0001193125-20-158373.txt : 20200602 0001193125-20-158373.hdr.sgml : 20200602 20200602145818 ACCESSION NUMBER: 0001193125-20-158373 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 10 CONFORMED PERIOD OF REPORT: 20200331 FILED AS OF DATE: 20200602 DATE AS OF CHANGE: 20200602 EFFECTIVENESS DATE: 20200602 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LOOMIS SAYLES FUNDS II CENTRAL INDEX KEY: 0000872649 IRS NUMBER: 043113285 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-06241 FILM NUMBER: 20936694 BUSINESS ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 617-449-2810 MAIL ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS I DATE OF NAME CHANGE: 20031119 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS DATE OF NAME CHANGE: 20031015 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS II DATE OF NAME CHANGE: 20030718 0000872649 S000006698 Loomis Sayles Global Allocation Fund C000018226 Class Y LSWWX C000027670 Class A LGMAX C000027671 Class C LGMCX C000182249 Class N LGMNX 0000872649 S000006699 Loomis Sayles Growth Fund C000018227 Class A LGRRX C000018229 Class C LGRCX C000018230 Class Y LSGRX C000125484 Class N LGRNX 0000872649 S000006702 Loomis Sayles Limited Term Government and Agency Fund C000018239 Class A NEFLX C000018241 Class C NECLX C000018242 Class Y NELYX C000182250 Class N LGANX 0000872649 S000006705 Loomis Sayles Small Cap Growth Fund C000018249 Institutional Class LSSIX C000018250 Retail Class LCGRX C000125486 Class N LSSNX 0000872649 S000006706 Loomis Sayles Strategic Income Fund C000018251 Class A NEFZX C000018253 Class C NECZX C000018254 Class Y NEZYX C000082999 Admin Class NEZAX C000125487 Class N NEZNX 0000872649 S000049859 Loomis Sayles Small/Mid Cap Growth Fund C000157445 Institutional Class LSMIX C000216341 Class N LSMNX N-CSRS 1 d846799dncsrs.htm LOOMIS SAYLES FUNDS II Loomis Sayles Funds II

 

 

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)

 

 

888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197

(Address of principal executive offices) (Zip code)

 

 

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(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, 2020

 

 

 


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:


LOGO

 

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Semiannual Report

March 31, 2020

TABLE OF CONTENTS  
Portfolio Review     1  
Portfolio of Investments     10  
Financial Statements     27  
Notes to Financial Statements     40  

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-633-3330. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/loomissayles.


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.

 

 

 

 

1  |


Average Annual Total Returns — March 31, 20202

 

                                        Expense Ratios3  
     6 Months     1 Year     5 Years     10 Years    

Life of

Class N

   

Gross

   

Net

 
     
Institutional Class
(Inception
12/31/96)
    -16.66     -16.66     4.23     10.66         0.95     0.95
     
Retail Class
(Inception
12/31/96)
    -16.75       -16.86       3.97       10.37             1.20       1.20  
     
Class N
(Inception
2/1/13)
    -16.58       -16.52       4.36             8.84       0.82       0.82  
   
Comparative Performance                
Russell 2000® Growth Index1     -17.31       -18.58       1.70       8.89       7.05                  

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    Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2


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.

 

 

 

 

3  |


Average Annual Total Returns — March 31, 20203

 

                                        Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years    

Life of

Class N

   

Gross

   

Net

 
     
Institutional Class
(Inception
5/13/91)
    -30.02     -27.51     -2.35     6.09         0.95     0.92
     
Retail Class
(Inception
12/31/96)
    -30.12       -27.67       -2.59       5.83             1.20       1.17  
     
Admin Class
(Inception
1/2/98)
    -30.19       -27.86       -2.83       5.57             1.45       1.42  
     
Class N
(Inception
2/1/13)
    -29.98       -27.45       -2.28             3.22       0.85       0.85  
   
Comparative Performance                
Russell 2000® Value Index1     -30.20       -29.64       -2.42       4.79       2.35        
Russell 2000® Index2     -23.72       -23.99       -0.25       6.90       4.77                  

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    Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  4


LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

Managers   Symbols   
Mark F. Burns, CFA®   Institutional Class    LSMIX
John J. Slavik, CFA®   Class N    LSMNX

 

 

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

 

 

 

 

5  |


Average Annual Total Returns — March 31, 20202

 

                                 Expense Ratios3  
     6 Months     1 Year    

Life of

Fund

   

Life of

Class N

   

Gross

   

Net

 
     
Institutional Class (Inception 6/30/15)     -14.89     -12.44     5.29         1.30     0.85
     
Class N (Inception 10/1/19)                       -13.58       1.29       0.83  
   
Comparative Performance              
Russell 2500TM Growth Index1     -15.10       -14.40       3.69       -13.70                  

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 2500TM Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2500TM 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    Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  6


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 Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates 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”) 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-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at www.sec.gov.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

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, 2019 through March 31, 2020. 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

 

7  |


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
10/1/2019
     Ending
Account Value
3/31/2020
     Expenses Paid
During Period*
10/1/2019 –3/31/2020
 

Actual

     $1,000.00        $833.40        $4.35  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.25        $4.80  

Retail Class

               

Actual

     $1,000.00        $832.50        $5.50  

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.00        $6.06  

Class N

               

Actual

     $1,000.00        $834.20        $3.81  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.85        $4.19  

*  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 (183), divided by 366 (to reflect the half-year period).

   

 

|  8


Loomis Sayles Small Cap Value Fund

 

Institutional Class

   Beginning
Account Value
10/1/2019
     Ending
Account Value
3/31/2020
     Expenses Paid
During Period*
10/1/2019 – 3/31/2020
 

Actual

     $1,000.00        $699.80        $3.82  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.50        $4.55  

Retail Class

                    

Actual

     $1,000.00        $698.80        $4.88  

Hypothetical (5% return before expenses)

     $1,000.00        $1,019.25        $5.81  

Admin Class

                    

Actual

     $1,000.00        $698.10        $5.94  

Hypothetical (5% return before expenses)

     $1,000.00        $1,018.00        $7.06  

Class N

                    

Actual

     $1,000.00        $700.20        $3.61  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.75        $4.29  

*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.85% 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 (183), divided by 366 (to reflect the half-year period).

Loomis Sayles Small/Mid Cap Growth Fund

 

Institutional Class

   Beginning
Account Value
10/1/2019
     Ending
Account Value
3/31/2020
     Expenses Paid
During Period*
10/1/2019 – 3/31/2020
 

Actual

     $1,000.00        $851.10        $3.891  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.80        $4.24*  

Class N

               

Actual

     $1,000.00        $864.20        $3.852  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.85        $4.19*  

*  Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.84% and 0.83% for Institutional 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 (183), divided by 366 (to reflect the half-year period).

1  Actual expenses for Institutional Class are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.84%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

2  Class N commenced operations on October 1, 2019. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.83%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (182), divided by 366 (to reflect the partial period).

 

9  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Growth Fund

 

    
Shares
    Description   Value (†)  
  Common Stocks – 95.0% of Net Assets  
  Aerospace & Defense – 2.8%

 

  182,827     Hexcel Corp.   $        6,799,336  
  667,595     Kratos Defense & Security Solutions, Inc.(a)     9,239,515  
  350,539     Mercury Systems, Inc.(a)     25,007,452  
   

 

 

 
      41,046,303  
   

 

 

 
  Air Freight & Logistics – 0.6%

 

  495,815     Air Transport Services Group, Inc.(a)     9,063,498  
   

 

 

 
  Auto Components – 1.3%

 

  274,926     Fox Factory Holding Corp.(a)     11,546,892  
  460,260     Stoneridge, Inc.(a)     7,709,355  
   

 

 

 
      19,256,247  
   

 

 

 
  Banks – 0.5%

 

  343,013     TCF Financial Corp.     7,772,675  
   

 

 

 
  Biotechnology – 7.6%

 

  112,011     Argenx SE, ADR(a)     14,755,209  
  150,511     Emergent BioSolutions, Inc.(a)     8,708,566  
  741,760     Epizyme, Inc.(a)     11,504,698  
  758,993     Halozyme Therapeutics, Inc.(a)     13,654,284  
  334,833     Momenta Pharmaceuticals, Inc.(a)     9,107,458  
  381,618     Natera, Inc.(a)     11,395,113  
  257,178     PTC Therapeutics, Inc.(a)     11,472,711  
  424,324     Veracyte, Inc.(a)     10,315,316  
  343,231     Xencor, Inc.(a)     10,255,742  
  414,016     Y-mAbs Therapeutics, Inc.(a)     10,805,818  
   

 

 

 
      111,974,915  
   

 

 

 
  Building Products – 4.5%

 

  403,654     AAON, Inc.     19,504,561  
  418,269     Advanced Drainage Systems, Inc.     12,313,840  
  309,857     Trex Co., Inc.(a)     24,831,940  
  257,832     Universal Forest Products, Inc.     9,588,772  
   

 

 

 
      66,239,113  
   

 

 

 
  Capital Markets – 1.7%

 

  501,051     AssetMark Financial Holdings, Inc.(a)     10,216,430  
  257,832     Hamilton Lane, Inc., Class A     14,260,688  
   

 

 

 
      24,477,118  
   

 

 

 
  Commercial Services & Supplies – 2.9%

 

  485,781     Casella Waste Systems, Inc., Class A(a)     18,974,606  
  270,593     McGrath RentCorp     14,173,661  
  366,135     Mobile Mini, Inc.     9,603,721  
   

 

 

 
      42,751,988  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  10


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

 

    
Shares
    Description   Value (†)  
  Common Stocks – continued  
  Construction & Engineering – 0.7%

 

  620,696     Primoris Services Corp.   $        9,869,066  
   

 

 

 
  Distributors – 1.3%

 

  99,141     POOL CORP.     19,507,975  
   

 

 

 
  Diversified Consumer Services – 1.4%

 

  248,917     frontdoor, Inc.(a)     8,657,333  
  1,201,300     Laureate Education, Inc., Class A(a)     12,625,663  
   

 

 

 
      21,282,996  
   

 

 

 
  Diversified Telecommunication Services – 1.1%

 

  203,845     Cogent Communications Holdings, Inc.     16,709,175  
   

 

 

 
  Electrical Equipment – 1.4%

 

  223,258     Generac Holdings, Inc.(a)     20,800,948  
   

 

 

 
  Electronic Equipment, Instruments & Components – 3.2%

 

  149,857     Insight Enterprises, Inc.(a)     6,313,475  
  237,219     Itron, Inc.(a)     13,243,937  
  237,328     Novanta, Inc.(a)     18,957,761  
  84,635     Rogers Corp.(a)     7,991,237  
   

 

 

 
      46,506,410  
   

 

 

 
  Entertainment – 0.4%

 

  578,815     IMAX Corp.(a)     5,238,276  
   

 

 

 
  Food Products – 2.9%

 

  440,737     Freshpet, Inc.(a)     28,149,872  
  722,128     Simply Good Foods Co. (The)(a)     13,908,186  
   

 

 

 
      42,058,058  
   

 

 

 
  Health Care Equipment & Supplies – 6.9%

 

  383,804     AtriCure, Inc.(a)     12,891,976  
  226,907     CONMED Corp.     12,994,964  
  600,192     CryoLife, Inc.(a)     10,155,249  
  86,412     iRhythm Technologies, Inc.(a)     7,029,616  
  222,822     NuVasive, Inc.(a)     11,288,163  
  91,179     Penumbra, Inc.(a)     14,709,908  
  230,784     Quidel Corp.(a)     22,572,983  
  311,166     STAAR Surgical Co.(a)     10,038,215  
   

 

 

 
      101,681,074  
   

 

 

 
  Health Care Providers & Services – 5.5%

 

  130,770     Amedisys, Inc.(a)     24,001,526  
  121,390     AMN Healthcare Services, Inc.(a)     7,017,556  
  391,657     BioTelemetry, Inc.(a)     15,082,711  
  180,493     HealthEquity, Inc.(a)     9,131,141  
  182,249     LHC Group, Inc.(a)     25,551,309  
   

 

 

 
      80,784,243  
   

 

 

 

 

See accompanying notes to financial statements.

 

11  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

 

    
Shares
    Description   Value (†)  
  Common Stocks – continued  
  Health Care Technology – 2.6%

 

  1,088,046     Inovalon Holdings, Inc., Class A(a)   $      18,126,846  
  183,667     Inspire Medical Systems, Inc.(a)     11,071,447  
  459,060     Phreesia, Inc.(a)     9,654,032  
   

 

 

 
      38,852,325  
   

 

 

 
  Hotels, Restaurants & Leisure – 1.2%

 

  211,916     Wingstop, Inc.     16,889,705  
   

 

 

 
  Insurance – 4.3%

 

  414,561     Goosehead Insurance, Inc., Series A(a)     18,501,858  
  239,946     Kinsale Capital Group, Inc.     25,081,555  
  323,927     Palomar Holdings, Inc.(a)     18,839,594  
   

 

 

 
      62,423,007  
   

 

 

 
  IT Services – 4.7%

 

  444,554     EVERTEC, Inc.     10,104,712  
  677,610     Evo Payments, Inc., Class A(a)     10,367,433  
  140,913     ManTech International Corp., Class A     10,240,148  
  770,990     NIC, Inc.     17,732,770  
  470,185     WNS Holdings Ltd., ADR(a)     20,208,551  
   

 

 

 
      68,653,614  
   

 

 

 
  Leisure Products – 0.5%

 

  658,433     Callaway Golf Co.     6,729,185  
   

 

 

 
  Life Sciences Tools & Services – 3.9%

 

  657,343     NeoGenomics, Inc.(a)     18,149,240  
  263,504     PRA Health Sciences, Inc.(a)     21,881,372  
  179,414     Repligen Corp.(a)     17,320,628  
   

 

 

 
      57,351,240  
   

 

 

 
  Machinery – 4.3%

 

  330,253     Albany International Corp., Class A     15,630,875  
  174,506     Chart Industries, Inc.(a)     5,057,184  
  478,474     Kornit Digital Ltd.(a)     11,909,218  
  163,272     Proto Labs, Inc.(a)     12,429,897  
  159,018     RBC Bearings, Inc.(a)     17,935,640  
   

 

 

 
      62,962,814  
   

 

 

 
  Pharmaceuticals – 4.0%

 

  94,692     GW Pharmaceuticals PLC, Sponsored ADR(a)     8,292,179  
  556,893     Horizon Therapeutics PLC(a)     16,495,171  
  179,741     MyoKardia, Inc.(a)     8,426,258  
  442,155     Pacira BioSciences, Inc.(a)     14,825,457  
  78,527     Reata Pharmaceuticals, Inc., Class A(a)     11,334,587  
   

 

 

 
        59,373,652  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  12


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

 

    
Shares
    Description   Value (†)  
  Common Stocks – continued  
  Professional Services – 2.3%

 

  349,230     Huron Consulting Group, Inc.(a)   $ 15,841,073  
  255,869     ICF International, Inc.     17,578,200  
   

 

 

 
      33,419,273  
   

 

 

 
  Semiconductors & Semiconductor Equipment – 5.5%

 

  469,639     FormFactor, Inc.(a)     9,435,047  
  487,635     MACOM Technology Solutions Holdings, Inc.(a)     9,230,931  
  153,783     Monolithic Power Systems, Inc.     25,752,501  
  976,035     Rambus, Inc.(a)     10,833,988  
  195,010     Silicon Laboratories, Inc.(a)     16,655,804  
  249,216     Silicon Motion Technology Corp., ADR     9,136,259  
   

 

 

 
      81,044,530  
   

 

 

 
  Software – 10.7%

 

  173,851     Blackline, Inc.(a)     9,146,301  
  153,456     Cornerstone OnDemand, Inc.(a)     4,872,228  
  330,034     Envestnet, Inc.(a)     17,749,228  
  385,658     Five9, Inc.(a)     29,487,411  
  178,214     Globant S.A.(a)     15,661,446  
  455,897     Mimecast Ltd.(a)     16,093,164  
  317,165     Q2 Holdings, Inc.(a)     18,731,765  
  420,669     Rapid7, Inc.(a)     18,227,588  
  335,488     RealPage, Inc.(a)     17,757,380  
  145,494     Varonis Systems, Inc.(a)     9,263,603  
   

 

 

 
      156,990,114  
   

 

 

 
  Specialty Retail – 0.8%

 

  598,433     National Vision Holdings, Inc.(a)     11,621,569  
   

 

 

 
  Textiles, Apparel & Luxury Goods – 1.7%

 

  231,329     Columbia Sportswear Co.     16,139,824  
  390,130     Steven Madden Ltd.     9,062,720  
   

 

 

 
      25,202,544  
   

 

 

 
  Trading Companies & Distributors – 1.8%

 

  362,100     SiteOne Landscape Supply, Inc.(a)     26,657,802  
   

 

 

 
  Total Common Stocks
(Identified Cost $1,349,933,173)
    1,395,191,452  
   

 

 

 

 

See accompanying notes to financial statements.

 

13  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

 

Principal
Amount
         Value (†)  
  Short-Term Investments – 4.5%  
$ 65,714,673     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $65,714,673 on 4/01/2020 collateralized by $66,595,000 U.S. Treasury Note, 0.500% due 3/15/2023 valued at $67,029,732 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $65,714,673)
  $ 65,714,673  
   

 

 

 
  Total Investments – 99.5%
(Identified Cost $1,415,647,846)
    1,460,906,125  
 

Other assets less liabilities—0.5%

    7,822,944  
   

 

 

 
  Net Assets – 100.0%   $ 1,468,729,069  
   

 

 

 
  (†)     See Note 2 of Notes to Financial Statements.

 

  (a)     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, 2020 (Unaudited)

 

Software

    10.7

Biotechnology

    7.6  

Health Care Equipment & Supplies

    6.9  

Semiconductors & Semiconductor Equipment

    5.5  

Health Care Providers & Services

    5.5  

IT Services

    4.7  

Building Products

    4.5  

Machinery

    4.3  

Insurance

    4.3  

Pharmaceuticals

    4.0  

Life Sciences Tools & Services

    3.9  

Electronic Equipment, Instruments & Components

    3.2  

Commercial Services & Supplies

    2.9  

Food Products

    2.9  

Aerospace & Defense

    2.8  

Health Care Technology

    2.6  

Professional Services

    2.3  

Other Investments, less than 2% each

    16.4  

Short-Term Investments

    4.5  
 

 

 

 

Total Investments

    99.5  

Other assets less liabilities

    0.5  
 

 

 

 

Net Assets

    100.0
 

 

 

 

 

See accompanying notes to financial statements.

 

|  14


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Value Fund

 

Shares     Description   Value (†)  
  Common Stocks – 97.8% of Net Assets  
  Aerospace & Defense – 2.2%

 

  153,821     Aerojet Rocketdyne Holdings, Inc.(a)   $ 6,434,332  
  69,221     BWX Technologies, Inc.     3,371,755  
   

 

 

 
      9,806,087  
   

 

 

 
  Auto Components – 2.1%

 

  155,343     Cooper Tire & Rubber Co.     2,532,091  
  276,310     Dana, Inc.     2,157,981  
  47,691     Fox Factory Holding Corp.(a)     2,003,022  
  39,127     LCI Industries     2,614,857  
   

 

 

 
      9,307,951  
   

 

 

 
  Banks – 13.7%

 

  151,821     Ameris Bancorp     3,607,267  
  163,622     BancorpSouth Bank     3,095,728  
  157,994     Bryn Mawr Bank Corp.     4,483,870  
  92,076     Carolina Financial Corp.     2,382,006  
  136,806     Cathay General Bancorp     3,139,698  
  223,523     CenterState Bank Corp.     3,851,301  
  227,317     CVB Financial Corp.     4,557,706  
  198,196     First Financial Bancorp     2,955,102  
  325,880     Home BancShares, Inc.     3,907,301  
  137,067     PacWest Bancorp     2,456,241  
  94,236     Pinnacle Financial Partners, Inc.     3,537,620  
  133,102     Popular, Inc.     4,658,570  
  92,942     Prosperity Bancshares, Inc.     4,484,452  
  34,729     Signature Bank     2,791,864  
  148,015     TCF Financial Corp.     3,354,020  
  174,357     Triumph Bancorp, Inc.(a)     4,533,282  
  113,184     Wintrust Financial Corp.     3,719,226  
   

 

 

 
      61,515,254  
   

 

 

 
  Beverages – 0.8%

 

  415,397     Primo Water Corp.     3,763,497  
   

 

 

 
  Biotechnology – 2.0%

 

  77,837     Emergent BioSolutions, Inc.(a)     4,503,649  
  46,538     United Therapeutics Corp.(a)     4,412,966  
   

 

 

 
      8,916,615  
   

 

 

 
  Building Products – 1.8%

 

  42,646     American Woodmark Corp.(a)     1,943,378  
  58,766     Armstrong World Industries, Inc.     4,667,196  
  36,386     Universal Forest Products, Inc.     1,353,195  
   

 

 

 
      7,963,769  
   

 

 

 

 

See accompanying notes to financial statements.

 

15  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Capital Markets – 1.2%

 

  263,636     Donnelley Financial Solutions, Inc.(a)   $ 1,389,362  
  99,474     Stifel Financial Corp.     4,106,286  
   

 

 

 
      5,495,648  
   

 

 

 
  Chemicals – 2.9%

 

  83,743     AdvanSix, Inc.(a)     798,908  
  46,766     Ashland Global Holdings, Inc.     2,341,574  
  102,717     Cabot Corp.     2,682,968  
  37,830     Ingevity Corp.(a)     1,331,616  
  190,609     Valvoline, Inc.     2,495,072  
  87,767     WR Grace & Co.     3,124,505  
   

 

 

 
      12,774,643  
   

 

 

 
  Commercial Services & Supplies – 3.8%

 

  60,665     Clean Harbors, Inc.(a)     3,114,541  
  368,200     Harsco Corp.(a)     2,566,354  
  147,769     IAA, Inc.(a)     4,427,159  
  151,273     KAR Auction Services, Inc.     1,815,276  
  220,407     Kimball International, Inc., Class B     2,625,048  
  117,687     Viad Corp.     2,498,495  
   

 

 

 
      17,046,873  
   

 

 

 
  Communications Equipment – 1.0%

 

  119,200     Digi International, Inc.(a)     1,137,168  
  288,846     Viavi Solutions, Inc.(a)     3,237,964  
   

 

 

 
      4,375,132  
   

 

 

 
  Construction & Engineering – 2.2%

 

  111,542     AECOM(a)     3,329,529  
  167,309     Arcosa, Inc.     6,648,859  
   

 

 

 
      9,978,388  
   

 

 

 
  Distributors – 0.7%

 

  105,802     Core-Mark Holding Co., Inc.     3,022,763  
   

 

 

 
  Diversified Consumer Services – 0.4%

 

  49,648     frontdoor, Inc.(a)     1,726,757  
   

 

 

 
  Diversified Financial Services – 1.0%

 

  139,815     Cannae Holdings, Inc.(a)     4,682,404  
   

 

 

 
  Diversified Telecommunication Services – 1.4%

 

  110,462     GCI Liberty, Inc., Class A(a)     6,293,020  
   

 

 

 
  Electric Utilities – 2.4%

 

  99,987     ALLETE, Inc.     6,067,211  
  171,731     NRG Energy, Inc.     4,681,387  
   

 

 

 
      10,748,598  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  16


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Electrical Equipment – 0.3%

 

  175,149     GrafTech International Ltd.   $ 1,422,210  
   

 

 

 
  Electronic Equipment, Instruments & Components – 3.6%

 

  126,191     Kimball Electronics, Inc.(a)     1,378,006  
  44,846     Littelfuse, Inc.     5,983,353  
  155,505     Methode Electronics, Inc.     4,109,997  
  62,457     National Instruments Corp.     2,066,078  
  236,639     TTM Technologies, Inc.(a)     2,446,847  
   

 

 

 
      15,984,281  
   

 

 

 
  Energy Equipment & Services – 0.8%

 

  223,792     Apergy Corp.(a)     1,286,804  
  103,943     DMC Global, Inc.     2,391,728  
   

 

 

 
      3,678,532  
   

 

 

 
  Entertainment – 0.6%

 

  139,588     Liberty Media Corp.-Liberty Braves, Class C(a)     2,660,547  
   

 

 

 
  Food Products – 3.9%

 

  196,973     Darling Ingredients, Inc.(a)     3,775,972  
  26,041     J&J Snack Foods Corp.     3,150,961  
  384,619     Nomad Foods Ltd.(a)     7,138,529  
  43,924     Post Holdings, Inc.(a)     3,644,374  
   

 

 

 
      17,709,836  
   

 

 

 
  Health Care Equipment & Supplies – 2.7%

 

  110,552     Avanos Medical, Inc.(a)     2,977,166  
  53,300     Quidel Corp.(a)     5,213,273  
  164,779     Varex Imaging Corp.(a)     3,742,131  
   

 

 

 
      11,932,570  
   

 

 

 
  Health Care Providers & Services – 1.1%

 

  84,184     AMN Healthcare Services, Inc.(a)     4,866,677  
   

 

 

 
  Hotels, Restaurants & Leisure – 2.2%

 

  48,831     Churchill Downs, Inc.     5,027,152  
  19,888     Cracker Barrel Old Country Store, Inc.     1,655,079  
  55,491     Marriott Vacations Worldwide Corp.     3,084,190  
   

 

 

 
      9,766,421  
   

 

 

 
  Household Durables – 1.4%

 

  30,533     Helen of Troy Ltd.(a)     4,397,668  
  124,060     Skyline Champion Corp.(a)     1,945,261  
   

 

 

 
      6,342,929  
   

 

 

 

 

See accompanying notes to financial statements.

 

17  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Independent Power & Renewable Electricity Producers – 1.9%

 

  134,346     NextEra Energy Partners LP   $ 5,776,878  
  168,599     Vistra Energy Corp.     2,690,840  
   

 

 

 
      8,467,718  
   

 

 

 
  Industrial Conglomerates – 0.6%

 

  130,393     Raven Industries, Inc.     2,768,243  
   

 

 

 
  Insurance – 3.1%

 

  157,076     Employers Holdings, Inc.     6,363,149  
  110,009     First American Financial Corp.     4,665,482  
  108,417     ProAssurance Corp.     2,710,425  
   

 

 

 
      13,739,056  
   

 

 

 
  Internet & Direct Marketing Retail – 0.3%

 

  241,945     Qurate Retail, Inc., Class A(a)     1,477,074  
   

 

 

 
  IT Services – 5.0%

 

  103,302     CSG Systems International, Inc.     4,323,189  
  46,114     Euronet Worldwide, Inc.(a)     3,952,892  
  171,802     Genpact Ltd.     5,016,618  
  199,403     Perspecta, Inc.     3,637,111  
  168,723     Unisys Corp.(a)     2,083,729  
  33,996     WEX, Inc.(a)     3,554,282  
   

 

 

 
      22,567,821  
   

 

 

 
  Leisure Products – 0.6%

 

  81,462     Brunswick Corp.     2,881,311  
   

 

 

 
  Machinery – 4.3%

 

  57,991     Alamo Group, Inc.     5,148,441  
  144,815     Altra Industrial Motion Corp.     2,532,814  
  142,931     Columbus McKinnon Corp.     3,573,275  
  28,495     John Bean Technologies Corp.     2,116,324  
  59,105     Kadant, Inc.     4,412,188  
  60,099     Miller Industries, Inc.     1,699,600  
   

 

 

 
      19,482,642  
   

 

 

 
  Marine – 0.6%

 

  66,581     Kirby Corp.(a)     2,894,276  
   

 

 

 
  Media – 1.7%

 

  261,162     Gray Television, Inc.(a)     2,804,880  
  74,961     John Wiley & Sons, Inc., Class A     2,810,288  
  207,668     Liberty Latin America Ltd., Class C(a)     2,130,674  
   

 

 

 
      7,745,842  
   

 

 

 
  Metals & Mining – 0.3%

 

  73,453     Haynes International, Inc.     1,513,866  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  18


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Multi-Utilities – 2.1%

 

  201,305     MDU Resources Group, Inc.   $ 4,328,057  
  86,130     NorthWestern Corp.     5,153,158  
   

 

 

 
      9,481,215  
   

 

 

 
  Oil, Gas & Consumable Fuels – 0.7%

 

  61,960     Arch Coal, Inc., Class A     1,790,644  
  89,226     Delek U.S. Holdings, Inc.     1,406,202  
   

 

 

 
      3,196,846  
   

 

 

 
  Pharmaceuticals – 2.0%

 

  114,733     Catalent, Inc.(a)     5,960,380  
  160,488     Supernus Pharmaceuticals, Inc.(a)     2,887,179  
   

 

 

 
      8,847,559  
   

 

 

 
  Professional Services – 2.3%

 

  62,016     ASGN, Inc.(a)     2,190,405  
  207,090     Clarivate Analytics PLC(a)     4,297,118  
  46,994     Insperity, Inc.     1,752,876  
  78,760     Korn Ferry     1,915,443  
   

 

 

 
      10,155,842  
   

 

 

 
  REITs – Apartments – 0.6%

 

  94,526     American Campus Communities, Inc.     2,623,097  
   

 

 

 
  REITs – Diversified – 0.3%

 

  113,388     Outfront Media, Inc.     1,528,470  
   

 

 

 
  REITs – Shopping Centers – 0.5%

 

  288,617     Retail Opportunity Investments Corp.     2,392,635  
   

 

 

 
  REITs – Single Tenant – 1.3%

 

  251,146     Essential Properties Realty Trust, Inc.     3,279,967  
  74,403     National Retail Properties, Inc.     2,395,032  
   

 

 

 
      5,674,999  
   

 

 

 
  REITs – Storage – 1.0%

 

  166,555     CubeSmart     4,462,009  
   

 

 

 
  REITs – Warehouse/Industrials – 3.5%

 

  181,484     Americold Realty Trust     6,177,715  
  66,969     CyrusOne, Inc.     4,135,336  
  132,538     Rexford Industrial Realty, Inc.     5,435,384  
   

 

 

 
      15,748,435  
   

 

 

 
  Road & Rail – 0.6%

 

  20,969     Old Dominion Freight Line, Inc.     2,752,325  
   

 

 

 
  Semiconductors & Semiconductor Equipment – 2.2%

 

  86,197     Advanced Energy Industries, Inc.(a)     4,179,692  
  19,090     Mellanox Technologies Ltd.(a)     2,315,999  

 

See accompanying notes to financial statements.

 

19  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Semiconductors & Semiconductor Equipment – continued

 

  212,276     Tower Semiconductor Ltd.(a)   $ 3,379,434  
   

 

 

 
      9,875,125  
   

 

 

 
  Software – 1.8%

 

  121,369     ACI Worldwide, Inc.(a)     2,931,061  
  20,921     LogMeIn, Inc.     1,742,301  
  75,858     Verint Systems, Inc.(a)     3,261,894  
   

 

 

 
      7,935,256  
   

 

 

 
  Specialty Retail – 1.0%

 

  87,507     Aaron’s, Inc.     1,993,410  
  176,926     Urban Outfitters, Inc.(a)     2,519,426  
   

 

 

 
      4,512,836  
   

 

 

 
  Thrifts & Mortgage Finance – 2.1%

 

  51,041     Federal Agricultural Mortgage Corp., Class C     2,839,411  
  144,355     Meta Financial Group, Inc.     3,135,390  
  211,347     OceanFirst Financial Corp.     3,362,531  
   

 

 

 
      9,337,332  
   

 

 

 
  Trading Companies & Distributors – 0.4%

 

  91,177     Herc Holdings, Inc.(a)     1,865,481  
   

 

 

 
  Wireless Telecommunication Services – 0.8%

 

  121,713     United States Cellular Corp.(a)     3,564,974  
   

 

 

 
  Total Common Stocks
(Identified Cost $456,929,605)
    439,273,687  
   

 

 

 
  Other Investments – 0.0%  
  Metals & Mining – 0.0%  
  507,316     Ferroglobe R&W Trust(a)(b)(c)(d)
(Identified Cost $0)
     
   

 

 

 
 
Principal
Amount

 
           
  Short-Term Investments – 2.2%  
$ 9,733,879     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $9,733,879 on 4/01/2020 collateralized by $9,865,000 U.S. Treasury Note, 0.500% due 3/15/2023 valued at $9,929,399 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $9,733,879)     9,733,879  
   

 

 

 
  Total Investments – 100.0%
(Identified Cost $466,663,484)
    449,007,566  
 

Other assets less liabilities—0.0%

    73,412  
   

 

 

 
  Net Assets – 100.0%   $ 449,080,978  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  20


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

 

  (†)     See Note 2 of Notes to Financial Statements.
  (a)     Non-income producing security.
  (b)     Security subject to restrictions on resale. This security was acquired on November 29, 2016 at a cost of $0.
  (c)     Illiquid security.
  (d)     Security classified as fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.
  REITs     Real Estate Investment Trusts

Industry Summary at March 31, 2020 (Unaudited)

 

Banks

    13.7

IT Services

    5.0  

Machinery

    4.3  

Food Products

    3.9  

Commercial Services & Supplies

    3.8  

Electronic Equipment, Instruments & Components

    3.6  

REITs – Warehouse/Industrials

    3.5  

Insurance

    3.1  

Chemicals

    2.9  

Health Care Equipment & Supplies

    2.7  

Electric Utilities

    2.4  

Professional Services

    2.3  

Construction & Engineering

    2.2  

Semiconductors & Semiconductor Equipment

    2.2  

Aerospace & Defense

    2.2  

Hotels, Restaurants & Leisure

    2.2  

Multi-Utilities

    2.1  

Thrifts & Mortgage Finance

    2.1  

Auto Components

    2.1  

Biotechnology

    2.0  

Pharmaceuticals

    2.0  

Other Investments, less than 2% each

    27.5  

Short-Term Investments

    2.2  
 

 

 

 

Total Investments

    100.0  

Other assets less liabilities

    0.0
 

 

 

 

Net Assets

    100.0
 

 

 

 

* Less than 0.1%

 

See accompanying notes to financial statements.

 

21  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund

 

Shares     Description   Value (†)  
  Common Stocks – 97.7% of Net Assets  
  Aerospace & Defense – 2.4%

 

  6,151     Aerojet Rocketdyne Holdings, Inc.(a)   $ 257,296  
  5,021     HEICO Corp.     374,617  
  4,161     Hexcel Corp.     154,748  
   

 

 

 
      786,661  
   

 

 

 
  Biotechnology – 5.1%

 

  2,365     Argenx SE, ADR(a)     311,542  
  3,453     Ascendis Pharma AS, ADR(a)     388,842  
  17,860     Immunomedics, Inc.(a)     240,753  
  10,562     Momenta Pharmaceuticals, Inc.(a)     287,286  
  5,068     Neurocrine Biosciences, Inc.(a)     438,635  
   

 

 

 
      1,667,058  
   

 

 

 
  Capital Markets – 4.6%

 

  19,446     Ares Management Corp., Class A     601,465  
  1,509     MarketAxess Holdings, Inc.     501,848  
  3,293     Morningstar, Inc.     382,811  
   

 

 

 
      1,486,124  
   

 

 

 
  Commercial Services & Supplies – 1.5%

 

  14,652     Ritchie Bros. Auctioneers, Inc.     500,805  
   

 

 

 
  Communications Equipment – 1.8%

 

  14,892     Ciena Corp.(a)     592,851  
   

 

 

 
  Distributors – 1.7%

 

  2,816     POOL CORP.     554,104  
   

 

 

 
  Diversified Consumer Services – 2.7%

 

  3,335     Bright Horizons Family Solutions, Inc.(a)     340,170  
  6,733     Chegg, Inc.(a)     240,907  
  28,913     Laureate Education, Inc., Class A(a)     303,875  
   

 

 

 
      884,952  
   

 

 

 
  Diversified Telecommunication Services – 1.5%

 

  5,797     Cogent Communications Holdings, Inc.     475,180  
   

 

 

 
  Electrical Equipment – 1.8%

 

  6,130     Generac Holdings, Inc.(a)     571,132  
   

 

 

 
  Electronic Equipment, Instruments & Components – 2.3%

 

  10,781     FLIR Systems, Inc.     343,806  
  13,096     Trimble, Inc.(a)     416,846  
   

 

 

 
      760,652  
   

 

 

 
  Entertainment – 0.9%

 

  6,227     Live Nation Entertainment, Inc.(a)     283,079  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  22


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Food & Staples Retailing – 1.3%

 

  3,225     Casey’s General Stores, Inc.   $ 427,280  
   

 

 

 
  Food Products – 3.6%

 

  11,494     Freshpet, Inc.(a)     734,122  
  23,995     Nomad Foods Ltd.(a)     445,347  
   

 

 

 
      1,179,469  
   

 

 

 
  Health Care Equipment & Supplies – 6.7%

 

  2,411     CONMED Corp.     138,078  
  9,748     Globus Medical, Inc., Class A(a)     414,583  
  4,052     Insulet Corp.(a)     671,335  
  2,386     Penumbra, Inc.(a)     384,933  
  3,820     West Pharmaceutical Services, Inc.     581,595  
   

 

 

 
      2,190,524  
   

 

 

 
  Health Care Providers & Services – 5.1%

 

  13,412     1Life Healthcare, Inc.(a)     243,428  
  1,210     Chemed Corp.     524,172  
  4,730     Encompass Health Corp.     302,862  
  4,191     LHC Group, Inc.(a)     587,578  
   

 

 

 
      1,658,040  
   

 

 

 
  Hotels, Restaurants & Leisure – 3.3%

 

  8,728     Texas Roadhouse, Inc.     360,466  
  2,095     Vail Resorts, Inc.     309,453  
  26,534     Wendy’s Co. (The)     394,826  
   

 

 

 
      1,064,745  
   

 

 

 
  Household Durables – 1.1%

 

  2,534     Helen of Troy Ltd.(a)     364,972  
   

 

 

 
  Insurance – 3.5%

 

  6,139     Kemper Corp.     456,558  
  3,858     Kinsale Capital Group, Inc.     403,277  
  3,124     RLI Corp.     274,693  
   

 

 

 
      1,134,528  
   

 

 

 
  IT Services – 8.9%

 

  9,794     Black Knight, Inc.(a)     568,639  
  8,702     Booz Allen Hamilton Holding Corp.     597,305  
  4,625     Broadridge Financial Solutions, Inc.     438,589  
  4,068     EPAM Systems, Inc.(a)     755,265  
  15,407     Evo Payments, Inc., Class A(a)     235,727  
  14,782     KBR, Inc.     305,692  
   

 

 

 
      2,901,217  
   

 

 

 

 

See accompanying notes to financial statements.

 

23  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Life Sciences Tools & Services – 5.0%

 

  1,361     Bio-Techne Corp.   $ 258,073  
  3,229     Charles River Laboratories International, Inc.(a)     407,532  
  4,153     ICON PLC(a)     564,808  
  5,042     PRA Health Sciences, Inc.(a)     418,688  
   

 

 

 
      1,649,101  
   

 

 

 
  Machinery – 5.3%

 

  6,341     Albany International Corp., Class A     300,120  
  5,839     ESCO Technologies, Inc.     443,239  
  8,534     Helios Technologies, Inc.     323,609  
  17,519     Ingersoll Rand, Inc.(a)     434,471  
  3,912     Woodward, Inc.     232,529  
   

 

 

 
      1,733,968  
   

 

 

 
  Pharmaceuticals – 2.8%

 

  9,782     Catalent, Inc.(a)     508,175  
  13,429     Horizon Therapeutics PLC(a)     397,767  
   

 

 

 
      905,942  
   

 

 

 
  Professional Services – 2.2%

 

  2,032     FTI Consulting, Inc.(a)     243,373  
  7,323     TransUnion     484,636  
   

 

 

 
      728,009  
   

 

 

 
  Semiconductors & Semiconductor Equipment – 6.4%

 

  8,386     Advanced Energy Industries, Inc.(a)     406,637  
  4,886     MKS Instruments, Inc.     397,965  
  3,145     Monolithic Power Systems, Inc.     526,662  
  8,593     Semtech Corp.(a)     322,237  
  5,266     Silicon Laboratories, Inc.(a)     449,769  
   

 

 

 
      2,103,270  
   

 

 

 
  Software – 11.4%

 

  3,773     Avalara, Inc.(a)     281,466  
  4,840     Blackline, Inc.(a)     254,632  
  4,638     Five9, Inc.(a)     354,621  
  6,501     Guidewire Software, Inc.(a)     515,594  
  7,113     j2 Global, Inc.     532,408  
  5,308     Paylocity Holding Corp.(a)     468,803  
  4,722     Pegasystems, Inc.     336,348  
  5,375     Q2 Holdings, Inc.(a)     317,448  
  5,645     Smartsheet, Inc., Class A(a)     234,324  
  1,433     Tyler Technologies, Inc.(a)     424,971  
   

 

 

 
      3,720,615  
   

 

 

 

 

See accompanying notes to financial statements.

 

|  24


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued  
  Specialty Retail – 0.7%

 

  7,256     Floor & Decor Holdings, Inc., Class A(a)   $ 232,845  
   

 

 

 
  Textiles, Apparel & Luxury Goods – 1.8%

 

  3,373     Carter’s, Inc.     221,707  
  5,249     Columbia Sportswear Co.     366,223  
   

 

 

 
      587,930  
   

 

 

 
  Trading Companies & Distributors – 2.3%

 

  4,743     Kaman Corp.     182,463  
  7,893     SiteOne Landscape Supply, Inc.(a)     581,083  
   

 

 

 
      763,546  
   

 

 

 
  Total Common Stocks
(Identified Cost $35,084,640)
    31,908,599  
   

 

 

 
 
Principal
Amount

 
           
  Short-Term Investments – 3.8%  
$ 1,253,510     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $1,253,510 on 4/01/2020 collateralized by $1,275,000 U.S. Treasury Note, 0.500% due 3/15/2023 valued at $1,283,323 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,253,510)     1,253,510  
   

 

 

 
  Total Investments – 101.5%
(Identified Cost $36,338,150)
    33,162,109  
 

Other assets less liabilities—(1.5)%

    (495,927
   

 

 

 
  Net Assets – 100.0%   $ 32,666,182  
   

 

 

 
  (†)     See Note 2 of Notes to Financial Statements.

 

  (a)     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.

 

 

See accompanying notes to financial statements.

 

25  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Industry Summary at March 31, 2020 (Unaudited)

 

Software

    11.4

IT Services

    8.9  

Health Care Equipment & Supplies

    6.7  

Semiconductors & Semiconductor Equipment

    6.4  

Machinery

    5.3  

Biotechnology

    5.1  

Health Care Providers & Services

    5.1  

Life Sciences Tools & Services

    5.0  

Capital Markets

    4.6  

Food Products

    3.6  

Insurance

    3.5  

Hotels, Restaurants & Leisure

    3.3  

Pharmaceuticals

    2.8  

Diversified Consumer Services

    2.7  

Aerospace & Defense

    2.4  

Trading Companies & Distributors

    2.3  

Electronic Equipment, Instruments & Components

    2.3  

Professional Services

    2.2  

Other Investments, less than 2% each

    14.1  

Short-Term Investments

    3.8  
 

 

 

 

Total Investments

    101.5  

Other assets less liabilities

    (1.5
 

 

 

 

Net Assets

    100.0
 

 

 

 

 

See accompanying notes to financial statements.

 

|  26


Statements of Assets and Liabilities

March 31, 2020 (Unaudited)

 

     Small Cap
Growth Fund
    Small Cap
Value Fund
    Small/Mid Cap
Growth Fund
 

ASSETS

     

Investments at cost

  $ 1,415,647,846     $ 466,663,484     $ 36,338,150  

Net unrealized appreciation (depreciation)

    45,258,279       (17,655,918     (3,176,041
 

 

 

   

 

 

   

 

 

 

Investments at value

    1,460,906,125       449,007,566       33,162,109  

Cash

    544,318              

Receivable for Fund shares sold

    16,385,488       1,249,212       1,552  

Receivable for securities sold

    8,897,906             1,134,518  

Dividends receivable

    399,024       610,097       13,724  

Prepaid expenses (Note 7)

    9       4        
 

 

 

   

 

 

   

 

 

 

TOTAL ASSETS

    1,487,132,870       450,866,879       34,311,903  
 

 

 

   

 

 

   

 

 

 

LIABILITIES

     

Payable for securities purchased

    14,534,547       780,492       499,387  

Payable for Fund shares redeemed

    2,538,168       380,634       1,072,548  

Management fees payable (Note 5)

    959,701       281,154       10,693  

Deferred Trustees’ fees (Note 5)

    212,645       246,822       27,249  

Administrative fees payable (Note 5)

    57,225       18,334       1,315  

Payable to distributor (Note 5d)

    12,180       5,138       32  

Other accounts payable and accrued expenses

    89,335       73,327       34,497  
 

 

 

   

 

 

   

 

 

 

TOTAL LIABILITIES

    18,403,801       1,785,901       1,645,721  
 

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 1,468,729,069     $ 449,080,978     $ 32,666,182  
 

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF:

     

Paid-in capital

  $ 1,495,545,019     $ 445,223,375     $ 36,747,436  

Accumulated earnings (loss)

    (26,815,950     3,857,603       (4,081,254
 

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 1,468,729,069     $ 449,080,978     $ 32,666,182  
 

 

 

   

 

 

   

 

 

 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

     

Institutional Class:

     

Net assets

  $ 751,670,388     $ 275,331,695     $ 32,665,319  
 

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

    37,315,334       14,912,565       3,912,965  
 

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $ 20.14     $ 18.46     $ 8.35  
 

 

 

   

 

 

   

 

 

 

Retail Class:

     

Net assets

  $ 72,740,402     $ 79,652,741     $  
 

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

    4,005,366       4,400,063        
 

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $ 18.16     $ 18.10     $  
 

 

 

   

 

 

   

 

 

 

Admin Class shares:

     

Net assets

  $     $ 6,665,912     $  
 

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

          389,605        
 

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $     $ 17.11     $  
 

 

 

   

 

 

   

 

 

 

Class N shares:

     

Net assets

  $ 644,318,279     $ 87,430,630     $ 863  
 

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

    31,665,950       4,733,546       103  
 

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $ 20.35     $ 18.47     $ 8.35
 

 

 

   

 

 

   

 

 

 

 

*

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

 

See accompanying notes to financial statements.

 

27  |


Statements of Operations

For the Six Months Ended March 31, 2020 (Unaudited)

 

     Small Cap
Growth Fund
    Small Cap
Value Fund
    Small/Mid Cap
Growth Fund
 

INVESTMENT INCOME

     

Dividends

  $ 2,015,525     $ 4,290,059     $ 107,346  

Interest

    317,141       39,764       6,143  

Less net foreign taxes withheld

          (17,211     (837
 

 

 

   

 

 

   

 

 

 
    2,332,666       4,312,612       112,652  
 

 

 

   

 

 

   

 

 

 

Expenses

     

Management fees (Note 5)

    6,568,523       2,519,135       143,558  

Service and distribution fees (Note 5)

    118,827       183,968        

Administrative fees (Note 5)

    383,947       147,141       8,393  

Trustees’ fees and expenses (Note 5)

    44,205       25,376       10,010  

Transfer agent fees and expenses (Notes 5 and 6)

    671,241       289,374       3,170  

Audit and tax services fees

    20,209       20,632       20,289  

Custodian fees and expenses

    30,513       11,046       4,209  

Legal fees (Note 7)

    14,981       5,255       609  

Registration fees

    72,982       61,993       34,183  

Shareholder reporting expenses

    40,526       32,322       4,428  

Miscellaneous expenses (Note 7)

    37,641       24,270       14,207  
 

 

 

   

 

 

   

 

 

 

Total expenses

    8,003,595       3,320,512       243,056  

Less waiver and/or expense reimbursement (Note 5)

          (146,357     (81,746
 

 

 

   

 

 

   

 

 

 

Net expenses

    8,003,595       3,174,155       161,310  
 

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    (5,670,929     1,138,457       (48,658
 

 

 

   

 

 

   

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

     

Net realized gain (loss) on:

     

Investments

    (53,910,373     26,413,159       (597,218

Net change in unrealized appreciation (depreciation) on:

     

Investments

    (227,884,714     (222,138,996     (5,513,792
 

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss on investments

    (281,795,087     (195,725,837     (6,111,010
 

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ (287,466,016   $ (194,587,380   $ (6,159,668
 

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  28


Statements of Changes in Net Assets

 

     Small Cap Growth Fund     Small Cap Value Fund  
     Six Months Ended
March 31, 2020
(Unaudited)
    Year Ended
September 30,
2019
    Six Months Ended
March 31, 2020
(Unaudited)
    Year Ended
September 30,
2019
 

FROM OPERATIONS:

       

Net investment income (loss)

  $ (5,670,929   $ (8,790,650   $ 1,138,457     $ 2,471,460  

Net realized gain (loss) on investments

    (53,910,373     155,991,266       26,413,159       55,538,968  

Net change in unrealized appreciation (depreciation) on investments

    (227,884,714     (268,064,056     (222,138,996     (109,251,529
 

 

 

   

 

 

   

 

 

   

 

 

 

Net decrease in net assets resulting from operations

    (287,466,016     (120,863,440     (194,587,380     (51,241,101
 

 

 

   

 

 

   

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

       

Institutional Class

    (80,218,616     (74,228,048     (34,882,909     (67,841,584

Retail Class

    (9,162,211     (11,691,827     (10,573,237     (23,416,722

Admin Class

                (1,107,925     (3,000,140

Class N

    (61,460,368     (45,465,070     (11,045,289     (18,276,952
 

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (150,841,195     (131,384,945     (57,609,360     (112,535,398
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)

    272,872,126       305,348,898       (21,694,780     (86,935,502
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets

    (165,435,085     53,100,513       (273,891,520     (250,712,001

NET ASSETS

       

Beginning of the period

    1,634,164,154       1,581,063,641       722,972,498       973,684,499  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of the period

  $ 1,468,729,069     $ 1,634,164,154     $ 449,080,978     $ 722,972,498  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

29  |


Statements of Changes in Net Assets – continued

 

     Small/Mid Cap Growth Fund  
     Six Months Ended
March 31, 2020
(Unaudited)
    Year Ended
September 30,
2019
 

FROM OPERATIONS:

   

Net investment loss

  $ (48,658   $ (82,902

Net realized gain (loss) on investments

    (597,218     707,633  

Net change in unrealized appreciation (depreciation) on investments

    (5,513,792     (112,924
 

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (6,159,668     511,807  
 

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

   

Institutional Class

    (817,090     (4,717,064

Class N

    (24      
 

 

 

   

 

 

 

Total distributions

    (817,114     (4,717,064
 

 

 

   

 

 

 

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)

    5,330,996       21,017,023  
 

 

 

   

 

 

 

Net increase (decrease) in net assets

    (1,645,786     16,811,766  

NET ASSETS

   

Beginning of the period

    34,311,968       17,500,202  
 

 

 

   

 

 

 

End of the period

  $ 32,666,182     $ 34,311,968  
 

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  30


FINANCIAL HIGHLIGHTS

For a share outstanding throughout each period.

 

     Small Cap Growth Fund—Institutional Class  
     Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
        

Net asset value, beginning of the period

  $ 26.30     $ 31.55     $ 27.37     $ 22.03     $ 22.22     $ 24.27    
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

             

Net investment loss(a)

    (0.09     (0.16     (0.16     (0.12     (0.09     (0.14  

Net realized and unrealized gain (loss)

    (3.72     (2.51     7.54       5.46       1.59       1.63    
 

 

 

 

Total from Investment Operations

    (3.81     (2.67     7.38       5.34       1.50       1.49    
 

 

 

 

LESS DISTRIBUTIONS FROM:

             

Net realized capital gains

    (2.35     (2.58     (3.20           (1.69     (3.54  
 

 

 

 

Net asset value, end of the period

  $ 20.14     $ 26.30     $ 31.55     $ 27.37     $ 22.03     $ 22.22    
 

 

 

 

Total return

    (16.66 )%(b)      (6.88 )%      29.77     24.24     6.92     5.78  

RATIOS TO AVERAGE NET ASSETS:

             

Net assets, end of the period (000’s)

  $ 751,670     $ 908,616     $ 926,914     $ 824,103     $ 812,383     $ 800,883    

Net expenses

    0.95 %(c)      0.95     0.94     0.95     0.95     0.94  

Gross expenses

    0.95 %(c)      0.95     0.94     0.95     0.95     0.94  

Net investment loss

    (0.69 )%(c)      (0.62 )%      (0.58 )%      (0.49 )%      (0.41 )%      (0.57 )%   

Portfolio turnover rate

    23     67     41     45     56     78  

 

(a)

Per share net investment loss 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.

 

31  |


Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Growth Fund—Retail Class  
     Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
        

Net asset value, beginning of the period

  $ 23.95     $ 29.09     $ 25.53     $ 20.61     $ 20.93     $ 23.10    
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

             

Net investment loss(a)

    (0.11     (0.21     (0.22     (0.16     (0.13     (0.19  

Net realized and unrealized gain (loss)

    (3.33     (2.35     6.98       5.08       1.50       1.56    
 

 

 

 

Total from Investment Operations

    (3.44     (2.56     6.76       4.92       1.37       1.37    
 

 

 

 

LESS DISTRIBUTIONS FROM:

             

Net realized capital gains

    (2.35     (2.58     (3.20           (1.69     (3.54  
 

 

 

 

Net asset value, end of the period

  $ 18.16     $ 23.95     $ 29.09     $ 25.53     $ 20.61     $ 20.93    
 

 

 

 

Total return

    (16.75 )%(b)      (7.11 )%(c)      29.45     23.93     6.61     5.58  

RATIOS TO AVERAGE NET ASSETS:

             

Net assets, end of the period (000’s)

  $ 72,740     $ 95,635     $ 136,415     $ 107,387     $ 118,670     $ 162,906    

Net expenses

    1.20 %(d)      1.19 %(e)      1.19     1.20     1.20     1.19  

Gross expenses

    1.20 %(d)      1.20     1.19     1.20     1.20     1.19  

Net investment loss

    (0.94 )%(d)      (0.86 )%      (0.82 )%      (0.73 )%      (0.66 )%      (0.82 )%   

Portfolio turnover rate

    23     67     41     45     56     78  

 

(a)

Per share net investment loss 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 administrator 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


Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Growth Fund—Class N  
    

Six Months

Ended
March 31,
2020
(Unaudited)

    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
        

Net asset value, beginning of the period

  $ 26.53     $ 31.76     $ 27.50     $ 22.11     $ 22.27     $ 24.29    
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

             

Net investment loss(a)

    (0.07     (0.13     (0.12     (0.09     (0.06     (0.12  

Net realized and unrealized gain (loss)

    (3.76     (2.52     7.58       5.48       1.59       1.64    
 

 

 

 

Total from Investment Operations

    (3.83     (2.65     7.46       5.39       1.53       1.52    
 

 

 

 

LESS DISTRIBUTIONS FROM:

             

Net realized capital gains

    (2.35     (2.58     (3.20           (1.69     (3.54  
 

 

 

 

Net asset value, end of the period

  $ 20.35     $ 26.53     $ 31.76     $ 27.50     $ 22.11     $ 22.27    
 

 

 

 

Total return

    (16.58 )%(b)      (6.76 )%      29.93     24.38     7.05     5.92  

RATIOS TO AVERAGE NET ASSETS:

             

Net assets, end of the period (000’s)

  $ 644,318     $ 629,914     $ 517,734     $ 279,508     $ 196,733     $ 162,591    

Net expenses

    0.83 %(c)      0.82     0.82     0.82     0.83     0.83  

Gross expenses

    0.83 %(c)      0.82     0.82     0.82     0.83     0.83  

Net investment loss

    (0.56 )%(c)      (0.49 )%      (0.43 )%      (0.39 )%      (0.29 )%      (0.51 )%   

Portfolio turnover rate

    23     67     41     45     56     78  

 

(a)

Per share net investment loss 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.

