Loomis Sayles Funds II

N-CSRS 1 d319140dncsrs.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)

Natalie Wagner, Esq.

Natixis Distribution, LLC

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: September 30

Date of reporting period: March 31, 2022

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

Semiannual Report

March 31, 2022

Loomis Sayles Core Plus Bond Fund

Loomis Sayles Credit Income Fund

Loomis Sayles Global Allocation Fund

Loomis Sayles Growth Fund

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Limited Term Government and Agency Fund

Table of Contents


Portfolio Review			1
Portfolio of Investments			12
Financial Statements			56
Notes to Financial Statements			87

LOGO

LOOMIS SAYLES CORE PLUS BOND FUND



Managers		Symbols

Peter W. Palfrey, CFA^®		Class A NEFRX

Richard G. Raczkowski		Class C NECRX

Ian Anderson		Class N NERNX

Barath W. 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.

Average Annual Total Returns — March 31, 2022³



													Life of Class N		Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Life of Class N		Gross			Net

Class Y
NAV		-5.65	%		-3.76	%		2.89	%		3.40	%		—		0.46	%		0.46	%

Class A
NAV		-5.75			-4.03			2.64			3.14			—		0.71			0.71
With 4.25% Maximum Sales Charge		-9.74			-8.12			1.75			2.70			—

Class C
NAV		-6.18			-4.77			1.85			2.54			—		1.46			1.46
With CDSC¹		-7.11			-5.71			1.85			2.54			—

Class N (Inception 2/1/13)
NAV		-5.60			-3.66			2.99			—			2.86		0.38			0.38

Comparative Performance
Bloomberg U.S. Aggregate Bond Index²		-5.92			-4.15			2.14			2.24			2.10

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.

The Bloomberg U.S. Aggregate Bond Index is a 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.

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 1/31/23. 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.

1 |

LOOMIS SAYLES CREDIT INCOME FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		Class A LOCAX

Brian P. Kennedy		Class C LOCCX

Elaine M. Stokes		Class N LOCNX

		Class Y LOCYX

Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks high current income with a secondary objective of capital growth.

Average Annual Total Returns — March 31, 2022³



										Expense Ratios⁴

	6 Months			1 Year			Life of Fund			Gross			Net

Class Y (Inception 9/29/20)
NAV		-6.03	%		-3.05	%		-0.85	%		4.54	%		0.57	%

Class A (Inception 9/29/20)
NAV		-6.24			-3.38			-1.08			4.79			0.82
With 4.25% Maximum Sales Charge		-10.20			-7.53			-3.88

Class C (Inception 9/29/20)
NAV		-6.59			-4.11			-1.89			5.60			1.57
With CDSC¹		-7.51			-5.05			-1.89

Class N (Inception 9/29/20)
NAV		-6.10			-2.99			-0.80			1.16			0.52

Comparative Performance
Bloomberg U.S. Credit Index²		-7.21			-4.16			-6.05

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 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.

The Bloomberg U.S. Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. It is composed of the U.S. Corporate Index and a non-corporate component that includes non-U.S. agencies, sovereigns, supranationals and local authorities. The U.S. Credit Index was called the U.S. Corporate Index until July 2000, when it was renamed to reflect its inclusion of both corporate and non-corporate issuers. The U.S. Credit Index is a subset of the U.S. Government/Credit Index and U.S. Aggregate Index.

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

| 2

LOOMIS SAYLES GLOBAL ALLOCATION FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		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.

Average Annual Total Returns — March 31, 2022⁴



													Life of Class N		Expense Ratios⁵
	6 Months			1 Year			5 Years			10 Years			Life of Class N		Gross			Net

Class Y
NAV		-5.49	%		0.85	%		10.37	%		8.69	%		—		0.87	%		0.87	%

Class A
NAV		-5.58			0.66			10.10			8.43			—		1.12			1.12
With 5.75% Maximum Sales Charge		-11.01			-5.12			8.80			7.79			—

Class C
NAV		-5.93			-0.13			9.28			7.78			—		1.87			1.87
With CDSC¹		-6.80			-1.06			9.28			7.78			—

Class N (Inception 2/1/17)
NAV		-5.43			0.96			10.45			—			10.69		0.80			0.80

Comparative Performance
MSCI All Country World Index (Net)²		0.96			7.28			11.64			10.00			12.06
Blended Index³		-2.12			1.72			7.82			6.53			8.11

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.

The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI All Country World Index (Net) and 40% Bloomberg Global Aggregate Bond Index. The Bloomberg Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The four major components of this index are the U.S. Aggregate, the Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian 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.

3 |

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.

Average Annual Total Returns — March 31, 2022³



													Life of Class N		Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Life of Class N		Gross			Net

Class Y
NAV		-1.60	%		6.29	%		17.77	%		16.41	%		—		0.64	%		0.64	%

Class A
NAV		-1.73			6.00			17.47			16.12			—		0.89			0.89
With 5.75% Maximum Sales Charge		-7.40			-0.10			16.10			15.43			—

Class C
NAV		-2.10			5.19			16.59			15.43			—		1.63			1.63
With CDSC¹		-3.02			4.20			16.59			15.43			—

Class N (Inception 2/1/13)
NAV		-1.56			6.38			17.86			—			16.39		0.56			0.56

Comparative Performance
Russell 1000^® Growth Index²		1.54			14.98			20.88			17.04			17.94

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 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^® Growth Index 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

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

		Class Y LSDIX

Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks above-average total return through a combination of current income and capital appreciation.

Average Annual Total Returns — March 31, 2022⁴



													Life of Class N		Expense Ratios⁵
	6 Months			1 Year			5 Years			10 Years			Life of Class N		Gross			Net

Class Y¹
NAV		-5.56	%		-4.58	%		2.18	%		2.32	%		—		0.45	%		0.40	%

Class A¹
NAV		-5.58			-4.73			1.92			2.07			—		0.70			0.65
With 4.25% Maximum Sales Charge		-9.60			-8.79			1.05			1.62			—

Class C (Inception 8/31/16)¹
NAV		-6.02			-5.47			1.15			1.42			—		1.45			1.40
With CDSC²		-6.95			-6.41			1.15			1.42			—

Class N (Inception 2/01/19)		-5.45			-4.54			—			—			2.49		0.38			0.35

Comparative Performance
Bloomberg U.S. Intermediate Government/Credit Bond Index³		-5.05			-4.10			1.81			1.85			1.94

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.

