $ 64,531  

Limited Term Government and Agency Fund

      9,010        1,327        7,732        18,069  

 

1 

Waiver/expense reimbursements are subject to possible recovery until September 30, 2018.

No expenses were recovered for any of the Funds during the six months ended March 31, 2017 under the terms of the expense limitation agreements.

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

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

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) (effective August 31, 2016 for Intermediate Duration Bond Fund), and a Distribution and Service Plan relating to each Fund’s Class B and Class C shares (the “Class B and Class C Plans”).

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

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

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

 

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For the six months ended March 31, 2017, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution Fees  

Fund

   

Class A

     

Class C

     

Class C

  

High Income Fund

    $ 42,602      $ 15,052      $ 45,155  

Intermediate Duration Bond Fund

      24,542        3,785        11,355  

Limited Term Government and Agency Fund

      514,454        81,065        243,193  

c.  Administrative Fees.  NGAM Advisors, L.P. (“NGAM Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2017, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

High Income Fund

    $ 37,866  

Intermediate Duration Bond Fund

      37,647  

Limited Term Government and Agency Fund

      191,868  

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

 

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For the six months ended March 31, 2017, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

High Income Fund

    $ 92,824  

Intermediate Duration Bond Fund

      32,615  

Limited Term Government and Agency Fund

      233,725  

As of March 31, 2017, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements of
Sub-Transfer
Agent Fees

  

High Income Fund

    $ 2,007  

Intermediate Duration Bond Fund

      926  

Limited Term Government and Agency Fund

      5,554  

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended March 31, 2017 were as follows:

 

Fund

   

Commissions

  

High Income Fund

    $ 1,526  

Limited Term Government and Agency Fund

      12,637  

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $155,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each

 

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Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

g.  Affiliated Ownership.  As of March 31, 2017, Natixis US held shares of Intermediate Duration Bond representing less than 0.01% of the Fund’s net assets. Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of the Fund’s net assets:

 

Fund

   

Retirement Plan

  

Intermediate Duration Bond

      1.05 % 

Limited Term Government and Agency Fund

      0.53 % 

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

h.  Reimbursement of Transfer Agent Fees and Expenses.  NGAM Advisors has given a binding contractual undertaking to the High Income Fund and Limited Term Government and Agency Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through January 31, 2018 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended March 31, 2017, NGAM Advisors reimbursed the Funds for transfer agency expenses as follows:

 

    

Reimbursement of Transfer
Agency Expenses

  

Fund

   

Class N

  

High Income Fund

    $ 47  

Limited Term Government and Agency Fund

      16  

 

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7.  Class-Specific Transfer Agent Fees and Expenses.  For the six months ended March 31, 2017, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     Transfer Agent Fees and Expenses  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

  

High Income Fund

    $ 21,177      $ 7,481      $ 47      $ 76,571  

Intermediate Duration Bond

      31,404        4,230        —        662  

Limited Term Government and Agency Fund

      188,288        29,611        16        174,423  

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

All other Funds in this report allocate transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Effective April 13, 2017, the commitment fee is 0.15% per annum based on the average daily unused portion of the line of credit.

For the six months ended March 31, 2017, none of the Funds had borrowings under this agreement.

9.  Concentration of Risk.  Limited Term Government and Agency Fund’s investments in mortgage-related and asset-backed securities are subject to certain risks not associated with investments in other securities. Mortgage-related and asset-backed

 

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Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

securities are subject to the risk that unexpected changes in interest rates will have a direct effect on expected maturity. A shortened maturity may result in the reinvestment of prepaid amounts in securities with lower yields than the original obligations. An extended maturity may result in a reduction of a security’s value.

Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

10.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of March 31, 2017, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%
Account Holders

     

Percentage of
Ownership

  

High Income

      3        27.15 % 

Intermediate Duration Bond

      5        41.41 % 

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

 

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Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

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

 

    
 Six Months Ended
March 31, 2017
 		    
 Year Ended
September 30, 2016
 

High Income Fund

      Shares       Amount       Shares       Amount  
Class A  

Issued from the sale of shares

      1,857,162     $ 7,876,340       5,509,748     $ 22,242,447  

Issued in connection with the reinvestment of distributions

      169,106       715,844       299,177       1,169,586  

Redeemed

      (1,786,950 )      (7,562,340 )      (7,071,447 )      (28,018,252 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      239,318     $ 1,029,844       (1,262,522 )    $ (4,606,219 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class B(a)  

Issued in connection with the reinvestment of distributions

      —       —       4       17  

Redeemed

      —       —       (623 )      (2,485 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      —     $ —       (619 )    $ (2,468 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C  

Issued from the sale of shares

      371,106     $ 1,572,763       799,861     $ 3,141,922  

Issued in connection with the reinvestment of distributions

      51,235       217,356       88,851       345,998  

Redeemed

      (474,817 )      (2,015,122 )      (1,144,474 )      (4,485,915 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (52,476 )    $ (225,003 )      (255,762 )    $ (997,995 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N(b)  

Issued from the sale of shares

      241     $ 1,000       —     $ —  

Issued in connection with the reinvestment of distributions

      4       18       —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      245     $ 1,018       —     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y  

Issued from the sale of shares

      6,038,074     $ 25,606,940       14,901,804     $ 58,204,609  

Issued in connection with the reinvestment of distributions

      649,312       2,741,023       1,041,928       4,056,961  

Redeemed

      (7,487,070 )      (31,538,553 )      (14,689,863 )      (57,325,101 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (799,684 )    $ (3,190,590 )      1,253,869     $ 4,936,469  
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (612,597 )    $ (2,384,731 )      (265,034 )    $ (670,213 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.
(b) From commencement of Class operations on November 30, 2016 through March 31, 2017.

 

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Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

11.  Capital Shares (continued).

 

    
 Six Months Ended
March 31, 2017
 		    
 Year Ended
September 30, 2016
 

Intermediate Duration Bond Fund

      Shares       Amount       Shares       Amount  
Class A  

Issued from the sale of shares

      283,000     $ 2,905,875       525,035     $ 5,443,679  

Issued in connection with the reinvestment of distributions

      31,883       325,508       43,720       453,187  

Redeemed

      (163,947 )      (1,687,142 )      (505,357 )      (5,247,036 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      150,936     $ 1,544,241       63,398     $ 649,830  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C*  

Issued from the sale of shares

      14,096     $ 144,076       293,283     $ 3,088,274  

Issued in connection with the reinvestment of distributions

      3,940       40,185       — (a)      1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      18,036     $ 184,261       293,283     $ 3,088,275  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y  

Issued from the sale of shares

      3,091,874     $ 31,797,923       7,746,460     $ 80,334,377  

Issued in connection with the reinvestment of distributions

      204,120       2,083,435       231,356       2,401,500  

Redeemed

      (1,498,101 )      (15,319,843 )      (1,681,603 )      (17,455,864 ) 

Redeemed in-kind (Note 12)

      —       —       (1,574,765 )      (16,409,056 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      1,797,893     $ 18,561,515       4,721,448     $ 48,870,957  
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      1,966,865     $ 20,290,017       5,078,129     $ 52,609,062  
  

 

 

    

 

 

    

 

 

    

 

 

  
* From commencement of operations on August 31, 2016 through September 30, 2016 for Class C shares.
(a) Amount rounds to less than one share.

 

    
 Six Months Ended
March 31, 2017
 		    
 Year Ended
September 30, 2016
 

Limited Term Government and Agency Fund

      Shares       Amount       Shares       Amount  
Class A  

Issued from the sale of shares

      2,316,852     $ 26,383,219       23,688,131     $ 272,639,541  

Issued in connection with the reinvestment of distributions

      244,667       2,784,337       418,361       4,816,572  

Redeemed

      (8,773,249 )      (99,734,041 )      (15,575,978 )      (179,339,659 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (6,211,730 )    $ (70,566,485 )      8,530,514     $ 98,116,454  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class B(a)  

Issued from the sale of shares

      —     $ —       1,448     $ 16,709  

Issued in connection with the reinvestment of distributions

      —       —       426       4,887  

Redeemed

      —       —       (230,595 )      (2,644,555 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      —     $ —       (228,721 )    $ (2,622,959 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C  

Issued from the sale of shares

      652,132     $ 7,428,211       4,330,687     $ 49,825,855  

Issued in connection with the reinvestment of distributions

      16,165       184,042       29,632       341,361  

Redeemed

      (2,146,045 )      (24,426,057 )      (3,475,708 )      (40,028,796 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (1,477,748 )    $ (16,813,804 )      884,611     $ 10,138,420  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

97  |

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

11.  Capital Shares (continued).

 

    
 Six Months Ended
March 31, 2017
 		    
 Year Ended
September 30, 2016
 

Limited Term Government and Agency Fund (continued)

      Shares       Amount       Shares       Amount  
Class N(b)  

Issued from the sale of shares

      139,693     $ 1,591,100       —     $ —  

Issued in connection with the reinvestment of distributions

      224       2,547       —       —  

Redeemed

      (372 )      (4,219 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      139,545     $ 1,589,428       —     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y  

Issued from the sale of shares

      7,036,891     $ 80,345,028       22,122,240     $ 255,439,801  

Issued in connection with the reinvestment of distributions

      213,666       2,438,564       391,770       4,524,155  

Redeemed

      (10,610,129 )      (121,182,132 )      (24,037,266 )      (277,502,192 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (3,359,572 )    $ (38,398,540 )      (1,523,256 )    $ (17,538,236 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (10,909,505 )    $ (124,189,401 )      7,663,148     $ 88,093,679  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.
(b) From commencement of Class operations on February 1, 2017 through March 31, 2017.

12.   Redemption In-Kind.  In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital.

 

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Table of Contents

SEMIANNUAL REPORT

March 31, 2017

LOGO

 

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Strategic Income Fund

 

LOGO

 

 

TABLE OF CONTENTS

Portfolio Review  page 1

Portfolio of Investments  page 9

Financial Statements  page  39

Notes to Financial Statements  page 53

Table of Contents

LOOMIS SAYLES INVESTMENT GRADE BOND FUND

 

Managers      Symbols   
Matthew J. Eagan, CFA®      Class A    LIGRX
Daniel J. Fuss, CFA®, CIC      Class C    LGBCX
Brian P. Kennedy      Class N    LGBNX
Elaine M. Stokes      Class Y    LSIIX
Loomis, Sayles & Company, L.P.      Admin Class    LIGAX
       

 

 

Investment Goal

The Fund seeks high total investment return through a combination of current income and capital appreciation.

 

1  |

Table of Contents

Average Annual Total Returns — March 31, 20174

 

                                        Expense Ratios5  
    

6 Months

     1 Year     5 Years     10 Years    

Life of

Class N

     Gross     Net  
     

Class Y (Inception 12/31/96)

                

NAV

     0.35 %      5.09 %      3.38 %      5.84 %      — %      0.60 %      0.60 % 
     

Class A (Inception 12/31/96)

                

NAV

     0.13       4.73       3.12       5.57       —       0.85       0.85  

With 4.25% Maximum Sales Charge

     -4.09       0.25       2.22       5.11       —        
     

Class C (Inception 9/12/03)

                

NAV

     -0.26       3.99       2.34       4.78       —       1.60       1.60  

With CDSC2

     -1.20       3.01       2.34       4.78       —        
     

Class N (Inception 2/1/13)

                

NAV

     0.41       5.22       —       —       2.26       0.47       0.47  
     

Admin Class (Inception 2/1/10)1

                

NAV

     0.14       4.62       2.88       5.26       —       1.07       1.07  
   

Comparative Performance

                

Bloomberg Barclays U.S. Government/Credit Bond Index3

     -2.46       0.54       2.46       4.34       2.06                  

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

 

1 Prior to the inception of Admin Class shares (2/1/10), performance is that of Class A shares, restated to reflect the higher net expenses of Admin Class shares.

 

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

 

3 The Bloomberg Barclays U.S. Government/Credit Bond Index is a component of the Bloomberg Barclays U.S. Aggregate Bond Index and includes securities in the Government and Credit Indices. The Bloomberg Barclays U.S. Government Bond Index includes Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and Agencies (i.e., publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Bloomberg Barclays U.S. Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. You may not invest directly in an index.

 

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

 

5 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

|  2

Table of Contents

LOOMIS SAYLES STRATEGIC INCOME FUND

 

Managers      Symbols   
Matthew J. Eagan, CFA®      Class A    NEFZX
Daniel J. Fuss, CFA®, CIC      Class C    NECZX
Brian P. Kennedy      Class N    NEZNX
Elaine M. Stokes      Class Y    NEZYX
Loomis, Sayles & Company, L.P.      Admin Class    NEZAX

 

 

Investment Goal

The Fund seeks high current income with a secondary objective of capital growth.

 

3  |

Table of Contents

Average Annual Total Returns — March 31, 20175

 

                                       

Expense Ratios6

  
    

6 Months

     1 Year     5 Years     10 Years    

Life of

Class N

     Gross     Net  
     
Class Y (Inception 12/1/99)                
NAV     2.84 %      10.23 %      5.42 %      6.43 %      — %      0.71 %      0.71 % 
     
Class A (Inception 5/1/95)                
NAV     2.77       10.01       5.16       6.17       —       0.96       0.96  
With 4.25% Maximum Sales Charge     -1.58       5.37       4.26       5.71       —        
     
Class C (Inception 5/1/95)                
NAV     2.42       9.18       4.39       5.38       —       1.71       1.71  
With CDSC2     1.44       8.18       4.39       5.38       —        
     
Class N (Inception 2/1/13)                
NAV     2.88       10.31       —       —       4.40       0.63       0.63  
     
Admin Class (Inception 2/1/10)1                
NAV     2.67       9.72       4.91       5.89       —       1.20       1.20  
   
Comparative Performance                
Bloomberg Barclays U.S. Aggregate Bond Index3     -2.18       0.44       2.34       4.27       2.07        
Bloomberg Barclays U.S. Universal Bond Index4     -1.54       1.92       2.83       4.52       2.44                  

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

 

1 Prior to the inception of Admin Class shares (2/1/10), performance is that of Class A shares, restated to reflect the higher net expenses of Admin Class shares.

 

2 Class C share performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

3 The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. The Bloomberg Barclays U.S. Aggregate Bond Index rolls up into other Bloomberg Barclays flagship indices, such as the multi-currency Bloomberg Barclays Global Aggregate Index and the Bloomberg Barclays U.S. Universal Index, which includes high yield and emerging markets debt. The Bloomberg Barclays U.S. Aggregate Bond Index was created in 1986, with index history backfilled to January 1, 1976.

 

4 The Bloomberg Barclays U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index.

 

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

 

6 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

|  4

Table of Contents

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

 

5  |

Table of Contents

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions; and ongoing costs, including management fees, distribution fees (12b-1 fees) and/or service fees, and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2016 through March 31, 2017. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

 

|  6

Table of Contents
LOOMIS SAYLES INVESTMENT GRADE
BOND FUND		   BEGINNING
ACCOUNT VALUE
10/1/2016		     ENDING
ACCOUNT VALUE
3/31/2017		     EXPENSES PAID
DURING PERIOD*
10/1/2016 – 3/31/2017		  
Class A        
Actual     $1,000.00       $1,001.30       $4.14  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.79       $4.18  
Class C        
Actual     $1,000.00       $997.40       $7.87  
Hypothetical (5% return before expenses)     $1,000.00       $1,017.05       $7.95  
Class N        
Actual     $1,000.00       $1,004.10       $2.45  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.49       $2.47  
Class Y        
Actual     $1,000.00       $1,003.50       $2.90  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.04       $2.92  
Admin Class        
Actual     $1,000.00       $1,001.40       $4.94  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.00       $4.99  

 

* Expenses are equal to the Fund’s annualized expense ratio: 0.83%, 1.58%, 0.49%, 0.58% and 0.99% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

7  |

Table of Contents
LOOMIS SAYLES STRATEGIC INCOME FUND   BEGINNING
ACCOUNT VALUE
10/1/2016		     ENDING
ACCOUNT VALUE
3/31/2017		     EXPENSES PAID
DURING PERIOD*
10/1/2016 – 3/31/2017		  
Class A        
Actual     $1,000.00       $1,027.70       $4.85  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.15       $4.84  
Class C        
Actual     $1,000.00       $1,024.20       $8.63  
Hypothetical (5% return before expenses)     $1,000.00       $1,016.41       $8.60  
Class N        
Actual     $1,000.00       $1,028.80       $3.19  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.79       $3.18  
Class Y        
Actual     $1,000.00       $1,028.40       $3.59  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.39       $3.58  
Admin Class        
Actual     $1,000.00       $1,026.70       $5.91  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.10       $5.89  

 

* Expenses are equal to the Fund’s annualized expense ratio: 0.96%, 1.71%, 0.63%, 0.71% and 1.17% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

|  8

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund

 

Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 90.1% of Net Assets  
  Non-Convertible Bonds — 85.3%  
   ABS Other — 1.7%  
$ 53,977,111      FAN Engine Securitization Ltd., Series 2013-1A, Class 1A,
4.625%, 10/15/2043, 144A(b)(c)		    $ 53,356,374  
  11,217,587      Trinity Rail Leasing LLC, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A      11,507,132  
  32,396,888      Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A      33,293,831  
  2,342,792      Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A      2,254,594  
  5,058,841      Trip Rail Master Funding LLC, Series 2011-1A, Class A1A,
4.370%, 7/15/2041, 144A		      5,092,963  
     

 

 

  
        105,504,894  
     

 

 

  
   Aerospace & Defense — 2.0%  
  7,068,000      Arconic, Inc., 5.900%, 2/01/2027      7,566,648  
  4,934,000      Arconic, Inc., 6.750%, 1/15/2028      5,411,981  
  2,100,000      Bombardier, Inc., 7.450%, 5/01/2034, 144A      2,042,250  
  1,455,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      1,500,803  
  1,295,000      Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A      1,366,225  
  1,530,000      Meccanica Holdings USA, Inc., 7.375%, 7/15/2039      1,736,550  
  78,795,000      Textron, Inc., 5.950%, 9/21/2021      87,693,083  
  11,040,000      Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)      15,608,993  
     

 

 

  
        122,926,533  
     

 

 

  
   Airlines — 2.2%  
  4,013,067      Air Canada Pass Through Trust, Series 2013-1, Class B,
5.375%, 11/15/2022, 144A		      4,133,459  
  1,977,739      Continental Airlines Pass Through Certificates, Series 2012-1, Class B,
6.250%, 10/11/2021		      2,076,626  
  18,340,000      Continental Airlines Pass Through Certificates, Series 2012-3, Class C,
6.125%, 4/29/2018		      19,053,426  
  35,959      Continental Airlines Pass Through Trust, Series 1998-1, Class A,
6.648%, 3/15/2019		      36,726  
  425,647      Continental Airlines Pass Through Trust, Series 1999-1, Class A,
6.545%, 8/02/2020		      452,249  
  726,614      Continental Airlines Pass Through Trust, Series 2001-1, Class A-1,
6.703%, 12/15/2022		      766,578  
  45,232,226      Continental Airlines Pass Through Trust, Series 2007-1, Class A,
5.983%, 10/19/2023		      49,755,449  
  1,268,090      Delta Air Lines Pass Through Trust, Series 2007-1, Class A,
6.821%, 2/10/2024		      1,464,644  
  7,762,727      Delta Air Lines Pass Through Trust, Series 2007-1, Class B,
8.021%, 2/10/2024		      8,888,322  
  15,581,728      Delta Air Lines Pass Through Trust, Series 2009-1, Class A,
7.750%, 6/17/2021		      17,171,532  
  9,789,777      Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020      10,291,503  
  16,657,441      UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024      18,010,859  
  1,722,964      Virgin Australia Pass Through Certificates, Series 2013-1A,
5.000%, 4/23/2025, 144A		      1,786,662  
     

 

 

  
        133,888,035  
     

 

 

  

 

See accompanying notes to financial statements.

 

9  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Automotive — 1.3%  
$ 23,581,000      Cummins, Inc., 5.650%, 3/01/2098    $ 25,011,872  
  5,274,000      Cummins, Inc., 6.750%, 2/15/2027      6,259,784  
  125,000      Ford Motor Co., 6.500%, 8/01/2018      132,414  
  255,000      Ford Motor Co., 6.625%, 2/15/2028      296,216  
  240,000      Ford Motor Co., 7.500%, 8/01/2026      291,097  
  5,000,000      Ford Motor Credit Co. LLC, 5.000%, 5/15/2018      5,165,870  
  40,126,000      Ford Motor Credit Co. LLC, 6.625%, 8/15/2017      40,857,818  
  2,370,000      Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028      2,583,300  
     

 

 

  
        80,598,371  
     

 

 

  
   Banking — 11.6%  
  1,468,000      Ally Financial, Inc., 8.000%, 11/01/2031      1,743,250  
  7,200,000      American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017      7,342,999  
  84,339,000      Bank of America Corp., 6.110%, 1/29/2037      98,530,471  
  100,000      Bank of America Corp., MTN, 4.250%, 10/22/2026      101,542  
  25,627,000      Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027      25,720,129  
  25,090,000      Bank of Nova Scotia (The), 2.130%, 6/15/2020, (CAD)      19,187,336  
  2,173,000      Bear Stearns Cos. LLC (The), 4.650%, 7/02/2018      2,247,614  
  17,000,000      Citigroup, Inc., 3.500%, 5/15/2023      17,123,471  
  1,660,000      Citigroup, Inc., 4.500%, 1/14/2022      1,776,484  
  22,960,000      Citigroup, Inc., 5.130%, 11/12/2019, (NZD)      16,733,071  
  44,910,000      Citigroup, Inc., 6.250%, 6/29/2017, (NZD)      31,709,041  
  86,800,000      Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)      66,396,436  
  1,174,000      Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036      1,400,199  
  6,645,000      Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020      7,203,692  
  700,000      ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter),
6.375%, 4/30/2022, 144A		      700,000  
  70,245,000      JPMorgan Chase & Co., 4.125%, 12/15/2026      71,572,982  
  36,745,000      JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)      26,134,719  
  2,950,000      JPMorgan Chase & Co., EMTN, 0.817%, 5/30/2017, (GBP)(d)      3,694,164  
  100,000      Keybank NA, 6.950%, 2/01/2028      125,040  
  5,100,000      Lloyds Banking Group PLC, 5.300%, 12/01/2045      5,405,495  
  40,126,000      Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034      44,534,242  
  1,845,000      Morgan Stanley, 4.350%, 9/08/2026      1,889,787  
  30,000,000      Morgan Stanley, 4.750%, 11/16/2018, (AUD)      23,601,907  
  5,900,000      Morgan Stanley, 5.750%, 1/25/2021      6,549,331  
  151,076,000      Morgan Stanley, 7.600%, 8/08/2017, (NZD)      107,535,272  
  60,800,000      Morgan Stanley, 8.000%, 5/09/2017, (AUD)      46,721,715  
  20,695,000      Morgan Stanley, MTN, 4.100%, 5/22/2023      21,373,610  
  38,206,000      Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019      41,254,533  
  2,875,000      National City Bank of Indiana, 4.250%, 7/01/2018      2,957,524  
  8,638,000      National City Corp., 6.875%, 5/15/2019      9,486,925  
     

 

 

  
        710,752,981  
     

 

 

  
   Brokerage — 1.4%  
  50,270,000      Jefferies Group LLC, 5.125%, 1/20/2023      54,020,092  
  19,498,000      Jefferies Group LLC, 6.250%, 1/15/2036      20,491,852  
  8,760,000      Jefferies Group LLC, 6.450%, 6/08/2027      9,909,321  
     

 

 

  
        84,421,265  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  10

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Building Materials — 1.5%  
$ 6,058,000      Masco Corp., 6.500%, 8/15/2032    $ 7,149,730  
  24,203,000      Masco Corp., 7.125%, 3/15/2020      27,265,648  
  5,725,000      Masco Corp., 7.750%, 8/01/2029      7,360,947  
  41,379,000      Owens Corning, 7.000%, 12/01/2036      50,613,717  
     

 

 

  
        92,390,042  
     

 

 

  
   Cable Satellite — 1.6%  
  17,832,000      Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)      14,627,778  
  13,630,000      Time Warner Cable LLC, 4.125%, 2/15/2021      14,179,725  
  2,800,000      Time Warner Cable LLC, 4.500%, 9/15/2042      2,537,595  
  64,548,000      Time Warner Cable LLC, 6.750%, 7/01/2018      68,255,121  
     

 

 

  
        99,600,219  
     

 

 

  
   Chemicals — 0.9%  
  2,270,000      Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A      2,287,025  
  50,500,000      INVISTA Finance LLC, 4.250%, 10/15/2019, 144A      51,888,750  
     

 

 

  
        54,175,775  
     

 

 

  
   Construction Machinery — 0.1%  
  6,787,000      Toro Co. (The), 6.625%, 5/01/2037(b)(c)      7,568,394  
     

 

 

  
   Consumer Products — 0.1%  
  7,458,000      Hasbro, Inc., 6.600%, 7/15/2028      8,375,118  
     

 

 

  
     
   Diversified Manufacturing — 0.7%  
  35,580,000      General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)      25,240,871  
  5,305,000      General Electric Co., Series A, MTN, 1.323%, 5/13/2024(d)      5,133,861  
  1,395,000      Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018      1,489,998  
  11,754,000      Snap-on, Inc., 6.700%, 3/01/2019      12,811,072  
     

 

 

  
        44,675,802  
     

 

 

  
   Electric — 1.8%  
  26,999,538      Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A      29,596,866  
  8,175,456      Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(c)      2,708,120  
  9,066,000      Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017      9,066,000  
  30,430,000      EDP Finance BV, 4.125%, 1/15/2020, 144A      31,251,610  
  4,491,000      Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027      5,504,224  
  13,025,000      Enel Finance International NV, 6.000%, 10/07/2039, 144A      14,844,879  
  9,007,000      Enel Finance International NV, 6.800%, 9/15/2037, 144A      11,145,487  
  3,966,440      Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)(c)      4,187,966  
     

 

 

  
        108,305,152  
     

 

 

  
   Finance Companies — 3.7%  
  18,830,000      International Lease Finance Corp., 4.625%, 4/15/2021      19,855,576  
  62,425(††)      Navient Corp., 6.000%, 12/15/2043      1,410,597  
  5,615,000      Navient Corp., MTN, 6.125%, 3/25/2024      5,348,288  
  7,447,000      Navient Corp., Series A, MTN, 5.000%, 6/15/2018      7,474,926  
  90,196,000      Navient LLC, 5.500%, 1/25/2023      86,137,180  
  3,280,000      Navient LLC, MTN, 7.250%, 1/25/2022      3,406,116  
  641,000      Navient LLC, MTN, 8.000%, 3/25/2020      696,286  

 

See accompanying notes to financial statements.

 

11  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Finance Companies — continued  
$ 22,116,000      Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(c)    $ 17,195,190  
  14,625,000      Quicken Loans, Inc., 5.750%, 5/01/2025, 144A      14,369,063  
  16,717,000      Springleaf Finance Corp., 5.250%, 12/15/2019      16,863,274  
  31,883,000      Springleaf Finance Corp., 7.750%, 10/01/2021      33,955,395  
  16,599,000      Springleaf Finance Corp., 8.250%, 10/01/2023      17,491,196  
     

 

 

  
        224,203,087  
     

 

 

  
   Government Guaranteed — 0.4%  
  4,000,000      Japan Bank for International Cooperation (Japan),
2.300%, 3/19/2018, (CAD)		      3,033,094  
  31,142,000      Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)      22,311,352  
     

 

 

  
        25,344,446  
     

 

 

  
   Government Owned – No Guarantee — 0.7%  
  3,720,000      Abu Dhabi National Energy Co. PJSC, 6.500%, 10/27/2036, 144A      4,501,200  
  12,575,000      Pertamina Persero PT, 6.450%, 5/30/2044, 144A      14,188,536  
  17,435,000      Petrobras Global Finance BV, 4.375%, 5/20/2023      16,519,662  
  11,555,000      Petrobras Global Finance BV, 5.625%, 5/20/2043      9,535,186  
  1,000,000      Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A      1,272,258  
     

 

 

  
        46,016,842  
     

 

 

  
   Health Insurance — 0.1%  
  1,569,000      Cigna Corp., 7.875%, 5/15/2027      2,099,650  
  1,174,000      Cigna Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(e)      1,618,346  
     

 

 

  
        3,717,996  
     

 

 

  
   Healthcare — 0.8%  
  7,692,000      Boston Scientific Corp., 6.000%, 1/15/2020      8,427,471  
  7,374,000      Covidien International Finance S.A., 6.000%, 10/15/2017      7,552,517  
  9,385,000      HCA, Inc., 4.500%, 2/15/2027      9,385,000  
  4,806,000      HCA, Inc., 7.050%, 12/01/2027      5,280,592  
  1,592,000      HCA, Inc., 7.500%, 11/06/2033      1,741,250  
  3,807,000      HCA, Inc., 7.690%, 6/15/2025      4,335,221  
  2,480,000      HCA, Inc., MTN, 7.580%, 9/15/2025      2,786,900  
  3,068,000      HCA, Inc., MTN, 7.750%, 7/15/2036      3,378,635  
  4,785,000      Tenet Healthcare Corp., 6.875%, 11/15/2031      4,103,138  
     

 

 

  
        46,990,724  
     

 

 

  
   Home Construction — 0.2%  
  3,990,000      PulteGroup, Inc., 6.000%, 2/15/2035      3,910,200  
  3,567,000      PulteGroup, Inc., 6.375%, 5/15/2033      3,656,175  
  1,615,000      TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024      1,663,450  
     

 

 

  
        9,229,825  
     

 

 

  
   Independent Energy — 1.9%  
  11,295,000      California Resources Corp., 8.000%, 12/15/2022, 144A      9,177,187  
  7,335,000      Continental Resources, Inc., 3.800%, 6/01/2024      6,821,550  
  60,038,000      EQT Corp., 6.500%, 4/01/2018      62,664,783  
  9,787,000      EQT Corp., 8.125%, 6/01/2019      10,927,000  
  29,027,000      Noble Energy, Inc., 3.900%, 11/15/2024      29,421,825  

 

See accompanying notes to financial statements.