 

33  |


Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund— Institutional Class         
     Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
        

Net asset value, beginning of the period

  $ 28.66     $ 35.27     $ 37.37     $ 33.78     $ 32.19     $ 36.40    
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

             

Net investment income(a)

    0.05       0.10       0.09       0.13       0.17       0.27    

Net realized and unrealized gain (loss)

    (7.84     (2.49     2.11       6.36       4.82       0.49    
 

 

 

 

Total from Investment Operations

    (7.79     (2.39     2.20       6.49       4.99       0.76    
 

 

 

 

LESS DISTRIBUTIONS FROM:

             

Net investment income

    (0.12     (0.08     (0.05     (0.14     (0.22     (0.22  

Net realized capital gains

    (2.29     (4.14     (4.25     (2.76     (3.18     (4.75  
 

 

 

 

Total Distributions

    (2.41     (4.22     (4.30     (2.90     (3.40     (4.97  
 

 

 

 

Net asset value, end of the period

  $ 18.46     $ 28.66     $ 35.27     $ 37.37     $ 33.78     $ 32.19    
 

 

 

 

Total return(b)

    (30.02 )%(c)      (4.11 )%      6.21     19.68     16.75     1.20  

RATIOS TO AVERAGE NET ASSETS:

             

Net assets, end of the period (000’s)

  $ 275,332     $ 433,360     $ 587,198     $ 665,229     $ 654,501     $ 666,107    

Net expenses(d)

    0.90 %(e)      0.90     0.90     0.90     0.90     0.90  

Gross expenses

    0.95 %(e)      0.93     0.92     0.93     0.93     0.92  

Net investment income

    0.39 %(e)      0.36     0.26     0.37     0.52     0.75  

Portfolio turnover rate

    11     24     19     25     22     22  

 

(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.

 

|  34


Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund— Retail Class         
     Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
        

Net asset value, beginning of the period

  $ 28.11     $ 34.66     $ 36.83     $ 33.33     $ 31.78     $ 35.98    
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

             

Net investment income(a)

    0.02       0.03       0.00 (b)      0.04       0.08       0.18    

Net realized and unrealized gain (loss)

    (7.70     (2.44     2.08       6.27       4.77       0.48    
 

 

 

 

Total from Investment Operations

    (7.68     (2.41     2.08       6.31       4.85       0.66    
 

 

 

 

LESS DISTRIBUTIONS FROM:

             

Net investment income

    (0.04                 (0.05     (0.12     (0.11  

Net realized capital gains

    (2.29     (4.14     (4.25     (2.76     (3.18     (4.75  
 

 

 

 

Total Distributions

    (2.33     (4.14     (4.25     (2.81     (3.30     (4.86  
 

 

 

 

Net asset value, end of the period

  $ 18.10     $ 28.11     $ 34.66     $ 36.83     $ 33.33     $ 31.78    
 

 

 

 

Total return(c)

    (30.12 )%(d)      (4.33 )%      5.95     19.38     16.47     0.94  

RATIOS TO AVERAGE NET ASSETS:

             

Net assets, end of the period (000’s)

  $ 79,653     $ 134,434     $ 208,310     $ 251,405     $ 267,936     $ 306,360    

Net expenses(e)

    1.15 %(f)      1.15     1.15     1.15     1.15     1.15  

Gross expenses

    1.20 %(f)      1.18     1.17     1.18     1.18     1.17  

Net investment income

    0.13 %(f)      0.10     0.01     0.12     0.27     0.50  

Portfolio turnover rate

    11     24     19     25     22     22  

 

(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.

 

See accompanying notes to financial statements.

 

35  |


Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund— Admin Class         
     Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
        

Net asset value, beginning of the period

  $ 26.68     $ 33.25     $ 35.58     $ 32.31     $ 30.88     $ 35.06    
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

             

Net investment income (loss)(a)

    (0.02     (0.04     (0.08     (0.04     0.01       0.09    

Net realized and unrealized gain (loss)

    (7.26     (2.39     2.00       6.07       4.62       0.48    
 

 

 

 

Total from Investment Operations

    (7.28     (2.43     1.92       6.03       4.63       0.57    
 

 

 

 

LESS DISTRIBUTIONS FROM:

             

Net investment income

                            (0.02     (0.00 )(b)   

Net realized capital gains

    (2.29     (4.14     (4.25     (2.76     (3.18     (4.75  
 

 

 

 

Total Distributions

    (2.29     (4.14     (4.25     (2.76     (3.20     (4.75  
 

 

 

 

Net asset value, end of the period

  $ 17.11     $ 26.68     $ 33.25     $ 35.58     $ 32.31     $ 30.88    
 

 

 

 

Total return(c)

    (30.19 )%(d)      (4.60 )%      5.68     19.10     16.19     0.71  

RATIOS TO AVERAGE NET ASSETS:

             

Net assets, end of the period (000’s)

  $ 6,666     $ 13,357     $ 24,530     $ 30,533     $ 43,973     $ 45,762    

Net expenses(e)

    1.40 %(f)      1.40     1.40     1.40     1.39 %(g)      1.38 %(h)   

Gross expenses

    1.45 %(f)      1.43     1.42     1.43     1.42 %(g)      1.40 %(h)   

Net investment income (loss)

    (0.13 )%(f)      (0.15 )%      (0.24 )%      (0.11 )%      0.03     0.28  

Portfolio turnover rate

    11     24     19     25     22     22  

 

(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)

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.

 

|  36


Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund— Class N         
     Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
        

Net asset value, beginning of the period

  $ 28.68     $ 35.31     $ 37.41     $ 33.81     $ 32.22     $ 36.44    
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

             

Net investment income(a)

    0.06       0.12       0.12       0.15       0.19       0.27    

Net realized and unrealized gain (loss)

    (7.84     (2.50     2.11       6.37       4.83       0.50    
 

 

 

 

Total from Investment Operations

    (7.78     (2.38     2.23       6.52       5.02       0.77    
 

 

 

 

LESS DISTRIBUTIONS FROM:

             

Net investment income

    (0.14     (0.11     (0.08     (0.16     (0.25     (0.24  

Net realized capital gains

    (2.29     (4.14     (4.25     (2.76     (3.18     (4.75  
 

 

 

 

Total Distributions

    (2.43     (4.25     (4.33     (2.92     (3.43     (4.99  
 

 

 

 

Net asset value, end of the period

  $ 18.47     $ 28.68     $ 35.31     $ 37.41     $ 33.81     $ 32.22    
 

 

 

 

Total return

    (29.98 )%(b)      (4.07 )%      6.28     19.78     16.84     1.25  

RATIOS TO AVERAGE NET ASSETS:

             

Net assets, end of the period (000’s)

  $ 87,431     $ 141,821     $ 153,646     $ 136,162     $ 68,332     $ 38,555    

Net expenses

    0.85 %(c)      0.83     0.83     0.83     0.83     0.83 %(d)   

Gross expenses

    0.85 %(c)      0.83     0.83     0.83     0.83     0.83 %(d)   

Net investment income

    0.43 %(c)      0.43     0.33     0.44     0.61     0.76  

Portfolio turnover rate

    11     24     19     25     22     22  

 

(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 fee/expense recovery of less than 0.01%.

 

See accompanying notes to financial statements.

 

37  |


Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small/Mid Cap Growth Fund— Institutional Class         
     Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Period Ended
September 30,
2015*
        

Net asset value, beginning of the period

  $ 10.03     $ 15.49     $ 12.31     $ 9.73     $ 9.05     $ 10.00    
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

             

Net investment income (loss)(a)

    (0.01     (0.04     (0.05     0.00 (b)      (0.02     (0.01  

Net realized and unrealized gain (loss)

    (1.43     (1.55 )(c)      3.23       2.60       0.70       (0.94  
 

 

 

 

Total from Investment Operations

    (1.44     (1.59     3.18       2.60       0.68       (0.95  
 

 

 

 

LESS DISTRIBUTIONS FROM:

             

Net investment income

                      (0.02              

Net realized capital gains

    (0.24     (3.87                          
 

 

 

 

Total Distributions

    (0.24     (3.87           (0.02              
 

 

 

 

Net asset value, end of the period

  $ 8.35     $ 10.03     $ 15.49     $ 12.31     $ 9.73     $ 9.05    
 

 

 

 

Total return(d)

    (14.89 )%(e)      (3.27 )%      25.83     26.74     7.51     (9.50 )%(e)   

RATIOS TO AVERAGE NET ASSETS:

             

Net assets, end of the period (000’s)

  $ 32,665     $ 34,312     $ 17,500     $ 14,592     $ 11,974     $ 9,242    

Net expenses(f)

    0.84 %(g)      0.85     0.85     0.85     0.85     0.85 %(g)   

Gross expenses

    1.27 %(g)      1.30     1.43     1.57     1.75     2.65 %(g)   

Net investment income (loss)

    (0.25 )%(g)      (0.35 )%      (0.35 )%      0.01     (0.22 )%      (0.53 )%(g)   

Portfolio turnover rate

    37     67     102 %(h)      49     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)

Amount rounds to less than $0.01.

(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)

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.

(h)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to significant shareholder flows.

 

See accompanying notes to financial statements.

 

|  38


Financial Highlights – continued

For a share outstanding throughout each period.

 

 
     Small/Mid Cap Growth Fund—
Class N
        
     Period Ended
March 31,
2020*
(Unaudited)
        

Net asset value, beginning of the period

  $ 9.89    
 

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

 

Net investment loss(a)

    (0.01  

Net realized and unrealized gain (loss)

    (1.29  
 

 

 

 

Total from Investment Operations

    (1.30  
 

 

 

 

LESS DISTRIBUTIONS FROM:

 

 

Net realized capital gains

    (0.24  
 

 

 

 

Net asset value, end of the period

  $ 8.35    
 

 

 

 

Total return(b)(c)

    (13.58 )%   

RATIOS TO AVERAGE NET ASSETS:

 

 

Net assets, end of the period (000’s)

  $ 1    

Net expenses(d)(e)

    0.83  

Gross expenses(e)

    140.63  

Net investment loss(e)

    (0.27 )%   

Portfolio turnover rate

    37  

 

 

*

Class operations commenced on October 1, 2019.

(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.

 

39  |


Notes to Financial Statements

March 31, 2020 (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 offers Institutional Class, Retail Class and Class N shares. Small Cap Value Fund offers Institutional Class, Retail Class, Admin Class and Class N shares. Small/Mid Cap Growth Fund offers Institutional Class and Class N shares (effective October 1, 2019).

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. Certain categories of investors are exempted from the minimum investment amount 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 and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. 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 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.

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.

 

|  40


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

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. 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 Exchange. 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

 

41  |


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

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 pursuant to the Funds’ pricing policies and procedures.

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 (including income reinvested) and foreign withholding tax, if applicable, is recorded on the 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, if any, 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

 

|  42


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

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.

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, 2020 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.

 

43  |


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

e.  Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the 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 return of capital distributions received, deferred Trustees’ fees, 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 net realized short-term capital gains are reported as 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, 2019 was as follows:

 

    2019 Distributions Paid From:  

Fund

  Ordinary
Income
    Long-Term
Capital Gains
    Total  

Small Cap Growth Fund

  $     $ 131,384,945     $ 131,384,945  

Small Cap Value Fund

    1,761,169       110,774,229       112,535,398  

Small/Mid Cap Growth Fund

          4,717,064       4,717,064  

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of September 30, 2019, 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
 

Late-year ordinary and post-October capital loss deferrals*

  $ (6,292,971   $     $ (67,038
 

 

 

   

 

 

   

 

 

 

 

*

Under current tax law, net operating losses, 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. Small Cap Growth Fund and Small/Mid Cap Growth Fund are deferring net operating losses.

 

|  44


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

As of March 31, 2020, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    Small Cap
Growth Fund
    Small Cap
Value Fund
    Small/Mid
Cap  Growth
Fund
 

Federal tax cost

  $ 1,415,647,846     $ 466,663,484     $ 36,338,150  
 

 

 

   

 

 

   

 

 

 

Gross tax appreciation

  $ 219,261,762     $ 85,291,418     $ 1,407,633  

Gross tax depreciation

    (174,003,483     (102,947,336     (4,583,674
 

 

 

   

 

 

   

 

 

 

Net tax appreciation (depreciation)

  $ 45,258,279     $ (17,655,918   $ (3,176,041
 

 

 

   

 

 

   

 

 

 

Amounts in the table above 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.

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, 2020, 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.

 

45  |


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

For the six months ended March 31, 2020, 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.

i.  New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of the adoption of ASU 2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. New disclosures required by ASU 2018-13 will be incorporated in the Funds’ semiannual financial statements as of March 31, 2021.

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.

 

|  46


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2020, at value:

Small Cap Growth Fund

Asset Valuation Inputs

 

Description

  Level 1     Level 2     Level 3     Total  

Common Stocks(a)

  $ 1,395,191,452     $     $     $ 1,395,191,452  

Short-Term Investments

          65,714,673             65,714,673  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,395,191,452     $ 65,714,673     $     —     $ 1,460,906,125  
 

 

 

   

 

 

   

 

 

   

 

 

 

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

Small Cap Value Fund

Asset Valuation Inputs

 

Description

  Level 1     Level 2     Level 3     Total  

Common Stocks(a)

  $ 439,273,687     $     $     $ 439,273,687  

Other Investments(a)

                       

Short-Term Investments

          9,733,879             9,733,879  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 439,273,687     $ 9,733,879     $     —     $ 449,007,566  
 

 

 

   

 

 

   

 

 

   

 

 

 

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

Small/Mid Cap Growth Fund

Asset Valuation Inputs

 

Description

  Level 1     Level 2     Level 3     Total  

Common Stocks(a)

  $ 31,908,599     $     $     $ 31,908,599  

Short-Term Investments

          1,253,510             1,253,510  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $      31,908,599     $   1,253,510     $       —     $      33,162,109  
 

 

 

   

 

 

   

 

 

   

 

 

 

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

4.  Purchases and Sales of Securities. For the six months ended March 31, 2020, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

  Purchases     Sales  

Small Cap Growth Fund

  $ 482,203,705     $ 384,401,070  

Small Cap Value Fund

    71,631,093       152,043,625  

Small/Mid Cap Growth Fund

    20,980,361       13,383,952  

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. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment

 

47  |


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

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%    

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, 2021, 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, 2020, 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%       —           —           0.83%  

Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of 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.

 

|  48


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

For the six months ended March 31, 2020, the management fees for each Fund were as follows:

 

    Gross
Management
Fees
    Contractual
Waivers of
Management
Fees1
    Voluntary
Waivers of
Management
Fees2
    Net
Management
Fees
    

Percentage of Average

Daily Net Assets

 

Fund

   Gross      Net  

Small Cap Growth Fund

  $ 6,568,523     $     $     $ 6,568,523        0.75%        0.75%  

Small Cap Value Fund

    2,519,135                   2,519,135        0.75%        0.75%  

Small/Mid Cap Growth Fund

    143,558       79,627       1,389       62,542        0.75%        0.33%  

For the six months ended March 31, 2020, class-specific expenses have been reimbursed as follows:

 

    Reimbursement1  

Fund

  Institutional
Class
    Retail
Class
    Admin
Class
    Class N      Total  

Small Cap Value Fund

  $ 110,252     $ 32,920     $ 3,185     $       —      $ 146,357  

 

1 

Waiver/expense reimbursements are subject to possible recovery until September 30, 2021.

2

Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described above.

b.  Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis 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 Natixis 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 Natixis Distribution in connection with the marketing or sale of Retail Class shares or for payments made by Natixis 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 Natixis 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

 

49  |


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

Natixis Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis 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 Natixis 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, 2020, 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

  $     $ 118,827     $  

Small Cap Value Fund

    15,261       153,446       15,261  

c.  Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2020, the administrative fees for each Fund were as follows:

 

Fund

  Administrative Fees  

Small Cap Growth Fund

  $ 383,947  

Small Cap Value Fund

    147,141  

Small/Mid Cap Growth Fund

    8,393  

d.  Sub-Transfer Agent Fees. Natixis 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

 

|  50


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis 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, 2020, 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

  $ 661,169  

Small Cap Value Fund

    280,424  

Small/Mid Cap Growth Fund

    992  

As of March 31, 2020, the Funds owe Natixis 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

  $ 12,180  

Small Cap Value Fund

    5,138  

Small/Mid Cap Growth Fund

    32  

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 Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. 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, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each

 

51  |


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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.

Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. All other Trustee fees remained unchanged.

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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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.

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

f.  Affiliated Ownership. As of March 31, 2020, Natixis and affiliates, 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

  Natixis     Pension
Plan
    Retirement
Plan
    Total
Affiliated
Ownership
 

Small Cap Growth Fund

          0.15%       1.30%       1.45%  

Small Cap Value Fund

          0.39%       4.19%       4.58%  

Small/Mid Cap Growth Fund

    Less than 1%                   Less than 1%  

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

g.  Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Small/Mid Cap Growth Fund to reimburse any

 

|  52


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through January 31, 2021 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended March 31, 2020, Natixis Advisors reimbursed Small/Mid Cap Growth Fund $730 for transfer agency expenses related to Class N shares.

6.  Class-Specific Transfer Agent Fees and Expenses. 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 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.

For the six months ended March 31, 2020, 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

  $ 605,803     $ 62,253     $     $ 3,185  

Small Cap Value Fund

    216,577       65,106       6,443       1,248  

Small/Mid Cap Growth Fund

    2,440                   730  

7.  Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (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 and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, 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 certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended March 31, 2020, none of the Funds had borrowings under this agreement.

8.  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, 2020, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than

 

53  |


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

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
 

Small Cap Value Fund

    1       7.42%  

Small/Mid Cap Growth Fund

    5       68.09%  

Omnibus shareholder accounts for which Natixis 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.

9.  Risk. Global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.

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, 2020
    Year Ended
September 30, 2019
 

Institutional Class

  Shares     Amount     Shares     Amount  

Issued from the sale of shares

    7,187,870     $ 172,100,244       11,579,961     $ 308,840,843  

Issued in connection with the reinvestment of distributions

    2,907,753       77,404,396       3,229,384       71,175,640  

Redeemed

    (7,328,693     (186,805,050     (9,640,609     (255,383,227
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change

    2,766,930     $ 62,699,590       5,168,736     $ 124,633,256  
 

 

 

   

 

 

   

 

 

   

 

 

 
Retail Class  

Issued from the sale of shares

    572,516     $ 12,846,699       1,457,788     $ 35,354,241  

Issued in connection with the reinvestment of distributions

    379,550       9,116,785       580,575       11,675,362  

Redeemed

    (939,892     (21,781,361     (2,734,300     (66,088,287
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change

    12,174     $ 182,123       (695,937   $ (19,058,684
 

 

 

   

 

 

   

 

 

   

 

 

 

 

|  54


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

10.  Capital Shares – continued

 

    Small Cap Growth Fund  
    Six Months Ended
March 31, 2020
    Year Ended
September 30, 2019
 

Class N

  Shares     Amount     Shares     Amount  

Issued from the sale of shares

    8,980,579     $ 232,288,718       14,891,081     $ 407,213,957  

Issued in connection with the reinvestment of distributions

    2,249,879       60,476,756       2,040,644       45,322,697  

Redeemed

    (3,310,307     (82,775,061     (9,488,573     (252,762,328
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change

    7,920,151     $ 209,990,413       7,443,152     $ 199,774,326  
 

 

 

   

 

 

   

 

 

   

 

 

 

Increase from capital share transactions

    10,699,255     $ 272,872,126       11,915,951     $ 305,348,898  
 

 

 

   

 

 

   

 

 

   

 

 

 
    Small Cap Value Fund  
    Six Months Ended
March 31, 2020
    Year Ended
September 30, 2019
 

Institutional Class

  Shares     Amount     Shares     Amount  

Issued from the sale of shares

    1,200,840     $ 30,898,944       1,885,997     $ 52,720,402  

Issued in connection with the reinvestment of distributions

    1,187,726       33,101,927       2,757,754       64,641,757  

Redeemed

    (2,595,423     (67,537,255     (6,172,550     (172,631,075
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change

    (206,857   $ (3,536,384     (1,528,799   $ (55,268,916
 

 

 

   

 

 

   

 

 

   

 

 

 
Retail Class  

Issued from the sale of shares

    110,004     $ 2,771,868       248,433     $ 6,930,683  

Issued in connection with the reinvestment of distributions

    385,444       10,541,881       1,013,991       23,352,213  

Redeemed

    (878,427     (23,108,375     (2,489,201     (67,155,838
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change

    (382,979   $ (9,794,626     (1,226,777   $ (36,872,942
 

 

 

   

 

 

   

 

 

   

 

 

 
Admin Class  

Issued from the sale of shares

    59,420     $ 1,473,427       164,641     $ 4,244,622  

Issued in connection with the reinvestment of distributions

    33,393       863,879       103,280       2,261,822  

Redeemed

    (203,794     (4,163,577     (505,156     (12,991,234
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change

    (110,981   $ (1,826,271     (237,235   $ (6,484,790
 

 

 

   

 

 

   

 

 

   

 

 

 
Class N  

Issued from the sale of shares

    380,627     $ 9,332,730       1,949,203     $ 53,692,224  

Issued in connection with the reinvestment of distributions

    396,172       11,045,289       779,733       18,276,952  

Redeemed

    (987,460     (26,915,518     (2,136,634     (60,278,030
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change

    (210,661   $ (6,537,499     592,302     $ 11,691,146  
 

 

 

   

 

 

   

 

 

   

 

 

 

Decrease from capital share transactions

    (911,478   $ (21,694,780     (2,400,509   $ (86,935,502
 

 

 

   

 

 

   

 

 

   

 

 

 

 

55  |


Notes to Financial Statements – continued

March 31, 2020 (Unaudited)

 

10.  Capital Shares – continued

 

    Small/Mid Cap Growth Fund  
    Six Months Ended
March 31, 2020
    Year Ended
September 30, 2019
 

Institutional Class

  Shares     Amount     Shares     Amount  

Issued from the sale of shares

    1,247,278     $ 12,904,888       2,433,625     $ 23,898,389  

Issued in connection with the reinvestment of distributions

    74,958       787,810       540,127       4,234,598  

Redeemed

    (298,965     (2,762,496     (681,600     (7,115,964

Redeemed in-kind (Note 11)

    (532,341     (5,600,230            
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change

    490,930     $ 5,329,972       2,292,152     $ 21,017,023  
 

 

 

   

 

 

   

 

 

   

 

 

 
Class N(a)  

Issued from the sale of shares

    101     $ 1,000           $  

Issued in connection with the reinvestment of distributions

    2       24              
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change

    103     $ 1,024           $  
 

 

 

   

 

 

   

 

 

   

 

 

 

Increase from capital share transactions

    491,033     $ 5,330,996       2,292,152     $ 21,017,023  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Class operations commenced on October 1, 2019.

11.  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. Small/Mid Cap Growth Fund realized a gain of $779,521 on redemptions in-kind during the six months ended March 31, 2020. This amount is included in realized gain (loss) on the Statements of Operations.

 

|  56


LOGO

 

LOGO

 

Semiannual Report

March 31, 2020

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Limited Term Government and Agency Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     8  
Financial Statements     36  
Notes to Financial Statements     48  

 

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

Managers   Symbols

Daniel Conklin, CFA®

 

Class A    LSDRX

Christopher T. Harms   Class C    LSCDX
Clifton V. Rowe, CFA®   Class N    LSDNX
Kurt L. Wagner, CFA®, CIC*   Class Y    LSDIX
Loomis, Sayles & Company, L.P.

 

*

Effective June 30, 2020, Kurt L. Wagner will no longer serve as portfolio manager of the Fund.

 

 

Investment Goal

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

 

 

 

1  |


Average Annual Total Returns — March 31, 20204,5

 

             
                             Life of     Expense Ratios6  
     6 Months     1 Year     5 Years     10 Years     Class N     Gross     Net  
     
Class Y (Inception 1/28/98)1                
NAV     0.91     5.16     2.60     3.40           0.48     0.40
     
Class A (Inception 5/28/10)1                
NAV     0.78       4.79       2.34       3.14             0.72       0.65  
With 4.25% Maximum Sales Charge     -3.53       0.38       1.45       2.69              
     
Class C (Inception 8/31/16)1                
NAV     0.42       4.14       1.56       2.30             1.48       1.40  
With CDSC2     -0.57       3.14       1.56       2.30              
     
Class N (Inception 2/01/19)                
NAV     0.94       5.11                   6.17       0.42       0.35  
   
Comparative Performance                

Bloomberg Barclays U.S. Intermediate

Government/Credit Bond Index3

    2.78       6.88       2.76       3.14       7.39                  

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 im.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

As of 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 within 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.

 

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

Managers   Symbols

Daniel Conklin, CFA®

 

Class A    NEFLX

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

 

*

Effective June 30, 2020, Kurt L. Wagner will no longer serve as portfolio manager of the Fund.

 

 

Investment Goal

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

 

 

 

3  |


Average Annual Total Returns — March 31, 20203

 

             
                             Life of     Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years     Class N     Gross     Net  
     
Class Y (Inception 3/31/94)                
NAV     2.44     4.81     1.79     2.02           0.55     0.55
     
Class A (Inception 1/3/89)                
NAV     2.32       4.46       1.52       1.77             0.80       0.80  
With 2.25% Maximum Sales Charge     0.03       2.10       1.06       1.54              
     
Class C (Inception 12/30/94)                
NAV     1.94       3.68       0.76       1.01             1.55       1.55  
With CDSC1     0.94       2.68       0.76       1.01              
     
Class N (Inception 2/1/17)                
NAV     2.58       4.90                   2.70       0.48       0.46  
   
Comparative Performance                

Bloomberg Barclays U.S. 1-5 Year

Government Bond Index2

    4.11       6.85       2.25       1.99       3.17                  

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 im.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 comprised 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 Bond Index.

 

3

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

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  4


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 Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates 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 im.natixis.com; and on the Securities and Exchange Commission’s (“SEC”) 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 as an exhibit on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

 

5  |


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’ 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 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, 2019 through March 31, 2020. 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.

 

|  6


LOOMIS SAYLES INTERMEDIATE
DURATION BOND FUND
  BEGINNING
ACCOUNT VALUE
10/1/2019
    ENDING
ACCOUNT VALUE
3/31/2020
    EXPENSES PAID
DURING PERIOD*
10/1/2019 – 3/31/2020
 
Class A        
Actual     $1,000.00       $1,007.80       $3.26  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.75       $3.29  
Class C        
Actual     $1,000.00       $1,004.20       $7.01  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.00       $7.06  
Class N        
Actual     $1,000.00       $1,009.40       $1.76  
Hypothetical (5% return before expenses)     $1,000.00       $1,023.25       $1.77  
Class Y        
Actual     $1,000.00       $1,009.10       $2.01  
Hypothetical (5% return before expenses)     $1,000.00       $1,023.00       $2.02  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40%, 0.35% and 0.40% 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 (183), divided by 366 (to reflect the half-year period).

 

LOOMIS SAYLES LIMITED TERM
GOVERNMENT AND AGENCY FUND
  BEGINNING
ACCOUNT VALUE
10/1/2019
    ENDING
ACCOUNT VALUE
3/31/2020
    EXPENSES PAID
DURING PERIOD*
10/1/2019 – 3/31/2020
 
Class A        
Actual     $1,000.00       $1,023.20       $4.05  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.00       $4.04  
Class C        
Actual     $1,000.00       $1,019.40       $7.83  
Hypothetical (5% return before expenses)     $1,000.00       $1,017.25       $7.82  
Class N        
Actual     $1,000.00       $1,025.80       $2.38  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.65       $2.38  
Class Y        
Actual     $1,000.00       $1,024.40       $2.78  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.25       $2.78  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55%, 0.47% 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 (183), divided by 366 (to reflect the half-year period).

 

7  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund

 

Principal

Amount

     Description    Value (†)  
  Bonds and Notes — 98.8% of Net Assets  
       ABS Car Loan — 10.5%  
$ 845,000      American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A    $ 762,121  
  28,239      AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021      28,212  
  145,286      AmeriCredit Automobile Receivables Trust, Series 2016-3, Class C, 2.240%, 4/08/2022      143,912  
  111,924      AmeriCredit Automobile Receivables Trust, Series 2016-4, Class B, 1.830%, 12/08/2021(a)      111,873  
  69,976      AmeriCredit Automobile Receivables Trust, Series 2017-1, Class B, 2.300%, 2/18/2022      69,646  
  510,000      AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024      509,591  
  480,000      AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024      470,904  
  695,000      AmeriCredit Automobile Receivables Trust, Series 2019-3, Class A3, 2.060%, 4/18/2024      705,319  
  385,000      AmeriCredit Automobile Receivables Trust, Series 2020-1, Class A3, 1.110%, 8/19/2024      376,242  
  360,000      Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A(a)      351,591  
  100,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A      98,409  
  140,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A      132,398  
  172,964      Bank of The West Auto Trust, Series 2017-1, Class A3, 2.110%, 1/15/2023, 144A      172,281  
  450,000      Bank of The West Auto Trust, Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A      448,797  
  265,927      California Republic Auto Receivables Trust, Series 2017-1, Class A4, 2.280%, 6/15/2022(a)      264,932  
  16,603      Capital Auto Receivables Asset Trust, Series 2017-1, Class A3, 2.020%, 8/20/2021, 144A      16,572  
  565,000      Capital One Prime Auto Receivables Trust, Series 2019-2, Class A3, 1.920%, 5/15/2024      570,214  
  585,000      CarMax Auto Owner Trust, Series 2019-4, Class A2A, 2.010%, 3/15/2023      584,401  
  349,888      CarMax Auto Owner Trust, Series 2017-2, Class A3, 1.930%, 3/15/2022(a)      349,346  
  660,000      Carvana Auto Receivables Trust, Series 2019-3A, Class A3,
2.340%, 6/15/2023, 144A
     648,144  
  10,675      CIG Auto Receivables Trust, Series 2017-1A, Class A, 2.710%, 5/15/2023, 144A      10,640  
  775,000      CPS Auto Receivables Trust, Series 2018-D, Class B, 3.610%, 11/15/2022, 144A      772,351  
  145,000      CPS Auto Receivables Trust, Series 2020-A, Class B, 2.360%, 2/15/2024, 144A      139,858  
  595,000      Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A,
2.380%, 11/15/2028, 144A
     575,640  
  435,000      Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A,
2.010%, 2/15/2029, 144A
     403,377  
  585,000      Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B,
2.390%, 4/16/2029, 144A
     561,806  
  1,005,000      Drive Auto Receivables Trust, Series 2018-5, Class B, 3.680%, 7/15/2023      1,000,508  

 

See accompanying notes to financial statements.

 

|  8


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       ABS Car Loan — continued  
$ 215,000      Drive Auto Receivables Trust, Series 2019-3, Class B, 2.650%, 2/15/2024    $ 212,257  
  105,000      DT Auto Owner Trust, Series 2019-4A, Class B, 2.360%, 1/16/2024, 144A      102,791  
  60,000      DT Auto Owner Trust, Series 2018-2A, Class C, 3.670%, 3/15/2024, 144A      59,780  
  285,000      DT Auto Owner Trust, Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A      283,275  
  270,000      DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A      266,533  
  65,598      Exeter Automobile Receivables Trust, Series 2017-2A, Class B, 2.820%, 5/16/2022, 144A      65,461  
  57,638      Exeter Automobile Receivables Trust, Series 2018-2A, Class B, 3.270%, 5/16/2022, 144A      57,593  
  150,000      Exeter Automobile Receivables Trust, Series 2019-2A, Class B, 3.060%, 5/15/2023, 144A      151,709  
  170,000      Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.260%, 4/15/2024, 144A      164,001  
  1,652      First Investors Auto Owner Trust, Series 2017-1A, Class A2,
2.200%, 3/15/2022, 144A
     1,650  
  80,333      First Investors Auto Owner Trust, Series 2017-2A, Class A2,
2.270%, 7/15/2022, 144A
     80,140  
  122,798      First Investors Auto Owner Trust, Series 2018-2A, Class A1,
3.230%, 12/15/2022, 144A
     122,283  
  399,862      First Investors Auto Owner Trust, Series 2019-2A, Class A,
2.210%, 9/16/2024, 144A
     395,703  
  58,189      Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A      58,171  
  800,000      Flagship Credit Auto Trust, Series 2018-4, Class B, 3.880%, 10/16/2023, 144A      801,109  
  839,955      Flagship Credit Auto Trust, Series 2020-1, Class A, 1.900%, 8/15/2024, 144A(a)      822,226  
  915,000      Flagship Credit Auto Trust, Series 2020-1, Class B, 2.050%, 2/17/2025, 144A      864,592  
  705,000      Ford Credit Auto Owner Trust, Series 2016-2, Class A,
2.030%, 12/15/2027, 144A(a)
     704,937  
  595,000      Ford Credit Auto Owner Trust, Series 2018-1, Class A,
3.190%, 7/15/2031, 144A(a)
     651,729  
  635,000      Ford Credit Floorplan Master Owner Trust, Series 2019-1, Class A, 2.840%, 3/15/2024      627,624  
  265,000      GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A      259,686  
  401,688      GLS Auto Receivables Trust, Series 2019-2A, Class A, 3.060%, 4/17/2023, 144A      392,680  
  260,000      GLS Auto Receivables Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A      250,815  
  52,009      GM Financial Consumer Automobile Receivables Trust, Series 2017-1A, Class A3, 1.780%, 10/18/2021, 144A      51,757  
  247,454      GM Financial Consumer Automobile Receivables Trust, Series 2017-3A, Class A3, 1.970%, 5/16/2022, 144A(a)      247,390  
  450,000      GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024      451,918  
  420,000      Hyundai Auto Receivables Trust, Series 2019-B, Class A3, 1.940%, 2/15/2024      412,889  
  510,000      NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2, 2.540%, 4/18/2022, 144A(a)      509,654  
  150,000      NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A2, 2.560%, 10/17/2022, 144A      144,650  
  125,000      NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A2, 3.220%, 2/15/2023, 144A      124,286  

 

See accompanying notes to financial statements.

 

9  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       ABS Car Loan — continued  
$ 310,000      NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A2, 3.690%, 10/15/2023, 144A    $ 293,932  
  865,000      NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/18/2025, 144A(a)      831,960  
  1,045,000      Prestige Auto Receivables Trust, Series 2019-1A, Class A3,
2.450%, 5/15/2023, 144A(a)
     1,041,755  
  370,000      Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024      358,507  
  460,000      Santander Drive Auto Receivables Trust, Series 2018-5, Class C, 3.810%, 12/16/2024      454,422  
  655,000      Santander Drive Auto Receivables Trust, Series 2019-3, Class A3, 2.160%, 11/15/2022      646,503  
  225,000      Westlake Automobile Receivables Trust, Series 2019-3A, Class B, 2.410%, 10/15/2024, 144A      218,593  
  515,000      Westlake Automobile Receivables Trust, Series 2019-1A, Class B, 3.260%, 10/17/2022, 144A      492,186  
  830,000      Westlake Automobile Receivables Trust, Series 2019-2A, Class B, 2.620%, 7/15/2024, 144A      802,346  
  73,812      World Omni Auto Receivables Trust, Series 2017-B, Class A3, 1.950%, 2/15/2023      73,671  
     

 

 

 
        24,832,249  
     

 

 

 
       ABS Credit Card — 1.7%  
  620,000      American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024      638,834  
  925,000      Barclays Dryrock Issuance Trust, Series 2019-1, Class A, 1.960%, 5/15/2025(a)      915,725  
  805,000      Capital One Multi-Asset Execution Trust, Series 2017-A4, Class A4, 1.990%, 7/17/2023(a)      805,483  
  260,000      Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023      262,259  
  730,000      World Financial Network Credit Card Master Trust, Series 2017-A, Class A, 2.120%, 3/15/2024(a)      728,918  
  585,000      World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026      561,867  
     

 

 

 
        3,913,086  
     

 

 

 
       ABS Home Equity — 0.3%  
  210,281      Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A      212,960  
  13,384      Colony American Finance Ltd., Series 2015-1, Class A,
2.896%, 10/15/2047, 144A
     13,356  
  134,599      CoreVest American Finance Trust, Series 2017-1, Class A,
2.968%, 10/15/2049, 144A
     132,447  
  6,393      Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.107%, 7/25/2021(b)(c)(d)      6,091  
  4,237      Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c)(d)      4,180  
  183,433      Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 2.797%, 10/25/2027(a)(e)      178,663  

 

See accompanying notes to financial statements.

 

|  10


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       ABS Home Equity — continued  
$ 76,045      Mill City Mortgage Loan Trust, Series 2016-1, Class A1,
2.500%, 4/25/2057, 144A(d)
   $ 75,403  
  57,486      Towd Point Mortgage Trust, Series 2015-2, Class 1A12,
2.750%, 11/25/2060, 144A(d)
     57,226  
     

 

 

 
        680,326  
     

 

 

 
       ABS Other — 2.2%  
  155,838      Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A      154,290  
  73,551      John Deere Owner Trust, Series 2017-B, Class A3, 1.820%, 10/15/2021      73,282  
  178,587      Merlin Aviation Holdings DAC, Series 2016-1, Class A,
4.500%, 12/15/2032, 144A(d)
     146,614  
  3,750      OneMain Financial Issuance Trust, Series 2016-1A, Class A,
3.660%, 2/20/2029, 144A
     3,737  
  555,000      OneMain Financial Issuance Trust, Series 2018-1A, Class A,
3.300%, 3/14/2029, 144A(a)
     553,357  
  274,555      S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A      193,377  
  232,223      SCF Equipment Leasing LLC, Series 2018-1A, Class A2,
3.630%, 10/20/2024, 144A(a)
     227,911  
  51,778      Sierra Timeshare Conduit Receivables Funding LLC, Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A      51,087  
  566,511      SoFi Consumer Loan Program Trust, Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A      561,247  
  480,550      SoFi Consumer Loan Program Trust, Series 2018-4, Class A, 3.540%, 11/26/2027, 144A      475,719  
  107,708      TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A      104,046  
  39,722      TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A      39,084  
  116,667      TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A      110,190  
  2,180,000      Verizon Owner Trust, Series 2019-B, Class A1A, 2.330%, 12/20/2023(a)      2,193,312  
  345,000      Wheels SPV 2 LLC, Series 2019-1A, Class A2, 2.300%, 5/22/2028, 144A      344,765  
     

 

 

 
        5,232,018  
     

 

 

 
       ABS Student Loan — 0.9%  
  65,390      Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650%, 1/25/2041, 144A      65,156  
  276,260      Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033      288,175  
  1,455,000      Navient Student Loan Trust, Series 2020-BA, Class A1,
1.800%, 1/15/2069, 144A(a)
     1,435,618  
  88,768      North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 3-month LIBOR + 0.800%, 2.594%, 7/25/2025(e)      88,686  
  132,132      SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A      131,667  
  180,000      SoFi Professional Loan Program LLC, Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A      176,300  
  36,901      South Carolina Student Loan Corp., Series 2010-1, Class A2, 3-month LIBOR + 1.000%, 2.794%, 7/25/2025(e)      36,900  
     

 

 

 
        2,222,502  
     

 

 

 

 

See accompanying notes to financial statements.

 

11  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       ABS Whole Business — 0.2%  
$ 526,975      Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A    $ 468,734  
     

 

 

 
       Aerospace & Defense — 0.9%  
  340,000      General Dynamics Corp., 3.625%, 4/01/2030      377,986  
  80,000      Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A      82,921  
  630,000      Northrop Grumman Corp., 4.400%, 5/01/2030      731,342  
  450,000      Rolls-Royce PLC, 2.375%, 10/14/2020, 144A      445,729  
  620,000      Textron, Inc., 3.000%, 6/01/2030      579,578  
     

 

 

 
        2,217,556  
     

 

 

 
       Agency Commercial Mortgage-Backed Securities — 1.4%  
  94,797      Federal Home Loan Mortgage Corp., Series KJ28, Class A1, 1.766%, 2/25/2025      96,462  
  1,175,000      FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027      1,268,166  
  648,018      FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(a)(d)      658,865  
  509,476      FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(a)      536,952  
  701,647      FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024(a)      743,194  
     

 

 

 
        3,303,639  
     

 

 

 
       Airlines — 0.2%  
  640,000      Delta Air Lines, Inc., 2.900%, 10/28/2024      512,166  
     

 

 

 
       Automotive — 5.0%  
  795,000      American Honda Finance Corp., MTN, 2.200%, 6/27/2022      780,957  
  145,000      American Honda Finance Corp., MTN, 2.350%, 1/08/2027      136,603  
  245,000      American Honda Finance Corp., MTN, 3.625%, 10/10/2023      248,927  
  290,000      BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A      284,968  
  870,000      Daimler Finance North America LLC, 2.625%, 3/10/2030, 144A      776,300  
  1,100,000      Daimler Finance North America LLC, 3.350%, 2/22/2023, 144A      1,067,553  
  670,000      Ford Motor Credit Co. LLC, 2.979%, 8/03/2022      623,100  
  200,000      Ford Motor Credit Co. LLC, 3.810%, 1/09/2024      181,000  
  560,000      Ford Motor Credit Co. LLC, 4.271%, 1/09/2027      477,400  
  425,000      General Motors Financial Co., Inc., 2.900%, 2/26/2025      367,381  
  360,000      General Motors Financial Co., Inc., 4.150%, 6/19/2023      327,455  
  315,000      Harley-Davidson Financial Services, Inc., 3.350%, 2/15/2023, 144A      308,226  
  220,000      Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A      215,106  
  195,000      Hyundai Capital America, 2.375%, 2/10/2023, 144A      183,844  
  585,000      Hyundai Capital America, 2.750%, 9/18/2020, 144A      586,383  
  95,000      Hyundai Capital America, 3.000%, 6/20/2022, 144A      92,293  
  400,000      Hyundai Capital America, 3.000%, 2/10/2027, 144A      370,768  
  275,000      Lear Corp., 5.250%, 5/15/2049      238,689  
  600,000      Nissan Motor Acceptance Corp., 2.150%, 7/13/2020, 144A      596,459  
  585,000      Nissan Motor Acceptance Corp., 3.450%, 3/15/2023, 144A      571,534  
  955,000      PACCAR Financial Corp., MTN, 1.900%, 2/07/2023      942,202  
  160,000      PACCAR Financial Corp., MTN, 1.800%, 2/06/2025      151,603  
  295,000      Toyota Motor Credit Corp., MTN, 1.800%, 10/07/2021      292,111  

 

See accompanying notes to financial statements.

 

|  12


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Automotive — continued  
$ 870,000      Toyota Motor Credit Corp., MTN, 2.150%, 9/08/2022    $ 865,405  
  360,000      Toyota Motor Credit Corp., MTN, 2.150%, 2/13/2030      333,860  
  155,000      Toyota Motor Credit Corp., MTN, 3.375%, 4/01/2030      156,514  
  615,000      Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A      608,530  
     

 

 

 
        11,785,171  
     

 

 

 
       Banking — 21.8%  
  315,000      American Express Co., 2.200%, 10/30/2020      314,127  
  495,000      American Express Co., 3.700%, 8/03/2023      513,358  
  625,000      ANZ New Zealand International Ltd., 1.900%, 2/13/2023, 144A      628,860  
  915,000      ANZ New Zealand International Ltd., 2.200%, 7/17/2020, 144A      914,611  
  1,190,000      Australia & New Zealand Banking Group Ltd., MTN, 2.050%, 11/21/2022      1,192,129  
  395,000      Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A      384,934  
  725,000      Bank of Montreal, MTN, 2.050%, 11/01/2022      718,881  
  545,000      Bank of Montreal, MTN, 2.500%, 6/28/2024      532,597  
  1,235,000      Bank of New Zealand, 2.000%, 2/21/2025, 144A      1,208,457  
  870,000      Bank of Nova Scotia (The), 2.000%, 11/15/2022      872,134  
  950,000      Bank of Nova Scotia (The), 2.150%, 7/14/2020      949,359  
  545,000      Bank of Nova Scotia (The), 2.200%, 2/03/2025      546,910  
  450,000      Banque Federative du Credit Mutuel S.A., 2.200%, 7/20/2020, 144A      449,191  
  200,000      Banque Federative du Credit Mutuel S.A., 2.375%, 11/21/2024, 144A      195,803  
  460,000      Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A      449,695  
  485,000      Banque Federative du Credit Mutuel S.A., 3.750%, 7/20/2023, 144A      494,029  
  795,000      Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024      766,882  
  300,000      BNP Paribas S.A, (fixed rate to 1/13/2030, variable rate thereafter), 3.052%, 1/13/2031, 144A      280,525  
  510,000      BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A      503,762  
  160,000      Capital One Financial Corp., 3.750%, 3/09/2027      153,594  
  545,000      Capital One NA, 2.150%, 9/06/2022      530,362  
  215,000      Citigroup, Inc., 2.900%, 12/08/2021      216,654  
  1,000,000      Citigroup, Inc., (fixed rate to 1/24/2022, variable rate thereafter), 3.142%, 1/24/2023      1,011,781  
  940,000      Citigroup, Inc., (fixed rate to 11/04/2021, variable rate thereafter), 2.312%, 11/04/2022      936,422  
  460,000      Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031      505,392  
  250,000      Comerica Bank, 2.500%, 6/02/2020      250,014  
  225,000      Comerica, Inc., 3.700%, 7/31/2023      230,956  
  660,000      Cooperatieve Rabobank U.A. (NY), 2.750%, 1/10/2023      661,850  
  925,000      Credit Agricole S.A., 3.750%, 4/24/2023, 144A      945,223  
  405,000      Credit Suisse AG, 2.100%, 11/12/2021      403,834  
  250,000      Credit Suisse Group AG, (fixed rate to 4/01/2030, variable rate thereafter), 4.194%, 4/01/2031, 144A      256,003  
  940,000      Danske Bank A/S, 3.875%, 9/12/2023, 144A      927,769  
  215,000      Deutsche Bank AG, 3.150%, 1/22/2021      210,044  

 

See accompanying notes to financial statements.

 

13  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Banking — continued  
$ 395,000      Deutsche Bank AG, (fixed rate to 11/26/2024, variable rate thereafter), 3.961%, 11/26/2025    $ 364,111  
  865,000      DNB Bank ASA, 2.150%, 12/02/2022, 144A      854,317  
  635,000      Goldman Sachs Group, Inc. (The), 2.600%, 2/07/2030      598,842  
  570,000      Goldman Sachs Group, Inc. (The), 3.500%, 4/01/2025      582,668  
  520,000      Goldman Sachs Group, Inc. (The), (fixed rate to 10/31/2021, variable rate thereafter), 2.876%, 10/31/2022      522,402  
  520,000      HSBC Holdings PLC, (fixed rate to 9/12/2025, variable rate thereafter), 4.292%, 9/12/2026      518,883  
  890,000      JPMorgan Chase & Co., (fixed rate to 3/13/2025, variable rate thereafter), 2.005%, 3/13/2026      883,984  
  535,000      JPMorgan Chase & Co., (fixed rate to 4/1/2022, variable rate thereafter), 3.207%, 4/01/2023      544,210  
  770,000      KeyCorp, MTN, 2.250%, 4/06/2027      714,837  
  665,000      Lloyds Bank PLC, 2.250%, 8/14/2022      663,803  
  495,000      Lloyds Banking Group PLC, 4.050%, 8/16/2023      510,120  
  1,195,000      Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A      1,183,529  
  835,000      Macquarie Bank Ltd., 2.300%, 1/22/2025, 144A      820,505  
  805,000      Mitsubishi UFJ Financial Group, Inc., 2.193%, 2/25/2025      800,796  
  455,000      Morgan Stanley, (fixed rate to 4/01/2030, variable rate thereafter), MTN, 3.622%, 4/01/2031      475,903  
  930,000      National Australia Bank Ltd., 3.700%, 11/04/2021      945,243  
  625,000      National Bank of Canada, 2.150%, 10/07/2022, 144A      619,424  
  1,135,000      National Bank of Canada, 2.200%, 11/02/2020      1,132,526  
  620,000      Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A      600,421  
  1,020,000      NatWest Markets PLC, 3.625%, 9/29/2022, 144A      1,007,898  
  1,055,000      Nordea Bank ABP, 2.125%, 5/29/2020, 144A      1,053,871  
  315,000      Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032      305,015  
  305,000      PNC Financial Services Group, Inc. (The), 2.600%, 7/23/2026      307,982  
  870,000      Santander Holdings USA, Inc., 3.244%, 10/05/2026      771,060  
  120,000      Santander Holdings USA, Inc., 3.500%, 6/07/2024      117,125  
  350,000      Santander UK PLC, 2.125%, 11/03/2020      347,990  
  715,000      Santander UK PLC, 2.500%, 1/05/2021      695,726  
  580,000      Santander UK PLC, 2.875%, 6/18/2024      578,940  
  840,000      Societe Generale S.A., 2.625%, 10/16/2024, 144A      809,180  
  395,000      Societe Generale S.A., 2.625%, 1/22/2025, 144A      380,259  
  820,000      Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A      776,914  
  530,000      Standard Chartered PLC, (fixed rate to 5/21/2024, variable rate thereafter), 3.785%, 5/21/2025, 144A      521,207  
  245,000      State Street Corp., (fixed rate to 3/30/2025, variable rate thereafter), 2.901%, 3/30/2026, 144A      250,787  
  305,000      State Street Corp., (fixed rate to 5/15/2022, variable rate thereafter), 2.653%, 5/15/2023      300,579  
  545,000      Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024      544,587  

 

See accompanying notes to financial statements.

 

|  14


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Banking — continued  
$ 380,000      Sumitomo Mitsui Financial Group, Inc., 2.750%, 1/15/2030    $ 370,825  
  235,000      Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022      234,261  
  515,000      Svenska Handelsbanken AB, 3.900%, 11/20/2023      535,055  
  1,140,000      Synchrony Bank, 3.650%, 5/24/2021      1,121,786  
  75,000      Synchrony Financial, 4.250%, 8/15/2024      72,200  
  700,000      Toronto-Dominion Bank (The), MTN, 1.900%, 12/01/2022      698,846  
  1,065,000      Toronto-Dominion Bank (The), MTN, 3.250%, 6/11/2021      1,087,009  
  890,000      Truist Bank, 1.500%, 3/10/2025      860,096  
  340,000      Truist Financial Corp., MTN, 2.500%, 8/01/2024      335,304  
  1,015,000      Truist Financial Corp., MTN, 3.050%, 6/20/2022      1,035,489  
  1,150,000      UBS AG, 2.200%, 6/08/2020, 144A      1,149,022  
  665,000      UniCredit SpA, 3.750%, 4/12/2022, 144A      659,466  
  425,000      Wells Fargo & Co., (fixed rate to 10/30/2029, variable rate thereafter), MTN, 2.879%, 10/30/2030      420,960  
  1,030,000      Wells Fargo Bank NA, 3.625%, 10/22/2021      1,058,214  
  220,000      Westpac Banking Corp., 2.650%, 1/16/2030      219,192  
  195,000      Westpac Banking Corp., 2.800%, 1/11/2022      196,873  
     

 

 

 
        51,316,384  
     

 

 

 
       Brokerage — 0.9%  
  415,000      Ameriprise Financial, Inc., 3.000%, 3/22/2022      420,193  
  495,000      BlackRock, Inc., 2.400%, 4/30/2030      493,175  
  625,000      Brookfield Finance LLC, 3.450%, 4/15/2050      499,348  
  640,000      Charles Schwab Corp. (The), 4.625%, 3/22/2030      704,870  
     

 

 

 
        2,117,586  
     

 

 

 
       Building Materials — 0.4%  
  107,000      Fortune Brands Home & Security, Inc., 3.000%, 6/15/2020      106,775  
  600,000      Martin Marietta Materials, Inc., 3-month LIBOR + 0.650%, 2.333%, 5/22/2020(e)      595,707  
  320,000      Martin Marietta Materials, Inc., Series CB, 2.500%, 3/15/2030      289,673  
  40,000      Masco Corp., 3.500%, 4/01/2021      39,631  
     

 

 

 
        1,031,786  
     

 

 

 
       Cable Satellite — 0.2%  
  450,000      Comcast Corp., 3.400%, 4/01/2030      487,755  
     

 

 

 
       Chemicals — 0.5%  
  360,000      Cabot Corp., 4.000%, 7/01/2029      361,116  
  255,000      DuPont de Nemours, Inc., 3.766%, 11/15/2020      255,800  
  9,000      Eastman Chemical Co., 4.500%, 1/15/2021      8,892  
  140,000      Ecolab, Inc., 4.800%, 3/24/2030      157,260  
  315,000      Sherwin Williams Co. (The), 2.300%, 5/15/2030      293,374  
     

 

 

 
        1,076,442  
     

 

 

 
       Collateralized Mortgage Obligations — 3.2%  
  579,039      Government National Mortgage Association, Series 2010-H02, Class FA, 1-month LIBOR + 0.680%, 2.293%, 2/20/2060(e)      582,509  
  295,502      Government National Mortgage Association, Series 2010-H03, Class FA, 1-month LIBOR + 0.550%, 2.163%, 3/20/2060(e)      292,668  

 

See accompanying notes to financial statements.

 

15  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Collateralized Mortgage Obligations — continued  
$ 163,591      Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 2.234%, 7/20/2064(e)    $ 160,968  
  120,405      Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 2.162%, 7/20/2064(e)      118,191  
  11,812      Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(b)(c)      11,743  
  292,971      Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065(a)      297,889  
  493,417      Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 2.582%, 2/20/2066(a)(e)      490,621  
  308,391      Government National Mortgage Association, Series 2016-H10, Class FJ, 1-month LIBOR + 0.600%, 2.262%, 4/20/2066(a)(e)      308,758  
  2,009,414      Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(a)(d)      2,271,059  
  394,151      Government National Mortgage Association, Series 2019-H01, Class FL, 1-month LIBOR + 0.450%, 2.112%, 12/20/2068(e)      393,850  
  1,360,857      Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 2.062%, 10/20/2068(a)(e)      1,345,714  
  1,233,013      Government National Mortgage Association, Series 2019-H10, Class FM, 1-month LIBOR + 0.400%, 2.062%, 5/20/2069(a)(e)      1,232,888  
     

 

 

 
        7,506,858  
     

 

 

 
       Construction Machinery — 0.6%  
  300,000      Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021      305,501  
  500,000      Caterpillar Financial Services Corp., MTN, 3.650%, 12/07/2023      529,980  
  265,000      Caterpillar Financial Services Corp., Series I, 2.650%, 5/17/2021      267,495  
  140,000      John Deere Capital Corp., MTN, 1.750%, 3/09/2027      134,581  
  110,000      John Deere Capital Corp., MTN, 2.600%, 3/07/2024      110,652  
  174,000      John Deere Capital Corp., Series 0014, 2.450%, 9/11/2020      173,569  
     

 

 

 
        1,521,778  
     

 

 

 
       Consumer Cyclical Services — 1.1%  
  670,000      eBay, Inc., 1.900%, 3/11/2025      632,751  
  620,000      Mastercard, Inc., 2.000%, 3/03/2025      650,677  
  245,000      Mastercard, Inc., 3.350%, 3/26/2030      271,320  
  455,000      Visa, Inc., 2.050%, 4/15/2030      454,340  
  495,000      Western Union Co. (The), 4.250%, 6/09/2023      525,911  
     

 

 

 
        2,534,999  
     

 

 

 
       Consumer Products — 0.3%  
  420,000      Hasbro, Inc., 3.550%, 11/19/2026      400,672  
  175,000      Kimberly-Clark Corp., 3.100%, 3/26/2030      189,318  
     

 

 

 
        589,990  
     

 

 

 
       Diversified Manufacturing — 1.5%  
  550,000      Carrier Global Corp., 2.242%, 2/15/2025, 144A      534,290  
  455,000      Kennametal, Inc., 4.625%, 6/15/2028      459,625  
  615,000      Otis Worldwide Corp., 2.056%, 4/05/2025, 144A      601,062  
  620,000      Otis Worldwide Corp., 2.565%, 2/15/2030, 144A      602,576  

 

See accompanying notes to financial statements.