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 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.

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

5 |

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

		Class Y NELYX

Loomis, Sayles & Company, L.P.

Investment Goal

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

Average Annual Total Returns — March 31, 2022³



													Life of Class N		Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Life of Class N		Gross			Net

Class Y
NAV		-2.92	%		-2.96	%		1.09	%		1.10	%		—		0.49	%		0.45	%

Class A
NAV		-3.04			-3.12			0.84			0.84			—		0.73			0.70
With 2.25% Maximum Sales Charge		-5.20			-5.27			0.38			0.62			—

Class C
NAV		-3.37			-3.87			0.07			0.24			—		1.49			1.45
With CDSC¹		-4.34			-4.83			0.07			0.24			—

Class N (Inception 2/1/17)
NAV		-2.89			-2.81			1.17			—			1.20		0.41			0.40

Comparative Performance
Bloomberg U.S. 1-5 Year Government Bond Index²		-4.08			-3.95			1.13			1.01			1.13

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit 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.

The Bloomberg U.S. 1-5 Year Government Bond Index is a subindex of the Bloomberg U.S. Government Index, which is comprised of the Bloomberg U.S. Treasury and U.S. Agency Indices. The Bloomberg 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 U.S. Government Index is a component of the Bloomberg U.S. Government/Credit Index and the Bloomberg 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.

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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 during the most recent 12-month period ended June 30 is available through the Fund’s website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

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

7 |

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, 2021 through March 31, 2022. 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 10/1/2021		ENDING ACCOUNT VALUE 3/31/2022		EXPENSES PAID DURING PERIOD* 10/1/2021 – 3/31/2022
Class A
Actual		$1,000.00		$942.50		$3.54
Hypothetical (5% return before expenses)		$1,000.00		$1,021.29		$3.68
Class C
Actual		$1,000.00		$938.20		$7.15
Hypothetical (5% return before expenses)		$1,000.00		$1,017.55		$7.44
Class N
Actual		$1,000.00		$944.00		$1.84
Hypothetical (5% return before expenses)		$1,000.00		$1,023.04		$1.92
Class Y
Actual		$1,000.00		$943.50		$2.33
Hypothetical (5% return before expenses)		$1,000.00		$1,022.54		$2.42

Expenses are equal to the Fund’s annualized expense ratio: 0.73%, 1.48%, 0.38% and 0.48% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

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LOOMIS SAYLES CREDIT INCOME FUND	BEGINNING ACCOUNT VALUE 10/1/2021		ENDING ACCOUNT VALUE 3/31/2022		EXPENSES PAID DURING PERIOD* 10/1/2021 – 3/31/2022
Class A
Actual		$1,000.00		$937.60		$3.96
Hypothetical (5% return before expenses)		$1,000.00		$1,020.84		$4.13
Class C
Actual		$1,000.00		$934.10		$7.57
Hypothetical (5% return before expenses)		$1,000.00		$1,017.10		$7.90
Class N
Actual		$1,000.00		$939.00		$2.51
Hypothetical (5% return before expenses)		$1,000.00		$1,022.34		$2.62
Class Y
Actual		$1,000.00		$939.70		$2.76
Hypothetical (5% return before expenses)		$1,000.00		$1,022.09		$2.87

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.82%, 1.57%, 0.52% and 0.57% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).


LOOMIS SAYLES GLOBAL ALLOCATION FUND	BEGINNING ACCOUNT VALUE 10/1/2021		ENDING ACCOUNT VALUE 3/31/2022		EXPENSES PAID DURING PERIOD* 10/1/2021 – 3/31/2022
Class A
Actual		$1,000.00		$944.20		$5.48
Hypothetical (5% return before expenses)		$1,000.00		$1,019.30		$5.69
Class C
Actual		$1,000.00		$940.70		$9.10
Hypothetical (5% return before expenses)		$1,000.00		$1,015.56		$9.45
Class N
Actual		$1,000.00		$945.70		$3.93
Hypothetical (5% return before expenses)		$1,000.00		$1,020.89		$4.08
Class Y
Actual		$1,000.00		$945.10		$4.27
Hypothetical (5% return before expenses)		$1,000.00		$1,020.54		$4.43

Expenses are equal to the Fund’s annualized expense ratio: 1.13%, 1.88%, 0.81% and 0.88% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

9 |


LOOMIS SAYLES GROWTH FUND	BEGINNING ACCOUNT VALUE 10/1/2021		ENDING ACCOUNT VALUE 3/31/2022		EXPENSES PAID DURING PERIOD* 10/1/2021 – 3/31/2022
Class A
Actual		$1,000.00		$982.70		$4.40
Hypothetical (5% return before expenses)		$1,000.00		$1,020.49		$4.48
Class C
Actual		$1,000.00		$979.00		$8.09
Hypothetical (5% return before expenses)		$1,000.00		$1,016.75		$8.25
Class N
Actual		$1,000.00		$984.40		$2.77
Hypothetical (5% return before expenses)		$1,000.00		$1,022.14		$2.82
Class Y
Actual		$1,000.00		$984.00		$3.17
Hypothetical (5% return before expenses)		$1,000.00		$1,021.74		$3.23