 

|  12

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Independent Energy — continued  
$ 400,000      QEP Resources, Inc., 5.250%, 5/01/2023    $ 392,156  
  60,000      Whiting Petroleum Corp., 6.250%, 4/01/2023      59,700  
     

 

 

  
        119,464,201  
     

 

 

  
   Integrated Energy — 0.1%  
  7,700,000      Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A      8,402,155  
     

 

 

  
   Life Insurance — 1.8%  
  1,475,000      American International Group, Inc., 4.875%, 6/01/2022      1,596,553  
  600,000      AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(f)      810,940  
  5,900,000      AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)      7,011,076  
  15,000,000      Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(c)      17,047,155  
  9,063,000      Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A      11,088,880  
  26,914,000      National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(c)      41,161,033  
  6,440,000      NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(c)      7,834,898  
  2,872,000      Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A      3,296,306  
  14,489,000      Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A      18,889,787  
     

 

 

  
        108,736,628  
     

 

 

  
   Local Authorities — 2.5%  
  37,829,000      New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)      29,770,149  
  152,895,000      New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)      120,950,611  
  489,000      Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)      498,928  
     

 

 

  
        151,219,688  
     

 

 

  
   Lodging — 0.9%  
  52,516,000      Choice Hotels International, Inc., 5.700%, 8/28/2020      56,914,215  
     

 

 

  
   Media Entertainment — 0.4%  
  4,482,000      21st Century Fox America, Inc., 8.150%, 10/17/2036      6,246,949  
  358,000,000      Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)      14,486,568  
  5,000,000      iHeartCommunications, Inc., 9.000%, 3/01/2021      3,800,000  
  1,805,000      R.R. Donnelley & Sons Co., 6.500%, 11/15/2023      1,750,850  
     

 

 

  
        26,284,367  
     

 

 

  
   Metals & Mining — 2.1%  
  1,689,997      1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(c)(g)(h)(i)      676  
  430,000      ArcelorMittal, 6.250%, 3/01/2021      464,400  
  4,085,000      ArcelorMittal, 7.000%, 2/25/2022      4,646,197  
  47,920,000      ArcelorMittal, 7.500%, 3/01/2041      53,632,064  
  19,365,000      ArcelorMittal, 7.750%, 10/15/2039      21,979,275  
  20,625,000      Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A      21,656,250  
  15,701,000      Freeport-McMoRan, Inc., 6.500%, 11/15/2020, 144A      16,054,272  
  4,612,000      United States Steel Corp., 6.650%, 6/01/2037      4,081,620  
  3,655,000      Vale Overseas Ltd., 6.875%, 11/21/2036      3,929,491  
  4,893,000      Worthington Industries, Inc., 6.500%, 4/15/2020      5,402,758  
     

 

 

  
        131,847,003  
     

 

 

  

 

See accompanying notes to financial statements.

 

13  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Midstream — 3.1%  
$ 650,000      DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A    $ 689,000  
  3,328,000      Florida Gas Transmission Co. LLC, 7.900%, 5/15/2019, 144A      3,692,007  
  14,300,000      IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A      15,413,827  
  14,660,000      Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023      14,428,592  
  3,105,000      Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020      3,357,828  
  7,461,000      Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021      8,196,796  
  85,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      95,200  
  31,311,000      ONEOK Partners LP, 4.900%, 3/15/2025      33,144,259  
  9,899,000      Panhandle Eastern Pipe Line Co. LP, 6.200%, 11/01/2017      10,132,458  
  47,594,000      Panhandle Eastern Pipe Line Co. LP, 7.000%, 6/15/2018      49,981,553  
  1,404,000      Panhandle Eastern Pipe Line Co. LP, 8.125%, 6/01/2019      1,557,592  
  15,683,000      Plains All American Pipeline LP/PAA Finance Corp., 6.500%, 5/01/2018      16,414,204  
  525,000      Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023      538,713  
  4,125,000      Southern Natural Gas Co., 5.900%, 4/01/2017, 144A      4,125,000  
  19,574,000      Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A      19,948,646  
  8,405,000      Williams Partners LP, 3.350%, 8/15/2022      8,390,779  
     

 

 

  
        190,106,454  
     

 

 

  
   Mortgage Related — 0.0%  
  17,615      FHLMC, 5.000%, 12/01/2031      19,212  
  2,981      FNMA, 6.000%, 7/01/2029      3,390  
     

 

 

  
        22,602  
     

 

 

  
   Natural Gas — 0.6%  
  1,745,000      NiSource Finance Corp., 6.125%, 3/01/2022      1,998,751  
  8,900,000      NiSource Finance Corp., 6.400%, 3/15/2018      9,282,700  
  21,614,000      NiSource Finance Corp., 6.800%, 1/15/2019      23,382,414  
     

 

 

  
        34,663,865  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 0.6%  
  11,450,000      CDGJ Commercial Mortgage Trust, Series 2014-BXCH,
3.412%, 12/15/2027, 144A(d)		      11,498,240  
  6,243,298      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)      4,708,212  
  27,000,000      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)      20,613,475  
  2,125,000      WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.641%, 3/15/2044, 144A(d)      2,175,320  
     

 

 

  
        38,995,247  
     

 

 

  
   Oil Field Services — 0.1%  
  5,000,000      Nabors Industries, Inc., 5.100%, 9/15/2023      5,050,000  
  587,000      Transocean, Inc., 7.375%, 4/15/2018      606,078  
     

 

 

  
        5,656,078  
     

 

 

  
   Paper — 1.3%  
  363,000      Georgia-Pacific LLC, 7.750%, 11/15/2029      503,987  
  7,049,000      International Paper Co., 8.700%, 6/15/2038      10,097,248  
  5,270,000      WestRock MWV LLC, 7.550%, 3/01/2047(b)(c)      6,548,312  

 

See accompanying notes to financial statements.

 

|  14

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Paper — continued  
$ 4,273,000      WestRock MWV LLC, 8.200%, 1/15/2030    $ 5,783,826  
  26,007,000      Weyerhaeuser Co., 6.875%, 12/15/2033      31,695,277  
  7,374,000      Weyerhaeuser Co., 7.375%, 10/01/2019      8,265,554  
  13,539,000      Weyerhaeuser Co., 7.375%, 3/15/2032      17,802,756  
     

 

 

  
        80,696,960  
     

 

 

  
   Property & Casualty Insurance — 0.1%  
  2,740,000      Fidelity National Financial, Inc., 5.500%, 9/01/2022      2,893,553  
  1,889,000      MBIA Insurance Corp., 12.283%, 1/15/2033, 144A(d)(j)      887,830  
  2,212,000      XLIT Ltd., 6.250%, 5/15/2027      2,602,608  
     

 

 

  
        6,383,991  
     

 

 

  
   Railroads — 0.2%  
  9,787,000      Canadian Pacific Railway Co., 7.250%, 5/15/2019      10,819,773  
  237,000      Missouri Pacific Railroad Co., 4.750%, 1/01/2030(b)(c)      232,167  
  1,701,000      Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(c)      1,581,878  
  191,000      Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)(c)      188,422  
     

 

 

  
        12,822,240  
     

 

 

  
   Real Estate Operations/Development — 0.2%  
  10,276,000      First Industrial LP, 5.950%, 5/15/2017      10,326,424  
     

 

 

  
   REITs – Apartments — 0.3%  
  16,491,000      Camden Property Trust, 5.700%, 5/15/2017      16,567,865  
     

 

 

  
   REITs – Health Care — 0.1%  
  5,972,000      Welltower, Inc., 6.500%, 3/15/2041      7,314,733  
     

 

 

  
   REITs – Single Tenant — 0.6%  
  8,690,000      Realty Income Corp., 5.750%, 1/15/2021      9,566,352  
  22,701,000      Realty Income Corp., 6.750%, 8/15/2019      25,098,838  
     

 

 

  
        34,665,190  
     

 

 

  
   Restaurants — 0.2%  
  10,320,000      Darden Restaurants, Inc., 6.000%, 8/15/2035      11,251,669  
     

 

 

  
   Retailers — 0.6%  
  1,255,000      Group 1 Automotive, Inc., 5.000%, 6/01/2022      1,264,413  
  430,000      J.C. Penney Corp., Inc., 5.750%, 2/15/2018      438,600  
  5,979,000      J.C. Penney Corp., Inc., 6.375%, 10/15/2036      4,558,987  
  5,446,000      J.C. Penney Corp., Inc., 7.625%, 3/01/2097      4,193,420  
  10,467,000      Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027      11,096,831  
  8,064,000      Marks & Spencer PLC, 7.125%, 12/01/2037, 144A      9,233,159  
  3,755,000      PVH Corp., 7.750%, 11/15/2023      4,393,350  
     

 

 

  
        35,178,760  
     

 

 

  
   Sovereigns — 0.6%  
  33,600,000      Republic of Iceland, 5.875%, 5/11/2022, 144A      37,950,494  
     

 

 

  
   Supermarkets — 0.7%  
  4,510,000      Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024, 144A      4,611,475  
  1,120,000      Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040      1,276,787  

 

See accompanying notes to financial statements.

 

15  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Supermarkets — continued  
$ 3,269,000      Kroger Co. (The), 6.400%, 8/15/2017    $ 3,326,917  
  6,595,000      New Albertson’s, Inc., 7.450%, 8/01/2029      6,248,762  
  7,875,000      New Albertson’s, Inc., 8.000%, 5/01/2031      7,619,062  
  989,000      New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028      885,155  
  17,290,000      SUPERVALU, Inc., 6.750%, 6/01/2021      17,203,550  
     

 

 

  
        41,171,708  
     

 

 

  
   Supranational — 0.3%  
  9,640,000      European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)      8,188,448  
  12,982,000      Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)      9,333,585  
     

 

 

  
        17,522,033  
     

 

 

  
   Technology — 0.5%  
  1,028,000      Arrow Electronics, Inc., 6.875%, 6/01/2018      1,083,001  
  7,487,000      Corning, Inc., 7.250%, 8/15/2036      9,027,547  
  16,735,000      KLA-Tencor Corp., 5.650%, 11/01/2034      17,893,765  
  1,502,000      Motorola Solutions, Inc., 6.625%, 11/15/2037      1,575,313  
  1,551,000      Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A      1,821,727  
     

 

 

  
        31,401,353  
     

 

 

  
   Treasuries — 27.8%  
  132,000,000      Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)      98,600,233  
  209,501,000      Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)      158,725,148  
  61,795,000      Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)      47,511,310  
  391,985,000      Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)      2,587,568  
  1,195,394,000      Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)      7,588,617  
  2,755,000(†††)      Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)      15,293,416  
  2,965,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)      16,278,459  
  7,555,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)      42,534,542  
  1,925,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)      11,357,472  
  23,970,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)      150,608,763  
  36,850,000      New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)      27,221,956  
  109,763,000      New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)      79,173,977  
  290,574,000      Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)      37,694,550  
  974,276,000      Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)      113,969,255  
  416,760,000      Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)      52,518,885  
  43,590,000      Republic of Brazil, 8.500%, 1/05/2024, (BRL)      13,227,656  
  23,848,000      Republic of Brazil, 10.250%, 1/10/2028, (BRL)      7,731,975  
  150,000,000      U.S. Treasury Note, 0.625%, 6/30/2018      149,062,500  
  125,000,000      U.S. Treasury Note, 0.750%, 1/31/2018      124,697,250  
  205,000,000      U.S. Treasury Note, 0.750%, 8/31/2018      203,830,885  
  350,000,000      U.S. Treasury Note, 0.750%, 9/30/2018      347,771,550  
     

 

 

  
        1,707,985,967  
     

 

 

  
   Wireless — 0.7%  
  559,910,000      America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)      27,872,511  
  58,200,000      America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)      2,805,512  
  6,373,000      Sprint Capital Corp., 6.875%, 11/15/2028      6,731,481  
  612,000      Sprint Capital Corp., 8.750%, 3/15/2032      735,930  

 

See accompanying notes to financial statements.

 

|  16

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Wireless — continued  
$ 1,609,000      Sprint Communications, Inc., 6.000%, 11/15/2022    $ 1,645,203  
  985,000      Sprint Corp., 7.125%, 6/15/2024      1,051,488  
     

 

 

  
        40,842,125  
     

 

 

  
   Wirelines — 4.2%  
  33,710,000      AT&T, Inc., 2.625%, 12/01/2022      32,938,783  
  26,815,000      AT&T, Inc., 3.000%, 2/15/2022      26,753,111  
  406,000      Bell Canada, Inc., MTN, 7.300%, 2/23/2032, (CAD)      410,549  
  2,936,000      BellSouth Telecommunications LLC, 5.850%, 11/15/2045      2,946,981  
  2,710,000      CenturyLink, Inc., 6.450%, 6/15/2021      2,879,077  
  670,000      CenturyLink, Inc., 7.650%, 3/15/2042      588,763  
  4,990,000      CenturyLink, Inc., Series G, 6.875%, 1/15/2028      4,840,300  
  4,508,000      CenturyLink, Inc., Series P, 7.600%, 9/15/2039      3,985,342  
  195,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      192,075  
  24,103,000      Embarq Corp., 7.995%, 6/01/2036      23,982,485  
  265,000      Frontier Communications Corp., 7.875%, 1/15/2027      217,586  
  1,365,000      Frontier Communications Corp., 9.000%, 8/15/2031      1,173,900  
  5,200,000      Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(g)      379,959  
  8,450,000      Portugal Telecom International Finance BV, EMTN,
4.500%, 6/16/2025, (EUR)(g)		      2,884,627  
  18,850,000      Portugal Telecom International Finance BV, EMTN,
5.000%, 11/04/2019, (EUR)(g)		      6,560,619  
  2,755,000      Qwest Capital Funding, Inc., 6.875%, 7/15/2028      2,613,806  
  4,370,000      Qwest Capital Funding, Inc., 7.625%, 8/03/2021      4,506,562  
  3,469,000      Qwest Capital Funding, Inc., 7.750%, 2/15/2031      3,252,187  
  333,000      Qwest Corp., 6.500%, 6/01/2017      334,668  
  12,308,000      Qwest Corp., 6.875%, 9/15/2033      12,255,814  
  9,077,000      Qwest Corp., 7.250%, 9/15/2025      9,921,297  
  9,474,000      Qwest Corp., 7.250%, 10/15/2035      9,399,771  
  3,185,000      Telecom Italia Capital S.A., 6.000%, 9/30/2034      3,145,188  
  7,955,000      Telecom Italia Capital S.A., 6.375%, 11/15/2033      8,039,482  
  4,100,000      Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)      5,994,907  
  9,100,000      Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)      13,717,291  
  54,665,000      Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)      44,669,220  
  32,509,000      Verizon Communications, Inc., 2.450%, 11/01/2022      31,357,759  
     

 

 

  
        259,942,109  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $5,406,390,621)		      5,233,021,625  
     

 

 

  
     
  Convertible Bonds — 4.5%  
   Finance Companies — 0.1%  
  3,905,000      Euronet Worldwide, Inc., 1.500%, 10/01/2044      4,937,384  
     

 

 

  
   Midstream — 0.0%  
  243,000      Chesapeake Energy Corp., 2.500%, 5/15/2037      239,355  
     

 

 

  
   Property & Casualty Insurance — 1.0%  
  46,995,000      Old Republic International Corp., 3.750%, 3/15/2018      62,532,722  
     

 

 

  

 

See accompanying notes to financial statements.

 

17  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Technology — 3.4%  
$ 75,689,000      Intel Corp., 3.250%, 8/01/2039    $ 132,219,222  
  11,515,000      Lam Research Corp., Series B, 1.250%, 5/15/2018      24,390,210  
  352,807      Liberty Interactive LLC, 3.500%, 1/15/2031      343,837  
  46,000,000      Priceline Group, Inc. (The), 0.900%, 9/15/2021      51,721,250  
     

 

 

  
        208,674,519  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $182,738,044)		      276,383,980  
     

 

 

  
     
  Municipals — 0.3%  
   Illinois — 0.1%  
  9,150,000      State of Illinois, 5.100%, 6/01/2033      8,348,643  
     

 

 

  
   Michigan — 0.0%  
  2,240,000      Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034      2,192,422  
     

 

 

  
   Virginia — 0.2%  
  10,740,000      Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046      9,000,335  
     

 

 

  
   Total Municipals
(Identified Cost $19,923,016)		      19,541,400  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $5,609,051,681)		      5,528,947,005  
     

 

 

  
     
Shares                
  Common Stocks — 0.8%  
   Automobiles — 0.8%  
  4,063,816      Ford Motor Co. (Identified Cost $34,826,997)      47,302,818  
     

 

 

  
     
  Preferred Stocks — 0.0%  
   Midstream — 0.0%  
  43,031      Chesapeake Energy Corp., 5.000% (Identified Cost $3,673,619)      2,753,984  
     

 

 

  
     
Principal
Amount (‡)		                
  Short-Term Investments — 7.9%  
$ 59,845,000      Federal Home Loan Bank Discount Notes, 0.550%, 4/04/2017(k)      59,843,863  
  140,155,000      Federal Home Loan Bank Discount Notes, 0.520%-0.560%, 4/10/2017(k)      140,136,219  
  207,223,675      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $207,227,474 on 4/03/2017 collateralized by $50,000,000 U.S. Treasury Note, 2.125% due 12/31/2021 valued at $50,667,350; $155,945,000 U.S. Treasury Note, 1.750% due 11/30/2021 valued at $155,606,755; $5,045,000 U.S. Treasury Note, 2.125% due 6/30/2022 valued at $5,098,144 including accrued interest (Note 2 of Notes to Financial Statements)      207,223,675  

 

See accompanying notes to financial statements.

 

|  18

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Short-Term Investments — (continued)  
$ 75,000,000      U.S. Treasury Bills, 0.730%, 04/27/2017(k)    $ 74,963,475  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $482,162,756)		      482,167,232  
     

 

 

  
     
   Total Investments — 98.8%
(Identified Cost $6,129,715,053)(a)		      6,061,171,039  
   Other assets less liabilities — 1.2%      71,560,069  
     

 

 

  
   Net Assets — 100.0%    $ 6,132,731,108  
     

 

 

  
     
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)      See Note 2 of Notes to Financial Statements.   
  (††)      Amount shown represents units. One unit represents a principal amount of 25.  
  (†††)      Amount shown represents units. One unit represents a principal amount of 100.  
  (a)      Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):  
   At March 31, 2017, the net unrealized depreciation on investments based on a cost of $6,176,098,317 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    $ 382,499,545  
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (497,426,823 ) 
     

 

 

  
   Net unrealized depreciation    $ (114,927,278 ) 
     

 

 

  
     
  (b)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $159,609,909 or 2.6% of net assets. See Note 2 of Notes to Financial Statements.  
  (c)      Illiquid security.   
  (d)      Variable rate security. Rate as of March 31, 2017 is disclosed.   
  (e)      Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.  
  (f)      Perpetual bond with no specified maturity date.   
  (g)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.  
  (h)      Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.  
  (i)      Fair valued by the Fund’s adviser. At March 31, 2017, the value of this security amounted to $676 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.  
  (j)      Non-income producing security.   
  (k)      Interest rate represents discount rate at time of purchase; not a coupon rate.  
     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $814,012,666 or 13.3% of net assets.  
  ABS      Asset-Backed Securities   

 

See accompanying notes to financial statements.

 

19  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

  EMTN      Euro Medium Term Note   
  FHLMC      Federal Home Loan Mortgage Corp.   
  FNMA      Federal National Mortgage Association   
  GMTN      Global Medium Term Note   
  MTN      Medium Term Note   
  PIK      Payment-in-Kind   
  PJSC      Private Joint-Stock Company   
  REITs      Real Estate Investment Trusts   
     
  AUD      Australian Dollar   
  BRL      Brazilian Real   
  CAD      Canadian Dollar   
  EUR      Euro   
  GBP      British Pound   
  ISK      Icelandic Krona   
  MXN      Mexican Peso   
  NOK      Norwegian Krone   
  NZD      New Zealand Dollar   

Industry Summary at March 31, 2017 (Unaudited)

 

Treasuries

      27.8 % 

Banking

      11.6  

Wirelines

      4.2  

Technology

      3.9  

Finance Companies

      3.8  

Midstream

      3.1  

Local Authorities

      2.5  

Airlines

      2.2  

Metals & Mining

      2.1  

Aerospace & Defense

      2.0  

Other Investments, less than 2% each

      27.7  

Short-Term Investments

      7.9  
  

 

 

  

Total Investments

      98.8  

Other assets less liabilities

      1.2  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

Currency Exposure Summary at March 31, 2017 (Unaudited)

 

United States Dollar

      72.2 % 

Canadian Dollar

      7.7  

New Zealand Dollar

      5.7  

Mexican Peso

      4.7  

Australian Dollar

      3.8  

Norwegian Krone

      3.4  

Other, less than 2% each

      1.3  
  

 

 

  

Total Investments

      98.8  

Other assets less liabilities

      1.2  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  20

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund

 

Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 77.7% of Net Assets  
  Non-Convertible Bonds — 70.8%  
   ABS Other — 0.2%  
$ 20,460,830      GCA2014 Holdings Ltd., Series 2014-1, Class C,
6.000%, 1/05/2030, 144A(b)(c)		    $ 12,931,245  
  8,033,348      GCA2014 Holdings Ltd., Series 2014-1, Class D,
7.500%, 1/05/2030, 144A(b)(c)		      2,315,211  
  42,000,000      GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon,
1/05/2030, 144A(b)(c)(d)		      92,400  
  11,238,245      Global Container Assets Ltd., Series 2015-1A, Class B,
4.500%, 2/05/2030, 144A(b)(e)		      10,786,350  
     

 

 

  
        26,125,206  
     

 

 

  
   Aerospace & Defense — 1.1%  
  790,000      Arconic, Inc., 5.900%, 2/01/2027      845,734  
  3,685,000      Arconic, Inc., 6.750%, 1/15/2028      4,041,984  
  620,000      Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)      456,311  
  11,800,000      Bombardier, Inc., 7.450%, 5/01/2034, 144A      11,475,500  
  3,145,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      3,244,005  
  22,548,000      Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A      23,788,140  
  20,755,000      Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A      23,556,925  
  5,310,000      Textron Financial Corp., 2.774%, 2/15/2067, 144A(f)      4,009,050  
  24,513,000      TransDigm, Inc., 6.500%, 7/15/2024      24,850,054  
  17,765,000      TransDigm, Inc., 6.500%, 5/15/2025      17,920,444  
     

 

 

  
        114,188,147  
     

 

 

  
   Airlines — 2.7%  
  130,040,000      American Airlines Group, Inc., 5.500%, 10/01/2019, 144A      135,241,600  
  12,054,116      American Airlines Pass Through Trust, Series 2013-1, Class A,
4.000%, 1/15/2027		      12,422,852  
  175,117      Continental Airlines Pass Through Certificates, Series 1999-1, Class B,
6.795%, 2/02/2020		      180,370  
  2,568,157      Continental Airlines Pass Through Certificates, Series 2012-1, Class B,
6.250%, 10/11/2021		      2,696,564  
  2,379,778      Continental Airlines Pass Through Certificates, Series 2012-2, Class B,
5.500%, 4/29/2022		      2,490,771  
  21,015,000      Continental Airlines Pass Through Certificates, Series 2012-3, Class C,
6.125%, 4/29/2018		      21,832,484  
  930      Continental Airlines Pass Through Trust, Series 1999-2, Class B,
7.566%, 9/15/2021		      919  
  432,962      Continental Airlines Pass Through Trust, Series 2001-1, Class A-1,
6.703%, 12/15/2022		      456,775  
  474,975      Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured),
6.264%, 5/20/2023		      512,973  
  6,442,952      US Airways Pass Through Trust, Series 2010-1B, Class B,
8.500%, 10/22/2018		      6,463,183  
  34,669,397      US Airways Pass Through Trust, Series 2011-1B, Class B,
9.750%, 4/22/2020		      38,172,393  

 

See accompanying notes to financial statements.