 

|  16


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Diversified Manufacturing — continued  
$ 265,000      Timken Co. (The), 4.500%, 12/15/2028    $ 296,354  
  100,000      United Technologies Corp., 3.650%, 8/16/2023      105,151  
  175,000      Westinghouse Air Brake Technologies Corp., 3-month LIBOR + 1.300%, 2.041%, 9/15/2021(e)      169,868  
  820,000      WW Grainger, Inc., 1.850%, 2/15/2025      820,766  
     

 

 

 
        3,589,692  
     

 

 

 
       Electric — 5.2%  
  720,000      Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A      725,637  
  290,000      American Electric Power Co., Inc., 2.300%, 3/01/2030      270,413  
  495,000      Berkshire Hathaway Energy Co., 3.700%, 7/15/2030, 144A      530,574  
  270,000      Consolidated Edison Co. of New York, Inc., Series 20A, 3.350%, 4/01/2030      277,846  
  120,000      Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026      121,322  
  225,000      Dominion Energy, Inc., 3.071%, 8/15/2024      224,305  
  625,000      Dominion Energy, Inc., Series B, 3.600%, 3/15/2027      635,528  
  480,000      DTE Electric Co., 2.250%, 3/01/2030      463,787  
  270,000      DTE Energy Co., 2.250%, 11/01/2022      266,814  
  1,135,000      Duke Energy Carolinas LLC, 3.050%, 3/15/2023      1,162,177  
  451,000      Exelon Corp., 2.450%, 4/15/2021      447,056  
  115,000      Exelon Corp., 4.050%, 4/15/2030      116,150  
  116,000      Exelon Generation Co. LLC, 4.250%, 6/15/2022      116,042  
  280,000      Florida Power & Light Co., 2.850%, 4/01/2025      291,928  
  188,000      National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043      187,195  
  830,000      NextEra Energy Capital Holdings, Inc., 2.403%, 9/01/2021      829,267  
  75,000      Ohio Power Co., Series P, 2.600%, 4/01/2030      72,838  
  195,000      Oklahoma Gas & Electric Co., 3.250%, 4/01/2030      195,205  
  1,115,000      PNM Resources, Inc., 3.250%, 3/09/2021      1,122,057  
  370,000      PSEG Power LLC, 3.850%, 6/01/2023      376,420  
  235,000      Public Service Enterprise Group, Inc., 2.875%, 6/15/2024      234,263  
  360,000      Southern California Edison Co., 2.250%, 6/01/2030      325,030  
  273,000      Southern Co. (The), 2.750%, 6/15/2020      273,236  
  720,000      Southern Power Co., Series E, 2.500%, 12/15/2021      708,195  
  635,000      Union Electric Co., 2.950%, 3/15/2030      654,272  
  600,000      Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A      563,902  
  1,030,000      Wisconsin Public Service Corp., 3.350%, 11/21/2021      1,035,295  
  75,000      Xcel Energy, Inc., 3.400%, 6/01/2030      75,960  
     

 

 

 
        12,302,714  
     

 

 

 
       Finance Companies — 1.1%  
  310,000      Air Lease Corp., 3.250%, 10/01/2029      248,323  
  1,190,000      Ares Capital Corp., 3.250%, 7/15/2025      944,454  
  305,000      Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A      285,016  
  225,000      Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A      203,076  
  375,000      Avolon Holdings Funding Ltd., 3.625%, 5/01/2022, 144A      332,423  
  615,000      FS KKR Capital Corp., 4.125%, 2/01/2025      500,114  
  150,000      Oaktree Specialty Lending Corp., 3.500%, 2/25/2025      134,540  
     

 

 

 
        2,647,946  
     

 

 

 

 

See accompanying notes to financial statements.

 

17  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Financial Other — 0.4%  
$ 470,000      LeasePlan Corp NV, 2.875%, 10/24/2024, 144A    $ 460,401  
  410,000      Mitsubishi UFJ Lease & Finance Co. Ltd., 2.652%, 9/19/2022, 144A      398,651  
  185,000      ORIX Corp., 3.250%, 12/04/2024      193,441  
     

 

 

 
        1,052,493  
     

 

 

 
       Food & Beverage — 1.6%  
  835,000      Bacardi Ltd., 4.700%, 5/15/2028, 144A      892,102  
  120,000      Brown-Forman Corp., 3.500%, 4/15/2025      127,907  
  525,000      Bunge Ltd. Finance Corp., 4.350%, 3/15/2024      513,398  
  1,095,000      General Mills, Inc., 2.600%, 10/12/2022      1,103,226  
  260,000      General Mills, Inc., 2.875%, 4/15/2030      259,480  
  90,000      Kraft Heinz Foods Co., 3.000%, 6/01/2026      87,442  
  390,000      PepsiCo, Inc., 2.625%, 3/19/2027      409,401  
  140,000      Smithfield Foods, Inc., 3.350%, 2/01/2022, 144A      136,187  
  215,000      Sysco Corp., 2.400%, 2/15/2030      176,424  
     

 

 

 
        3,705,567  
     

 

 

 
       Health Insurance — 0.2%  
  220,000      Centene Corp., 3.375%, 2/15/2030, 144A      204,600  
  310,000      Humana, Inc., 2.500%, 12/15/2020      308,611  
     

 

 

 
        513,211  
     

 

 

 
       Healthcare — 1.2%  
  180,000      Baxter International, Inc., 3.950%, 4/01/2030, 144A      192,995  
  210,000      Cigna Corp., 2.400%, 3/15/2030      198,898  
  419,000      Cigna Corp., 3.750%, 7/15/2023      430,786  
  95,000      Cigna Corp., 4.500%, 2/25/2026, 144A      102,422  
  420,000      CVS Health Corp., 4.300%, 3/25/2028      449,250  
  510,000      DH Europe Finance II S.a.r.l., 2.200%, 11/15/2024      495,430  
  165,000      Quest Diagnostics, Inc., 2.950%, 6/30/2030      161,752  
  85,000      Thermo Fisher Scientific, Inc., 4.497%, 3/25/2030      95,552  
  635,000      Zimmer Biomet Holdings, Inc., 3.550%, 3/20/2030      632,614  
     

 

 

 
        2,759,699  
     

 

 

 
       Hybrid ARMs — 0.1%  
  37,052      FHLMC, 1-year CMT + 2.257%, 4.384%, 1/01/2035(e)      37,360  
  84,639      FHLMC, 1-year CMT + 2.500%, 4.678%, 5/01/2036(e)      86,152  
     

 

 

 
        123,512  
     

 

 

 
       Independent Energy — 0.1%  
  400,000      Aker BP ASA, 3.750%, 1/15/2030, 144A      299,075  
     

 

 

 
       Integrated Energy — 0.3%  
  635,000      Exxon Mobil Corp., 3.482%, 3/19/2030      701,316  
     

 

 

 
       Life Insurance — 2.2%  
  85,000      AIG Global Funding, 2.150%, 7/02/2020, 144A      84,630  
  615,000      Athene Global Funding, 2.500%, 1/14/2025, 144A      579,304  
  380,000      Athene Global Funding, 2.750%, 4/20/2020, 144A      379,172  
  330,000      Brighthouse Financial, Inc., 3.700%, 6/22/2027      286,104  
  405,000      Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A      355,710  

 

See accompanying notes to financial statements.

 

|  18


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Life Insurance — continued  
$ 155,000      Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A    $ 167,387  
  505,000      Metropolitan Life Global Funding I, 2.400%, 6/17/2022, 144A      508,459  
  1,070,000      New York Life Global Funding, 2.875%, 4/10/2024, 144A(a)      1,098,772  
  915,000      New York Life Global Funding, 2.950%, 1/28/2021, 144A(a)      933,441  
  565,000      Reliance Standard Life Global Funding II, 3.850%, 9/19/2023, 144A      607,498  
  63,000      Unum Group, 5.625%, 9/15/2020      63,141  
     

 

 

 
        5,063,618  
     

 

 

 
       Lodging — 0.4%  
  590,000      Marriott International, Inc., 2.125%, 10/03/2022      531,017  
  350,000      Marriott International, Inc., Series Z, 4.150%, 12/01/2023      320,640  
     

 

 

 
        851,657  
     

 

 

 
       Media Entertainment — 0.4%  
  95,000      Activision Blizzard, Inc., 2.300%, 9/15/2021      95,672  
  90,000      Fox Corp., 3.500%, 4/08/2030      89,819  
  130,000      Interpublic Group of Cos., Inc. (The), 3.500%, 10/01/2020      128,026  
  425,000      ViacomCBS, Inc., 2.900%, 6/01/2023      397,958  
  345,000      ViacomCBS, Inc., 4.950%, 1/15/2031      339,561  
     

 

 

 
        1,051,036  
     

 

 

 
       Metals & Mining — 0.2%  
  140,000      ArcelorMittal S.A., 3.600%, 7/16/2024      127,607  
  155,000      Glencore Funding LLC, 4.125%, 3/12/2024, 144A      142,486  
  330,000      Newmont Corp., 2.250%, 10/01/2030      306,622  
     

 

 

 
        576,715  
     

 

 

 
       Midstream — 1.0%  
  195,000      Cameron LNG LLC, 3.302%, 1/15/2035, 144A      168,763  
  25,000      Energy Transfer Operating LP, 4.250%, 3/15/2023      22,637  
  440,000      Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A      422,784  
  1,130,000      MPLX LP, 3-month LIBOR + 0.900%, 1.899%, 9/09/2021(e)      1,067,777  
  885,000      ONEOK, Inc., 3.100%, 3/15/2030      664,202  
     

 

 

 
        2,346,163  
     

 

 

 
       Mortgage Related — 2.0%  
  2,309      FHLMC, 3.000%, 10/01/2026      2,420  
  199      FHLMC, 6.500%, 1/01/2024      221  
  46      FHLMC, 8.000%, 7/01/2025      50  
  23      FNMA, 6.000%, 9/01/2021      24  
  19,815      GNMA, 3.971%, 5/20/2062(d)      19,835  
  81,795      GNMA, 4.053%, 2/20/2063(d)      82,389  
  15,898      GNMA, 4.054%, 5/20/2062(d)      16,249  
  27,486      GNMA, 4.200%, 10/20/2062(d)      27,841  
  67,444      GNMA, 4.257%, 4/20/2063(d)      67,748  
  75,810      GNMA, 4.268%, 2/20/2063(a)(d)      76,050  
  47,085      GNMA, 4.323%, 11/20/2064(d)      47,614  
  105,185      GNMA, 4.398%, 4/20/2063(a)(d)      106,193  
  61,828      GNMA, 4.405%, 6/20/2066(d)      65,789  
  227,128      GNMA, 4.431%, 10/20/2066(d)      243,913  

 

See accompanying notes to financial statements.

 

19  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Mortgage Related — continued  
$ 106,215      GNMA, 4.437%, 9/20/2066(d)    $ 113,616  
  60,995      GNMA, 4.444%, 11/20/2066(d)      64,992  
  48,194      GNMA, 4.460%, 2/20/2063(d)      48,306  
  64,410      GNMA, 4.494%, 8/20/2066(d)      68,605  
  112,640      GNMA, 4.499%, 11/20/2066(d)      120,715  
  46,987      GNMA, 4.500%, 3/20/2063(d)      47,130  
  184,406      GNMA, 4.520%, 9/20/2066(d)      198,578  
  83,781      GNMA, 4.521%, 10/20/2066(d)      90,318  
  1,175,339      GNMA, 4.530%, with various maturities from 2066 to 2067(a)(d)(f)      1,270,007  
  457,180      GNMA, 4.545%, 7/20/2067(a)(d)      496,910  
  856,508      GNMA, 4.586%, 1/20/2067(a)(d)      929,890  
  2,125      GNMA, 4.630%, 7/20/2062(d)      2,194  
  389,140      GNMA, 4.685%, 5/20/2064(a)(d)      408,089  
  690      GNMA, 4.700%, 8/20/2061(d)      733  
  657      GNMA, 6.500%, 12/15/2023      721  
     

 

 

 
        4,617,140  
     

 

 

 
       Non-Agency Commercial Mortgage-Backed Securities — 6.5%  
  230,000      BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062      238,743  
  270,000      BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063      273,066  
  565,000      Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050(a)      573,260  
  285,000      Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053      291,270  
  491,600      CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048(a)      516,295  
  361,996      CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058      370,220  
  992,138      Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049(a)      1,016,252  
  540,000      Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072      560,995  
  263,676      Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(d)      273,694  
  535,000      Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A(a)      524,037  
  26,544      Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047      26,519  
  68,558      Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047      68,453  
  169,962      Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047      174,757  
  478,193      Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047(a)      489,881  
  280,000      Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047      291,041  
  280,000      Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048      287,238  

 

See accompanying notes to financial statements.

 

|  20


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Non-Agency Commercial Mortgage-Backed Securities — continued  
$ 520,299      Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049(a)    $ 545,189  
  640,000      Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(a)      632,583  
  84,913      CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048      88,744  
  470,000      CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052      472,681  
  340,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.549%, 3/05/2033, 144A(d)      329,861  
  330,000      GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047      348,283  
  245,000      GS Mortgage Securities Trust, Series 2020-GC45, Class AS, 2.911%, 2/13/2053      252,690  
  180,000      Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A      176,980  
  355,000      Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A      352,678  
  850,000      JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class A4, 3.057%, 11/13/2052      881,954  
  93,011      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047      95,101  
  19,706      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP5, Class A1, 2.086%, 3/15/2050      19,661  
  575,000      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052(a)      597,479  
  240,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.083%, 7/15/2046(d)      252,777  
  111,476      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047      111,926  
  129,604      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048      135,285  
  550,000      Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053      552,352  
  194,995      Starwood Retail Property Trust, Series 2014-STAR, Class A, 1-month LIBOR + 1.470%, 2.175%, 11/15/2027, 144A(e)      182,003  
  505,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A(a)      503,969  
  565,000      UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046(a)      574,709  
  201,109      Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059      207,134  
  1,295,000      Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class A2, 3.118%, 1/15/2060(a)      1,314,216  
  152,101      WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A3, 3.660%, 3/15/2047      152,940  
  325,000      WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047      344,712  
  291,031      WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047(a)      298,652  
     

 

 

 
        15,400,280  
     

 

 

 

 

See accompanying notes to financial statements.

 

21  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Oil Field Services — 0.8%  
$ 980,000      Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., 2.773%, 12/15/2022    $ 933,082  
  725,000      Halliburton Co., 2.920%, 3/01/2030      560,181  
  375,000      National Oilwell Varco, Inc., 3.600%, 12/01/2029      279,944  
     

 

 

 
        1,773,207  
     

 

 

 
       Packaging — 0.1%  
  165,000      Avery Dennison Corp., 2.650%, 4/30/2030      153,820  
     

 

 

 
       Pharmaceuticals — 1.3%  
  315,000      AbbVie, Inc., 2.950%, 11/21/2026, 144A      316,445  
  305,000      AbbVie, Inc., 3.600%, 5/14/2025      320,070  
  480,000      Amgen, Inc., 2.450%, 2/21/2030      472,100  
  235,000      Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A      235,956  
  845,000      Novartis Capital Corp., 2.200%, 8/14/2030      864,941  
  365,000      Pfizer, Inc., 2.625%, 4/01/2030      383,784  
  525,000      Pfizer, Inc., 3.200%, 9/15/2023      552,792  
     

 

 

 
        3,146,088  
     

 

 

 
       Property & Casualty Insurance — 0.6%  
  645,000      American Financial Group, Inc., 3.500%, 8/15/2026      613,829  
  180,000      Assurant, Inc., 4.200%, 9/27/2023      191,227  
  245,000      Berkshire Hathaway Finance Corp., 1.850%, 3/12/2030      237,845  
  275,000      Progressive Corp. (The), 3.200%, 3/26/2030      297,331  
     

 

 

 
        1,340,232  
     

 

 

 
       Railroads — 0.3%  
  65,000      Canadian Pacific Railway Co., 2.050%, 3/05/2030      60,426  
  350,000      Union Pacific Corp., 2.400%, 2/05/2030      339,983  
  215,000      Union Pacific Corp., 3.646%, 2/15/2024      223,963  
     

 

 

 
        624,372  
     

 

 

 
       REITs – Apartments — 0.1%  
  210,000      Essex Portfolio LP, 2.650%, 3/15/2032      186,324  
     

 

 

 
       REITs – Health Care — 0.5%  
  505,000      Healthpeak Properties, Inc., 3.000%, 1/15/2030      481,475  
  615,000      Omega Healthcare Investors, Inc., 4.500%, 1/15/2025      595,808  
     

 

 

 
        1,077,283  
     

 

 

 
       REITs – Hotels — 0.1%  
  350,000      Host Hotels & Resorts LP, Series H, 3.375%, 12/15/2029      294,820  
     

 

 

 
       REITs – Office Property — 0.3%  
  310,000      Alexandria Real Estate Equities, Inc., 4.900%, 12/15/2030      336,394  
  290,000      Office Properties Income Trust, 4.250%, 5/15/2024      286,151  
     

 

 

 
        622,545  
     

 

 

 
       REITs – Warehouse/Industrials — 0.0%  
  115,000      Prologis LP, 2.125%, 4/15/2027      109,346  
     

 

 

 
       Restaurants — 1.0%  
  190,000      McDonald’s Corp., MTN, 2.125%, 3/01/2030      175,524  
  1,280,000      McDonald’s Corp., MTN, 2.625%, 1/15/2022      1,290,293  

 

See accompanying notes to financial statements.

 

|  22


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Restaurants — continued  
$ 420,000      McDonald’s Corp., MTN, 3.350%, 4/01/2023    $ 433,901  
  110,000      McDonald’s Corp., MTN, 3.600%, 7/01/2030      115,492  
  365,000      Starbucks Corp., 2.250%, 3/12/2030      343,346  
     

 

 

 
        2,358,556  
     

 

 

 
       Retailers — 1.7%  
  345,000      AutoNation, Inc., 3.500%, 11/15/2024      335,428  
  290,000      AutoNation, Inc., 4.500%, 10/01/2025      278,560  
  385,000      Best Buy Co., Inc., 4.450%, 10/01/2028      390,562  
  475,000      Home Depot, Inc. (The), 2.500%, 4/15/2027      478,727  
  270,000      Home Depot, Inc.(The), 2.950%, 6/15/2029      279,871  
  170,000      Lowe’s Cos., Inc., 4.500%, 4/15/2030      187,344  
  455,000      NIKE, Inc., 2.850%, 3/27/2030      480,746  
  850,000      Seven & i Holdings Co. Ltd., 3.350%, 9/17/2021, 144A      862,723  
  270,000      Target Corp., 2.350%, 2/15/2030      269,734  
  460,000      TJX Cos., Inc. (The), 3.875%, 4/15/2030      474,916  
     

 

 

 
        4,038,611  
     

 

 

 
       Technology — 2.7%  
  135,000      Amphenol Corp., 2.050%, 3/01/2025      127,643  
  470,000      Flex Ltd., 4.875%, 6/15/2029      440,718  
  450,000      Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022      458,088  
  1,145,000      Hewlett Packard Enterprise Co., 3-month LIBOR + 0.680%, 1.464%, 3/12/2021(e)      1,107,882  
  445,000      Intel Corp., 2.450%, 11/15/2029      455,767  
  640,000      Intel Corp., 3.900%, 3/25/2030      730,104  
  530,000      International Business Machines Corp., 2.850%, 5/13/2022      543,534  
  89,000      Jabil, Inc., 5.625%, 12/15/2020      88,836  
  175,000      Marvell Technology Group Ltd., 4.200%, 6/22/2023      178,915  
  140,000      Microchip Technology, Inc., 3.922%, 6/01/2021      136,414  
  350,000      NVIDIA Corp., 2.850%, 4/01/2030      365,266  
  460,000      Oracle Corp., 2.950%, 4/01/2030      463,167  
  565,000      Panasonic Corp., 2.536%, 7/19/2022, 144A      554,806  
  205,000      Seagate HDD Cayman, 4.875%, 3/01/2024      204,263  
  325,000      Texas Instruments, Inc., 1.375%, 3/12/2025      322,512  
  130,000      Texas Instruments, Inc., 2.250%, 9/04/2029      129,870  
     

 

 

 
        6,307,785  
     

 

 

 
       Tobacco — 0.4%  
  565,000      BAT Capital Corp., 3.215%, 9/06/2026      537,249  
  460,000      BAT Capital Corp., 4.700%, 4/02/2027      467,436  
     

 

 

 
        1,004,685  
     

 

 

 
       Transportation Services — 1.1%  
  695,000      Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A      717,807  
  135,000      Penske Truck Leasing Co. LP/PTL Finance Corp., 4.450%, 1/29/2026, 144A      149,732  
  320,000      Ryder System, Inc., MTN, 3.750%, 6/09/2023      321,209  
  275,000      Ryder System, Inc., MTN, 3.875%, 12/01/2023      280,448  
  430,000      TTX Co., 2.600%, 6/15/2020, 144A      428,724  
  620,000      United Parcel Service, Inc., 4.450%, 4/01/2030      701,592  
     

 

 

 
        2,599,512  
     

 

 

 

 

See accompanying notes to financial statements.

 

23  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal

Amount

     Description    Value (†)  
       Treasuries — 10.5%  
$ 1,245,000      U.S. Treasury Note, 1.125%, 2/28/2021    $ 1,256,672  
  2,800,000      U.S. Treasury Note, 1.250%, 8/31/2024      2,910,578  
  2,165,000      U.S. Treasury Note, 1.500%, 9/30/2024      2,274,941  
  2,495,000      U.S. Treasury Note, 1.500%, 10/31/2024      2,623,941  
  14,805,000      U.S. Treasury Note, 1.750%, 12/31/2024      15,763,855  
     

 

 

 
        24,829,987  
     

 

 

 
       Wireless — 0.1%  
  200,000      SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A      211,078  
     

 

 

 
       Wirelines — 0.5%  
  320,000      British Telecommunications PLC, 3.250%, 11/08/2029, 144A      311,130  
  205,000      British Telecommunications PLC, 4.500%, 12/04/2023      213,789  
  515,000      Verizon Communications, Inc., 3.150%, 3/22/2030      554,734  
     

 

 

 
        1,079,653  
     

 

 

 
   Total Bonds and Notes
(Identified Cost $233,837,641)
     232,710,763  
     

 

 

 
     
  Short-Term Investments — 1.3%  
  3,145,864      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $3,145,864 on 4/01/2020 collateralized by $3,055,000 U.S. Treasury Inflation Indexed Note, 0.625% due 4/15/2023 valued at $3,213,814 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,145,864)      3,145,864  
     

 

 

 
     
   Total Investments — 100.1%
(Identified Cost $236,983,505)
     235,856,627  
   Other assets less liabilities — (0.1)%      (253,377
     

 

 

 
   Net Assets — 100.0%    $ 235,603,250  
     

 

 

 
     
  (†)      See Note 2 of Notes to Financial Statements.

 

  (a)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

  (b)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

  (c)      Fair valued by the Fund’s adviser. At March 31, 2020, the value of these securities amounted to $22,014 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.

 

  (d)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of March 31, 2020 is disclosed.

 

  (e)      Variable rate security. Rate as of March 31, 2020 is disclosed.

 

  (f)      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.

 

 

See accompanying notes to financial statements.

 

|  24


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Intermediate Duration Bond 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, 2020, the value of Rule 144A holdings amounted to $65,663,832 or 27.9% of net assets.

 

     
  ABS      Asset-Backed Securities

 

  ARMs      Adjustable Rate Mortgages

 

  CMT      Constant Maturity Treasury

 

  FHLMC      Federal Home Loan Mortgage Corp.

 

  FNMA      Federal National Mortgage Association

 

  GNMA      Government National Mortgage Association

 

  LIBOR      London Interbank Offered Rate

 

  MTN      Medium Term Note

 

  REITs      Real Estate Investment Trusts

 

At March 31, 2020, open long futures contracts were as follows:

 

Financial Futures    Expiration
Date
     Contracts    Notional
Amount
     Value      Unrealized
Appreciation
(Depreciation)
 
5 Year U.S. Treasury Note      6/30/2020      174    $ 21,157,535      $ 21,812,531      $ 654,996  
              

 

 

 

At March 31, 2020, open short futures contracts were as follows:

 

Financial Futures    Expiration
Date
     Contracts    Notional
Amount
     Value      Unrealized
Appreciation
(Depreciation)
 
Ultra 10 Year U.S. Treasury Note      6/19/2020      20    $ 3,111,210      $ 3,120,625      $ (9,415
              

 

 

 

Industry Summary at March 31, 2020 (Unaudited)

 

Banking

     21.8

ABS Car Loan

     10.5  

Treasuries

     10.5  

Non-Agency Commercial Mortgage-Backed Securities

     6.5  

Electric

     5.2  

Automotive

     5.0  

Collateralized Mortgage Obligations

     3.2  

Technology

     2.7  

ABS Other

     2.2  

Life Insurance

     2.2  

Mortgage Related

     2.0  

Other Investments, less than 2% each

     27.0  

Short-Term Investments

     1.3  
  

 

 

 

Total Investments

     100.1  

Other assets less liabilities (including futures contracts)

     (0.1
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

 

Principal
Amount
     Description    Value (†)  
  Bonds and Notes — 89.1% of Net Assets  
       ABS Car Loan — 1.3%  
$ 1,550,000      Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A,
2.990%, 6/20/2022, 144A
   $ 1,513,796  
  840,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A,
3.450%, 3/20/2023, 144A
     826,639  
  1,103,166      CPS Auto Receivables Trust, Series 2019-C, Class A,
2.550%, 9/15/2022, 144A
     1,094,981  
  1,955,000      Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A,
2.380%, 11/15/2028, 144A
     1,891,388  
  809,060      Exeter Automobile Receivables Trust, Series 2019-3A, Class A,
2.590%, 9/15/2022, 144A
     804,047  
  425,408      First Investors Auto Owner Trust, Series 2018-2A, Class A1,
3.230%, 12/15/2022, 144A
     423,623  
  2,090,000      Foursight Capital Automobile Receivables Trust, Series 2018-2, Class A3,
3.640%, 5/15/2023, 144A
     2,075,141  
  1,495,000      NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2,
2.540%, 4/18/2022, 144A
     1,493,985  
  685,000      NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A2,
2.560%, 10/17/2022, 144A
     660,567  
  765,000      World Omni Auto Receivables Trust, Series 2019-B, Class A3,
2.590%, 7/15/2024
     769,154  
     

 

 

 
        11,553,321  
     

 

 

 
       ABS Home Equity — 0.1%  
  780,674      CoreVest American Finance Trust, Series 2017-1, Class A,
2.968%, 10/15/2049, 144A
     768,193  
  525,425      Towd Point Mortgage Trust, Series 2015-2, Class 1A12,
2.750%, 11/25/2060, 144A(a)
     523,047  
     

 

 

 
        1,291,240  
     

 

 

 
       ABS Other — 0.6%  
  586,685      Diamond Resorts Owner Trust, Series 2018-1, Class A,
3.700%, 1/21/2031, 144A
     580,855  
  825,000     

Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class A,

1-month LIBOR + 0.630%, 1.577%, 9/25/2023, 144A(b)

     800,231  
  1,668,097      SoFi Consumer Loan Program Trust, Series 2018-4, Class A,
3.540%, 11/26/2027, 144A
     1,651,328  
  2,000,061      Welk Resorts LLC, Series 2019-AA, Class A,
2.800%, 6/15/2038, 144A
     1,943,863  
     

 

 

 
        4,976,277  
     

 

 

 
       ABS Student Loan — 0.5%  
  4,000,000      Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2,
2.600%, 8/15/2068, 144A
     4,041,879  
  66,735      SoFi Professional Loan Program LLC, Series 2016-D, Class A1,
1-month LIBOR + 0.950%, 1.897%, 1/25/2039, 144A(b)
     66,412  
     

 

 

 
        4,108,291  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  26


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
       Agency Commercial Mortgage-Backed Securities — 14.3%       
$ 1,057,733      Federal Home Loan Mortgage Corp., Series KJ28, Class A1,
1.766%, 2/25/2025
   $ 1,076,313  
  7,396,082      Federal National Mortgage Association, Series 2014-M2, Class A2,
3.513%, 12/25/2023(a)
     7,958,431  
  1,086,706      Federal National Mortgage Association, Series 2015-M17, Class FA,
1-month LIBOR + 0.930%, 2.584%, 11/25/2022(b)
     1,083,814  
  569,459      Federal National Mortgage Association, Series 2016-M3, Class ASQ2,
2.263%, 2/25/2023
     576,568  
  6,131,198      Federal National Mortgage Association, Series 2020-M5, Class FA,
1-month LIBOR + 0.460%, 2.041%, 1/25/2027(b)
     6,111,321  
  7,720,000      FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027      8,332,122  
  13,445,000      FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2, 3.799%, 12/25/2025      15,227,293  
  4,139,196      FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021      4,229,441  
  3,810,720      FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021      3,903,697  
  6,020,705      FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021      6,181,814  
  7,900,000      FHLMC Multifamily Structured Pass Through Certificates, Series K034, Class A2, 3.531%, 7/25/2023(a)      8,467,131  
  7,835,000      FHLMC Multifamily Structured Pass Through Certificates, Series K035, Class A2, 3.458%, 8/25/2023(a)      8,382,435  
  7,500,000      FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class A2, 3.389%, 3/25/2024      8,085,882  
  2,580,000      FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027      2,860,584  
  2,187,171      FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1, 2.666%, 5/25/2023      2,258,501  
  8,000,000      FHLMC Multifamily Structured Pass Through Certificates, Series KC06, Class A2, 2.541%, 8/25/2026      8,606,624  
  220,031      FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 1-month LIBOR + 0.330%, 1.845%, 11/25/2021(b)      215,783  
  1,389,416      FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1-month LIBOR + 0.650%, 2.165%, 1/25/2023(b)      1,369,142  
  4,131,702      FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A, 1-month LIBOR + 0.390%, 1.905%, 10/25/2025(b)      4,097,125  
  4,830,747      FHLMC Multifamily Structured Pass Through Certificates, Series KF72, Class A, 1-month LIBOR + 0.500%, 2.015%, 11/25/2026(b)      4,782,900  
  130,159      FHLMC Multifamily Structured Pass Through Certificates, Series KI01, Class A, 1-month LIBOR + 0.160%, 1.675%, 9/25/2022(b)      127,691  
  1,238,583      FHLMC Multifamily Structured Pass Through Certificates, Series KI02, Class A, 1-month LIBOR + 0.200%, 1.715%, 2/25/2023(b)      1,215,786  
  10,261,000      FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2, 3.700%, 9/25/2026      11,653,626  
  3,770,818      FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A, 1-month LIBOR + 0.390%, 1.905%, 10/25/2045(b)      3,740,398  

 

See accompanying notes to financial statements.

 

27  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
       Agency Commercial Mortgage-Backed Securities — continued       
$ 5,200,000      FNMA, 3.580%, 1/01/2026    $ 5,816,288  
  126,724      Government National Mortgage Association, Series 2003-72, Class Z,
5.290%, 11/16/2045(a)
     136,907  
  23,381      Government National Mortgage Association, Series 2003-88, Class Z,
5.434%, 3/16/2046(a)
     24,623  
     

 

 

 
        126,522,240  
     

 

 

 
       Collateralized Mortgage Obligations — 11.0%  
  27,011      Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD,
7-year CMT – 0.200%, 1.460%, 5/15/2023(b)(c)(d)
     26,364  
  20,489      Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I,
10-year CMT – 0.650%, 0.870%, 8/15/2023(b)(c)(d)
     20,040  
  107,901      Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB,
6.000%, 3/15/2029(c)(d)
     118,633  
  883,905      Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG,
5.500%, 5/15/2035
     994,441  
  1,337,968      Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE,
5.000%, 9/15/2035
     1,533,530  
  719,079      Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY,
5.500%, 2/15/2038
     814,352  
  1,034,237      Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, IO,
2.829%, 6/15/2048(a)(e)
     1,075,473  
  1,160,375      Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, IO,
3.947%, 12/15/2036(a)(e)
     1,254,210  
  696,176      Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW,
1-month LIBOR + 2.100%, 2.805%, 6/15/2043(b)
     720,334  
  983,057      Federal National Mortgage Association, REMIC, Series 2003-48, Class GH,
5.500%, 6/25/2033
     1,144,167  
  13,492      Federal National Mortgage Association, REMIC, Series 1992-162, Class FB,
7-year CMT – 0.050%, 0.850%, 9/25/2022(b)(c)(d)
     13,315  
  21,746      Federal National Mortgage Association, REMIC, Series 1994-42, Class FD,
10-year CMT – 0.500%, 1.020%, 4/25/2024(b)(c)(d)
     21,226  
  7,839      Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7,
4.536%, 8/25/2042(a)(c)(d)
     8,384  
  329,236      Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ,
5.500%, 11/25/2025(c)(d)
     344,859  
  382,744      Federal National Mortgage Association, REMIC, Series 2007-73, Class A1,
1-month LIBOR + 0.060%, 1.687%, 7/25/2037(b)
     376,113  
  1,037,376      Federal National Mortgage Association, REMIC, Series 2008-86, Class LA,
3.504%, 8/25/2038(a)
     1,112,334  
  5,412,360      Federal National Mortgage Association, REMIC, Series 2013-67, Class NF,
1-month LIBOR + 1.000%, 1.947%, 7/25/2043(b)
     5,097,422  
  419      Federal National Mortgage Association, REMIC, Series G93-19, Class FD,
10-year CMT – 0.650%, 0.340%, 4/25/2023(b)(c)(d)
     415  
  7,435      FHLMC Structured Pass Through Securities, Series T-60, Class 2A1,
4.107%, 3/25/2044(a)(c)(d)
     8,719  
  470,215      FHLMC Structured Pass Through Securities, Series T-62, Class 1A1,
12-month MTA + 1.200%, 3.166%, 10/25/2044(b)
     462,614  

 

See accompanying notes to financial statements.

 

|  28


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
       Collateralized Mortgage Obligations — continued  
$ 4,523,171      Government National Mortgage Association, Series 2019-H13, Class FT,
1-year CMT + 0.450%, 1.950%, 8/20/2069(b)
   $ 4,488,941  
  988,944      Government National Mortgage Association, Series 2010-H20, Class AF,
1-month LIBOR + 0.330%, 1.992%, 10/20/2060(b)
     972,960  
  957,240      Government National Mortgage Association, Series 2010-H24, Class FA,
1-month LIBOR + 0.350%, 2.012%, 10/20/2060(b)
     941,184  
  719,703      Government National Mortgage Association, Series 2011-H06, Class FA,
1-month LIBOR + 0.450%, 2.112%, 2/20/2061(b)
     710,146  
  108,451      Government National Mortgage Association, Series 2011-H23, Class HA,
3.000%, 12/20/2061(c)(d)
     111,430  
  43,360      Government National Mortgage Association, Series 2012-124, Class HT,
6.500%, 7/20/2032(a)(c)(d)
     42,481  
  9,562      Government National Mortgage Association, Series 2012-H15, Class FA,
1-month LIBOR + 0.450%, 2.112%, 5/20/2062(b)(c)(d)
     9,433  
  752,736      Government National Mortgage Association, Series 2012-H18, Class NA,
1-month LIBOR + 0.520%, 2.182%, 8/20/2062(b)
     745,092  
  221,055      Government National Mortgage Association, Series 2012-H29, Class HF,
1-month LIBOR + 0.500%, 2.162%, 10/20/2062(b)(c)(d)
     218,706  
  67,904      Government National Mortgage Association, Series 2013-H02, Class GF,
1-month LIBOR + 0.500%, 2.162%, 12/20/2062(b)(c)(d)
     66,623  
  3,055,113      Government National Mortgage Association, Series 2013-H08, Class FA,
1-month LIBOR + 0.350%, 2.012%, 3/20/2063(b)
     3,017,713  
  2,010,756      Government National Mortgage Association, Series 2013-H10, Class FA,
1-month LIBOR + 0.400%, 2.062%, 3/20/2063(b)
     1,985,046  
  7,709,865      Government National Mortgage Association, Series 2013-H22, Class FT,
1-year CMT + 0.650%, 2.150%, 4/20/2063(b)
     7,684,602  
  4,924,782      Government National Mortgage Association, Series 2014-H14, Class FA,
1-month LIBOR + 0.500%, 2.234%, 7/20/2064(b)
     4,845,809  
  3,578,196      Government National Mortgage Association, Series 2014-H15, Class FA,
1-month LIBOR + 0.500%, 2.162%, 7/20/2064(b)
     3,512,425  
  2,979,790      Government National Mortgage Association, Series 2015-H04, Class FL,
1-month LIBOR + 0.470%, 2.132%, 2/20/2065(b)
     2,930,751  
  46,171      Government National Mortgage Association, Series 2015-H05, Class FA,
1-month LIBOR + 0.300%, 1.962%, 4/20/2061(b)(c)(d)
     45,580  
  315,552      Government National Mortgage Association, Series 2015-H09, Class HA,
1.750%, 3/20/2065(c)(d)
     313,712  
  4,951,577      Government National Mortgage Association, Series 2015-H10, Class JA,
2.250%, 4/20/2065
     5,034,695  
  24,633      Government National Mortgage Association, Series 2015-H11, Class FA,
1-month LIBOR + 0.250%, 1.912%, 4/20/2065(b)(c)(d)
     24,306  
  4,000,954      Government National Mortgage Association, Series 2015-H12, Class FL,
1-month LIBOR + 0.230%, 1.892%, 5/20/2065(b)
     3,932,780  
  482,238      Government National Mortgage Association, Series 2015-H19, Class FH,
1-month LIBOR + 0.300%, 1.962%, 7/20/2065(b)
     479,413  
  46,572      Government National Mortgage Association, Series 2015-H29, Class FA,
1-month LIBOR + 0.700%, 2.362%, 10/20/2065(b)(c)(d)
     46,218  
  9,617      Government National Mortgage Association, Series 2015-H30, Class FA,
1-month LIBOR + 0.680%, 2.342%, 8/20/2061(b)(c)(d)
     9,446  

 

See accompanying notes to financial statements.

 

29  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
       Collateralized Mortgage Obligations — continued  
$ 5,405,818      Government National Mortgage Association, Series 2016-H06, Class FC,
1-month LIBOR + 0.920%, 2.582%, 2/20/2066(b)
   $ 5,375,186  
  1,149,856      Government National Mortgage Association, Series 2016-H10, Class FJ,
1-month LIBOR + 0.600%, 2.262%, 4/20/2066(b)
     1,151,222  
  1,118,851      Government National Mortgage Association, Series 2016-H19, Class FJ,
1-month LIBOR + 0.400%, 2.062%, 9/20/2063(b)
     1,117,051  
  1,186,377      Government National Mortgage Association, Series 2017-H24, Class FJ,
1-month LIBOR + 0.250%, 1.912%, 10/20/2067(b)
     1,184,319  
  7,666,561      Government National Mortgage Association, Series 2018-H11, Class FJ,
12-month LIBOR + 0.080%, 2.590%, 6/20/2068(b)
     7,431,866  
  13,841,855      Government National Mortgage Association, Series 2019-H04, Class NA,
3.500%, 9/20/2068
     15,038,565  
  7,320,781      Government National Mortgage Association, Series 2020-HO1, Class FT,
1-year CMT + 0.500%, 2.036%, 1/20/2070(b)
     7,642,368  
  185,124      NCUA Guaranteed Notes, Series 2010-A1, Class A,
1-month LIBOR + 0.350%, 1.075%, 12/07/2020(b)
     184,458  
  240,030      NCUA Guaranteed Notes, Series 2010-R1, Class 1A,
1-month LIBOR + 0.450%, 1.466%, 10/07/2020(b)
     239,880  
  784,244      NCUA Guaranteed Notes, Series 2010-R3, Class 1A,
1-month LIBOR + 0.560%, 1.576%, 12/08/2020(b)
     782,562  
  52,082      NCUA Guaranteed Notes, Series 2010-R3, Class 2A,
1-month LIBOR + 0.560%, 1.576%, 12/08/2020(b)
     52,082  
     

 

 

 
        97,515,996  
     

 

 

 
       Hybrid ARMs — 5.2%  
  5,882,716      FHLMC, 12-month LIBOR + 1.841%, 2.624%, 1/01/2046(b)      5,963,516  
  213,107      FHLMC, 1-year CMT + 2.250%, 3.759%, 2/01/2035(b)      216,009  
  395,393      FHLMC, 6-month LIBOR + 1.704%, 3.800%, 6/01/2037(b)      398,523  
  828,147      FHLMC, 12-month LIBOR + 1.739%, 3.803%, 4/01/2037(b)      842,646  
  342,085      FHLMC, 1-year CMT + 1.869%, 3.864%, 9/01/2038(b)      345,324  
  62,814      FHLMC, 12-month LIBOR + 1.733%, 3.977%, 12/01/2037(b)      63,172  
  214,070      FHLMC, 12-month LIBOR + 1.724%, 3.989%, 4/01/2037(b)      215,812  
  1,041,456      FHLMC, 12-month LIBOR + 1.758%, 4.007%, 9/01/2035(b)      1,051,385  
  851,354      FHLMC, 1-year CMT + 2.286%, 4.050%, 2/01/2036(b)      863,031  
  1,342,088      FHLMC, 1-year CMT + 2.271%, 4.106%, 2/01/2036(b)      1,360,506  
  144,490      FHLMC, 1-year CMT + 2.210%, 4.122%, 9/01/2038(b)      146,359  
  206,916      FHLMC, 12-month LIBOR + 2.180%, 4.180%, 3/01/2037(b)      209,315  
  546,858      FHLMC, 1-year CMT + 2.245%, 4.188%, 3/01/2036(b)      552,718  
  168,877      FHLMC, 12-month LIBOR + 1.636%, 4.303%, 11/01/2038(b)      170,413  
  2,266,468      FHLMC, 1-year CMT + 2.249%, 4.328%, 3/01/2037(b)      2,285,980  
  477,570      FHLMC, 1-year CMT + 2.165%, 4.334%, 4/01/2036(b)      482,162  
  498,535      FHLMC, 1-year CMT + 2.248%, 4.389%, 9/01/2038(b)      501,943  
  239,298      FHLMC, 12-month LIBOR + 1.935%, 4.451%, 12/01/2034(b)      241,944  
  207,458      FHLMC, 12-month LIBOR + 1.845%, 4.458%, 11/01/2038(b)      211,806  
  244,576      FHLMC, 12-month LIBOR + 1.787%, 4.468%, 3/01/2038(b)      247,624  
  710,864      FHLMC, 1-year CMT + 2.220%, 4.595%, 7/01/2033(b)      718,265  
  1,694,324      FHLMC, 12-month LIBOR + 1.896%, 4.771%, 9/01/2041(b)      1,727,460  
  73,781      FNMA, 6-month LIBOR + 1.544%, 3.419%, 2/01/2037(b)      74,922  

 

See accompanying notes to financial statements.

 

|  30


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
       Hybrid ARMs — continued  
$ 616,173      FNMA, 6-month LIBOR + 1.541%, 3.497%, 7/01/2035(b)    $ 624,559  
  299,712      FNMA, 12-month LIBOR + 1.656%, 3.715%, 10/01/2033(b)      301,827  
  1,470,291      FNMA, 12-month LIBOR + 1.800%, 3.731%, 10/01/2041(b)      1,499,121  
  473,849      FNMA, 12-month LIBOR + 1.765%, 3.765%, 2/01/2037(b)      478,526  
  47,292      FNMA, 12-month LIBOR + 1.754%, 3.795%, 1/01/2037(b)      48,250  
  359,361      FNMA, 12-month LIBOR + 1.800%, 3.800%, 12/01/2041(b)      363,237  
  475,879      FNMA, 1-year CMT + 2.185%, 3.810%, 1/01/2036(b)      479,676  
  1,014,268      FNMA, 12-month LIBOR + 1.820%, 3.820%, 2/01/2047(b)      1,028,837  
  1,088,651      FNMA, 12-month LIBOR + 1.622%, 3.959%, 9/01/2037(b)      1,089,689  
  155,024      FNMA, 12-month LIBOR + 1.730%, 4.023%, 11/01/2035(b)      156,599  
  201,289      FNMA, 1-year CMT + 2.185%, 4.041%, 12/01/2034(b)      202,851  
  342,337      FNMA, 1-year CMT + 2.136%, 4.065%, 9/01/2034(b)      346,274  
  950,814      FNMA, 12-month LIBOR + 1.592%, 4.077%, 7/01/2035(b)      955,746  
  2,156,555      FNMA, 1-year CMT + 2.218%, 4.091%, 4/01/2034(b)      2,186,185  
  1,397,449      FNMA, 12-month LIBOR + 1.560%, 4.121%, 4/01/2037(b)      1,405,178  
  268,467      FNMA, 12-month LIBOR + 1.684%, 4.165%, 11/01/2036(b)      270,714  
  350,579      FNMA, 1-year CMT + 2.503%, 4.171%, 5/01/2035(b)      357,951  
  176,534      FNMA, 12-month LIBOR + 1.562%, 4.202%, 8/01/2035(b)      178,384  
  763,558      FNMA, 6-month LIBOR + 2.265%, 4.268%, 7/01/2037(b)      789,497  
  270,378      FNMA, 1-year CMT + 2.287%, 4.274%, 10/01/2033(b)      273,305  
  1,334,946      FNMA, 1-year CMT + 2.173%, 4.276%, 11/01/2033(b)      1,347,397  
  366,158      FNMA, 1-year CMT + 2.223%, 4.307%, 8/01/2035(b)      371,008  
  653,839      FNMA, 12-month LIBOR + 1.712%, 4.337%, 8/01/2034(b)      667,174  
  2,951,254      FNMA, 1-year CMT + 2.190%, 4.343%, 10/01/2034(b)      2,979,174  
  363,040      FNMA, 12-month LIBOR + 1.657%, 4.347%, 8/01/2038(b)      365,903  
  478,911      FNMA, 12-month LIBOR + 1.619%, 4.369%, 7/01/2038(b)      489,285  
  262,056      FNMA, 1-year CMT + 2.145%, 4.372%, 9/01/2036(b)      262,350  
  397,291      FNMA, 1-year CMT + 2.214%, 4.409%, 4/01/2034(b)      405,607  
  1,514,012      FNMA, 1-year CMT + 2.174%, 4.411%, 12/01/2040(b)      1,526,020  
  125,759      FNMA, 12-month LIBOR + 1.801%, 4.433%, 7/01/2041(b)      127,609  
  1,155,960      FNMA, 12-month LIBOR + 1.725%, 4.442%, 9/01/2037(b)      1,166,496  
  434,776      FNMA, 12-month LIBOR + 1.617%, 4.465%, 4/01/2037(b)      441,587  
  204,448      FNMA, 1-year CMT + 2.500%, 4.539%, 8/01/2036(b)      207,574  
  541,422      FNMA, 1-year CMT + 2.164%, 4.614%, 6/01/2036(b)      544,432  
  1,027,771      FNMA, 1-year CMT + 2.273%, 4.648%, 6/01/2037(b)      1,036,130  
  1,159,769      FNMA, 12-month LIBOR + 1.806%, 4.666%, 3/01/2037(b)      1,174,075  
  538,826      FNMA, 1-year CMT +2.287%, 4.678%, 6/01/2033(b)      544,495  
  198,553      FNMA, 1-year CMT + 2.192%, 4.725%, 4/01/2033(b)      200,239  
  64,245      FNMA, 1-year CMT + 2.440%, 4.815%, 8/01/2033(b)      64,807  
  176,313      FNMA, 12-month LIBOR + 1.800%, 4.889%, 3/01/2034(b)      178,715  
  418,338      FNMA, 12-month LIBOR + 2.473%, 5.348%, 6/01/2035(b)      423,345  
     

 

 

 
        46,450,663  
     

 

 

 
       Mortgage Related — 3.4%       
  47,139      FHLMC,3.000%, 10/01/2026      49,413  
  366,404      FHLMC,4.000%, with various maturities from 2024 to 2042(f)      393,217  
  168,133      FHLMC,4.500%, with various maturities from 2025 to 2034(f)      178,786  
  53,524      FHLMC,5.500%, 10/01/2023      55,892  

 

See accompanying notes to financial statements.

 

31  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
       Mortgage Related — continued       
$ 6,906      FHLMC,COFI + 1.250%, 5.765%, 6/01/2020(b)    $ 6,892  
  22,954      FHLMC,COFI + 1.250%, 5.878%, 8/01/2020(b)      22,924  
  28,259      FHLMC,COFI + 1.250%, 5.917%, 10/01/2020(b)      28,367  
  35,411      FHLMC,COFI + 1.250%, 5.955%, 11/01/2020(b)      35,439  
  205,731      FHLMC,6.500%, 12/01/2034      240,604  
  135      FHLMC,7.500%, 6/01/2026      148  
  118,952      FNMA,3.000%, 3/01/2042      125,959  
  1,136,297      FNMA,5.000%, with various maturities from 2037 to 2038(f)      1,258,050  
  487,071      FNMA,5.500%, with various maturities from 2023 to 2033(f)      526,741  
  362,674      FNMA,6.000%, with various maturities from 2021 to 2022(f)      378,209  
  163,421      FNMA,6.500%, with various maturities from 2032 to 2037(f)      182,973  
  64,130      FNMA,7.500%, with various maturities from 2030 to 2032(f)      71,798  
  2,491,391      GNMA,1-month LIBOR + 1.741%, 3.504%, 2/20/2061(b)      2,574,972  
  2,051,162      GNMA,1-month LIBOR + 1.890%, 3.689%, 2/20/2063(b)      2,120,133  
  2,472,810      GNMA,1-month LIBOR + 2.158%, 3.956%, 3/20/2063(b)      2,556,147  
  761,689      GNMA,1-month LIBOR + 2.242%, 4.043%, 6/20/2065(b)      808,758  
  25,325      GNMA,4.060%, 8/20/2061(a)      26,111  
  810,572      GNMA,1-month LIBOR + 2.271%, 4.066%, 5/20/2065(b)      858,620  
  1,291,405      GNMA,1-month LIBOR + 2.361%, 4.161%, 2/20/2063(b)      1,340,897  
  746,106      GNMA,4.267%, 12/20/2062(a)      748,728  
  73,544      GNMA,4.284%, 6/20/2062(a)      74,221  
  33,594      GNMA,4.289%, 12/20/2061(a)      35,327  
  2,016,701      GNMA,4.301%, with various maturities in 2063(a)(f)      2,032,361  
  711,844      GNMA,4.309%, 3/20/2063(a)      713,571  
  921,356      GNMA,4.323%, 11/20/2062(a)      923,348  
  3,181,969      GNMA, 4.475%, 10/20/2065(a)      3,400,415  
  22,400      GNMA, 4.486%, 8/20/2062(a)      22,777  
  243,076      GNMA, 4.524%, 4/20/2063(a)      246,659  
  1,770,458      GNMA, 4.600%, 2/20/2066(a)      1,866,922  
  484,051      GNMA, 4.602%, 7/20/2063(a)      506,067  
  1,983,829      GNMA, 4.624%, 3/20/2064(a)      2,082,814  
  24,538      GNMA, 4.630%, with various maturities from 2061 to 2062(a)(f)      24,570  
  29,365      GNMA, 4.639%, 4/20/2061(a)      29,718  
  347,176      GNMA, 4.645%, 1/20/2064(a)      365,883  
  1,709,026      GNMA, 4.671%, 11/20/2063(a)      1,847,966  
  1,281,224      GNMA, 4.685%, 5/20/2064(a)      1,343,614  
  17,821      GNMA, 4.697%, 3/20/2061(a)      17,919  
  25,542      GNMA, 4.700%, with various maturities in 2061(a)(f)      27,159  
  23,693      GNMA, 4.714%, 8/20/2061(a)      24,135  
  26,037      GNMA, 4.897%, 2/20/2062(a)      26,821  
  7,709      GNMA, 5.070%, 3/20/2062(a)      7,732  
  9,848      GNMA, 6.000%, 12/15/2031      11,176  
  41,765      GNMA, 6.500%, 5/15/2031      49,772  
  46,236      GNMA, 7.000%, 10/15/2028      52,065  
     

 

 

 
        30,322,790  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  32


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
       Non-Agency Commercial Mortgage-Backed Securities — 2.4%       
$ 1,595,000      BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063    $ 1,613,114  
  1,310,000      Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A      1,283,155  
  1,488,000      Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047      1,550,556  
  4,282,000      Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049      4,448,632  
  1,397,747      DBUBS Mortgage Trust, Series 2011-LC2A, Class A4, 4.537%, 7/10/2044, 144A      1,417,510  
  4,159,430      GS Mortgage Securities Trust, Series 2010-C2, Class A2,
5.162%, 12/10/2043, 144A(a)
     4,207,639  
  2,600,000      Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7,
3.914%, 8/05/2034, 144A
     2,582,993  
  1,040,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4, 3.134%, 12/15/2048      1,048,908  
  3,279,464      Starwood Retail Property Trust, Series 2014-STAR, Class A,
1-month LIBOR + 1.470%, 2.175%, 11/15/2027, 144A(b)
     3,060,954  
     

 

 

 
            21,213,461  
     

 

 

 
       Treasuries — 50.3%       
  2,230,000      U.S. Treasury Note, 0.375%, 3/31/2022      2,236,446  
  12,460,000      U.S. Treasury Note, 0.500%, 3/31/2025      12,536,415  
  8,395,000      U.S. Treasury Note, 1.125%, 6/30/2021      8,501,905  
  24,445,000      U.S. Treasury Note, 1.125%, 7/31/2021      24,756,292  
  13,540,000      U.S. Treasury Note, 1.125%, 8/31/2021      13,719,828  
  65,545,000      U.S. Treasury Note, 1.125%, 2/28/2022      66,633,149  
  20,945,000      U.S. Treasury Note, 1.250%, 7/31/2023      21,595,441  
  9,635,000      U.S. Treasury Note, 1.375%, 1/31/2021      9,740,383  
  23,445,000      U.S. Treasury Note, 1.375%, 1/31/2022      23,943,206  
  5,000,000      U.S. Treasury Note, 1.375%, 9/30/2023      5,185,547  
  15,355,000      U.S. Treasury Note, 1.500%, 10/31/2021      15,667,498  
  13,605,000      U.S. Treasury Note, 1.625%, 8/31/2022      14,051,414  
  24,755,000      U.S. Treasury Note, 1.750%, 11/30/2021      25,392,248  
  8,460,000      U.S. Treasury Note, 1.750%, 6/30/2022      8,750,813  
  12,480,000      U.S. Treasury Note, 1.750%, 7/15/2022      12,907,537  
  12,605,000      U.S. Treasury Note, 1.750%, 9/30/2022      13,074,241  
  16,165,000      U.S. Treasury Note, 1.875%, 4/30/2022      16,718,146  
  9,900,000      U.S. Treasury Note, 2.000%, 2/28/2021      10,074,023  
  9,090,000      U.S. Treasury Note, 2.000%, 12/31/2021      9,372,642  
  4,585,000      U.S. Treasury Note, 2.000%, 2/15/2025      4,940,517  
  13,945,000      U.S. Treasury Note, 2.125%, 9/30/2021      14,348,098  
  6,000,000      U.S. Treasury Note, 2.125%, 5/15/2022      6,240,703  
  6,550,000      U.S. Treasury Note, 2.250%, 2/15/2021      6,674,348  
  6,915,000      U.S. Treasury Note, 2.250%, 1/31/2024      7,422,010  
  3,340,000      U.S. Treasury Note, 2.250%, 10/31/2024      3,624,944  
  7,835,000      U.S. Treasury Note, 2.875%, 11/15/2021      8,174,415  
  67,520,000      U.S. Treasury Note, 2.875%, 10/31/2023      73,633,725  
  6,030,000      U.S. Treasury Note, 2.875%, 11/30/2023      6,592,721  
     

 

 

 
        446,508,655  
     

 

 

 
   Total Bonds and Notes
(Identified Cost $772,696,299)
     790,462,934  
     

 

 

 

 

See accompanying notes to financial statements.

 

33  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
  Short-Term Investments — 10.3%   
$ 29,440,724      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $29,440,724 on 4/01/2020 collateralized by $29,835,000 U.S. Treasury Note, 0.500% due 3/15/2023 valued at $30,029,763 including accrued interest (Note 2 of Notes to Financial Statements)    $ 29,440,724  
  62,265,000      U.S. Treasury Bills, 0.020%, 5/05/2020(g)      62,261,251  
     

 

 

 
   Total Short-Term Investments
(Identified Cost $91,704,548)
     91,701,975  
     

 

 

 
     
   Total Investments — 99.4%
(Identified Cost $864,400,847)
     882,164,909  
   Other assets less liabilities — 0.6%      5,446,400  
     

 

 

 
   Net Assets — 100.0%    $ 887,611,309  
     

 

 

 
     
  (†)      See Note 2 of Notes to Financial Statements.

 

  (a)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of March 31, 2020 is disclosed.

 

  (b)      Variable rate security. Rate as of March 31, 2020 is disclosed.

 

  (c)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

  (d)      Fair valued by the Fund’s adviser. At March 31, 2020, the value of these securities amounted to $1,449,890 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.

 

  (e)      Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

 

  (f)      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.

 

  (g)      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, 2020, the value of Rule 144A holdings amounted to $33,712,226 or 3.8% of net assets.

 

     
  ABS      Asset-Backed Securities

 

  ARMs      Adjustable Rate Mortgages

 

  CMT      Constant Maturity Treasury

 

  COFI      Cost Of Funds Index

 

  FHLMC      Federal Home Loan Mortgage Corp.

 

  FNMA      Federal National Mortgage Association

 

 

See accompanying notes to financial statements.