Expenses are equal to the Fund’s annualized expense ratio: 0.89%, 1.64%, 0.56% and 0.64% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND	BEGINNING ACCOUNT VALUE 10/1/2021		ENDING ACCOUNT VALUE 3/31/2022		EXPENSES PAID DURING PERIOD* 10/1/2021 – 3/31/2022
Class A
Actual		$1,000.00		$944.20		$3.15
Hypothetical (5% return before expenses)		$1,000.00		$1,021.69		$3.28
Class C
Actual		$1,000.00		$939.80		$6.77
Hypothetical (5% return before expenses)		$1,000.00		$1,017.95		$7.04
Class N
Actual		$1,000.00		$945.50		$1.70
Hypothetical (5% return before expenses)		$1,000.00		$1,023.19		$1.77
Class Y
Actual		$1,000.00		$944.40		$1.94
Hypothetical (5% return before expenses)		$1,000.00		$1,022.94		$2.02

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40%, 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 (182), divided by 365 (to reflect the half-year period).

| 10


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND	BEGINNING ACCOUNT VALUE 10/1/2021		ENDING ACCOUNT VALUE 3/31/2022		EXPENSES PAID DURING PERIOD* 10/1/2021 – 3/31/2022
Class A
Actual		$1,000.00		$969.60		$3.39
Hypothetical (5% return before expenses)		$1,000.00		$1,021.49		$3.48
Class C
Actual		$1,000.00		$966.30		$7.11
Hypothetical (5% return before expenses)		$1,000.00		$1,017.70		$7.29
Class N
Actual		$1,000.00		$971.10		$1.92
Hypothetical (5% return before expenses)		$1,000.00		$1,022.99		$1.97
Class Y
Actual		$1,000.00		$970.80		$2.21
Hypothetical (5% return before expenses)		$1,000.00		$1,022.69		$2.27

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.69%, 1.45%, 0.39% and 0.45% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

11 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 89.5% of Net Assets
	Non-Convertible Bonds — 89.4%
		ABS Car Loan — 1.0%
$	8,775,000	Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A, 3.070%, 9/20/2023, 144A	$	8,801,296
	2,396,000	Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class A, 4.000%, 3/20/2025, 144A		2,433,536
	6,444,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		6,464,691
	7,064,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A		6,693,469
	2,460,000	Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025		2,422,076
	3,525,000	Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.980%, 6/15/2026		3,436,629
	8,181,000	Santander Drive Auto Receivables Trust, Series 2021-1, Class C, 0.750%, 2/17/2026		8,022,894
	8,315,000	Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026		8,081,181
	9,095,000	Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027		8,825,061
	19,695,000	Santander Drive Auto Receivables Trust, Series 2022-2, Class B, 3.440%, 9/15/2027		19,549,099

				74,729,932

		ABS Home Equity — 0.7%
	879,627	Bayview Koitere Fund Trust, Series 2017-SPL3, Class A, 4.000%, 11/28/2053, 144A(a)		873,055
	514,913	Bayview Opportunity Master Fund IVa Trust, Series 2017-RT1, Class A1, 3.000%, 3/28/2057, 144A(a)		508,745
	3,038,666	Bayview Opportunity Master Fund IVa Trust, Series 2017-RT5, Class A, 3.500%, 5/28/2069, 144A(a)		3,016,214
	2,078,051	Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL1, Class A, 4.000%, 10/28/2064, 144A(a)		2,055,736
	806,812	Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL2, Class A, 4.000%, 6/28/2054, 144A(a)		802,512
	3,492,562	CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A		3,410,182
	13,306	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(a)		13,462
	20,109,204	Invitation Homes Trust, Series 2018-SFR2, Class A, 1-month LIBOR + 0.900%, 1.297%, 6/17/2037, 144A(b)(c)		20,040,010
	1,392,874	Onslow Bay Financial LLC, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048, 144A(a)		1,375,754
	163,492	Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 8/25/2047, 144A(a)		164,102
	621,708	Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 3/25/2048, 144A(a)		622,531
	786,420	Sequoia Mortgage Trust, Series 2018-CH3, Class A2, 4.000%, 8/25/2048, 144A(a)		789,452
	1,298,545	Towd Point Mortgage Trust, Series 2015-1, Class A5, 3.160%, 10/25/2053, 144A(a)		1,294,938
	4,254,377	Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055, 144A(a)		4,284,499
	236,663	Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.750%, 8/25/2055, 144A(a)		236,442
		ABS Home Equity — continued
$	5,101,352	Towd Point Mortgage Trust, Series 2016-2, Class M2, 3.000%, 8/25/2055, 144A(a)	$	4,984,429
	5,702,272	Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058, 144A(a)		5,695,160

				50,167,223

		ABS Other — 1.6%
	10,426,088	CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A		9,464,962
	14,763,000	DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A		13,309,169
	10,121,258	Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A		9,928,954
	8,240,000	Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.445%, 2/26/2052, 144A		7,754,318
	13,865,000	Jack in the Box Funding LLC, Series 2022-1A, Class A2II, 4.136%, 2/26/2052, 144A		13,267,072
	7,152,130	Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A		6,416,469
	9,923,855	Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(a)		9,138,784
	7,094,000	OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A		7,150,021
	13,500,000	OneMain Financial Issuance Trust, Series 2021-1A, Class A2, 30-day Average SOFR + 0.760%, 0.810%, 6/16/2036, 144A(b)		13,215,663
	25,949,733	Textainer Marine Containers Ltd., Series 2021-3A, Class A, 1.940%, 8/20/2046, 144A		23,438,733
	3,616,898	Textainer Marine Containers VIII Ltd., Series 2020-2A, Class A, 2.100%, 9/20/2045, 144A		3,400,231

				116,484,376

		ABS Student Loan — 0.3%
	5,022,918	Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A		4,863,770
	11,091,190	Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069, 144A		10,558,325
	4,631,283	SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.070%, 1/15/2053, 144A		4,258,750
	3,279,954	SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.540%, 5/15/2046, 144A		3,233,132

				22,913,977

		ABS Whole Business — 0.3%
	5,477,608	Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A		5,078,383
	4,785,000	Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A		4,540,386
	12,110,000	Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2II, 4.008%, 12/05/2051, 144A		11,209,767