 

21  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Airlines — continued  
$ 5,498,371      US Airways Pass Through Trust, Series 2012-1B, Class B,
8.000%, 4/01/2021		    $ 5,938,241  
  48,950,000      Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A      51,519,875  
  3,211,416      Virgin Australia Pass Through Certificates, Series 2013-1B,
6.000%, 4/23/2022, 144A		      3,259,715  
  4,535,766      Virgin Australia Pass Through Certificates, Series 2013-1C,
7.125%, 10/23/2018, 144A		      4,604,528  
     

 

 

  
        285,793,243  
     

 

 

  
   Automotive — 0.3%  
  1,220,000      Ford Motor Co., 6.625%, 2/15/2028      1,417,189  
  1,345,000      Ford Motor Co., 7.500%, 8/01/2026      1,631,357  
  4,977,000      Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028      5,424,930  
  26,055,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A      26,901,787  
     

 

 

  
        35,375,263  
     

 

 

  
   Banking — 5.7%  
  6,000,000      Ally Financial, Inc., 8.000%, 11/01/2031      7,125,000  
  265,000      Bank of America Corp., MTN, 4.250%, 10/22/2026      269,087  
  1,500,000      Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(g)      1,545,000  
  7,045,000      Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027      7,070,601  
  10,000,000      Bank of Nova Scotia (The), 2.462%, 3/14/2019, (CAD)      7,679,287  
  36,445,000      Citigroup, Inc., 5.130%, 11/12/2019, (NZD)      26,560,835  
  22,091,000      Citigroup, Inc., 6.250%, 6/29/2017, (NZD)      15,597,516  
  3,450,000      Cooperatieve Rabobank UA, 3.950%, 11/09/2022      3,540,497  
  25,000,000      Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)      19,778,170  
  9,090,000      ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter),
6.375%, 4/30/2022, 144A		      9,090,000  
  19,245,000      Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A      18,104,368  
  45,620,000      JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)      32,447,023  
  800,000      Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034      887,888  
  36,195,000      Morgan Stanley, 4.350%, 9/08/2026      37,073,634  
  35,325,000      Morgan Stanley, 4.750%, 11/16/2018, (AUD)      27,791,246  
  185,000,000      Morgan Stanley, 5.000%, 9/30/2021, (AUD)      150,699,339  
  74,310,000      Morgan Stanley, 7.600%, 8/08/2017, (NZD)      52,893,551  
  100,265,000      Morgan Stanley, 8.000%, 5/09/2017, (AUD)      77,048,565  
  46,735,000      Morgan Stanley, MTN, 4.100%, 5/22/2023      48,267,487  
  10,000,000      Morgan Stanley, MTN, 6.250%, 8/09/2026      11,897,510  
  53,095,000      Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)      41,519,384  
     

 

 

  
        596,885,988  
     

 

 

  
   Brokerage — 1.1%  
  5,000,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A      4,775,000  
  22,540,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A      22,737,225  
  43,025,000      Jefferies Group LLC, 5.125%, 1/20/2023      46,234,622  
  20,010,000      Jefferies Group LLC, 6.250%, 1/15/2036      21,029,950  
  15,215,000      Jefferies Group LLC, 6.450%, 6/08/2027      17,211,223  
     

 

 

  
        111,988,020  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Building Materials — 0.5%  
$ 19,945,000      Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A    $ 18,823,094  
  6,995,000      Masco Corp., 6.500%, 8/15/2032      8,255,590  
  1,515,000      Masco Corp., 7.125%, 3/15/2020      1,706,708  
  2,630,000      Masco Corp., 7.750%, 8/01/2029      3,381,536  
  2,000,000      NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A      2,170,000  
  18,640,000      Owens Corning, 7.000%, 12/01/2036      22,799,963  
     

 

 

  
        57,136,891  
     

 

 

  
   Cable Satellite — 1.3%  
  850,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A      875,500  
  975,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A      1,000,594  
  3,315,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024      3,447,600  
  4,360,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A      4,578,000  
  17,679,000      DISH DBS Corp., 5.875%, 11/15/2024      18,567,370  
  25,270,000      Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)      20,729,248  
  4,835,000      Time Warner Cable LLC, 4.500%, 9/15/2042      4,381,883  
  135,000      Time Warner Cable LLC, 5.875%, 11/15/2040      143,310  
  44,800,000      UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)      50,193,733  
  11,275,000      Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)      8,891,722  
  7,000,000      Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A      7,253,750  
  20,300,000      VTR Finance BV, 6.875%, 1/15/2024, 144A      21,112,000  
     

 

 

  
        141,174,710  
     

 

 

  
   Chemicals — 2.8%  
  19,810,000      Aruba Investments, Inc., 8.750%, 2/15/2023, 144A      20,404,300  
  35,665,000      Chemours Co. (The), 6.625%, 5/15/2023      37,804,900  
  85,854,000      Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A      86,497,905  
  20,000,000      Eco Services Operations LLC/Eco Finance Corp.,
8.500%, 11/01/2022, 144A		      21,050,000  
  26,164,000      Hexion, Inc., 7.875%, 2/15/2023(b)(c)      13,343,640  
  8,757,000      Hexion, Inc., 9.200%, 3/15/2021(b)(c)      4,728,780  
  16,660,000      Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020      12,495,000  
  90,205,000      INVISTA Finance LLC, 4.250%, 10/15/2019, 144A      92,685,637  
  885,000      TPC Group, Inc., 8.750%, 12/15/2020, 144A      805,527  
     

 

 

  
        289,815,689  
     

 

 

  
   Construction Machinery — 0.1%  
  840,000      Joy Global, Inc., 6.625%, 11/15/2036      1,021,233  
  5,105,000      United Rentals North America, Inc., 5.750%, 11/15/2024      5,321,962  
  4,178,000      United Rentals North America, Inc., 7.625%, 4/15/2022      4,350,342  
     

 

 

  
        10,693,537  
     

 

 

  
   Consumer Cyclical Services — 0.1%  
  670,000      ServiceMaster Co. LLC (The), 7.100%, 3/01/2018      693,450  
  5,500,000      ServiceMaster Co. LLC (The), 7.450%, 8/15/2027      6,008,750  
     

 

 

  
        6,702,200  
     

 

 

  
   Consumer Products — 0.1%  
  11,880,000      Avon Products, Inc., 8.950%, 3/15/2043      10,490,040  
     

 

 

  

 

See accompanying notes to financial statements.

 

23  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Diversified Manufacturing — 0.4%  
  57,000,000      General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)    $ 40,436,470  
     

 

 

  
   Electric — 1.3%  
  5,093,000      AES Corp. (The), 4.875%, 5/15/2023      5,067,535  
  9,505,000      AES Corp. (The), 5.500%, 3/15/2024      9,647,575  
  10,185,000      AES Corp. (The), 5.500%, 4/15/2025      10,337,775  
  36,948,752      Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A      40,503,185  
  49,217,455      Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(e)      16,303,282  
  1,022,976      CE Generation LLC, 7.416%, 12/15/2018      961,598  
  19,705,000      Dynegy, Inc., 7.625%, 11/01/2024      18,818,275  
  29,959,000      EDP Finance BV, 4.125%, 1/15/2020, 144A      30,767,893  
  3,570,000      Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027      4,375,435  
  341,935      Red Oak Power LLC, Series A, 8.540%, 11/30/2019      341,935  
     

 

 

  
        137,124,488  
     

 

 

  
   Finance Companies — 3.6%  
  4,095,000      iStar, Inc., 4.875%, 7/01/2018      4,120,594  
  14,060,000      iStar, Inc., 5.000%, 7/01/2019      14,147,875  
  2,260,000      Navient Corp., 5.875%, 10/25/2024      2,108,151  
  109,950(††)      Navient Corp., 6.000%, 12/15/2043      2,484,503  
  30,265,000      Navient Corp., MTN, 6.125%, 3/25/2024      28,827,412  
  14,465,000      Navient Corp., Series A, MTN, 5.000%, 6/15/2018      14,519,244  
  23,020,000      Navient LLC, 4.875%, 6/17/2019      23,566,725  
  22,945,000      Navient LLC, 5.500%, 1/25/2023      21,912,475  
  5,910,000      Navient LLC, MTN, 4.625%, 9/25/2017      5,954,325  
  7,780,000      Navient LLC, MTN, 5.500%, 1/15/2019      8,060,080  
  6,490,000      Navient LLC, MTN, 7.250%, 1/25/2022      6,739,541  
  2,160,000      Navient LLC, MTN, 8.000%, 3/25/2020      2,346,300  
  50,910,000      Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(e)      39,582,525  
  46,475,000      Springleaf Finance Corp., 5.250%, 12/15/2019      46,881,656  
  97,110,000      Springleaf Finance Corp., 7.750%, 10/01/2021      103,422,150  
  55,015,000      Springleaf Finance Corp., 8.250%, 10/01/2023      57,972,056  
     

 

 

  
        382,645,612  
     

 

 

  
   Food & Beverage — 0.1%  
  4,880,000      Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A      5,087,400  
     

 

 

  
   Government Owned – No Guarantee — 0.7%  
  22,160,000      Pertamina Persero PT, 6.450%, 5/30/2044, 144A      25,003,416  
  21,145,000      Petrobras Global Finance BV, 4.375%, 5/20/2023      20,034,888  
  30,955,000      Petrobras Global Finance BV, 5.625%, 5/20/2043      25,544,066  
     

 

 

  
        70,582,370  
     

 

 

  
   Healthcare — 3.1%  
  2,160,000      BioScrip, Inc., 8.875%, 2/15/2021      1,856,887  
  14,335,000      CHS/Community Health Systems, Inc., 6.875%, 2/01/2022      12,328,100  
  40,686,000      HCA, Inc., 5.875%, 5/01/2023      43,940,880  
  14,620,000      HCA, Inc., 7.050%, 12/01/2027      16,063,725  
  20,447,000      HCA, Inc., 7.500%, 12/15/2023      23,360,698  
  24,215,000      HCA, Inc., 7.500%, 11/06/2033      26,485,156  

 

See accompanying notes to financial statements.

 

|  24

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Healthcare — continued  
$ 43,928,000      HCA, Inc., 7.690%, 6/15/2025    $ 50,023,010  
  32,745,000      HCA, Inc., 8.360%, 4/15/2024      38,598,169  
  10,815,000      HCA, Inc., MTN, 7.580%, 9/15/2025      12,153,356  
  9,492,000      HCA, Inc., MTN, 7.750%, 7/15/2036      10,453,065  
  955,000      Tenet Healthcare Corp., 4.375%, 10/01/2021      955,000  
  29,130,000      Tenet Healthcare Corp., 5.000%, 3/01/2019      29,174,569  
  25,780,000      Tenet Healthcare Corp., 6.750%, 6/15/2023      25,328,850  
  33,959,000      Tenet Healthcare Corp., 6.875%, 11/15/2031      29,119,842  
  1,015,000      Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A      1,096,200  
  990,000      Tenet Healthcare Corp., 8.125%, 4/01/2022      1,033,313  
     

 

 

  
        321,970,820  
     

 

 

  
   Home Construction — 1.0%  
  3,075,000      Beazer Homes USA, Inc., 7.250%, 2/01/2023      3,174,938  
  13,360,000      K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(e)      10,788,200  
  29,735,000      K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A      24,680,050  
  47,260,000      PulteGroup, Inc., 6.000%, 2/15/2035      46,314,800  
  13,190,000      PulteGroup, Inc., 6.375%, 5/15/2033      13,519,750  
  10,305,000      TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019      10,536,862  
  195,000      TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024      200,850  
     

 

 

  
        109,215,450  
     

 

 

  
   Independent Energy — 2.5%  
  595,000      Anadarko Petroleum Corp., 3.450%, 7/15/2024      580,144  
  540,000      Anadarko Petroleum Corp., 4.500%, 7/15/2044      509,379  
  4,810,000      Antero Resources Corp., 5.625%, 6/01/2023      4,918,225  
  28,825,000      Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A      29,833,875  
  8,145,000      Baytex Energy Corp., 5.125%, 6/01/2021, 144A      7,350,862  
  8,225,000      Baytex Energy Corp., 5.625%, 6/01/2024, 144A      7,238,000  
  15,000,000      Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A      14,231,250  
  8,645,000      California Resources Corp., 5.500%, 9/15/2021      6,397,300  
  1,188,000      California Resources Corp., 6.000%, 11/15/2024      831,600  
  38,185,000      California Resources Corp., 8.000%, 12/15/2022, 144A      31,025,312  
  1,310,000      Chesapeake Energy Corp., 4.875%, 4/15/2022      1,179,000  
  55,000      Chesapeake Energy Corp., 6.875%, 11/15/2020      54,863  
  21,335,000      Chesapeake Energy Corp., 8.000%, 1/15/2025, 144A      21,335,000  
  6,505,000      Continental Resources, Inc., 3.800%, 6/01/2024      6,049,650  
  19,290,000      Eclipse Resources Corp., 8.875%, 7/15/2023      19,675,800  
  3,490,000      Halcon Resources Corp., 6.750%, 2/15/2025, 144A      3,427,180  
  180,000      MEG Energy Corp., 6.375%, 1/30/2023, 144A      160,875  
  4,515,000      MEG Energy Corp., 7.000%, 3/31/2024, 144A      4,040,925  
  1,022,000      Noble Energy, Inc., 5.625%, 5/01/2021      1,052,650  
  1,065,000      Oasis Petroleum, Inc., 6.875%, 1/15/2023      1,083,638  
  7,170,000      Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A      7,738,294  
  2,055,000      QEP Resources, Inc., 5.250%, 5/01/2023      2,014,701  
  17,187,000      Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)      8,851,305  
  2,565,000      Rice Energy, Inc., 6.250%, 5/01/2022      2,641,950  

 

See accompanying notes to financial statements.

 

25  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Independent Energy — continued  
$ 1,735,000      RSP Permian, Inc., 6.625%, 10/01/2022    $ 1,826,088  
  17,908,000      Sanchez Energy Corp., 6.125%, 1/15/2023      16,609,670  
  9,520,000      Sanchez Energy Corp., 7.750%, 6/15/2021      9,401,000  
  8,241,000      SM Energy Co., 5.000%, 1/15/2024      7,787,745  
  21,280,000      SM Energy Co., 6.125%, 11/15/2022      21,439,600  
  801,000      SM Energy Co., 6.500%, 11/15/2021      821,025  
  2,522,000      SM Energy Co., 6.500%, 1/01/2023      2,559,830  
  1,110,000      Southwestern Energy Co., 6.700%, 1/23/2025      1,093,350  
  10,845,000      Whiting Petroleum Corp., 5.000%, 3/15/2019      10,817,887  
  4,855,000      Whiting Petroleum Corp., 5.750%, 3/15/2021      4,806,450  
  945,000      Whiting Petroleum Corp., 6.250%, 4/01/2023      940,275  
     

 

 

  
        260,324,698  
     

 

 

  
   Industrial Other — 0.1%  
  6,880,000      Broadspectrum Ltd., 8.375%, 5/15/2020, 144A      7,189,600  
     

 

 

  
   Life Insurance — 0.6%  
  15,000,000      Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(e)      17,047,155  
  1,225,000      Genworth Holdings, Inc., 3.042%, 11/15/2066(f)      606,375  
  3,230,000      Genworth Holdings, Inc., 4.800%, 2/15/2024      2,656,675  
  6,955,000      Genworth Holdings, Inc., 4.900%, 8/15/2023      5,790,038  
  20,000,000      National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(e)      30,587,080  
  8,920,000      NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(e)      10,852,063  
     

 

 

  
        67,539,386  
     

 

 

  
   Local Authorities — 1.4%  
  95,480,000      New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)      77,771,898  
  82,840,000      New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)      65,532,219  
     

 

 

  
        143,304,117  
     

 

 

  
   Media Entertainment — 1.3%  
  111,590,000      Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)      4,515,520  
  64,250,000      iHeartCommunications, Inc., 9.000%, 3/01/2021      48,830,000  
  33,370,000      iHeartCommunications, Inc., 9.000%, 9/15/2022      25,069,213  
  7,180,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022      7,431,300  
  17,950,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025      18,802,625  
  27,185,000      R.R. Donnelley & Sons Co., 6.000%, 4/01/2024      25,316,031  
  2,410,000      R.R. Donnelley & Sons Co., 6.500%, 11/15/2023      2,337,700  
  283,000      R.R. Donnelley & Sons Co., 7.000%, 2/15/2022      287,245  
  5,925,000      R.R. Donnelley & Sons Co., 7.875%, 3/15/2021      6,369,375  
     

 

 

  
        138,959,009  
     

 

 

  
   Metals & Mining — 2.0%  
  8,202,122      1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(c)(i)(j)      3,281  
  2,000,000      AK Steel Corp., 7.625%, 10/01/2021      2,087,500  
  25,271,000      ArcelorMittal, 7.500%, 3/01/2041      28,283,303  
  30,695,000      Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A      32,229,750  
  8,705,000      Barrick North America Finance LLC, 5.750%, 5/01/2043      10,088,059  

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Metals & Mining — continued  
$ 26,350,000      Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(b)(e)(i)    $ 2,964,375  
  12,315,000      First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A      12,699,844  
  14,645,000      Lundin Mining Corp., 7.500%, 11/01/2020, 144A      15,487,087  
  51,000,000      Lundin Mining Corp., 7.875%, 11/01/2022, 144A      55,781,250  
  4,200,000      Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A      4,373,250  
  16,135,000      Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)      12,390,772  
  11,719,000      United States Steel Corp., 6.650%, 6/01/2037      10,371,315  
  4,835,000      United States Steel Corp., 6.875%, 4/01/2021      4,943,788  
  2,655,000      United States Steel Corp., 7.375%, 4/01/2020      2,854,125  
  10,000,000      Worthington Industries, Inc., 6.500%, 4/15/2020      11,041,810  
     

 

 

  
        205,599,509  
     

 

 

  
   Midstream — 0.1%  
  8,935,000      IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A      9,630,947  
  505,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      565,600  
  3,185,492      Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A      3,426,793  
     

 

 

  
        13,623,340  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 1.3%  
  24,669,810      Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 2.591%, 5/13/2031, 144A(b)(e)(f)      24,608,343  
  12,902,000      Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR2, 3.091%, 5/13/2031, 144A(b)(e)(f)      12,939,080  
  8,622,000      Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR3, 3.541%, 5/13/2031, 144A(b)(e)(f)      8,705,580  
  16,080,000      Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 4.641%, 5/13/2031, 144A(b)(e)(f)      15,718,115  
  35,060,000      GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.949%, 8/10/2045(f)      35,087,154  
  11,458,772      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1,
2.003%, 7/12/2047, 144A, (CAD)		      8,641,319  
  29,760,498      Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(b)(e)      30,132,504  
     

 

 

  
        135,832,095  
     

 

 

  
   Oil Field Services — 1.8%  
  19,335,000      FTS International, Inc., 6.250%, 5/01/2022      16,676,438  
  7,120,000      Global Marine, Inc., 7.000%, 6/01/2028      6,301,200  
  17,482,000      Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(b)(e)(i)      3,146,760  
  40,403,000      Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(b)(e)(i)      7,272,540  
  18,385,000      Pioneer Energy Services Corp., 6.125%, 3/15/2022      16,730,350  
  12,020,000      Precision Drilling Corp., 5.250%, 11/15/2024      11,388,950  
  594,000      Precision Drilling Corp., 6.500%, 12/15/2021      592,646  
  1,548,586      Precision Drilling Corp., 6.625%, 11/15/2020      1,556,329  
  89,205,000      Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A      92,104,162  
  39,300,000      Transocean, Inc., 5.550%, 10/15/2022      36,966,562  
  1,320,000      Transocean, Inc., 6.800%, 3/15/2038      1,085,700  
     

 

 

  
        193,821,637  
     

 

 

  

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Packaging — 0.0%  
$ 1,705,000      Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc.,
6.375%, 5/01/2022, 144A		    $ 1,748,682  
     

 

 

  
   Paper — 0.4%  
  15,225,000      Georgia-Pacific LLC, 7.750%, 11/15/2029      21,138,299  
  4,865,000      WestRock MWV LLC, 7.950%, 2/15/2031      6,584,062  
  8,750,000      WestRock MWV LLC, 8.200%, 1/15/2030      11,843,781  
  2,840,000      Weyerhaeuser Co., 6.950%, 10/01/2027      3,430,993  
     

 

 

  
        42,997,135  
     

 

 

  
   Property & Casualty Insurance — 0.2%  
  12,510,000      MBIA Insurance Corp., 12.283%, 1/15/2033, 144A(d)(f)      5,879,700  
  3,000,000      Sirius International Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(g)      3,060,000  
  17,870,000      XL Group PLC, (fixed rate to 4/15/2017, variable rate thereafter), 6.500%(g)      15,010,800  
     

 

 

  
        23,950,500  
     

 

 

  
   Railroads — 0.0%  
  1,153,000      Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(e)      1,072,254  
     

 

 

  
   Restaurants — 0.0%  
  1,330,000      Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)      1,735,095  
     

 

 

  
     
   Retailers — 0.9%  
  3,325,000      Dillard’s, Inc., 7.000%, 12/01/2028      3,762,537  
  1,500,000      Dillard’s, Inc., 7.750%, 7/15/2026      1,738,335  
  10,270,000      Foot Locker, Inc., 8.500%, 1/15/2022      12,080,087  
  830,000      J.C. Penney Corp., Inc., 5.650%, 6/01/2020      821,700  
  3,335,000      J.C. Penney Corp., Inc., 5.750%, 2/15/2018      3,401,700  
  27,224,000      J.C. Penney Corp., Inc., 6.375%, 10/15/2036      20,758,300  
  2,510,000      J.C. Penney Corp., Inc., 7.625%, 3/01/2097      1,932,700  
  8,170,000      J.C. Penney Corp., Inc., 8.125%, 10/01/2019      8,823,600  
  12,275,000      Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027      13,013,624  
  6,365,000      Marks & Spencer PLC, 7.125%, 12/01/2037, 144A      7,287,830  
  3,765,000      Nine West Holdings, Inc., 6.125%, 11/15/2034      795,356  
  22,871,000      TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A      20,183,657  
     

 

 

  
        94,599,426  
     

 

 

  
   Sovereigns — 1.9%  
  206,715,000      Portugal Government International Bond, 5.125%, 10/15/2024, 144A      200,348,178  
     

 

 

  
   Supermarkets — 2.1%  
  4,555,000      Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024, 144A      4,657,488  
  1,720,000      Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC,
5.750%, 3/15/2025, 144A		      1,668,400  
  86,530,000      New Albertson’s, Inc., 7.450%, 8/01/2029      81,987,175  
  25,595,000      New Albertson’s, Inc., 7.750%, 6/15/2026      24,955,125  
  29,135,000      New Albertson’s, Inc., 8.000%, 5/01/2031      28,188,112  
  7,245,000      New Albertson’s, Inc., 8.700%, 5/01/2030      7,172,550  
  16,482,000      New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028      14,751,390  

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Supermarkets — continued  
$ 34,580,000      SUPERVALU, Inc., 6.750%, 6/01/2021    $ 34,407,100  
  23,400,000      SUPERVALU, Inc., 7.750%, 11/15/2022      22,961,250  
     

 

 

  
        220,748,590  
     

 

 

  
   Supranational — 0.2%  
  24,450,000      Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)      17,578,660  
     

 

 

  
   Technology — 1.4%  
  4,537,000      Advanced Micro Devices, Inc., 7.000%, 7/01/2024      4,831,905  
  44,160,000      Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029      48,576,000  
  17,060,000      Amkor Technology, Inc., 6.375%, 10/01/2022      17,614,450  
  56,340,000      KLA-Tencor Corp., 4.650%, 11/01/2024      59,987,846  
  15,170,000      KLA-Tencor Corp., 5.650%, 11/01/2034      16,220,401  
  2,562,000      Motorola Solutions, Inc., 6.625%, 11/15/2037      2,687,051  
  165,000      Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A      193,801  
     

 

 

  
        150,111,454  
     

 

 

  
   Transportation Services — 0.1%  
  10,503,000      APL Ltd., 8.000%, 1/15/2024(b)(e)      7,680,319  
  1,863,683      Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(c)(k)      1,863,683  
     

 

 

  
        9,544,002  
     

 

 

  
   Treasuries — 21.5%  
  312,000,000      Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)      233,055,096  
  29,490,000      Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)      22,342,636  
  80,645,000      Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)      62,004,201  
  6,710,000      Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)      7,045,141  
  1,010,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(h)      866,780  
  1,100,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)      780,336  
  4,000,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h)      2,819,210  
  4,455,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(h)      3,124,911  
  5,820,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(h)      4,068,610  
  4,000,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(h)      2,791,602  
  4,680,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(h)      3,270,468  
  5,970,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)      4,160,632  
  4,000,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2042, (EUR)(h)      2,799,283  
  1,605,660,000      Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)      10,599,267  
  4,496,156,000      Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)      28,542,562  
  10,000,000(†††)      Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)      48,888,889  

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Treasuries — continued  
  9,930,439(†††)      Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)    $ 52,375,179  
  4,250,000(†††)      Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)      23,592,383  
  7,740,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)      42,494,191  
  27,224,481(†††)      Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)      153,273,439  
  3,035,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)      17,906,455  
  21,700,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)      136,345,856  
  252,700,000      New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)      186,675,395  
  175,365,000      New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)      139,674,125  
  458,725,000      Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)      59,507,844  
  836,485,000      Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)      97,850,683  
  658,049,000      Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)      82,925,425  
  162,850,000      Republic of Brazil, 8.500%, 1/05/2024, (BRL)      49,417,843  
  55,925,000      Republic of Brazil, 10.250%, 1/10/2028, (BRL)      18,131,948  
  275,000,000      U.S. Treasury Note, 0.500%, 7/31/2017      274,741,500  
  250,000,000      U.S. Treasury Note, 0.750%, 9/30/2018      248,408,250  
  250,000,000      U.S. Treasury Note, 1.000%, 11/30/2018      249,140,500  
     

 

 

  
        2,269,620,640  
     

 

 

  
   Wireless — 1.1%  
  293,000,000      America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)      14,585,640  
  134,600,000      America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)      6,488,349  
  49,955,000      Sprint Capital Corp., 6.875%, 11/15/2028      52,764,969  
  6,260,000      Sprint Capital Corp., 8.750%, 3/15/2032      7,527,650  
  21,052,000      Sprint Communications, Inc., 6.000%, 11/15/2022      21,525,670  
  8,200,000      Sprint Corp., 7.125%, 6/15/2024      8,753,500  
  4,727,000      Sprint Corp., 7.250%, 9/15/2021      5,102,797  
     

 

 

  
        116,748,575  
     

 

 

  
   Wirelines — 3.7%  
  4,370,000      Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)      4,140,861  
  7,545,000      Bell Canada, Inc., Series M-17, 6.100%, 3/16/2035, (CAD)      6,936,736  
  28,385,000      CenturyLink, Inc., 6.450%, 6/15/2021      30,155,940  
  765,000      CenturyLink, Inc., 7.650%, 3/15/2042      672,244  
  7,410,000      CenturyLink, Inc., Series G, 6.875%, 1/15/2028      7,187,700  
  2,965,000      CenturyLink, Inc., Series P, 7.600%, 9/15/2039      2,621,238  
  7,940,000      CenturyLink, Inc., Series W, 6.750%, 12/01/2023      8,277,450  
  350,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      344,750  
  3,620,000      Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A      3,796,475  
  10,703,000      Consolidated Communications, Inc., 6.500%, 10/01/2022      10,274,880  
  5,330,000      Embarq Corp., 7.995%, 6/01/2036      5,303,350  
  16,755,000      Frontier Communications Corp., 6.250%, 9/15/2021      15,582,150  
  18,725,000      Frontier Communications Corp., 6.875%, 1/15/2025      15,494,938  
  38,336,000      Frontier Communications Corp., 7.875%, 1/15/2027      31,476,923  
  25,745,000      Level 3 Communications, Inc., 5.750%, 12/01/2022      26,646,075  
  4,667,000      Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(i)      1,545,944  
  16,550,000      Portugal Telecom International Finance BV, EMTN,
4.500%, 6/16/2025, (EUR)(i)		      5,649,772  
  29,750,000      Portugal Telecom International Finance BV, EMTN,
5.000%, 11/04/2019, (EUR)(i)		      10,354,292  

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Wirelines — continued  
$ 42,460,000      Qwest Capital Funding, Inc., 6.875%, 7/15/2028    $ 40,283,925  
  12,463,000      Qwest Capital Funding, Inc., 7.625%, 8/03/2021      12,852,469  
  32,395,000      Qwest Capital Funding, Inc., 7.750%, 2/15/2031      30,370,312  
  26,401,000      Qwest Corp., 6.875%, 9/15/2033      26,289,060  
  39,171,000      Telecom Italia Capital S.A., 6.000%, 9/30/2034      38,681,362  
  22,645,000      Telecom Italia Capital S.A., 6.375%, 11/15/2033      22,885,490  
  18,600,000      Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)      15,198,893  
  14,776,000      Verizon Communications, Inc., 2.450%, 11/01/2022      14,252,738  
  1,225,000      Windstream Services LLC, 7.500%, 6/01/2022      1,194,375  
  3,760,000      Windstream Services LLC, 7.500%, 4/01/2023      3,534,400  
     

 

 

  
        392,004,742  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $8,035,158,875)		      7,462,432,868  
     

 

 

  
     
  Convertible Bonds — 5.5%  
   Building Materials — 0.3%  
  9,592,000      CalAtlantic Group, Inc., 0.250%, 6/01/2019      9,004,490  
  19,486,000      KB Home, 1.375%, 2/01/2019      19,960,971  
     

 

 

  
        28,965,461  
     

 

 

  
   Cable Satellite — 1.5%  
  133,515,000      Dish Network Corp., 3.375%, 8/15/2026, 144A      161,302,809  
     

 

 

  
   Chemicals — 0.0%  
  4,305,000      RPM International, Inc., 2.250%, 12/15/2020      5,179,453  
     

 

 

  
   Diversified Manufacturing — 0.1%  
  4,727,000      Trinity Industries, Inc., 3.875%, 6/01/2036      5,740,351  
     

 

 

  
   Healthcare — 0.1%  
  4,930,000      Evolent Health, Inc., 2.000%, 12/01/2021, 144A      5,814,319  
     

 

 

  
   Leisure — 0.3%  
  27,795,000      Rovi Corp., 0.500%, 3/01/2020      26,992,003  
     

 

 

  
   Midstream — 0.2%  
  261,000      Chesapeake Energy Corp., 2.500%, 5/15/2037      257,085  
  10,235,000      Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A      10,599,622  
  4,580,000      SM Energy Co., 1.500%, 7/01/2021      4,537,062  
  1,000,000      Whiting Petroleum Corp., 1.250%, 4/01/2020      871,250  
     

 

 

  
        16,265,019  
     

 

 

  
   Pharmaceuticals — 0.0%  
  1,655,000      BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020      1,953,934  
     

 

 

  
   Property & Casualty Insurance — 0.5%  
  42,319,000      Old Republic International Corp., 3.750%, 3/15/2018      56,310,719  
     

 

 

  
   Technology — 2.5%  
  7,185,000      Ciena Corp., 3.750%, 10/15/2018, 144A      9,376,425  
  99,304,000      Intel Corp., 3.250%, 8/01/2039      173,471,675  
  5,233,865      Liberty Interactive LLC, 3.500%, 1/15/2031      5,100,794  

 

See accompanying notes to financial statements.