 

|  34


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)

 

     
  GNMA      Government National Mortgage Association

 

  LIBOR      London Interbank Offered Rate

 

  MTA      Monthly Treasury Average Interest

 

  REMIC      Real Estate Mortgage Investment Conduit

 

Industry Summary at March 31, 2020 (Unaudited)

 

Treasuries

     50.3

Agency Commercial Mortgage-Backed Securities

     14.3  

Collateralized Mortgage Obligations

     11.0  

Hybrid ARMs

     5.2  

Mortgage Related

     3.4  

Non-Agency Commercial Mortgage-Backed Securities

     2.4  

Other Investments, less than 2% each

     2.5  

Short-Term Investments

     10.3  
  

 

 

 

Total Investments

     99.4  

Other assets less liabilities

     0.6  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

35  |


Statements of Assets and Liabilities

 

March 31, 2020 (Unaudited)

 

     Intermediate
Duration Bond
Fund
    Limited Term
Government
and Agency
Fund
 

ASSETS

 

Investments at cost

   $ 236,983,505     $ 864,400,847  

Net unrealized appreciation (depreciation)

     (1,126,878     17,764,062  
  

 

 

   

 

 

 

Investments at value

     235,856,627       882,164,909  

Cash

           68  

Due from brokers (Note 2)

     165,000        

Receivable for Fund shares sold

     200,416       6,459,878  

Receivable for securities sold

     1,876,990       63,613,385  

Interest receivable

     1,129,564       3,348,264  

Prepaid expenses (Note 8)

     2       3  
  

 

 

   

 

 

 

TOTAL ASSETS

     239,228,599       955,586,507  
  

 

 

   

 

 

 

LIABILITIES

 

Payable for securities purchased

     3,310,127       62,263,824  

Payable for Fund shares redeemed

     82,956       4,633,428  

Payable for variation margin on futures contracts (Note 2)

     1,639        

Distributions payable

           255,829  

Management fees payable (Note 6)

     45,706       280,226  

Deferred Trustees’ fees (Note 6)

     119,284       354,749  

Administrative fees payable (Note 6)

     9,403       29,851  

Payable to distributor (Note 6d)

     1,987       13,063  

Other accounts payable and accrued expenses

     54,247       144,228  
  

 

 

   

 

 

 

TOTAL LIABILITIES

     3,625,349       67,975,198  
  

 

 

   

 

 

 

NET ASSETS

   $ 235,603,250     $ 887,611,309  
  

 

 

   

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 233,468,464     $ 905,111,894  

Accumulated earnings (loss)

     2,134,786       (17,500,585
  

 

 

   

 

 

 

NET ASSETS

   $ 235,603,250     $ 887,611,309  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  36


Statements of Assets and Liabilities (continued)

 

March 31, 2020 (Unaudited)

 

     Intermediate
Duration Bond
Fund
     Limited Term
Government
and Agency
Fund
 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

   $ 20,259,386      $ 311,730,266  
  

 

 

    

 

 

 

Shares of beneficial interest

     1,941,632        27,102,390  
  

 

 

    

 

 

 

Net asset value and redemption price per share

   $ 10.43      $ 11.50  
  

 

 

    

 

 

 

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

   $ 10.89      $ 11.76  
  

 

 

    

 

 

 

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

     

Net assets

   $ 563,844      $ 24,148,192  
  

 

 

    

 

 

 

Shares of beneficial interest

     53,906        2,097,874  
  

 

 

    

 

 

 

Net asset value and offering price per share

   $ 10.46      $ 11.51  
  

 

 

    

 

 

 

Class N shares:

 

Net assets

   $ 3,565,309      $ 9,453,117  
  

 

 

    

 

 

 

Shares of beneficial interest

     342,084        819,498  
  

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 10.42      $ 11.54  
  

 

 

    

 

 

 

Class Y shares:

 

Net assets

   $ 211,214,711      $ 542,279,734  
  

 

 

    

 

 

 

Shares of beneficial interest

     20,249,941        46,992,193  
  

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 10.43      $ 11.54  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

37  |


Statements of Operations

 

For the Six Months Ended March 31, 2020 (Unaudited)

 

     Intermediate
Duration Bond
Fund
    Limited Term
Government
and Agency
Fund
 

INVESTMENT INCOME

 

Interest

   $ 3,228,645     $ 7,701,780  
  

 

 

   

 

 

 

Expenses

 

Management fees (Note 6)

     306,993       1,449,751  

Service and distribution fees (Note 6)

     29,291       487,438  

Administrative fees (Note 6)

     53,906       173,128  

Trustees’ fees and expenses (Note 6)

     15,298       28,874  

Transfer agent fees and expenses (Notes 6 and 7)

     92,147       342,713  

Audit and tax services fees

     26,102       28,178  

Custodian fees and expenses

     10,527       18,523  

Legal fees (Note 8)

     2,277       6,493  

Registration fees

     53,418       78,371  

Shareholder reporting expenses

     12,154       36,231  

Miscellaneous expenses (Note 8)

     17,916       25,294  
  

 

 

   

 

 

 

Total expenses

     620,029       2,674,994  

Less waiver and/or expense reimbursement (Note 6)

     (100,456     (10,782
  

 

 

   

 

 

 

Net expenses

     519,573       2,664,212  
  

 

 

   

 

 

 

Net investment income

     2,709,072       5,037,568  
  

 

 

   

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

    

Net realized gain on:

 

Investments

     2,866,812       3,777,669  

Futures contracts

     172,793        

Net change in unrealized appreciation (depreciation) on:

 

Investments

     (4,762,609     9,838,452  

Futures contracts

     759,925        
  

 

 

   

 

 

 

Net realized and unrealized gain (loss) on investments and futures contracts

     (963,079     13,616,121  
  

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 1,745,993     $ 18,653,689  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  38


Statements of Changes in Net Assets

 

 

     Intermediate Duration
Bond Fund
    Limited Term Government
and Agency Fund
 
     Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
 

FROM OPERATIONS:

 

Net investment income

   $ 2,709,072     $ 5,737,366     $ 5,037,568     $ 10,657,761  

Net realized gain (loss) on investments and futures contracts

     3,039,605       5,241,457       3,777,669       (805,903

Net change in unrealized appreciation (depreciation) on investments and futures contracts

     (4,002,684     6,546,482       9,838,452       23,250,762  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets resulting from operations

     1,745,993       17,525,305       18,653,689       33,102,620  
  

 

 

   

 

 

   

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

     (331,400     (489,457     (2,746,888     (6,888,790

Class C

     (5,741     (4,669     (109,859     (335,648

Class N

     (61,348     (14,658     (80,202     (117,078

Class Y

     (3,618,225     (5,477,745     (4,639,816     (9,249,815
  

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (4,016,714     (5,986,529     (7,576,765     (16,591,331
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

     (3,306,250     62,370,471       83,686,424       54,497,302  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets

     (5,576,971     73,909,247       94,763,348       71,008,591  

NET ASSETS

 

Beginning of the period

     241,180,221       167,270,974       792,847,961       721,839,370  
  

 

 

   

 

 

   

 

 

   

 

 

 

End of the period

   $ 235,603,250     $ 241,180,221     $ 887,611,309     $ 792,847,961  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

39  |


Financial Highlights

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond Fund—Class A*  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 10.51     $ 9.97     $ 10.29     $ 10.52     $ 10.39     $ 10.39  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.10       0.25       0.22       0.17       0.20       0.20  

Net realized and unrealized gain (loss)

    (0.02     0.55       (0.31     (0.12     0.17       0.03  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.08       0.80       (0.09     0.05       0.37       0.23  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.11     (0.26     (0.23     (0.20     (0.21     (0.22

Net realized capital gains

    (0.05                 (0.08     (0.03     (0.01
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.16     (0.26     (0.23     (0.28     (0.24     (0.23
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 10.43     $ 10.51     $ 9.97     $ 10.29     $ 10.52     $ 10.39  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)(c)

    0.78 %(d)      8.11     (0.85 )%      0.44     3.64     2.17

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 20,259     $ 21,415     $ 19,149     $ 21,828     $ 19,327     $ 18,425  

Net expenses(e)

    0.65 %(f)      0.65     0.65     0.65     0.65     0.65

Gross expenses

    0.73 %(f)      0.72     0.70     0.72     0.72     0.71

Net investment income

    1.98 %(f)      2.42     2.17     1.69     1.89     1.93

Portfolio turnover rate

    55     135     152     216     151     151

 

*

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.

 

|  40


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond Fund—Class C  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Period Ended
September 30,
2016*
 

Net asset value, beginning of the period

  $ 10.54     $ 10.00     $ 10.30     $ 10.53     $ 10.53  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

         

Net investment income(a)

    0.06       0.17       0.13       0.10       0.01  

Net realized and unrealized gain (loss)

    (0.02     0.55       (0.31     (0.13     0.00 (b) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.04       0.72       (0.18     (0.03     0.01  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

         

Net investment income

    (0.07     (0.18     (0.12     (0.12     (0.01

Net realized capital gains

    (0.05                 (0.08      
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.12     (0.18     (0.12     (0.20     (0.01
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 10.46     $ 10.54     $ 10.00     $ 10.30     $ 10.53  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)(d)

    0.42 %(e)      7.28     (1.71 )%      (0.29 )%      0.08 %(e) 

RATIOS TO AVERAGE NET ASSETS:

         

Net assets, end of the period (000’s)

  $ 564     $ 467     $ 2     $ 3,225     $ 3,088  

Net expenses(f)

    1.40 %(g)      1.40     1.40     1.40     1.40 %(g) 

Gross expenses

    1.48 %(g)      1.48     1.45     1.48     1.56 %(g) 

Net investment income

    1.23 %(g)      1.64     1.31     0.95     0.86 %(g) 

Portfolio turnover rate

    55     135     152     216     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.

 

41  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond
Fund—Class N
 
    Six Months
Ended
March 31,
2020
(Unaudited)
    Period Ended
September 30,
2019*
 

Net asset value, beginning of the period

  $ 10.50     $ 10.07  
 

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment income(a)

    0.12       0.17  

Net realized and unrealized gain (loss)

    (0.03     0.45  
 

 

 

   

 

 

 

Total from Investment Operations

    0.09       0.62  
 

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

   

Net investment income

    (0.12     (0.19

Net realized capital gains

    (0.05      
 

 

 

   

 

 

 

Total Distributions

    (0.17     (0.19
 

 

 

   

 

 

 

Net asset value, end of the period

  $ 10.42     $ 10.50  
 

 

 

   

 

 

 

Total return(b)(c)

    0.94     6.19

RATIOS TO AVERAGE NET ASSETS:

   

Net assets, end of the period (000’s)

  $ 3,565     $ 3,546  

Net expenses(d)(e)

    0.35     0.35

Gross expenses(e)

    0.46     0.42

Net investment income(e)

    2.28     2.54

Portfolio turnover rate

    55     135 %(f) 

 

*

From commencement of Class operations on February 1, 2019 through September 30, 2019.

(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.

(f)

Represents the Fund’s portfolio turnover rate for year ended September 30, 2019.

 

See accompanying notes to financial statements.

 

|  42


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond Fund—Class Y*  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 10.51     $ 9.97     $ 10.29     $ 10.52     $ 10.39     $ 10.39  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.12       0.27       0.25       0.20       0.22       0.22  

Net realized and unrealized gain (loss)

    (0.03     0.55       (0.31     (0.13     0.18       0.04  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.09       0.82       (0.06     0.07       0.40       0.26  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.12     (0.28     (0.26     (0.22     (0.24     (0.25

Net realized capital gains

    (0.05                 (0.08     (0.03     (0.01
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.17     (0.28     (0.26     (0.30     (0.27     (0.26
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 10.43     $ 10.51     $ 9.97     $ 10.29     $ 10.52     $ 10.39  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    0.91 %(c)      8.38     (0.60 )%      0.69     3.90     2.42

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 211,215     $ 215,752     $ 148,119     $ 154,668     $ 139,398     $ 88,592  

Net expenses(d)

    0.40 %(e)      0.40     0.40     0.40     0.40     0.40

Gross expenses

    0.48 %(e)      0.48     0.45     0.47     0.47     0.47

Net investment income

    2.23 %(e)      2.67     2.43     1.93     2.11     2.15

Portfolio turnover rate

    55     135     152     216     151     151

 

*

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.

 

43  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class A  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 11.34     $ 11.09     $ 11.32     $ 11.51     $ 11.57     $ 11.61  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.07       0.15       0.11       0.08       0.11       0.14  

Net realized and unrealized gain (loss)

    0.19       0.34       (0.13     (0.09     0.00 (b)      0.01 (c) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.26       0.49       (0.02     (0.01     0.11       0.15  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.10     (0.24     (0.21     (0.18     (0.17     (0.19
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.50     $ 11.34     $ 11.09     $ 11.32     $ 11.51     $ 11.57  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(d)

    2.32 %(e)      4.42     (0.17 )%      (0.04 )%      0.93     1.26

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 311,730     $ 308,186     $ 328,475     $ 336,227     $ 442,671     $ 346,317  

Net expenses

    0.80 %(f)      0.80     0.80     0.80     0.77     0.77

Gross expenses

    0.80 %(f)      0.80     0.80     0.80     0.77     0.77

Net investment income

    1.15 %(f)      1.31     1.02     0.67     0.96     1.21

Portfolio turnover rate

    175     527 %(g)      157     126     109 %(h)      48

 

(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)

Computed on an annualized basis for periods less than one year.

(g)

The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies.

(h)

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.

 

|  44


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class C  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 11.35     $ 11.10     $ 11.33     $ 11.52     $ 11.58     $ 11.62  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income
(loss)(a)

    0.02       0.06       0.03       (0.01     0.02       0.05  

Net realized and unrealized gain (loss)

    0.20       0.34       (0.13     (0.08     0.00 (b)      0.01 (c) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.22       0.40       (0.10     (0.09     0.02       0.06  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.06     (0.15     (0.13     (0.10     (0.08     (0.10
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.51     $ 11.35     $ 11.10     $ 11.33     $ 11.52     $ 11.58  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(d)

    1.94 %(e)      3.64     (0.91 )%      (0.79 )%      0.18     0.51

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 24,148     $ 22,142     $ 23,341     $ 43,319     $ 73,027     $ 63,167  

Net expenses

    1.55 %(f)      1.55     1.55     1.55     1.52     1.53

Gross expenses

    1.55 %(f)      1.55     1.55     1.55     1.52     1.53

Net investment income (loss)

    0.40 %(f)      0.57     0.24     (0.09 )%      0.21     0.47

Portfolio turnover rate

    175     527 %(g)      157     126     109 %(h)      48

 

(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)

Computed on an annualized basis for periods less than one year.

(g)

The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies.

(h)

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.

 

45  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class N  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Period Ended
September 30,
2017*
 

Net asset value, beginning of the period

  $ 11.37     $ 11.12     $ 11.36     $ 11.39  
 

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income(a)

    0.08       0.19       0.15       0.05  

Net realized and unrealized gain (loss)

    0.21       0.33       (0.14     0.08 (b) 
 

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.29       0.52       0.01       0.13  
 

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

       

Net investment income

    (0.12     (0.27     (0.25     (0.16
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.54     $ 11.37     $ 11.12     $ 11.36  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)

    2.58 %(d)      4.77     0.09     1.12 %(d) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

  $ 9,453     $ 5,272     $ 3,176     $ 1,900  

Net expenses(e)

    0.47 %(f)      0.46     0.46     0.47 %(f) 

Gross expenses

    0.49 %(f)      0.48     0.48     0.50 %(f) 

Net investment income

    1.47 %(f)      1.65     1.37     0.64 %(f) 

Portfolio turnover rate

    175     527 %(g)      157     126 %(h) 

 

*

From commencement of Class operations on February 1, 2017 through September 30, 2017.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

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.

(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)

The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies.

(h)

Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

 

See accompanying notes to financial statements.

 

|  46


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class Y  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 11.38     $ 11.13     $ 11.36     $ 11.55     $ 11.61     $ 11.65  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.08       0.17       0.14       0.11       0.14       0.17  

Net realized and unrealized gain (loss)

    0.20       0.34       (0.13     (0.09     0.00 (b)      0.01 (c) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.28       0.51       0.01       0.02       0.14       0.18  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.12     (0.26     (0.24     (0.21     (0.20     (0.22
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.54     $ 11.38     $ 11.13     $ 11.36     $ 11.55     $ 11.61  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    2.44 %(d)      4.67     0.09     0.22     1.19     1.51

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 542,280     $ 457,248     $ 366,847     $ 360,322     $ 411,898     $ 431,727  

Net expenses

    0.55 %(e)      0.55     0.55     0.55     0.52     0.52

Gross expenses

    0.55 %(e)      0.55     0.55     0.55     0.52     0.52

Net investment income

    1.39 %(e)      1.55     1.26     0.92     1.20     1.45

Portfolio turnover rate

    175     527 %(f)      157     126     109 %(g)      48

 

(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)

Computed on an annualized basis for periods less than one year.

(f)

The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies.

(g)

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.

 

47  |


Notes to Financial Statements

 

March 31, 2020 (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 Limited Term Government and Agency Fund (the “Limited Term Government and Agency Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares.

Class A shares of Intermediate Duration Bond 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, pay higher Rule 12b-1 fees than Class A shares for 10 years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“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 offered with an initial minimum 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 and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. 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 and Class C) and transfer agent fees 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

 

|  48


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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 Funds by an independent pricing service or bid prices obtained from broker-dealers. 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 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. Futures contracts are valued at the most

 

49  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

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. 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 pursuant to the Funds’ pricing policies and procedures.

As of March 31, 2020, securities held by the Funds were fair valued as follows:

 

Fund

  

Securities fair
valued by the
Fund’s adviser

    

Percentage of
Net Assets

 

Intermediate Duration Bond Fund

   $ 22,014        Less than 0.1

Limited Term Government and Agency Fund

     1,449,890        0.2

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 (including income reinvested) and foreign withholding tax, if applicable, is recorded on the 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

 

|  50


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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, if any, 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.

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.  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 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. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of

 

51  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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.

e.  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 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, 2020.

 

|  52


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

f.  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, 2020 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.

g.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the 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 deferred Trustees’ fees, premium amortization and paydown gains and losses. 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 and futures contract mark-to-market. Amounts of income and capital gain available to be

 

53  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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 net realized short-term capital gains are reported as 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, 2019 was as follows:

 

     2019 Distributions Paid From:  

Fund

  

Ordinary
Income

    

Long-Term
Capital Gains

    

Total

 

Intermediate Duration Bond Fund

   $ 5,986,529      $   —      $ 5,986,529  

Limited Term Government and Agency Fund

     16,591,331               16,591,331  

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of September 30, 2019, capital loss carryforwards were as follows:

 

    

Intermediate
Duration
Bond Fund

    

Limited Term
Government
and Agency
Fund

 

Capital loss carryforward:

 

Short-term:

 

No expiration date

   $   —      $ (1,558,729

Long-term:

 

No expiration date

            (34,283,605
  

 

 

    

 

 

 

Total capital loss carryforward

   $      $ (35,842,334
  

 

 

    

 

 

 

 

|  54


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

As of March 31, 2020, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    

Intermediate
Duration
Bond Fund

   

Limited Term
Government
and Agency
Fund

 

Federal tax cost

   $ 237,003,513     $ 864,903,067  
  

 

 

   

 

 

 

Gross tax appreciation

   $ 4,424,946     $ 22,904,538  

Gross tax depreciation

     (4,926,251     (5,642,696
  

 

 

   

 

 

 

Net tax appreciation (depreciation)

   $ (501,305   $ 17,261,842  
  

 

 

   

 

 

 

Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

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, 2020, 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.

i.  Due from Brokers.  Transactions and positions in certain futures contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from broker balance in the Statements of Assets and Liabilities for Intermediate Duration Bond Fund represents cash pledged as initial margin for futures contracts. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.

j.  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

 

55  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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, 2020, neither Fund had loaned securities under this agreement.

k.  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.

l.  New Accounting Pronouncement.  In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of the adoption of ASU 2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. New disclosures required by ASU 2018-13 will be incorporated in the Funds’ semiannual financial statements as of March 31, 2021.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in

 

|  56


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. 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. 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.

 

57  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2020, at value:

Intermediate Duration Bond Fund

Asset Valuation Inputs

 

Description

 

Level 1

    

Level 2

    

Level 3

   

Total

 

Bonds and Notes

         

ABS Home Equity

  $      $ 670,055      $ 10,271 (b)    $ 680,326  

Collateralized Mortgage Obligations

           7,495,115        11,743 (b)      7,506,858  

All Other Bonds and Notes(a)

           224,523,579              224,523,579  
 

 

 

    

 

 

    

 

 

   

 

 

 

Total Bonds and Notes

           232,688,749        22,014       232,710,763  
 

 

 

    

 

 

    

 

 

   

 

 

 

Short-Term Investments

           3,145,864              3,145,864  

Futures Contracts (unrealized appreciation)

    654,996                     654,996  
 

 

 

    

 

 

    

 

 

   

 

 

 

Total

  $ 654,996      $ 235,834,613      $ 22,014     $ 236,511,623  
 

 

 

    

 

 

    

 

 

   

 

 

 

Liability Valuation Inputs

 

Description

 

Level 1

    

Level 2

    

Level 3

   

Total

 

Futures Contracts (unrealized depreciation)

  $ (9,415    $   —      $   —     $ (9,415)  
 

 

 

    

 

 

    

 

 

   

 

 

 

 

(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.

Limited Term Government and Agency Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

   

Total

 

Bonds and Notes

          

Collateralized Mortgage Obligations

   $   —      $ 96,066,106      $ 1,449,890 (b)    $ 97,515,996  

All Other Bonds and Notes(a)

            692,946,938              692,946,938  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Bonds and Notes

            789,013,044        1,449,890       790,462,934  
  

 

 

    

 

 

    

 

 

   

 

 

 

Short-Term Investments

            91,701,975              91,701,975  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $      $ 880,715,019      $ 1,449,890     $ 882,164,909  
  

 

 

    

 

 

    

 

 

   

 

 

 

 

(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.

 

|  58


Notes to Financial Statements (continued)

 

March 31, 2020 (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, 2019 and/or March 31, 2020:

Intermediate Duration Bond Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of
September 30,
2019

   

Accrued
Discounts
(Premiums)

   

Realized
Gain
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

 

Bonds and Notes

         

Non-Convertible Bonds

         

ABS Car Loan

  $ 660,000     $    —     $   —     $     $   —  

ABS Home Equity

    16,609             (28     254        

Collateralized Mortgage Obligations

                (134     189        
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 676,609     $     $ (162   $ 443     $  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Securities

 

Sales

   

Transfers
into Level 3

   

Transfers
out of
Level 3

   

Balance as of
March 31,
2020

   

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Held Still at
March 31,
2020

 

Bonds and Notes

         

Non-Convertible Bonds

         

ABS Car Loan

  $     $     $ (660,000   $     $  

ABS Home Equity

    (6,564                 10,271       (26

Collateralized Mortgage Obligations

    (11,807     23,495             11,743       189  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (18,371   $ 23,495     $ (660,000   $ 22,014     $ 163  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

A debt security valued at $660,000 was transferred from Level 3 to Level 2 during the period ended March 31, 2020. At September 30, 2019, 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, 2020 this security was

 

59  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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 $23,495 was transferred from Level 2 to Level 3 during the period ended March 31, 2020. At September 30, 2019, 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, 2020 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.

Limited Term Government and Agency Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of
September 30,
2019

   

Accrued
Discounts
(Premiums)

   

Realized
Gain
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

 

Bonds and Notes

         

Collateralized Mortgage Obligations

  $ 1,744,293     $     $ (205,658   $ 216,476     $ 464  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Securities

 

Sales

   

Transfers
into Level 3

   

Transfers
out of
Level 3

   

Balance as of
March 31,
2020

   

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
March 31,
2020

 

Bonds and Notes

         

Collateralized Mortgage Obligations

  $ (2,164,264   $ 1,858,579     $     $ 1,449,890     $ 5,358  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Debt securities valued at $1,858,579 were transferred from Level 2 to Level 3 during the period ended March 31, 2020. At September 30, 2019, 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. At March 31, 2020 these securities were 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 securities.

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 Intermediate Duration Bond Fund used during the period include futures contracts.

 

|  60


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

Intermediate Duration Bond Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration in order to control interest rate risk without having to buy or sell portfolio securities. During the six months ended March 31, 2020, Intermediate Duration Bond Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for Intermediate Duration Bond Fund as of March 31, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

  

Unrealized
appreciation
on futures
contracts

 

Exchange-traded asset derivatives

 

Interest rate contracts

   $ 654,996  

Liabilities

  

Unrealized
depreciation
on futures
contracts

 

Exchange-traded liability derivatives

 

Interest rate contracts

     $(9,415)  

Transactions in derivative instruments for Intermediate Duration Bond Fund during the six months ended March 31, 2020, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

  

Futures
contracts

 

Interest rate contracts

   $ 172,793  

Net Change in Unrealized
Appreciation (Depreciation) on:

  

Futures
contracts

 

Interest rate contracts

   $ 759,925  

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

 

61  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

The volume of futures 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, 2020:

 

Intermediate Duration Bond Fund

  

Futures

 

Average Notional Amount Outstanding

     8.75

Highest Notional Amount Outstanding

     10.58

Lowest Notional Amount Outstanding

     8.36

Notional Amount Outstanding as of March 31, 2020

     10.58

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 futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

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. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, 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 each Fund’s Statement of Assets and Liabilities, the following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including 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:

 

Fund

  

Maximum Amount
of Loss - Gross

    

Maximum Amount
of Loss - Net

 

Intermediate Duration Bond Fund

   $ 165,000      $ 165,000  

 

|  62


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

5.  Purchases and Sales of Securities.  For the six months ended March 31, 2020, 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

 

Intermediate Duration Bond Fund

   $ 33,455,119      $ 59,299,325      $ 97,942,358      $ 72,501,344  

Limited Term Government and Agency Fund

     1,260,097,543        1,192,898,062        83,794,261        26,175,457  

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. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

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
 

Intermediate Duration Bond Fund

     0.2500     0.2500     0.2500

Limited Term Government and Agency Fund

     0.3750     0.3500     0.3000

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, 2021, 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.

 

63  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

For the six months ended March 31, 2020 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

 

Intermediate Duration Bond Fund

     0.65     1.40     0.35     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 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, 2020, the management fees and waivers of management fees for each Fund were as follows:

 

    Gross
Management
Fees
    Contractual
Waivers of
Management
Fees
1
    Net
Management
Fees
     Percentage of
Average Daily
Net Assets
 

Fund

  

Gross

    

Net

 

Intermediate Duration Bond Fund

  $ 306,993     $ 99,521     $ 207,472        0.25      0.17

Limited Term Government and Agency Fund

    1,449,751             1,449,751        0.37      0.37

For the six months ended March 31, 2020, class-specific expenses have been reimbursed as follows:

 

     Reimbursement1  

Fund

   Class A      Class C      Class N      Class Y      Total  

Limited Term Government and Agency Fund

   $ 3,986      $ 266      $   —      $ 5,635      $ 9,887  

 

1 

Waiver/expense reimbursements are subject to possible recovery until September 30, 2021.

No expenses were recovered for either Fund during the six months ended March 31, 2020 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, L.P. (“Natixis Distribution), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

 

|  64


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

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

For the six months ended March 31, 2020, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution
Fees
 

Fund

  

Class A

    

Class C

    

Class C

 

Intermediate Duration Bond Fund

   $ 26,857      $ 609      $ 1,825  

Limited Term Government and Agency Fund

     382,006        26,358        79,074  

For the six months ended March 31, 2020, Natixis Distribution refunded Limited Term Government and Agency Fund $1,420 of prior year Class A service fees paid to Natixis 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.

c.  Administrative Fees.  Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

 

65  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

For the six months ended March 31, 2020, the administrative fees for each Fund were as follows:

 

Fund

  

Administrative
Fees

 

Intermediate Duration Bond Fund

   $ 53,906  

Limited Term Government and Agency Fund

     173,128  

d.  Sub-Transfer Agent Fees.  Natixis 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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis 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, 2020, 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

 

Intermediate Duration Bond Fund

   $ 86,663  

Limited Term Government and Agency Fund

     203,153  

As of March 31, 2020, the Funds owe Natixis 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

 

Intermediate Duration Bond Fund

   $ 1,987  

Limited Term Government and Agency Fund

     13,063  

Sub-transfer agent fees 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.

 

|  66


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended March 31, 2020 were as follows:

 

Fund

  

Commissions

 

Limited Term Government and Agency Fund

   $ 4,965  

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 Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. 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, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. 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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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.

Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. All other Trustee fees remained unchanged.

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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the

 

67  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

g. Affiliated Ownership. As of March 31, 2020, the percentage of each Fund’s net assets owned by affiliates is as follows:

 

Intermediate Duration Bond

  

Percentage of
Net Assets

 

Loomis Sayles Employees’ Profit Sharing Retirement Plan

     1.04

 

Limited Term Government and Agency Fund

  

Percentage of
Net Assets

 

Loomis Sayles Employees’ Profit Sharing Retirement Plan

     0.17

Loomis Sayles Distribution

     0.14

Natixis Sustainable Future 2015 Fund

     0.07

Natixis Sustainable Future 2020 Fund

     0.06

Natixis Sustainable Future 2025 Fund

     0.05

Natixis Sustainable Future 2030 Fund

     0.04

Natixis Sustainable Future 2035 Fund

     0.02

Natixis Sustainable Future 2040 Fund

     0.01

Natixis Sustainable Future 2045 Fund

     0.01

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

h.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through January 31, 2021 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended March 31, 2020, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:

 

     Reimbursement of
Transfer Agency
Expenses
 

Fund

  

Class N

 

Intermediate Duration Bond Fund

   $ 935  

Limited Term Government and Agency Fund

     895  

 

|  68


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

7.  Class-Specific Transfer Agent Fees and Expenses.  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.

For the six months ended March 31, 2020, 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

 

Intermediate Duration Bond Fund

   $ 8,121      $ 182      $ 935      $ 82,909  

Limited Term Government and Agency Fund

     133,661        9,180        895        198,977  

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (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 and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, 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 certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended March 31, 2020, neither Fund had borrowings under this agreement.

9.  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 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.

Global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak

 

69  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.

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, 2020, 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:

 

    

Number of 5%
Account Holders

    

Percentage of
Ownership

 

Intermediate Duration Bond

     4        74.86

Omnibus shareholder accounts for which Natixis 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.

 

|  70


Notes to Financial Statements (continued)

 

March 31, 2020 (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, 2020

 
   
Year Ended
September 30, 2019(a)

 

Intermediate Duration Bond Fund

     Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

     163,303     $ 1,715,406       398,531     $ 4,099,679  

Issued in connection with the reinvestment of distributions

     30,959       323,566       47,051       480,510  

Redeemed

     (289,912     (3,064,129     (328,671     (3,334,024
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (95,650   $ (1,025,157     116,911     $ 1,246,165  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C

 

Issued from the sale of shares

     9,090     $ 96,848       43,629     $ 442,533  

Issued in connection with the reinvestment of distributions

     514       5,383       435       4,496  

Redeemed

     (2     (18     (3     (26
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     9,602     $ 102,213       44,061     $ 447,003  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N

 

Issued from the sale of shares

     7,375     $ 77,919       336,294     $ 3,517,593  

Issued in connection with the reinvestment of distributions

     5,876       61,347       1,393       14,658  

Redeemed

     (8,854     (94,066            
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     4,397     $ 45,200       337,687     $ 3,532,251  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y

 

Issued from the sale of shares

     3,323,517     $ 34,908,124       10,382,829     $ 104,956,223  

Issued in connection with the reinvestment of distributions

     331,867       3,467,326       500,421       5,110,711  

Redeemed

     (3,937,010     (40,803,956     (5,211,508     (52,921,882
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (281,626   $ (2,428,506     5,671,742     $ 57,145,052  
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     (363,277   $ (3,306,250     6,170,401     $ 62,370,471  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)

From commencement of operations on February 1, 2019 through September 30, 2019 for Class N shares.

 

71  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

11.  Capital Shares (continued).

 

    
Six Months Ended
March 31, 2020

 
   
Year Ended
September 30, 2019

 

Limited Term Government and Agency Fund

     Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

     3,758,229     $ 42,793,578       6,604,468     $ 73,758,793  

Issued in connection with the reinvestment of distributions

     185,780       2,112,419       468,020       5,253,188  

Redeemed

     (4,016,164     (45,645,922     (9,509,963     (106,560,526
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (72,155   $ (739,925     (2,437,475   $ (27,548,545
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C

 

Issued from the sale of shares

     1,064,304     $ 12,139,193       1,272,362     $ 14,195,722  

Issued in connection with the reinvestment of distributions

     6,892       78,395       21,420       240,567  

Redeemed

     (924,157     (10,495,944     (1,445,466     (16,189,983
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     147,039     $ 1,721,644       (151,684   $ (1,753,694
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N

 

Issued from the sale of shares

     467,455     $ 5,313,848       351,754     $ 3,935,676  

Issued in connection with the reinvestment of distributions

     6,998       79,903       10,232       115,280  

Redeemed

     (118,491     (1,357,856     (183,979     (2,066,729
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     355,962     $ 4,035,895       178,007     $ 1,984,227  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y

 

Issued from the sale of shares

     23,395,198     $ 268,106,845       26,296,159     $ 295,778,178  

Issued in connection with the reinvestment of distributions

     312,984       3,571,500       623,009       7,019,684  

Redeemed

     (16,901,423     (193,009,535     (19,697,925     (220,982,548
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     6,806,759     $ 78,668,810       7,221,243     $ 81,815,314  
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase from capital share transactions

     7,237,605     $ 83,686,424       4,810,091     $ 54,497,302  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

|  72


LOGO

 

LOGO

 

Semiannual Report

March 31, 2020

 

Loomis Sayles Growth Fund

Loomis Sayles Strategic Income Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     9  
Financial Statements     25  
Notes to Financial Statements     38  

 

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.


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.

 

 

 

1  |


Average Annual Total Returns — March 31, 20203

 

                                        Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years     Life of
Class N
    Gross     Net  
     
Class Y (Inception 5/16/91)                  
NAV     -2.80     0.66     11.28     13.31         0.66     0.66
     
Class A (Inception 12/31/96)                  
NAV     -2.96       0.36       10.99       13.02             0.91       0.91  
With 5.75% Maximum Sales Charge     -8.56       -5.44       9.69       12.36              
     
Class C (Inception 9/12/03)                  
NAV     -3.33       -0.38       10.18       12.17             1.66       1.66  
With CDSC1     -4.27       -1.35       10.18       12.17              
     
Class N (Inception 2/1/13)                  
NAV     -2.78       0.74       11.40             13.41       0.56       0.56  
   
Comparative Performance                
Russell 1000® Growth Index2     -4.98       0.91       10.36       12.97       13.19                  

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 im.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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2


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  |


Average Annual Total Returns — March 31, 20204

 

                                        Expense Ratios5  
     6 Months     1 Year     5 Years     10 Years     Life of
Class N
    Gross     Net  
     
Class Y (Inception 12/1/99)                  
NAV     -9.84     -7.01     0.58     4.41         0.71     0.71
     
Class A (Inception 5/1/95)                  
NAV     -9.94       -7.23       0.34       4.15             0.96       0.96  
With 4.25% Maximum Sales Charge     -13.75       -11.15       -0.53       3.71              
     
Class C (Inception 5/1/95)                  
NAV     -10.34       -7.96       -0.43       3.37             1.71       1.71  
With CDSC1     -11.22       -8.85       -0.43       3.37              
     
Class N (Inception 2/1/13)                  
NAV     -9.87       -6.93       0.66             2.37       0.63       0.63  
     
Admin Class (Inception 2/1/10)                  
NAV     -10.09       -7.49       0.08       3.89             1.20       1.20  
   
Comparative Performance                
Bloomberg Barclays U.S. Aggregate Bond Index2     3.33       8.93       3.36       3.88       3.20        
Bloomberg Barclays U.S. Universal Bond Index3     1.76       7.15       3.35       4.05       3.23                  

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

 

2

The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

 

3

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 Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index.

 

4

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

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  4


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 Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates 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 im.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 as an exhibit on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at www.sec.gov.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA

Institute.

 

5  |


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, 2019 through March 31, 2020. 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


LOOMIS SAYLES GROWTH FUND   BEGINNING
ACCOUNT VALUE
10/1/2019
    ENDING
ACCOUNT VALUE
3/31/2020
    EXPENSES PAID
DURING PERIOD*
10/1/2019 – 3/31/2020
 
Class A        
Actual     $1,000.00       $970.40       $4.43  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.50       $4.55  
Class C        
Actual     $1,000.00       $966.70       $8.11  
Hypothetical (5% return before expenses)     $1,000.00       $1,016.75       $8.32  
Class N        
Actual     $1,000.00       $972.20       $2.81  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.15       $2.88  
Class Y        
Actual     $1,000.00       $972.00       $3.20  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.75       $3.29  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.90%, 1.65%, 0.57% and 0.65% 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 (183), divided by 366 (to reflect the half-year period).

 

7  |


LOOMIS SAYLES STRATEGIC INCOME FUND   BEGINNING
ACCOUNT VALUE
10/1/2019
    ENDING
ACCOUNT VALUE
3/31/2020
    EXPENSES PAID
DURING PERIOD*
10/1/2019 – 3/31/2020
 
Class A        
Actual     $1,000.00       $900.60       $4.56  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.20       $4.85  
Class C        
Actual     $1,000.00       $896.60       $8.11  
Hypothetical (5% return before expenses)     $1,000.00       $1,016.45       $8.62  
Class N        
Actual     $1,000.00       $901.30       $3.04  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.80       $3.23  
Class Y        
Actual     $1,000.00       $901.60       $3.38  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.45       $3.59  
Admin Class        
Actual     $1,000.00       $899.10       $5.74  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.95       $6.11  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.96%, 1.71%, 0.64%, 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 (183), divided by 366 (to reflect the half-year period).

 

|  8


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Growth Fund

 

Shares      Description    Value (†)  
  Common Stocks — 98.3% of Net Assets  
       Aerospace & Defense — 1.3%       
  710,088      Boeing Co. (The)    $ 105,902,524  
     

 

 

 
       Air Freight & Logistics — 2.5%       
  3,125,150      Expeditors International of Washington, Inc.      208,510,008  
     

 

 

 
       Beverages — 3.3%       
  4,938,055      Monster Beverage Corp.(a)      277,814,974  
     

 

 

 
       Biotechnology — 6.1%       
  720,951      Amgen, Inc.      146,158,396  
  738,110      Regeneron Pharmaceuticals, Inc.(a)      360,411,732  
     

 

 

 
        506,570,128  
     

 

 

 
       Capital Markets — 3.6%       
  573,587      FactSet Research Systems, Inc.      149,522,659  
  3,234,223      SEI Investments Co.      149,873,894  
     

 

 

 
        299,396,553  
     

 

 

 
       Communications Equipment — 2.2%       
  4,760,449      Cisco Systems, Inc.      187,133,250  
     

 

 

 
       Energy Equipment & Services — 0.6%       
  4,052,653      Schlumberger Ltd.      54,670,289  
     

 

 

 
       Food Products — 1.2%       
  7,848,394      Danone S.A., Sponsored ADR      99,949,298  
     

 

 

 
       Health Care Equipment & Supplies — 1.1%       
  48,673      Intuitive Surgical, Inc.(a)      24,103,356  
  639,696      Varian Medical Systems, Inc.(a)      65,671,192  
     

 

 

 
        89,774,548  
     

 

 

 
       Health Care Technology — 2.1%       
  2,814,923      Cerner Corp.      177,312,000  
     

 

 

 
       Hotels, Restaurants & Leisure — 4.5%       
  2,371,711      Starbucks Corp.      155,916,281  
  2,744,199      Yum China Holdings, Inc.      116,985,203  
  1,525,131      Yum! Brands, Inc.      104,517,228  
     

 

 

 
        377,418,712  
     

 

 

 
       Household Products — 3.4%       
  2,256,335      Colgate-Palmolive Co.      149,730,391  
  1,210,034      Procter & Gamble Co. (The)      133,103,740  
     

 

 

 
        282,834,131  
     

 

 

 
       Interactive Media & Services — 10.9%       
  196,777      Alphabet, Inc., Class A(a)      228,645,035  
  196,505      Alphabet, Inc., Class C(a)      228,497,979  
  2,688,707      Facebook, Inc., Class A(a)      448,476,328  
     

 

 

 
        905,619,342  
     

 

 

 

 

See accompanying notes to financial statements.

 

9  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Growth Fund – (continued)

 

Shares      Description    Value (†)  
       Internet & Direct Marketing Retail — 13.2%       
  2,581,862      Alibaba Group Holding Ltd., Sponsored ADR(a)    $ 502,120,522  
  307,128      Amazon.com, Inc.(a)      598,813,604  
     

 

 

 
        1,100,934,126  
     

 

 

 
       IT Services — 7.5%       
  536,092      Automatic Data Processing, Inc.      73,273,055  
  3,405,338      Visa, Inc., Class A      548,668,058  
     

 

 

 
        621,941,113  
     

 

 

 
       Life Sciences Tools & Services — 0.8%       
  250,711      Illumina, Inc.(a)      68,474,188  
     

 

 

 
       Machinery — 2.2%       
  1,346,780      Deere & Co.      186,071,125  
     

 

 

 
       Pharmaceuticals — 9.6%       
  1,255,816      Merck & Co., Inc.      96,622,483  
  2,307,736      Novartis AG, Sponsored ADR      190,272,833  
  3,609,181      Novo Nordisk AS, Sponsored ADR      217,272,696  
  7,316,014      Roche Holding AG, Sponsored ADR      296,810,688  
     

 

 

 
        800,978,700  
     

 

 

 
       Semiconductors & Semiconductor Equipment — 5.7%       
  1,170,366      NVIDIA Corp.      308,508,477  
  2,429,452      QUALCOMM, Inc.      164,352,428  
     

 

 

 
        472,860,905  
     

 

 

 
       Software — 16.5%       
  2,210,731      Autodesk, Inc.(a)      345,095,109  
  2,393,983      Microsoft Corp.      377,555,059  
  7,526,264      Oracle Corp.      363,744,339  
  1,451,831      salesforce.com, Inc.(a)      209,034,628  
  597,119      Workday, Inc., Class A(a)      77,756,836  
     

 

 

 
        1,373,185,971  
     

 

 

 
   Total Common Stocks
(Identified Cost $6,095,736,873)
     8,197,351,885  
     

 

 

 
     
Principal
Amount
               
  Short-Term Investments — 1.5%  
$ 121,189,016      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $121,189,016 on 4/01/2020 collateralized by $122,815,000 U.S. Treasury Note, 0.500% due 3/15/2023 valued at $123,616,736 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $121,189,016)      121,189,016  
     

 

 

 
     
   Total Investments — 99.8%
(Identified Cost $6,216,925,889)
     8,318,540,901  
   Other assets less liabilities — 0.2%      17,405,643  
     

 

 

 
   Net Assets — 100.0%    $ 8,335,946,544  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  10


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Growth Fund – (continued)

 

     
  (†)      See Note 2 of Notes to Financial Statements.

 

  (a)      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, 2020 (Unaudited)

 

Software

     16.5

Internet & Direct Marketing Retail

     13.2  

Interactive Media & Services

     10.9  

Pharmaceuticals

     9.6  

IT Services

     7.5  

Biotechnology

     6.1  

Semiconductors & Semiconductor Equipment

     5.7  

Hotels, Restaurants & Leisure

     4.5  

Capital Markets

     3.6  

Household Products

     3.4  

Beverages

     3.3  

Air Freight & Logistics

     2.5  

Communications Equipment

     2.2  

Machinery

     2.2  

Health Care Technology

     2.1  

Other Investments, less than 2% each

     5.0  

Short-Term Investments

     1.5  
  

 

 

 

Total Investments

     99.8  

Other assets less liabilities

     0.2  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

11  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund

 

Principal
Amount (‡)
     Description    Value (†)  
  Bonds and Notes — 68.7% of Net Assets   
  Non-Convertible Bonds — 63.0%   
       ABS Other — 0.5%       
$ 22,519,322      GCA2014 Holdings Ltd., Series 2014-1, Class C,
6.000%, 1/05/2030, 144A(a)(b)(c)(d)
   $ 18,609,968  
  9,988,782      GCA2014 Holdings Ltd., Series 2014-1, Class D,
7.500%, 1/05/2030, 144A(a)(b)(c)(d)
     5,721,575  
  42,000,000      GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon,
1/05/2030, 144A(a)(b)(c)(d)(e)
      
  6,970,268      Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%,
2/05/2030, 144A(b)(f)
     6,743,104  
     

 

 

 
        31,074,647  
     

 

 

 
       Aerospace & Defense — 1.4%       
  90,000      Boeing Co. (The), 3.100%, 5/01/2026      82,795  
  15,000      Boeing Co. (The), 3.625%, 3/01/2048      13,037  
  415,000      Boeing Co. (The), 3.850%, 11/01/2048      373,700  
  3,930,000      Boeing Co. (The), 3.950%, 8/01/2059      3,527,132  
  620,000      Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)      320,283  
  10,225,000      Bombardier, Inc., 7.450%, 5/01/2034, 144A      6,646,250  
  6,765,000      Bombardier, Inc., 7.875%, 4/15/2027, 144A      4,514,623  
  3,145,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      2,770,776  
  9,576,000      Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A      9,634,414  
  8,815,000      Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A      10,137,250  
  5,310,000      Textron Financial Corp., 3-month LIBOR + 1.735%, 3.427%, 2/15/2067, 144A(g)      3,004,663  
  24,513,000      TransDigm, Inc., 6.500%, 7/15/2024      23,093,452  
  17,765,000      TransDigm, Inc., 6.500%, 5/15/2025      16,698,922  
     

 

 

 
        80,817,297  
     

 

 

 
       Airlines — 0.5%       
  240,000      American Airlines Group, Inc., 3.750%, 3/01/2025, 144A      168,000  
  20,000,000      American Airlines Group, Inc., 5.000%, 6/01/2022, 144A      16,050,000  
  1,687,628      American Airlines Pass Through Certificates, Series 2016-3, Class B,
3.750%, 4/15/2027
     1,348,602  
  990,862      American Airlines Pass Through Certificates, Series 2017-2, Class B,
3.700%, 4/15/2027
     845,064  
  8,225,739      American Airlines Pass Through Certificates, Series 2013-1, Class A,
4.000%, 1/15/2027
     7,576,975  
  1,358,005      Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021      1,352,247  
  1,492,491      Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022      1,508,207  
  193,163      Continental Airlines Pass Through Trust, Series 2001-1, Class A-1,
6.703%, 12/15/2022
     198,722  
  129,953      Northwest Airlines Pass Through Trust, Series 2002-1, Class G2, (MBIA Insured), 6.264%, 5/20/2023      122,068  
     

 

 

 
        29,169,885  
     

 

 

 
       Automotive — 1.0%       
  1,210,000      Allison Transmission, Inc., 4.750%, 10/01/2027, 144A      1,113,200  
  14,505,000      Ford Motor Co., 4.750%, 1/15/2043      8,231,588  

 

See accompanying notes to financial statements.

 

|  12


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Automotive — continued       
$ 1,220,000      Ford Motor Co., 6.625%, 2/15/2028    $ 952,283  
  1,345,000      Ford Motor Co., 7.500%, 8/01/2026      1,102,402  
  18,565,000      Ford Motor Credit Co. LLC, 5.596%, 1/07/2022      17,961,637  
  1,510,000      General Motors Co., 5.200%, 4/01/2045      1,195,611  
  9,545,000      Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027      8,757,538  
  4,977,000      Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028      4,379,760  
  26,055,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A      16,675,200  
     

 

 

 
        60,369,219  
     

 

 

 
       Banking — 5.4%       
  6,000,000      Ally Financial, Inc., 8.000%, 11/01/2031      6,952,200  
  983,000      Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028      1,014,002  
  265,000      Bank of America Corp., MTN, 4.250%, 10/22/2026      281,670  
  7,045,000      Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027      7,282,157  
  3,450,000      Cooperatieve Rabobank UA, 3.950%, 11/09/2022      3,482,455  
  1,709,000      Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032      1,401,380  
  25,000,000      Goldman Sachs Group, Inc. (The), Series MPLE, 3.550%, 2/12/2021, (CAD)      17,912,492  
  19,245,000      Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A      18,850,435  
  36,195,000      Morgan Stanley, GMTN, 4.350%, 9/08/2026      38,340,312  
  185,000,000      Morgan Stanley, GMTN, 5.000%, 9/30/2021, (AUD)      119,973,437  
  46,735,000      Morgan Stanley, MTN, 4.100%, 5/22/2023      47,702,288  
  10,000,000      Morgan Stanley, MTN, 6.250%, 8/09/2026      12,139,685  
  53,095,000      Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)      38,063,301  
     

 

 

 
        313,395,814  
     

 

 

 
       Brokerage — 1.3%       
  1,675,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.250%, 8/15/2024, 144A      1,440,500  
  43,025,000      Jefferies Group LLC, 5.125%, 1/20/2023      43,804,938  
  14,755,000      Jefferies Group LLC, 6.250%, 1/15/2036      13,056,523  
  15,215,000      Jefferies Group LLC, 6.450%, 6/08/2027      15,538,291  
     

 

 

 
        73,840,252  
     

 

 

 
       Building Materials — 0.4%       
  5,565,000      American Woodmark Corp., 4.875%, 3/15/2026, 144A      5,189,363  
  3,255,000      JELD-WEN, Inc., 4.875%, 12/15/2027, 144A      2,872,538  
  1,859,000      Masco Corp., 6.500%, 8/15/2032      2,170,997  
  1,226,000      Masco Corp., 7.750%, 8/01/2029      1,506,234  
  10,800,000      Owens Corning, 7.000%, 12/01/2036      12,279,742  
     

 

 

 
        24,018,874  
     

 

 

 
       Cable Satellite — 1.4%       
  850,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A      858,500  
  975,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A      999,570  
  4,360,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A      4,490,800  
  17,880,000      CSC Holdings LLC, 5.375%, 2/01/2028, 144A      18,237,600  
  17,679,000      DISH DBS Corp., 5.875%, 11/15/2024      17,192,827  

 

See accompanying notes to financial statements.

 

13  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Cable Satellite — continued       
$ 4,865,000      DISH DBS Corp., 7.750%, 7/01/2026    $ 4,998,788  
  4,835,000      Time Warner Cable LLC, 4.500%, 9/15/2042      4,539,900  
  135,000      Time Warner Cable LLC, 5.875%, 11/15/2040      142,118  
  11,275,000      Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)      7,652,066  
  18,245,000      VTR Finance BV, 6.875%, 1/15/2024, 144A      16,557,155  
  5,530,000      Ziggo BV, 5.500%, 1/15/2027, 144A      5,530,000  
     

 

 

 
        81,199,324  
     

 

 

 
       Chemicals — 0.6%       
  19,810,000      Aruba Investments, Inc., 8.750%, 2/15/2023, 144A      19,215,700  
  18,254,000      Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A      15,333,360  
     

 

 

 
        34,549,060  
     

 

 

 
       Construction Machinery — 0.1%       
  1,310,000      United Rentals North America, Inc., 4.875%, 1/15/2028      1,270,700  
  3,850,000      United Rentals North America, Inc., 6.500%, 12/15/2026      3,907,750  
     

 

 

 
        5,178,450  
     

 

 

 
       Consumer Cyclical Services — 0.1%       
  5,500,000      ServiceMaster Co. LLC (The), 7.450%, 8/15/2027      4,812,500  
     

 

 

 
       Consumer Products — 0.2%       
  11,880,000      Avon Products, Inc., 8.950%, 3/15/2043      9,979,200  
     

 

 

 
       Electric — 0.9%       
  4,379,000      AES Corp. (The), 4.875%, 5/15/2023      4,214,743  
  9,371,000      AES Corp. (The), 5.500%, 4/15/2025      9,156,779  
  27,802,939      Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A      32,518,357  
  835,000      Edison International, 4.950%, 4/15/2025      833,071  
  3,570,000      Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027      3,641,373  
     

 

 

 
        50,364,323  
     

 

 

 
       Finance Companies — 4.0%       
  1,020,000      Antares Holdings LP, 6.000%, 8/15/2023, 144A      1,050,603  
  135,000      Navient Corp., 5.000%, 3/15/2027      116,059  
  22,945,000      Navient Corp., 5.500%, 1/25/2023      21,568,300  
  3,030,000      Navient Corp., 5.875%, 10/25/2024      2,787,600  
  109,950(††)      Navient Corp., 6.000%, 12/15/2043      1,894,805  
  950,000      Navient Corp., 6.750%, 6/15/2026      874,000  
  54,470,000      Navient Corp., MTN, 5.625%, 8/01/2033      40,155,284  
  47,944,000      Navient Corp., MTN, 6.125%, 3/25/2024      44,348,200  
  6,490,000      Navient Corp., MTN, 7.250%, 1/25/2022      6,258,437  
  4,360,000      Quicken Loans, Inc., 5.250%, 1/15/2028, 144A      4,263,208  
  23,115,000      Springleaf Finance Corp., 6.875%, 3/15/2025      23,279,579  
  4,075,000      Springleaf Finance Corp., 7.125%, 3/15/2026      4,034,250  
  26,970,000      Springleaf Finance Corp., 7.750%, 10/01/2021      27,104,850  
  55,015,000      Springleaf Finance Corp., 8.250%, 10/01/2023      55,015,000  
     

 

 

 
        232,750,175  
     

 

 

 
       Financial Other — 0.4%       
  25,465,000      Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A      23,045,825  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  14


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Food & Beverage — 0.2%       
$ 15,420,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046    $ 13,995,655  
     

 

 

 
       Gaming — 0.1%       
  5,475,000      International Game Technology PLC, 6.250%, 1/15/2027, 144A      4,763,250  
     

 

 

 
       Government Owned No – Guarantee — 0.1%       
  6,535,000      Pertamina Persero PT, 6.450%, 5/30/2044, 144A      7,119,894  
     

 

 

 
       Healthcare — 4.6%       
  1,420,000      CHS/Community Health Systems, Inc., 6.625%, 2/15/2025, 144A      1,313,500  
  40,686,000      HCA, Inc., 5.875%, 5/01/2023      42,415,155  
  14,620,000      HCA, Inc., 7.050%, 12/01/2027      15,058,600  
  20,447,000      HCA, Inc., 7.500%, 12/15/2023      20,651,470  
  24,215,000      HCA, Inc., 7.500%, 11/06/2033      24,215,000  
  14,056,000      HCA, Inc., 7.690%, 6/15/2025      14,477,680  
  32,745,000      HCA, Inc., 8.360%, 4/15/2024      33,727,350  
  10,815,000      HCA, Inc., MTN, 7.580%, 9/15/2025      11,139,450  
  9,492,000      HCA, Inc., MTN, 7.750%, 7/15/2036      9,492,000  
  18,365,000      Tenet Healthcare Corp., 5.125%, 5/01/2025      17,538,575  
  40,800,000      Tenet Healthcare Corp., 6.750%, 6/15/2023      37,638,000  
  43,749,000      Tenet Healthcare Corp., 6.875%, 11/15/2031      36,749,160  
  990,000      Tenet Healthcare Corp., 8.125%, 4/01/2022      942,975  
     

 

 

 
        265,358,915  
     

 

 

 
       Home Construction — 1.0%       
  47,260,000      PulteGroup, Inc., 6.000%, 2/15/2035      47,614,450  
  13,190,000      PulteGroup, Inc., 6.375%, 5/15/2033      13,331,133  
  195,000      TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024      181,151  
     

 

 

 
        61,126,734  
     

 

 

 
       Independent Energy — 1.4%       
  2,685,000      Aker BP ASA, 3.750%, 1/15/2030, 144A      2,007,538  
  4,810,000      Antero Resources Corp., 5.625%, 6/01/2023      1,924,000  
  18,736,000      Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A      10,960,560  
  8,225,000      Baytex Energy Corp., 5.625%, 6/01/2024, 144A      3,043,250  
  5,989,000      Bellatrix Exploration Ltd., 8.500%, 9/11/2023(a)(b)(c)(d)(h)(i)      285,076  
  6,526,000      Bellatrix Exploration Ltd., 12.500%, (9.500% PIK, 3.000% Cash), 12/15/2023(a)(b)(c)(d)(h)(i)(j)       
  8,645,000      California Resources Corp., 5.500%, 9/15/2021(b)(f)      842,887  
  1,188,000      California Resources Corp., 6.000%, 11/15/2024(b)(f)      23,760  
  67,805,000      California Resources Corp., 8.000%, 12/15/2022, 144A(b)(f)      1,017,075  
  1,310,000      Chesapeake Energy Corp., 4.875%, 4/15/2022(b)(f)      131,000  
  21,335,000      Chesapeake Energy Corp., 8.000%, 1/15/2025(b)(f)      1,393,816  
  55,365,000      Chesapeake Energy Corp., 8.000%, 6/15/2027(b)(f)      3,875,550  
  15,215,000      Continental Resources, Inc., 3.800%, 6/01/2024      7,826,570  
  5,450,000      Continental Resources, Inc., 4.500%, 4/15/2023      3,026,732  
  302,000      Continental Resources, Inc., 5.000%, 9/15/2022      192,658  
  15,580,000      Lonestar Resources America, Inc., 11.250%, 1/01/2023, 144A(b)(f)      2,843,350  
  7,644,000      MEG Energy Corp., 7.000%, 3/31/2024, 144A      3,525,795  

 

See accompanying notes to financial statements.