				20,828,536

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Aerospace & Defense — 1.0%
$	19,231,000	Boeing Co. (The), 1.433%, 2/04/2024	$	18,600,394
	16,774,000	Boeing Co. (The), 5.705%, 5/01/2040		18,744,115
	20,949,000	Boeing Co. (The), 5.805%, 5/01/2050		24,190,586
	671,000	Boeing Co. (The), 5.930%, 5/01/2060		774,727
	12,659,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		12,785,717
	1,329,000	Textron, Inc., 3.000%, 6/01/2030		1,268,274

				76,363,813

		Airlines — 0.8%
	7,734,112	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A		7,792,118
	8,850,467	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		8,817,278
	1,616,008	Continental Airlines Pass Through Trust, Series 2012-2, Class A, 4.000%, 4/29/2026		1,613,342
	16,151,433	Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028, 144A		16,275,098
	13,602,000	Southwest Airlines Co., 5.125%, 6/15/2027		14,541,021
	4,247,424	United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		4,168,422
	4,381,000	United Airlines, Inc., 4.375%, 4/15/2026, 144A		4,309,480
	5,533,000	United Airlines, Inc., 4.625%, 4/15/2029, 144A		5,261,606

				62,778,365

		Automotive — 1.8%
	6,285,000	Dana, Inc., 4.250%, 9/01/2030		5,752,032
	16,276,000	Ford Motor Credit Co. LLC, 2.900%, 2/16/2028		14,709,435
	18,142,000	General Motors Co., 5.000%, 4/01/2035		18,440,965
	6,067,000	General Motors Financial Co., Inc., 2.900%, 2/26/2025		5,926,067
	15,139,000	Goodyear Tire & Rubber Co. (The), 5.625%, 4/30/2033		13,927,880
	6,091,000	Hyundai Capital America, 2.375%, 10/15/2027, 144A		5,576,467
	10,356,000	Hyundai Capital America, 2.650%, 2/10/2025, 144A		10,033,633
	7,453,000	Hyundai Capital America, 3.000%, 2/10/2027, 144A		7,118,009
	14,931,000	Lear Corp., 5.250%, 5/15/2049		16,024,558
	7,676,000	Nissan Motor Co. Ltd., 3.043%, 9/15/2023, 144A		7,658,851
	15,593,000	Nissan Motor Co. Ltd., 3.522%, 9/17/2025, 144A		15,281,949
	5,490,000	Toyota Motor Credit Corp., MTN, 1.800%, 2/13/2025		5,329,489
	6,596,000	Volkswagen Group of America Finance LLC, 3.200%, 9/26/2026, 144A		6,472,696

				132,252,031

		Banking — 8.6%
	24,986,000	Ally Financial, Inc., 3.050%, 6/05/2023		25,077,216
	7,876,000	American Express Co., 2.500%, 7/30/2024		7,836,698
	10,051,000	Banco Santander Chile, 2.700%, 1/10/2025, 144A		9,830,607
	13,578,000	Banco Santander Chile, 3.875%, 9/20/2022, 144A		13,679,835
	12,000,000	Banco Santander S.A., 1.849%, 3/25/2026		11,215,935
	3,200,000	Banco Santander S.A., 2.958%, 3/25/2031		2,957,060
	28,476,000	Bangkok Bank PCL, 4.050%, 3/19/2024, 144A		29,016,370
	4,624,000	Bank of America Corp., (fixed rate to 12/20/2022, variable rate thereafter), 3.004%, 12/20/2023		4,635,675
	28,146,000	Bank of America Corp., (fixed rate to 4/22/2024, variable rate thereafter), 0.976%, 4/22/2025		26,976,299
	30,210,000	Bank of America Corp., (fixed rate to 4/23/2026, variable rate thereafter), MTN, 3.559%, 4/23/2027		30,296,022
		Banking — continued
$	20,564,000	Barclays PLC, (fixed rate to 3/10/2041, variable rate thereafter), 3.811%, 3/10/2042	$	18,389,769
	7,864,000	BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A		7,494,392
	15,513,000	BNP Paribas S.A., (fixed rate to 1/13/2026, variable rate thereafter), 1.323%, 1/13/2027, 144A		14,125,633
	26,613,000	BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A		25,983,849
	5,935,000	Citigroup, Inc., 4.000%, 8/05/2024		6,066,996
	19,481,000	Citigroup, Inc., 4.050%, 7/30/2022		19,644,798
	9,645,000	Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031		10,013,002
	2,154,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025		2,053,359
	9,780,000	Deutsche Bank AG, 0.898%, 5/28/2024		9,312,013
	10,038,000	Deutsche Bank AG, 1.686%, 3/19/2026		9,415,006
	9,585,000	Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033		8,471,226
	9,382,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		8,368,254
	11,985,000	Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), 2.129%, 11/24/2026		11,109,997
	25,369,000	DNB Bank ASA, 2.150%, 12/02/2022, 144A		25,420,764
	7,768,000	Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023		7,865,763
	14,486,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		18,254,416
	2,326,000	HSBC Holdings PLC, 4.950%, 3/31/2030		2,484,179
	13,610,000	HSBC Holdings PLC, (fixed rate to 5/24/2024, variable rate thereafter), 0.976%, 5/24/2025		12,920,526
	7,385,000	Huntington Bancshares, Inc., 2.625%, 8/06/2024		7,317,416
	4,740,000	Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032, 144A		4,194,995
	26,855,000	JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030		25,375,853
	12,576,000	JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031		11,767,321
	14,895,000	Macquarie Bank Ltd., 3.231%, 3/21/2025, 144A		14,870,709
	16,028,000	Morgan Stanley, (fixed rate to 4/05/2023, variable rate thereafter), 0.731%, 4/05/2024		15,697,621
	8,931,000	Morgan Stanley, (fixed rate to 7/22/2027, variable rate thereafter), 3.591%, 7/22/2028		8,955,837
	11,457,000	Morgan Stanley, Series F, 3.875%, 4/29/2024		11,687,326
	14,159,000	Nationwide Building Society, (fixed rate to 4/26/2022, variable rate thereafter), 3.622%, 4/26/2023, 144A		14,161,531
	9,220,000	Santander Holdings USA, Inc., (fixed rate to 1/06/2027, variable rate thereafter), 2.490%, 1/06/2028		8,602,266
	9,050,000	Santander UK Group Holdings PLC, 5.625%, 9/15/2045, 144A		9,746,901
	25,503,000	Societe Generale S.A., 2.625%, 1/22/2025, 144A		24,670,191
	21,840,000	Standard Chartered PLC, (fixed rate to 1/12/2032, variable rate thereafter), 3.603%, 1/12/2033, 144A		20,140,193
	24,346,000	Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A		23,676,723