 

31  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Technology — continued  
$ 13,270,000      Nuance Communications, Inc., 1.000%, 12/15/2035    $ 12,623,486  
  2,115,000      Nuance Communications, Inc., 1.250%, 4/01/2025, 144A      2,111,034  
  39,460,000      Nuance Communications, Inc., 1.500%, 11/01/2035      40,471,163  
  10,415,000      Priceline Group, Inc. (The), 0.900%, 9/15/2021      11,710,366  
  11,570,000      Viavi Solutions, Inc., 0.625%, 8/15/2033      12,871,625  
     

 

 

  
        267,736,568  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $450,095,697)		      576,260,636  
     

 

 

  
     
  Municipals — 1.4%  
   District of Columbia — 0.0%  
  3,850,000      Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047      5,212,130  
     

 

 

  
   Illinois — 0.1%  
  17,570,000      State of Illinois, 5.100%, 6/01/2033      16,031,220  
     

 

 

  
   Michigan — 0.1%  
  12,040,000      Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034      11,784,270  
     

 

 

  
   Puerto Rico — 0.4%  
  63,900,000      Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(i)      39,618,000  
     

 

 

  
   Virginia — 0.8%  
  97,200,000      Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046      81,455,544  
     

 

 

  
   Total Municipals
(Identified Cost $180,532,547)		      154,101,164  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $8,665,787,119)		      8,192,794,668  
     

 

 

  
     
  Loan Participations — 0.1%  
   ABS Other — 0.1%  
  11,125,330      Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039 (b)(e)(f)
(Identified Cost $11,208,770)		      11,055,797  
     

 

 

  
     
  Senior Loans — 1.8%  
   Automotive — 0.3%  
  21,859,233      IBC Capital Ltd., 1st Lien Term Loan, 4.870%, 9/09/2021(f)      21,385,544  
  5,948,124      IBC Capital Ltd., 2nd Lien Term Loan, 8.120%, 9/09/2022(f)      5,591,236  
     

 

 

  
        26,976,780  
     

 

 

  
   Chemicals — 0.3%  
  31,355,000      Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(f)      31,276,612  
     

 

 

  

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Construction Machinery — 0.3%  
$ 43,556,384      Onsite U.S. Finco LLC, Term Loan, 5.500%, 7/30/2021(f)    $ 30,925,032  
     

 

 

  
   Consumer Cyclical Services — 0.6%  
  28,645,902      SourceHov LLC, 2014 1st Lien Term Loan, 7.897%, 10/31/2019(f)      27,697,150  
  43,000,000      SourceHov LLC, 2014 2nd Lien Term Loan, 11.647%, 4/30/2020(f)      41,145,840  
     

 

 

  
        68,842,990  
     

 

 

  
   Financial Other — 0.1%  
  12,879,943      DBRS Ltd., Term Loan, 6.304%, 3/04/2022(f)      12,257,455  
     

 

 

  
   Media Entertainment — 0.0%  
  958,511      Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(f)      972,889  
     

 

 

  
   Natural Gas — 0.0%  
  1,409,558      Southcross Holdings Borrower LP, Exit Term Loan B, 3.500%, 4/13/2023(f)      1,245,105  
     

 

 

  
   Oil Field Services — 0.1%  
  2,618,182      FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(f)      2,271,823  
  5,413,154      Paragon Offshore Finance Co., Term Loan B, 5.750%, 7/18/2021(b)(e)(f)(i)      2,101,008  
  2,902,957      Petroleum Geo-Services ASA, New Term Loan B, 3.647%, 3/19/2021(f)      2,387,682  
     

 

 

  
        6,760,513  
     

 

 

  
   Other Utility — 0.0%  
  1,298,000      PowerTeam Services LLC, 2nd Lien Term Loan, 8.397%, 11/06/2020(f)      1,291,510  
     

 

 

  
   Retailers — 0.0%  
  2,703,454      Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(f)      2,581,799  
     

 

 

  
   Technology — 0.1%  
  9,507,380      IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b)(e)(f)      8,311,066  
     

 

 

  
   Transportation Services — 0.0%  
  3,495,979      OSG Bulk Ships, Inc., OBS Term Loan, 5.290%, 8/05/2019(f)      3,461,019  
     

 

 

  
   Total Senior Loans
(Identified Cost $220,859,212)		      194,902,770  
     

 

 

  
     
Shares                
  Common Stocks — 6.4%  
   Diversified Telecommunication Services — 0.1%  
  232,155      Hawaiian Telcom Holdco, Inc.(d)      5,318,671  
  1,634,010      Telecom Italia SpA, Sponsored ADR      11,944,613  
     

 

 

  
        17,263,284  
     

 

 

  
   Energy Equipment & Services — 0.0%  
  220,216      Hercules Offshore, Inc.(b)(d)(e)(m)      —  
     

 

 

  
   Internet Software & Services — 0.0%  
  303,043      Dex Media, Inc.(b)(c)(d)      818,216  
     

 

 

  
   Oil, Gas & Consumable Fuels — 0.1%  
  846,398      Chesapeake Energy Corp.(d)      5,027,604  
  2,943      Pacific Exploration and Production Corp.(d)      94,054  
  257,805      Rex Energy Corp.(d)      121,040  
  1,514      Southcross Holdings Group LLC(b)(c)(d)      —  
  1,514      Southcross Holdings LP, Class A(b)(c)(d)      605,600  
     

 

 

  
        5,848,298  
     

 

 

  

 

See accompanying notes to financial statements.

 

33  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

    
Shares		      Description    Value (†)  
   Pharmaceuticals — 4.4%  
  8,514,190      Bristol-Myers Squibb Co.    $ 463,001,652  
     

 

 

  
   Semiconductors & Semiconductor Equipment — 1.8%  
  5,260,789      Intel Corp.      189,756,659  
     

 

 

  
   Total Common Stocks
(Identified Cost $399,098,533)		      676,688,109  
     

 

 

  
     
  Preferred Stocks — 2.1%  
 

Convertible Preferred Stocks — 1.6%

  
   Banking — 0.3%  
  19,062      Bank of America Corp., Series L, 7.250%      22,780,234  
  8,533      Wells Fargo & Co., Series L, Class A, 7.500%      10,580,920  
     

 

 

  
        33,361,154  
     

 

 

  
   Communications — 0.0%  
  10,483      Cincinnati Bell, Inc., 6.750%      519,118  
     

 

 

  
   Electric — 0.2%  
  374,193      AES Trust III, 6.750%      19,121,262  
     

 

 

  
   Energy — 0.1%  
  242,297      El Paso Energy Capital Trust I, 4.750%      12,114,850  
     

 

 

  
   Midstream — 0.8%  
  172,972      Chesapeake Energy Corp., 4.500%      10,445,779  
  231,033      Chesapeake Energy Corp., 5.000%      14,786,112  
  6,017      Chesapeake Energy Corp., 5.750%      3,896,008  
  43,178      Chesapeake Energy Corp., 5.750%, 144A      27,957,755  
  32,522      Chesapeake Energy Corp., Series A, 5.750%, 144A      21,057,995  
     

 

 

  
        78,143,649  
     

 

 

  
   REITs – Health Care — 0.1%  
  116,700      Welltower, Inc., 6.500%      7,366,104  
     

 

 

  
   REITs – Hotels — 0.0%  
  167,167      FelCor Lodging Trust, Inc., Series A, 1.950%      4,075,531  
     

 

 

  
   REITs – Mortgage — 0.0%  
  38,767      iStar, Inc., Series J, 4.500%      1,963,549  
     

 

 

  
   Technology — 0.1%  
  63,993      Belden, Inc., 6.750%      6,207,321  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $175,314,502)		      162,872,538  
     

 

 

  
     
  Non-Convertible Preferred Stocks — 0.5%  
   Electric — 0.0%  
  393      Entergy New Orleans, Inc., 4.750%      40,823  
     

 

 

  
   Finance Companies — 0.1%  
  39,200      iStar, Inc., Series E, 7.875%      952,952  
  39,300      iStar, Inc., Series F, 7.800%      964,029  
  10,425      iStar, Inc., Series G, 7.650%      253,328  

 

See accompanying notes to financial statements.

 

|  34

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

    
Shares		      Description    Value (†)  
   Finance Companies — continued  
  101,175      SLM Corp., Series A, 6.970%    $ 5,129,572  
     

 

 

  
        7,299,881  
     

 

 

  
   Home Construction — 0.0%  
  208,246      Hovnanian Enterprises, Inc., 7.625%(d)      1,457,722  
     

 

 

  
   Metals & Mining — 0.3%  
  906,807      Arconic, Inc., 5.375%      37,224,427  
     

 

 

  
   REITs – Office Property — 0.0%  
  1,596      Highwoods Realty LP, Series A, 8.625%      2,028,915  
     

 

 

  
   REITs – Warehouse/Industrials — 0.1%  
  116,192      ProLogis, Inc., Series Q, 8.540%      8,818,973  
     

 

 

  
   Total Non-Convertible Preferred Stocks
(Identified Cost $56,449,808)		      56,870,741  
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $231,764,310)		      219,743,279  
     

 

 

  
     
  Closed-End Investment Companies — 0.0%  
  170,282      NexPoint Credit Strategies Fund
(Identified Cost $10,230,310)		      3,899,458  
     

 

 

  
     
Principal
Amount (‡)		                
  Short-Term Investments — 10.8%  
$ 29,920,000      Federal Home Loan Bank Discount Notes, 0.550%, 4/04/2017(l)      29,919,432  
  395,080,000      Federal Home Loan Bank Discount Notes, 0.520% - 0.560%, 4/10/2017(l)      395,027,059  
  3,147,318      Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2017 at 0.000% to be repurchased at $3,147,318 on 4/03/2017 collateralized by $3,191,900 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $3,210,271 including accrued interest (Note 2 of Notes to Financial Statements)      3,147,318  
  274,023,812      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $274,028,836 on 4/03/2017 collateralized by $155,000 U.S. Treasury Note, 1.875% due 3/31/2022 valued at $154,419; $281,590,000 U.S. Treasury Note, 1.875% due 8/31/2022 valued at $279,356,710 including accrued interest (Note 2 of Notes to Financial Statements)      274,023,812  
  325,000,000      U.S. Treasury Bills, 0.525%-0.642%, 06/22/2017(l)      324,456,600  
  107,000,000      U.S. Treasury Bills, 0.490%, 06/15/2017(l)      106,843,673  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $1,133,607,009)		      1,133,417,894  
     

 

 

  
     
   Total Investments — 98.9%
(Identified Cost $10,672,555,263)(a)		      10,432,501,975  
   Other assets less liabilities — 1.1%      111,877,044  
     

 

 

  
   Net Assets — 100.0%    $ 10,544,379,019  
     

 

 

  

 

See accompanying notes to financial statements.

 

35  |

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.  
  (†)      See Note 2 of Notes to Financial Statements.  
  (††)      Amount shown represents units. One unit represents a principal amount of 25.  
  (†††)      Amount shown represents units. One unit represents a principal amount of 100.  
  (a)      Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):  
   At March 31, 2017, the net unrealized depreciation on investments based on a cost of $10,716,677,250 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    $ 778,893,523  
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (1,063,068,798 ) 
     

 

 

  
   Net unrealized depreciation    $ (284,175,275 ) 
     

 

 

  
     
  (b)      Illiquid security.  
  (c)      Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $36,702,056 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.  
  (d)      Non-income producing security.  
  (e)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $271,654,396 or 2.6% of net assets. See Note 2 of Notes to Financial Statements.  
  (f)      Variable rate security. Rate as of March 31, 2017 is disclosed.  
  (g)      Perpetual bond with no specified maturity date.  
  (h)      Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.  
  (i)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.  
  (j)      Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.  
  (k)      Maturity has been extended under the terms of a plan of reorganization.  
  (l)      Interest rate represents discount rate at time of purchase; not a coupon rate.  
  (m)      Escrow shares.  
     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $2,115,795,841 or 20.1% of net assets.  
  ABS      Asset-Backed Securities  
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.  
  EMTN      Euro Medium Term Note   
  GMTN      Global Medium Term Note   
  GO      General Obligation   
  MBIA      Municipal Bond Investors Assurance Corp.   
  MTN      Medium Term Note   
  PIK      Payment-in-Kind   
  REITs      Real Estate Investment Trusts   
  SLM      Sallie Mae   
     

 

See accompanying notes to financial statements.

 

|  36

Table of Contents

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

  AUD      Australian Dollar   
  BRL      Brazilian Real   
  CAD      Canadian Dollar   
  EUR      Euro   
  GBP      British Pound   
  ISK      Icelandic Krona   
  MXN      Mexican Peso   
  NOK      Norwegian Krone   
  NZD      New Zealand Dollar   

Industry Summary at March 31, 2017 (Unaudited)

 

Treasuries

      21.5 % 

Banking

      6.0  

Pharmaceuticals

      4.4  

Technology

      4.1  

Wirelines

      3.7  

Finance Companies

      3.7  

Healthcare

      3.2  

Chemicals

      3.1  

Cable Satellite

      2.8  

Airlines

      2.7  

Independent Energy

      2.5  

Metals & Mining

      2.3  

Supermarkets

      2.1  

Other Investments, less than 2% each

      26.0  

Short-Term Investments

      10.8  
  

 

 

  

Total Investments

      98.9  

Other assets less liabilities

      1.1  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

Currency Exposure Summary at March 31, 2017 (Unaudited)

 

United States Dollar

      76.9 % 

New Zealand Dollar

      4.9  

Mexican Peso

      4.7  

Canadian Dollar

      4.4  

Australian Dollar

      3.8  

Norwegian Krone

      2.3  

Other, less than 2% each

      1.9  
  

 

 

  

Total Investments

      98.9  

Other assets less liabilities

      1.1  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

37  |

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|  38

Table of Contents

Statements of Assets and Liabilities

 

March 31, 2017 (Unaudited)

 

     Investment
Grade Bond
Fund		     Strategic
Income
Fund		  

ASSETS

 

Investments at cost

    $ 6,129,715,053     $ 10,672,555,263  

Net unrealized depreciation

      (68,544,014 )      (240,053,288 ) 
  

 

 

    

 

 

  

Investments at value

      6,061,171,039       10,432,501,975  

Cash

      —       958,376  

Foreign currency at value (identified cost $471,717 and $101, respectively)

      474,504       102  

Receivable for Fund shares sold

      14,851,371       31,627,284  

Receivable for securities sold

      6,195,022       24,677,136  

Dividends and interest receivable

      68,239,775       133,222,567  

Tax reclaims receivable

      —       970,082  

Receivable from distributor (Note 5d)

      42,070       —  

Prepaid expenses (Note 7)

      3,070       4,982  
  

 

 

    

 

 

  

TOTAL ASSETS

      6,150,976,851       10,623,962,504  
  

 

 

    

 

 

  

LIABILITIES

 

Payable for securities purchased

      —       38,229,944  

Payable for Fund shares redeemed

      15,045,000       34,354,096  

Management fees payable (Note 5)

      2,103,368       5,043,501  

Deferred Trustees’ fees (Note 5)

      627,812       1,138,562  

Administrative fees payable (Note 5)

      235,157       405,776  

Payable to distributor (Note 5d)

      —       94,859  

Other accounts payable and accrued expenses

      234,406       316,747  
  

 

 

    

 

 

  

TOTAL LIABILITIES

      18,245,743       79,583,485  
  

 

 

    

 

 

  

NET ASSETS

    $ 6,132,731,108     $ 10,544,379,019  
  

 

 

    

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

    $ 6,185,079,852     $ 10,864,370,751  

Distributions in excess of net investment income

      (19,025,094 )      (73,376,887 ) 

Accumulated net realized gain (loss) on investments and foreign currency transactions

      34,954,326       (7,064,495 ) 

Net unrealized depreciation on investments and foreign currency translations

      (68,277,976 )      (239,550,350 ) 
  

 

 

    

 

 

  

NET ASSETS

    $ 6,132,731,108     $ 10,544,379,019  
  

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

39  |

Table of Contents

Statements of Assets and Liabilities (continued)

 

March 31, 2017 (Unaudited)

 

     Investment
Grade Bond
Fund		      Strategic
Income
Fund		  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

    $ 932,179,756      $ 2,161,661,646  
  

 

 

     

 

 

  

Shares of beneficial interest

      84,825,820        149,485,367  
  

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 10.99      $ 14.46  
  

 

 

     

 

 

  

Offering price per share (100/95.75 of net asset value) (Note 1)

    $ 11.48      $ 15.10  
  

 

 

     

 

 

  

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

      

Net assets

    $ 815,148,925      $ 2,856,545,353  
  

 

 

     

 

 

  

Shares of beneficial interest

      74,897,628        195,970,098  
  

 

 

     

 

 

  

Net asset value and offering price per share

    $ 10.88      $ 14.58  
  

 

 

     

 

 

  

Class N shares:

 

Net assets

    $ 1,113,234,651      $ 140,063,005  
  

 

 

     

 

 

  

Shares of beneficial interest

      101,301,809        9,696,315  
  

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 10.99      $ 14.44  
  

 

 

     

 

 

  

Class Y shares:

 

Net assets

    $ 3,242,535,661      $ 5,244,791,235  
  

 

 

     

 

 

  

Shares of beneficial interest

      294,900,002        363,091,459  
  

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 11.00      $ 14.44  
  

 

 

     

 

 

  

Admin Class shares:

 

Net assets

    $ 29,632,115      $ 141,317,780  
  

 

 

     

 

 

  

Shares of beneficial interest

      2,702,234        9,806,961  
  

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 10.97      $ 14.41  
  

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  40

Table of Contents

Statements of Operations

 

For the Six Months Ended March 31, 2017 (Unaudited)

 

     Investment
Grade Bond
Fund		     Strategic
Income
Fund		  

INVESTMENT INCOME

 

Interest

    $ 134,320,483     $ 243,207,143  

Dividends

      1,838,027       31,445,453  

Less net foreign taxes withheld

      —       (531,649 ) 
  

 

 

    

 

 

  
     136,158,510       274,120,947  
  

 

 

    

 

 

  

Expenses

 

Management fees (Note 5)

      12,626,255       30,446,842  

Service and distribution fees (Note 5)

      5,781,650       18,759,971  

Administrative fees (Note 5)

      1,411,225       2,430,373  

Trustees’ fees and expenses (Note 5)

      116,227       196,877  

Transfer agent fees and expenses (Notes 5 and 6)

      3,249,670       4,337,690  

Audit and tax services fees

      29,734       29,547  

Custodian fees and expenses

      166,598       294,774  

Legal fees

      64,306       111,610  

Registration fees

      132,081       107,342  

Shareholder reporting expenses

      208,154       255,740  

Miscellaneous expenses (Note 7)

      126,880       209,366  
  

 

 

    

 

 

  

Total expenses

      23,912,780       57,180,132  
  

 

 

    

 

 

  

Net investment income

      112,245,730       216,940,815  
  

 

 

    

 

 

  

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

     

Net realized gain (loss) on:

 

Investments

      88,889,764       57,881,506  

Foreign currency transactions

      (392,742 )      (1,652,800 ) 

Net change in unrealized appreciation (depreciation) on:

 

Investments

      (198,633,769 )      6,487,686  

Foreign currency translations

      345,854       576,103  
  

 

 

    

 

 

  

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

      (109,790,893 )      63,292,495  
  

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 2,454,837     $ 280,233,310  
  

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

41  |

Table of Contents

Statements of Changes in Net Assets

 

     Investment Grade Bond Fund     Strategic Income Fund  
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		  

FROM OPERATIONS:

 

Net investment income

    $ 112,245,730     $ 272,538,402     $ 216,940,815     $ 486,779,533  

Net realized gain on investments and foreign currency transactions

      88,497,022       136,404,927       56,228,706       11,559,349  

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

      (198,287,915 )      144,713,586       7,063,789       475,109,457  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

      2,454,837       553,656,915       280,233,310       973,448,339  
  

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

         

Net investment income

         

Class A

      (14,487,788 )      (28,165,815 )      (48,661,003 )      (72,039,658 ) 

Class B(a)

      —       (414 )      —       (5,681 ) 

Class C

      (9,760,577 )      (14,105,068 )      (53,310,126 )      (67,805,939 ) 

Class N

      (7,230,746 )      (797,188 )      (3,098,623 )      (3,297,872 ) 

Class Y

      (62,969,819 )      (121,740,690 )      (117,145,608 )      (162,237,969 ) 

Admin Class

      (431,012 )      (703,125 )      (2,833,976 )      (3,176,118 ) 

Net realized capital gains

         

Class A

      (37,991,534 )      (19,604,662 )      (51,098,074 )      (168,275,106 ) 

Class B(a)

      —       (1,141 )      —       (25,900 ) 

Class C

      (35,231,779 )      (15,331,597 )      (69,058,405 )      (223,566,427 ) 

Class N

      (2,725,590 )      (444,917 )      (2,996,727 )      (6,479,496 ) 

Class Y

      (166,690,816 )      (77,370,095 )      (114,763,610 )      (342,430,922 ) 

Admin Class

      (1,202,096 )      (517,149 )      (3,099,821 )      (7,801,515 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      (338,721,757 )      (278,781,861 )      (466,065,973 )      (1,057,142,603 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

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

      (316,589,150 )      (2,478,069,233 )      (842,433,308 )      (3,201,646,172 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net decrease in net assets

      (652,856,070 )      (2,203,194,179 )      (1,028,265,971 )      (3,285,340,436 ) 

NET ASSETS

 

Beginning of the period

      6,785,587,178       8,988,781,357       11,572,644,990       14,857,985,426  
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the period

    $ 6,132,731,108     $ 6,785,587,178     $ 10,544,379,019     $ 11,572,644,990  
  

 

 

    

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME

    $ (19,025,094 )    $ (36,390,882 )    $ (73,376,887 )    $ (65,268,366 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

|  42

Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class A  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.59     $ 11.10     $ 12.11     $ 12.22     $ 12.76     $ 12.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.19       0.39       0.40       0.46       0.48       0.51  

Net realized and unrealized gain (loss)

     (0.19 )      0.48       (0.95 )      0.26       (0.30 )      0.86  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     —       0.87       (0.55 )      0.72       0.18       1.37  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.16 )      (0.23 )      (0.34 )      (0.51 )      (0.60 )      (0.62 ) 

Net realized capital gains

     (0.44 )      (0.15 )      (0.12 )      (0.32 )      (0.12 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.60 )      (0.38 )      (0.46 )      (0.83 )      (0.72 )      (0.73 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.99     $ 11.59     $ 11.10     $ 12.11     $ 12.22     $ 12.76  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     0.13 %(c)      8.06 %      (4.72 )%      6.04 %      1.34 %      11.74 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 932,180     $ 1,130,260     $ 1,628,216     $ 1,932,847     $ 2,431,718     $ 2,960,119  

Net expenses

     0.83 %(d)      0.85 %      0.83 %      0.83 %      0.83 %      0.84 % 

Gross expenses

     0.83 %(d)      0.85 %      0.83 %      0.83 %      0.83 %      0.84 % 

Net investment income

     3.48 %(d)      3.49 %      3.38 %      3.75 %      3.85 %      4.17 % 

Portfolio turnover rate

     5 %      11 %      23 %      19 %      30 %      19 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A sales charge for Class A shares is not reflected in total return calculations.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

43  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class C  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.48     $ 11.00     $ 12.00     $ 12.11     $ 12.66     $ 12.03  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.15       0.30       0.31       0.36       0.39       0.42  

Net realized and unrealized gain (loss)

     (0.19 )      0.47       (0.94 )      0.27       (0.32 )      0.85  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.04 )      0.77       (0.63 )      0.63       0.07       1.27  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.12 )      (0.14 )      (0.25 )      (0.42 )      (0.50 )      (0.53 ) 

Net realized capital gains

     (0.44 )      (0.15 )      (0.12 )      (0.32 )      (0.12 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.56 )      (0.29 )      (0.37 )      (0.74 )      (0.62 )      (0.64 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.88     $ 11.48     $ 11.00     $ 12.00     $ 12.11     $ 12.66  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (0.26 )%(c)      7.18 %      (5.40 )%      5.29 %      0.50 %      10.91 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 815,149     $ 1,001,522     $ 1,219,687     $ 1,524,806     $ 1,746,822     $ 2,281,142  

Net expenses

     1.58 %(d)      1.60 %      1.58 %      1.58 %      1.58 %      1.59 % 

Gross expenses

     1.58 %(d)      1.60 %      1.58 %      1.58 %      1.58 %      1.59 % 

Net investment income

     2.73 %(d)      2.74 %      2.63 %      3.00 %      3.10 %      3.42 % 

Portfolio turnover rate

     5 %      11 %      23 %      19 %      30 %      19 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  44

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class N  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
     Year Ended
September 30,
2014
     Period Ended
September 30,
2013*
  

Net asset value, beginning of the period

   $ 11.58     $ 11.11     $ 12.11     $ 12.22     $ 12.66  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.21       0.43       0.44       0.50       0.34  

Net realized and unrealized gain (loss)

     (0.18 )      0.47       (0.93 )      0.26       (0.46 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.03       0.90       (0.49 )      0.76       (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.18 )      (0.28 )      (0.39 )      (0.55 )      (0.32 ) 

Net realized capital gains

     (0.44 )      (0.15 )      (0.12 )      (0.32 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.62 )      (0.43 )      (0.51 )      (0.87 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.99     $ 11.58     $ 11.11     $ 12.11     $ 12.22  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     0.41 %(b)      8.31 %      (4.28 )%      6.41 %      (0.95 )%(b)(c) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 1,113,235     $ 47,343     $ 21,851     $ 6,101     $ 41  

Net expenses

     0.49 %(d)      0.47 %      0.47 %      0.47 %(e)      0.65 %(d)(f) 

Gross expenses

     0.49 %(d)      0.47 %      0.47 %      0.47 %(e)      0.78 %(d) 

Net investment income

     3.96 %(d)      3.88 %      3.78 %      4.07 %      4.18 %(d) 

Portfolio turnover rate

     5 %      11 %      23 %      19 %      30 % 

 

* From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Computed on an annualized basis for periods less than one year.
(e) Includes fee/expense recovery of less than 0.01%.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

45  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class Y  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.59     $ 11.11     $ 12.12     $ 12.23     $ 12.77     $ 12.13  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.21       0.42       0.43       0.49       0.52       0.54  

Net realized and unrealized gain (loss)

     (0.18 )      0.47       (0.95 )      0.26       (0.31 )      0.86  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.03       0.89       (0.52 )      0.75       0.21       1.40  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.18 )      (0.26 )      (0.37 )      (0.54 )      (0.63 )      (0.65 ) 

Net realized capital gains

     (0.44 )      (0.15 )      (0.12 )      (0.32 )      (0.12 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.62 )      (0.41 )      (0.49 )      (0.86 )      (0.75 )      (0.76 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.00     $ 11.59     $ 11.11     $ 12.12     $ 12.23     $ 12.77  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     0.35 %(b)      8.25 %      (4.47 )%      6.30 %      1.60 %      12.01 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 3,242,536     $ 4,571,167     $ 6,081,536     $ 6,911,938     $ 6,130,700     $ 6,817,911  

Net expenses

     0.58 %(c)      0.60 %      0.58 %      0.59 %      0.58 %      0.59 % 

Gross expenses

     0.58 %(c)      0.60 %      0.58 %      0.59 %      0.58 %      0.59 % 

Net investment income

     3.72 %(c)      3.74 %      3.63 %      3.99 %      4.11 %      4.41 % 

Portfolio turnover rate

     5 %      11 %      23 %      19 %      30 %      19 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  46

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Admin Class  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.56     $ 11.08     $ 12.09     $ 12.20     $ 12.74     $ 12.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.18       0.37       0.37       0.43       0.45       0.48  

Net realized and unrealized gain (loss)

     (0.18 )      0.47       (0.95 )      0.26       (0.30 )      0.85  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     —       0.84       (0.58 )      0.69       0.15       1.33  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.15 )      (0.21 )      (0.31 )      (0.48 )      (0.57 )      (0.59 ) 

Net realized capital gains

     (0.44 )      (0.15 )      (0.12 )      (0.32 )      (0.12 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.59 )      (0.36 )      (0.43 )      (0.80 )      (0.69 )      (0.70 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.97     $ 11.56     $ 11.08     $ 12.09     $ 12.20     $ 12.74  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     0.14 %(b)      7.73 %      (4.95 )%      5.79 %      1.10 %      11.41 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 29,632     $ 35,294     $ 37,355     $ 25,585     $ 21,557     $ 15,968  

Net expenses

     0.99 %(c)(d)      1.07 %(e)      1.08 %      1.09 %      1.08 %      1.09 % 

Gross expenses

     0.99 %(c)(d)      1.07 %(e)      1.08 %      1.09 %      1.08 %      1.09 % 

Net investment income

     3.32 %(c)      3.27 %      3.14 %      3.49 %      3.62 %      3.89 % 

Portfolio turnover rate

     5 %      11 %      23 %      19 %      30 %      19 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Computed on an annualized basis for periods less than one year.
(d) Includes refund of prior year service fee of 0.09%. See Note 5b of Notes to Financial Statements.
(e) Includes refund of prior year service fee of 0.03%.