 

15  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Independent Energy — continued       
$ 19,290,000      Montage Resources Corp., 8.875%, 7/15/2023(b)(f)    $ 13,020,750  
  1,065,000      Oasis Petroleum, Inc., 6.875%, 1/15/2023      218,325  
  540,000      Occidental Petroleum Corp., 4.500%, 7/15/2044      227,194  
  4,780,000      Pan American Energy LLC, 7.875%, 5/07/2021, 144A      4,188,523  
  2,055,000      QEP Resources, Inc., 5.250%, 5/01/2023      760,350  
  17,908,000      Sanchez Energy Corp., 6.125%, 1/15/2023(b)(f)(h)      123,386  
  9,520,000      Sanchez Energy Corp., 7.750%, 6/15/2021(b)(f)(h)      23,800  
  8,241,000      SM Energy Co., 5.000%, 1/15/2024      2,636,708  
  15,904,000      SM Energy Co., 6.125%, 11/15/2022      6,729,428  
  5,710,000      SM Energy Co., 6.625%, 1/15/2027      1,661,981  
  95,000      SM Energy Co., 6.750%, 9/15/2026      28,500  
  1,110,000      Southwestern Energy Co., 6.200%, 1/23/2025      755,854  
  14,955,000      Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A(b)(f)      3,290,100  
  2,530,000      Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A(b)(f)      597,713  
  19,960,000      Whiting Petroleum Corp., 5.750%, 3/15/2021(b)(e)(f)      1,341,312  
  3,550,000      Whiting Petroleum Corp., 6.250%, 4/01/2023(b)(e)(f)      308,282  
  21,785,000      Whiting Petroleum Corp., 6.625%, 1/15/2026(b)(e)(f)      1,470,487  
     

 

 

 
        80,302,310  
     

 

 

 
       Life Insurance — 1.2%       
  3,575,000      Brighthouse Financial, Inc., 4.700%, 6/22/2047      2,787,503  
  15,000,000      Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A      15,978,686  
  20,000,000      National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(f)      35,587,616  
  8,920,000      NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(f)      12,810,319  
  2,500,000      Prudential Financial, Inc., MTN, 3.700%, 3/13/2051      2,279,022  
     

 

 

 
        69,443,146  
     

 

 

 
       Local Authorities — 1.0%       
  95,480,000      New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)      60,827,641  
     

 

 

 
       Media Entertainment — 0.1%       
  111,590,000      Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)      2,965,808  
     

 

 

 
       Metals & Mining — 1.0%       
  25,271,000      ArcelorMittal S.A., 6.750%, 3/01/2041      24,859,871  
  1,970,000      Barrick North America Finance LLC, 5.750%, 5/01/2043      2,523,114  
  12,315,000      First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A      10,845,205  
  1,810,000      First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A      1,506,264  
  16,135,000      Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)      11,149,924  
  8,741,000      United States Steel Corp., 6.650%, 6/01/2037      5,263,830  
     

 

 

 
        56,148,208  
     

 

 

 
       Midstream — 0.1%       
  13,667,000      NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025      4,646,780  
  8,125,000      NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023      2,823,438  
  505,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      502,734  
  11,980,000      Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter), 9.500%(b)(f)(k)      171,314  
     

 

 

 
        8,144,266  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  16


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Oil Field Services — 1.7%       
$ 7,120,000      Global Marine, Inc., 7.000%, 6/01/2028    $ 2,487,870  
  1,765,000      Noble Holding International Ltd., 7.750%, 1/15/2024(b)(f)      181,689  
  19,385,000      Noble Holding International Ltd., 7.875%, 2/01/2026, 144A(b)(f)      4,652,400  
  18,385,000      Pioneer Energy Services Corp., 6.125%, 3/15/2022(b)(f)(h)      137,888  
  12,020,000      Precision Drilling Corp., 5.250%, 11/15/2024      4,207,000  
  159,192      Precision Drilling Corp., 6.500%, 12/15/2021      119,394  
  2,080,000      Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A      994,240  
  62,443,500      Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A      49,954,800  
  39,300,000      Transocean, Inc., 5.800%, 10/15/2022      23,187,000  
  46,390,000      Transocean, Inc., 6.800%, 3/15/2038(b)(f)      10,669,700  
  2,770,000      Transocean, Inc., 7.500%, 4/15/2031      705,935  
  11,165,000      Valaris PLC, 7.750%, 2/01/2026(b)(f)      1,021,374  
     

 

 

 
        98,319,290  
     

 

 

 
       Paper — 0.7%       
  15,225,000      Georgia-Pacific LLC, 7.750%, 11/15/2029      21,707,538  
  4,865,000      WestRock MWV LLC, 7.950%, 2/15/2031      6,617,379  
  8,750,000      WestRock MWV LLC, 8.200%, 1/15/2030      12,411,106  
  2,840,000      Weyerhaeuser Co., 6.950%, 10/01/2027      3,321,707  
     

 

 

 
        44,057,730  
     

 

 

 
       Property & Casualty Insurance — 0.1%       
  12,510,000      MBIA Insurance Corp., 3-month LIBOR + 11.260%,
13.091%, 1/15/2033, 144A(e)(g)
     6,630,300  
     

 

 

 
       Retailers — 0.6%       
  3,325,000      Dillard’s, Inc., 7.000%, 12/01/2028      2,868,976  
  1,500,000      Dillard’s, Inc., 7.750%, 7/15/2026      1,230,945  
  27,224,000      J.C. Penney Corp., Inc., 6.375%, 10/15/2036(b)(f)      2,041,800  
  2,510,000      J.C. Penney Corp., Inc., 7.625%, 3/01/2097(b)(f)      215,050  
  6,365,000      Marks & Spencer PLC, 7.125%, 12/01/2037, 144A      6,136,051  
  28,455,000      Michaels Stores, Inc., 8.000%, 7/15/2027, 144A      21,056,700  
     

 

 

 
        33,549,522  
     

 

 

 
       Supermarkets — 0.4%       
  11,495,000      Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 5.750%, 3/15/2025      11,614,548  
  9,465,000      Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 6.625%, 6/15/2024      9,606,975  
  2,290,000      Safeway, Inc., 7.250%, 2/01/2031      2,270,489  
     

 

 

 
        23,492,012  
     

 

 

 
       Technology — 0.8%  
  23,345,000      Iron Mountain, Inc., 4.875%, 9/15/2029, 144A      21,929,826  
  15,170,000      KLA Corp., 5.650%, 11/01/2034      17,549,145  
  3,970,000      Micron Technology, Inc., 4.975%, 2/06/2026      4,160,877  
  120,000      Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A      143,663  
  3,355,000      Seagate HDD Cayman, 4.875%, 6/01/2027      3,304,706  
     

 

 

 
        47,088,217  
     

 

 

 

 

See accompanying notes to financial statements.

 

17  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Transportation Services — 0.1%  
$ 10,503,000      APL Ltd., 8.000%, 1/15/2024(b)(f)    $ 4,201,200  
     

 

 

 
       Treasuries — 26.9%  
  312,000,000      Canadian Government Bond, 0.750%, 9/01/2020, (CAD)      222,033,682  
  10,000,000(†††)      Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)      39,831,384  
  4,250,000(†††)      Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)      18,369,280  
  27,224,481(†††)      Mexican Fixed Rate Bonds, Series M, 8.000%, 12/07/2023, (MXN)      120,338,575  
  7,740,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)      33,161,034  
  3,035,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)      13,807,923  
  21,700,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)      103,361,429  
  175,365,000      New Zealand Government Bond, Series 0521, 6.000%, 5/15/2021, (NZD)      111,340,416  
  458,725,000      Norway Government Bond, Series 474, 3.750%, 5/25/2021, 144A, (NOK)      45,856,148  
  162,850,000      Republic of Brazil, 8.500%, 1/05/2024, (BRL)      30,400,589  
  55,925,000      Republic of Brazil, 10.250%, 1/10/2028, (BRL)      10,576,252  
  144,325,000      U.S. Treasury Bond, 3.000%, 8/15/2048      200,476,445  
  50,000,000      U.S. Treasury Note, 1.500%, 8/31/2021      50,931,641  
  70,000,000      U.S. Treasury Note, 1.500%, 9/30/2021      71,364,453  
  326,665,000      U.S. Treasury Note, 1.500%, 10/31/2021      333,313,142  
  155,000,000      U.S. Treasury Note, 1.500%, 11/30/2021      158,311,914  
     

 

 

 
        1,563,474,307  
     

 

 

 
       Wireless — 0.3%  
  293,000,000      America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)      11,559,559  
  134,600,000      America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)      4,762,890  
     

 

 

 
        16,322,449  
     

 

 

 
       Wirelines — 2.4%  
  11,140,000      AT&T, Inc., 4.500%, 3/09/2048      12,063,782  
  14,095,000      AT&T, Inc., 4.550%, 3/09/2049      15,148,915  
  7,545,000      Bell Canada, Inc., MTN, 6.100%, 3/16/2035, 144A, (CAD)      6,327,924  
  4,370,000      Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)      3,814,318  
  1,240,000      CenturyLink, Inc., 5.625%, 4/01/2025      1,246,188  
  28,385,000      CenturyLink, Inc., Series S, 6.450%, 6/15/2021      28,810,775  
  7,940,000      CenturyLink, Inc., Series W, 6.750%, 12/01/2023      8,438,632  
  350,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      339,570  
  2,160,000      Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A      2,214,000  
  30,646,000      Telecom Italia Capital S.A., 6.000%, 9/30/2034      30,339,540  
  16,440,000      Telecom Italia Capital S.A., 6.375%, 11/15/2033      16,686,600  
  14,223,000      Verizon Communications, Inc., 4.329%, 9/21/2028      16,122,908  
  6,309,000      Windstream Services LLC/Windstream Finance Corp.,
9.000%, 6/30/2025, 144A(b)(f)(h)
     252,360  
  8,865,000      Windstream Services LLC/Windstream Finance Corp.,
10.500%, 6/30/2024, 144A(b)(f)(h)
     354,600  
     

 

 

 
        142,160,112  
     

 

 

 
   Total Non-Convertible Bonds
(Identified Cost $4,622,025,824)
     3,664,055,811  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  18


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
  Convertible Bonds — 4.3%  
       Cable Satellite — 2.2%  
$ 14,660,000      DISH Network Corp., 2.375%, 3/15/2024    $ 11,618,050  
  141,165,000      DISH Network Corp., 3.375%, 8/15/2026      114,605,017  
     

 

 

 
        126,223,067  
     

 

 

 
       Independent Energy — 0.1%  
  43,802,000      Chesapeake Energy Corp., 5.500%, 9/15/2026(a)(b)(f)      1,314,060  
  10,955,000      SM Energy Co., 1.500%, 7/01/2021      3,956,109  
  3,742,000      Whiting Petroleum Corp., 1.250%, 4/01/2020(b)(e)(f)      1,796,160  
     

 

 

 
        7,066,329  
     

 

 

 
       Pharmaceuticals — 0.0%  
  870,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      911,701  
  715,000      BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020      757,936  
     

 

 

 
        1,669,637  
     

 

 

 
       REITs – Diversified — 0.2%  
  14,245,000      iStar, Inc., 3.125%, 9/15/2022      13,943,854  
     

 

 

 
       Technology — 1.8%  
  10,415,000      Booking Holdings, Inc., 0.900%, 9/15/2021      10,382,713  
  8,835,000      Evolent Health, Inc., 2.000%, 12/01/2021      7,288,875  
  23,135,000      Nuance Communications, Inc., 1.000%, 12/15/2035      22,106,418  
  9,670,000      Nuance Communications, Inc., 1.250%, 4/01/2025      10,481,023  
  34,500,000      Nuance Communications, Inc., 1.500%, 11/01/2035      36,356,100  
  17,000,000      Western Digital Corp., 1.500%, 2/01/2024      14,787,013  
     

 

 

 
        101,402,142  
     

 

 

 
   Total Convertible Bonds
(Identified Cost $324,682,832)
     250,305,029  
     

 

 

 
     
  Municipals — 1.4%  
       Illinois — 0.3%  
  17,570,000      State of Illinois, 5.100%, 6/01/2033      17,440,509  
     

 

 

 
       Michigan — 0.1%  
  8,470,000      Michigan Tobacco Settlement Finance Authority, Series A, 7.309%, 6/01/2034      8,373,357  
     

 

 

 
       Virginia — 1.0%  
  68,715,000      Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046      59,364,950  
     

 

 

 
   Total Municipals
(Identified Cost $91,485,384)
     85,178,816  
     

 

 

 
     
   Total Bonds and Notes
(Identified Cost $5,038,194,040)
     3,999,539,656  
     

 

 

 
     
  Senior Loans — 0.6%  
       Construction Machinery — 0.6%  
  15,562,263      Onsite Rental Group Pty Ltd., Term Loan B, 1-month LIBOR + 4.500%, 5.500%, 10/26/2022(b)(f)(g)      14,006,036  
  21,276,992      Onsite Rental Group Pty Ltd., Note, 6.100%, 10/26/2023(b)(d)(f)      18,723,753  
     

 

 

 
        32,729,789  
     

 

 

 

 

See accompanying notes to financial statements.

 

19  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Technology — 0.0%  
$ 9,507,380      IQOR U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.750%, 10.659%, 4/01/2022(b)(f)(g)    $ 2,503,579  
     

 

 

 
   Total Senior Loans
(Identified Cost $42,230,988)
     35,233,368  
     

 

 

 
     
Shares                
  Common Stocks — 10.8%  
       Chemicals — 0.1%  
  664,252      Hexion Holdings Corp., Class B(b)(e)(f)      6,725,551  
     

 

 

 
       Diversified Telecommunication Services — 3.9%  
  7,868,481      AT&T, Inc.      229,366,221  
     

 

 

 
       Electronic Equipment, Instruments & Components — 0.9%  
  2,575,992      Corning, Inc.      52,910,876  
     

 

 

 
       Media — 0.1%  
  2,500,188      Clear Channel Outdoor Holdings, Inc.(e)      1,600,120  
  279,162      iHeartMedia, Inc., Class A(e)      2,040,674  
  110,654      Thryv Holdings, Inc.(b)(d)(e)(f)      497,943  
     

 

 

 
        4,138,737  
     

 

 

 
       Oil, Gas & Consumable Fuels — 0.1%  
  9,229      Battalion Oil Corp.(e)      43,146  
  2,400,565      Bellatrix Exploration Ltd.(a)(b)(c)(d)(e)(i)       
  846,398      Chesapeake Energy Corp.(e)      146,173  
  5,886      Frontera Energy Corp.      14,430  
  156,902      Paragon Offshore Ltd., Litigation Units, Class A(a)(b)(c)(d)(e)       
  225,503      Paragon Offshore Ltd., Litigation Units, Class B(d)(e)      2,593,284  
  1,514      Southcross Holdings Group LLC(d)(e)       
  1,514      Southcross Holdings LP, Class A(a)(b)(c)(d)      100,378  
     

 

 

 
        2,897,411  
     

 

 

 
       Pharmaceuticals — 5.4%  
  5,651,190      Bristol-Myers Squibb Co.      314,997,331  
     

 

 

 
       REITs — Diversified — 0.3%  
  1,341,478      iStar, Inc.      14,233,082  
     

 

 

 
       Specialty Retail — 0.0%  
  11,662,687      Onsite Rental Group Pty Ltd.(a)(b)(c)(d)(e)       
     

 

 

 
   Total Common Stocks
(Identified Cost $585,880,709)
     625,269,209  
     

 

 

 
     
  Preferred Stocks — 0.6%  
  Convertible Preferred Stocks — 0.4%  
       Banking — 0.2%  
  8,447      Bank of America Corp., Series L, 7.250%      10,694,071  
     

 

 

 
       Communications — 0.0%  
  3,704      Cincinnati Bell, Inc., Series B, 6.750%      163,161  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  20


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Shares      Description    Value (†)  
       Independent Energy — 0.0%  
  172,972      Chesapeake Energy Corp., 4.500%    $ 748,969  
  240,916      Chesapeake Energy Corp., 5.000%(b)(f)      1,156,373  
  32,522      Chesapeake Energy Corp., 5.750%, 144A(b)(f)      926,245  
     

 

 

 
        2,831,587  
     

 

 

 
       Midstream — 0.2%  
  23,928      Chesapeake Energy Corp., 5.750%(b)(f)      681,483  
  6,017      Chesapeake Energy Corp., 5.750%(b)(f)      171,367  
  43,178      Chesapeake Energy Corp., 5.750%, 144A(b)(f)      1,229,734  
  242,297      El Paso Energy Capital Trust I, 4.750%      10,418,771  
     

 

 

 
        12,501,355  
     

 

 

 
   Total Convertible Preferred Stocks
(Identified Cost $139,645,703)
     26,190,174  
     

 

 

 
     
  Non-Convertible Preferred Stocks – 0.2%  
       Finance Companies — 0.0%  
  10,425      iStar, Inc., Series G, 7.650%      207,770  
     

 

 

 
       Home Construction — 0.0%  
  208,246      Hovnanian Enterprises, Inc., 7.625%(e)      830,902  
     

 

 

 
       REITs — Office Property — 0.0%  
  1,596      Highwoods Properties, Inc., Series A, 8.625%      1,675,800  
     

 

 

 
       REITs — Warehouse/Industrials — 0.2%  
  116,192      Prologis, Inc., Series Q, 8.540%      8,365,824  
     

 

 

 
   Total Non-Convertible Preferred Stocks
(Identified Cost $8,540,568)
     11,080,296  
     

 

 

 
     
   Total Preferred Stocks
(Identified Cost $148,186,271)
     37,270,470  
     

 

 

 
     
  Closed-End Investment Companies — 0.0%  
  170,282      NexPoint Strategic Opportunities Fund
(Identified Cost $10,230,310)
     1,406,529  
     

 

 

 
     
  Warrants — 0.1%  
  751,946      iHeartMedia, Inc., Expiration on 5/1/2039(e)
(Identified Cost $18,045,316)
     4,793,656  
     

 

 

 
     
Principal
Amount (‡)
               
  Short-Term Investments — 18.2%  
$ 10,070,157,559      Central Bank of Iceland, 0.000%, (ISK)(b)(f)(g)(l)      70,916,602  
  396,851,466      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $396,851,466 on 4/01/2020 collateralized by $345,175,000 U.S. Treasury Note, 2.500% due 3/31/2023 valued at $367,948,611; $36,605,000 U.S. Treasury Note, 0.500%, due 3/15/2023 valued at $36,843,957 including accrued interest (Note 2 of Notes to Financial Statements)      396,851,466  
  300,000,000      U.S. Treasury Bills, 1.380%-1.415%, 5/28/2020(m)(n)      299,964,375  

 

See accompanying notes to financial statements.

 

21  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
  Short-Term Investments — (continued)  
$ 5,915,000      U.S. Treasury Bills, 1.516%, 7/30/2020(m)    $ 5,913,270  
  139,675,000      U.S. Treasury Bills, 1.518%, 8/13/2020(m)      139,634,578  
  75,000,000      U.S. Treasury Bills, 1.615%, 4/02/2020(m)      74,999,999  
  70,870,000      U.S. Treasury Bills, 1.615%, 4/09/2020(m)      70,868,598  
     

 

 

 
   Total Short-Term Investments
(Identified Cost $1,068,762,185)
     1,059,148,888  
     

 

 

 
     
   Total Investments — 99.0%
(Identified Cost $6,911,529,819)
     5,762,661,776  
   Other assets less liabilities — 1.0%      56,015,639  
     

 

 

 
   Net Assets — 100.0%    $ 5,818,677,415  
     

 

 

 
     
  (‡)      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)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

  (b)      Illiquid security.

 

  (c)      Fair valued by the Fund’s adviser. At March 31, 2020, the value of these securities amounted to $24,716,997 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.

 

  (d)      Securities subject to restriction on resale. At March 31, 2020, the restricted securities held by the Fund are as follows:

 

       
    Acquisition
Date
  Acquisition
Cost
    Value     % of
Net Assets
 
Bellatrix Exploration Ltd., 8.500%   6/04/2019   $ 5,869,220     $ 285,076       Less than 0.1%  

Bellatrix Exploration Ltd., 12.500% (9.500%
PIK, 3.000% Cash)

  6/04/2019     4,307,160              
Bellatrix Exploration Ltd.   6/04/2019     3,016,862              
GCA2014 Holdings Ltd., Series 2014-1, Class C   12/18/2014     22,519,322       18,609,968       0.3%  
GCA2014 Holdings Ltd., Series 2014-1, Class D   12/18/2014     9,988,782       5,721,575       0.1%  
GCA2014 Holdings Ltd., Series 2014-1, Class E   12/18/2014     32,732,982              
Onsite Rental Group Pty Ltd.   10/26/2017                  
Onsite Rental Group Pty Ltd., Note   10/26/2017     15,532,204       18,723,753       0.3%  
Paragon Offshore Ltd., Litigation Units, Class A   7/18/2017     1,167,146              
Paragon Offshore Ltd., Litigation Units, Class B   7/18/2017     22,768,653       2,593,284       Less than 0.1%  
Southcross Holdings Group LLC   4/29/2016                  
Southcross Holdings LP, Class A   4/29/2016     2,215,133       100,378       Less than 0.1%  
Thryv Holdings, Inc.   8/12/2016     539,031       497,943       Less than 0.1%  
       
  (e)      Non-income producing security.
                  (f)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2020, the value of these securities amounted to $229,992,568 or 4.0% of net assets. See Note 2 of Notes to Financial Statements.
  (g)      Variable rate security. Rate as of March 31, 2020 is disclosed.
  (h)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

 

See accompanying notes to financial statements.

 

|  22


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

  (i)      Affiliated issuer. See Note 5h for a summary of transactions in securities of affiliated issuers.
  (j)      Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period.
  (k)      Perpetual bond with no specified maturity date.
  (l)      Security callable by issuer at any time. No specified maturity date.
  (m)      Interest rate represents discount rate at time of purchase; not a coupon rate.
  (n)      The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, 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, 2020, the value of Rule 144A holdings amounted to $582,968,715 or 10.0% of net assets.
  ABS      Asset-Backed Securities
  EMTN      Euro Medium Term Note
              GMTN      Global Medium Term Note
  LIBOR      London Interbank Offered Rate
  MBIA      Municipal Bond Investors Assurance Corp.
  MTN      Medium Term Note
  PIK      Payment-in-Kind
  REITs      Real Estate Investment Trusts
  
  AUD      Australian Dollar
  BRL      Brazilian Real
  CAD      Canadian Dollar
  ISK      Icelandic Krona
  MXN      Mexican Peso
  NOK      Norwegian Krone
  NZD      New Zealand Dollar

Industry Summary at March 31, 2020 (Unaudited)

 

Treasuries

     26.9

Banking

     5.6  

Pharmaceuticals

     5.4  

Healthcare

     4.6  

Finance Companies

     4.0  

Diversified Telecommunication Services

     3.9  

Cable Satellite

     3.6  

Technology

     2.6  

Wirelines

     2.4  

Other Investments, less than 2% each

     21.8  

Short-Term Investments

     18.2  

Closed-End Investment Companies

     0.0
  

 

 

 

Total Investments

     99.0  

Other assets less liabilities

     1.0  
  

 

 

 

Net Assets

     100.0
  

 

 

 

* Less than 0.1%

 

See accompanying notes to financial statements.

 

23  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

 

Currency Exposure Summary at March 31, 2020 (Unaudited)

 

United States Dollar

     79.9

Mexican Peso

     6.1  

Canadian Dollar

     5.3  

Australian Dollar

     3.1  

Other, less than 2% each

     4.6  
  

 

 

 

Total Investments

     99.0  

Other assets less liabilities

     1.0  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  24


Statements of Assets and Liabilities

 

March 31, 2020 (Unaudited)

 

     Growth
Fund
     Strategic Income
Fund
 

ASSETS

 

Unaffiliated investments at cost

   $ 6,216,925,889      $ 6,898,067,202  

Affiliated investments at cost (Note 5)

            13,462,617  

Net unrealized appreciation (depreciation) on unaffiliated investments

     2,101,615,012        (1,135,690,502

Net unrealized appreciation (depreciation) on affiliated investments (Note 5)

            (13,177,541
  

 

 

    

 

 

 

Investments at value

     8,318,540,901        5,762,661,776  

Cash

            444,968  

Receivable for Fund shares sold

     31,023,320        21,991,514  

Receivable for securities sold

     67,207,343         

Dividends and interest receivable

     8,126,594        65,035,852  

Tax reclaims receivable

     6,311,734        131,721  

Prepaid expenses (Note 7)

     40        36  
  

 

 

    

 

 

 

TOTAL ASSETS

     8,431,209,932        5,850,265,867  
  

 

 

    

 

 

 

LIABILITIES

 

Payable for securities purchased

     74,516,618        10,149,928  

Payable for Fund shares redeemed

     15,913,495        16,269,795  

Management fees payable (Note 5)

     3,562,107        2,937,763  

Deferred Trustees’ fees (Note 5)

     490,816        1,595,935  

Administrative fees payable (Note 5)

     319,178        233,164  

Payable to distributor (Note 5d)

     65,938        23,181  

Other accounts payable and accrued expenses

     395,236        378,686  
  

 

 

    

 

 

 

TOTAL LIABILITIES

     95,263,388        31,588,452  
  

 

 

    

 

 

 

NET ASSETS

   $ 8,335,946,544      $ 5,818,677,415  
  

 

 

    

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 6,068,069,445      $ 7,037,270,504  

Accumulated earnings (loss)

     2,267,877,099        (1,218,593,089
  

 

 

    

 

 

 

NET ASSETS

   $ 8,335,946,544      $ 5,818,677,415  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Statements of Assets and Liabilities (continued)

 

March 31, 2020 (Unaudited)

 

     Growth
Fund
     Strategic Income
Fund
 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

   $ 1,129,431,896      $ 1,535,893,298  
  

 

 

    

 

 

 

Shares of beneficial interest

     74,578,714        121,845,822  
  

 

 

    

 

 

 

Net asset value and redemption price per share

   $ 15.14      $ 12.61  
  

 

 

    

 

 

 

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

   $ 16.06      $ 13.17  
  

 

 

    

 

 

 

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

     

Net assets

   $ 106,666,514      $ 434,915,718  
  

 

 

    

 

 

 

Shares of beneficial interest

     7,791,177        34,165,618  
  

 

 

    

 

 

 

Net asset value and offering price per share

   $ 13.69      $ 12.73  
  

 

 

    

 

 

 

Class N shares:

 

Net assets

   $ 486,608,417      $ 171,259,277  
  

 

 

    

 

 

 

Shares of beneficial interest

     29,964,570        13,601,509  
  

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 16.24      $ 12.59  
  

 

 

    

 

 

 

Class Y shares:

 

Net assets

   $ 6,613,239,717      $ 3,573,394,824  
  

 

 

    

 

 

 

Shares of beneficial interest

     407,065,259        283,835,730  
  

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 16.25      $ 12.59  
  

 

 

    

 

 

 

Admin Class shares:

 

Net assets

   $      $ 103,214,298  
  

 

 

    

 

 

 

Shares of beneficial interest

            8,217,756  
  

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $      $ 12.56  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

|  26


Statements of Operations

 

For the Six Months Ended March 31, 2020 (Unaudited)

 

     Growth
Fund
    Strategic
Income Fund
 

INVESTMENT INCOME

 

Dividends

   $ 62,927,984     $ 20,112,991  

Interest from unaffiliated investments

     467,416       139,835,742  

Interest from affiliated investments (Note 5)

           167,702  

Less net foreign taxes withheld

     (4,406,379     (298,742
  

 

 

   

 

 

 
     58,989,021       159,817,693  
  

 

 

   

 

 

 

Expenses

 

Management fees (Note 5)

     23,111,090       19,394,989  

Service and distribution fees (Note 5)

     2,228,765       5,338,868  

Administrative fees (Note 5)

     2,027,378       1,502,898  

Trustees’ fees and expenses (Note 5)

     180,143       157,069  

Transfer agent fees and expenses (Notes 5 and 6)

     3,827,360       2,691,222  

Audit and tax services fees

     20,773       31,829  

Custodian fees and expenses

     279,028       159,815  

Legal fees (Note 7)

     75,542       57,168  

Registration fees

     149,388       103,200  

Shareholder reporting expenses

     203,976       179,970  

Miscellaneous expenses (Note 7)

     139,006       120,351  
  

 

 

   

 

 

 

Total expenses

     32,242,449       29,737,379  
  

 

 

   

 

 

 

Net investment income

     26,746,572       130,080,314  
  

 

 

   

 

 

 

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

    

Net realized gain (loss) on:

 

Unaffiliated investments

     204,235,788       (2,996,464

Foreign currency transactions (Note 2c)

           (355,158

Net change in unrealized appreciation (depreciation) on:

 

Unaffiliated investments

     (463,699,384     (754,818,075

Affiliated investments (Note 5)

           (3,476,026

Foreign currency translations (Note 2c)

           (1,897,544
  

 

 

   

 

 

 

Net realized and unrealized loss on investments and foreign currency transactions

     (259,463,596     (763,543,267
  

 

 

   

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (232,717,024   $ (633,462,953
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

27  |


Statements of Changes in Net Assets

 

 

    Growth Fund     Strategic Income Fund  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
 

FROM OPERATIONS:

 

Net investment income

  $ 26,746,572     $ 46,632,228     $ 130,080,314     $ 312,461,598  

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

    204,235,788       210,199,000       (3,351,622     (25,505,488

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

    (463,699,384     177,218,567       (760,191,645     (96,424,261
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (232,717,024     434,049,795       (633,462,953     190,531,849  
 

 

 

   

 

 

   

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

    (35,045,990     (51,082,626     (33,296,239     (71,533,316

Class C

    (3,210,189     (6,370,291     (7,732,871     (27,624,605

Class N

    (16,996,001     (29,366,126     (4,162,974     (8,091,999

Class Y

    (197,277,542     (317,599,223     (80,999,679     (189,621,495

Admin Class

                (2,066,239     (4,619,879
 

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (252,529,722     (404,418,266     (128,258,002     (301,491,294
 

 

 

   

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)

    (9,823,458     (34,793,401     (572,919,218     (1,303,567,589
 

 

 

   

 

 

   

 

 

   

 

 

 

Net decrease in net assets

    (495,070,204     (5,161,872     (1,334,640,173     (1,414,527,034

NET ASSETS

 

Beginning of the period

    8,831,016,748       8,836,178,620       7,153,317,588       8,567,844,622  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of the period

  $ 8,335,946,544     $ 8,831,016,748     $ 5,818,677,415     $ 7,153,317,588  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  28


Financial Highlights

 

For a share outstanding throughout each period.

 

    Growth Fund—Class A  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the
period

  $ 16.02     $ 16.05     $ 14.04     $ 11.96     $ 9.90     $ 9.45  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment
income(a)

    0.03       0.05       0.06       0.06       0.06       0.05  

Net realized and unrealized gain (loss)

    (0.46     0.71       2.29       2.18       2.05       0.45  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from
Investment Operations

    (0.43     0.76       2.35       2.24       2.11       0.50  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.05     (0.05     (0.05     (0.05     (0.05     (0.05

Net realized capital
gains

    (0.40     (0.74     (0.29     (0.11            
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.45     (0.79     (0.34     (0.16     (0.05     (0.05
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 15.14     $ 16.02     $ 16.05     $ 14.04     $ 11.96     $ 9.90  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    (2.96 )%(c)      5.81     16.98     18.99     21.32     5.30

RATIOS TO AVERAGE NET
ASSETS:

 

         

Net assets, end of the period (000’s)

  $ 1,129,432     $ 1,250,030     $ 1,083,362     $ 983,047     $ 729,989     $ 122,203  

Net expenses

    0.90 %(d)      0.91     0.90     0.91     0.92     0.92

Gross expenses

    0.90 %(d)      0.91     0.90     0.91     0.92     0.92

Net investment income

    0.37 %(d)      0.35     0.39     0.45     0.58     0.45

Portfolio turnover rate

    9     7     11     8     11     27 %(e) 

 

(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.

 

29  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Growth Fund—Class C  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the
period

  $ 14.53     $ 14.68     $ 12.92     $ 11.06     $ 9.18     $ 8.79  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment
loss(a)

    (0.03     (0.06     (0.05     (0.03     (0.02     (0.03

Net realized and unrealized gain (loss)

    (0.41     0.65       2.10       2.00       1.90       0.42  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from
Investment Operations

    (0.44     0.59       2.05       1.97       1.88       0.39  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net realized capital
gains

    (0.40     (0.74     (0.29     (0.11            
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 13.69     $ 14.53     $ 14.68     $ 12.92     $ 11.06     $ 9.18  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    (3.33 )%(c)      5.05     16.09     18.03     20.48     4.44

RATIOS TO AVERAGE NET
ASSETS:

 

         

Net assets, end of the period (000’s)

  $ 106,667     $ 120,493     $ 130,133     $ 133,329     $ 109,798     $ 41,421  

Net expenses

    1.65 %(d)      1.66     1.65     1.66     1.66     1.67

Gross expenses

    1.65 %(d)      1.66     1.65     1.66     1.66     1.67

Net investment loss

    (0.38 )%(d)      (0.39 )%      (0.36 )%      (0.29 )%      (0.16 )%      (0.29 )% 

Portfolio turnover rate

    9     7     11     8     11     27 %(e) 

 

(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.

 

|  30


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Growth Fund—Class N  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the
period

  $ 17.17     $ 17.15     $ 14.97     $ 12.73     $ 10.52     $ 10.01  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment
income(a)

    0.06       0.11       0.12       0.11       0.10       0.08  

Net realized and unrealized gain (loss)

    (0.48     0.76       2.44       2.32       2.18       0.49  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from
Investment Operations

    (0.42     0.87       2.56       2.43       2.28       0.57  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.11     (0.11     (0.09     (0.08     (0.07     (0.06

Net realized capital
gains

    (0.40     (0.74     (0.29     (0.11            
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.51     (0.85     (0.38     (0.19     (0.07     (0.06
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 16.24     $ 17.17     $ 17.15     $ 14.97     $ 12.73     $ 10.52  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    (2.78 )%(b)      6.14     17.40 %(c)      19.39 %(c)      21.75     5.65 %(c) 

RATIOS TO AVERAGE NET
ASSETS:

 

         

Net assets, end of the period (000’s)

  $ 486,608     $ 442,787     $ 1,001,688     $ 341,160     $ 60,765     $ 1  

Net expenses

    0.57 %(d)      0.56     0.57 %(e)      0.57 %(e)      0.58     0.55 %(e) 

Gross expenses

    0.57 %(d)      0.56     0.58     0.58     0.58     9.82

Net investment income

    0.70 %(d)      0.69     0.73     0.80     0.82     0.71

Portfolio turnover rate

    9     7     11     8     11     27 %(f) 

 

(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.

 

31  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Growth Fund—Class Y  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the
period

  $ 17.17     $ 17.14     $ 14.97     $ 12.73     $ 10.53     $ 10.04  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment
income(a)

    0.06       0.10       0.10       0.09       0.10       0.07  

Net realized and unrealized gain (loss)

    (0.49     0.77       2.44       2.33       2.16       0.49  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from
Investment Operations

    (0.43     0.87       2.54       2.42       2.26       0.56  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.09     (0.10     (0.08     (0.07     (0.06     (0.07

Net realized capital
gains

    (0.40     (0.74     (0.29     (0.11            
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.49     (0.84     (0.37     (0.18     (0.06     (0.07
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 16.25     $ 17.17     $ 17.14     $ 14.97     $ 12.73     $ 10.53  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    (2.80 )%(b)      6.09     17.25     19.31     21.55     5.59

RATIOS TO AVERAGE NET
ASSETS:

 

         

Net assets, end of the period (000’s)

  $ 6,613,240     $ 7,017,707     $ 6,620,996     $ 5,749,576     $ 3,493,961     $ 1,174,150  

Net expenses

    0.65 %(c)      0.66     0.65     0.66     0.66     0.67

Gross expenses

    0.65 %(c)      0.66     0.65     0.66     0.66     0.67

Net investment income

    0.62 %(c)      0.60     0.64     0.69     0.82     0.69

Portfolio turnover rate

    9     7     11     8     11     27 %(d) 

 

 

(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.

 

|  32


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class A  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 14.25     $ 14.39     $ 14.84     $ 14.70     $ 14.70     $ 16.75  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.26       0.57       0.52       0.56       0.57       0.64  

Net realized and unrealized gain (loss)

    (1.64     (0.16     (0.33     0.42       0.61       (1.74
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (1.38     0.41       0.19       0.98       1.18       (1.10
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.23     (0.48     (0.57     (0.52     (0.36     (0.57

Net realized capital gains

    (0.03     (0.07     (0.07     (0.32     (0.82     (0.38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.26     (0.55     (0.64     (0.84     (1.18     (0.95
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 12.61     $ 14.25     $ 14.39     $ 14.84     $ 14.70     $ 14.70  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    (9.94 )%(c)      3.02     1.34     7.01     8.72     (6.88 )% 

RATIOS TO AVERAGE NET
ASSETS:

 

         

Net assets, end of the period (000’s)

  $ 1,535,893     $ 1,835,813     $ 1,986,300     $ 1,999,385     $ 2,514,770     $ 3,318,262  

Net expenses

    0.96 %(d)      0.96     0.96     0.96     0.96     0.94

Gross expenses

    0.96 %(d)      0.96     0.96     0.96     0.96     0.94

Net investment income

    3.69 %(d)      4.03     3.57     3.82     4.01     3.95

Portfolio turnover rate

    14     13     6     11     17     23

 

(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.

 

33  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class C  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 14.39     $ 14.52     $ 14.97     $ 14.81     $ 14.80     $ 16.85  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.21       0.47       0.41       0.45       0.47       0.52  

Net realized and unrealized gain (loss)

    (1.66     (0.16     (0.33     0.44       0.61       (1.74
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (1.45     0.31       0.08       0.89       1.08       (1.22
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.18     (0.37     (0.46     (0.41     (0.25     (0.45

Net realized capital gains

    (0.03     (0.07     (0.07     (0.32     (0.82     (0.38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.21     (0.44     (0.53     (0.73     (1.07     (0.83
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 12.73     $ 14.39     $ 14.52     $ 14.97     $ 14.81     $ 14.80  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    (10.34 )%(c)      2.27     0.60     6.20     7.91     (7.60 )% 

RATIOS TO AVERAGE NET
ASSETS:

 

         

Net assets, end of the period (000’s)

  $ 434,916     $ 676,602     $ 1,153,853     $ 2,248,939     $ 3,433,204     $ 4,295,139  

Net expenses

    1.71 %(d)      1.71     1.71     1.71     1.71     1.69

Gross expenses

    1.71 %(d)      1.71     1.71     1.71     1.71     1.69

Net investment income

    2.98 %(d)      3.30     2.79     3.08     3.26     3.20

Portfolio turnover rate

    14     13     6     11     17     23

 

(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.

 

|  34


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class N  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 14.24     $ 14.38     $ 14.83     $ 14.69     $ 14.69     $ 16.73  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.28       0.61       0.56       0.60       0.61       0.69  

Net realized and unrealized gain (loss)

    (1.64     (0.16     (0.32     0.43       0.62       (1.73
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (1.36     0.45       0.24       1.03       1.23       (1.04
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.26     (0.52     (0.62     (0.57     (0.41     (0.62

Net realized capital gains

    (0.03     (0.07     (0.07     (0.32     (0.82     (0.38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.29     (0.59     (0.69     (0.89     (1.23     (1.00
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 12.59     $ 14.24     $ 14.38     $ 14.83     $ 14.69     $ 14.69  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    (9.87 )%(b)      3.37     1.67     7.38     9.09     (6.58 )% 

RATIOS TO AVERAGE NET
ASSETS:

 

         

Net assets, end of the period (000’s)

  $ 171,259     $ 202,989     $ 176,456     $ 141,695     $ 130,637     $ 83,405  

Net expenses

    0.64 %(c)      0.63     0.63     0.63     0.63     0.62

Gross expenses

    0.64 %(c)      0.63     0.63     0.63     0.63     0.62

Net investment income

    4.02 %(c)      4.36     3.91     4.13     4.34     4.33

Portfolio turnover rate

    14     13     6     11     17     23

 

(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.

 

35  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Class Y  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 14.23     $ 14.38     $ 14.83     $ 14.69     $ 14.69     $ 16.73  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.28       0.60       0.55       0.59       0.61       0.68  

Net realized and unrealized gain (loss)

    (1.64     (0.17     (0.32     0.43       0.61       (1.73
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (1.36     0.43       0.23       1.02       1.22       (1.05
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.25     (0.51     (0.61     (0.56     (0.40     (0.61

Net realized capital gains

    (0.03     (0.07     (0.07     (0.32     (0.82     (0.38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.28     (0.58     (0.68     (0.88     (1.22     (0.99
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 12.59     $ 14.23     $ 14.38     $ 14.83     $ 14.69     $ 14.69  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    (9.84 )%(b)      3.22     1.66     7.22     9.00     (6.65 )% 

RATIOS TO AVERAGE NET
ASSETS:

 

         

Net assets, end of the period (000’s)

  $ 3,573,395     $ 4,316,010     $ 5,118,016     $ 5,702,607     $ 5,350,759     $ 7,018,369  

Net expenses

    0.71 %(c)      0.71     0.71     0.71     0.71     0.69

Gross expenses

    0.71 %(c)      0.71     0.71     0.71     0.71     0.69

Net investment income

    3.95 %(c)      4.28     3.82     4.04     4.26     4.21

Portfolio turnover rate

    14     13     6     11     17     23

 

(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.

 

|  36


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Strategic Income Fund—Admin Class  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the
period

  $ 14.20     $ 14.34     $ 14.79     $ 14.65     $ 14.66     $ 16.70  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment
income(a)

    0.24       0.53       0.48       0.52       0.53       0.60  

Net realized and unrealized gain (loss)

    (1.64     (0.16     (0.33     0.43       0.61       (1.73
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (1.40     0.37       0.15       0.95       1.14       (1.13
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.21     (0.44     (0.53     (0.49     (0.33     (0.53

Net realized capital
gains

    (0.03     (0.07     (0.07     (0.32     (0.82     (0.38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.24     (0.51     (0.60     (0.81     (1.15     (0.91
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 12.56     $ 14.20     $ 14.34     $ 14.79     $ 14.65     $ 14.66  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    (10.09 )%(b)      2.78     1.09     6.79     8.42     (7.13 )% 

RATIOS TO AVERAGE NET
ASSETS:

 

         

Net assets, end of the period (000’s)

  $ 103,214     $ 121,903     $ 133,220     $ 142,871     $ 143,275     $ 141,844  

Net expenses

    1.21 %(c)      1.20 %(d)      1.20 %(d)      1.19 %(e)      1.20 %(d)      1.19

Gross expenses

    1.21 %(c)      1.20 %(d)      1.20 %(d)      1.19 %(e)      1.20 %(d)      1.19

Net investment income

    3.45 %(c)      3.80     3.33     3.57     3.76     3.73

Portfolio turnover rate

    14     13     6     11     17     23

 

 

(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 0.01%.

(e)

Includes refund of prior year service fee of 0.02%.

 

See accompanying notes to financial statements.

 

37  |


Notes to Financial Statements

 

March 31, 2020 (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 Growth Fund (the “Growth Fund”)

Loomis Sayles Strategic Income Fund (the “Strategic Income Fund”)

Each Fund is a diversified investment company.

Growth Fund was closed to new investors effective April 28, 2017. Growth Fund offers Class A, Class C, Class N, and Class Y shares to defined contribution and defined benefit plans, clients of registered investment advisers and registered representatives trading through intermediary programs/platforms on which the Fund is already available and existing shareholders. Strategic Income Fund offers Class A, Class C, Class N, Class Y and Admin Class shares.

Class A shares are sold with a maximum front-end sales charge of 5.75% for Growth Fund and 4.25% for Strategic Income Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“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 offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts 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, and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. 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

 

|  38


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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:

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.

 

39  |


Notes to Financial Statements (continued)

 

March 31, 2020 (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. 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 pursuant to the Funds’ pricing policies and procedures.

As of March 31, 2020, securities held by Strategic Income Fund were fair valued as follows:

 

Securities
classified as

fair valued

  

Percentage of
Net Assets

    

Securities fair
valued by the
Fund’s adviser

    

Percentage of

Net Assets

 

$229,992,568

     4.0%        $24,716,997        0.4%  

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 (including income reinvested) and foreign withholding tax, if applicable, is recorded on the 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

 

|  40


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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, if any, 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 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.

For the six months ended March 31, 2020, the amount of income available to be distributed by Strategic Income Fund has been reduced by $35,733,552 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.  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

 

41  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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, 2020 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.

e.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the 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 re-designations, defaulted and/or non-income producing securities, foreign currency gains and losses, premium amortization, convertible bonds, paydown gains and losses, partnership basis adjustments and deferred Trustees’ fees. 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,

 

|  42


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

contingent payment debt instruments, partnership basis adjustments 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 net realized short-term capital gains are reported as 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, 2019 was as follows:

 

     2019 Distributions Paid From:  

Fund

  

Ordinary
Income

    

Long-Term
Capital Gains

    

Total

 

Growth Fund

   $ 44,783,074      $ 359,635,192      $ 404,418,266  

Strategic Income Fund

     263,812,130        37,679,164        301,491,294  

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of March 31, 2020, unrealized appreciation (depreciation) on a tax basis was approximately as follows:

 

     Growth Fund      Strategic
Income Fund
 

Unrealized appreciation (depreciation)

     

Investments

   $ 2,101,615,012      $ (617,972,250

Foreign currency translations

            (571,004,275
  

 

 

    

 

 

 

Total unrealized appreciation (depreciation)

   $ 2,101,615,012      $ (1,188,976,525
  

 

 

    

 

 

 

As of March 31, 2020, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

     Growth Fund     Strategic
Income Fund
 

Federal tax cost

   $ 6,216,925,889     $ 6,949,107,737  
  

 

 

   

 

 

 

Gross tax appreciation

   $ 2,359,120,739     $ 377,508,555  

Gross tax depreciation

     (257,505,727     (1,563,954,516
  

 

 

   

 

 

 

Net tax appreciation (depreciation)

   $ 2,101,615,012     $ (1,186,445,961
  

 

 

   

 

 

 

 

43  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

The difference between these amounts and those reported in the preceding table are primarily attributable to foreign currency mark-to-market.

Amounts in the tables above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales.

f.  Senior Loans.  Strategic Income Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior 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 senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. Senior loans outstanding at the end of the period are listed in the Fund’s Portfolio of Investments.

g.  Loan Participations.  A Fund’s investments in senior loans may be in the form of participations in loans. When investing in a loan participation, 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. 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 from both the party from whom it purchased the loan participation and the borrower. Additionally, a Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

There were no loan participations held by the Funds as of March 31, 2020.

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, 2020, each

 

|  44


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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.

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.

For the six months ended March 31, 2020, 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 August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of

 

45  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

the adoption of ASU 2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. New disclosures required by ASU 2018-13 will be incorporated in the Funds’ semiannual financial statements as of March 31, 2021.

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. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. 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. 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.

 

|  46


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2020, at value:

Growth Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Common Stocks(a)

   $ 8,197,351,885      $      $   —      $ 8,197,351,885  

Short-Term Investments

            121,189,016               121,189,016  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 8,197,351,885      $ 121,189,016      $      $ 8,318,540,901  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)

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

Strategic Income Fund

Asset Valuation Inputs

 

Description

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Bonds and Notes

       

Non-Convertible Bonds

       

ABS Other

  $     $ 6,743,104     $ 24,331,543 (b)(c)     $ 31,074,647  

Finance Companies

    1,894,805       230,855,370             232,750,175  

Independent Energy

          80,017,234       285,076 (c)(d)      80,302,310  

All Other Non-Convertible Bonds(a)

          3,319,928,679             3,319,928,679  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Non-Convertible Bonds

    1,894,805       3,637,544,387       24,616,619       3,664,055,811  
 

 

 

   

 

 

   

 

 

   

 

 

 

Convertible Bonds

       

Independent Energy

          5,752,269       1,314,060 (e)      7,066,329  

All Other Convertible Bonds(a)

          243,238,700             243,238,700  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Convertible Bonds

          248,990,969       1,314,060       250,305,029  
 

 

 

   

 

 

   

 

 

   

 

 

 

Municipals(a)

          85,178,816             85,178,816  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Bonds and Notes

    1,894,805       3,971,714,172       25,930,679       3,999,539,656  
 

 

 

   

 

 

   

 

 

   

 

 

 

Senior Loans(a)

          35,233,368             35,233,368  

Common Stocks

       

Chemicals

          6,725,551             6,725,551  

Media

    3,640,794       497,943             4,138,737  

Oil, Gas & Consumable Fuels

    203,749       2,593,284       100,378 (c)(d)      2,897,411  

 

47  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

Strategic Income Fund (continued)

Asset Valuation Inputs (continued)

 

Description

 

Level 1

   

Level 2

   

Level 3

    

Total

 

Specialty Retail

                (c)        

All Other Common Stocks(a)

    611,507,510                    611,507,510  
 

 

 

   

 

 

   

 

 

    

 

 

 

Total Common Stocks

    615,352,053       9,816,778       100,378        625,269,209  
 

 

 

   

 

 

   

 

 

    

 

 

 

Preferred Stocks

        

Convertible Preferred Stocks

        

Independent Energy

    748,969       2,082,618              2,831,587  

Midstream

    10,418,771       2,082,584              12,501,355  

All Other Convertible Preferred Stocks(a)

    10,857,232                    10,857,232  
 

 

 

   

 

 

   

 

 

    

 

 

 

Total Convertible Preferred Stocks

    22,024,972       4,165,202              26,190,174  
 

 

 

   

 

 

   

 

 

    

 

 

 

Non-Convertible Preferred Stocks

        

REITs – Office Property

          1,675,800              1,675,800  

REITs – Warehouse/Industrials

          8,365,824              8,365,824  

All Other Non-Convertible Preferred Stocks(a)

    1,038,672                    1,038,672  
 

 

 

   

 

 

   

 

 

    

 

 

 

Total Non-Convertible Preferred Stocks

    1,038,672       10,041,624              11,080,296  
 

 

 

   

 

 

   

 

 

    

 

 

 

Total Preferred Stocks

    23,063,644       14,206,826              37,270,470  
 

 

 

   

 

 

   

 

 

    

 

 

 

Closed-End Investment Companies

    1,406,529                    1,406,529  

Warrants

          4,793,656              4,793,656  

Short-Term Investments

          1,059,148,888              1,059,148,888  
 

 

 

   

 

 

   

 

 

    

 

 

 

Total

  $ 641,717,031     $ 5,094,913,688     $ 26,031,057      $ 5,762,661,776  
 

 

 

   

 

 

   

 

 

    

 

 

 

 

(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 a broker-dealer bid price provided by a single market maker.

(c)

Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs.

(d)

Fair valued by the Fund’s adviser.

(e)

Valued using broker-dealer bid prices.

 

|  48


Notes to Financial Statements (continued)

 

March 31, 2020 (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, 2019 and/or March 31, 2020:

Strategic Income Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of
September 30,
2019

   

Accrued
Discounts
(Premiums)

   

Realized
Gain
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

 

Bonds and Notes

         

Non-Convertible Bonds

         

ABS Other

  $ 23,351,916 (a)    $     $     $ 366,089     $ 744,328  

Independent Energy

    3,593,400 (a)      167,702             (3,476,026      

Convertible Bonds

         

Independent Energy

          315,969             (25,018,667     2,707,088  

Common Stocks

         

Oil, Gas & Consumable Fuels

    1,569 (a)                  (582,491      

Specialty Retail

    (a)                         

Preferred Stocks

         

Convertible Preferred Stocks

 

       

Independent Energy

    11,391,481                          

Midstream

    25,613,285                          
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 63,951,651     $ 483,671     $   —     $ (28,711,095   $ 3,451,416  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

49  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

Strategic 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,
2020

   

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
March 31,
2020

 

Bonds and Notes

         

Non-Convertible Bonds

         

ABS Other

  $ (130,790   $     $     $ 24,331,543 (a)    $ 423,834  

Independent Energy

                      285,076 (a)      (3,476,026

Convertible Bonds

         

Independent Energy

          23,309,670             1,314,060       (25,018,667

Common Stocks

         

Oil, Gas & Consumable Fuels

          681,300             100,378 (a)      (582,491

Specialty Retail

                      (a)       

Preferred Stocks

         

Convertible Preferred Stocks

         

Independent Energy

                (11,391,481            

Midstream

                (25,613,285            
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (130,790   $ 23,990,970     $ (37,004,766   $ 26,031,057     $ (28,653,350
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)

Includes a security fair valued at zero using Level 3 Inputs.

A debt security valued at $23,309,670 was transferred from Level 2 to Level 3 during the period ended March 31, 2020. At September 30, 2019, 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, 2020, 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.

 

|  50


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

A common stock valued at $681,300 was transferred from Level 2 to Level 3 during the period ended March 31, 2020. At September 30, 2019, 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, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.

Preferred stocks valued at $37,004,766 were transferred from Level 3 to Level 2 during the period ended March 31, 2020. At September 30, 2019, these securities were 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 securities. At March 31, 2020, 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.

4.  Purchases and Sales of Securities.  For the six months ended March 31, 2020, 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

 

Growth Fund

   $      $      $ 794,560,104      $ 1,048,656,896  

Strategic Income Fund

     710,139,613        162,619,414        57,216,430        757,728,173  

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. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

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

 

Growth Fund

    0.50     0.50     0.50     0.50     0.50

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,

 

51  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2021, 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, 2020 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

 

Growth Fund

     1.25     2.00     0.95     1.00      

Strategic Income Fund

     1.25     2.00     0.95     1.00     1.50

Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of 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, 2020, the management fees for each Fund were as follows:

 

Fund

  

Gross
Management
Fees

    

Percentage of
Average
Daily Net Assets

 

Growth Fund

   $ 23,111,090        0.50

Strategic Income Fund

     19,394,989        0.57

No expenses were recovered for either Fund during the six months ended March 31, 2020 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis 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 Strategic Income

 

|  52


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Class A Plans, each Fund pays Natixis 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 Natixis 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 Natixis 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 Natixis 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 Natixis 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 Natixis Distribution in connection with the marketing or sale of Class C shares.

Under the Admin Class Plan, Strategic Income Fund pays Natixis 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 Natixis Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis 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 Strategic Income Fund may pay Natixis 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, 2020, 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

 

Growth Fund

   $ 1,618,610      $ 152,539      $      $ 457,616      $  

Strategic Income Fund

     2,276,550        689,738        151,683        2,069,214        151,683  

 

53  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

c.   Administrative Fees.  Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2020, the administrative fees for each Fund were as follows:

 

Fund

  

Administrative
Fees

 

Growth Fund

   $ 2,027,378  

Strategic Income Fund

     1,502,898  

d.   Sub-Transfer Agent Fees.  Natixis 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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis 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, 2020, 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

 

Growth Fund

   $ 3,511,848  

Strategic Income Fund

     2,544,242  

 

|  54


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

As of March 31, 2020, the Funds owe Natixis 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

 

Growth Fund

   $ 65,938  

Strategic Income Fund

     23,181  

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.

e.   Commissions.   Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended March 31, 2020, were as follows:

 

Fund

  

Commissions

 

Growth Fund

   $ 16,491  

Strategic Income Fund

     22,775  

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 Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. 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, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. 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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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.

Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson)

 

55  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. All other Trustee fees remained unchanged.

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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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.

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trust.

g.   Affiliated Ownership.   As of March 31, 2020, Loomis Sayles Funded Pension Plan and Trust and Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Growth Fund representing 0.17% and 0.72%, respectively, of the Fund’s net assets.

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

 

|  56


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

h.   Affiliated Transactions.  As a result of a business restructuring, Strategic Income Fund received common stock shares of Bellatrix Exploration Ltd. (the “Company”) which constitutes more than 5% of the voting securities of the Company. As such, the Company is considered to be an affiliate. A summary of affiliated transactions for the six months ended March 31, 2020, is as follows:

 

    Beginning
Value
    Purchase
Cost
    Sales
Proceeds
    Accrued
Discounts
(Premiums)
    Realized
Gain
(Loss)
    Change in
Unrealized
Gain
(Loss)
    Ending
Value
    Investment
Income
 

Bellatrix Exploration Ltd., 8.500%

  $ 3,593,400     $   —     $   —     $ 12,191     $   —     $ (3,320,515   $ 285,076     $   —  

Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash)

                      155,511             (155,511            

Bellatrix Exploration Ltd.

                                               
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 3.593,400     $     $     $ 167,702     $     $ (3,476,026   $ 285,076     $  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

6.  Class-Specific Transfer Agent Fees and Expenses.  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.

For the six months ended March 31, 2020, 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

 

Growth Fund

   $ 569,015      $ 53,607      $ 2,176      $ 3,202,562      $  

Strategic Income Fund

     736,736        223,500        2,130        1,679,771        49,085  

7.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject

 

57  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, 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 certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended March 31, 2020, neither Fund had borrowings under this agreement.

8.  Risk.  Strategic Income Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.

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, 2020, based on management’s evaluation of the shareholder account base, the Growth 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

 

Growth Fund

     4        48.93

Omnibus shareholder accounts for which Natixis 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

 

|  58


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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.

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, 2020

 
   
Year Ended
September 30, 2019

 

Growth Fund

     Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

     9,430,803     $ 154,436,882       19,091,773     $ 297,048,970  

Issued in connection with the reinvestment of distributions

     1,535,788       26,261,971       3,582,164       47,177,097  

Redeemed

     (14,411,222     (233,286,303     (12,138,033     (185,450,226
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (3,444,631   $ (52,587,450     10,535,904     $ 158,775,841  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C

 

Issued from the sale of shares

     569,054     $ 8,523,047       1,154,714     $ 15,338,399  

Issued in connection with the reinvestment of distributions

     120,727       1,870,055       332,911       3,998,270  

Redeemed

     (1,192,627     (17,557,594     (2,056,040     (28,433,099
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (502,846   $ (7,164,492     (568,415   $ (9,096,430
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N

 

Issued from the sale of shares

     12,980,479     $ 234,614,931       8,887,567     $ 147,132,489  

Issued in connection with the reinvestment of distributions

     728,950       13,354,361       2,024,898       28,510,563  

Redeemed

     (9,532,900     (172,465,963     (43,548,774     (706,227,218
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     4,176,529     $ 75,503,329       (32,636,309   $ (530,584,166
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y

 

Issued from the sale of shares

     59,851,467     $ 1,049,175,456       117,111,537     $ 1,914,578,957  

Issued in connection with the reinvestment of distributions

     8,337,704       152,830,107       16,819,594       236,988,075  

Redeemed

     (69,851,763     (1,227,580,408     (111,406,135     (1,805,455,678
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (1,662,592   $ (25,574,845     22,524,996     $ 346,111,354  
  

 

 

   

 

 

   

 

 

   

 

 

 

Decrease from capital share transactions

     (1,433,540   $ (9,823,458     (143,824   $ (34,793,401
  

 

 

   

 

 

   

 

 

   

 

 

 

 

59  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

10.  Capital Shares (continued).

 

    
Six Months Ended
March 31, 2020

 
   
Year Ended
September 30, 2019

 

Strategic Income Fund

     Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

     14,705,227     $ 208,470,285       27,644,005     $ 388,066,928  

Issued in connection with the reinvestment of distributions

     1,709,124       24,177,052       3,733,655       52,153,952  

Redeemed

     (23,389,704     (328,260,614     (40,562,001     (568,498,683
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (6,975,353   $ (95,613,277     (9,184,341   $ (128,277,803
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C

 

Issued from the sale of shares

     1,067,108     $ 15,176,968       2,930,132     $ 41,347,083  

Issued in connection with the reinvestment of distributions

     355,366       5,091,107       1,354,833       19,052,625  

Redeemed

     (14,283,175     (204,044,386     (36,710,107     (519,364,178
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (12,860,701   $ (183,776,311     (32,425,142   $ (458,964,470
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N

 

Issued from the sale of shares

     3,230,792     $ 45,777,321       5,710,006     $ 80,153,591  

Issued in connection with the reinvestment of distributions

     258,355       3,649,677       502,914       7,022,689  

Redeemed

     (4,146,896     (58,459,529     (4,226,437     (59,477,704
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (657,749   $ (9,032,531     1,986,483     $ 27,698,576  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y

 

Issued from the sale of shares

     39,289,569     $ 528,682,656       60,558,641     $ 847,970,819  

Issued in connection with the reinvestment of distributions

     4,284,788       60,494,634       10,011,095       139,677,190  

Redeemed

     (62,949,974     (869,101,851     (123,342,737     (1,721,792,645
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (19,375,617   $ (279,924,561     (52,773,001   $ (734,144,636
  

 

 

   

 

 

   

 

 

   

 

 

 
Admin Class

 

Issued from the sale of shares

     769,026     $ 10,984,945       1,029,988     $ 14,399,151  

Issued in connection with the reinvestment of distributions

     136,302       1,921,442       293,184       4,080,471  

Redeemed

     (1,271,804     (17,478,925     (2,027,234     (28,358,878
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (366,476   $ (4,572,538     (704,062   $ (9,879,256
  

 

 

   

 

 

   

 

 

   

 

 

 

Decrease from capital share transactions

     (40,235,896   $ (572,919,218     (93,100,063   $ (1,303,567,589
  

 

 

   

 

 

   

 

 

   

 

 

 

 

|  60


LOGO

 

LOGO

 

Semiannual Report

March 31, 2020

Loomis Sayles Core Plus Bond Fund

Loomis Sayles Global Allocation Fund

 

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     8  
Financial Statements     45  
Notes to Financial Statements     57  

 

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.


LOOMIS SAYLES CORE PLUS BOND FUND

 

Managers   Symbols
Ian Anderson   Class A    NEFRX
Peter W. Palfrey, CFA®   Class C    NECRX
Richard G. Raczkowski   Class N    NERNX
Barath Sankaran, CFA®   Class Y    NERYX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

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

 

 

 

1  |


Average Annual Total Returns — March 31, 20203

 

             
                             Life of     Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years     Class N     Gross     Net  
     
Class Y (Inception 12/30/94)

 

         
NAV     1.86     6.93     3.45     5.05           0.48     0.48
     
Class A (Inception 11/7/73)                
NAV     1.75       6.64       3.19       4.78             0.73       0.73  
With 4.25% Maximum Sales Charge     -2.59       2.09       2.29       4.32              
     
Class C (Inception 12/30/94)

 

         
NAV     1.44       5.92       2.43       4.00             1.48       1.48  
With CDSC1     0.44       4.92       2.43       4.00              
     
Class N (Inception 2/1/13)                
NAV     1.91       7.02       3.55             3.42       0.39       0.39  
   
Comparative Performance                
Bloomberg Barclays U.S. Aggregate Bond Index2     3.33       8.93       3.36       3.88       3.20                  

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 im.natixis.com. Performance for other share classes will be greater or less than shown based on differences 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. Aggregate Bond Index is broad-based index that covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

 

3

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

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2


LOOMIS SAYLES GLOBAL ALLOCATION 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.

 

 

 

3  |


Average Annual Total Returns — March 31, 20204

 

             
                             Life of     Expense Ratios5  
     6 Months     1 Year     5 Years     10 Years     Class N     Gross     Net  
     
Class Y (Inception 5/1/96)

 

         
NAV     -8.98     -3.15     5.22     7.99           0.91     0.91
     
Class A (Inception 2/1/06)                
NAV     -9.11       -3.38       4.95       7.71             1.16       1.16  
With 5.75% Maximum Sales Charge     -14.34       -8.92       3.72       7.08              
     
Class C (Inception 2/1/06)

 

         
NAV     -9.45       -4.09       4.17       6.91             1.91       1.91  
With CDSC1     -10.34       -5.03       4.17       6.91              
     
Class N (Inception 2/1/17)                
NAV     -8.96       -3.04                   6.50       0.82       0.82  
   
Comparative Performance                
MSCI All Country World Index (Net)2     -14.33       -11.26       2.85       5.88       2.67        
Blended Index3     -8.52       -4.94       2.99       4.72       3.33                  

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 im.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) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.

 

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

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

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  4


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 Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates 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 Fund’s website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities the most recent 12-month period ended June 30 is available from the Fund’s 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-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

 

5  |


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 Fund’s prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Fund 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, 2019 through March 31, 2020. 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 the 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.

 

LOOMIS SAYLES CORE PLUS BOND FUND   BEGINNING
ACCOUNT VALUE
10/1/2019
    ENDING
ACCOUNT VALUE
3/31/2020
    EXPENSES PAID
DURING PERIOD*
10/1/2019 – 3/31/2020
 
Class A        
Actual     $1,000.00       $1,017.50       $3.63  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.40       $3.64  
Class C        
Actual     $1,000.00       $1,014.40       $7.40  
Hypothetical (5% return before expenses)     $1,000.00       $1,017.65       $7.41  
Class N        
Actual     $1,000.00       $1,019.10       $1.92  
Hypothetical (5% return before expenses)     $1,000.00       $1,023.10       $1.92  
Class Y        
Actual     $1,000.00       $1,018.60       $2.37  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.65       $2.38  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.72%, 1.47%, 0.38% and 0.47% 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 (183), divided by 366 (to reflect the half-year period).

 

|  6


LOOMIS SAYLES GLOBAL ALLOCATION
FUND
  BEGINNING
ACCOUNT VALUE
10/1/2019
    ENDING
ACCOUNT VALUE
3/31/2020
    EXPENSES PAID
DURING PERIOD*
10/1/2019 – 3/31/2020
 
Class A        
Actual     $1,000.00       $908.90       $5.49  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.25       $5.81  
Class C        
Actual     $1,000.00       $905.50       $9.05  
Hypothetical (5% return before expenses)     $1,000.00       $1,015.50       $9.57  
Class N        
Actual     $1,000.00       $910.40       $3.92  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.90       $4.14  
Class Y        
Actual     $1,000.00       $910.20       $4.30  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.50       $4.55  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 1.15%, 1.90%, 0.82% and 0.90% 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 (183), divided by 366 (to reflect the half-year period).

 

7  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund

 

Principal
Amount (‡)
     Description    Value (†)  
  Bonds and Notes — 93.5% of Net Assets  
  Non-Convertible Bonds — 93.3%  
       ABS Car Loan — 0.9%  
$ 88,518      AmeriCredit Automobile Receivables Trust, Series 2015-4, Class C,
2.880%, 7/08/2021
   $ 88,491  
  1,333,333      Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.500%, 7/20/2021, 144A      1,330,943  
  11,955,000      Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A,
2.990%, 6/20/2022, 144A
     11,675,759  
  15,005,000      Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class A,
2.720%, 11/20/2022, 144A
     14,703,473  
  10,350,000      Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A,
3.070%, 9/20/2023, 144A
     9,718,391  
  4,985,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A,
3.450%, 3/20/2023, 144A
     4,905,706  
  11,130,000      CarMax Auto Owner Trust, Series 2019-4, Class A2A, 2.010%, 3/15/2023      11,118,601  
  7,435,000      Credit Acceptance Auto Loan Trust, Series 2017-3A, Class B,
3.210%, 8/17/2026, 144A
     7,387,058  
  2,089,178      Santander Drive Auto Receivables Trust, Series 2018-2, Class B,
3.030%, 9/15/2022
     2,089,800  
  4,140,000      Santander Drive Auto Receivables Trust, Series 2018-2, Class C,
3.350%, 7/17/2023
     4,120,746  
  2,475,000      Santander Drive Auto Receivables Trust, Series 2019-3, Class A3,
2.160%, 11/15/2022
     2,442,893  
     

 

 

 
        69,581,861  
     

 

 

 
       ABS Credit Card — 0.1%  
  11,115,000      World Financial Network Credit Card Master Trust, Series 2016-A, Class A, 2.030%, 4/15/2025      11,061,612  
     

 

 

 
       ABS Home Equity — 1.6%  
  2,059,268      Bayview Koitere Fund Trust, Series 2017-SPL3, Class A,
4.000%, 11/28/2053, 144A(a)
     2,055,608  
  2,682,119      Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A,
4.000%, 4/28/2055, 144A
     2,716,284  
  1,513,848      Bayview Opportunity Master Fund IVa Trust, Series 2017-RT1, Class A1,
3.000%, 3/28/2057, 144A(a)
     1,489,467  
  8,129,856      Bayview Opportunity Master Fund IVa Trust, Series 2017-RT5, Class A,
3.500%, 5/28/2069, 144A(a)
     8,172,129  
  4,515,209      Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL1, Class A,
4.000%, 10/28/2064, 144A(a)
     4,511,409  
  1,857,802      Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL2, Class A,
4.000%, 6/28/2054, 144A(a)
     1,832,205  
  777,942      Colony American Finance Ltd., Series 2015-1, Class A,
2.896%, 10/15/2047, 144A
     776,317  
  5,844,469      Corevest American Finance Trust, Series 2019-3, Class A,
2.705%, 10/15/2052, 144A
     5,545,390  
  33,170      Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3,
5.115%, 2/25/2035(a)(b)(c)
     32,730  

 

See accompanying notes to financial statements.

 

|  8


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       ABS Home Equity — continued  
$ 24,888,198      Invitation Homes Trust, Series 2018-SFR2, Class A,
1-month LIBOR + 0.900%, 1.605%, 6/17/2037, 144A(d)
   $ 22,933,845  
  7,872,000      Lanark Master Issuer PLC, Series 2019-1A, Class 1A1,
3-month LIBOR + 0.770%, 2.453%, 12/22/2069, 144A(d)
     7,815,951  
  2,026,772      Mill City Mortgage Loan Trust, Series 2016-1, Class A1,
2.500%, 4/25/2057, 144A(a)
     2,009,654  
  6,952,265      Onslow Bay Financial LLC, Series 2018-EXP1, Class 1A3,
4.000%, 4/25/2048, 144A(a)
     6,987,130  
  2,095,943      Sequoia Mortgage Trust, Series 2017-CH1, Class A1,
4.000%, 8/25/2047, 144A(a)
     2,117,096  
  1,972,871      Sequoia Mortgage Trust, Series 2017-CH2, Class A10,
4.000%, 12/25/2047, 144A(a)
     1,971,009  
  4,655,483      Sequoia Mortgage Trust, Series 2018-CH1, Class A1,
4.000%, 2/25/2048, 144A(a)
     4,637,785  
  9,738,102      Sequoia Mortgage Trust, Series 2018-CH3, Class A2,
4.000%, 8/25/2048, 144A(a)
     9,767,831  
  1,454,000      Towd Point Mortgage Trust, Series 2015-1, Class A5,
3.913%, 10/25/2053, 144A(a)
     1,346,731  
  4,905,986      Towd Point Mortgage Trust, Series 2015-2, Class 1A12,
2.750%, 11/25/2060, 144A(a)
     4,883,781  
  5,018,000      Towd Point Mortgage Trust, Series 2015-4, Class M2,
3.750%, 4/25/2055, 144A(a)
     4,721,442  
  4,991,315      Towd Point Mortgage Trust, Series 2016-2, Class A1A,
2.750%, 8/25/2055, 144A(a)
     4,923,889  
  6,017,000      Towd Point Mortgage Trust, Series 2016-2, Class M2,
3.000%, 8/25/2055, 144A(a)
     5,437,117  
  11,691,145      Towd Point Mortgage Trust, Series 2018-3, Class A1,
3.750%, 5/25/2058, 144A(a)
     11,679,464  
     

 

 

 
        118,364,264  
     

 

 

 
       ABS Other — 0.1%  
  149,770      OneMain Financial Issuance Trust, Series 2016-1A, Class A,
3.660%, 2/20/2029, 144A
     149,266  
  4,043,200      TAL Advantage V LLC, Series 2014-3A, Class A,
3.270%, 11/21/2039, 144A
     3,818,751  
     

 

 

 
        3,968,017  
     

 

 

 
       ABS Student Loan — 0.1%  
  4,455,000      SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX,
2.540%, 5/15/2046, 144A
     4,305,508  
     

 

 

 
       ABS Whole Business — 0.4%  
  19,051,275      Coinstar Funding LLC, Series 2017-1A, Class A2,
5.216%, 4/25/2047, 144A
     17,944,045  
  14,262,800      Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I,
4.262%, 9/05/2048, 144A
     13,441,691  
     

 

 

 
        31,385,736  
     

 

 

 

 

See accompanying notes to financial statements.

 

9  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Aerospace & Defense — 0.6%  
$ 921,000      Bombardier, Inc., 5.750%, 3/15/2022, 144A    $ 697,658  
  14,932,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      13,177,490  
  1,910,000      General Dynamics Corp., 4.250%, 4/01/2050      2,405,056  
  4,935,000      Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A      5,115,201  
  28,015,000      Textron, Inc., 3.000%, 6/01/2030      26,188,490  
     

 

 

 
        47,583,895  
     

 

 

 
       Agency Commercial Mortgage-Backed Securities — 2.7%  
  15,165,000      Federal National Mortgage Association, Series 2015-M15, Class A2,
2.923%, 10/25/2025(a)
     16,118,822  
  6,750,000      Federal National Mortgage Association, Series 2015-M17, Class A2,
2.931%, 11/25/2025(a)
     7,163,656  
  10,975,000      Federal National Mortgage Association, Series 2016-M4, Class A2,
2.576%, 3/25/2026
     11,635,212  
  20,355,000      Federal National Mortgage Association, Series 2017-M14, Class A2,
2.876%, 11/25/2027(a)
     22,094,811  
  1,660,000      Federal National Mortgage Association, Series 2017-M15, Class A2,
2.959%, 9/25/2027(a)
     1,781,347  
  7,591,000      Federal National Mortgage Association, Series 2017-M3, Class A2,
2.483%, 12/25/2026(a)
     7,904,097  
  6,538,096      Federal National Mortgage Association, Series 2017-M7, Class A2,
2.961%, 2/25/2027(a)
     7,192,248  
  11,860,279      Federal National Mortgage Association, Series 2018-M1, Class A2,
2.985%, 12/25/2027(a)
     12,950,846  
  2,460,000      Federal National Mortgage Association, Series 2018-M10, Class A2,
3.384%, 7/25/2028(a)
     2,735,040  
  17,925,000      Federal National Mortgage Association, Series 2018-M7, Class A2,
3.052%, 3/25/2028(a)
     19,565,299  
  4,665,000      Federal National Mortgage Association, Series 2018-M8, Class A2,
3.325%, 6/25/2028(a)
     5,359,155  
  7,350,000      FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A2, 3.002%, 1/25/2024      7,775,191  
  2,770,000      FHLMC Multifamily Structured Pass Through Certificates, Series K058, Class A2, 2.653%, 8/25/2026      2,970,905  
  6,195,000      FHLMC Multifamily Structured Pass Through Certificates, Series K061, Class A2, 3.347%, 11/25/2026(a)      6,897,727  
  6,995,000      FHLMC Multifamily Structured Pass Through Certificates, Series K062, Class A2, 3.413%, 12/25/2026      7,827,935  
  5,105,490      FHLMC Multifamily Structured Pass Through Certificates, Series K063, Class A2, 3.430%, 1/25/2027(a)      5,717,658  
  915,000      FHLMC Multifamily Structured Pass Through Certificates, Series K069, Class A2, 3.187%, 9/25/2027(a)      1,028,738  
  1,310,000      FHLMC Multifamily Structured Pass Through Certificates, Series K071, Class A2, 3.286%, 11/25/2027      1,484,671  
  8,045,000      FHLMC Multifamily Structured Pass Through Certificates, Series K072, Class A2, 3.444%, 12/25/2027      9,208,487  
  2,550,000      FHLMC Multifamily Structured Pass Through Certificates, Series K073, Class A2, 3.350%, 1/25/2028      2,901,853  

 

See accompanying notes to financial statements.

 

|  10


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Agency Commercial Mortgage-Backed Securities — continued  
$ 10,465,000      FHLMC Multifamily Structured Pass Through Certificates, Series K084, Class A2, 3.780%, 10/25/2028(a)    $ 12,277,566  
  11,410,000      FHLMC Multifamily Structured Pass Through Certificates, Series K727, Class A2, 2.946%, 7/25/2024      12,058,056  
  2,151,433      FNMA, 2.880%, 12/01/2027      2,367,848  
  6,485,000      FNMA, 2.900%, 12/01/2027      7,146,871  
  5,035,000      FNMA, 2.950%, 11/01/2027      5,563,883  
  1,816,621      FNMA, 3.015%, 7/01/2028      2,018,204  
     

 

 

 
        201,746,126  
     

 

 

 
       Airlines — 0.0%  
  2,217,826      Continental Airlines Pass Through Certificates, Series 2012-2, Class A,
4.000%, 4/29/2026
     2,081,696  
  485,899      Continental Airlines Pass Through Trust, Series 2010-1, Class A,
4.750%, 7/12/2022
     489,437  
     

 

 

 
        2,571,133  
     

 

 

 
       Automotive — 2.2%  
  12,010,000      Ford Motor Credit Co. LLC, 3.336%, 3/18/2021      11,527,198  
  27,688,000      Ford Motor Credit Co. LLC, 5.750%, 2/01/2021      26,857,360  
  16,412,000      Ford Motor Credit Co. LLC, 5.875%, 8/02/2021      16,083,760  
  18,701,000      General Motors Co., 5.000%, 4/01/2035      14,035,104  
  8,335,000      General Motors Financial Co., Inc., 2.900%, 2/26/2025      7,204,989  
  12,215,000      Hyundai Capital America, 2.650%, 2/10/2025, 144A      11,427,987  
  22,752,000      Hyundai Capital America, 3.000%, 10/30/2020, 144A      22,743,537  
  8,790,000      Hyundai Capital America, 3.000%, 2/10/2027, 144A      8,147,637  
  16,010,000      Lear Corp., 5.250%, 5/15/2049      13,896,048  
  10,350,000      Toyota Motor Corp., 2.358%, 7/02/2024      10,345,993  
  12,805,000      Toyota Motor Credit Corp., MTN, 3.375%, 4/01/2030      12,930,108  
  8,370,000      Volkswagen Group of America Finance LLC, 3.200%, 9/26/2026, 144A      8,049,051  
     

 

 

 
        163,248,772  
     

 

 

 
       Banking — 8.4%  
  21,085,000      American Express Co., 2.500%, 7/30/2024      21,328,615  
  11,855,000      Banco Santander Chile, 2.700%, 1/10/2025, 144A      11,356,497  
  16,016,000      Banco Santander Chile, 3.875%, 9/20/2022, 144A      15,735,720  
  31,480,000      Bangkok Bank PCL, 4.050%, 3/19/2024, 144A      33,220,228  
  10,172,000      Bank of America Corp., (fixed rate to 12/20/2022, variable rate thereafter),
3.004%, 12/20/2023
     10,377,436  
  45,265,000      Bank of America Corp., (fixed rate to 4/23/2026, variable rate thereafter), MTN, 3.559%, 4/23/2027      47,366,449  
  7,058,000      Barclays PLC, 3.200%, 8/10/2021      6,985,725  
  31,390,000      BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter),
2.819%, 11/19/2025, 144A
     31,006,026  
  14,545,000      Capital One NA, 2.150%, 9/06/2022      14,154,334  
  7,000,000      Citigroup, Inc., 4.000%, 8/05/2024      7,142,812  
  30,055,000      Citigroup, Inc., 4.050%, 7/30/2022      30,506,855  
  6,165,000      Credit Suisse AG, 2.100%, 11/12/2021      6,147,245  
  35,820,000      DNB Bank ASA, 2.150%, 12/02/2022, 144A      35,377,595  

 

See accompanying notes to financial statements.

 

11  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Banking — continued  
$ 12,701,000      Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023    $ 13,034,044  
  13,448,000      Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037      17,801,985  
  2,605,000      HSBC Holdings PLC, 4.950%, 3/31/2030(e)(f)      2,844,656  
  19,915,000      Huntington Bancshares, Inc., 2.625%, 8/06/2024      20,606,752  
  10,919,000      JPMorgan Chase & Co., 3.200%, 1/25/2023      11,233,113  
  10,223,000      JPMorgan Chase & Co., 4.350%, 8/15/2021      10,484,780  
  23,597,000      JPMorgan Chase & Co., 4.500%, 1/24/2022      24,647,544  
  33,445,000      JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter),
2.739%, 10/15/2030
     33,884,363  
  3,235,000      Lloyds Banking Group PLC, 3.000%, 1/11/2022      3,206,607  
  3,955,000      Lloyds Banking Group PLC, 3.100%, 7/06/2021      3,942,741  
  23,780,000      Lloyds Banking Group PLC, 4.344%, 1/09/2048      23,811,755  
  3,381,000      Morgan Stanley, GMTN, 3.700%, 10/23/2024      3,545,335  
  12,550,000      Morgan Stanley, GMTN, 5.500%, 7/28/2021      13,030,615  
  21,770,000      Morgan Stanley, Series F, 3.875%, 4/29/2024      22,871,149  
  16,700,000      Nationwide Building Society, (fixed rate to 4/26/2022, variable rate thereafter), 3.622%, 4/26/2023, 144A      16,606,095  
  18,510,000      PNC Bank NA, (fixed rate to 12/9/2021, variable rate thereafter),
2.028%, 12/09/2022
     18,555,024  
  9,123,000      Santander UK Group Holdings PLC, 5.625%, 9/15/2045, 144A      10,405,311  
  31,260,000      Societe Generale S.A., 2.625%, 1/22/2025, 144A      30,093,427  
  26,610,000      Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter),
2.819%, 1/30/2026, 144A
     25,211,801  
  18,300,000      Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024      18,286,148  
  14,405,000      Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029      14,303,112  
  25,285,000      Toronto-Dominion Bank (The), MTN, 2.650%, 6/12/2024      25,683,605  
     

 

 

 
        634,795,499  
     

 

 

 
       Building Materials — 0.1%  
  8,563,000      Owens Corning, 4.200%, 12/01/2024      8,746,742  
     

 

 

 
       Cable Satellite — 0.5%  
  4,025,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A      4,075,916  
  11,360,000      Comcast Corp., 2.650%, 2/01/2030      11,687,006  
  6,060,000      Comcast Corp., 3.750%, 4/01/2040      6,841,116  
  1,460,000      Time Warner Cable LLC, 4.500%, 9/15/2042      1,370,890  
  924,000      Time Warner Cable LLC, 5.500%, 9/01/2041      965,191  
  2,648,000      Time Warner Cable LLC, 5.875%, 11/15/2040      2,787,613  
  8,447,000      Time Warner Cable LLC, 6.550%, 5/01/2037      9,476,285  
  2,013,000      Time Warner Cable LLC, 6.750%, 6/15/2039      2,279,505  
     

 

 

 
        39,483,522  
     

 

 

 
       Chemicals — 1.3%  
  26,749,000      Braskem America Finance Co., 7.125%, 7/22/2041, 144A      23,605,992  
  1,655,000      Ecolab, Inc., 4.800%, 3/24/2030      1,859,039  
  3,680,000      Koppers, Inc., 6.000%, 2/15/2025, 144A      2,944,000  
  14,107,000      Methanex Corp., 5.250%, 3/01/2022      12,940,428  
  17,715,000      Methanex Corp., 5.250%, 12/15/2029      13,264,574  
  10,242,000      Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044, 144A      9,025,763  

 

See accompanying notes to financial statements.

 

|  12


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Chemicals — continued  
$ 11,165,000      Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042, 144A    $ 10,495,212  
  4,402,000      RPM International, Inc., 3.450%, 11/15/2022      4,427,553  
  13,475,000      Sociedad Quimica y Minera de Chile S.A., Series 2020-A, Class A1FX,
4.250%, 1/22/2050, 144A
     10,491,904  
  6,545,000      Univar Solutions USA, Inc., 5.125%, 12/01/2027, 144A      5,955,950  
     

 

 

 
        95,010,415  
     

 

 

 
       Collateralized Mortgage Obligations — 0.9%  
  20,376,226      Federal Home Loan Mortgage Corp., Series 277, Class 30,
3.000%, 9/15/2042
     21,482,649  
  2,542,576      Federal Home Loan Mortgage Corp., Series 353, Class 300,
3.000%, 12/15/2046
     2,750,829  
  5,000,000      Federal Home Loan Mortgage Corp., Series 3654, Class DC,
5.000%, 4/15/2030
     5,836,805  
  484,381      Government National Mortgage Association, Series 2010-H20, Class AF,
1-month LIBOR + 0.330%, 1.992%, 10/20/2060(d)
     476,552  
  401,155      Government National Mortgage Association, Series 2010-H24, Class FA,
1-month LIBOR + 0.350%, 2.012%, 10/20/2060(d)
     394,427  
  311,647      Government National Mortgage Association, Series 2011-H06, Class FA,
1-month LIBOR + 0.450%, 2.112%, 2/20/2061(d)
     307,509  
  3,233,509      Government National Mortgage Association, Series 2012-H12, Class FA,
1-month LIBOR + 0.550%, 2.212%, 4/20/2062(d)
     3,205,907  
  419,470      Government National Mortgage Association, Series 2012-H18, Class NA,
1-month LIBOR + 0.520%, 2.182%, 8/20/2062(d)
     415,210  
  3,442,841      Government National Mortgage Association, Series 2012-H27, Class FA,
1-month LIBOR + 0.400%, 2.062%, 10/20/2062(d)
     3,396,369  
  669,828      Government National Mortgage Association, Series 2013-H01, Class FA,
1.650%, 1/20/2063(b)(c)
     665,434  
  937,242      Government National Mortgage Association, Series 2013-H03, Class HA,
1.750%, 12/20/2062(b)(c)
     927,656  
  1,485,679      Government National Mortgage Association, Series 2013-H04, Class BA,
1.650%, 2/20/2063
     1,482,521  
  4,567,016      Government National Mortgage Association, Series 2013-H07, Class DA,
2.500%, 3/20/2063
     4,568,139  
  8,557,086      Government National Mortgage Association, Series 2013-H10, Class PA,
2.500%, 4/20/2063
     8,594,130  
  11,686,941      Government National Mortgage Association, Series 2015-H10, Class JA,
2.250%, 4/20/2065
     11,883,119  
  5,682,265      Government National Mortgage Association, Series 2015-H13, Class FG,
1-month LIBOR + 0.400%, 2.062%, 4/20/2065(d)
     5,607,064  
  86,374      Government National Mortgage Association, Series 2015-H13, Class FL,
1-month LIBOR + 0.280%, 1.942%, 5/20/2063(b)(c)(d)
     85,329  
     

 

 

 
        72,079,649  
     

 

 

 
       Construction Machinery — 0.4%  
  7,060,000      Caterpillar Financial Services Corp., MTN, 2.150%, 11/08/2024      7,091,383  
  8,705,000      CNH Industrial Capital LLC, 4.375%, 4/05/2022      8,553,097  
  5,950,000      Deere & Co., 3.750%, 4/15/2050      6,792,128  
  4,790,000      John Deere Capital Corp., MTN, 2.600%, 3/07/2024      4,818,390  
     

 

 

 
        27,254,998  
     

 

 

 

 

See accompanying notes to financial statements.

 

13  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Consumer Cyclical Services — 0.4%  
$ 18,585,000      Amazon.com, Inc., 4.250%, 8/22/2057    $ 25,319,262  
  5,080,000      Mastercard, Inc., 3.850%, 3/26/2050      6,225,269  
     

 

 

 
        31,544,531  
     

 

 

 
       Consumer Products — 0.3%  
  5,595,000      Hasbro, Inc., 3.550%, 11/19/2026      5,337,522  
  1,040,000      Hasbro, Inc., 3.900%, 11/19/2029      928,032  
  12,835,000      Whirlpool Corp., 4.750%, 2/26/2029      13,236,736  
  3,495,000      Whirlpool Corp., MTN, 4.850%, 6/15/2021      3,555,018  
     

 

 

 
        23,057,308  
     

 

 

 
       Diversified Manufacturing — 0.1%  
  1,158,000      Crane Co., 6.550%, 11/15/2036      1,545,396  
  2,770,000      General Electric Co., 5.300%, 2/11/2021      2,803,865  
     

 

 

 
        4,349,261  
     

 

 

 
       Electric — 1.5%  
  160,000      AES Corp. (The), 4.500%, 3/15/2023      156,800  
  3,580,000      AES Corp. (The), 5.125%, 9/01/2027      3,588,878  
  2,875,000      Berkshire Hathaway Energy Co., 4.250%, 10/15/2050, 144A      3,255,757  
  26,274,435      Cometa Energia S.A. de CV, 6.375%, 4/24/2035, 144A      23,778,363  
  9,275,000      Dominion Energy, Inc., 3.375%, 4/01/2030      9,181,786  
  1,005,000      Edison International, 4.950%, 4/15/2025      1,002,678  
  3,315,000      Enel Americas S.A., 4.000%, 10/25/2026      3,097,072  
  3,364,000      Enel Generacion Chile S.A., 4.250%, 4/15/2024      3,308,059  
  5,065,000      Exelon Corp., 4.050%, 4/15/2030      5,115,651  
  1,575,000      Exelon Corp., 4.700%, 4/15/2050      1,622,328  
  9,995,000      Florida Power & Light Co., 3.150%, 10/01/2049      10,372,811  
  17,247,000      National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043      17,173,183  
  3,170,000      Ohio Power Co., Series P, 2.600%, 4/01/2030      3,078,638  
  5,930,000      PPL Electric Utilities Corp., 3.000%, 10/01/2049      5,690,058  
  8,413,000      Transelec S.A., 4.250%, 1/14/2025, 144A      7,992,350  
  4,380,000      Transelec S.A., 4.625%, 7/26/2023, 144A      4,424,939  
  3,050,000      Virginia Electric & Power Co., Class A, 2.875%, 7/15/2029      3,021,012  
  4,270,000      Xcel Energy, Inc., 3.400%, 6/01/2030      4,324,645  
     

 

 

 
        110,185,008  
     

 

 

 
       Finance Companies — 0.4%  
  1,534,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.300%, 1/23/2023
     1,305,242  
  18,035,000      Air Lease Corp., GMTN, 3.750%, 6/01/2026      15,562,081  
  3,910,000      International Lease Finance Corp., 5.875%, 8/15/2022      3,599,352  
  7,580,000      Navient Corp., 5.000%, 3/15/2027      6,516,526  
  950,000      Navient Corp., 5.875%, 10/25/2024      874,000  
  1,125,000      Navient Corp., 6.750%, 6/15/2026      1,035,000  
  2,977,000      Navient Corp., MTN, 6.125%, 3/25/2024      2,753,725  
     

 

 

 
        31,645,926  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  14


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Financial Other — 0.1%  
$ 6,315,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027    $ 5,833,481  
     

 

 

 
       Food & Beverage — 1.8%  
  16,180,000      Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.,
4.900%, 2/01/2046
     17,622,671  
  12,310,000      Archer-Daniels-Midland Co., 3.250%, 3/27/2030      13,062,501  
  7,380,000      Bacardi Ltd., 5.150%, 5/15/2038, 144A      7,705,886  
  16,885,000      Bacardi Ltd., 5.300%, 5/15/2048, 144A      18,318,996  
  7,755,000      Coca-Cola Co. (The), 4.200%, 3/25/2050      10,127,772  
  25,656,000      Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050      24,032,653  
  3,490,000      Gruma SAB de CV, 4.875%, 12/01/2024, 144A      3,433,322  
  11,845,000      PepsiCo, Inc., 3.875%, 3/19/2060      14,905,779  
  17,140,000      Post Holdings, Inc., 4.625%, 4/15/2030, 144A      16,411,550  
  7,340,000      Sysco Corp., 6.600%, 4/01/2050      7,695,967  
     

 

 

 
        133,317,097  
     

 

 

 
       Government Owned – No Guarantee — 2.6%  
  7,757,000      CNPC General Capital Ltd., 3.950%, 4/19/2022, 144A      8,218,370  
  17,981,000      Dolphin Energy Ltd. LLC, 5.500%, 12/15/2021, 144A      17,860,707  
  11,005,000      Mexico City Airport Trust, 5.500%, 7/31/2047, 144A      8,967,864  
  18,213,000      OCP S.A., 5.625%, 4/25/2024, 144A      18,053,636  
  7,355,000      Ooredoo International Finance Ltd., 3.250%, 2/21/2023, 144A      7,134,350  
  10,955,000      Ooredoo International Finance Ltd., 3.875%, 1/31/2028, 144A      11,111,087  
  11,250,000      Saudi Arabian Oil Co., 4.375%, 4/16/2049, 144A      11,163,302  
  18,945,000      Syngenta Finance NV, 3.698%, 4/24/2020, 144A      18,908,561  
  31,720,000      Tennessee Valley Authority, 4.250%, 9/15/2065      45,618,373  
  9,045,000      Tennessee Valley Authority, 4.625%, 9/15/2060      13,588,117  
  6,401,000      Tennessee Valley Authority, 4.875%, 1/15/2048      10,119,381  
  10,957,000      Tennessee Valley Authority, 5.250%, 9/15/2039      16,762,874  
  10,930,000      Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A      10,509,195  
     

 

 

 
        198,015,817  
     

 

 

 
       Health Insurance — 0.1%  
  9,900,000      Centene Corp., 3.375%, 2/15/2030, 144A      9,207,000  
     

 

 

 
       Healthcare — 0.8%  
  7,470,000      CVS Health Corp., 4.300%, 3/25/2028      7,990,237  
  18,025,000      CVS Health Corp., 5.050%, 3/25/2048      20,594,067  
  18,740,000      Partners Healthcare System, Inc., Series 2020, 3.342%, 7/01/2060      18,706,626  
  13,364,000      Universal Health Services, Inc., 4.750%, 8/01/2022, 144A      13,288,895  
     

 

 

 
        60,579,825  
     

 

 

 
       Hybrid ARMs — 0.0%  
  31,225      FNMA, 6-month LIBOR + 1.544%, 3.419%, 2/01/2037(d)      31,707  
     

 

 

 
       Independent Energy — 0.6%  
  2,940,000      Aker BP ASA, 3.000%, 1/15/2025, 144A      2,333,768  
  14,785,000      Occidental Petroleum Corp., 2.600%, 8/13/2021      11,625,360  
  9,258,667      Pan American Energy LLC, 7.875%, 5/07/2021, 144A      8,112,999  
  10,701,000      Range Resources Corp., 5.000%, 8/15/2022      8,022,540  
  12,316,000      SM Energy Co., 6.125%, 11/15/2022      5,211,245  
  14,340,000      WPX Energy, Inc., 4.500%, 1/15/2030      7,786,620  
     

 

 

 
        43,092,532  
     

 

 

 

 

See accompanying notes to financial statements.

 

15  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Industrial Other — 0.4%  
$ 11,005,000      CK Hutchison International 16 Ltd., 2.750%, 10/03/2026, 144A    $ 11,452,227  
  4,020,000      Georgetown University (The), Class A, 5.215%, 10/01/2118      6,077,476  
  3,750,000      Georgetown University (The), Series B, 4.315%, 4/01/2049      4,039,575  
  5,920,000      University of Pennsylvania, 3.610%, 2/15/2119      5,979,416  
     

 

 

 
        27,548,694  
     

 

 

 
       Life Insurance — 0.2%  
  8,900,000      Aflac, Inc., 3.600%, 4/01/2030      9,014,241  
  9,158,000      Northwestern Mutual Life Insurance Co. (The), 3.625%, 9/30/2059, 144A      8,033,492  
     

 

 

 
        17,047,733  
     

 

 

 
       Media Entertainment — 0.8%  
  63,720,000      Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)      1,693,533  
  7,040,000      Lamar Media Corp., 3.750%, 2/15/2028, 144A      6,599,155  
  2,650,000      Lamar Media Corp., 4.000%, 2/15/2030, 144A      2,464,500  
  1,960,000      Omnicom Group, Inc., 4.200%, 6/01/2030      2,018,882  
  11,540,000      Prosus NV, 3.680%, 1/21/2030, 144A      10,432,592  
  15,635,000      Prosus NV, 4.850%, 7/06/2027, 144A      14,948,780  
  14,725,000      Walt Disney Co. (The), 4.625%, 3/23/2040      17,857,021  
  5,565,000      Walt Disney Co. (The), 4.700%, 3/23/2050      7,272,104  
     

 

 

 
        63,286,567  
     

 

 

 
       Metals & Mining — 0.2%  
  8,150,000      Anglo American Capital PLC, 5.625%, 4/01/2030, 144A      8,265,110  
  2,252,000      Freeport-McMoRan, Inc., 3.550%, 3/01/2022      2,175,995  
  1,990,000      Steel Dynamics, Inc., 3.450%, 4/15/2030      1,800,869  
     

 

 

 
        12,241,974  
     

 

 

 
       Midstream — 1.0%  
  670,000      Energy Transfer Operating LP, 5.150%, 2/01/2043      504,133  
  6,959,000      Energy Transfer Operating LP, 5.950%, 10/01/2043      6,017,831  
  10,082,000      Energy Transfer Operating LP, 6.500%, 2/01/2042      9,179,979  
  1,578,000      Energy Transfer Operating LP, 6.625%, 10/15/2036      1,462,447  
  13,236,000      Energy Transfer Partners LP/Regency Energy Finance Corp.,
5.000%, 10/01/2022
     12,053,120  
  2,745,000      Energy Transfer Partners LP/Regency Energy Finance Corp.,
5.875%, 3/01/2022
     2,578,576  
  2,555,000      Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024      2,562,805  
  12,388,000      Kinder Morgan Energy Partners LP, 4.300%, 5/01/2024      12,441,263  
  4,861,000      Kinder Morgan, Inc., 5.000%, 2/15/2021, 144A      4,834,879  
  17,979,000      Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A      18,834,685  
  2,080,000      Sunoco Logistics Partners Operations LP, 5.400%, 10/01/2047      1,656,747  
     

 

 

 
        72,126,465  
     

 

 

 
       Mortgage Related — 24.4%  
  28,968,288      FHLMC, 4.500%, with various maturities in 2048      31,186,786  
  91,894,536      FHLMC, 2.500%, with various maturities from 2049 to 2050(g)      95,207,862  
  30,647,128      FHLMC, 3.000%, with various maturities from 2042 to 2049(g)      32,209,788  
  87,210,231      FHLMC, 3.500%, with various maturities from 2043 to 2049(g)      92,516,363  
  30,183,758      FHLMC, 4.000%, with various maturities from 2044 to 2048(g)      32,658,087  

 

See accompanying notes to financial statements.

 

|  16


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Mortgage Related — continued  
$ 184,306,860      FHLMC, 4.500%, with various maturities from 2041 to 2049(g)    $ 198,589,242  
  113,242,174      FHLMC, 5.000%, with various maturities from 2048 to 2049(g)      122,060,208  
  9,720      FHLMC, 6.000%, 6/01/2035      11,196  
  127,310,966      FNMA, 2.500%, with various maturities from 2045 to 2058(g)      132,276,298  
  388,586,093      FNMA, 3.000%, with various maturities from 2045 to 2049(g)      407,644,954  
  288,447,092      FNMA, 3.500%, with various maturities from 2043 to 2049(g)      303,881,192  
  87,390,566      FNMA, 4.000%, with various maturities from 2041 to 2048(g)      94,400,309  
  126,926,168      FNMA, 4.500%, with various maturities from 2043 to 2049(g)      136,877,111  
  30,696,600      FNMA, 5.000%, with various maturities from 2048 to 2049(g)      33,104,628  
  141,958      FNMA, 6.000%, with various maturities from 2034 to 2037(g)      163,310  
  12,473      FNMA, 6.500%, with various maturities from 2029 to 2031(g)      14,160  
  39,033      FNMA, 7.000%, with various maturities in 2030(g)      44,168  
  19,527      FNMA, 7.500%, with various maturities from 2024 to 2032(g)      22,625  
  544,587      GNMA, 1-month LIBOR + 1.930%, 3.740%, 9/20/2063(d)      562,725  
  103,454      GNMA, 3.890%, 6/20/2062(a)      103,547  
  34,445      GNMA, 3.970%, 8/20/2062(a)      34,513  
  48,413      GNMA, 3.992%, 1/20/2063(a)      48,666  
  10,890      GNMA, 4.060%, 8/20/2061(a)      11,228  
  96,749      GNMA, 4.145%, 12/20/2062(a)      97,201  
  62,215      GNMA, 4.165%, 5/20/2063(a)      62,591  
  62,180      GNMA, 4.235%, 11/20/2062(a)      62,465  
  86,446      GNMA, 4.271%, 7/20/2063(a)      87,536  
  128,046      GNMA, 4.276%, 10/20/2062(a)      127,995  
  44,848      GNMA, 4.284%, 6/20/2062(a)      45,260  
  1,187,512      GNMA, 4.341%, 11/20/2062(a)      1,190,266  
  164,933      GNMA, 4.360%, 4/20/2062(a)      170,006  
  308,004      GNMA, 4.373%, 7/20/2063(a)      310,028  
  10,053,062      GNMA, 4.386%, 12/20/2066(a)      10,825,055  
  132,087      GNMA, 4.397%, 10/20/2062(a)      132,486  
  5,434,936      GNMA, 4.405%, 11/20/2066(a)      5,804,784  
  2,899,501      GNMA, 4.431%, 10/20/2066(a)      3,113,784  
  3,991,020      GNMA, 4.443%, 2/20/2066(a)      4,265,867  
  24,161      GNMA, 4.492%, 7/20/2062(a)      24,495  
  4,680,039      GNMA, 4.493%, 6/20/2066(a)      5,024,475  
  2,022,684      GNMA, 4.499%, 2/20/2066(a)      2,171,403  
  263,398      GNMA, 4.509%, 5/20/2063(a)      264,822  
  3,073,425      GNMA, 4.520%, 9/20/2066(a)      3,309,627  
  3,528,672      GNMA, 4.526%, 6/20/2066(a)      3,776,914  
  4,827,360      GNMA, 4.527%, 12/20/2064(a)      5,088,376  
  3,939,854      GNMA, 4.536%, 12/20/2063(a)      4,143,485  
  3,456,858      GNMA, 4.546%, 6/20/2066(a)      3,723,258  
  4,741,514      GNMA, 4.547%, 2/20/2065(a)      4,979,438  
  2,530,263      GNMA, 4.565%, 4/20/2066(a)      2,709,577  
  10,720,860      GNMA, 4.570%, 12/20/2066(a)      11,617,744  
  6,427,292      GNMA, 4.578%, 10/20/2064(a)      6,748,037  
  3,644,507      GNMA, 4.580%, 6/20/2064(a)      3,841,386  
  6,588,166      GNMA, 4.594%, 2/20/2065(a)      6,957,245  
  2,371,834      GNMA, 4.600%, 1/20/2065(a)      2,496,125  

 

See accompanying notes to financial statements.

 

17  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Mortgage Related — continued  
$ 6,972,718      GNMA, 4.601%, 12/20/2064(a)    $ 7,338,217  
  4,348,606      GNMA, 4.611%, 1/20/2065(a)      4,646,053  
  22,500      GNMA, 4.630%, 12/20/2061(a)      22,471  
  778,851      GNMA, 4.637%, 1/20/2064(a)      813,666  
  7,427,713      GNMA, 4.639%, with various maturities from 2065 to 2066(a)(g)      7,926,872  
  187,867      GNMA, 4.650%, 1/20/2061(a)      189,195  
  3,126,784      GNMA, 4.669%, 1/20/2064(a)      3,251,435  
  4,860,376      GNMA, 4.673%, 6/20/2064(a)      5,125,415  
  2,848      GNMA, 4.700%, with various maturities from 2061 to 2062(a)(g)      2,859  
  3,805,612      GNMA, 4.710%, 1/20/2064(a)      4,006,157  
  2,328      GNMA, 5.075%, 3/20/2062(a)      2,344  
  221,326      GNMA, 5.500%, 4/15/2038      251,504  
  41,972      GNMA, 6.000%, with various maturities from 2029 to 2038(g)      47,538  
  36,868      GNMA, 6.500%, with various maturities from 2029 to 2032(g)      40,939  
  54,493      GNMA, 7.000%, with various maturities from 2025 to 2029(g)      56,694  
  6,828      GNMA, 7.500%, with various maturities from 2025 to 2030(g)      7,579  
  252      GNMA, 8.500%, 10/15/2022      253  
     

 

 

 
        1,840,529,888  
     

 

 

 
       Natural Gas — 0.0%  
  3,185,000      Boston Gas Co., 3.001%, 8/01/2029, 144A      3,075,341  
     

 

 

 
       Non-Agency Commercial Mortgage-Backed Securities — 1.3%  
  14,975,000      BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062      15,629,629  
  7,240,000      BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062      7,515,202  
  16,725,000      Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4,
3.102%, 12/15/2072
     17,375,268  
  18,485,000      Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4,
3.038%, 11/10/2052
     18,543,231  
  1,025,000      Commercial Mortgage Trust, Series 2010-C1, Class D,
5.895%, 7/10/2046, 144A(a)
     1,006,102  
  3,052,113      DBUBS Mortgage Trust, Series 2011-LC1A, Class E,
5.689%, 11/10/2046, 144A(a)
     2,897,685  
  6,637,000      GS Mortgage Securities Trust, Series 2011-GC5, Class C,
5.389%, 8/10/2044, 144A(a)
     6,423,800  
  7,780,000      GS Mortgage Securities Trust, Series 2020-GC45, Class AS,
2.911%, 2/13/2053
     8,024,191  
  8,150,000      UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A4,
3.185%, 3/10/2046
     8,269,251  
  9,412,653      Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class D,
5.569%, 11/15/2043, 144A(a)
     9,184,313  
  5,876,392      WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D,
5.222%, 6/15/2044, 144A(a)
     5,587,546  
     

 

 

 
        100,456,218  
     

 

 

 
       Oil Field Services — 0.5%  
  29,916,000      Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043, 144A      34,938,298  
  8,228,925      Transocean Guardian Ltd., 5.875%, 1/15/2024, 144A      6,583,140  
     

 

 

 
        41,521,438  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  18


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Paper — 0.2%  
$ 5,797,000      Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024    $ 5,449,180  
  10,350,000      Klabin Austria GmbH, 7.000%, 4/03/2049, 144A      9,470,250  
  1,989,000      WestRock RKT LLC, 4.900%, 3/01/2022      2,025,863  
     

 

 

 
        16,945,293  
     

 

 

 
       Pharmaceuticals — 0.4%  
  8,135,000      Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A      7,701,405  
  8,175,000      Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A      7,729,953  
  6,293,000      Biogen, Inc., 2.900%, 9/15/2020      6,311,235  
  8,950,000      Teva Pharmaceutical Finance Netherlands III BV,
7.125%, 1/31/2025, 144A
     8,860,500  
     

 

 

 
        30,603,093  
     

 

 

 
       Property & Casualty Insurance — 0.2%  
  13,365,000      Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A      11,894,850  
  3,171,000      Willis Towers Watson PLC, 5.750%, 3/15/2021      3,249,260  
     

 

 

 
        15,144,110  
     

 

 

 
       Railroads — 0.1%  
  6,160,000      Burlington Northern Santa Fe LLC, 3.550%, 2/15/2050      6,729,128  
  1,340,000      CSX Corp., 3.800%, 4/15/2050      1,400,191  
     

 

 

 
        8,129,319  
     

 

 

 
       Refining — 0.1%  
  8,665,000      Ultrapar International S.A., 5.250%, 10/06/2026, 144A      7,547,302  
     

 

 

 
       REITs – Diversified — 0.2%  
  19,465,000      iStar, Inc., 4.250%, 8/01/2025      16,008,016  
  1,495,000      iStar, Inc., 4.750%, 10/01/2024      1,255,800  
     

 

 

 
        17,263,816  
     

 

 

 
       REITs – Office Property — 0.2%  
  11,225,000      Alexandria Real Estate Equities, Inc., 4.900%, 12/15/2030      12,180,740  
     

 

 

 
       Restaurants — 0.1%  
  990,000      McDonald’s Corp., MTN, 4.200%, 4/01/2050      1,107,359  
  8,110,000      Starbucks Corp., 3.350%, 3/12/2050      7,643,811  
     

 

 

 
        8,751,170  
     

 

 

 
       Retailers — 0.7%  
  27,630,000      El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A      23,520,314  
  2,435,000      Home Depot, Inc. (The), 3.350%, 4/15/2050      2,544,095  
  2,350,000      Lowe’s Cos., Inc., 5.125%, 4/15/2050      2,837,267  
  9,929,000      SACI Falabella, 3.750%, 4/30/2023, 144A      9,405,696  
  7,559,000      SACI Falabella, 4.375%, 1/27/2025, 144A      7,173,832  
  7,375,000      Target Corp., 2.650%, 9/15/2030      7,592,879  
     

 

 

 
        53,074,083  
     

 

 

 
       Sovereigns — 1.4%  
  8,015,000      Indonesia Government International Bond, 3.700%, 1/08/2022, 144A      8,075,994  
  32,145,000      Kingdom of Saudi Arabia, 3.250%, 10/26/2026, 144A      32,061,102  
  21,335,000      Panama Government International Bond, 4.500%, 4/01/2056      23,095,137  

 

See accompanying notes to financial statements.

 

19  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Sovereigns — continued  
$ 20,805,000      Republic of Argentina, 7.500%, 4/22/2026    $ 5,877,621  
  19,040,000      Republic of Argentina, 7.625%, 4/22/2046      4,950,590  
  11,125,000      Republic of Oman, 3.875%, 3/08/2022, 144A      9,697,106  
  8,440,000      State of Israel, 2.750%, 7/03/2030      8,440,000  
  11,830,000      State of Qatar, 3.875%, 4/23/2023, 144A      12,157,691  
     

 

 

 
        104,355,241  
     

 

 

 
       Technology — 2.0%  
  18,770,000      Apple, Inc., 2.050%, 9/11/2026      19,242,660  
  18,765,000      Apple, Inc., 2.200%, 9/11/2029      19,233,313  
  17,895,000      Corning, Inc., 5.450%, 11/15/2079      18,366,821  
  3,000,000      Equifax, Inc., 3.300%, 12/15/2022      3,046,572  
  5,101,000      Equifax, Inc., 7.000%, 7/01/2037      5,850,936  
  10,427,000      Hewlett Packard Enterprise Co., 3.600%, 10/15/2020      10,439,627  
  17,176,000      Hewlett Packard Enterprise Co., 6.200%, 10/15/2035      19,590,931  
  7,515,000      Microchip Technologies, Inc., 4.333%, 6/01/2023      7,492,032  
  7,255,000      Molex Electronic Technologies LLC, 3.900%, 4/15/2025, 144A      7,806,637  
  14,225,000      Oracle Corp., 3.600%, 4/01/2040      14,226,374  
  15,300,000      Oracle Corp., 3.600%, 4/01/2050      15,300,386  
  1,620,000      Science Applications International Corp., 4.875%, 4/01/2028, 144A      1,555,200  
  6,140,000      Texas Instruments, Inc., 2.250%, 9/04/2029      6,133,865  
     

 

 

 
        148,285,354  
     

 

 

 
       Tobacco — 0.6%  
  8,705,000      Altria Group, Inc., 4.400%, 2/14/2026      9,160,542  
  37,450,000      BAT Capital Corp., 2.789%, 9/06/2024      36,205,351  
     

 

 

 
        45,365,893  
     

 

 

 
       Transportation Services — 0.1%  
  10,960,000      Ryder System, Inc., MTN, 2.500%, 9/01/2024      10,432,994  
     

 

 

 
       Treasuries — 27.6%  
  11,604,000(††)      Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)      46,220,338  
  6,796,400(††)      Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)      28,660,768  
  7,494,931(††)      Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)      34,098,658  
  552,860,000      Republic of Uruguay, 8.500%, 3/15/2028, 144A, (UYU)      9,837,954  
  294,989,000      Republic of Uruguay, 9.875%, 6/20/2022, 144A, (UYU)      6,389,715  
  5,020,000      U.S. Treasury Bond, 2.000%, 2/15/2050      5,815,552  
  19,720,000      U.S. Treasury Bond, 2.250%, 8/15/2049      24,023,736  
  93,845,000      U.S. Treasury Bond, 2.375%, 11/15/2049      116,917,673  
  34,105,000      U.S. Treasury Bond, 3.375%, 11/15/2048      50,601,962  
  123,166,416      U.S. Treasury Inflation Indexed Bond, 0.875%, 2/15/2047(h)      146,622,537  
  49,400,668      U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2046(h)      60,036,057  
  81,091,706      U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2049(h)      100,747,590  
  61,989,411      U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2024(h)      62,121,615  
  64,666,334      U.S. Treasury Inflation Indexed Note, 0.250%, 1/15/2025(h)      65,246,915  
  67,056,041      U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2024(h)      68,149,986  
  11,885,000      U.S. Treasury Note, 1.625%, 8/15/2029      12,899,403  
  107,785,000      U.S. Treasury Note, 0.500%, 3/31/2025      108,446,025  
  87,220,000      U.S. Treasury Note, 0.625%, 3/31/2027      87,622,030  

 

See accompanying notes to financial statements.