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	11,566,000	Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025	$	10,882,556
	14,720,000	Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024		14,577,416
	10,213,000	Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029		9,821,526
	6,438,000	Toronto-Dominion Bank (The), MTN, 2.650%, 6/12/2024		6,429,596
	15,630,000	UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A		14,088,595

				635,580,231

		Building Materials — 0.7%
	18,920,000	American Builders & Contractors Supply Co., Inc., 3.875%, 11/15/2029, 144A		17,665,604
	10,762,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		9,820,433
	13,838,000	Mohawk Industries, Inc., 3.625%, 5/15/2030		13,591,822
	7,260,000	Owens Corning, 4.200%, 12/01/2024		7,424,112
	1,112,000	Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A		1,098,100

				49,600,071

		Cable Satellite — 1.0%
	21,970,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		19,080,835
	22,590,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 5.500%, 4/01/2063		22,723,778
	13,725,000	Sirius XM Radio, Inc., 4.000%, 7/15/2028, 144A		13,038,750
	4,885,000	Time Warner Cable LLC, 4.500%, 9/15/2042		4,518,234
	783,000	Time Warner Cable LLC, 5.500%, 9/01/2041		812,818
	2,245,000	Time Warner Cable LLC, 5.875%, 11/15/2040		2,412,723
	7,162,000	Time Warner Cable LLC, 6.550%, 5/01/2037		8,236,513
	1,707,000	Time Warner Cable LLC, 6.750%, 6/15/2039		1,979,188

				72,802,839

		Chemicals — 1.3%
	1,610,000	Alpek SAB de CV, 3.250%, 2/25/2031, 144A		1,467,112
	21,620,000	Ashland LLC, 3.375%, 9/01/2031, 144A		19,079,650
	23,853,000	Braskem America Finance Co., 7.125%, 7/22/2041, 144A		26,238,538
	8,792,000	Koppers, Inc., 6.000%, 2/15/2025, 144A		8,616,160
	10,071,000	Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044, 144A		10,360,642
	9,466,000	Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042, 144A		10,554,685
	3,732,000	RPM International, Inc., 3.450%, 11/15/2022		3,743,514
	3,630,000	Sociedad Quimica y Minera de Chile S.A., 3.500%, 9/10/2051, 144A		3,140,023
	11,424,000	Sociedad Quimica y Minera de Chile S.A., 4.250%, 1/22/2050, 144A		11,084,250
	5,549,000	Univar Solutions USA, Inc., 5.125%, 12/01/2027, 144A		5,543,701

				99,828,275

		Collateralized Mortgage Obligations — 0.2%
	4,239,116	Federal Home Loan Mortgage Corp., REMIC, Series 3654, Class DC, 5.000%, 4/15/2030		4,433,670
	276,830	Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 0.456%, 10/20/2060(b)		275,222
	206,029	Government National Mortgage Association, Series 2012-H18, Class NA, 1-month LIBOR + 0.520%, 0.626%, 8/20/2062(b)		205,922

		Collateralized Mortgage Obligations — continued
$	3,813	Government National Mortgage Association, Series 2013-H01, Class FA, 1.650%, 1/20/2063(d)(e)	$	3,722
	12,837	Government National Mortgage Association, Series 2013-H03, Class HA, 1.750%, 12/20/2062(d)(e)		11,942
	43,988	Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(d)(e)		43,637
	82,589	Government National Mortgage Association, Series 2013-H10, Class PA, 2.500%, 4/20/2063(d)(e)		79,636
	8,187,406	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		8,100,956
	14,623	Government National Mortgage Association, Series 2015-H13, Class FL, 1-month LIBOR + 0.280%, 0.386%, 5/20/2063(b)(d)(e)		14,423

				13,169,130

		Construction Machinery — 0.3%
	1,985,000	Caterpillar Financial Services Corp., MTN, 2.150%, 11/08/2024		1,968,693
	5,805,000	CNH Industrial Capital LLC, 1.950%, 7/02/2023		5,745,013
	7,380,000	CNH Industrial Capital LLC, 4.375%, 4/05/2022		7,380,546
	7,795,000	United Rentals North America, Inc., 3.750%, 1/15/2032		7,268,838

				22,363,090

		Consumer Cyclical Services — 0.2%
	7,466,000	Expedia Group, Inc., 3.600%, 12/15/2023		7,527,736
	1,791,000	Expedia Group, Inc., 6.250%, 5/01/2025, 144A		1,914,810
	3,523,000	MercadoLibre, Inc., 2.375%, 1/14/2026		3,285,232

				12,727,778

		Consumer Products — 0.3%
	2,157,000	Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A		1,953,250
	11,615,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		11,182,341
	2,823,000	Newell Brands, Inc., 4.875%, 6/01/2025		2,914,000
	7,940,000	Valvoline, Inc., 3.625%, 6/15/2031, 144A		6,859,207
	2,535,000	Valvoline, Inc., 4.250%, 2/15/2030, 144A		2,313,390

				25,222,188

		Diversified Manufacturing — 0.0%
	2,755,000	Clark Equipment Co., 5.875%, 6/01/2025, 144A		2,782,550