 

See accompanying notes to financial statements.

 

47  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class A  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 14.70     $ 14.70     $ 16.75     $ 15.93     $ 15.30     $ 14.21  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.29       0.57       0.64       0.58       0.65       0.72  

Net realized and unrealized gain (loss)

     0.10       0.61       (1.74 )      0.90       0.76       1.21  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.39       1.18       (1.10 )      1.48       1.41       1.93  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.31 )      (0.36 )      (0.57 )      (0.62 )      (0.78 )      (0.84 ) 

Net realized capital gains

     (0.32 )      (0.82 )      (0.38 )      (0.04 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.63 )      (1.18 )      (0.95 )      (0.66 )      (0.78 )      (0.84 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.46     $ 14.70     $ 14.70     $ 16.75     $ 15.93     $ 15.30  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     2.77 %(c)      8.72 %      (6.88 )%      9.34 %      9.43 %      14.02 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 2,161,662     $ 2,514,770     $ 3,318,262     $ 4,408,257     $ 5,239,885     $ 5,155,287  

Net expenses

     0.96 %(d)      0.96 %      0.94 %      0.94 %      0.95 %      0.96 % 

Gross expenses

     0.96 %(d)      0.96 %      0.94 %      0.94 %      0.95 %      0.96 % 

Net investment income

     4.08 %(d)      4.01 %      3.95 %      3.44 %      4.14 %      4.84 % 

Portfolio turnover rate

     7 %      17 %      23 %      26 %      22 %      30 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A sales charge for Class A shares is not reflected in total return calculations.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  48

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class C  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 14.81     $ 14.80     $ 16.85     $ 16.03     $ 15.39     $ 14.29  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.24       0.47       0.52       0.45       0.54       0.61  

Net realized and unrealized gain (loss)

     0.10       0.61       (1.74 )      0.90       0.76       1.23  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.34       1.08       (1.22 )      1.35       1.30       1.84  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.25 )      (0.25 )      (0.45 )      (0.49 )      (0.66 )      (0.74 ) 

Net realized capital gains

     (0.32 )      (0.82 )      (0.38 )      (0.04 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.57 )      (1.07 )      (0.83 )      (0.53 )      (0.66 )      (0.74 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.58     $ 14.81     $ 14.80     $ 16.85     $ 16.03     $ 15.39  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     2.42 %(c)      7.91 %      (7.60 )%      8.54 %      8.61 %      13.18 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 2,856,545     $ 3,433,204     $ 4,295,139     $ 5,390,222     $ 4,912,727     $ 5,064,186  

Net expenses

     1.71 %(d)      1.71 %      1.69 %      1.69 %      1.70 %      1.71 % 

Gross expenses

     1.71 %(d)      1.71 %      1.69 %      1.69 %      1.70 %      1.71 % 

Net investment income

     3.33 %(d)      3.26 %      3.20 %      2.68 %      3.39 %      4.08 % 

Portfolio turnover rate

     7 %      17 %      23 %      26 %      22 %      30 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

49  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class N  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Period Ended
September 30,
2013*		  

Net asset value, beginning of the period

   $ 14.69     $ 14.69     $ 16.73     $ 15.92     $ 15.78  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.32       0.61       0.69       0.61       0.46  

Net realized and unrealized gain (loss)

     0.08       0.62       (1.73 )      0.91       0.16  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.40       1.23       (1.04 )      1.52       0.62  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.33 )      (0.41 )      (0.62 )      (0.67 )      (0.48 ) 

Net realized capital gains

     (0.32 )      (0.82 )      (0.38 )      (0.04 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.65 )      (1.23 )      (1.00 )      (0.71 )      (0.48 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.44     $ 14.69     $ 14.69     $ 16.73     $ 15.92  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     2.88 %(b)      9.09 %      (6.58 )%      9.70 %      4.01 %(b) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 140,063     $ 130,637     $ 83,405     $ 57,752     $ 12,921  

Net expenses

     0.63 %(c)      0.63 %      0.62 %      0.62 %      0.63 %(c) 

Gross expenses

     0.63 %(c)      0.63 %      0.62 %      0.62 %      0.63 %(c) 

Net investment income

     4.41 %(c)      4.34 %      4.33 %      3.62 %      4.38 %(c) 

Portfolio turnover rate

     7 %      17 %      23 %      26 %      22 % 

 

* From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  50

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class Y  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 14.69     $ 14.69     $ 16.73     $ 15.92     $ 15.29     $ 14.20  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.31       0.61       0.68       0.61       0.69       0.75  

Net realized and unrealized gain (loss)

     0.09       0.61       (1.73 )      0.90       0.76       1.22  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.40       1.22       (1.05 )      1.51       1.45       1.97  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.33 )      (0.40 )      (0.61 )      (0.66 )      (0.82 )      (0.88 ) 

Net realized capital gains

     (0.32 )      (0.82 )      (0.38 )      (0.04 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.65 )      (1.22 )      (0.99 )      (0.70 )      (0.82 )      (0.88 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.44     $ 14.69     $ 14.69     $ 16.73     $ 15.92     $ 15.29  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     2.84 %(b)      9.00 %      (6.65 )%      9.63 %      9.72 %      14.31 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 5,244,791     $ 5,350,759     $ 7,018,369     $ 8,747,384     $ 4,789,322     $ 4,339,240  

Net expenses

     0.71 %(c)      0.71 %      0.69 %      0.69 %      0.70 %      0.71 % 

Gross expenses

     0.71 %(c)      0.71 %      0.69 %      0.69 %      0.70 %      0.71 % 

Net investment income

     4.34 %(c)      4.26 %      4.21 %      3.65 %      4.39 %      5.05 % 

Portfolio turnover rate

     7 %      17 %      23 %      26 %      22 %      30 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

51  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Admin Class  
    Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 14.65     $ 14.66     $ 16.70     $ 15.89     $ 15.27     $ 14.18  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.28       0.53       0.60       0.53       0.61       0.67  

Net realized and unrealized gain (loss)

     0.09       0.61       (1.73 )      0.90       0.75       1.23  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.37       1.14       (1.13 )      1.43       1.36       1.90  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.29 )      (0.33 )      (0.53 )      (0.58 )      (0.74 )      (0.81 ) 

Net realized capital gains

     (0.32 )      (0.82 )      (0.38 )      (0.04 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.61 )      (1.15 )      (0.91 )      (0.62 )      (0.74 )      (0.81 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 14.41     $ 14.65     $ 14.66     $ 16.70     $ 15.89     $ 15.27  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     2.67 %(b)      8.42 %      (7.13 )%      9.12 %      9.12 %      13.79 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 141,318     $ 143,275     $ 141,844     $ 139,423     $ 80,666     $ 49,486  

Net expenses

     1.17 %(c)(d)      1.20 %(e)      1.19 %      1.19 %      1.20 %      1.21 % 

Gross expenses

     1.17 %(c)(d)      1.20 %(e)      1.19 %      1.19 %      1.20 %      1.21 % 

Net investment income

     3.87 %(c)      3.76 %      3.73 %      3.15 %      3.89 %      4.52 % 

Portfolio turnover rate

     7 %      17 %      23 %      26 %      22 %      30 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Computed on an annualized basis for periods less than one year.
(d) Includes refund of prior year service fee of 0.04%. See Note 5b of Notes to Financial Statements.
(e) Includes refund of prior year service fee of 0.01%.

 

See accompanying notes to financial statements.

 

|  52

Table of Contents

Notes to Financial Statements

 

March 31, 2017 (Unaudited)

 

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

Loomis Sayles Investment Grade Bond Fund (the “Investment Grade Bond Fund”)

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

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N, Class Y and Admin Class shares. As of the close of business on January 11, 2016, Class B shares were converted into Class A shares and are no longer offered.

Class A shares are sold with a maximum front-end sales charge of 4.25%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.

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

 

53  |

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

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

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

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

 

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

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of March 31, 2017, securities of the Funds were fair valued as follows:

 

Fund

  

Securities
classified as

fair valued

    

Percentage
of Net
Assets

    

Securities fair
valued by the
Fund’s adviser

    

Percentage
of Net
Assets

  

Investment Grade Bond Fund

   $ 159,609,909       2.6 %    $ 676       Less than 0.1%  

Strategic Income Fund

     271,654,396       2.6 %      36,702,056       0.3%  

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

 

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

During the six months ended March 31, 2017, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:

 

Investment Grade Bond Fund

    $ 41,887,343  

Strategic Income Fund

    $ 49,040,212  

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

d.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts

 

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involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

No forward foreign currency contracts were held by the Funds during the six months ended March 31, 2017.

e.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2017 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

 

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March 31, 2017 (Unaudited)

 

taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as distribution redesignations, corporate actions, defaulted and/or non-income producing securities, foreign currency gains and losses, premium amortization, convertible bonds, paydown gains and losses, trust preferred securities, contingent payment debt instruments and capital gain and return of capital distributions received. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to corporate actions, deferred Trustees’ fees, wash sales, premium amortization, return of capital distributions received, trust preferred securities, defaulted and/or non-income producing securities, contingent payment debt instruments and convertible bonds. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2016 was as follows:

 

     2016 Distributions Paid From:  

Fund

    Ordinary
Income		      Long-Term
Capital Gains		      Total  

Investment Grade Bond Fund

    $ 173,908,292      $ 104,873,569      $ 278,781,861  

Strategic Income Fund

      324,763,496        732,379,107        1,057,142,603  

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

 

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March 31, 2017 (Unaudited)

 

As of March 31, 2017, unrealized appreciation (depreciation) on a tax basis was approximately as follows:

 

    

Investment
Grade Bond
Fund

    

Strategic
Income Fund

  

Unrealized appreciation (depreciation)

     

Investments

    $ (392,333,793 )    $ (558,995,872 ) 

Foreign currency translations

      277,672,553       275,102,014  
  

 

 

    

 

 

  

Total unrealized appreciation (depreciation)

    $ (114,661,240 )    $ (283,893,858 ) 
  

 

 

    

 

 

  

Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes.

g.  Loan Participations.  Each Fund may invest in loans to corporate, governmental or other borrowers. The Funds’ investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan agreements and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

h.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of March 31, 2017, each Fund, as applicable, had investments in repurchase agreements for which the value of

 

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March 31, 2017 (Unaudited)

 

the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

i.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, 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 (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) 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 Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent. Excess collateral in the amount of $2,363,841 related to terminated loans with a bankrupt borrower is held by State Street Bank on behalf of Strategic Income Fund.

For the six months ended March 31, 2017, neither Fund had loaned securities under this agreement.

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

k.  New Accounting Pronouncement.  In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance

 

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March 31, 2017 (Unaudited)

 

date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

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

 

  •  

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

 

  •  

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

 

  •  

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

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

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

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2017, at value:

Investment Grade Bond Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

ABS Other

    $ —      $ 49,893,926      $ 55,610,968 (b)    $ 105,504,894  

Airlines

      —        133,851,309        36,726 (b)      133,888,035  

Finance Companies

      1,410,597        222,792,490        —       224,203,087  

Metals & Mining

      —        131,846,327        676 (c)      131,847,003  

All Other Non-Convertible Bonds(a)

      —        4,637,578,606        —       4,637,578,606  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      1,410,597        5,175,962,658        55,648,370       5,233,021,625  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds(a)

      —        276,383,980        —       276,383,980  

Municipals(a)

      —        19,541,400        —       19,541,400  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      1,410,597        5,471,888,038        55,648,370       5,528,947,005  
  

 

 

     

 

 

     

 

 

    

 

 

  

Common Stocks(a)

      47,302,818        —        —       47,302,818  

Preferred Stocks(a)

      —        2,753,984        —       2,753,984  

Short-Term Investments

      —        482,167,232        —       482,167,232  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 48,713,415      $ 5,956,809,254      $ 55,648,370     $ 6,061,171,039  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Valued using broker-dealer bid prices.
(c) Fair valued by the Fund’s adviser.

 

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March 31, 2017 (Unaudited)

 

Strategic Income Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Bonds and Notes

        

Non-Convertible Bonds

        

ABS Other

   $ —     $ 10,786,350     $ 15,338,856 (b)    $ 26,125,206  

Airlines

     —       285,792,324       919 (c)      285,793,243  

Chemicals

     —       271,743,269       18,072,420 (d)      289,815,689  

Finance Companies

     2,484,503       380,161,109       —       382,645,612  

Metals & Mining

     —       205,596,228       3,281 (d)      205,599,509  

Transportation Services

     —       7,680,319       1,863,683 (d)      9,544,002  

All Other Non-Convertible Bonds(a)

     —       6,262,909,607       —       6,262,909,607  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Non-Convertible Bonds

     2,484,503       7,424,669,206       35,279,159       7,462,432,868  
 

 

 

    

 

 

    

 

 

    

 

 

  

Convertible Bonds(a)

     —       576,260,636       —       576,260,636  

Municipals(a)

     —       154,101,164       —       154,101,164  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Bonds and Notes

     2,484,503       8,155,031,006       35,279,159       8,192,794,668  
 

 

 

    

 

 

    

 

 

    

 

 

  

Loan Participations(a)

     —       —       11,055,797 (c)      11,055,797  

Senior Loans(a)

       194,902,770       —       194,902,770  

Common Stocks

        

Internet Software & Services

     —       —       818,216 (d)      818,216  

Oil, Gas & Consumable Fuels

     5,242,698       —       605,600 (d)(e)      5,848,298  

All Other Common Stocks(a)

     670,021,595       —       —       670,021,595  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Common Stocks

     675,264,293       —       1,423,816       676,688,109  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

Strategic Income Fund (continued)

Asset Valuation Inputs (continued)

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Preferred Stocks

        

Convertible Preferred Stocks

        

Midstream

   $ 10,445,779     $ 67,697,870     $ —     $ 78,143,649  

REITs – Mortgage

     —       1,963,549       —       1,963,549  

All Other Convertible Preferred Stocks(a)

     82,765,340       —       —       82,765,340  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Convertible Preferred Stocks

     93,211,119       69,661,419       —       162,872,538  
 

 

 

    

 

 

    

 

 

    

 

 

  

Non-Convertible Preferred Stocks

        

Electric

     —       40,823       —       40,823  

REITs – Office Property

     —       2,028,915       —       2,028,915  

REITs – Warehouse/Industrials

     —       8,818,973       —       8,818,973  

All Other Non-Convertible Preferred Stocks(a)

     45,982,030       —       —       45,982,030  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Non-Convertible Preferred Stocks

     45,982,030       10,888,711       —       56,870,741  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Preferred Stocks

     139,193,149       80,550,130       —       219,743,279  
 

 

 

    

 

 

    

 

 

    

 

 

  

Closed-End Investment Companies

     3,899,458       —       —       3,899,458  

Short-Term Investments

     —       1,133,417,894       —       1,133,417,894  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 820,841,403     $ 9,563,901,800     $ 47,758,772     $ 10,432,501,975  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.
(c) Valued using broker-dealer bid prices.
(d) Fair valued by the Fund’s adviser.
(e) Includes a security fair valued at zero using Level 3 inputs.

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

 

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March 31, 2017 (Unaudited)

 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or March 31, 2017:

Investment Grade Bond Fund

Asset Valuation Inputs

 

Investments in
Securities

  

Balance as of

September 30,

2016

    

Accrued
Discounts
(Premiums)

    

Realized
Gain (Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Other

   $ 90,763,489     $ —     $ 17,323     $ (104,321 )    $   —  

Airlines

     —       —       4,512       (6,047 )      —  

Metals & Mining

     676       5,637       —       (5,637 )      —  

Non-Agency Commercial Mortgage-Backed Securities

     18,290,710       —       (32,180 )      41,470       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 109,054,875     $ 5,637     $ (10,345 )    $ (74,535 )    $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investments in
Securities

  

Sales

    

Transfers
into Level 3

    

Transfers
out of
Level 3

    

Balance
as of
March 31,
2017

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
March 31,
2017

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Other

   $ (1,412,200 )    $ 2,515,138     $ (36,168,461 )    $ 55,610,968     $ (99,163 ) 

Airlines

     (106,173 )      144,434       —       36,726       (6,047 ) 

Metals & Mining

     —       —       —       676       (5,637 ) 

Non-Agency Commercial Mortgage-Backed Securities

     (18,300,000 )      —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (19,818,373 )    $ 2,659,572     $ (36,168,461 )    $ 55,648,370     $ (110,847 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

65  |

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

A debt security valued at $2,515,138 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. At September 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2017, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security.

A debt security valued at $36,168,461 was transferred from Level 3 to Level 2 during the period ended March 31, 2017. At September 30, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $144,434 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. At September 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2017, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

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

Strategic Income Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of

September 30,

2016

    

Accrued
Discounts
(Premiums)

    

Realized
Gain (Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Other

   $ 15,268,979     $ —     $ —     $ (828,113 )    $ 897,990  

Airlines

     138,786       —       8,930       (10,646 )      —  

Chemicals

     12,834,270       165,138       —       5,073,012       —  

Metals & Mining

     3,281       27,149       —       (27,149 )      —  

Transportation Services

     10,567,554       17,723       1,477,056       (1,595,073 )      —  

Loan Participations

          

ABS Other

     12,813,862       —       (13,757 )      90,020       —  

Senior Loans

          

Wirelines

     14,173,305       —       —       824,901       —  

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

Strategic Income Fund (continued)

Asset Valuation Inputs (continued)

 

Investments in Securities

  

Balance as of

September 30,

2016

    

Accrued
Discounts
(Premiums)

    

Realized
Gain (Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

  

Common Stocks

          

Internet Software & Services

   $ 602,449     $ —     $ —     $ 215,767     $ —  

Oil, Gas & Consumable Fuels

     545,040       —       —       60,560       —  

Warrants

     112,975       —       157,748       (112,975 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 67,060,501     $ 210,010     $ 1,629,977     $ 3,690,304     $ 897,990  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

Investments in Securities

  

Sales

    

Transfers
into
Level 3

    

Transfers
out of
Level 3

    

Balance
as of
March 31,
2017

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Sill Held at
March 31,
2017

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Other

   $ —     $   —     $   —     $ 15,338,856     $ (828,113 ) 

Airlines

     (136,151 )      —       —       919       (13 ) 

Chemicals

     —       —       —       18,072,420       5,073,012  

Metals & Mining

     —       —       —       3,281       (27,149 ) 

Transportation Services

     (8,603,577 )      —       —       1,863,683       (41,932 ) 

Loan Participations

          

ABS Other

     (1,834,328 )      —       —       11,055,797       55,627  

Senior Loans

          

Wirelines

     (14,998,206 )      —       —       —       —  

Common Stocks

          

Internet Software & Services

     —       —       —       818,216       215,767  

Oil, Gas & Consumable Fuels

     —       —       —       605,600 (a)      60,560  

Warrants

     (157,748 )      —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (25,730,010 )    $ —     $ —     $ 47,758,772     $ 4,507,759  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) Includes a security fair valued at zero using Level 3 inputs.

 

67  |

Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

4.  Purchases and Sales of Securities.  For the six months ended March 31, 2017, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:

 

     U.S. Government/Agency
Securities		      Other Securities  

Fund

   

Purchases

     

Sales

     

Purchases

     

Sales

  

Investment Grade Bond Fund

    $ 249,414,063      $ 75,009,521      $ 56,492,655      $ 985,557,894  

Strategic Income Fund

      349,257,813        685,000,000        320,973,013        1,870,461,506  

5.  Management Fees and Other Transactions with Affiliates.

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

 

     Percentage of Average Daily Net Assets  

Fund

   

First

$200 million

    

Next

$1.8 billion

    

Next
$13 billion

    

Next
$10 billion

    

Over
$25 billion

  

Investment Grade Bond Fund

      0.40 %      0.40 %      0.40 %      0.38 %      0.38 % 

Strategic Income Fund

      0.65 %      0.60 %      0.55 %      0.54 %      0.53 % 

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2018, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

 

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Table of Contents

Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

For the six months ended March 31, 2017 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

    

Admin
Class

  

Investment Grade Bond Fund

      0.95 %      1.70 %      0.65 %      0.70 %      1.20 % 

Strategic Income Fund

      1.25 %      2.00 %      0.95 %      1.00 %      1.50 % 

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

For the six months ended March 31, 2017, the management fees for each Fund were as follows:

 

Fund

   

Gross
Management
Fees

     

Percentage of
Average
Daily Net Assets

  

Investment Grade Bond Fund

    $ 12,626,255        0.40 % 

Strategic Income Fund

      30,446,842        0.56 % 

No expenses were recovered for either Fund during the six months ended March 31, 2017 under the terms of the expense limitation agreements.

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

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

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

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

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

Fund’s Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

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

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

Under the Admin Class Plan, each Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Admin Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of the Funds may pay NGAM Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For the six months ended March 31, 2017, the service and distribution fees for each Fund were as follows:

 

    Service Fees     Distribution Fees  

Fund

  

Class A

    

Class C

    

Admin
Class

    

Class C

    

Admin
Class

  

Investment Grade Bond Fund

   $ 1,246,293     $ 1,117,799     $ 25,076     $ 3,353,396     $ 39,086  

Strategic Income Fund

     2,877,413       3,888,784       151,971       11,666,353       175,450  

For the six months ended March 31, 2017, NGAM Distribution refunded Investment Grade Bond Fund $14,010 and Strategic Income Fund $23,478 of prior year Admin Class service fees paid to NGAM Distribution in excess of amounts subsequently paid to securities dealers or financial intermediaries. Service and distribution fees on the Statements of Operations have been reduced by these amounts.

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

c.  Administrative Fees.  NGAM Advisors, L.P. (“NGAM Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2017, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

Investment Grade Bond Fund

    $ 1,411,225  

Strategic Income Fund

      2,430,373  

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

For the six months ended March 31, 2017, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

Investment Grade Bond Fund

    $ 3,112,242  

Strategic Income Fund

      4,048,295  

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

As of March 31, 2017, Strategic Income Fund owes NGAM Distribution $94,859 in reimbursement for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor).

As of March 31, 2017, NGAM Distribution owes Investment Grade Bond Fund $42,070 for overpayments of sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as receivable from distributor).

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended March 31, 2017, were as follows:

 

Fund

   

Commissions

  

Investment Grade Bond Fund

    $ 39,666  

Strategic Income Fund

      73,541  

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $155,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

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

g.  Affiliated Ownership.  As of March 31, 2017, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund representing 0.13% of the Fund’s net assets.

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

6.  Class-Specific Transfer Agent Fees and Expenses.  For the six months ended March 31, 2017, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     Transfer Agent Fees and Expenses  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Admin
Class

  

Investment Grade Bond Fund

    $ 548,819      $ 492,134      $ 340      $ 2,191,219      $ 17,158  

Strategic Income Fund

      929,537        1,256,037        1,053        2,094,337        56,726  

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

7.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time) subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities. Effective April 13, 2017, the commitment fee is 0.15% per annum based on the average daily unused portion of the line of credit.

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

For the six months ended March 31, 2017, none of the Funds had borrowings under this agreement.

8.  Concentration of Risk.  Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

9.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of March 31, 2017, based on management’s evaluation of the shareholder account base, the Investment Grade Bond Fund had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Number of 5%
Account Holders

   

Percentage of
Ownership

  
1      17.45 % 

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

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

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

 

    
 Six Months Ended
March 31, 2017
 		    
 Year Ended
September 30, 2016
 

Investment Grade Bond Fund

      Shares       Amount       Shares       Amount  
Class A  

Issued from the sale of shares

      9,441,282     $ 104,660,675       20,129,865     $ 224,279,164  

Issued in connection with the reinvestment of distributions

      4,019,415       43,505,046       3,582,279       39,417,631  

Redeemed

      (26,189,748 )      (292,572,498 )      (72,797,944 )      (812,934,629 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (12,729,051 )    $ (144,406,777 )      (49,085,800 )    $ (549,237,834 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class B(a)  

Issued from the sale of shares

      —     $ —       12     $ 127  

Issued in connection with the reinvestment of distributions

      —       —       132       1,428  

Redeemed

      —       —       (12,496 )      (135,947 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      —     $ —       (12,352 )    $ (134,392 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C  

Issued from the sale of shares

      2,175,103     $ 23,574,786       6,745,192     $ 73,849,989  

Issued in connection with the reinvestment of distributions

      2,819,192       30,175,314       1,779,107       19,337,565  

Redeemed

      (17,347,535 )      (190,810,790 )      (32,161,581 )      (355,433,705 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (12,353,240 )    $ (137,060,690 )      (23,637,282 )    $ (262,246,151 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N  

Issued from the sale of shares

      101,253,780     $ 1,104,485,546       3,512,436     $ 39,581,827  

Issued in connection with the reinvestment of distributions

      907,789       9,901,841       112,583       1,242,105  

Redeemed

      (4,946,850 )      (54,347,465 )      (1,505,453 )      (16,963,552 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      97,214,719     $ 1,060,039,922       2,119,566     $ 23,860,380  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y  

Issued from the sale of shares

      44,236,284     $ 490,074,455       103,353,597     $ 1,157,935,836  

Issued in connection with the reinvestment of distributions

      19,072,595       206,633,760       16,305,396       179,657,088  

Redeemed

      (162,774,922 )      (1,787,872,786 )      (272,637,548 )      (3,024,227,049 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (99,466,043 )    $ (1,091,164,571 )      (152,978,555 )    $ (1,686,634,125 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Admin Class  

Issued from the sale of shares

      425,579     $ 4,682,107       1,369,518     $ 15,254,126  

Issued in connection with the reinvestment of distributions

      65,733       709,734       53,619       588,562  

Redeemed

      (841,647 )      (9,388,875 )      (1,741,799 )      (19,519,799 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (350,335 )    $ (3,997,034 )      (318,662 )    $ (3,677,111 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (27,683,950 )    $ (316,589,150 )      (223,913,085 )    $ (2,478,069,233 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

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Notes to Financial Statements (continued)

 

March 31, 2017 (Unaudited)

 

10.  Capital Shares (continued).

 

    
 Six Months Ended
March 31, 2017
 		    
 Year Ended
September 30, 2016
 

Strategic Income Fund

      Shares       Amount       Shares       Amount  
Class A  

Issued from the sale of shares

      10,262,290     $ 147,723,976       23,003,978     $ 322,739,399  

Issued in connection with the reinvestment of distributions

      5,439,828       77,240,028       13,635,011       187,725,106  

Redeemed

      (37,290,062 )      (536,931,886 )      (91,244,683 )      (1,291,828,314 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (21,587,944 )    $ (311,967,882 )      (54,605,694 )    $ (781,363,809 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class B(a)  

Issued from the sale of shares

      —     $ —       2     $ 26  

Issued in connection with the reinvestment of distributions

      —       —       2,043       28,399  

Redeemed

      —       —       (67,108 )      (965,088 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      —     $ —       (65,063 )    $ (936,663 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C  

Issued from the sale of shares

      4,573,992     $ 65,800,581       14,640,095     $ 205,621,637  

Issued in connection with the reinvestment of distributions

      5,231,883       74,783,893       12,554,510       173,747,924  

Redeemed

      (45,642,452 )      (662,137,272 )      (85,523,361 )      (1,219,267,539 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (35,836,577 )    $ (521,552,798 )      (58,328,756 )    $ (839,897,978 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N  

Issued from the sale of shares

      2,881,781     $ 41,184,077       5,321,977     $ 77,302,805  

Issued in connection with the reinvestment of distributions

      405,515       5,753,512       653,923       9,006,073  

Redeemed

      (2,486,487 )      (35,386,977 )      (2,757,797 )      (38,915,311 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      800,809     $ 11,550,612       3,218,103     $ 47,393,567  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y  

Issued from the sale of shares

      59,556,453     $ 854,814,356       97,346,155     $ 1,362,714,589  

Issued in connection with the reinvestment of distributions

      11,826,314       167,776,941       26,448,453       364,282,467  

Redeemed

      (72,650,681 )      (1,043,349,580 )      (237,195,829 )      (3,355,009,041 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (1,267,914 )    $ (20,758,283 )      (113,401,221 )    $ (1,628,011,985 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Admin Class  

Issued from the sale of shares

      626,290     $ 8,967,201       1,775,529     $ 24,914,406  

Issued in connection with the reinvestment of distributions

      336,472       4,759,867       664,366       9,114,286  

Redeemed

      (935,284 )      (13,432,025 )      (2,336,993 )      (32,857,996 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      27,478     $ 295,043       102,902     $ 1,170,696  
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (57,864,148 )    $ (842,433,308 )      (223,079,729 )    $ (3,201,646,172 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

 

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LOGO

 

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Semiannual Report

March 31, 2017

TABLE OF CONTENTS  
Portfolio Review     1  
Portfolio of Investments     8  
Financial Statements     27  
Notes to Financial Statements     39  

Table of Contents

LOOMIS SAYLES SMALL CAP GROWTH FUND

 

Managers   Symbols   
Mark F. Burns, CFA®   Institutional Class    LSSIX
John J. Slavik, CFA®   Retail Class    LCGRX
  Class N    LSSNX

 

 

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

 

 

Average Annual Total Returns — March 31, 20172

 

                                        Expense Ratios3  
    

6 months

     1 year     5 years     10 years    

Life of

Class N

     Gross     Net  
     
Institutional Class
(Inception 12/31/96)		     10.62 %      20.11 %      11.28 %      9.18 %      — %      0.95 %      0.95 % 
     
Retail Class
(Inception 12/31/96)		     10.49       19.79       10.98       8.89       —       1.20       1.20  
     
Class N
(Inception 2/1/13)		     10.67       20.19       —       —       12.22       0.83       0.83  
   
Comparative Performance                
Russell 2000® Growth Index1     9.11       23.03       12.10       8.06       12.42                  

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

 

1   

Russell 2000® Growth Index is an unmanaged index that measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values.