 

|  20


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Treasuries — continued  
$ 75,425,000      U.S. Treasury Note, 1.500%, 2/15/2030    $ 81,208,566  
  94,045,000      U.S. Treasury Note, 2.375%, 5/15/2029      108,184,812  
  37,405,000      U.S. Treasury Note, 2.625%, 2/15/2029      43,720,016  
  53,565,000      U.S. Treasury Note, 2.875%, 8/15/2028      63,340,612  
  624,792,000      U.S. Treasury Note, 3.125%, 11/15/2028      754,265,497  
     

 

 

 
        2,085,178,017  
     

 

 

 
       Utility Other — 0.3%  
  25,420,000      Acwa Power Management & Investments One Ltd.,
5.950%, 12/15/2039, 144A
     22,883,084  
     

 

 

 
       Wireless — 0.3%  
  1,424,000      American Tower Corp., 4.700%, 3/15/2022      1,446,249  
  20,973,000      Bharti Airtel Ltd., 4.375%, 6/10/2025, 144A      19,404,283  
  1,160,000      Crown Castle International Corp., 4.150%, 7/01/2050      1,147,240  
  3,960,000      Millicom International Cellular S.A., 6.625%, 10/15/2026, 144A      3,757,644  
     

 

 

 
        25,755,416  
     

 

 

 
       Wirelines — 1.0%  
  720,000      AT&T, Inc., 4.350%, 6/15/2045      760,351  
  6,549,000      AT&T, Inc., 4.500%, 3/09/2048      7,092,074  
  1,615,000      AT&T, Inc., 4.750%, 5/15/2046      1,786,062  
  7,715,000      AT&T, Inc., 5.250%, 3/01/2037      9,001,018  
  10,790,000      AT&T, Inc., 5.450%, 3/01/2047      12,939,987  
  11,187,000      Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A      10,700,477  
  3,890,000      Telefonica Emisiones S.A., 5.134%, 4/27/2020      3,890,274  
  23,277,000      Telefonica Emisiones S.A., 5.462%, 2/16/2021      23,601,165  
  3,850,000      Verizon Communications, Inc., 4.000%, 3/22/2050      4,553,147  
     

 

 

 
        74,324,555  
     

 

 

 
   Total Non-Convertible Bonds
(Identified Cost $6,905,899,519)
     7,046,101,040  
     

 

 

 
     
  Municipals — 0.2%  
       Local Authorities — 0.2%  
  17,415,000      University of Virginia, Revenue Bond, Series A, 3.227%, 9/01/2119      16,347,460  
     

 

 

 
   Total Municipals
(Identified Cost $17,415,000)
     16,347,460  
     

 

 

 
     
   Total Bonds and Notes
(Identified Cost $6,923,314,519)
     7,062,448,500  
     

 

 

 
     
  Senior Loans — 2.0%  
       Automotive — 0.1%  
  8,851,849      Dayco Products LLC, 2017 Term Loan B, 3-month LIBOR + 4.250%,
5.863%, 5/19/2023(d)
     6,196,294  
  2,766,100      KAR Auction Services, Inc., 2019 Term Loan B6, 1-month LIBOR + 2.250%, 3.188%, 9/19/2026(d)      2,544,812  
  1,487,781      Visteon Corp., 2018 Term Loan B, LIBOR + 1.750%, 2.787%, 3/25/2024(i)      1,368,758  
     

 

 

 
        10,109,864  
     

 

 

 

 

See accompanying notes to financial statements.

 

21  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Chemicals — 0.1%  
$ 4,133,593      Venator Materials Corp., Term Loan B, 1-month LIBOR + 3.000%,
3.989%, 8/08/2024(d)
   $ 3,513,554  
     

 

 

 
       Consumer Cyclical Services — 0.0%  
  1,369,541      FrontDoor, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%,
3.500%, 8/16/2025(d)
     1,301,064  
     

 

 

 
       Consumer Products — 0.2%  
  11,219,127      Coty, Inc., 2018 USD Term Loan B, 1-month LIBOR + 2.250%,
3.255%, 4/07/2025(d)
     8,871,525  
  661,485      Energizer Holdings, Inc., 2018 Term Loan B,
1-month LIBOR + 2.250%, 3.875%, 12/17/2025(d)
     615,181  
  1,229,011      Resideo Funding, Inc., Term Loan B, 3-month LIBOR + 2.250%,
3.710%, 10/24/2025(d)
     1,106,110  
  29,570      Serta Simmons Bedding LLC, 1st Lien Term Loan, 1-month LIBOR + 3.500%,
4.500%, 11/08/2023(d)
     11,606  
     

 

 

 
        10,604,422  
     

 

 

 
       Gaming — 0.1%  
  4,431,008      Churchill Downs, Inc., 2017 Term Loan B, 1-month LIBOR + 2.000%,
2.990%, 12/27/2024(d)
     3,877,132  
     

 

 

 
       Industrial Other — 0.0%  
  3,013,015      Altra Industrial Motion Corp., 2018 Term Loan B, 1-month LIBOR + 2.000%,
2.989%, 10/01/2025(d)
     2,618,491  
     

 

 

 
       Leisure — 0.1%  

 

9,781,200

 

   AMC Entertainment Holdings, Inc., 2019 Term Loan B, 1-month LIBOR + 3.000%, 4.080%, 4/22/2026(d)      7,131,082  
     

 

 

 
       Media Entertainment — 0.5%  
  10,526,653      Entercom Media Corp., 2019 Term Loan, 1-month LIBOR + 2.500%,
3.489%, 11/18/2024(d)
     9,473,988  
  3,468,383      Lamar Media Corp., 2020 Term Loan B, 1-month LIBOR + 1.500%,
2.516%, 2/05/2027(d)
     3,286,293  
  3,287,231      Meredith Corp., 2020 Term Loan B2, 1-month LIBOR + 2.500%,
3.489%, 1/31/2025(d)
     2,888,654  
  18,206,394      Nielsen Finance LLC, USD Term Loan B4, 1-month LIBOR + 2.000%, 3.005%, 10/04/2023(d)      16,727,124  
  6,019,750      Sinclair Television Group, Inc., Term Loan B2B, 1-month LIBOR + 2.500%,
3.210%, 9/30/2026(d)
     5,658,565  
     

 

 

 
        38,034,624  
     

 

 

 
       Packaging — 0.0%  
  2,611,771      Plastipak Packaging, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 3.490%, 10/14/2024(d)      2,342,759  
     

 

 

 
       Pharmaceuticals — 0.2%  
  5,494,871      Bausch Health Cos., Inc., Term Loan B, 1-month LIBOR + 2.750%,
3.362%, 11/27/2025(d)
     5,192,653  
  7,164,737      Change Healthcare Holdings LLC, 2017 Term Loan B,
1-month LIBOR + 2.500%, 3.500%, 3/01/2024(d)
     6,734,853  

 

See accompanying notes to financial statements.

 

|  22


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Pharmaceuticals — continued  
$ 5,000,468      Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B,
1-week LIBOR + 2.000%, 2.684%, 11/15/2027(d)
   $ 4,712,940  
     

 

 

 
        16,640,446  
     

 

 

 
       Property & Casualty Insurance — 0.1%  
  2,700,750      USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%,
3.989%, 5/16/2024(d)
     2,457,683  
  2,119,688      USI, Inc., 2019 Incremental Term Loan B, 1-month LIBOR + 4.000%,
4.989%, 12/02/2026(d)
     1,893,580  
     

 

 

 
        4,351,263  
     

 

 

 
       Restaurants — 0.2%  
  18,448,763      1011778 B.C. Unlimited Liability Co., Term Loan B4, 1-month LIBOR + 1.750%, 2.739%, 11/19/2026(d)      16,972,861  
     

 

 

 
       Technology — 0.3%  
  9,929,724      Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%,
2.739%, 1/02/2026(d)
     9,333,940  
  1,954,854      Sabre GLBL, Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%,
2.989%, 2/22/2024(d)
     1,627,416  
  9,739,974      SS&C Technologies Inc., 2018 Term Loan B5, 1-month LIBOR + 1.750%,
2.739%, 4/16/2025(d)
     9,088,662  
     

 

 

 
        20,050,018  
     

 

 

 
       Transportation Services — 0.1%  
  9,714,169      Uber Technologies, Inc., 2018 Incremental Term Loan,
1-month LIBOR + 3.500%, 4.489%, 7/13/2023(d)
     9,014,749  
     

 

 

 
   Total Senior Loans
(Identified Cost $164,906,084)
     146,562,329  
     

 

 

 
     
Shares                
  Preferred Stocks — 0.2%  
       Cable Satellite — 0.2%  
  17,563,000      NBCUniversal Enterprise, Inc., 5.250%, 144A
(Identified Cost $18,210,290)
     17,563,000  
     

 

 

 
     
  Common Stocks — 0.0%  
       Oil, Gas & Consumable Fuels — 0.0%  
  77,870      Paragon Offshore Ltd., Litigation Units, Class A(b)(c)(e)(j)(k)       
  116,806      Paragon Offshore Ltd., Litigation Units, Class B(j)(k)      1,343,269  
     

 

 

 
   Total Common Stocks
(Identified Cost $9,028,819)
     1,343,269  
     

 

 

 
     

 

See accompanying notes to financial statements.

 

23  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
  Short-Term Investments — 1.5%   
$ 114,891,593      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $114,891,593 on 4/01/2020 collateralized by $113,765,000 U.S. Treasury Note, 0.500% due 3/15/2023 valued at $114,507,658; $2,605,000 U.S. Treasury Note, 1.750% due 11/30/2021 valued at $2,686,557 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $114,891,593)
   $ 114,891,593  
     

 

 

 
     
   Total Investments — 97.2%
(Identified Cost $7,230,351,305)
     7,342,808,691  
   Other assets less liabilities — 2.8%      208,138,719  
     

 

 

 
   Net Assets — 100.0%    $ 7,550,947,410  
     

 

 

 
     
  (‡)      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 100.

 

  (a)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of March 31, 2020 is disclosed.

 

  (b)      Fair valued by the Fund’s adviser. At March 31, 2020, the value of these securities amounted to $1,711,149 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.

 

  (c)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

  (d)      Variable rate security. Rate as of March 31, 2020 is disclosed.

 

  (e)      Illiquid security.

 

  (f)      Security classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2020, the value of this security amounted to $2,844,656 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.

 

  (g)      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.

 

  (h)      Treasury Inflation Protected Security (TIPS).

 

  (i)      Variable rate security. Rate shown represents the weighted average rate of underlying contracts at March 31, 2020. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.

 

  (j)      Securities subject to restriction on resale. At March 31, 2020, the restricted securities held by the Fund are as follows:

 

       
    Acquisition
Date
    Acquisition
Cost
    Value     % of
Net Assets
 
Paragon Offshore Ltd., Litigation Units, Class A     7/18/2017     $ 429,948     $        
Paragon Offshore Ltd., Litigation Units, Class B     7/18/2017       8,598,870       1,343,269       Less than 0.1%  
       

 

See accompanying notes to financial statements.

 

|  24


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)

 

     
  (k)      Non-income producing security.

 

     
  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, 2020, the value of Rule 144A holdings amounted to $1,180,447,164 or 15.6% of net assets.

 

  ABS      Asset-Backed Securities

 

  ARMs      Adjustable Rate Mortgages

 

  EMTN      Euro Medium Term Note

 

  FHLMC      Federal Home Loan Mortgage Corp.

 

  FNMA      Federal National Mortgage Association

 

  GMTN      Global Medium Term Note

 

  GNMA      Government National Mortgage Association

 

  LIBOR      London Interbank Offered Rate

 

  MTN      Medium Term Note

 

  REITs      Real Estate Investment Trusts

 

     
  MXN      Mexican Peso

 

  UYU      Uruguayan Peso

 

Industry Summary at March 31, 2020 (Unaudited)

 

Treasuries

     27.6

Mortgage Related

     24.4  

Banking

     8.4  

Agency Commercial Mortgage-Backed Securities

     2.7  

Government Owned - No Guarantee

     2.6  

Automotive

     2.3  

Technology

     2.3  

Other Investments, less than 2% each

     25.4  

Short-Term Investments

     1.5  
  

 

 

 

Total Investments

     97.2  

Other assets less liabilities

     2.8  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund

 

    
Shares
     Description    Value (†)  
  Common Stocks — 66.9% of Net Assets  
       Canada — 2.7%  
  787,100      CGI, Inc.(a)    $ 42,612,911  
  1,097,100      Open Text Corp.      38,363,029  
     

 

 

 
        80,975,940  
     

 

 

 
       China — 3.0%  
  452,772      Alibaba Group Holding Ltd., Sponsored ADR(a)      88,055,099  
     

 

 

 
       France — 2.4%  
  316,789      Dassault Systemes SE      46,248,348  
  303,263      Thales S.A.      25,114,945  
     

 

 

 
        71,363,293  
     

 

 

 
       Hong Kong — 1.7%  
  5,668,200      AIA Group Ltd.      50,756,654  
     

 

 

 
       India — 1.1%  
  2,860,400      HDFC Bank Ltd.      32,597,504  
     

 

 

 
       Japan — 1.8%  
  2,463,761      Nomura Research Institute Ltd.      52,041,371  
     

 

 

 
       Sweden — 1.8%  
  1,598,936      Atlas Copco AB, Class A      53,171,412  
     

 

 

 
       Switzerland — 3.6%  
  574,711      Nestle S.A., (Registered)      58,831,892  
  374,809      Temenos AG, (Registered)      48,856,192  
     

 

 

 
        107,688,084  
     

 

 

 
       United Kingdom — 5.6%  
  1,495,802      Halma PLC      35,130,496  
  7,154,976      Legal & General Group PLC      16,905,049  
  341,878      Linde PLC      59,144,894  
  593,148      London Stock Exchange Group PLC      53,060,537  
     

 

 

 
        164,240,976  
     

 

 

 
       United States — 43.2%  
  368,334      Accenture PLC, Class A      60,134,209  
  6,940      Alphabet, Inc., Class C(a)      8,069,901  
  55,037      Alphabet, Inc., Class A(a)      63,950,242  
  40,469      Amazon.com, Inc.(a)      78,903,219  
  283,650      Becton Dickinson & Co.      65,174,260  
  1,456,460      CBRE Group, Inc., Class A(a)      54,923,107  
  210,118      Copart, Inc.(a)      14,397,285  
  689,283      Danaher Corp.      95,403,660  
  348,291      Estee Lauder Cos., Inc. (The), Class A      55,496,688  
  379,662      Facebook, Inc., Class A(a)      63,327,622  
  136,910      Goldman Sachs Group, Inc. (The)      21,164,917  
  82,628      Home Depot, Inc. (The)      15,427,474  
  604,893      IQVIA Holdings, Inc.(a)      65,243,759  
  344,492      M&T Bank Corp.      35,630,808  

 

See accompanying notes to financial statements.

 

|  26


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

    
Shares
     Description    Value (†)  
       United States — continued  
  150,443      MasterCard, Inc., Class A    $ 36,341,011  
  66,809      Mettler-Toledo International, Inc.(a)      46,132,283  
  267,122      Northrop Grumman Corp.      80,817,761  
  5,310      NVR, Inc.(a)      13,641,974  
  119,455      Parker-Hannifin Corp.      15,496,897  
  618,270      Peloton Interactive, Inc.(a)      16,415,068  
  289,598      Roper Technologies, Inc.      90,299,552  
  303,338      S&P Global, Inc.      74,332,977  
  88,828      Sherwin-Williams Co. (The)      40,818,243  
  430,054      Texas Instruments, Inc.      42,975,296  
  245      Thryv Holdings, Inc.(a)(b)      1,102  
  63,607      Tyler Technologies, Inc.(a)      18,863,292  
  338,220      UnitedHealth Group, Inc.      84,345,304  
  107,548      VeriSign, Inc.(a)      19,368,319  
     

 

 

 
        1,277,096,230  
     

 

 

 
   Total Common Stocks
(Identified Cost $1,813,162,111)
     1,977,986,563  
     

 

 

 
     
Principal
Amount (‡)
               
  Bonds and Notes — 30.5%  
  Non-Convertible Bonds — 30.1%  
       Australia — 0.4%  
  1,675,000      Australia Government Bond, Series 133, 5.500%, 4/21/2023, (AUD)(c)      1,194,253  
  670,000      GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A(c)      714,564  
  935,000      National Australia Bank, 2.500%, 1/12/2021(c)      937,665  
  11,610,000      New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD)(c)      7,348,880  
  1,505,000      New South Wales Treasury Corp., 6.000%, 3/01/2022, (AUD)(c)      1,021,354  
  95,000      Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A      94,103  
  1,370,000      Westpac Banking Corp., 2.650%, 1/16/2030(c)      1,364,969  
     

 

 

 
        12,675,788  
     

 

 

 
       Belgium — 0.2%  
  2,745,000      Anheuser-Busch InBev S.A., EMTN, 2.000%, 1/23/2035, (EUR)      2,751,893  
  1,690,000      Anheuser-Busch InBev Worldwide, Inc., 4.750%, 1/23/2029(c)      1,865,506  
     

 

 

 
        4,617,399  
     

 

 

 
       Brazil — 0.8%  
  1,150,000      Banco Bradesco S.A., 2.850%, 1/27/2023, 144A      1,091,684  
  1,035,000      Braskem Netherlands Finance BV, 4.500%, 1/10/2028      827,234  
  1,785,000      Braskem Netherlands Finance BV, 4.500%, 1/31/2030      1,390,515  
  8,500(††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)      1,848,229  
  10,753(††)      Brazil Notas do Tesouro Nacional, 10.000%, 1/01/2029, (BRL)      2,364,567  
  10,980(††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)      2,214,609  
  11,634(††)      Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2027, (BRL)      2,544,289  
  2,685,000      Brazilian Government International Bond, 4.500%, 5/30/2029      2,755,052  
  1,085,000      Brazilian Government International Bond, 4.625%, 1/13/2028      1,155,525  

 

See accompanying notes to financial statements.

 

27  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Brazil — continued  
$ 650,000      Centrais Eletricas Brasileiras S.A., 4.625%, 2/04/2030, 144A    $ 575,250  
  400,000      Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A      372,040  
  1,100,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025(c)      970,750  
  1,250,000      Itau Unibanco Holding S.A., 2.900%, 1/24/2023, 144A      1,188,375  
  2,465,000      Petrobras Global Finance BV, 5.999%, 1/27/2028      2,387,352  
  150,000      Petrobras Global Finance BV, 6.875%, 1/20/2040      146,438  
  575,000      Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A      546,451  
  500,000      Tupy Overseas S.A., 6.625%, 7/17/2024, 144A      416,130  
     

 

 

 
        22,794,490  
     

 

 

 
       Canada — 3.8%  
  411,455      Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A(c)      377,329  
  826,264      Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031, 144A(c)      727,955  
  1,010,000      Antares Holdings LP, 6.000%, 8/15/2023, 144A      1,040,303  
  815,000      Bank of Montreal, 1.750%, 6/15/2021, 144A(c)      827,372  
  1,015,000      Brookfield Finance, Inc., 3.900%, 1/25/2028(c)      1,041,292  
  11,680,000      Canadian Government Bond, 0.500%, 3/01/2022, (CAD)(c)      8,305,473  
  65,740,000      Canadian Government Bond, 0.750%, 3/01/2021, (CAD)(c)      46,856,041  
  35,230,000      Canadian Government Bond, 1.750%, 5/01/2021, (CAD)(c)      25,383,224  
  970,000      Canadian Imperial Bank of Commerce, 3.500%, 9/13/2023(c)      1,029,411  
  1,800,000      Canadian Imperial Bank of Commerce, (fixed rate to 7/22/2022, variable rate thereafter), 2.606%, 7/22/2023(c)      1,806,379  
  800,000      CPPIB Capital, Inc., 0.375%, 6/20/2024, 144A, (EUR)(c)      898,695  
  430,000      Enbridge, Inc., 2.900%, 7/15/2022      388,682  
  905,000      Export Development Canada, 1.800%, 9/01/2022, (CAD)(c)      659,969  
  158,788      GMF Canada Leasing Trust, Series 2018-1A, Class A2, 3.030%, 6/21/2021, 144A, (CAD)      112,899  
  672,176      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(c)      477,277  
  5,000,000      Province of British Columbia Canada, Series 10, 1.750%, 9/27/2024(c)      5,169,476  
  7,200,000      Province of Ontario Canada, 1.875%, 5/21/2020(c)      7,206,336  
  2,355,000      Province of Quebec Canada, 2.300%, 9/01/2029, (CAD)(c)      1,738,396  
  2,475,000      Royal Bank of Canada, GMTN, 2.250%, 11/01/2024(c)      2,486,955  
  2,500,000      Toronto-Dominion Bank (The), 2.100%, 7/15/2022, 144A(c)      2,551,422  
  1,690,000      Toronto-Dominion Bank (The), GMTN, 3.500%, 7/19/2023(c)      1,740,707  
  1,580,000      Videotron Ltd., 5.125%, 4/15/2027, 144A      1,580,000  
     

 

 

 
        112,405,593  
     

 

 

 
       Chile — 0.3%  
  950,000      Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024      893,000  
  1,960,000      Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029, 144A(c)      1,806,026  
  1,700,000      Corp. Nacional del Cobre de Chile, 4.500%, 9/16/2025(c)      1,754,484  
  1,160,000      Corp. Nacional del Cobre de Chile, 4.500%, 9/16/2025, 144A(c)      1,197,177  
  525,000      Enel Chile S.A., 4.875%, 6/12/2028      509,250  
  800,000      Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A(c)      768,008  
  669,524      Latam Airlines Pass Through Trust, Series 2015-1, Class A, 4.200%, 8/15/2029      602,571  

 

See accompanying notes to financial statements.

 

|  28


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Chile — continued  
$ 375,207      Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025    $ 243,885  
  950,000      Latam Finance Ltd., 6.875%, 4/11/2024, 144A      422,322  
  935,000      Republic of Chile, 3.240%, 2/06/2028(c)      987,603  
  1,120,000      Transelec S.A., 4.250%, 1/14/2025, 144A(c)      1,064,000  
     

 

 

 
        10,248,326  
     

 

 

 
       China — 0.4%  
  920,000      Alibaba Group Holding Ltd., 3.400%, 12/06/2027(c)      964,376  
  795,000      Baidu, Inc., 3.875%, 9/29/2023      825,131  
  12,000,000      China Government Bond, 3.300%, 7/04/2023, (CNY)      1,731,899  
  6,500,000      China Government Bond, 3.390%, 5/21/2025, (CNH)      951,059  
  500,000      China Government Bond, 3.480%, 6/29/2027, (CNH)      73,965  
  400,000      China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(c)      418,464  
  905,000      Industrial & Commercial Bank of China Ltd., 2.957%, 11/08/2022(c)      946,856  
  985,000      Sinopec Group Overseas Development 2017 Ltd., 2.375%, 4/12/2020, 144A(c)      985,039  
  500,000      Tencent Holdings Ltd., 2.985%, 1/19/2023, 144A(c)      509,904  
  1,175,000      Tencent Holdings Ltd., 3.280%, 4/11/2024, 144A(c)      1,216,595  
  1,820,000      Three Gorges Finance I Cayman Islands Ltd., 3.150%, 6/02/2026(c)      1,911,091  
  1,270,000      Weibo Corp., 3.500%, 7/05/2024(c)      1,269,610  
     

 

 

 
        11,803,989  
     

 

 

 
       Colombia — 0.6%  
  2,536,000      Ecopetrol S.A., 5.875%, 5/28/2045      2,246,921  
  1,265,000,000      Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)      315,705  
  1,300,000      Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029, 144A      1,102,400  
  1,140,000      Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A      1,020,300  
  1,150,000      Millicom International Cellular S.A., 6.625%, 10/15/2026      1,091,235  
  575,000      Republic of Colombia, 3.875%, 4/25/2027      566,375  
  200,000,000      Republic of Colombia, 7.750%, 4/14/2021, (COP)      50,481  
  7,073,300,000      Republic of Colombia, Series B, 6.250%, 11/26/2025, (COP)      1,673,470  
  29,559,900,000      Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(c)      7,381,543  
  870,000      Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A      836,505  
     

 

 

 
        16,284,935  
     

 

 

 
       Denmark — 0.0%  
  670,000      Danske Bank A/S, 3.875%, 9/12/2023, 144A      661,282  
     

 

 

 
       Dominican Republic — 0.1%  
  1,410,000      Dominican Republic, 5.500%, 1/27/2025, 144A      1,353,600  
  590,000      Dominican Republic, 5.950%, 1/25/2027, 144A      555,338  
  995,000      Dominican Republic, 6.000%, 7/19/2028, 144A      934,643  
  425,000      Dominican Republic, 8.625%, 4/20/2027, 144A      442,000  
     

 

 

 
        3,285,581  
     

 

 

 
       France — 0.2%  
  200,000      AXA S.A., 7.125%, 12/15/2020, (GBP)      256,059  
  205,000      BNP Paribas S.A., 4.375%, 5/12/2026, 144A      209,590  

 

See accompanying notes to financial statements.

 

29  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       France — continued  
$ 1,415,000      Caisse d’Amortissement de la Dette Sociale, 1.875%, 2/12/2022(c)    $ 1,446,911  
  250,000      Credit Agricole S.A., 3.250%, 10/04/2024, 144A      250,349  
  1,300,000      Edenred, 1.875%, 3/06/2026, (EUR)(c)      1,475,550  
  1,060,000      French Republic Government Bond OAT, 4.250%, 10/25/2023, (EUR)(c)      1,369,090  
  500,000      Holding d’Infrastructures de Transport SASU, EMTN, 1.625%, 11/27/2027, (EUR)      523,746  
  500,000      Holding d’Infrastructures de Transport SASU, EMTN, 0.625%, 3/27/2023, (EUR)      531,572  
  1,015,000      Societe Generale S.A., 4.750%, 11/24/2025, 144A(c)      1,013,002  
     

 

 

 
        7,075,869  
     

 

 

 
       Germany — 0.2%  
  1,165,000      BMW U.S. Capital LLC, 3.150%, 4/18/2024, 144A(c)      1,127,052  
  1,850,000      RWE AG, (fixed rate to 10/21/2020, variable rate thereafter), 2.750%, 4/21/2075, (EUR)      1,990,824  
  1,450,000      Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026, 144A(c)      1,460,912  
     

 

 

 
        4,578,788  
     

 

 

 
       Hong Kong — 0.1%  
  355,000      AIA Group Ltd., 3.200%, 3/11/2025, 144A(c)      363,604  
  982,000      AIA Group Ltd., 3.600%, 4/09/2029      1,019,618  
  1,135,000      AIA Group Ltd., 3.900%, 4/06/2028, 144A(c)      1,193,736  
     

 

 

 
        2,576,958  
     

 

 

 
       India — 0.1%  
  650,000      Greenko Dutch BV, 5.250%, 7/24/2024, 144A      524,212  
  1,230,000      ICICI Bank Ltd., EMTN, 3.250%, 9/09/2022      1,213,420  
  1,250,000      Power Finance Corp. Ltd., 3.950%, 4/23/2030, 144A      1,066,062  
  1,317,000      Vedanta Resources Finance II PLC, 9.250%, 4/23/2026      549,848  
     

 

 

 
        3,353,542  
     

 

 

 
       Indonesia — 0.3%  
  300,000      Indonesia Government International Bond, 4.125%, 1/15/2025, 144A      308,073  
  735,000      Indonesia Government International Bond, 4.750%, 1/08/2026      777,867  
  43,840,000,000      Indonesia Treasury Bond, 7.000%, 9/15/2030, (IDR)      2,513,207  
  50,092,000,000      Indonesia Treasury Bond, Series FR75, 7.500%, 5/15/2038, (IDR)      2,779,420  
  1,475,000      Republic of Indonesia, 2.850%, 2/14/2030      1,432,520  
  545,000      Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR)      606,818  
  525,000      Republic of Indonesia, 4.750%, 1/08/2026, 144A      556,983  
     

 

 

 
        8,974,888  
     

 

 

 
       Ireland — 0.1%  
  475,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 5/15/2021      435,768  
  1,250,000      Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A      1,218,146  
  375,000      Ireland Government Bond, 3.400%, 3/18/2024, (EUR)(c)      472,588  
     

 

 

 
        2,126,502  
     

 

 

 
       Italy — 0.8%  
  200,000      Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A      194,815  
  530,000      Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR)      589,765  

 

See accompanying notes to financial statements.

 

|  30


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Italy — continued  
  6,965,000      Italy Buoni Poliennali Del Tesoro, 1.350%, 4/01/2030, (EUR)    $ 7,562,677  
  3,305,000      Italy Buoni Poliennali Del Tesoro, 2.000%, 2/01/2028, (EUR)      3,845,693  
  4,255,000      Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(c)      5,102,662  
  1,975,000      Italy Government International Bond, 2.375%, 10/17/2024      1,951,494  
  3,335,000      Republic of Italy, 2.500%, 11/15/2025, (EUR)      3,970,952  
  630,000      UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034, 144A      597,843  
  635,000      UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A      609,467  
     

 

 

 
        24,425,368  
     

 

 

 
       Japan — 1.0%  
  993,288,800(†††)      Japan Government CPI Linked Bond, Series 23, 0.100%, 3/10/2028, (JPY)(c)      9,231,995  
  2,020,350,000      Japan Government Thirty Year Bond, Series 62, 0.500%, 3/20/2049, (JPY)(c)      19,222,308  
  1,445,000      Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029(c)      1,434,779  
     

 

 

 
        29,889,082  
     

 

 

 
       Korea — 0.3%  
  765,000      Export-Import Bank of Korea, 3.000%, 11/01/2022(c)      795,174  
  1,100,000      Hyundai Capital Services, Inc., 3.750%, 3/05/2023, 144A      1,131,141  
  1,575,000      Kia Motors Corp., 3.000%, 4/25/2023, 144A(c)      1,606,736  
  910,000      Korea Gas Corp., 2.750%, 7/20/2022, 144A(c)      933,915  
  670,000      KT Corp., 2.500%, 7/18/2026, 144A(c)      687,278  
  1,180,000      LG Chem Ltd., 3.250%, 10/15/2024, 144A      1,221,636  
  1,440,000,000      Republic of Korea, Series 2209, 2.000%, 9/10/2022, (KRW)(c)      1,207,796  
  770,000      Shinhan Bank Co. Ltd., 3.875%, 3/24/2026, 144A(c)      792,808  
  140,000      SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A(c)      180,194  
  200,000      Woori Bank, 5.875%, 4/13/2021, 144A(c)      207,996  
     

 

 

 
        8,764,674  
     

 

 

 
       Mexico — 1.0%  
  620,000      Alfa SAB de CV, 6.875%, 3/25/2044      558,000  
  770,000      America Movil SAB de CV, 2.125%, 3/10/2028, (EUR)(c)      889,894  
  10,000,000      America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)(c)      394,524  
  675,000      Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter), 3.800%, 8/11/2026, 144A      609,700  
  300,000      Cemex SAB de CV, 5.700%, 1/11/2025      253,503  
  1,775,000      Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030(c)      1,734,132  
  1,205,000      Comision Federal de Electricidad, 4.750%, 2/23/2027      1,114,625  
  800,000      Gruma SAB de CV, 4.875%, 12/01/2024(c)      787,008  
  10,000,000      Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(c)      265,777  
  142,000(††††)      Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)      565,606  
  190,229(††††)      Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c)      802,205  
  1,123,620(††††)      Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)      5,111,980  
  637,836(††††)      Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)      2,841,298  
  2,665,000      Mexico Government International Bond, 3.250%, 4/16/2030      2,505,100  
  3,600,000      Mexico Government International Bond, 4.000%, 10/02/2023(c)      3,672,000  

 

See accompanying notes to financial statements.

 

31  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Mexico — continued  
  196,000      Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)(c)    $ 189,147  
  1,240,000      Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027      1,078,800  
  205,000      Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044      180,656  
  3,505,000      Petroleos Mexicanos, 5.950%, 1/28/2031      2,430,788  
  100,000      Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR)      111,256  
  835,000      Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026      773,636  
  1,205,000      Sigma Finance Netherlands BV, 4.875%, 3/27/2028      1,151,275  
  1,010,000      Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023      707,717  
     

 

 

 
        28,728,627  
     

 

 

 
       Netherlands — 0.0%  
  870,000      Cooperatieve Rabobank UA, 4.375%, 8/04/2025(c)      878,422  
     

 

 

 
       New Zealand — 0.1%  
  3,575,000      New Zealand Government Bond, 3.000%, 4/20/2029, (NZD)(c)      2,483,069  
     

 

 

 
       Norway — 0.3%  
  17,000,000      City of Oslo, Norway, 3.550%, 2/12/2021, (NOK)(c)      1,670,984  
  550,000      Kommunalbanken AS, 1.750%, 9/15/2020, 144A(c)      552,629  
  46,500,000      Norway Government Bond, 1.375%, 8/19/2030, 144A, (NOK)      4,689,248  
  3,815,000      Norway Government Bond, Series 475, 2.000%, 5/24/2023, 144A, (NOK)(c)      384,916  
  16,500,000      Norway Government Bond, Series 478, 1.500%, 2/19/2026, 144A, (NOK)(c)      1,666,085  
     

 

 

 
        8,963,862  
     

 

 

 
       Panama — 0.2%  
  680,000      Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A(c)      678,769  
  1,485,000      Cable Onda S.A., 4.500%, 1/30/2030, 144A      1,306,800  
  1,045,000      Panama Government International Bond, 3.160%, 1/23/2030      1,045,011  
  1,250,000      Panama Government International Bond, 4.500%, 4/01/2056      1,353,125  
     

 

 

 
        4,383,705  
     

 

 

 
       Paraguay — 0.0%  
  800,000      Republic of Paraguay, 5.000%, 4/15/2026, 144A      808,008  
     

 

 

 
       Peru — 0.1%  
  580,000      Southern Copper Corp., 3.875%, 4/23/2025(c)      574,868  
  1,050,000      Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(c)      991,211  
     

 

 

 
        1,566,079  
     

 

 

 
       Singapore — 0.1%  
  785,000      BOC Aviation Ltd., 2.750%, 9/18/2022, 144A      807,338  
  345,000      DBS Group Holdings Ltd., (fixed rate to 12/11/2023, variable rate thereafter), 4.520%, 12/11/2028, 144A      361,387  
  3,215,000      United Overseas Bank Ltd., 3.200%, 4/23/2021, 144A(c)      3,207,284  
     

 

 

 
        4,376,009  
     

 

 

 
       South Africa — 0.4%  
  1,400,000      Anglo American Capital PLC, 5.625%, 4/01/2030, 144A      1,419,773  
  1,420,000      MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024      1,249,600  
  930,000      MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A      818,400  
  46,510,000      Republic of South Africa, Series 2035, 8.875%, 2/28/2035, (ZAR)      2,088,692  

 

See accompanying notes to financial statements.

 

|  32


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       South Africa — continued  
$ 7,585,000      Republic of South Africa Government International Bond, 5.750%, 9/30/2049    $ 5,499,125  
  39,185,000      South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)      1,611,174  
     

 

 

 
        12,686,764  
     

 

 

 
       Spain — 0.5%  
  2,300,000      Banco Bilbao Vizcaya Argentaria S.A., GMTN, 0.750%, 9/11/2022, (EUR)(c)      2,463,029  
  400,000      Banco Santander S.A., 3.125%, 2/23/2023      381,291  
  100,000      Iberdrola International BV, EMTN, 0.375%, 9/15/2025, (EUR)      106,926  
  700,000      Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR)      784,722  
  3,590,000      Spain Government Bond, 2.700%, 10/31/2048, 144A, (EUR)(c)      5,030,920  
  725,000      Spain Government International Bond, 0.750%, 7/30/2021, (EUR)(c)      810,283  
  430,000      Spain Government International Bond, 1.600%, 4/30/2025, 144A, (EUR)(c)      506,760  
  2,565,000      Spain Government International Bond, 4.400%, 10/31/2023, 144A, (EUR)(c)      3,263,179  
  1,300,000      Telefonica Emisiones S.A., EMTN, 1.495%, 9/11/2025, (EUR)      1,453,295  
     

 

 

 
        14,800,405  
     

 

 

 
       Supranationals — 0.2%  
  1,115,000      Corporacion Andina de Fomento, 4.375%, 6/15/2022(c)      1,190,998  
  3,360,000      European Investment Bank, 1.750%, 7/30/2024, 144A, (CAD)(c)      2,453,280  
  3,515,000      International Bank for Reconstruction & Development, 2.200%, 1/18/2022, (CAD)(c)      2,563,755  
     

 

 

 
        6,208,033  
     

 

 

 
       Sweden — 0.0%  
  2,450,000      Sweden Government Bond, Series 1047, 5.000%, 12/01/2020, (SEK)(c)      256,425  
     

 

 

 
       Switzerland — 0.1%  
  1,390,000      Credit Suisse Group AG, (fixed rate to 4/01/2030, variable rate thereafter), 4.194%, 4/01/2031, 144A      1,423,376  
  1,375,000      Novartis Capital Corp., 2.000%, 2/14/2027(c)      1,387,299  
  900,000      Syngenta Finance NV, EMTN, 1.250%, 9/10/2027, (EUR)      909,072  
  340,000      Willow No. 2 (Ireland) PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/1/2025, variable rate thereafter), 4.250%, 10/01/2045      331,500  
     

 

 

 
        4,051,247  
     

 

 

 
       Thailand — 0.2%  
  1,570,000      Kasikornbank PCL, EMTN, 3.256%, 7/12/2023(c)      1,645,554  
  85,000,000      Thailand Government Bond, 2.125%, 12/17/2026, (THB)(c)      2,732,845  
  950,000      Thaioil Treasury Center Co. Ltd., 3.625%, 1/23/2023, 144A      986,404  
     

 

 

 
        5,364,803  
     

 

 

 
       Trinidad — 0.0%  
  415,000      Trinidad Generation UnLtd., 5.250%, 11/04/2027, 144A      367,275  
     

 

 

 
       Turkey — 0.4%  
  2,830,000      Turk Telekomunikasyon AS, 6.875%, 2/28/2025      2,634,447  
  525,000      Turk Telekomunikasyon AS, 6.875%, 2/28/2025, 144A      488,723  
  2,875,000      Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028      2,537,291  
  6,970,000      Turkey Government International Bond, 5.250%, 3/13/2030      5,636,987  

 

See accompanying notes to financial statements.

 

33  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       Turkey — continued  
$ 1,345,000      Turkey Government International Bond, 7.625%, 4/26/2029    $ 1,281,112  
     

 

 

 
        12,578,560  
     

 

 

 
       United Arab Emirates — 0.1%  
  1,610,000      Abu Dhabi Crude Oil Pipeline LLC, 3.650%, 11/02/2029(c)      1,574,870  
  850,000      DP World PLC, 3.250%, 5/18/2020, 144A(c)      834,564  
  200,000      DP World PLC, MTN, 3.250%, 5/18/2020      196,368  
     

 

 

 
        2,605,802  
     

 

 

 
       United Kingdom — 0.4%  
  95,000      Avon Products, Inc., 8.950%, 3/15/2043      79,800  
  1,265,000      British Telecommunications PLC, 3.250%, 11/08/2029, 144A      1,229,935  
  1,350,000      CK Hutchison International 19 Ltd., 3.625%, 4/11/2029, 144A(c)      1,436,353  
  365,000      HSBC Holdings PLC, 4.950%, 3/31/2030      398,579  
  635,000      Lloyds Banking Group PLC, 4.050%, 8/16/2023(c)      654,396  
  400,000      Lloyds Banking Group PLC, 4.500%, 11/04/2024(c)      402,927  
  1,395,000      Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030, 144A(c)      1,409,006  
  235,000      Network Rail Infrastructure Finance PLC, EMTN, 4.750%, 1/22/2024, (GBP)(c)      337,632  
  1,130,000      Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(c)      1,184,544  
  350,000      Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(c)      344,978  
  250,000      Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR)      272,039  
  1,035,000      United Kingdom Gilt, 2.750%, 9/07/2024, (GBP)(c)      1,432,545  
  530,000      United Kingdom Gilt, 4.000%, 3/07/2022, (GBP)(c)      707,477  
  130,000      Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)      133,983  
  115,000      Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, (GBP)      131,771  
  1,660,000      Vodafone Group PLC, 4.375%, 5/30/2028      1,753,181  
     

 

 

 
        11,909,146  
     

 

 

 
       United States — 16.3%  
  485,000      Abbott Ireland Financing DAC, 1.500%, 9/27/2026, (EUR)      538,225  
  9,890,000      AbbVie, Inc., 2.500%, 5/14/2020      9,890,687  
  1,500,000      AES Corp. (The), 4.875%, 5/15/2023      1,443,735  
  15,000      Air Lease Corp., 3.250%, 3/01/2025      11,756  
  96,000      Air Lease Corp., 3.250%, 10/01/2029      76,900  
  130,000      Air Lease Corp., MTN, 3.000%, 2/01/2030      93,887  
  480,000      Allison Transmission, Inc., 4.750%, 10/01/2027, 144A      441,600  
  8,000,000      Ally Financial, Inc., 4.125%, 2/13/2022      7,697,520  
  745,000      Ally Financial, Inc., 5.125%, 9/30/2024      725,995  
  1,728,000      Ally Financial, Inc., 8.000%, 11/01/2031      2,002,234  
  70,000      American Airlines Group, Inc., 3.750%, 3/01/2025, 144A      49,000  
  1,965,000      American Airlines Group, Inc., 5.000%, 6/01/2022, 144A      1,576,912  
  1,786,350      American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025      1,795,939  
  1,440,658      American Airlines Pass Through Certificates, Series 2016-3, Class B, 3.750%, 4/15/2027      1,151,246  
  534,455      American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027      455,814  

 

See accompanying notes to financial statements.

 

|  34


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       United States — continued  
$ 112,681      American Airlines Pass Through Certificates, Series 2013-1, Class A, 4.000%, 1/15/2027    $ 103,794  
  411,671      American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026      354,190  
  2,510,000      American Honda Finance Corp., GMTN, 1.700%, 9/09/2021      2,468,848  
  400,000      Antero Resources Corp., 5.125%, 12/01/2022      208,000  
  175,000      Antero Resources Corp., 5.375%, 11/01/2021      127,313  
  3,060,000      Antero Resources Corp., 5.625%, 6/01/2023      1,224,000  
  260,000      Aptiv PLC, 1.600%, 9/15/2028, (EUR)      256,788  
  1,510,000      AT&T, Inc., 3.400%, 5/15/2025      1,570,701  
  3,960,000      AT&T, Inc., 4.300%, 2/15/2030      4,252,569  
  495,000      AT&T, Inc., 4.500%, 3/09/2048      536,048  
  625,000      AT&T, Inc., 4.550%, 3/09/2049      671,733  
  925,000      Aviation Capital Group LLC, 6.750%, 4/06/2021, 144A      916,871  
  2,700,000      Bank of America Corp., 6.110%, 1/29/2037      3,468,720  
  115,000      Bank of America Corp., MTN, 4.250%, 10/22/2026      122,234  
  3,180,000      Beazer Homes USA, Inc., 7.250%, 10/15/2029      2,416,800  
  140,000      Boeing Co. (The), 3.100%, 5/01/2026      128,792  
  25,000      Boeing Co. (The), 3.625%, 3/01/2048      21,728  
  635,000      Boeing Co. (The), 3.850%, 11/01/2048      571,805  
  640,000      Boeing Co. (The), 3.950%, 8/01/2059      574,393  
  585,000      BP Capital Markets America, Inc., 3.216%, 11/28/2023(c)      598,765  
  270,000      Brighthouse Financial, Inc., 4.700%, 6/22/2047      210,525  
  71,000      California Resources Corp., 5.500%, 9/15/2021(d)(e)      6,923  
  10,000      California Resources Corp., 6.000%, 11/15/2024(d)(e)      200  
  9,300,000      California Resources Corp., 8.000%, 12/15/2022, 144A(d)(e)      139,500  
  60,000      CenturyLink, Inc., 5.625%, 4/01/2025      60,299  
  880,000      CenturyLink, Inc., Series S, 6.450%, 6/15/2021      893,200  
  3,210,000      Chesapeake Energy Corp., 4.875%, 4/15/2022(d)(e)      321,000  
  315,000      Chesapeake Energy Corp., 5.750%, 3/15/2023(d)(e)      31,475  
  7,295,000      Chesapeake Energy Corp., 8.000%, 6/15/2027      510,650  
  780,000      Chevron Corp., 2.419%, 11/17/2020(c)      777,101  
  1,635,000      Cimarex Energy Co., 4.375%, 6/01/2024      1,288,463  
  40,000      Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A      41,000  
  500,000      Citizens Financial Group, Inc., 4.300%, 12/03/2025      523,301  
  3,500,000      Coca-Cola Co. (The), 1.550%, 9/01/2021      3,503,395  
  265,000      Constellation Brands, Inc., 4.750%, 11/15/2024      273,845  
  485,000      Continental Resources, Inc., 3.800%, 6/01/2024      249,483  
  640,000      Continental Resources, Inc., 4.500%, 4/15/2023      355,433  
  63,000      Continental Resources, Inc., 5.000%, 9/15/2022      40,190  
  375,000      Cox Communications, Inc., 4.800%, 2/01/2035, 144A      407,000  
  595,000      CSC Holdings LLC, 5.375%, 2/01/2028, 144A      606,900  
  155,000      Cummins, Inc., 5.650%, 3/01/2098      199,096  
  475,000      Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A      490,239  
  84,456      Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024      86,533  
  940,000      DH Europe Finance II S.a.r.l., 0.750%, 9/18/2031, (EUR)(c)      901,244  

 

See accompanying notes to financial statements.

 

35  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       United States — continued  
$ 50,000      Dillard’s, Inc., 7.000%, 12/01/2028    $ 43,143  
  8,000      Dillard’s, Inc., 7.750%, 7/15/2026      6,565  
  1,680,000      DISH DBS Corp., 5.000%, 3/15/2023      1,607,424  
  3,570,000      DISH DBS Corp., 5.875%, 11/15/2024      3,471,825  
  1,385,000      DISH DBS Corp., 7.750%, 7/01/2026      1,423,088  
  310,000      DR Horton, Inc., 4.375%, 9/15/2022      315,821  
  140,000      Ecolab, Inc., 4.800%, 3/24/2030      157,260  
  160,000      Edison International, 4.950%, 4/15/2025      159,630  
  340,000      Enable Midstream Partners LP, 5.000%, 5/15/2044      146,010  
  235,000      Enbridge Energy Partners LP, 7.375%, 10/15/2045      258,397  
  1,075,000      Energy Transfer Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022      978,929  
  600,000      EnLink Midstream Partners LP, 4.150%, 6/01/2025      290,820  
  410,000      FedEx Corp., 1.000%, 1/11/2023, (EUR)      443,774  
  650,000      FedEx Corp., 3.400%, 1/14/2022      653,746  
  965,000      Ford Motor Co., 4.750%, 1/15/2043      547,638  
  685,000      Ford Motor Co., 5.291%, 12/08/2046      407,575  
  25,000      Ford Motor Co., 6.375%, 2/01/2029      17,500  
  50,000      Ford Motor Co., 6.625%, 2/15/2028      39,028  
  2,105,000      Ford Motor Co., 6.625%, 10/01/2028      1,541,912  
  5,000      Ford Motor Co., 7.500%, 8/01/2026      4,098  
  200,000      Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026      175,000  
  295,000      General Electric Co., 4.500%, 3/11/2044      290,178  
  50,000      General Electric Co., GMTN, 3.100%, 1/09/2023      50,366  
  980,000      General Motors Co., 5.200%, 4/01/2045      775,960  
  240,000      General Motors Financial Co., Inc., 3.450%, 4/10/2022      225,800  
  925,000      General Motors Financial Co., Inc., 5.250%, 3/01/2026      815,773  
  100,000      General Motors Financial Co., Inc., EMTN, 0.955%, 9/07/2023, (EUR)      91,511  
  770,000      General Motors Financial of Canada Ltd., Series 5, 3.250%, 11/07/2023, (CAD)      477,927  
  3,435,000      Georgia-Pacific LLC, 7.250%, 6/01/2028      4,524,098  
  105,000      Georgia-Pacific LLC, 7.375%, 12/01/2025      132,753  
  180,000      Georgia-Pacific LLC, 7.750%, 11/15/2029      256,641  
  315,000      Georgia-Pacific LLC, 8.875%, 5/15/2031      481,321  
  905,000      Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A      964,047  
  2,295,000      Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037      3,038,039  
  2,745,000      Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027      2,518,537  
  165,000      Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028      145,200  
  20,000      HCA, Inc., 4.750%, 5/01/2023      20,490  
  6,670,000      HCA, Inc., 5.375%, 9/01/2026      6,872,368  
  225,000      HCA, Inc., 7.050%, 12/01/2027      231,750  
  820,000      HCA, Inc., 7.500%, 11/06/2033      820,000  
  395,000      HCA, Inc., 8.360%, 4/15/2024      406,850  
  195,000      HCA, Inc., MTN, 7.580%, 9/15/2025      200,850  
  75,000      HCA, Inc., MTN, 7.750%, 7/15/2036      75,000  
  490,000      Hewlett Packard Enterprise Co., 6.350%, 10/15/2045      581,502  
  485,000      Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A      500,281  

 

See accompanying notes to financial statements.

 

|  36


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       United States — continued  
$ 835,000      Hyundai Capital America, 2.650%, 2/10/2025, 144A    $ 781,201  
  1,585,000      Hyundai Capital America, 2.750%, 9/27/2026, 144A(c)      1,457,550  
  450,000      International Lease Finance Corp., 4.625%, 4/15/2021      415,445  
  5,760,000      Iron Mountain, Inc., 4.875%, 9/15/2029, 144A      5,410,829  
  48,000      J.C. Penney Corp., Inc., 6.375%, 10/15/2036(d)(e)      3,600  
  5,000      J.C. Penney Corp., Inc., 7.625%, 3/01/2097(d)(e)      428  
  1,070,000      Jefferies Group LLC, 6.250%, 1/15/2036      946,830  
  7,760,000      JELD-WEN, Inc., 4.625%, 12/15/2025, 144A      6,828,800  
  1,875,000      JELD-WEN, Inc., 4.875%, 12/15/2027, 144A      1,654,687  
  1,885,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046      1,710,883  
  330,000      Level 3 Financing, Inc., 5.125%, 5/01/2023      324,222  
  760,000      Level 3 Financing, Inc., 5.375%, 5/01/2025      756,200  
  44,000      Masco Corp., 6.500%, 8/15/2032      51,385  
  403,000      Masco Corp., 7.750%, 8/01/2029      495,116  
  615,000      Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR)      666,576  
  4,315,000      Michaels Stores, Inc., 8.000%, 7/15/2027, 144A      3,193,100  
  10,000,000      Microsoft Corp., 1.550%, 8/08/2021      10,069,546  
  1,430,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A      915,200  
  450,000      Morgan Stanley, 3.950%, 4/23/2027      473,913  
  725,000      Morgan Stanley, 5.750%, 1/25/2021      744,155  
  3,150,000      Morgan Stanley, MTN, 4.100%, 5/22/2023      3,215,196  
  600,000      Morgan Stanley, MTN, 6.250%, 8/09/2026      728,381  
  25,000      MPLX LP, 4.500%, 7/15/2023      21,516  
  95,000      MPLX LP, 4.875%, 6/01/2025      78,220  
  3,890,000      Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A      3,520,450  
  3,000,000      Navient Corp., 5.000%, 10/26/2020      2,955,000  
  30,000      Navient Corp., 5.000%, 3/15/2027      25,791  
  915,000      Navient Corp., 5.500%, 1/25/2023      860,100  
  255,000      Navient Corp., 5.875%, 10/25/2024      234,600  
  1,600(†††††)      Navient Corp., 6.000%, 12/15/2043      27,573  
  1,130,000      Navient Corp., 6.750%, 6/15/2026      1,039,600  
  4,318,000      Navient Corp., MTN, 5.625%, 8/01/2033      3,183,230  
  750,000      Navient Corp., MTN, 6.125%, 3/25/2024      693,750  
  415,000      Navient Corp., MTN, 7.250%, 1/25/2022      400,193  
  65,000      Newfield Exploration Co., 5.625%, 7/01/2024      34,882  
  900,000      NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025      306,000  
  405,000      NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023      140,738  
  20,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      19,910  
  1,765,000      Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A(c)      1,729,100  
  120,000      Oasis Petroleum, Inc., 6.875%, 1/15/2023      24,600  
  300,000      Occidental Petroleum Corp., 4.500%, 7/15/2044      126,219  
  2,275,000      Oceaneering International, Inc., 4.650%, 11/15/2024      908,408  
  420,000      Old Republic International Corp., 4.875%, 10/01/2024      443,543  
  3,693,000      ONEOK Partners LP, 4.900%, 3/15/2025      3,228,590  
  25,000      ONEOK Partners LP, 6.200%, 9/15/2043      22,323  
  1,200,000      Owens Corning, 4.400%, 1/30/2048      1,023,392  
  310,000      Owens Corning, 7.000%, 12/01/2036      352,474  
  2,965,000      Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A      2,816,750  

 

See accompanying notes to financial statements.

 

37  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       United States — continued  
  775,000      Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR)    $ 773,264  
  790,000      Prologis Euro Finance LLC, 0.375%, 2/06/2028, (EUR)      788,143  
  365,000      Prologis LP, 2.250%, 6/30/2029, (GBP)      445,832  
  1,115,000      Prudential Financial, Inc., MTN, 3.700%, 3/13/2051      1,016,444  
  540,000      PulteGroup, Inc., 6.000%, 2/15/2035      544,050  
  785,000      PulteGroup, Inc., 6.375%, 5/15/2033      793,400  
  220,000      PulteGroup, Inc., 7.875%, 6/15/2032      242,000  
  285,000      QEP Resources, Inc., 5.250%, 5/01/2023      105,450  
  210,000      QEP Resources, Inc., 5.375%, 10/01/2022      98,700  
  295,000      Quicken Loans, Inc., 5.250%, 1/15/2028, 144A      288,451  
  120,000      Quicken Loans, Inc., 5.750%, 5/01/2025, 144A      119,400  
  95,000      Qwest Corp., 7.250%, 9/15/2025      96,504  
  345,000      Radian Group, Inc., 4.500%, 10/01/2024      339,825  
  195,000      Radian Group, Inc., 4.875%, 3/15/2027      192,075  
  890,000      Range Resources Corp., 4.875%, 5/15/2025      529,550  
  850,000      Range Resources Corp., 5.000%, 8/15/2022      637,245  
  220,000      Range Resources Corp., 5.000%, 3/15/2023      160,600  
  25,000      Sealed Air Corp., 4.875%, 12/01/2022, 144A      25,031  
  640,000      Sealed Air Corp., 5.500%, 9/15/2025, 144A      648,006  
  420,000      ServiceMaster Co. LLC (The), 7.450%, 8/15/2027      367,500  
  140,000      Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR)      150,546  
  7,560,000      SM Energy Co., 6.625%, 1/15/2027      2,200,451  
  155,000      SM Energy Co., 6.750%, 9/15/2026      46,500  
  1,170,000      Springleaf Finance Corp., 5.625%, 3/15/2023      1,129,050  
  860,000      Springleaf Finance Corp., 6.875%, 3/15/2025      866,123  
  2,310,000      Springleaf Finance Corp., 7.125%, 3/15/2026      2,286,900  
  330,000      Springleaf Finance Corp., 7.750%, 10/01/2021      331,650  
  130,000      Springleaf Finance Corp., 8.250%, 10/01/2023      130,000  
  1,365,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024      1,201,200  
  2,980,000      Tenet Healthcare Corp., 5.125%, 5/01/2025      2,845,900  
  100,000      Tenet Healthcare Corp., 6.750%, 6/15/2023      92,250  
  1,695,000      Tenet Healthcare Corp., 6.875%, 11/15/2031      1,423,800  
  820,000      Textron, Inc., 5.950%, 9/21/2021      840,221  
  90,000      Time Warner Cable LLC, 4.500%, 9/15/2042      84,507  
  85,000      Time Warner Cable LLC, 5.500%, 9/01/2041      88,789  
  1,635,000      Toyota Motor Credit Corp., MTN, 2.650%, 4/12/2022(c)      1,650,344  
  1,680,000      Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026      1,912,741  
  171,000      TransDigm, Inc., 6.500%, 7/15/2024      161,097  
  185,000      TransDigm, Inc., 6.500%, 5/15/2025      173,898  
  6,665,000      TRI Pointe Group, Inc., 4.875%, 7/01/2021      6,190,785  
  5,000      TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024      4,645  
  81,903      U.S. Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026      82,532  
  312,752      U.S. Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026      309,552  
  20,350,000      U.S. Treasury Bond, 2.000%, 2/15/2050      23,574,998  
  4,960,000      U.S. Treasury Bond, 2.875%, 5/15/2049(c)(f)      6,767,881  

 

See accompanying notes to financial statements.