		Electric — 2.0%
	3,587,000	AES Corp. (The), 3.300%, 7/15/2025, 144A		3,519,206
	2,609,000	AES Corp. (The), 3.950%, 7/15/2030, 144A		2,584,623
	8,188,000	Calpine Corp., 3.750%, 3/01/2031, 144A		7,329,775
	14,879,000	Calpine Corp., 5.000%, 2/01/2031, 144A		13,539,890
	13,220,000	CenterPoint Energy, Inc., SOFR Index + 0.650%, 0.837%, 5/13/2024(b)		13,117,050
	17,219,000	Clearway Energy Operating LLC, 3.750%, 2/15/2031, 144A		16,101,401
	25,885,806	Cometa Energia S.A. de CV, 6.375%, 4/24/2035, 144A		26,144,664
	3,408,000	DPL, Inc., 4.125%, 7/01/2025		3,384,689
	3,805,000	DPL, Inc., 4.350%, 4/15/2029		3,719,387
	852,000	Edison International, 4.950%, 4/15/2025		871,671
	2,811,000	Enel Americas S.A., 4.000%, 10/25/2026		2,877,789
	2,853,000	Enel Generacion Chile S.A., 4.250%, 4/15/2024		2,902,842
	5,316,000	Entergy Corp., 2.800%, 6/15/2030		4,982,263
	14,622,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		14,261,514

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Electric — continued
$	6,360,000	NRG Energy, Inc., 3.875%, 2/15/2032, 144A	$	5,596,800
	9,234,000	Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.500%, 8/15/2028, 144A		9,084,501
	6,109,000	PG&E Corp., 5.000%, 7/01/2028		5,904,959
	7,133,000	Transelec S.A., 4.250%, 1/14/2025, 144A		7,275,660
	3,713,000	Transelec S.A., 4.625%, 7/26/2023, 144A		3,780,874

				146,979,558

		Finance Companies — 2.6%
	6,365,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028		5,869,721
	1,370,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/23/2023		1,374,028
	19,050,000	Air Lease Corp., GMTN, 3.750%, 6/01/2026		18,937,831
	23,287,000	Aircastle Ltd., 2.850%, 1/26/2028, 144A		20,918,820
	27,047,000	Ares Capital Corp., 2.150%, 7/15/2026		24,443,341
	16,425,000	Avolon Holdings Funding Ltd., 2.750%, 2/21/2028, 144A		14,606,445
	18,929,000	FS KKR Capital Corp., 3.400%, 1/15/2026		18,326,698
	3,315,000	International Lease Finance Corp., 5.875%, 8/15/2022		3,355,473
	9,430,000	Navient Corp., 5.000%, 3/15/2027		8,982,075
	907,000	Navient Corp., 5.875%, 10/25/2024		925,267
	954,000	Navient Corp., 6.750%, 6/15/2026		973,080
	7,547,000	Navient Corp., MTN, 6.125%, 3/25/2024		7,679,073
	17,225,000	OneMain Finance Corp., 3.875%, 9/15/2028		15,566,921
	4,537,000	Owl Rock Capital Corp., 2.625%, 1/15/2027		4,066,511
	15,397,000	Owl Rock Capital Corp., 3.400%, 7/15/2026		14,456,906
	11,958,000	Owl Rock Technology Finance Corp., 3.750%, 6/17/2026, 144A		11,430,870
	3,702,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		3,383,073
	11,169,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		10,107,945
	4,045,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		3,543,016

				188,947,094

		Financial Other — 0.1%
	8,243,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		7,562,953
	1,979,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		1,942,240

				9,505,193

		Food & Beverage — 1.2%
	10,588,000	Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046		11,775,390
	12,823,000	Anheuser-Busch InBev Worldwide, Inc., 4.350%, 6/01/2040		13,344,145
	6,243,000	Anheuser-Busch InBev Worldwide, Inc., 4.600%, 6/01/2060		6,635,362
	15,008,000	BRF S.A., 5.750%, 9/21/2050, 144A		13,216,495
	3,117,000	Gruma SAB de CV, 4.875%, 12/01/2024, 144A		3,230,022
	12,765,000	Minerva Luxembourg S.A., 4.375%, 3/18/2031, 144A		11,548,495
	14,639,000	Post Holdings, Inc., 4.500%, 9/15/2031, 144A		12,970,008
	16,264,000	Post Holdings, Inc., 4.625%, 4/15/2030, 144A		14,644,919
	1,599,000	Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A		1,451,191

				88,816,027

		Government Owned – No Guarantee — 2.2%
	6,872,000	Antares Holdings LP, 3.950%, 7/15/2026, 144A		6,405,697
	18,141,000	BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A		17,425,338
		Government Owned – No Guarantee — continued
$	6,577,000	CNPC General Capital Ltd., 3.950%, 4/19/2022, 144A	$	6,581,343
	3,903,000	Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A		2,897,977
	19,956,000	NBN Co. Ltd., 1.450%, 5/05/2026, 144A		18,466,428
	6,985,000	OCP S.A., 3.750%, 6/23/2031, 144A		6,321,425
	19,460,000	OCP S.A., 5.625%, 4/25/2024, 144A		19,964,325
	6,236,000	Ooredoo International Finance Ltd., 3.250%, 2/21/2023, 144A		6,268,203
	12,555,000	Qatar Energy, 3.125%, 7/12/2041, 144A		11,423,192
	8,035,000	SA Global Sukuk Ltd., 0.946%, 6/17/2024, 144A		7,684,674
	11,588,000	Saudi Arabian Oil Co., 3.500%, 11/24/2070, 144A		9,792,509
	11,825,000	Tennessee Valley Authority, 4.250%, 9/15/2065		14,586,761
	7,669,000	Tennessee Valley Authority, 4.625%, 9/15/2060		10,089,336
	5,427,000	Tennessee Valley Authority, 4.875%, 1/15/2048		7,041,379
	9,290,000	Tennessee Valley Authority, 5.250%, 9/15/2039		11,751,260
	9,267,000	Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A		9,574,108

				166,273,955

		Health Insurance — 0.4%
	20,336,000	Centene Corp., 2.500%, 3/01/2031		17,947,130
	4,115,000	Centene Corp., 2.625%, 8/01/2031		3,662,350
	10,179,000	Centene Corp., 3.375%, 2/15/2030		9,577,777