 

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

 

3    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

1  |

Table of Contents

LOOMIS SAYLES SMALL CAP VALUE FUND

 

Managers   Symbols   
Joseph R. Gatz, CFA®   Institutional Class    LSSCX
Jeffrey Schwartz, CFA®   Retail Class    LSCRX
  Admin Class    LSVAX
  Class N    LSCNX

 

 

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

 

|  2

Table of Contents

LOOMIS SAYLES SMALL CAP VALUE FUND

 

Average Annual Total Returns — March 31, 20173

 

                                        Expense Ratios4  
     6 months     1 year     5 years     10 years    

Life of

Class N

    

Gross

     Net  
     
Institutional Class (Inception 5/13/91)     12.54 %      23.27 %      12.72 %      8.15 %      — %      0.99 %      0.96 % 
Retail Class
(Inception 12/31/96)		     12.38       22.97       12.44       7.87       —       1.24       1.21  
Admin Class
(Inception 1/2/98)		     12.24       22.64       12.16       7.61       —       1.48       1.45  
Class N
(Inception 2/1/13)		     12.57       23.37       —       —       12.82       0.89       0.89  
   
Comparative Performance        
Russell 2000® Value Index1     13.93       29.37       12.54       6.09       11.89        
Russell 2000® Index2     11.52       26.22       12.35       7.12       12.18                  

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

 

1   

Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.

 

2   

Russell 2000® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe.

 

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

 

4    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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Table of Contents

LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

Managers   Symbols   
Mark F. Burns, CFA®   Institutional Class    LSMIX
John J. Slavik, CFA®     

 

 

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

 

 

Average Annual Total Returns — March 31, 20172

 

                          Expense Ratios3  
     6 months     1 year     Life of
Fund		     Gross     Net  
     
Institutional Class (Inception 6/30/15)     10.68 %      18.73 %      4.32 %      1.75 %      0.85 % 
   
Comparative Performance            
Russell 2500™ Growth Index1     9.01       19.77       4.30                  

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

 

1   

The Russell 2500™ Growth Index measures the performance of the small-to-mid-cap growth segment of the US equity universe. It includes those Russell 2500 companies with higher growth earning potential as defined by Russell’s leading style methodology. The Russell 2500™ Growth Index is constructed to provide a comprehensive and unbiased barometer of the small-to-mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-to-mid-cap opportunity set and that the represented companies continue to reflect growth characteristics. Indices are unmanaged.

 

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

 

3    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

|  4

Table of Contents

ADDITIONAL INFORMATION

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

Additional Index Information

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

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

Proxy Voting Information

A description of the Funds’ proxy voting policies and procedures is available without charge upon request, by calling Loomis Sayles at 800-633-3330; on the Funds’ website, at www.loomissayles.com, and on the Securities and Exchange Commission’s (SEC’s) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

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

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each Fund shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2016 through March 31, 2017. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6)

 

5  |

Table of Contents

and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

Loomis Sayles Small Cap Growth Fund

 

Institutional Class   Beginning
Account Value
10/1/2016		      Ending
Account Value
3/31/2017		      Expenses Paid
During Period*
10/1/2016 – 3/31/2017		  

Actual

     $1,000.00        $1,106.20        $4.99  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.20        $4.78  

Retail Class

                    

Actual

     $1,000.00        $1,104.90        $6.30  

Hypothetical (5% return before expenses)

     $1,000.00        $1,018.95        $6.04  

Class N

                    

Actual

     $1,000.00        $1,106.70        $4.36  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.79        $4.18  

*   Expenses are equal to the Fund’s annualized expense ratio: 0.95%, 1.20% and 0.83% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

    

 

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Table of Contents

Loomis Sayles Small Cap Value Fund

 

Institutional Class

   Beginning
Account Value
10/1/2016		      Ending
Account Value
3/31/2017		      Expenses Paid
During Period*
10/1/2016 – 3/31/2017		  

Actual

     $1,000.00        $1,125.40        $4.77  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.44        $4.53  

Retail Class

                    

Actual

     $1,000.00        $1,123.80        $6.09  

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.20        $5.79  

Admin Class

                    

Actual

     $1,000.00        $1,122.40        $7.41  

Hypothetical (5% return before expenses)

     $1,000.00        $1,017.95        $7.04  

Class N

                    

Actual

     $1,000.00        $1,125.70        $4.40  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.79        $4.18  

*   Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.83% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

    

Loomis Sayles Small/Mid Cap Growth Fund

 

Institutional Class

   Beginning
Account Value
10/1/2016		      Ending
Account Value
3/31/2017		      Expenses Paid
During Period*
10/1/2016 – 3/31/2017		  

Actual

     $1,000.00        $1,106.80        $4.46  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.69        $4.28  

*   Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.85%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

    

 

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Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund

 

Shares     Description   Value (†)  
  Common Stocks – 98.1% of Net Assets  
  Aerospace & Defense – 2.0%  
  238,812     Hexcel Corp.   $ 13,027,194  
  226,957     Mercury Systems, Inc.(b)     8,862,671  
   

 

 

  
      21,889,865  
   

 

 

  
  Air Freight & Logistics – 0.8%  
  426,374     Echo Global Logistics, Inc.(b)     9,103,085  
   

 

 

  
  Auto Components – 3.0%  
  160,188     Dorman Products, Inc.(b)     13,156,241  
  313,659     Fox Factory Holding Corp.(b)     9,002,013  
  112,124     LCI Industries     11,189,975  
   

 

 

  
      33,348,229  
   

 

 

  
  Banks – 3.9%  
  216,143     Chemical Financial Corp.     11,055,714  
  213,130     Pinnacle Financial Partners, Inc.     14,162,489  
  118,939     PrivateBancorp, Inc.     7,061,408  
  285,943     Renasant Corp.     11,349,078  
   

 

 

  
      43,628,689  
   

 

 

  
  Biotechnology – 3.8%  
  282,327     Acorda Therapeutics, Inc.(b)     5,928,867  
  318,673     Genomic Health, Inc.(b)     10,035,013  
  647,928     Ironwood Pharmaceuticals, Inc.(b)     11,053,652  
  498,630     Lexicon Pharmaceuticals, Inc.(b)     7,150,354  
  142,308     Prothena Corp. PLC(b)     7,939,363  
   

 

 

  
      42,107,249  
   

 

 

  
  Building Products – 3.3%  
  252,800     Apogee Enterprises, Inc.     15,069,408  
  130,351     Patrick Industries, Inc.(b)     9,241,886  
  175,827     Trex Co., Inc.(b)     12,200,635  
   

 

 

  
      36,511,929  
   

 

 

  
  Capital Markets – 2.9%  
  328,770     Financial Engines, Inc.     14,317,934  
  94,549     MarketAxess Holdings, Inc.     17,726,992  
   

 

 

  
      32,044,926  
   

 

 

  
  Commercial Services & Supplies – 1.6%  
  294,788     Healthcare Services Group, Inc.     12,702,415  
  190,069     Team, Inc.(b)     5,141,366  
   

 

 

  
      17,843,781  
   

 

 

  
  Construction & Engineering – 2.0%  
  248,496     Granite Construction, Inc.     12,472,014  

 

See accompanying notes to financial statements.

 

|  8

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Construction & Engineering – continued  
  431,784     Primoris Services Corp.   $ 10,026,025  
   

 

 

  
      22,498,039  
   

 

 

  
  Distributors – 1.2%  
  111,048     Pool Corp.     13,251,358  
   

 

 

  
  Diversified Consumer Services – 3.9%  
  200,289     Bright Horizons Family Solutions, Inc.(b)     14,518,950  
  211,767     Grand Canyon Education, Inc.(b)     15,164,635  
  547,281     Nord Anglia Education, Inc.(b)     13,868,100  
   

 

 

  
      43,551,685  
   

 

 

  
  Diversified Telecommunication Services – 1.8%  
  311,481     Cogent Communications Holdings, Inc.     13,409,257  
  694,620     ORBCOMM, Inc.(b)     6,633,621  
   

 

 

  
      20,042,878  
   

 

 

  
  Electrical Equipment – 0.9%  
  279,487     Generac Holdings, Inc.(b)     10,419,275  
   

 

 

  
  Electronic Equipment, Instruments & Components – 2.9%  
  257,243     II-VI, Inc.(b)     9,273,610  
  119,728     IPG Photonics Corp.(b)     14,451,170  
  287,378     Orbotech Ltd.(b)     9,267,940  
   

 

 

  
      32,992,720  
   

 

 

  
  Energy Equipment & Services – 1.6%  
  162,197     Dril-Quip, Inc.(b)     8,847,846  
  443,847     Forum Energy Technologies, Inc.(b)     9,187,633  
   

 

 

  
      18,035,479  
   

 

 

  
  Food Products – 1.1%  
  297,421     Snyder’s-Lance, Inc.     11,989,041  
   

 

 

  
  Health Care Equipment & Supplies – 9.4%  
  419,468     AtriCure, Inc.(b)     8,032,812  
  165,210     Inogen, Inc.(b)     12,813,688  
  307,464     Insulet Corp.(b)     13,248,624  
  437,128     Merit Medical Systems, Inc.(b)     12,632,999  
  146,199     Neogen Corp.(b)     9,583,344  
  95,768     Nevro Corp.(b)     8,973,462  
  385,351     NxStage Medical, Inc.(b)     10,338,967  
  471,980     Spectranetics Corp.(b)     13,746,418  
  528,199     Wright Medical Group NV(b)     16,437,553  
   

 

 

  
      105,807,867  
   

 

 

  
  Health Care Providers & Services – 3.3%  
  293,404     AMN Healthcare Services, Inc.(b)     11,912,202  

 

See accompanying notes to financial statements.

 

9  |

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Health Care Providers & Services – continued  
  362,271     HealthEquity, Inc.(b)   $ 15,378,404  
  402,754     Teladoc, Inc.(b)     10,068,850  
   

 

 

  
      37,359,456  
   

 

 

  
  Health Care Technology – 1.3%  
  251,016     Medidata Solutions, Inc.(b)     14,481,113  
   

 

 

  
  Hotels, Restaurants & Leisure – 4.1%  
  316,503     Chuy’s Holdings, Inc.(b)     9,431,789  
  567,696     Planet Fitness, Inc., Class A     10,939,502  
  84,864     Vail Resorts, Inc.     16,285,402  
  318,727     Wingstop, Inc.     9,013,599  
   

 

 

  
      45,670,292  
   

 

 

  
  Household Durables – 2.0%  
  245,985     Installed Building Products, Inc.(b)     12,975,709  
  141,178     iRobot Corp.(b)     9,337,513  
   

 

 

  
      22,313,222  
   

 

 

  
  Internet Software & Services – 7.2%  
  363,108     2U, Inc.(b)     14,400,863  
  286,445     Envestnet, Inc.(b)     9,252,173  
  134,004     LogMeIn, Inc.     13,065,390  
  274,917     Mimecast Ltd.(b)     6,155,392  
  407,609     Q2 Holdings, Inc.(b)     14,205,174  
  699,786     Quotient Technology, Inc.(b)     6,682,956  
  256,733     Wix.com Ltd.(b)     17,432,171  
   

 

 

  
      81,194,119  
   

 

 

  
  IT Services – 3.4%  
  333,767     Acxiom Corp.(b)     9,502,346  
  180,561     Euronet Worldwide, Inc.(b)     15,441,577  
  334,652     InterXion Holding NV(b)     13,238,833  
   

 

 

  
      38,182,756  
   

 

 

  
  Life Sciences Tools & Services – 2.0%  
  370,651     Accelerate Diagnostics, Inc.(b)     8,969,754  
  206,889     PRA Health Sciences, Inc.(b)     13,495,370  
   

 

 

  
      22,465,124  
   

 

 

  
  Machinery – 2.7%  
  185,368     Astec Industries, Inc.     11,399,205  
  40,555     Middleby Corp. (The)(b)     5,533,730  
  133,072     RBC Bearings, Inc.(b)     12,919,960  
   

 

 

  
      29,852,895  
   

 

 

  
  Multiline Retail – 0.9%  
  288,986     Ollie’s Bargain Outlet Holdings, Inc.(b)     9,681,031  
   

 

 

  

 

See accompanying notes to financial statements.

 

|  10

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Oil, Gas & Consumable Fuels – 0.9%  
  158,108     PDC Energy, Inc.(b)   $ 9,858,034  
   

 

 

  
  Pharmaceuticals – 2.3%  
  216,819     Aclaris Therapeutics, Inc.(b)     6,465,543  
  230,849     Dermira, Inc.(b)     7,874,259  
  376,834     Supernus Pharmaceuticals, Inc.(b)     11,794,904  
   

 

 

  
      26,134,706  
   

 

 

  
  Professional Services – 1.5%  
  233,862     WageWorks, Inc.(b)     16,908,223  
   

 

 

  
  Semiconductors & Semiconductor Equipment – 5.9%  
  230,060     Inphi Corp.(b)     11,231,529  
  226,760     MKS Instruments, Inc.     15,589,750  
  157,247     Monolithic Power Systems, Inc.     14,482,449  
  300,811     Semtech Corp.(b)     10,167,412  
  194,048     Silicon Laboratories, Inc.(b)     14,272,230  
   

 

 

  
      65,743,370  
   

 

 

  
  Software – 8.7%  
  158,036     Blackbaud, Inc.     12,116,620  
  549,361     Callidus Software, Inc.(b)     11,728,857  
  190,246     CommVault Systems, Inc.(b)     9,664,497  
  266,789     Guidewire Software, Inc.(b)     15,028,224  
  183,096     HubSpot, Inc.(b)     11,086,463  
  289,169     RealPage, Inc.(b)     10,091,998  
  507,316     RingCentral, Inc., Class A(b)     14,357,043  
  69,943     Ultimate Software Group, Inc. (The)(b)     13,653,573  
   

 

 

  
      97,727,275  
   

 

 

  
  Specialty Retail – 1.0%  
  598,044     Tile Shop Holdings, Inc.     11,512,347  
   

 

 

  
  Textiles, Apparel & Luxury Goods – 1.6%  
  129,735     Columbia Sportswear Co.     7,621,931  
  270,017     Steven Madden Ltd.(b)     10,409,156  
   

 

 

  
      18,031,087  
   

 

 

  
  Thrifts & Mortgage Finance – 1.0%  
  321,811     Essent Group Ltd.(b)     11,639,904  
   

 

 

  
  Trading Companies & Distributors – 2.2%  
  209,758     Beacon Roofing Supply, Inc.(b)     10,311,703  
  306,245     SiteOne Landscape Supply, Inc.(b)     14,825,321  
   

 

 

  
      25,137,024  
   

 

 

  
  Total Common Stocks
(Identified Cost $837,484,970)		     1,098,958,073  
   

 

 

  

 

See accompanying notes to financial statements.

 

11  |

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Short-Term Investments – 2.7%  
$ 30,695,203     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $30,695,766 on 4/03/2017 collateralized by $32,015,000 U.S. Treasury Note, 1.250% due 3/31/2021 valued at $31,309,678 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $30,695,203)   $ 30,695,203  
   

 

 

  
  Total Investments – 100.8%
(Identified Cost $868,180,173)(a)		     1,129,653,276  
 

Other assets less liabilities—(0.8)%

     (9,487,328 ) 
   

 

 

  
  Net Assets – 100.0%   $ 1,120,165,948  
   

 

 

  
  (†)     See Note 2 of Notes to Financial Statements.  
  (a)     Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):  
  At March 31, 2017, the net unrealized appreciation on investments based on a cost of $868,180,173 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   $ 276,320,850  
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (14,847,747 ) 
   

 

 

  
  Net unrealized appreciation   $ 261,473,103  
   

 

 

  
  (b)     Non-income producing security.  

 

See accompanying notes to financial statements.

 

|  12

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

 

Industry Summary at March 31, 2017 (Unaudited)

 

Health Care Equipment & Supplies

     9.4 % 

Software

     8.7  

Internet Software & Services

     7.2  

Semiconductors & Semiconductor Equipment

     5.9  

Hotels, Restaurants & Leisure

     4.1  

Banks

     3.9  

Diversified Consumer Services

     3.9  

Biotechnology

     3.8  

IT Services

     3.4  

Health Care Providers & Services

     3.3  

Building Products

     3.3  

Auto Components

     3.0  

Electronic Equipment, Instruments & Components

     2.9  

Capital Markets

     2.9  

Machinery

     2.7  

Pharmaceuticals

     2.3  

Trading Companies & Distributors

     2.2  

Construction & Engineering

     2.0  

Life Sciences Tools & Services

     2.0  

Household Durables

     2.0  

Aerospace & Defense

     2.0  

Other Investments, less than 2% each

     17.2  

Short-Term Investments

     2.7  
 

 

 

  

Total Investments

     100.8  

Other assets less liabilities

     (0.8 ) 
 

 

 

  

Net Assets

     100.0 % 
 

 

 

  

 

See accompanying notes to financial statements.

 

13  |

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund

 

Shares     Description   Value (†)  
  Common Stocks – 97.9% of Net Assets  
  Aerospace & Defense – 2.2%  
  292,757     Aerojet Rocketdyne Holdings, Inc.(b)   $ 6,352,827  
  257,814     BWX Technologies, Inc.     12,271,946  
  185,385     DigitalGlobe, Inc.(b)     6,071,359  
   

 

 

  
      24,696,132  
   

 

 

  
  Auto Components – 2.9%  
  121,341     Adient PLC     8,817,850  
  136,200     Cooper Tire & Rubber Co.     6,040,470  
  161,148     Fox Factory Holding Corp.(b)     4,624,948  
  400,616     Horizon Global Corp.(b)     5,560,550  
  75,666     LCI Industries     7,551,467  
   

 

 

  
      32,595,285  
   

 

 

  
  Banks – 18.4%  
  319,894     BancorpSouth, Inc.     9,676,794  
  203,931     Bank of the Ozarks, Inc.     10,606,451  
  258,326     Bryn Mawr Bank Corp.     10,203,877  
  322,640     Cathay General Bancorp     12,157,075  
  185,322     CenterState Banks, Inc.     4,799,840  
  217,763     Chemical Financial Corp.     11,138,578  
  533,038     CVB Financial Corp.     11,774,809  
  484,727     First Financial Bancorp     13,305,756  
  150,066     First Financial Bankshares, Inc.     6,017,647  
  411,049     Home BancShares, Inc.     11,127,096  
  139,856     IBERIABANK Corp.     11,062,610  
  168,106     LegacyTexas Financial Group, Inc.     6,707,429  
  247,775     PacWest Bancorp     13,196,497  
  124,735     Pinnacle Financial Partners, Inc.     8,288,641  
  284,947     Popular, Inc.     11,605,891  
  156,062     Prosperity Bancshares, Inc.     10,879,082  
  91,261     Signature Bank(b)     13,542,220  
  123,418     Texas Capital Bancshares, Inc.(b)     10,299,232  
  255,353     Triumph Bancorp, Inc.(b)     6,588,107  
  226,625     Wintrust Financial Corp.     15,664,320  
   

 

 

  
      208,641,952  
   

 

 

  
  Beverages – 0.5%  
  439,837     Cott Corp.     5,436,385  
   

 

 

  
  Building Products – 2.6%  
  87,946     Apogee Enterprises, Inc.     5,242,461  
  153,765     Armstrong World Industries, Inc.(b)     7,080,878  
  146,902     Gibraltar Industries, Inc.(b)     6,052,362  
  111,434     Masonite International Corp.(b)     8,831,145  
  27,892     Patrick Industries, Inc.(b)     1,977,543  
   

 

 

  
      29,184,389  
   

 

 

  

 

See accompanying notes to financial statements.

 

|  14

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund  – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Capital Markets – 1.3%  
  233,795     Donnelley Financial Solutions, Inc.(b)   $ 4,509,906  
  191,907     Stifel Financial Corp.(b)     9,631,812  
   

 

 

  
      14,141,718  
   

 

 

  
  Chemicals – 2.1%  
  292,262     AdvanSix, Inc.(b)     7,984,598  
  120,054     Cabot Corp.     7,192,435  
  118,130     Minerals Technologies, Inc.     9,048,758  
   

 

 

  
      24,225,791  
   

 

 

  
  Commercial Services & Supplies – 4.5%  
  94,019     Clean Harbors, Inc.(b)     5,229,337  
  267,502     KAR Auction Services, Inc.     11,681,813  
  294,782     Kimball International, Inc.     4,863,903  
  102,095     Knoll, Inc.     2,430,882  
  232,877     LSC Communications, Inc.     5,859,185  
  365,020     R.R. Donnelley & Sons Co.     4,420,392  
  238,745     Viad Corp.     10,791,274  
  234,643     West Corp.     5,729,982  
   

 

 

  
      51,006,768  
   

 

 

  
  Communications Equipment – 1.6%  
  243,219     ARRIS International PLC(b)     6,433,143  
  343,605     Digi International, Inc.(b)     4,088,899  
  709,626     Viavi Solutions, Inc.(b)     7,607,191  
   

 

 

  
      18,129,233  
   

 

 

  
  Construction & Engineering – 0.9%  
  60,855     MYR Group, Inc.(b)     2,495,055  
  219,918     Quanta Services, Inc.(b)     8,161,157  
   

 

 

  
      10,656,212  
   

 

 

  
  Construction Materials – 1.0%  
  224,413     Summit Materials, Inc., Class A(b)     5,545,245  
  94,184     U.S. Concrete, Inc.(b)     6,079,577  
   

 

 

  
      11,624,822  
   

 

 

  
  Consumer Finance – 0.5%  
  165,854     PRA Group, Inc.(b)     5,498,060  
   

 

 

  
  Distributors – 0.6%  
  219,700     Core-Mark Holding Co., Inc.     6,852,443  
   

 

 

  
  Diversified Consumer Services – 0.8%  
  190,517     DeVry Education Group, Inc.     6,753,828  
  277,662     Houghton Mifflin Harcourt Co.(b)     2,818,269  
   

 

 

  
      9,572,097  
   

 

 

  

 

See accompanying notes to financial statements.

 

15  |

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund  – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Diversified Financial Services – 0.7%  
  577,201     FNFV Group(b)   $ 7,647,913  
   

 

 

  
  Electric Utilities – 1.2%  
  200,898     ALLETE, Inc.     13,602,804  
   

 

 

  
  Electrical Equipment – 0.2%  
  45,465     AZZ, Inc.     2,705,167  
   

 

 

  
  Electronic Equipment, Instruments & Components – 5.1%  
  107,123     Belden, Inc.     7,411,840  
  229,042     II-VI, Inc.(b)     8,256,964  
  83,204     Kimball Electronics, Inc.(b)     1,410,308  
  118,871     Littelfuse, Inc.     19,008,662  
  213,702     Methode Electronics, Inc.     9,744,811  
  58,638     Rogers Corp.(b)     5,035,245  
  146,249     VeriFone Systems, Inc.(b)     2,739,244  
  218,026     Vishay Intertechnology, Inc.     3,586,528  
   

 

 

  
      57,193,602  
   

 

 

  
  Energy Equipment & Services – 3.1%  
  282,266     Bristow Group, Inc.     4,293,266  
  202,307     C&J Energy Services, Inc.(b)     6,888,553  
  240,094     Natural Gas Services Group, Inc.(b)     6,254,449  
  326,184     RPC, Inc.     5,972,429  
  240,166     U.S. Silica Holdings, Inc.     11,525,566  
   

 

 

  
      34,934,263  
   

 

 

  
  Food & Staples Retailing – 0.8%  
  245,864     SpartanNash Co.     8,602,781  
   

 

 

  
  Food Products – 1.8%  
  311,985     Darling Ingredients, Inc.(b)     4,530,022  
  27,071     J&J Snack Foods Corp.     3,669,745  
  142,046     Post Holdings, Inc.(b)     12,431,866  
   

 

 

  
      20,631,633  
   

 

 

  
  Health Care Equipment & Supplies – 0.7%  
  210,698     Halyard Health, Inc.(b)     8,025,487  
   

 

 

  
  Health Care Providers & Services – 0.5%  
  263,440     PharMerica Corp.(b)     6,164,496  
   

 

 

  
  Hotels, Restaurants & Leisure – 3.4%  
  278,250     Carrols Restaurant Group, Inc.(b)     3,937,238  
  76,273     Churchill Downs, Inc.     12,115,966  
  24,829     Cracker Barrel Old Country Store, Inc.     3,954,018  
  130,415     Marriott Vacations Worldwide Corp.     13,032,371  
  88,365     Six Flags Entertainment Corp.     5,256,834  
   

 

 

  
      38,296,427  
   

 

 

  

 

See accompanying notes to financial statements.

 

|  16

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund  – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Household Durables – 0.7%  
  88,268     Helen of Troy Ltd.(b)   $ 8,314,846  
   

 

 

  
  Household Products – 0.5%  
  295,958     HRG Group, Inc.(b)     5,717,909  
   

 

 

  
  Industrial Conglomerates – 0.7%  
  265,130     Raven Industries, Inc.     7,702,026  
   

 

 

  
  Insurance – 3.6%  
  125,076     Atlas Financial Holdings, Inc.(b)     1,707,287  
  371,538     Employers Holdings, Inc.     14,099,867  
  107,467     First American Financial Corp.     4,221,304  
  172,223     ProAssurance Corp.     10,376,436  
  78,516     Reinsurance Group of America, Inc., Class A     9,969,962  
   

 

 

  
      40,374,856  
   

 

 

  
  Internet & Direct Marketing Retail – 1.8%  
  310,985     1-800-Flowers.com, Inc., Class A(b)     3,172,047  
  81,135     HSN, Inc.     3,010,108  
  101,668     Liberty Expedia Holdings, Inc., Series A(b)     4,623,861  
  217,697     Liberty Ventures, Series A(b)     9,683,163  
   

 

 

  
      20,489,179  
   

 

 

  
  Internet Software & Services – 0.9%  
  176,033     CommerceHub, Inc., Series C(b)     2,733,792  
  92,993     IAC/InterActiveCorp(b)     6,855,444  
   

 

 

  
      9,589,236  
   

 

 

  
  IT Services – 4.0%  
  305,516     Booz Allen Hamilton Holding Corp.     10,812,211  
  92,476     CSG Systems International, Inc.     3,496,518  
  90,390     DST Systems, Inc.     11,072,775  
  136,906     Euronet Worldwide, Inc.(b)     11,708,201  
  80,186     WEX, Inc.(b)     8,299,251  
   

 

 

  
      45,388,956  
   

 

 

  
  Leisure Products – 0.6%  
  355,168     Nautilus, Inc.(b)     6,481,816  
   

 

 

  
  Life Sciences Tools & Services – 1.2%  
  336,621     Albany Molecular Research, Inc.(b)     4,722,793  
  308,530     VWR Corp.(b)     8,700,546  
   

 

 

  
      13,423,339  
   

 

 

  
  Machinery – 4.1%  
  72,415     Alamo Group, Inc.     5,517,299  
  170,875     Albany International Corp., Class A     7,868,794  
  65,445     Altra Industrial Motion Corp.     2,549,083  

 

See accompanying notes to financial statements.