 

|  38


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       United States — continued  
$ 4,380,000      U.S. Treasury Bond, 3.000%, 8/15/2048    $ 6,084,094  
  4,125,812      U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2022(c)(g)      4,069,184  
  4,165,078      U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2027(c)(g)      4,282,888  
  13,136,266      U.S. Treasury Inflation Indexed Note, 0.625%, 4/15/2023(c)(g)      13,231,944  
  21,640,000      U.S. Treasury Note, 1.625%, 8/15/2029(c)      23,487,008  
  38,000,000      U.S. Treasury Note, 1.500%, 9/30/2021      38,740,703  
  34,445,000      U.S. Treasury Note, 1.500%, 10/31/2021      35,146,009  
  35,975,000      U.S. Treasury Note, 1.500%, 11/30/2021      36,743,685  
  13,685,000      U.S. Treasury Note, 1.625%, 10/31/2026(c)      14,648,830  
  21,715,000      U.S. Treasury Note, 1.750%, 11/30/2021      22,273,992  
  21,700,000      U.S. Treasury Note, 1.750%, 11/15/2029      23,839,484  
  4,515,000      U.S. Treasury Note, 1.875%, 3/31/2022      4,664,383  
  15,000,000      U.S. Treasury Note, 2.500%, 6/30/2020      15,089,341  
  4,700,000      U.S. Treasury Note, 2.875%, 5/15/2028(c)      5,541,594  
  422,639      United Airlines Pass Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027      372,717  
  2,940,000      United Rentals North America, Inc., 5.500%, 7/15/2025      2,881,200  
  460,000      United Rentals North America, Inc., 6.500%, 12/15/2026      466,900  
  1,450,000      United States Steel Corp., 6.650%, 6/01/2037      873,190  
  25,000      ViacomCBS, Inc., 4.375%, 3/15/2043      22,155  
  395,000      ViacomCBS, Inc., 5.250%, 4/01/2044      375,609  
  145,000      ViacomCBS, Inc., 5.850%, 9/01/2043      148,565  
  145,000      Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A(d)(e)      34,256  
  1,150,000      Walmart, Inc., 3.700%, 6/26/2028(c)      1,290,577  
  60,000      Weyerhaeuser Co., 6.950%, 10/01/2027      70,177  
  315,000      Weyerhaeuser Co., 7.375%, 3/15/2032      371,318  
  525,000      Whiting Petroleum Corp., 5.750%, 3/15/2021(a)(d)(e)      35,280  
  195,000      Whiting Petroleum Corp., 6.250%, 4/01/2023(a)(d)(e)      16,934  
  3,052,000      Windstream Services LLC/Windstream Finance Corp., 9.000%, 6/30/2025, 144A(d)(e)(h)      122,080  
  65,000      Windstream Services LLC/Windstream Finance Corp., 10.500%, 6/30/2024, 144A(d)(e)(h)      2,600  
     

 

 

 
        480,393,684  
     

 

 

 
   Total Non-Convertible Bonds
(Identified Cost $923,179,518)
     889,952,979  
     

 

 

 
     
  Convertible Bonds — 0.4%  
   United States — 0.4%

 

  1,450,000      Booking Holdings, Inc., 0.900%, 9/15/2021      1,445,505  
  95,000      Chesapeake Energy Corp., 5.500%, 9/15/2026(d)(e)(i)      2,850  
  545,000      DISH Network Corp., 2.375%, 3/15/2024      431,913  
  6,460,000      DISH Network Corp., 3.375%, 8/15/2026      5,244,561  
  290,000      Evolent Health, Inc., 2.000%, 12/01/2021      239,250  
  1,855,000      iStar, Inc., 3.125%, 9/15/2022      1,815,784  
  1,950,000      Nuance Communications, Inc., 1.000%, 12/15/2035      1,863,303  
  205,000      Nuance Communications, Inc., 1.250%, 4/01/2025      222,193  
  10,000      Nuance Communications, Inc., 1.500%, 11/01/2035      10,538  

 

See accompanying notes to financial statements.

 

39  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
       United States — continued  
$ 380,000      SM Energy Co., 1.500%, 7/01/2021    $ 137,227  
  825,000      Western Digital Corp., 1.500%, 2/01/2024      717,605  
     

 

 

 
   Total Convertible Bonds
(Identified Cost $12,944,305)
     12,130,729  
     

 

 

 
     
  Municipals — 0.0%  
       United States — 0.0%  
  155,000      State of Illinois, 5.100%, 6/01/2033      153,857  
  130,000      Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046      112,311  
     

 

 

 
   Total Municipals
(Identified Cost $255,788)
     266,168  
     

 

 

 
     
   Total Bonds and Notes
(Identified Cost $936,379,611)
     902,349,876  
     

 

 

 
     
Shares                
  Preferred Stocks — 0.1%  
       United States — 0.1%  
  460      Chesapeake Energy Corp., 5.000%(d)(e)      2,208  
  40      Chesapeake Energy Corp., 5.750%(d)(e)      1,139  
  736      Chesapeake Energy Corp., 5.750%(d)(e)      20,962  
  84      Chesapeake Energy Corp., 5.750%, 144A(d)(e)      2,392  
  38,952      El Paso Energy Capital Trust I, 4.750%      1,674,936  
     

 

 

 
        1,701,637  
     

 

 

 
   Total Preferred Stocks
(Identified Cost $2,285,617)
     1,701,637  
     

 

 

 
     
Principal
Amount (‡)
               
  Short-Term Investments — 1.9%  
$ 41,007,080      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $41,007,080 on 4/01/2020 collateralized by $7,055,000 U.S. Treasury Note, 2.500% due 3/31/2023 valued at $7,520,468; $32,615,000 U.S. Treasury Inflation Indexed Note, 0.625% due 4/15/2023 valued at $34,310,491 including accrued interest (Note 2 of Notes to Financial Statements)      41,007,080  
  5,100,000      U.S. Treasury Bills, 1.508%, 8/20/2020(j)      5,098,252  
  3,945,000      U.S. Treasury Bills, 1.518%, 8/13/2020(j)      3,943,859  
  5,825,000      U.S. Treasury Bills, 1.520%, 8/06/2020(j)      5,823,248  
     

 

 

 
   Total Short-Term Investments
(Identified Cost $55,793,451)
     55,872,439  
     

 

 

 
     
   Total Investments — 99.4%
(Identified Cost $2,807,620,790)
     2,937,910,515  
   Other assets less liabilities — 0.6%      16,842,694  
     

 

 

 
   Net Assets — 100.0%    $ 2,954,753,209  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  40


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation 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 1,000.

 

  (†††)      Amount shown represents principal amount including inflation adjustments.

 

  (††††)      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)      Non-income producing security.

 

  (b)      Securities subject to restriction on resale. At March 31, 2020, the restricted securities held by the Fund are as follows:

 

             
         Acquisition
Date
     Acquisition
Cost
   Value      % of
Net Assets
 
  Thryv Holdings, Inc.      8/12/2016      $1,194    $ 1,102        Less than 0.1
             
  (c)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

  (d)      Illiquid security.

 

  (e)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2020, the value of these securities amounted to $743,827 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.

 

  (f)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

  (g)      Treasury Inflation Protected Security (TIPS).

 

  (h)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

 

  (i)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

  (j)      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, 2020, the value of Rule 144A holdings amounted to $121,288,208 or 4.1% 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

 

  CNH      Chinese Yuan Renminbi Offshore

 

  CNY      Chinese Yuan Renminbi

 

  COP      Colombian Peso

 

  EUR      Euro

 

  GBP      British Pound

 

  IDR      Indonesian Rupiah

 

  JPY      Japanese Yen

 

  KRW      South Korean Won

 

 

See accompanying notes to financial statements.

 

41  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

     
  MXN      Mexican Peso

 

  NOK      Norwegian Krone

 

  NZD      New Zealand Dollar

 

  SEK      Swedish Krona

 

  THB      Thai Baht

 

  ZAR      South African Rand

 

At March 31, 2020, the Fund had the following open forward foreign currency contracts:

 

Counterparty   Delivery
Date
    Currency
Bought/
Sold (B/S)
  Units of
Currency
    In
Exchange for
    Notional
Value
    Unrealized
Appreciation
(Depreciation)
 
Bank of America, N.A.     6/02/2020     BRL     S       18,445,000     $ 4,155,683     $ 3,535,184     $ 620,499  
Bank of America, N.A.     6/17/2020     KRW     B       5,850,000,000       4,881,712       4,818,979       (62,733
Citibank N.A.     6/17/2020     ZAR     B       76,025,000       4,347,451       4,208,158       (139,293
Citibank N.A.     6/17/2020     ZAR     S       76,025,000       4,650,115       4,208,158       441,957  
Credit Suisse International     6/17/2020     CAD     B       13,785,000       9,488,574       9,802,471       313,897  
Credit Suisse International     6/17/2020     CAD     S       125,470,000       93,410,562       89,221,331       4,189,231  
Credit Suisse International     6/17/2020     COP     S       16,193,255,000       4,252,096       3,964,558       287,538  
Credit Suisse International     6/17/2020     COP     S       22,651,410,000       5,518,005       5,545,693       (27,688
Credit Suisse International     6/17/2020     GBP     B       13,490,000       16,985,273       16,778,258       (207,015
Credit Suisse International     6/17/2020     JPY     B       7,133,000,000       67,180,085       66,553,350       (626,735
Goldman Sachs & Co.     6/17/2020     MXN     B       74,545,000       3,080,117       3,107,252       27,135  
Goldman Sachs & Co.     6/17/2020     MXN     S       74,545,000       3,421,705       3,107,252       314,453  
HSBC Bank USA     6/17/2020     AUD     B       8,155,000       5,399,711       5,017,160       (382,551
HSBC Bank USA     6/17/2020     AUD     S       4,080,000       2,656,092       2,510,118       145,974  
Morgan Stanley Capital Services, Inc.     6/17/2020     EUR     B       79,475,000       90,305,058       87,907,622       (2,397,436
Morgan Stanley Capital Services, Inc.     6/17/2020     EUR     S       3,800,000       4,193,487       4,203,196       (9,709
UBS AG     4/02/2020     BRL     B       12,290,000       2,459,475       2,365,235       (94,240
UBS AG     4/02/2020     BRL     S       12,290,000       2,602,710       2,365,235       237,475  
UBS AG     6/17/2020     IDR     S       40,354,000,000       2,320,529       2,457,164       (136,635
UBS AG     6/17/2020     SEK     B       7,350,000       780,137       744,226       (35,911
UBS AG     6/17/2020     THB     S       83,000,000       2,627,580       2,530,006       97,574  
             

 

 

 
Total               $ 2,555,787  
             

 

 

 

 

See accompanying notes to financial statements.

 

|  42


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

At March 31, 2020, the Fund had the following open forward cross currency contracts:

 

Counterparty    Settlement
Date
     Deliver/Units
of Currency
     Receive/Units
of Currency
     Notional
Value
     Unrealized
Appreciation
(Depreciation)
 
UBS AG      6/17/2020      NOK      18,380,000        EUR        1,765,847      $ 1,953,211      $ 184,787  
UBS AG      6/17/2020      EUR      1,473,937        NOK        18,380,000        1,768,425        138,097  
                    

 

 

 
Total                      $ 322,884  
                    

 

 

 

At March 31, 2020, open long futures contracts were as follows:

 

Financial Futures    Expiration
Date
     Contracts    Notional
Amount
     Value      Unrealized
Appreciation
(Depreciation)
 
Ultra 10 Year U.S. Treasury Note      6/19/2020      42    $ 6,209,912      $ 6,553,312      $ 343,400  
              

 

 

 

Industry Summary at March 31, 2020 (Unaudited)

 

Treasuries

     16.6

IT Services

     7.1  

Internet & Direct Marketing Retail

     5.7  

Health Care Equipment & Supplies

     5.4  

Software

     5.1  

Capital Markets

     5.0  

Interactive Media & Services

     4.6  

Life Sciences Tools & Services

     3.8  

Chemicals

     3.7  

Aerospace & Defense

     3.5  

Industrial Conglomerates

     3.1  

Health Care Providers & Services

     2.8  

Machinery

     2.3  

Banks

     2.3  

Insurance

     2.3  

Banking

     2.0  

Food Products

     2.0  

Other Investments, less than 2% each

     20.2  

Short-Term Investments

     1.9  
  

 

 

 

Total Investments

     99.4  

Other assets less liabilities (including forward foreign currency and futures contracts)

     0.6  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

43  |


Portfolio of Investments – as of March 31, 2020 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

 

Currency Exposure Summary at March 31, 2020 (Unaudited)

 

United States Dollar

     72.5

Canadian Dollar

     5.8  

Euro

     3.9  

British Pound

     3.7  

Swiss Franc

     3.6  

Japanese Yen

     2.8  

Other, less than 2% each

     7.1  
  

 

 

 

Total Investments

     99.4  

Other assets less liabilities (including forward foreign currency and futures contracts)

     0.6  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  44


Statements of Assets and Liabilities

 

March 31, 2020 (Unaudited)

 

     Core Plus
Bond Fund
     Global
Allocation Fund
 

ASSETS

 

Investments at cost

   $ 7,230,351,305      $ 2,807,620,790  

Net unrealized appreciation

     112,457,386        130,289,725  
  

 

 

    

 

 

 

Investments at value

     7,342,808,691        2,937,910,515  

Cash

            3,165,290  

Due from brokers (Note 2)

            2,483,755  

Foreign currency at value (identified cost $0 and $8,300,950, respectively)

            8,298,964  

Receivable for Fund shares sold

     41,379,897        12,458,627  

Receivable for securities sold

     315,460,525        6,141,087  

Collateral received for open forward foreign currency contracts (Notes 2 and 4)

            5,290,000  

Dividends and interest receivable

     45,047,412        8,404,125  

Unrealized appreciation on forward foreign currency contracts (Note 2)

            6,998,617  

Tax reclaims receivable

            1,032,559  

Receivable for variation margin on futures contracts (Note 2)

            36,219  

Prepaid expenses (Note 8)

     32        11  
  

 

 

    

 

 

 

TOTAL ASSETS

     7,744,696,557        2,992,219,769  
  

 

 

    

 

 

 

LIABILITIES

 

Payable for securities purchased

     158,876,304        22,049,847  

Payable for Fund shares redeemed

     27,305,072        3,468,994  

Unrealized depreciation on forward foreign currency contracts (Note 2)

            4,119,946  

Foreign taxes payable (Note 2)

            32,643  

Payable to custodian bank (Note 9)

     4,210,283         

Due to brokers (Note 2)

            5,290,000  

Management fees payable (Note 6)

     2,103,953        1,905,343  

Deferred Trustees’ fees (Note 6)

     595,303        259,619  

Administrative fees payable (Note 6)

     289,373        114,927  

Payable to distributor (Note 6d)

     46,563        37,787  

Other accounts payable and accrued expenses

     322,296        187,454  
  

 

 

    

 

 

 

TOTAL LIABILITIES

     193,749,147        37,466,560  
  

 

 

    

 

 

 

NET ASSETS

   $ 7,550,947,410      $ 2,954,753,209  
  

 

 

    

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 7,471,385,287      $ 2,733,441,157  

Accumulated earnings

     79,562,123        221,312,052  
  

 

 

    

 

 

 

NET ASSETS

   $ 7,550,947,410      $ 2,954,753,209  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

45  |


Statements of Assets and Liabilities (continued)

 

March 31, 2020 (Unaudited)

 

     Core Plus
Bond Fund
     Global
Allocation Fund
 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

   $ 514,293,604      $ 431,558,603  
  

 

 

    

 

 

 

Shares of beneficial interest

     38,597,757        20,527,527  
  

 

 

    

 

 

 

Net asset value and redemption price per share

   $ 13.32      $ 21.02  
  

 

 

    

 

 

 

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

   $ 13.91      $ 22.30  
  

 

 

    

 

 

 

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

     

Net assets

   $ 148,582,740      $ 433,792,541  
  

 

 

    

 

 

 

Shares of beneficial interest

     11,149,462        20,914,294  
  

 

 

    

 

 

 

Net asset value and offering price per share

   $ 13.33      $ 20.74  
  

 

 

    

 

 

 

Class N shares:

 

Net assets

   $ 2,724,727,127      $ 201,969,802  
  

 

 

    

 

 

 

Shares of beneficial interest

     202,695,023        9,553,313  
  

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 13.44      $ 21.14  
  

 

 

    

 

 

 

Class Y shares:

 

Net assets

   $ 4,163,343,939      $ 1,887,432,263  
  

 

 

    

 

 

 

Shares of beneficial interest

     309,893,358        89,242,796  
  

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 13.43      $ 21.15  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

|  46


Statements of Operations

 

For the Six Months Ended March 31, 2020 (Unaudited)

 

     Core Plus
Bond Fund
    Global
Allocation Fund
 

INVESTMENT INCOME

 

Interest

   $ 109,939,601     $ 16,369,250  

Dividends

           8,928,677  

Less net foreign taxes withheld

           (226,786
  

 

 

   

 

 

 
     109,939,601       25,071,141  
  

 

 

   

 

 

 

Expenses

 

Management fees (Note 6)

     12,204,388       12,082,354  

Service and distribution fees (Note 6)

     1,437,062       3,052,138  

Administrative fees (Note 6)

     1,674,319       714,020  

Trustees’ fees and expenses (Note 6)

     147,828       70,597  

Transfer agent fees and expenses (Notes 6 and 7)

     2,206,993       1,281,183  

Audit and tax services fees

     26,703       27,992  

Custodian fees and expenses

     124,983       137,535  

Legal fees (Note 8)

     62,044       28,065  

Registration fees

     145,736       108,522  

Shareholder reporting expenses

     124,493       74,533  

Miscellaneous expenses (Note 8)

     119,653       92,768  
  

 

 

   

 

 

 

Total expenses

     18,274,202       17,669,707  

Less waiver and/or expense reimbursement (Note 6)

           (782
  

 

 

   

 

 

 

Net expenses

     18,274,202       17,668,925  
  

 

 

   

 

 

 

Net investment income

     91,665,399       7,402,216  
  

 

 

   

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

    

Net realized gain (loss) on:

 

Investments

     89,122,818       97,159,541  

Futures contracts

           155,691  

Forward foreign currency contracts (Note 2d)

           3,202,323  

Foreign currency transactions (Note 2c)

     (200,328     (464,087

Net change in unrealized appreciation (depreciation) on:

 

Investments

     (46,811,882     (421,566,353

Futures contracts

           343,400  

Forward foreign currency contracts (Note 2d)

           3,759,851  

Foreign currency translations (Note 2c)

     (144,687     157,097  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions

     41,965,921       (317,252,537
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 133,631,320     $ (309,850,321
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

47  |


Statements of Changes in Net Assets

 

    Core Plus Bond Fund     Global Allocation Fund  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
 

FROM OPERATIONS:

 

Net investment income

  $ 91,665,399     $ 193,816,309     $ 7,402,216     $ 23,195,146  

Net realized gain on investments, futures contracts, forward foreign currency contracts and foreign currency transactions

    88,922,490       37,103,540       100,053,468       60,158,656  

Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations

    (46,956,569     342,043,742       (417,306,005     124,957,256  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    133,631,320       572,963,591       (309,850,321     208,311,058  
 

 

 

   

 

 

   

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

       

Class A

    (6,492,212     (14,225,845     (13,439,864     (15,303,424

Class C

    (1,259,474     (2,905,066     (11,301,039     (13,674,405

Class N

    (36,498,685     (62,882,079     (6,572,302     (3,466,169

Class Y

    (56,026,577     (103,228,686     (60,646,702     (64,089,255
 

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (100,276,948     (183,241,676     (91,959,907     (96,533,253
 

 

 

   

 

 

   

 

 

   

 

 

 

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

    24,617,104       683,792,596       282,260,244       518,843,716  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets

    57,971,476       1,073,514,511       (119,549,984     630,621,521  

NET ASSETS

 

Beginning of the period

    7,492,975,934       6,419,461,423       3,074,303,193       2,443,681,672  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of the period

  $ 7,550,947,410     $ 7,492,975,934     $ 2,954,753,209     $ 3,074,303,193  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  48


Financial Highlights

 

For a share outstanding throughout each period.

 

    Core Plus Bond Fund—Class A  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 13.25     $ 12.53     $ 12.96     $ 13.06     $ 12.34     $ 13.18  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.14       0.34       0.35       0.28       0.37       0.37  

Net realized and unrealized gain (loss)

    0.09       0.70       (0.38     (0.04     0.71       (0.77
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.23       1.04       (0.03     0.24       1.08       (0.40
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.16     (0.32     (0.40     (0.34     (0.36     (0.36

Net realized capital gains

                                  (0.08
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.16     (0.32     (0.40     (0.34     (0.36     (0.44
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 13.32     $ 13.25     $ 12.53     $ 12.96     $ 13.06     $ 12.34  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    1.75 %(c)      8.39     (0.27 )%      1.86     8.90     (3.13 )% 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 514,294     $ 558,291     $ 600,762     $ 676,892     $ 776,566     $ 912,662  

Net expenses

    0.72 %(d)      0.73     0.73     0.73     0.73     0.74

Gross expenses

    0.72 %(d)      0.73     0.73     0.73     0.73     0.74

Net investment income

    2.16 %(d)      2.63     2.71     2.19     2.91     2.87

Portfolio turnover rate

    147     297 %(e)      181     195     143     175

 

(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)

The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies.

 

See accompanying notes to financial statements.

 

49  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Core Plus Bond Fund—Class C  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 13.25     $ 12.53     $ 12.96     $ 13.06     $ 12.33     $ 13.18  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.09       0.24       0.25       0.19       0.27       0.27  

Net realized and unrealized gain (loss)

    0.10       0.70       (0.38     (0.05     0.73       (0.77
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.19       0.94       (0.13     0.14       1.00       (0.50
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.11     (0.22     (0.30     (0.24     (0.27     (0.27

Net realized capital gains

                                  (0.08
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.11     (0.22     (0.30     (0.24     (0.27     (0.35
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 13.33     $ 13.25     $ 12.53     $ 12.96     $ 13.06     $ 12.33  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    1.44 %(c)      7.57     (1.03 )%      1.08     8.17     (3.86 )% 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 148,583     $ 160,201     $ 185,758     $ 248,687     $ 321,626     $ 354,285  

Net expenses

    1.47 %(d)      1.48     1.48     1.48     1.48     1.49

Gross expenses

    1.47 %(d)      1.48     1.48     1.48     1.48     1.49

Net investment income

    1.41 %(d)      1.88     1.96     1.44     2.16     2.11

Portfolio turnover rate

    147     297 %(e)      181     195     143     175

 

(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.

(e)

The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies.

 

See accompanying notes to financial statements.

 

|  50


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Core Plus Bond Fund—Class N  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 13.37     $ 12.63     $ 13.06     $ 13.17     $ 12.44     $ 13.28  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.17       0.38       0.39       0.33       0.41       0.42  

Net realized and unrealized gain (loss)

    0.08       0.72       (0.38     (0.06     0.73       (0.78
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.25       1.10       0.01       0.27       1.14       (0.36
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.18     (0.36     (0.44     (0.38     (0.41     (0.40

Net realized capital gains

                                  (0.08
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.18     (0.36     (0.44     (0.38     (0.41     (0.48
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 13.44     $ 13.37     $ 12.63     $ 13.06     $ 13.17     $ 12.44  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    1.91 %(b)      8.85     0.07     2.12     9.33     (2.82 )% 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 2,724,727     $ 2,610,699     $ 1,899,190     $ 1,784,150     $ 2,134,113     $ 2,209,110  

Net expenses

    0.38 %(c)      0.39     0.39     0.39     0.39     0.40

Gross expenses

    0.38 %(c)      0.39     0.39     0.39     0.39     0.40

Net investment income

    2.50 %(c)      2.96     3.06     2.53     3.25     3.27

Portfolio turnover rate

    147     297 %(d)      181     195     143     175

 

(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)

The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies.

 

See accompanying notes to financial statements.

 

51  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Core Plus Bond Fund—Class Y  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 13.36     $ 12.63     $ 13.06     $ 13.16     $ 12.43     $ 13.27  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.16       0.37       0.38       0.31       0.40       0.41  

Net realized and unrealized gain (loss)

    0.09       0.71       (0.38     (0.04     0.73       (0.78
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.25       1.08       0.00 (b)      0.27       1.13       (0.37
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.18     (0.35     (0.43     (0.37     (0.40     (0.39

Net realized capital gains

                                  (0.08
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.18     (0.35     (0.43     (0.37     (0.40     (0.47
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 13.43     $ 13.36     $ 12.63     $ 13.06     $ 13.16     $ 12.43  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    1.86 %(c)      8.67     (0.02 )%      2.10     9.22     (2.89 )% 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 4,163,344     $ 4,163,785     $ 3,733,751     $ 3,846,208     $ 2,953,919     $ 3,137,371  

Net expenses

    0.47 %(d)      0.48     0.48     0.48     0.48     0.49

Gross expenses

    0.47 %(d)      0.48     0.48     0.48     0.48     0.49

Net investment income

    2.41 %(d)      2.87     2.97     2.43     3.15     3.14

Portfolio turnover rate

    147     297 %(e)      181     195     143     175

 

(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)

Periods less than one year are not annualized.

(d)

Computed on an annualized basis for periods less than one year.

(e)

The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies.

 

See accompanying notes to financial statements.

 

|  52


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Global Allocation Fund—Class A  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 23.76     $ 23.10     $ 21.60     $ 19.17     $ 18.45     $ 19.77  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.05       0.19       0.23       0.31       0.24       0.21  

Net realized and unrealized gain (loss)

    (2.11     1.38       1.75       2.36       1.47       (0.37
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (2.06     1.57       1.98       2.67       1.71       (0.16
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.12     (0.16     (0.19     (0.24     (0.15     (0.20

Net realized capital gains

    (0.56     (0.75     (0.29           (0.84     (0.96
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.68     (0.91     (0.48     (0.24     (0.99     (1.16
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 21.02     $ 23.76     $ 23.10     $ 21.60     $ 19.17     $ 18.45  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    (9.11 )%(c)      7.66     9.26     14.10     9.64     (0.91 )% 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 431,559     $ 453,009     $ 401,036     $ 305,275     $ 280,263     $ 246,371  

Net expenses

    1.15 %(d)      1.16     1.16     1.18     1.17     1.18

Gross expenses

    1.15 %(d)      1.16     1.16     1.18     1.17     1.18

Net investment income

    0.39 %(d)      0.83     1.03     1.57     1.32     1.06

Portfolio turnover rate

    20     27     22     35     43     48

 

(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.

 

53  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Global Allocation Fund—Class C  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 23.43     $ 22.78     $ 21.29     $ 18.89     $ 18.19     $ 19.51  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income (loss)(a)

    (0.04     0.02       0.06       0.16       0.10       0.06  

Net realized and unrealized gain (loss)

    (2.09     1.38       1.73       2.33       1.46       (0.36
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (2.13     1.40       1.79       2.49       1.56       (0.30
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

          (0.00 )(b)      (0.01     (0.09     (0.02     (0.06

Net realized capital gains

    (0.56     (0.75     (0.29           (0.84     (0.96
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.56     (0.75     (0.30     (0.09     (0.86     (1.02
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 20.74     $ 23.43     $ 22.78     $ 21.29     $ 18.89     $ 18.19  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)

    (9.45 )%(d)      6.85     8.46     13.22     8.88     (1.66 )% 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 433,793     $ 480,479     $ 412,610     $ 354,017     $ 423,350     $ 393,416  

Net expenses

    1.90 %(e)      1.91     1.91     1.93     1.92     1.93

Gross expenses

    1.90 %(e)      1.91     1.91     1.93     1.92     1.93

Net investment income (loss)

    (0.36 )%(e)      0.08     0.29     0.84     0.57     0.31

Portfolio turnover rate

    20     27     22     35     43     48

 

(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)

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.

 

|  54


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Global Allocation Fund—Class N  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Period Ended
September 30,
2017*
 

Net asset value, beginning of the period

  $ 23.92     $ 23.25     $ 21.73     $ 19.20  
 

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income(a)

    0.09       0.27       0.31       0.20  

Net realized and unrealized gain (loss)

    (2.12     1.38       1.75       2.33  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (2.03     1.65       2.06       2.53  
 

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

       

Net investment income

    (0.19     (0.23     (0.25      

Net realized capital gains

    (0.56     (0.75     (0.29      
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.75     (0.98     (0.54      
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 21.14     $ 23.92     $ 23.25     $ 21.73  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    (8.96 )%(b)      8.04     9.60     13.18 %(b) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

  $ 201,970     $ 202,692     $ 80,346     $ 59,512  

Net expenses

    0.82 %(c)      0.82     0.83     0.87 %(c) 

Gross expenses

    0.82 %(c)      0.82     0.83     0.87 %(c) 

Net investment income

    0.72 %(c)      1.20     1.36     1.48 %(c) 

Portfolio turnover rate

    20     27     22     35 %(d) 

 

*

From commencement of Class operations on February 1, 2017 through September 30, 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)

Computed on an annualized basis for periods less than one year.

(d)

Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

 

See accompanying notes to financial statements.

 

55  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Global Allocation Fund—Class Y  
    Six Months
Ended
March 31,
2020
(Unaudited)
    Year Ended
September 30,
2019
    Year Ended
September 30,
2018
    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
2015
 

Net asset value, beginning of the period

  $ 23.92     $ 23.25     $ 21.74     $ 19.29     $ 18.55     $ 19.89  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.08       0.24       0.29       0.36       0.29       0.25  

Net realized and unrealized gain (loss)

    (2.12     1.40       1.75       2.37       1.49       (0.37
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (2.04     1.64       2.04       2.73       1.78       (0.12
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.17     (0.22     (0.24     (0.28     (0.20     (0.26

Net realized capital gains

    (0.56     (0.75     (0.29           (0.84     (0.96
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.73     (0.97     (0.53     (0.28     (1.04     (1.22
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 21.15     $ 23.92     $ 23.25     $ 21.74     $ 19.29     $ 18.55  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    (8.98 )%(b)      7.95     9.49     14.42     9.97     (0.72 )% 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 1,887,432     $ 1,938,124     $ 1,549,689     $ 1,067,062     $ 835,391     $ 604,609  

Net expenses

    0.90 %(c)      0.91     0.91     0.93     0.92     0.93

Gross expenses

    0.90 %(c)      0.91     0.91     0.93     0.92     0.93

Net investment income

    0.64 %(c)      1.08     1.29     1.79     1.58     1.30

Portfolio turnover rate

    20     27     22     35     43     48

 

(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.

 

|  56


Notes to Financial Statements

 

March 31, 2020 (Unaudited)

 

1.  Organization.  Natixis Funds Trust 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:

Natixis Funds Trust I:

Loomis Sayles Core Plus Bond Fund (the “Core Plus Bond Fund”)

Loomis Sayles Funds II:

Loomis Sayles Global Allocation Fund (the “Global Allocation Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for Core Plus Bond Fund and 5.75% for Global Allocation Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“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 offered with an initial minimum 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 and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. 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 and Class C), and transfer agent fees 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 the 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

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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 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. 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. 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. Fund securities and other investments

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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. 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 pursuant to the Funds’ pricing policies and procedures.

As of March 31, 2020, securities held by the Funds were fair valued as follows:

 

Fund

 

Equity
securities
1

   

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

 

Core Plus Bond Fund

  $           $ 2,844,656       Less than 0.1%     $ 1,711,149       Less than 0.1%  

Global Allocation Fund

    472,714,400       16.0     743,827       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 (including income reinvested) and foreign withholding tax, if applicable, is recorded on the 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

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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, if any, 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 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.

For the six months ended March 31, 2020, the amount of income available to be distributed by Core Plus Bond Fund has been reduced by $5,899,537 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.

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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 appreciation (depreciation) 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.

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 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. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) 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.

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

f.  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 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, 2020.

g.  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, 2020 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.

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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.

h.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the 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, paydown gains and losses, convertible bonds, treasury inflation-protected bonds, defaulted and/or non-income producing securities, capital gains taxes, deferred Trustees’ fees, 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, defaulted and/or non-income producing securities, forward foreign currency contract mark-to-market, wash sales, premium amortization, corporate actions, treasury inflation-protected bonds, contingent payment debt instruments, trust preferred securities 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 net realized short-term capital gains are considered to be distributed from ordinary income for tax purposes.

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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, 2019 was as follows:

 

    2019 Distributions Paid From:  

Fund

 

Ordinary
Income

   

Long-Term
Capital Gains

   

Total

 

Core Plus Bond Fund

  $ 183,241,676     $     $ 183,241,676  

Global Allocation Fund

    18,627,380       77,905,873       96,533,253  

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of September 30, 2019, capital loss carryforwards were as follows:

 

    

Core Plus
Bond Fund

   

Global
Allocation Fund

 

Capital loss carryforward:

 

Long-term:

 

No expiration date

   $ (74,174,601   $   —  
  

 

 

   

 

 

 

As of March 31, 2020, unrealized appreciation (depreciation) on a tax basis was approximately as follows:

 

    

Core Plus
Bond Fund

   

Global
Allocation Fund

 

Unrealized appreciation (depreciation)

    

Investments

   $ 125,937,988     $ 143,306,463  

Foreign currency translations

     (45,833,312     (11,485,257
  

 

 

   

 

 

 

Total unrealized appreciation

   $ 80,104,676     $ 131,821,206  
  

 

 

   

 

 

 

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

As of March 31, 2020, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    

Core Plus
Bond Fund

   

Global
Allocation Fund

 

Federal tax cost

   $ 7,262,530,287     $ 2,809,244,903  
  

 

 

   

 

 

 

Gross tax appreciation

   $ 374,522,256     $ 320,508,290  

Gross tax depreciation

     (294,243,852     (188,620,606
  

 

 

   

 

 

 

Net tax appreciation

   $ 80,278,404     $ 131,887,684  
  

 

 

   

 

 

 

The difference between these amounts and those reported in the preceding table are primarily attributable to capital gains taxes and foreign exchange gains or losses.

Amounts in the tables above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

i.  Senior Loans.  Each Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior 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 senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. A Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

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, 2020, 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

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

k.  Due to/from Brokers.  Transactions and positions in certain futures and 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 from brokers balance in the Statements of Assets and Liabilities for Global Allocation Fund represents cash pledged as collateral for forward foreign currency contracts. The due to brokers balance in the Statements of Assets and Liabilities for Global Allocation Fund represents cash received as collateral for forward foreign currency contracts. In certain circumstances a Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.

l.  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, 2020, neither Fund had loaned securities under this agreement.

m.  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.

n.  New Accounting Pronouncement.  In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13, Fair Value

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of the adoption of ASU 2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. New disclosures required by ASU 2018-13 will be incorporated in the Funds’ semiannual financial statements as of March 31, 2021.

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. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. 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. Securities for which market quotations are not readily available are valued at fair value as determined in

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

good faith by the Funds’ 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, 2020, at value:

Core Plus Bond Fund

Asset Valuation Inputs

 

Description

  

Level 1

   

Level 2

   

Level 3

   

Total

 

Bonds and Notes

        

Non-Convertible Bonds

        

ABS Home Equity

   $     $ 118,331,534     $ 32,730 (b)    $ 118,364,264  

Collateralized Mortgage Obligations

           70,401,230       1,678,419 (b)      72,079,649  

All Other Non-Convertible Bonds(a)

           6,855,657,127             6,855,657,127  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Non-Convertible Bonds

           7,044,389,891       1,711,149       7,046,101,040  
  

 

 

   

 

 

   

 

 

   

 

 

 

Municipals(a)

           16,347,460             16,347,460  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Bonds and Notes

           7,060,737,351       1,711,149       7,062,448,500  
  

 

 

   

 

 

   

 

 

   

 

 

 

Senior Loans(a)

           146,562,329             146,562,329  

Preferred Stocks(a)

           17,563,000             17,563,000  

Common Stocks(a)

           1,343,269       (c)      1,343,269  

Short-Term Investments

           114,891,593             114,891,593  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $   —     $ 7,341,097,542     $ 1,711,149     $ 7,342,808,691  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(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.

(c)

Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs.

 

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Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

Global Allocation Fund

Asset Valuation Inputs

 

Description

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks

       

France

  $     $ 71,363,293     $     $ 71,363,293  

Hong Kong

          50,756,654             50,756,654  

India

          32,597,504             32,597,504  

Japan

          52,041,371             52,041,371  

Sweden

          53,171,412             53,171,412  

Switzerland

          107,688,084             107,688,084  

United Kingdom

    59,144,894       105,096,082             164,240,976  

United States

    1,277,095,128       1,102             1,277,096,230  

All Other Common Stocks(a)

    169,031,039                   169,031,039  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Common Stocks

    1,505,271,061       472,715,502             1,977,986,563  
 

 

 

   

 

 

   

 

 

   

 

 

 

Bonds and Notes

       

Non-Convertible Bonds

       

United States

    27,573       480,366,111             480,393,684  

All Other Non-Convertible Bonds(a)

          409,559,295             409,559,295  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Non-Convertible Bonds

    27,573       889,925,406             889,952,979  
 

 

 

   

 

 

   

 

 

   

 

 

 

Convertible Bonds(a)

          12,127,879       2,850 (b)      12,130,729  

Municipals(a)

          266,168             266,168  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Bonds and Notes

    27,573       902,319,453       2,850       902,349,876  
 

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks(a)

    1,674,936       26,701             1,701,637  

Short-Term Investments

          55,872,439             55,872,439  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments

    1,506,973,570       1,430,934,095       2,850       2,937,910,515  
 

 

 

   

 

 

   

 

 

   

 

 

 

Forward Foreign Currency Contracts (unrealized appreciation)

          6,998,617             6,998,617  

Futures Contracts (unrealized appreciation)

    343,400                   343,400  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,507,316,970     $ 1,437,932,712     $ 2,850     $ 2,945,252,532  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

69  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

Global Allocation Fund (continued)

Liability Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Forward Foreign Currency Contracts (unrealized depreciation)

   $           —      $     (4,119,946)      $         —      $     (4,119,946)  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(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.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2019 and/or March 31, 2020:

Core Plus Bond Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of
September 30,
2019

   

Accrued
Discounts
(Premiums)

   

Realized
Gain
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

 

Bonds and Notes

         

Non-Convertible Bonds

         

ABS Home Equity

  $   41,289     $   —     $     $ 20     $   —  

Collateralized Mortgage Obligations

                (2,427     2,763        

Common Stocks

         

Oil, Gas & Consumable Fuels

    779                   (779      
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $   42,068     $   —     $ (2,427   $ 2,004     $   —  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Securities

 

Sales

   

Transfers
into Level 3

   

Transfers
out of
Level 3

   

Balance as of
March 31,
2020

   

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
March 31,
2020

 

Bonds and Notes

         

Non-Convertible Bonds

         

ABS Home Equity

  $ (8,579   $     $     $ 32,730     $ (74)  

Collateralized Mortgage Obligations

    (1,789,551     3,467,634             1,678,419       2,763  

Common Stocks

         

Oil, Gas & Consumable Fuels

                      (a)      (779
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (1,798,130   $ 3,467,634     $     $ 1,711,149     $ 1,910  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)

Includes a security fair valued at zero by the Fund’s adviser using Level 3 Inputs.

 

|  70


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

Debt securities valued at $3,467,634 were transferred from Level 2 to Level 3 during the period ended March 31, 2020. At September 30, 2019, 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. At March 31, 2020 these securities were 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 securities.

Global Allocation Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of
September 30,
2019

   

Accrued
Discounts
(Premiums)

   

Realized
Gain (Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

 

Bonds and Notes

         

Non-Convertible Bonds

         

Canada

  $ 4,819     $     $ 17     $ 29     $ —    

Convertible Bonds

         

United States

          808             (54,721      

Preferred Stocks

         

United States

    301,240                          
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $   306,059     $ 808     $ 17     $ (54,692   $  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Securities

 

Sales

   

Transfers
into Level 3

   

Transfers
out of
Level 3

   

Balance as of
March 31,
2020

   

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
March 31,
2020

 

Bonds and Notes

         

Non-Convertible Bonds

         

Canada

  $ (4,865   $     $     $     $  

Convertible Bonds

         

United States

          56,763             2,850       (54,721

Preferred Stocks

         

United States

                (301,240            
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (4,865   $   56,763     $   (301,240)     $ 2,850     $   (54,721)  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

71  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

A debt security valued at $56,763 was transferred from Level 2 to Level 3 during the period ended March 31, 2020. At September 30, 2019, 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, 2020, 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.

Preferred stocks valued at $301,240 were transferred from Level 3 to Level 2 during the period ended March 31, 2020. At September 30, 2019, these securities were 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 securities. At March 31, 2020, 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.

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 Allocation Fund used during the period include forward foreign currency contracts and futures contracts.

The 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, 2020, Global Allocation Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed income securities with longer maturities or durations, as compared to investing in fixed income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also use futures contracts to gain investment exposure. During the six months ended March 31, 2020, the Fund used futures contracts for hedging purposes, to manage duration and to gain investment exposure.

 

|  72


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

The following is a summary of derivative instruments for Global Allocation Fund as of March 31, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

  

Unrealized
appreciation
on forward
foreign
currency
contracts

   

Unrealized
appreciation
on futures
contracts
1

 

Over-the-counter asset derivatives

    

Foreign exchange contracts

   $ 6,998,617     $  
  

 

 

   

 

 

 

Exchange-traded asset derivatives

    

Interest rate contracts

   $     $ 343,400  
  

 

 

   

 

 

 

Total asset derivatives

   $ 6,998,617     $ 343,400  
  

 

 

   

 

 

 

Liabilities

  

Unrealized
depreciation
on forward
foreign
currency
contracts

       

Over-the-counter liability derivatives

    

Foreign exchange contracts

   $ (4,119,946  

 

1

Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Global Allocation Fund during the six months ended March 31, 2020, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

  

Futures
contracts

    

Forward
foreign
currency
contracts

 

Interest rate contracts

   $ 155,691      $  

Foreign exchange contracts

            3,202,323  
  

 

 

    

 

 

 

Total

   $ 155,691      $ 3,202,323  
  

 

 

    

 

 

 

Net Change in Unrealized
Appreciation (Depreciation) on:

  

Futures
contracts

    

Forward
foreign
currency
contracts

 

Interest rate contracts

   $ 343,400      $  

Foreign exchange contracts

            3,759,851  
  

 

 

    

 

 

 

Total

   $ 343,400      $ 3,759,851  
  

 

 

    

 

 

 

 

73  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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 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 and futures 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, 2020:

 

Global Allocation Fund

  

Forwards

   

Futures

 

Average Notional Amount Outstanding

     9.37     0.17

Highest Notional Amount Outstanding

     11.24     0.22

Lowest Notional Amount Outstanding

     8.43     0.18

Notional Amount Outstanding as of March 31, 2020

     11.24     0.22

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

Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forwards and futures 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 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.

 

|  74


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

As of March 31, 2020, 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 Allocation Fund

 

Counterparty

 

Gross Amounts of
Assets

   

Offset
Amount

   

Net Asset
Balance

   

Collateral
(Received)/
Pledged

   

Net
Amount

 

Bank of America, N.A.

  $ 620,499     $ (62,733   $ 557,766     $ (340,000   $ 217,766  

Citibank N.A.

    441,957       (139,293     302,664       (302,664      

Credit Suisse International

    4,790,666       (861,438     3,929,228       (3,929,228      

Goldman Sachs & Co.

    341,588             341,588             341,588  

HSBC Bank USA

    145,974       (145,974                  

UBS AG

    657,933       (266,786     391,147       (390,000     1,147  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 6,998,617     $ (1,476,224   $ 5,522,393     $ (4,961,892   $ 560,501  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Counterparty

 

Gross Amounts of
Liabilities

   

Offset
Amount

   

Net
Liability
Balance

   

Collateral
(Received)/
Pledged

   

Net
Amount

 

Bank of America, N.A.

  $ (62,733   $ 62,733     $     $     $  

Citibank N.A.

    (139,293     139,293                    

Credit Suisse International

    (861,438     861,438                    

HSBC Bank USA

    (382,551     145,974       (236,577     236,577        

Morgan Stanley Capital Services, Inc.

    (2,407,145           (2,407,145     2,103,755       (303,390

UBS AG

    (266,786     266,786                    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ (4,119,946   $ 1,476,224     $ (2,643,722   $ 2,340,332     $ (303,390
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

 

75  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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 clearing house, 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 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 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 Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2020:

 

Fund

  

Maximum Amount

of Loss - Gross

    

Maximum Amount

of Loss - Net

 

Global Allocation Fund

   $ 9,655,040      $ 876,592  

Net loss amount reflects cash received as collateral of $5,290,000, which is recorded on the Statements of Assets and Liabilities.

5.  Purchases and Sales of Securities.  For the six months ended March 31, 2020, 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

 

Core Plus Bond Fund

  $ 9,831,229,267     $ 10,264,217,922     $ 987,010,293     $ 572,715,022  

Global Allocation Fund

    174,147,934       75,109,385       796,353,128       545,310,398  

 

|  76


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

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 the Fund’s average daily net assets:

 

     Percentage of Average Daily Net Assets  

Fund

  

First

$100 million

   

Next
$1.9 billion

   

Over
$2 billion

 

Core Plus Bond Fund

     0.2000     0.1875     0.1500

Global Allocation Fund

     0.7500     0.7500     0.7300

Natixis Advisors, L.P. (“Natixis Advisors”) serves as the advisory administrator to Core Plus Bond Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis. Under the terms of the advisory administration agreement, the Fund pays an advisory administration fee at the following annual rates, calculated daily and payable monthly, based on its average daily net assets:

 

     Percentage of Average Daily Net Assets  

Fund

  

First

$100 million

   

Next
$1.9 billion

   

Over
$2 billion

 

Core Plus Bond Fund

     0.2000     0.1875     0.1500

Management and advisory administration fees are presented in the Statements of Operations as management fees.

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, 2021, 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.

 

77  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

For the six months ended March 31, 2020 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

Fund

   Expense Limit as a Percentage of
Average Daily Net Assets
 
    

Class A

   

Class C

   

Class N

   

Class Y

 

Core Plus Bond Fund

     0.80     1.55     0.50     0.55

Global Allocation Fund

     1.25     2.00     0.95     1.00

Loomis Sayles and Natixis Advisors have agreed to equally bear the waivers and/or expense reimbursements for Core Plus Bond Fund.

Loomis Sayles (and Natixis Advisors for Core Plus Bond Fund) shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of 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, 2020, the management fees for each Fund were as follows:

 

Fund

  

Gross
Management
Fees

    

Percentage of
Average
Daily Net Assets

 

Core Plus Bond Fund

   $ 6,102,194        0.16

Global Allocation Fund

     12,082,354        0.74

For the six months ended March 31, 2020, the advisory administration fees for Core Plus Bond Fund were $6,102,194 (effective rate of 0.16% of average daily net assets).

No expenses were recovered for either Fund during the six months ended March 31, 2020 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis 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”), and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis 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 Natixis Distribution

 

|  78


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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

For the six months ended March 31, 2020, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution Fees  

Fund

  

Class A

    

Class C

    

Class C

 

Core Plus Bond Fund

   $ 675,629      $ 190,358      $ 571,075  

Global Allocation Fund

     608,395        610,936        1,832,807  

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2020, the administrative fees for each Fund were as follows:

 

Fund

  

Administrative Fees

 

Core Plus Bond Fund

   $ 1,674,319  

Global Allocation Fund

     714,020  

d.  Sub-Transfer Agent Fees.  Natixis 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

 

79  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis 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, 2020, 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

 

Core Plus Bond Fund

   $ 2,103,542  

Global Allocation Fund

     1,240,559  

As of March 31, 2020, the Funds owe Natixis 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

 

Core Plus Bond Fund

   $ 46,563  

Global Allocation Fund

     37,787  

Sub-transfer agent fees 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.

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended March 31, 2020, were as follows:

 

Fund

  

Commissions

 

Core Plus Bond Fund

   $ 10,717  

Global Allocation Fund

     120,820  

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 Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the

 

|  80


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

aggregate, a retainer fee at the annual rate of $199,000. 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, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. 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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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.

Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. All other Trustee fees remained unchanged.

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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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.

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

g.  Affiliated Ownership.  As of March 31, 2020, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Core Plus Bond Fund and Global Allocation Fund representing 0.13% and 0.64%, respectively, of the Funds’ net assets.

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

 

81  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

h.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors had given a binding contractual undertaking to Global Allocation Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking was in effect through January 31, 2020 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended March 31, 2020, Natixis Advisors reimbursed Global Allocation Fund $782 for transfer agency expenses related to Class N shares.

7.  Class-Specific Transfer Agent Fees and Expenses.  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.

For the six months ended March 31, 2020, 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

 

Core Plus Bond Fund

   $ 240,343      $ 67,732      $ 6,435      $ 1,892,483  

Global Allocation Fund

     205,031        205,793        1,469        868,890  

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (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 and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, 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 certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended March 31, 2020, neither Fund had borrowings under this agreement.

9.  Payable to Custodian Bank.  The Funds’ custodian bank, State Street Bank, provides overdraft protection to the Funds in the event of a cash shortfall. Cash overdrafts bear

 

|  82


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

interest at a rate per annum equal to the Federal Funds rate plus 2.00%. At March 31, 2020, Core Plus Bond Fund had a payable of $4,210,283 to the custodian bank for an overdraft.

10.  Risk.  Global Allocation Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Core Plus Bond 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 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.

Global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.

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 Fund. As of March 31, 2020, based on management’s evaluation of the shareholder account base, Core Plus 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

 

Core Plus Bond Fund

     2        12.75

Omnibus shareholder accounts for which Natixis 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

 

83  |


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

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, 2020

 
   
Year Ended
September 30, 2019

 

Core Plus Bond Fund

     Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

     6,514,739     $ 86,771,737       12,426,857     $ 158,345,750  

Issued in connection with the reinvestment of distributions

     367,871       4,887,687       837,896       10,721,395  

Redeemed

     (10,413,210     (138,230,536     (19,090,450     (243,916,582
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (3,530,600   $ (46,571,112     (5,825,697   $ (74,849,437
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     775,497     $ 10,332,142       1,660,719     $ 21,057,183  

Issued in connection with the reinvestment of distributions

     72,265       960,459       172,807       2,212,246  

Redeemed

     (1,785,326     (23,708,781     (4,572,623     (58,229,725
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (937,564   $ (12,416,180     (2,739,097   $ (34,960,296
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N         

Issued from the sale of shares

     39,046,490     $ 526,566,163       74,861,614     $ 965,170,758  

Issued in connection with the reinvestment of distributions

     2,585,605       34,681,013       4,521,156       58,566,539  

Redeemed

     (34,229,754     (454,996,855     (34,409,887     (444,651,546
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     7,402,341     $ 106,250,321       44,972,883     $ 579,085,751  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     48,288,250     $ 649,327,317       85,377,215     $ 1,102,722,145  

Issued in connection with the reinvestment of distributions

     3,569,703       47,841,407       6,833,439       88,271,244  

Redeemed

     (53,612,481     (719,814,649     (76,245,974     (976,476,811
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (1,754,528   $ (22,645,925     15,964,680     $ 214,516,578  
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase from capital share transactions

     1,179,649     $ 24,617,104       52,372,769     $ 683,792,596  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

|  84


Notes to Financial Statements (continued)

 

March 31, 2020 (Unaudited)

 

12. Capital Shares (continued).

 

    
Six Months Ended
March 31, 2020

 
   
Year Ended
September 30, 2019

 

Global Allocation Fund

     Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

     4,165,368     $ 99,821,806       7,286,270     $ 162,617,493  

Issued in connection with the reinvestment of distributions

     408,536       10,037,742       622,284       12,134,537  

Redeemed

     (3,109,593     (72,471,534     (6,207,958     (137,784,719
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     1,464,311     $ 37,388,014       1,700,596     $ 36,967,311  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     3,057,118     $ 72,608,025       5,953,693     $ 130,846,979  

Issued in connection with the reinvestment of distributions

     335,475       8,148,688       519,881       10,054,504  

Redeemed

     (2,983,870     (68,698,358     (4,084,514     (89,798,271
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     408,723     $ 12,058,355       2,389,060     $ 51,103,212  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N         

Issued from the sale of shares

     1,377,610     $ 33,185,335       5,515,442     $ 122,986,662  

Issued in connection with the reinvestment of distributions

     229,737       5,672,201       168,053       3,290,482  

Redeemed

     (527,154     (12,428,769     (665,833     (15,132,556
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     1,080,193     $ 26,428,767       5,017,662     $ 111,144,588  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     18,326,233     $ 433,811,952       31,758,778     $ 709,981,758  

Issued in connection with the reinvestment of distributions

     1,901,677       46,971,422       2,439,526       47,790,318  

Redeemed

     (11,997,985     (274,398,266     (19,828,297     (438,143,471
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     8,229,925     $ 206,385,108       14,370,007     $ 319,628,605  
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase from capital share transactions

     11,183,152     $ 282,260,244       23,477,325     $ 518,843,716  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

85  |


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 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. 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).


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 19, 2020

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 19, 2020

 

By:   /s/ Michael C. Kardok
Name:  

Michael C. Kardok

Title:   Treasurer and Principal Financial and Accounting Officer
Date:   May 19, 2020
EX-99.CERT 2 d846799dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit (a)(2)(1)

Loomis Sayles Funds II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, David Giunta, certify that:

 

  1.

I have reviewed this report on Form N-CSR of Loomis Sayles Funds II;

 

  2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

  3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

  4.

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c.

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


  5.

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 19, 2020

 

/s/ David Giunta
David Giunta
Chief Executive Officer


Exhibit (a)(2)(2)

Loomis Sayles Funds II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, Michael C. Kardok, certify that:

 

  1.

I have reviewed this report on Form N-CSR of Loomis Sayles Funds II;

 

  2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

  3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

  4.

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c.

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


  5.

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 19, 2020

 

/s/ Michael C. Kardok
Michael C. Kardok
Treasurer and Principal Financial and Accounting Officer
EX-99.906CERT 3 d846799dex99906cert.htm SECTION 906 CERTIFICATION Section 906 Certification

Exhibit (b)

Loomis Sayles Funds II

Section 906 Certification

In connection with the report on Form N-CSR for the period ended March 31, 2020 for the Registrant (the “Report”), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. the Report complies with the requirements of Section 13(a) or 15(d) of the Securities and Exchange Act of 1934, as applicable; and

2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

By:     By:
Chief Executive Officer
Loomis Sayles Funds II
    Treasurer and Principal Financial and Accounting Officer
    Loomis Sayles Funds II
/s/ David Giunta     /s/ Michael C. Kardok
David Giunta     Michael C. Kardok
Date: May 19, 2020     Date: May 19, 2020

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Loomis Sayles Funds II, and will be retained by Loomis Sayles Funds II and furnished to the Securities and Exchange Commission or its staff upon request.

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