				31,187,257

		Healthcare — 0.4%
	15,396,000	DaVita, Inc., 4.625%, 6/01/2030, 144A		14,376,785
	12,660,000	HCA, Inc., 4.625%, 3/15/2052, 144A		12,758,377

				27,135,162

		Home Construction — 0.3%
	7,881,000	Forestar Group, Inc., 3.850%, 5/15/2026, 144A		7,349,033
	246,000	Lennar Corp., 4.500%, 4/30/2024		252,185
	1,153,000	Lennar Corp., 4.750%, 11/15/2022		1,164,594
	11,190,000	NVR, Inc., 3.000%, 5/15/2030		10,443,992

				19,209,804

		Independent Energy — 0.9%
	2,626,000	Aker BP ASA, 3.000%, 1/15/2025, 144A		2,586,762
	1,029,000	Chesapeake Energy Corp., 5.875%, 2/01/2029, 144A		1,062,443
	9,277,000	Devon Energy Corp., 4.500%, 1/15/2030		9,573,260
	11,391,292	Energean Israel Finance Ltd., 4.500%, 3/30/2024, 144A		11,251,749
	1,765,000	EQT Corp., 3.125%, 5/15/2026, 144A		1,714,292
	5,696,000	EQT Corp., 3.900%, 10/01/2027		5,679,510
	601,000	EQT Corp., 5.000%, 1/15/2029		620,436
	9,078,204	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		9,233,895
	12,472,000	Occidental Petroleum Corp., 5.875%, 9/01/2025		13,247,696
	2,152,000	Occidental Petroleum Corp., 8.000%, 7/15/2025		2,416,696
	8,181,000	Pan American Energy LLC, 9.125%, 4/30/2027, 144A		8,900,110
	2,275,000	Southwestern Energy Co., 4.750%, 2/01/2032		2,272,156

				68,559,005

		Industrial Other — 0.1%
	3,408,000	Georgetown University (The), Class A, 5.215%, 10/01/2118		3,899,911

		Life Insurance — 0.4%
	11,059,000	Athene Global Funding, 2.450%, 8/20/2027, 144A		10,335,071
	15,491,000	Brighthouse Financial, Inc., 5.625%, 5/15/2030		16,981,411
	2,327,000	OneAmerica Financial Partners, Inc., 4.250%, 10/15/2050, 144A		2,235,456

				29,551,938

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Lodging — 0.3%
$	8,617,000	Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A	$	7,819,927
	18,423,000	Marriott International, Inc., 3.500%, 10/15/2032		17,536,280

				25,356,207

		Media Entertainment — 1.2%
	14,174,000	AMC Networks, Inc., 4.250%, 2/15/2029		13,227,106
	54,020,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,785,457
	5,432,000	Lamar Media Corp., 3.625%, 1/15/2031		4,999,939
	1,504,000	Lamar Media Corp., 4.000%, 2/15/2030		1,430,680
	16,925,000	Magallanes, Inc., 3.528%, 3/15/2024, 144A		16,919,245
	20,780,000	Magallanes, Inc., 5.391%, 3/15/2062, 144A		21,470,312
	8,258,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 4.250%, 1/15/2029, 144A		7,682,005
	11,303,000	Prosus NV, 3.680%, 1/21/2030, 144A		9,902,332
	14,750,000	Prosus NV, 3.832%, 2/08/2051, 144A		10,749,149

				88,166,225

		Metals & Mining — 1.0%
	1,835,000	Anglo American Capital PLC, 2.250%, 3/17/2028, 144A		1,675,853
	2,286,000	Anglo American Capital PLC, 2.625%, 9/10/2030, 144A		2,072,739
	2,245,000	Anglo American Capital PLC, 3.875%, 3/16/2029, 144A		2,246,035
	3,322,000	Anglo American Capital PLC, 3.950%, 9/10/2050, 144A		3,110,769
	7,696,000	Anglo American Capital PLC, 5.625%, 4/01/2030, 144A		8,482,471
	15,187,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		14,365,383
	15,183,000	Fresnillo PLC, 4.250%, 10/02/2050, 144A		13,410,537
	28,397,000	Glencore Funding LLC, 2.500%, 9/01/2030, 144A		25,396,573
	6,210,000	SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A		5,854,602

				76,614,962

		Midstream — 1.6%
	568,000	Energy Transfer LP, 5.150%, 2/01/2043		557,977
	1,125,000	Energy Transfer LP, 5.400%, 10/01/2047		1,177,798
	5,900,000	Energy Transfer LP, 5.950%, 10/01/2043		6,296,846
	8,548,000	Energy Transfer LP, 6.500%, 2/01/2042		9,824,513
	1,338,000	Energy Transfer LP, 6.625%, 10/15/2036		1,505,578
	11,222,000	Energy Transfer LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		11,312,592
	7,523,000	EQM Midstream Partners LP, 4.500%, 1/15/2029, 144A		7,034,005
	3,485,000	EQM Midstream Partners LP, 4.750%, 7/15/2023		3,511,138
	5,575,000	EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A		5,823,311
	2,014,000	Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A		1,932,247
	982,000	Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A		945,808
	3,060,000	Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024		3,116,295
	9,503,000	Kinder Morgan Energy Partners LP, 4.300%, 5/01/2024		9,698,540
	15,243,000	Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A		15,735,034
	5,694,000	Rattler Midstream LP, 5.625%, 7/15/2025, 144A		5,779,410
	13,635,000	Sempra Infrastructure Partners LP, 3.250%, 1/15/2032, 144A		12,592,453
	6,783,000	Southern Natural Gas Co. LLC, 0.625%, 4/28/2023, 144A		6,648,568
		Midstream — continued
$	930,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.500%, 7/15/2027	$	978,481
	11,936,000	Williams Cos., Inc. (The), 3.500%, 11/15/2030		11,800,703