 

17  |

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund  – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Machinery – continued  
  37,307     EnPro Industries, Inc.   $ 2,654,766  
  109,685     John Bean Technologies Corp.     9,646,796  
  85,763     RBC Bearings, Inc.(b)     8,326,729  
  98,424     Standex International Corp.     9,857,163  
   

 

 

  
      46,420,630  
   

 

 

  
  Marine – 0.4%  
  60,154     Kirby Corp.(b)     4,243,865  
   

 

 

  
  Media – 1.6%  
  278,178     E.W. Scripps Co. (The), Class A(b)     6,520,492  
  133,851     John Wiley & Sons, Inc., Class A     7,201,184  
  353,515     National CineMedia, Inc.     4,464,895  
   

 

 

  
      18,186,571  
   

 

 

  
  Metals & Mining – 0.7%  
  228,753     Ferroglobe PLC     2,363,019  
  507,316     Ferroglobe R&W Trust(b)(c)     —  
  135,487     Haynes International, Inc.     5,164,764  
   

 

 

  
      7,527,783  
   

 

 

  
  Multi-Utilities – 0.9%  
  180,993     NorthWestern Corp.     10,624,289  
   

 

 

  
  Oil, Gas & Consumable Fuels – 2.1%  
  42,265     Arch Coal, Inc., Class A(b)     2,913,749  
  379,508     Gulfport Energy Corp.(b)     6,523,742  
  415,097     QEP Resources, Inc.(b)     5,275,883  
  1,103,597     SRC Energy, Inc.(b)     9,314,359  
   

 

 

  
      24,027,733  
   

 

 

  
  Pharmaceuticals – 0.9%  
  189,204     Akorn, Inc.(b)     4,556,032  
  208,513     Catalent, Inc.(b)     5,905,088  
   

 

 

  
      10,461,120  
   

 

 

  
  Professional Services – 1.4%  
  77,005     Insperity, Inc.     6,826,493  
  293,684     Korn/Ferry International     9,248,109  
   

 

 

  
      16,074,602  
   

 

 

  
  REITs – Apartments – 1.5%  
  179,360     American Campus Communities, Inc.     8,535,742  
  82,015     Mid-America Apartment Communities, Inc.     8,344,206  
   

 

 

  
      16,879,948  
   

 

 

  

 

See accompanying notes to financial statements.

 

|  18

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund  – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  REITs – Health Care – 0.5%  
  208,558     Sabra Healthcare REIT, Inc.   $ 5,825,025  
   

 

 

  
  REITs – Hotels – 0.5%  
  283,562     Hersha Hospitality Trust     5,328,130  
   

 

 

  
  REITs – Mortgage – 0.4%  
  344,019     iStar, Inc.(b)     4,059,424  
   

 

 

  
  REITs – Shopping Centers – 1.1%  
  588,668     Retail Opportunity Investments Corp.     12,379,688  
   

 

 

  
  REITs – Single Tenant – 0.6%  
  159,592     National Retail Properties, Inc.     6,961,403  
   

 

 

  
  REITs – Storage – 0.8%  
  351,530     CubeSmart     9,125,719  
   

 

 

  
  REITs – Warehouse/Industrials – 1.0%  
  133,931     CyrusOne, Inc.     6,893,429  
  203,425     Rexford Industrial Realty, Inc.     4,581,131  
   

 

 

  
      11,474,560  
   

 

 

  
  Road & Rail – 1.6%  
  94,752     Avis Budget Group, Inc.(b)     2,802,764  
  94,380     Genesee & Wyoming, Inc., Class A(b)     6,404,627  
  108,812     Old Dominion Freight Line, Inc.     9,311,043  
   

 

 

  
      18,518,434  
   

 

 

  
  Semiconductors & Semiconductor Equipment – 2.4%  
  25,360     Advanced Energy Industries, Inc.(b)     1,738,682  
  190,133     Mellanox Technologies Ltd.(b)     9,687,276  
  132,532     Semtech Corp.(b)     4,479,581  
  367,420     Teradyne, Inc.     11,426,762  
   

 

 

  
      27,332,301  
   

 

 

  
  Software – 1.3%  
  253,259     Synchronoss Technologies, Inc.(b)     6,179,519  
  183,706     Verint Systems, Inc.(b)     7,968,248  
   

 

 

  
      14,147,767  
   

 

 

  
  Specialty Retail – 1.4%  
  152,653     Camping World Holdings, Inc., Class A     4,921,533  
  135,400     Genesco, Inc.(b)     7,507,930  
  161,351     Sally Beauty Holdings, Inc.(b)     3,298,014  
   

 

 

  
      15,727,477  
   

 

 

  
  Technology Hardware, Storage & Peripherals – 0.3%  
  172,209     Cray, Inc.(b)     3,771,377  
   

 

 

  

 

See accompanying notes to financial statements.

 

19  |

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund  – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Thrifts & Mortgage Finance – 1.0%  
  131,644     Federal Agricultural Mortgage Corp., Class C   $ 7,578,745  
  137,964     OceanFirst Financial Corp.     3,887,136  
   

 

 

  
      11,465,881  
   

 

 

  
  Total Common Stocks
(Identified Cost $749,789,043)		     1,108,111,750  
   

 

 

  
  Closed-End Investment Companies – 0.6%  
  462,007     Hercules Capital, Inc.
(Identified Cost $6,009,463)		     6,990,166  
   

 

 

  
 
 Principal
Amount		  
 		            
  Short-Term Investments – 1.7%  
$ 19,315,329     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $19,315,683 on 4/03/2017 collateralized by $20,195,000 U.S. Treasury Note, 1.250% due 10/31/2021 valued at $19,704,423 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $19,315,329)     19,315,329  
   

 

 

  
  Total Investments – 100.2%
(Identified Cost $775,113,835)(a)		     1,134,417,245  
 

Other assets less liabilities—(0.2)%

     (1,994,989 ) 
   

 

 

  
  Net Assets – 100.0%   $ 1,132,422,256  
   

 

 

  
  (†)     See Note 2 of Notes to Financial Statements.  
  (a)     Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):  
  At March 31, 2017, the net unrealized appreciation on investments based on a cost of $775,113,835 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   $ 392,900,320  
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (33,596,910 ) 
   

 

 

  
  Net unrealized appreciation   $ 359,303,410  
   

 

 

  
  (b)     Non-income producing security.  
  (c)     Illiquid security.  
  REITs     Real Estate Investment Trusts  

 

See accompanying notes to financial statements.

 

|  20

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund  – continued

 

Industry Summary at March 31, 2017 (Unaudited)

 

Banks

     18.4 % 

Electronic Equipment, Instruments & Components

     5.1  

Commercial Services & Supplies

     4.5  

Machinery

     4.1  

IT Services

     4.0  

Insurance

     3.6  

Hotels, Restaurants & Leisure

     3.4  

Energy Equipment & Services

     3.1  

Auto Components

     2.9  

Building Products

     2.6  

Semiconductors & Semiconductor Equipment

     2.4  

Aerospace & Defense

     2.2  

Chemicals

     2.1  

Oil, Gas & Consumable Fuels

     2.1  

Other Investments, less than 2% each

     38.0  

Short-Term Investments

     1.7  
 

 

 

  

Total Investments

     100.2  

Other assets less liabilities

     (0.2 ) 
 

 

 

  

Net Assets

     100.0 % 
 

 

 

  

 

See accompanying notes to financial statements.

 

21  |

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund

 

Shares     Description   Value (†)  
  Common Stocks – 96.7% of Net Assets  
  Aerospace & Defense – 3.3%  
  1,883     HEICO Corp.   $ 164,197  
  2,992     Hexcel Corp.     163,214  
  318     TransDigm Group, Inc.     70,011  
   

 

 

  
      397,422  
   

 

 

  
  Air Freight & Logistics – 1.4%  
  3,565     XPO Logistics, Inc.(b)     170,728  
   

 

 

  
  Auto Components – 1.2%  
  1,385     LCI Industries     138,223  
   

 

 

  
  Banks – 4.2%  
  3,219     Columbia Banking System, Inc.     125,509  
  1,118     First Republic Bank     104,880  
  4,759     Home BancShares, Inc.     128,826  
  2,982     Western Alliance Bancorp(b)     146,386  
   

 

 

  
      505,601  
   

 

 

  
  Biotechnology – 2.8%  
  9,482     Ironwood Pharmaceuticals, Inc.(b)     161,763  
  2,026     Neurocrine Biosciences, Inc.(b)     87,726  
  1,582     Prothena Corp. PLC(b)     88,259  
   

 

 

  
      337,748  
   

 

 

  
  Building Products – 1.3%  
  1,704     American Woodmark Corp.(b)     156,427  
   

 

 

  
  Capital Markets – 5.6%  
  1,761     CBOE Holdings, Inc.     142,764  
  961     MarketAxess Holdings, Inc.     180,178  
  1,400     MSCI, Inc.     136,066  
  2,532     SEI Investments Co.     127,714  
  1,634     Stifel Financial Corp.(b)     82,011  
   

 

 

  
      668,733  
   

 

 

  
  Commercial Services & Supplies – 3.8%  
  3,812     Healthcare Services Group, Inc.     164,259  
  3,405     KAR Auction Services, Inc.     148,696  
  4,375     Ritchie Bros. Auctioneers, Inc.     143,938  
   

 

 

  
      456,893  
   

 

 

  
  Diversified Consumer Services – 4.7%  
  2,415     Bright Horizons Family Solutions, Inc.(b)     175,064  
  2,589     Grand Canyon Education, Inc.(b)     185,398  
  7,845     Nord Anglia Education, Inc.(b)     198,792  
   

 

 

  
      559,254  
   

 

 

  

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Diversified Telecommunication Services – 1.5%  
  4,169     Cogent Communications Holdings, Inc.   $ 179,475  
   

 

 

  
  Electrical Equipment – 3.1%  
  567     Acuity Brands, Inc.     115,668  
  3,723     Generac Holdings, Inc.(b)     138,794  
  2,790     Sensata Technologies Holding NV(b)     121,839  
   

 

 

  
      376,301  
   

 

 

  
  Electronic Equipment, Instruments & Components – 3.7%  
  566     Coherent, Inc.(b)     116,392  
  4,792     National Instruments Corp.     156,028  
  5,445     Trimble, Inc.(b)     174,294  
   

 

 

  
      446,714  
   

 

 

  
  Energy Equipment & Services – 1.6%  
  1,892     Dril-Quip, Inc.(b)     103,208  
  2,758     Oil States International, Inc.(b)     91,428  
   

 

 

  
      194,636  
   

 

 

  
  Health Care Equipment & Supplies – 9.4%  
  1,680     Align Technology, Inc.(b)     192,713  
  1,257     Cantel Medical Corp.     100,686  
  1,774     DexCom, Inc.(b)     150,311  
  5,546     Merit Medical Systems, Inc.(b)     160,279  
  1,200     Penumbra, Inc.(b)     100,140  
  1,282     STERIS PLC     89,048  
  1,287     West Pharmaceutical Services, Inc.     105,032  
  7,278     Wright Medical Group NV(b)     226,491  
   

 

 

  
      1,124,700  
   

 

 

  
  Health Care Providers & Services – 4.1%  
  4,025     HealthEquity, Inc.(b)     170,861  
  1,271     MEDNAX, Inc.(b)     88,182  
  645     VCA, Inc.(b)     59,018  
  1,247     WellCare Health Plans, Inc.(b)     174,842  
   

 

 

  
      492,903  
   

 

 

  
  Health Care Technology – 2.3%  
  2,903     Cotiviti Holdings, Inc.(b)     120,852  
  3,057     Veeva Systems, Inc., Class A(b)     156,763  
   

 

 

  
      277,615  
   

 

 

  
  Hotels, Restaurants & Leisure – 6.4%  
  2,240     Dunkin’ Brands Group, Inc.     122,483  
  619     Panera Bread Co., Class A(b)     162,098  
  7,877     Planet Fitness, Inc., Class A     151,790  
  2,164     Six Flags Entertainment Corp.     128,736  

 

See accompanying notes to financial statements.

 

23  |

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Hotels, Restaurants & Leisure – continued  
  1,040     Vail Resorts, Inc.   $ 199,576  
   

 

 

  
      764,683  
   

 

 

  
  Internet Software & Services – 3.3%  
  732     CoStar Group, Inc.(b)     151,685  
  4,571     GTT Communications, Inc.(b)     111,304  
  1,498     j2 Global, Inc.     125,697  
   

 

 

  
      388,686  
   

 

 

  
  IT Services – 4.3%  
  2,546     Black Knight Financial Services, Inc., Class A(b)     97,512  
  4,295     Booz Allen Hamilton Holding Corp.     152,000  
  1,772     Broadridge Financial Solutions, Inc.     120,407  
  1,351     Gartner, Inc.(b)     145,895  
   

 

 

  
      515,814  
   

 

 

  
  Leisure Products – 1.2%  
  2,283     Brunswick Corp.     139,720  
   

 

 

  
  Life Sciences Tools & Services – 1.3%  
  1,956     ICON PLC(b)     155,932  
   

 

 

  
  Machinery – 5.6%  
  3,125     Altra Industrial Motion Corp.     121,719  
  1,197     Middleby Corp. (The)(b)     163,331  
  3,120     Sun Hydraulics Corp.     112,663  
  2,378     Toro Co. (The)     148,530  
  1,006     WABCO Holdings, Inc.(b)     118,124  
   

 

 

  
      664,367  
   

 

 

  
  Media – 1.4%  
  5,326     Live Nation Entertainment, Inc.(b)     161,751  
   

 

 

  
  Oil, Gas & Consumable Fuels – 2.2%  
  1,370     Diamondback Energy, Inc.(b)     142,090  
  3,687     Parsley Energy, Inc., Class A(b)     119,864  
   

 

 

  
      261,954  
   

 

 

  
  Professional Services – 1.3%  
  3,927     TransUnion(b)     150,600  
   

 

 

  
  Real Estate Management & Development – 1.3%  
  2,540     First Service Corp.     153,162  
   

 

 

  
  Semiconductors & Semiconductor Equipment – 3.9%  
  2,374     Advanced Energy Industries, Inc.(b)     162,761  
  2,892     MACOM Technology Solutions Holdings, Inc.(b)     139,684  
  2,300     Silicon Laboratories, Inc.(b)     169,165  
   

 

 

  
      471,610  
   

 

 

  

 

See accompanying notes to financial statements.

 

|  24

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Software – 8.0%  
  1,997     Blackbaud, Inc.   $ 153,110  
  7,420     Callidus Software, Inc.(b)     158,417  
  2,796     Guidewire Software, Inc.(b)     157,499  
  2,610     HubSpot, Inc.(b)     158,035  
  1,590     Paylocity Holding Corp.(b)     61,422  
  2,248     PTC, Inc.(b)     118,132  
  742     Ultimate Software Group, Inc. (The)(b)     144,846  
   

 

 

  
      951,461  
   

 

 

  
  Specialty Retail – 1.0%  
  3,654     Camping World Holdings, Inc., Class A     117,805  
   

 

 

  
  Textiles, Apparel & Luxury Goods – 0.8%  
  1,579     Columbia Sportswear Co.     92,766  
   

 

 

  
  Trading Companies & Distributors – 0.7%  
  3,950     BMC Stock Holdings, Inc.(b)     89,270  
   

 

 

  
  Total Common Stocks
(Identified Cost $9,682,155)		     11,562,954  
   

 

 

  
 
 Principal
Amount		  
 		            
  Short-Term Investments – 3.0%  
$ 357,926     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $357,932 on 4/03/2017 collateralized by $375,000 U.S. Treasury Note, 1.250% due 10/31/2021 valued at $365,891 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $357,926)     357,926  
   

 

 

  
  Total Investments – 99.7%
(Identified Cost $10,040,081)(a)		     11,920,880  
 

Other assets less liabilities—0.3%

     31,806  
   

 

 

  
  Net Assets – 100.0%   $ 11,952,686  
   

 

 

  
  (†)     See Note 2 of Notes to Financial Statements.  
  (a)     Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):  
  At March 31, 2017, the net unrealized appreciation on investments based on a cost of $10,040,081 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   $ 1,969,039  
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (88,240 ) 
   

 

 

  
  Net unrealized appreciation   $ 1,880,799  
   

 

 

  
  (b)     Non-income producing security.  

 

See accompanying notes to financial statements.

 

25  |

Table of Contents

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Industry Summary at March 31, 2017 (Unaudited)

 

Health Care Equipment & Supplies

     9.4 % 

Software

     8.0  

Hotels, Restaurants & Leisure

     6.4  

Capital Markets

     5.6  

Machinery

     5.6  

Diversified Consumer Services

     4.7  

IT Services

     4.3  

Banks

     4.2  

Health Care Providers & Services

     4.1  

Semiconductors & Semiconductor Equipment

     3.9  

Commercial Services & Supplies

     3.8  

Electronic Equipment, Instruments & Components

     3.7  

Aerospace & Defense

     3.3  

Internet Software & Services

     3.3  

Electrical Equipment

     3.1  

Biotechnology

     2.8  

Health Care Technology

     2.3  

Oil, Gas & Consumable Fuels

     2.2  

Other Investments, less than 2% each

     16.0  

Short-Term Investments

     3.0  
 

 

 

  

Total Investments

     99.7  

Other assets less liabilities

     0.3  
 

 

 

  

Net Assets

     100.0 % 
 

 

 

  

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2017 (Unaudited)

 

     Small Cap
Growth Fund		     Small Cap
Value Fund		     Small/Mid Cap
Growth Fund		  

ASSETS

 

Investments at cost

   $ 868,180,173     $ 775,113,835     $ 10,040,081  

Net unrealized appreciation

     261,473,103       359,303,410       1,880,799  
 

 

 

    

 

 

    

 

 

  

Investments at value

     1,129,653,276       1,134,417,245       11,920,880  

Receivable for Fund shares sold

     1,190,593       27,579,322       97,735  

Receivable for securities sold

     2,884,142       308,585       134,666  

Dividends and interest receivable

     200,066       932,484       4,014  

Prepaid expenses (Note 7)

     467       461       6  
 

 

 

    

 

 

    

 

 

  

TOTAL ASSETS

     1,133,928,544       1,163,238,097       12,157,301  
 

 

 

    

 

 

    

 

 

  

LIABILITIES

 

Payable for securities purchased

     7,744,891       2,927,449       161,699  

Payable for Fund shares redeemed

     5,029,971       26,878,709       —  

Management fees payable (Note 5)

     729,404       713,730       986  

Deferred Trustees’ fees (Note 5)

     133,164       192,363       13,694  

Administrative fees payable (Note 5)

     42,566       43,482       432  

Payable to distributor (Note 5d)

     13,399       10,748       3  

Other accounts payable and accrued expenses

     69,201       49,360       27,801  
 

 

 

    

 

 

    

 

 

  

TOTAL LIABILITIES

     13,762,596       30,815,841       204,615  
 

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 1,120,165,948     $ 1,132,422,256     $ 11,952,686  
 

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 810,287,468     $ 718,240,578     $ 10,807,761  

Undistributed (Distributions in excess of) net investment income/Accumulated net investment loss

     (6,043,964 )      759,877       (33,345 ) 

Accumulated net realized gain (loss) on investments

     54,449,341       54,118,391       (702,529 ) 

Net unrealized appreciation on investments

     261,473,103       359,303,410       1,880,799  
 

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 1,120,165,948     $ 1,132,422,256     $ 11,952,686  
 

 

 

    

 

 

    

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

      

Institutional Class:

 

Net assets

   $ 793,206,861     $ 720,380,110     $ 11,952,686  
 

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     32,545,913       20,502,414       1,112,376  
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 24.37     $ 35.14     $ 10.75  
 

 

 

    

 

 

    

 

 

  

Retail Class:

 

Net assets

   $ 105,780,117     $ 275,820,549     $ —  
 

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     4,646,564       7,954,809       —  
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 22.77     $ 34.67     $ —  
 

 

 

    

 

 

    

 

 

  

Admin Class shares:

 

Net assets

   $ —     $ 32,772,927     $ —  
 

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     —       977,282       —  
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ —     $ 33.53     $ —  
 

 

 

    

 

 

    

 

 

  

Class N shares:

 

Net assets

   $ 221,178,970     $ 103,448,670     $ —  
 

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     9,037,320       2,942,543       —  
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 24.47     $ 35.16     $ —  
 

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

STATEMENTS OF OPERATIONS

For the Six Months Ended March 31, 2017 (Unaudited)

 

     Small Cap
Growth Fund		     Small Cap
Value Fund		     Small/Mid Cap
Growth Fund		  

INVESTMENT INCOME

 

Dividends

   $ 2,415,500     $ 8,108,470     $ 59,611  

Interest

     6,186       4,277       91  

Less net foreign taxes withheld

     —       (19,315 )      (332 ) 
 

 

 

    

 

 

    

 

 

  
    2,421,686       8,093,432       59,370  
 

 

 

    

 

 

    

 

 

  

Expenses

 

Management fees (Note 5)

     4,097,055       4,138,728       45,092  

Service and distribution fees (Note 5)

     138,258       447,058       —  

Administrative fees (Note 5)

     244,248       246,760       2,688  

Trustees’ fees and expenses (Note 5)

     27,908       31,180       9,353  

Transfer agent fees and expenses (Notes 5 and 6)

     574,446       519,813       470  

Audit and tax services fees

     19,257       19,704       19,509  

Custodian fees and expenses

     19,661       15,460       2,701  

Legal fees

     11,341       11,384       130  

Registration fees

     40,423       57,301       6,423  

Shareholder reporting expenses

     29,612       40,135       899  

Miscellaneous expenses (Note 7)

     25,752       25,900       5,673  
 

 

 

    

 

 

    

 

 

  

Total expenses

     5,227,961       5,553,423       92,938  

Less waiver and/or expense reimbursement (Note 5)

     —       (168,529 )      (41,834 ) 
 

 

 

    

 

 

    

 

 

  

Net expenses

     5,227,961       5,384,894       51,104  
 

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     (2,806,275 )      2,708,538       8,266  
 

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS

      

Net realized gain on:

      

Investments

     62,242,680       64,261,042       409,925  
 

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on:

      

Investments

     48,960,605       60,224,577       820,193  
 

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain on investments

     111,203,285       124,485,619       1,230,118  
 

 

 

    

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 108,397,010     $ 127,194,157     $ 1,238,384  
 

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

 

     Small Cap Growth Fund     Small Cap Value Fund  
     Six Months Ended
March 31, 2017
(Unaudited)		     Year Ended
September 30,
2016		     Six Months Ended
March 31, 2017
(Unaudited)		     Year Ended
September 30,
2016		  

FROM OPERATIONS:

        

Net investment income (loss)

   $ (2,806,275 )    $ (4,723,031 )    $ 2,708,538     $ 4,590,712  

Net realized gain (loss) on investments

     62,242,680       (7,969,145 )      64,261,042       95,614,322  

Net change in unrealized appreciation (depreciation) on investments

     48,960,605       88,312,376       60,224,577       60,726,807  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

     108,397,010       75,620,200       127,194,157       160,931,841  
 

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

        

Net investment income

        

Institutional Class

     —       —       (2,669,796 )      (4,437,216 ) 

Retail Class

     —       —       (383,151 )      (1,004,613 ) 

Admin Class

     —       —       —       (29,796 ) 

Class N

     —       —       (394,109 )      (305,471 ) 

Net realized capital gains

        

Institutional Class

     —       (60,491,317 )      (52,752,875 )      (64,722,294 ) 

Retail Class

     —       (11,886,045 )      (20,871,880 )      (27,186,960 ) 

Admin Class

     —       —       (3,598,566 )      (4,490,438 ) 

Class N

     —       (13,284,984 )      (6,619,873 )      (3,940,507 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     —       (85,662,346 )      (87,290,250 )      (106,117,295 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

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

     (116,017,026 )      11,449,327       57,776,268       (76,857,263 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets

     (7,620,016 )      1,407,181       97,680,175       (22,042,717 ) 

NET ASSETS

        

Beginning of the period

     1,127,785,964       1,126,378,783       1,034,742,081       1,056,784,798  
 

 

 

    

 

 

    

 

 

    

 

 

  

End of the period

   $ 1,120,165,948     $ 1,127,785,964     $ 1,132,422,256     $ 1,034,742,081  
 

 

 

    

 

 

    

 

 

    

 

 

  

ACCUMULATED NET INVESTMENT LOSS/UNDISTRIBUTED NET INVESTMENT INCOME

   $ (6,043,964 )    $ (3,237,689 )    $ 759,877     $ 1,498,395  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS – continued

 

     Small/Mid Cap Growth Fund  
     Six Months Ended
March 31, 2017
(Unaudited)		     Year Ended
September 30,
2016		  

FROM OPERATIONS:

 

Net investment income (loss)

   $ 8,266     $ (23,360 ) 

Net realized gain (loss) on investments

     409,925       (943,201 ) 

Net change in unrealized appreciation (depreciation) on investments

     820,193       1,835,053  
 

 

 

    

 

 

  

Net increase in net assets resulting from operations

     1,238,384       868,492  
 

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Net investment income

    

Institutional Class

     (22,881 )      —  

Retail Class

     —       —  

Admin Class

     —       —  

Class N

     —       —  

Net realized capital gains

    

Institutional Class

     —       —  

Retail Class

     —       —  

Admin Class

     —       —  

Class N

     —       —  
 

 

 

    

 

 

  

Total distributions

     (22,881 )      —  
 

 

 

    

 

 

  

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

     (1,237,240 )      1,863,761  
 

 

 

    

 

 

  

Net increase (decrease) in net assets

     (21,737 )      2,732,253  

NET ASSETS

 

Beginning of the period

     11,974,423       9,242,170  
 

 

 

    

 

 

  

End of the period

   $ 11,952,686     $ 11,974,423  
 

 

 

    

 

 

  

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ ACCUMULATED NET INVESTMENT LOSS

   $ (33,345 )    $ (18,730 ) 
 

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

FINANCIAL HIGHLIGHTS

For a share outstanding throughout each period.

 

     Small Cap Growth Fund—Institutional Class         
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
     Year Ended
September 30,
2014
     Year Ended
September 30,
2013
     Year Ended
September 30,
2012
         

Net asset value, beginning of the period

   $ 22.03     $ 22.22     $ 24.27     $ 26.35     $ 19.17     $ 15.06    
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment loss(a)

     (0.06 )      (0.09 )      (0.14 )      (0.16 )(b)      (0.15 )(c)      (0.14 )   

Net realized and unrealized gain (loss)

     2.40       1.59       1.63       (0.09 )      7.33       4.25    
 

 

 

  

Total from Investment Operations

     2.34       1.50       1.49       (0.25 )      7.18       4.11    
 

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     —       —       —       —       —       —    

Net realized capital gains

     —       (1.69 )      (3.54 )      (1.83 )      —       —    
 

 

 

  

Total Distributions

     —       (1.69 )      (3.54 )      (1.83 )      —       —    
 

 

 

  

Net asset value, end of the period

   $ 24.37     $ 22.03     $ 22.22     $ 24.27     $ 26.35     $ 19.17    
 

 

 

  

Total return

     10.62 %(d)      6.92 %      5.78 %      (1.31 )%(b)      37.45 %(c)      27.29 %   

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 793,207     $ 812,383     $ 800,883     $ 852,131     $ 914,000     $ 599,469    

Net expenses

     0.95 %(e)      0.95 %      0.94 %      0.94 %      0.94 %      0.95 %   

Gross expenses

     0.95 %(e)      0.95 %      0.94 %      0.94 %      0.94 %      0.95 %   

Net investment loss

     (0.51 )%(e)      (0.41 )%      (0.57 )%      (0.63 )%(b)      (0.70 )%(c)      (0.79 )%   

Portfolio turnover rate

     26 %      56 %      78 %      63 %      56 %      77 %   

 

(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.17), total return would have been (1.35)% and the ratio of net investment loss to average net assets would have been (0.66)%.
(c) Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.16), total return would have been 37.40% and the ratio of net investment loss to average net assets would have been (0.75)%.
(d) Periods less than one year are not annualized.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

31  |

Table of Contents

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.

 

     Small Cap Growth Fund—Retail Class         
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
     Year Ended
September 30,
2014
     Year Ended
September 30,
2013
     Year Ended
September 30,
2012
         

Net asset value, beginning of the period

   $ 20.61     $ 20.93     $ 23.10     $ 25.23     $ 18.41     $ 14.52    
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment loss(a)

     (0.08 )      (0.13 )      (0.19 )      (0.22 )(b)      (0.20 )(c)      (0.19 )   

Net realized and unrealized gain (loss)

     2.24       1.50       1.56       (0.08 )      7.02       4.08    
 

 

 

  

Total from Investment Operations

     2.16       1.37       1.37       (0.30 )      6.82       3.89    
 

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     —       —       —       —       —       —    

Net realized capital gains

     —       (1.69 )      (3.54 )      (1.83 )      —       —    
 

 

 

  

Total Distributions

     —       (1.69 )      (3.54 )      (1.83 )      —       —    
 

 

 

  

Net asset value, end of the period

   $ 22.77     $ 20.61     $ 20.93     $ 23.10     $ 25.23     $ 18.41    
 

 

 

  

Total return

     10.49 %(d)      6.61 %      5.58 %      (1.58 )%(b)      37.05 %(c)      26.79 %(e)   

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 105,780     $ 118,670     $ 162,906     $ 175,393     $ 211,724     $ 229,822    

Net expenses

     1.20 %(f)      1.20 %      1.19 %      1.21 %      1.25 %(g)      1.25 %(h)   

Gross expenses

     1.20 %(f)      1.20 %      1.19 %      1.21 %      1.25 %(g)      1.28 %   

Net investment loss

     (0.75 )%(f)      (0.66 )%      (0.82 )%      (0.90 )%(b)      (0.99 )%(c)      (1.09 )%   

Portfolio turnover rate

     26 %      56 %      78 %      63 %      56 %      77 %   

 

(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.23), total return would have been (1.58)% and the ratio of net investment loss to average net assets would have been (0.93)%.
(c) Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.21), total return would have been 36.99% and the ratio of net investment loss to average net assets would have been (1.05)%.
(d) Periods less than one year are not annualized.
(e) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(f) Computed on an annualized basis for periods less than one year.
(g) Includes fee/expense recovery of 0.01%.
(h) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.

 

     Small Cap Growth Fund—Class N         
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
     Year Ended
September 30,
2014
     Period Ended
September 30,
2013*
         

Net asset value, beginning of the period

   $ 22.11     $ 22.27     $ 24.29     $ 26.36     $ 20.22    
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment loss(a)

     (0.05 )      (0.06 )      (0.12 )      (0.14 )(b)      (0.11 )   

Net realized and unrealized gain (loss)

     2.41       1.59       1.64       (0.10 )      6.25    
 

 

 

  

Total from Investment Operations

     2.36       1.53       1.52       (0.24 )      6.14    
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       —       —       —       —    

Net realized capital gains

     —       (1.69 )      (3.54 )      (1.83 )      —    
 

 

 

  

Total Distributions

     —       (1.69 )      (3.54 )      (1.83 )      —    
 

 

 

  

Net asset value, end of the period

   $ 24.47     $ 22.11     $ 22.27     $ 24.29     $ 26.36    
 

 

 

  

Total return

     10.67 %(c)      7.05 %      5.92 %      (1.27 )%(b)      30.37 %(c)   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 221,179     $ 196,733     $ 162,591     $ 15,080     $ 7,580    

Net expenses

     0.83 %(d)      0.83 %      0.83 %      0.83 %      0.83 %(d)   

Gross expenses

     0.83 %(d)      0.83 %      0.83 %      0.83 %      0.83 %(d)   

Net investment loss

     (0.40 )%(d)      (0.29 )%      (0.51 )%      (0.53 )%(b)      (0.63 )%(d)   

Portfolio turnover rate

     26 %      56 %      78 %      63 %      56 %   

 

* From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.14), total return would have been (1.31)% and the ratio of net investment loss to average net assets would have been (0.56)%.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

33  |

Table of Contents

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund—Institutional Class         
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
     Year Ended
September 30,
2014
     Year Ended
September 30,
2013
     Year Ended
September 30,
2012
         

Net asset value, beginning of the period

   $ 33.78     $ 32.19     $ 36.40     $ 37.42     $ 29.14     $ 22.36    
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.10       0.17       0.27       0.20       0.20       0.21    

Net realized and unrealized gain (loss)

     4.16       4.82       0.49       2.18       8.41       6.62    
 

 

 

  

Total from Investment Operations

     4.26       4.99       0.76       2.38       8.61       6.83    
 

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.14 )      (0.22 )      (0.22 )      (0.10 )      (0.30 )      (0.05 )   

Net realized capital gains

     (2.76 )      (3.18 )      (4.75 )      (3.30 )      (0.03 )      —    
 

 

 

  

Total Distributions

     (2.90 )      (3.40 )      (4.97 )      (3.40 )      (0.33 )      (0.05 )   
 

 

 

  

Net asset value, end of the period

   $ 35.14     $ 33.78     $ 32.19     $ 36.40     $ 37.42     $ 29.14    
 

 

 

  

Total return

     12.54 %(b)(c)      16.75 %(b)      1.20 %(b)      6.17 %(b)      29.82 %(b)      30.59 %   

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 720,380     $ 654,501     $ 666,107     $ 730,901     $ 733,512     $ 572,776    

Net expenses

     0.90 %(d)(e)      0.90 %(e)      0.90 %(e)      0.90 %(e)      0.90 %(e)      0.90 %(f)   

Gross expenses

     0.93 %(d)      0.93 %      0.92 %      0.91 %      0.91 %      0.90 %(f)   

Net investment income

     0.57 %(d)      0.52 %      0.75 %      0.53 %      0.61 %      0.76 %   

Portfolio turnover rate

     13 %      22 %      22 %      23 %      22 %      19 %   

 

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

 

See accompanying notes to financial statements.

 

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Table of Contents

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund—Retail Class                
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
     Year Ended
September 30,
2014
     Year Ended
September 30,
2013
     Year Ended
September 30,
2012
         

Net asset value, beginning of the period

   $ 33.33     $ 31.78     $ 35.98     $ 37.03     $ 28.84     $ 22.14    
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.05       0.08       0.18       0.10       0.12       0.13    

Net realized and unrealized gain (loss)

     4.10       4.77       0.48       2.16       8.32       6.57    
 

 

 

  

Total from Investment Operations

     4.15       4.85       0.66       2.26       8.44       6.70    
 

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.05 )      (0.12 )      (0.11 )      (0.01 )      (0.22 )      —    

Net realized capital gains

     (2.76 )      (3.18 )      (4.75 )      (3.30 )      (0.03 )      —    
 

 

 

  

Total Distributions

     (2.81 )      (3.30 )      (4.86 )      (3.31 )      (0.25 )      —    
 

 

 

  

Net asset value, end of the period

   $ 34.67     $ 33.33     $ 31.78     $ 35.98     $ 37.03     $ 28.84    
 

 

 

  

Total return(b)

     12.38 %(c)      16.47 %      0.94 %      5.90 %      29.48 %      30.26 %   

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 275,821     $ 267,936     $ 306,360     $ 358,698     $ 403,475     $ 343,480    

Net expenses(d)

     1.15 %(e)      1.15 %      1.15 %      1.15 %      1.15 %      1.15 %   

Gross expenses

     1.18 %(e)      1.18 %      1.17 %      1.20 %      1.22 %      1.22 %   

Net investment income

     0.31 %(e)      0.27 %      0.50 %      0.28 %      0.37 %      0.49 %   

Portfolio turnover rate

     13 %      22 %      22 %      23 %      22 %      19 %   

 

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

 

See accompanying notes to financial statements.

 

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FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund—Admin Class         
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
     Year Ended
September 30,
2014
     Year Ended
September 30,
2013
     Year Ended
September 30,
2012
         

Net asset value, beginning of the period

   $ 32.31     $ 30.88     $ 35.06     $ 36.24     $ 28.22     $ 21.72    
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.01       0.01       0.09       0.01       0.04       0.06    

Net realized and unrealized gain (loss)

     3.97       4.62       0.48       2.11       8.15       6.44    
 

 

 

  

Total from Investment Operations

     3.98       4.63       0.57       2.12       8.19       6.50    
 

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     —       (0.02 )      (0.00 )(b)      —       (0.14 )      —    

Net realized capital gains

     (2.76 )      (3.18 )      (4.75 )      (3.30 )      (0.03 )      —    
 

 

 

  

Total Distributions

     (2.76 )      (3.20 )      (4.75 )      (3.30 )      (0.17 )      —    
 

 

 

  

Net asset value, end of the period

   $ 33.53     $ 32.31     $ 30.88     $ 35.06     $ 36.24     $ 28.22    
 

 

 

  

Total return(c)

     12.24 %(d)      16.19 %      0.71 %      5.63 %      29.17 %      29.93 %   

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 32,773     $ 43,973     $ 45,762     $ 61,791     $ 74,892     $ 67,853    

Net expenses(e)

     1.40 %(f)      1.39 %(g)      1.38 %(h)      1.40 %      1.40 %      1.40 %   

Gross expenses

     1.43 %(f)      1.42 %(g)      1.40 %(h)      1.51 %      1.52 %      1.52 %   

Net investment income

     0.08 %(f)      0.03 %      0.28 %      0.02 %      0.11 %      0.24 %   

Portfolio turnover rate

     13 %      22 %      22 %      23 %      22 %      19 %   

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Periods less than one year are not annualized.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year.
(g) Includes refund of prior year service fee of 0.01%.
(h) Includes refund of prior year service fee of 0.02%.

 

See accompanying notes to financial statements.

 

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Table of Contents

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund—Class N         
     Six Months
Ended
March 31,
2017
(Unaudited)		     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
     Year Ended
September 30,
2014
     Period Ended
September 30,
2013*
         

Net asset value, beginning of the period

   $ 33.81     $ 32.22     $ 36.44     $ 37.44     $ 32.08    
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.11       0.19       0.27       0.23       0.06    

Net realized and unrealized gain (loss)

     4.16       4.83       0.50       2.18       5.30    
 

 

 

  

Total from Investment Operations

     4.27       5.02       0.77       2.41       5.36    
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.16 )      (0.25 )      (0.24 )      (0.11 )      —    

Net realized capital gains

     (2.76 )      (3.18 )      (4.75 )      (3.30 )      —    
 

 

 

  

Total Distributions

     (2.92 )      (3.43 )      (4.99 )      (3.41 )      —    
 

 

 

  

Net asset value, end of the period

   $ 35.16     $ 33.81     $ 32.22     $ 36.44     $ 37.44    
 

 

 

  

Total return

     12.57 %(b)      16.84 %      1.25 %      6.25 %(c)      16.71 %(b)(c)   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 103,449     $ 68,332     $ 38,555     $ 2,568     $ 1    

Net expenses

     0.83 %(d)      0.83 %      0.83 %(e)      0.85 %(f)      0.85 %(d)(f)   

Gross expenses

     0.83 %(d)      0.83 %      0.83 %(e)      0.89 %      14.45 %(d)   

Net investment income

     0.65 %(d)      0.61 %      0.76 %      0.60 %      0.27 %(d)   

Portfolio turnover rate

     13 %      22 %      22 %      23 %      22 %   

 

* From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Computed on an annualized basis for periods less than one year.
(e) Includes fee/expense recovery of less than 0.01%.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

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Table of Contents

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.

 

     Small/Mid Cap Growth Fund—
Institutional Class		         
     Six Months Ended
March 31, 2017
(Unaudited)		     Year Ended
September 30,
2016
     Period Ended
September 30,
2015*
         

Net asset value, beginning of the period

   $ 9.73     $ 9.05     $ 10.00    
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

  

Net investment income (loss)(a)

     0.01       (0.02 )      (0.01 )   

Net realized and unrealized gain (loss)

     1.03       0.70       (0.94 )   
 

 

 

  

Total from Investment Operations

     1.04       0.68       (0.95 )   
 

 

 

  

LESS DISTRIBUTIONS FROM:

 

  

Net investment income

     (0.02 )      —       —    

Net realized capital gains

     —       —       —    
 

 

 

  

Total Distributions

     (0.02 )      —       —    
 

 

 

  

Net asset value, end of the period

   $ 10.75     $ 9.73     $ 9.05    
 

 

 

  

Total return(b)

     10.68 %(c)      7.51 %      (9.50 )%(c)   

RATIOS TO AVERAGE NET ASSETS:

 

  

Net assets, end of the period (000’s)

   $ 11,953     $ 11,974     $ 9,242    

Net expenses(d)

     0.85 %(e)      0.85 %      0.85 %(e)   

Gross expenses

     1.55 %(e)      1.75 %      2.65 %(e)   

Net investment income (loss)

     0.14 %(e)      (0.22 )%      (0.53 )%(e)   

Portfolio turnover rate

     28 %      53 %      14 %   

 

 

* From commencement of operations on June 30, 2015 through September 30, 2015.
(a) Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  38

Table of Contents

NOTES TO FINANCIAL STATEMENTS

March 31, 2017 (Unaudited)

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

Loomis Sayles Funds I:

Loomis Sayles Small Cap Value Fund (the “Small Cap Value Fund”)

Loomis Sayles Funds II:

Loomis Sayles Small Cap Growth Fund (the “Small Cap Growth Fund”)

Loomis Sayles Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”)

Each Fund is a diversified investment company.

Small Cap Growth Fund and Small Cap Value Fund were closed to new investors effective September 14, 2012 and September 15, 2008, respectively. Small Cap Growth Fund and Small Cap Value Fund continue to offer Institutional Class, Retail Class and Class N shares to existing investors and Small Cap Value Fund continues to offer Admin Class shares to existing investors.

Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-1 fee. Class N shares are offered with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Small Cap Growth Fund and Small Cap Value Fund and $1,000,000 for Small/Mid Cap Growth Fund. Certain categories of investors are exempted from the minimum investment amounts for Class N and Institutional Class as outlined in the relevant Fund’s prospectus. Admin Class shares are offered exclusively through intermediaries.

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

 

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NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

 

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

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

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

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

 

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NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

 

Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

b.  Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually

 

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NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

 

received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

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

d.  Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2017 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

 

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NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

 

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

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2016 was as follows:

 

    2016 Distributions Paid From:  

Fund

   Ordinary
Income		     Long-Term
Capital Gains		     Total  

Small Cap Growth Fund

   $ —     $ 85,662,346     $ 85,662,346  

Small Cap Value Fund

     7,118,205       98,999,090       106,117,295  

Small/Mid Cap Growth Fund

     —       —       —  

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2016, the capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:

 

    Small Cap
Growth Fund		     Small Cap
Value Fund		     Small/Mid
Cap Growth Fund		  

Capital loss carryforward:

      

Short-term:

      

No expiration date

   $ (7,329,238 )    $   —     $ (1,072,253 ) 

Long-term:

      

No expiration date

     —       —       (29,020 ) 
 

 

 

    

 

 

    

 

 

  

Total capital loss carryforward

     (7,329,238 )      —       (1,101,273 ) 
 

 

 

    

 

 

    

 

 

  

Late-year ordinary and post-October capital loss deferrals*

   $ (3,107,069 )    $ —     $ (7,917 ) 
 

 

 

    

 

 

    

 

 

  

 

* Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year.

 

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NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

 

f.  Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of March 31, 2017, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

g.  Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, 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 (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) 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 Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended March 31, 2017, none of the Funds had loaned securities under this agreement.

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

 

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i.  New Accounting Pronouncement. In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

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

 

  •  

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

 

  •  

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

 

  •  

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

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

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2017, at value:

Small Cap Growth Fund

Asset Valuation Inputs

 

Description

   Level 1     Level 2     Level 3     Total  

Common Stocks(a)

   $ 1,098,958,073     $ —     $   —     $ 1,098,958,073  

Short-Term Investments

     —       30,695,203       —       30,695,203  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,098,958,073     $ 30,695,203     $ —     $ 1,129,653,276  
 

 

 

    

 

 

    

 

 

    

 

 

  

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

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

 

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Small Cap Value Fund

Asset Valuation Inputs

 

Description

   Level 1     Level 2     Level 3     Total  

Common Stocks(a)

   $ 1,108,111,750     $ —     $   —     $ 1,108,111,750  

Closed-End Investment Companies

     6,990,166       —       —       6,990,166  

Short-Term Investments

     —       19,315,329       —       19,315,329  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,115,101,916     $ 19,315,329     $ —     $ 1,134,417,245  
 

 

 

    

 

 

    

 

 

    

 

 

  

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

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

Small/Mid Cap Growth Fund

Asset Valuation Inputs

 

Description

   Level 1     Level 2     Level 3     Total  

Common Stocks(a)

   $ 11,562,954     $ —     $ —     $ 11,562,954  

Short-Term Investments

     —       357,926       —       357,926  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 11,562,954     $ 357,926     $   —     $ 11,920,880  
 

 

 

    

 

 

    

 

 

    

 

 

  

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

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

4.  Purchases and Sales of Securities. For the six months ended March 31, 2017, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

   Purchases     Sales  

Small Cap Growth Fund

   $ 280,999,382     $ 384,045,334  

Small Cap Value Fund

     144,802,343       176,047,649  

Small/Mid Cap Growth Fund

     3,240,307       4,535,479  

5.  Management Fees and Other Transactions with Affiliates.

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

 

Fund

   Percentage of
Average  Daily Net Assets		  

Small Cap Growth Fund

     0.75%  

Small Cap Value Fund

     0.75%  

Small/Mid Cap Growth Fund

     0.75%  

 

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March 31, 2017 (Unaudited)

 

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2018, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statement of Assets and Liabilities as receivable from investment adviser.

For the six months ended March 31, 2017, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

    Expense Limit as a Percentage of
Average Daily Net Assets

Fund

   Institutional Class   Retail Class   Admin Class   Class N

Small Cap Growth Fund

   1.00%   1.25%   —   0.95%

Small Cap Value Fund

   0.90%   1.15%   1.40%   0.85%

Small/Mid Cap Growth Fund

   0.85%   —   —   —

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

For the six months ended March 31, 2017, the management fees for each Fund were as follows:

 

    Gross
Management
Fees 		    Contractual
Waivers of
Management
Fees1		     Net
Management
Fees 		    Percentage of Average
Daily Net Assets		  

Fund

         Gross     Net  

Small Cap Growth Fund

   $ 4,097,055     $ —     $ 4,097,055       0.75%       0.75%  

Small Cap Value Fund

     4,138,728       —       4,138,728       0.75%       0.75%  

Small/Mid Cap Growth Fund

     45,092       41,834       3,258       0.75%       0.05%  

For the six months ended March 31, 2017, class-specific expenses have been reimbursed as follows:

 

    Reimbursement1

Fund

   Institutional
Class		   Retail
Class		   Admin
Class		   Class N   Total

Small Cap Value Fund

   $116,520   $45,818   $6,191   $    —   $168,529

1 Waivers/expense reimbursements are subject to possible recovery until September 30, 2018.

 

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

b.  Service and Distribution Fees. NGAM Distribution, which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, Small Cap Growth Fund and Small Cap Value Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”) and Small Cap Value Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Retail Class Plans, each Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Retail Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Retail Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

Under the Admin Class Plan, Small Cap Value Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Admin Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Small Cap Value Fund may pay NGAM Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

 

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March 31, 2017 (Unaudited)

 

For the six months ended March 31, 2017, the service and distribution fees for each Fund were as follows:

 

    Service Fees     Distribution Fees  

Fund

   Admin Class     Retail Class     Admin Class  

Small Cap Growth Fund

   $ —     $ 138,258     $ —  

Small Cap Value Fund

     51,105       344,848       51,105  

c.  Administrative Fees. NGAM Advisors, L.P. (“NGAM Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2017, the administrative fees for each Fund were as follows:

 

Fund

   Administrative
Fees		  

Small Cap Growth Fund

   $ 244,248  

Small Cap Value Fund

     246,760  

Small/Mid Cap Growth Fund

     2,688  

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

 

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March 31, 2017 (Unaudited)

 

For the six months ended March 31, 2017, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   Sub-Transfer
Agent Fees		  

Small Cap Growth Fund

   $ 562,098  

Small Cap Value Fund

     500,991  

Small/Mid Cap Growth Fund

     127  

As of March 31, 2017, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   Reimbursements of
Sub-Transfer
Agent Fees		  

Small Cap Growth Fund

   $ 13,399  

Small Cap Value Fund

     10,748  

Small/Mid Cap Growth Fund

     3  

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

e.   Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $155,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

 

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March 31, 2017 (Unaudited)

 

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

f.  Affiliated Ownership. As of March 31, 2017, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) and Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of the Fund’s net assets:

 

Fund

   Pension Plan     Retirement Plan     Natixis US     Total Affiliated Ownership  

Small Cap Growth Fund

     0.60%       1.47%       —       2.07%  

Small Cap Value Fund

     1.03%       2.66%       —       3.69%  

Small/Mid Cap Growth

     —       12.54%       72.72%       85.26%  

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

6.   Class-Specific Transfer Agent Fees and Expenses. For the six months ended March 31, 2017, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

    Transfer Agent Fees and Expenses  

Fund

   Institutional
Class		     Retail Class     Admin
Class		     Class N  

Small Cap Growth Fund

   $ 502,796     $ 71,142     $ —     $ 508  

Small Cap Value Fund

     357,638       141,019       20,925       231  

Transfer agent fees and expenses attributable to Institutional Class, Retail Class and Admin Class are allocated on a pro rata basis to each class based on relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

7.  Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last

 

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March 31, 2017 (Unaudited)

 

business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Effective April 13, 2017, the commitment fee is 0.15% per annum based on the average daily unused portion of the line of credit.

For the six months ended March 31, 2017, none of the Funds had borrowings under this agreement.

8.  Brokerage Commission Recapture. Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended March 31, 2017, amounts rebated under these agreements were as follows:

 

Fund

   Rebates  

Small Cap Growth Fund

   $ 20,910  

Small Cap Value Fund

     20,630  

Small/Mid Cap Growth Fund

     286  

9.  Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of March 31, 2017, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   Number of 5%
Non- Affiliated
Account
Holders		     Percentage of
Non-  Affiliated
Ownership		     Percentage of
Affiliated Ownership
(Note 5)		     Total
Percentage of
Ownership		  

Small Cap Growth Fund

     2       30.96%       —       30.96%  

Small Cap Value Fund

     2       20.89%       —       20.89%  

Small/Mid Cap Growth

     —       —       72.72%       72.72%  

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

 

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March 31, 2017 (Unaudited)

 

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

 

    Small Cap Growth Fund  
    Six Months Ended
March 31, 2017		     Year Ended
September 30, 2016		  
Institutional Class   Shares     Amount     Shares     Amount  

Issued from the sale of shares

     2,259,665     $ 52,060,167       7,447,055     $ 155,701,856  

Issued in connection with the reinvestment of distributions

     —       —       2,716,857       58,412,420  

Redeemed

     (6,585,220 )      (149,321,264 )      (9,612,542 )      (201,629,117 ) 

Subscription in-kind (Note 11)

     —       —       277,161       5,698,438  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (4,325,555 )    $ (97,261,097 )      828,531     $ 18,183,597  
 

 

 

    

 

 

    

 

 

    

 

 

  
Retail Class  

Issued from the sale of shares

     374,025     $ 8,097,266       935,456     $ 18,282,313  

Issued in connection with the reinvestment of distributions

     —       —       588,964       11,867,620  

Redeemed

     (1,486,418 )      (31,676,219 )      (3,547,121 )      (71,211,754 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (1,112,393 )    $ (23,578,953 )      (2,022,701 )    $ (41,061,821 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
Class N  

Issued from the sale of shares

     1,696,360     $ 39,192,872       3,494,879     $ 74,656,476  

Issued in connection with the reinvestment of distributions

     —       —       616,186       13,284,984  

Redeemed

     (1,556,332 )      (34,369,848 )      (2,515,389 )      (53,613,909 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     140,028     $ 4,823,024       1,595,676     $ 34,327,551  
 

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

     (5,297,920 )    $ (116,017,026 )      401,506     $ 11,449,327  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

    Small Cap Value Fund  
    Six Months Ended
March 31, 2017		     Year Ended
September 30, 2016		  
Institutional Class   Shares     Amount     Shares     Amount  

Issued from the sale of shares

     2,587,750     $ 91,616,572       3,109,829     $ 98,123,134  

Issued in connection with the reinvestment of distributions

     1,505,162       53,252,622       2,210,358       66,708,596  

Redeemed

     (2,966,801 )      (104,409,962 )      (5,042,901 )      (158,011,519 ) 

Redeemed in-kind (Note 11)

     —       —       (1,595,784 )      (52,325,759 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     1,126,111     $ 40,459,232       (1,318,498 )    $ (45,505,548 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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10.  Capital Shares – continued.

    Small Cap Value Fund – continued  
    Six Months Ended
March 31, 2017		     Year Ended
September 30, 2016		  
Retail Class   Shares     Amount     Shares     Amount  

Issued from the sale of shares

     476,017     $ 16,701,038       609,197     $ 18,890,158  

Issued in connection with the reinvestment of distributions

     607,283       21,218,468       943,438       28,142,755  

Redeemed

     (1,167,762 )      (40,882,752 )      (3,153,621 )      (100,205,101 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (84,462 )    $ (2,963,246 )      (1,600,986 )    $ (53,172,188 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
Admin Class  

Issued from the sale of shares

     152,192     $ 5,144,446       341,303     $ 10,091,067  

Issued in connection with the reinvestment of distributions

     80,992       2,738,330       111,997       3,244,570  

Redeemed

     (616,896 )      (20,816,260 )      (574,173 )      (17,370,719 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (383,712 )    $ (12,933,484 )      (120,873 )    $ (4,035,082 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
Class N  

Issued from the sale of shares

     917,133     $ 33,058,603       945,571     $ 29,754,154  

Issued in connection with the reinvestment of distributions

     198,134       7,013,982       140,642       4,245,978  

Redeemed

     (193,998 )      (6,858,819 )      (261,689 )      (8,144,577 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     921,269     $ 33,213,766       824,524     $ 25,855,555  
 

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

     1,579,206     $ 57,776,268       (2,215,833 )    $ (76,857,263 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
    Small/Mid Cap Growth Fund  
    Six Months Ended
March 31, 2017		     Year Ended
September 30, 2016		  
Institutional Class   Shares     Amount     Shares     Amount  

Issued from the sale of shares

     88,073     $ 894,182       214,933     $ 1,914,485  

Issued in connection with the reinvestment of distributions

     2,259       22,881       —       —  

Redeemed

     (208,292 )      (2,154,303 )      (5,401 )      (50,724 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

     (117,960 )    $ (1,237,240 )      209,532     $ 1,863,761  
 

 

 

    

 

 

    

 

 

    

 

 

  

11.   Redemption/Subscription In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of

 

|  54

Table of Contents

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

 

redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. A Fund may also receive securities in lieu of cash as payment for Fund shares.

 

55  |

Table of Contents
Item 2. Code of Ethics.

Not applicable.

 

Item 3. Audit Committee Financial Expert.

Not applicable.

 

Item 4. Principal Accountant Fees and Services.

Not applicable.

 

Item 5. Audit Committee of Listed Registrants.

Not applicable.

 

Item 6. Schedule of Investments.

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

 

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

Not applicable.

 

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

Not applicable.

 

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

Not applicable.

 

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

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

 

Item 11. Controls and Procedures.

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

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

 

Item 12. Exhibits.

 

(a) (1)   Not applicable.
(a) (2)   Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a) (3)   Not applicable.
(b)   Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

Table of Contents

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Loomis Sayles Funds II
By:   /s/ David Giunta
Name:   David Giunta
Title:   Chief Executive Officer
Date:   May 25, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:   /s/ David Giunta
Name:   David Giunta
Title:   Chief Executive Officer
Date:   May 25, 2017
By:   /s/ Michael C. Kardok
Name:   Michael C. Kardok
Title:   Treasurer
Date:   May 25, 2017