				116,271,297

		Mortgage Related — 26.7%
	64,874,626	FHLMC, 1.500%, with various maturities from 2050 to 2051(c)(f)		57,528,900
	165,337,601	FHLMC, 2.000%, with various maturities from 2050 to 2051(c)(f)		153,878,504
	129,229,131	FHLMC, 2.500%, with various maturities from 2050 to 2052(c)(f)		123,395,673
	17,416,764	FHLMC, 3.000%, with various maturities from 2042 to 2050(f)		17,212,582
	12,559,641	FHLMC, 3.500%, with various maturities from 2043 to 2050(f)		12,739,994
	2,377,152	FHLMC, 4.000%, with various maturities from 2044 to 2048(f)		2,468,044
	53,684,052	FHLMC, 4.500%, with various maturities from 2041 to 2049(c)(f)		55,807,820
	123,489,065	FHLMC, 5.000%, with various maturities from 2048 to 2050(c)(f)		129,987,092
	4,964	FHLMC, 6.000%, 6/01/2035		5,513
	45,551,154	FNMA, 1.500%, with various maturities from 2050 to 2051(c)(f)		40,642,056
	300,779,090	FNMA, 2.000%, with various maturities from 2050 to 2051(c)(f)		279,833,510
	125,843,990	FNMA, 2.500%, with various maturities from 2045 to 2052(c)(f)		120,270,278
	51,012,996	FNMA, 3.000%, with various maturities from 2045 to 2050(c)(f)		50,315,143
	36,462,271	FNMA, 3.500%, with various maturities from 2043 to 2050(f)		36,646,405
	139,359,323	FNMA, 4.000%, with various maturities from 2041 to 2050(c)(f)		142,780,174
	152,292,522	FNMA, 4.500%, with various maturities from 2043 to 2050(c)(f)		158,307,715
	27,241,954	FNMA, 5.000%, with various maturities from 2048 to 2050(f)		28,780,821
	4,318,124	FNMA, 5.500%, 4/01/2050		4,588,512
	2,992,258	FNMA, 6.000%, with various maturities from 2034 to 2049(f)		3,214,448
	5,750	FNMA, 6.500%, with various maturities from 2029 to 2031(f)		6,173
	19,630	FNMA, 7.000%, with various maturities in 2030(f)		20,437
	11,215	FNMA, 7.500%, with various maturities from 2024 to 2032(f)		12,054
	1,295	GNMA, 3.890%, 12/20/2062(a)		1,268
	6,471	GNMA, 3.986%, 7/20/2063(a)		6,567
	5,909	GNMA, 4.064%, 5/20/2063(a)		5,990
	24,978	GNMA, 4.183%, 7/20/2063(a)		25,134
	5,017	GNMA, 4.316%, 8/20/2061(a)		5,107
	19,568	GNMA, 4.390%, with various maturities in 2062(a)(f)		19,092
	4,356,447	GNMA, 4.401%, 11/20/2066(a)		4,460,066
	6,189,107	GNMA, 4.412%, 12/20/2066(a)		6,377,068
	2,611,751	GNMA, 4.418%, 2/20/2066(a)		2,684,517
	2,154	GNMA, 4.422%, 5/20/2063(a)		2,187
	1,676,972	GNMA, 4.427%, 10/20/2066(a)		1,723,953
	1,210,489	GNMA, 4.444%, 2/20/2066(a)		1,242,192
	1,565,391	GNMA, 4.474%, 6/20/2066(a)		1,609,277
	2,988,305	GNMA, 4.505%, 12/20/2064(a)		3,054,256

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Mortgage Related — continued
$	2,027,790	GNMA, 4.524%, 9/20/2066(a)	$	2,085,596
	2,193,153	GNMA, 4.526%, 12/20/2063(a)		2,231,956
	2,928,381	GNMA, 4.542%, 6/20/2066(a)		3,007,328
	2,596,960	GNMA, 4.551%, 2/20/2065(a)		2,660,485
	2,349,559	GNMA, 4.570%, 6/20/2064(a)		2,399,054
	3,973,657	GNMA, 4.575%, 12/20/2064(a)		4,062,307
	1,535,515	GNMA, 4.595%, 4/20/2066(a)		1,574,961
	4,164,337	GNMA, 4.598%, 2/20/2065(a)		4,271,208
	4,278,784	GNMA, 4.614%, 10/20/2064(a)		4,381,263
	500,149	GNMA, 4.616%, 1/20/2064(a)		508,637
	1,946,995	GNMA, 4.620%, 3/20/2065(a)		1,995,377
	1,086,358	GNMA, 4.627%, 1/20/2065(a)		1,114,439
	20,923	GNMA, 4.630%, 12/20/2061(a)		19,891
	2,829,246	GNMA, 4.636%, 3/20/2066(a)		2,923,046
	5,740,466	GNMA, 4.639%, 12/20/2066(a)		5,925,055
	3,043,599	GNMA, 4.661%, 1/20/2065(a)		3,121,152
	2,160,940	GNMA, 4.663%, 1/20/2064(a)		2,200,430
	3,408,103	GNMA, 4.665%, 6/20/2064(a)		3,484,411
	1,386,541	GNMA, 4.692%, 6/20/2066(a)		1,436,373
	46,123	GNMA, 4.700%, with various maturities from 2062 to 2063(a)(f)		45,083
	2,899,698	GNMA, 4.715%, 1/20/2064(a)		2,965,505
	97,182	GNMA, 5.500%, 4/15/2038		107,402
	20,254	GNMA, 6.000%, with various maturities from 2029 to 2038(f)		21,958
	23,238	GNMA, 6.500%, with various maturities from 2029 to 2032(f)		24,828
	30,479	GNMA, 7.000%, 9/15/2025		31,158
	2,808	GNMA, 7.500%, with various maturities from 2025 to 2030(f)		2,909
	64,876,000	UMBS^® (TBA), 2.000%, 5/01/2037(g)		62,867,632
	45,410,000	UMBS^® (TBA), 3.500%, 5/01/2052(g)		45,331,433
	197,946,000	UMBS^® (TBA), 2.500%, 5/01/2052(g)		188,461,378
	26,588,000	UMBS^® (TBA), 3.000%, 5/01/2052(g)		25,945,563
	44,221,000	UMBS^® (TBA), 3.500%, 6/01/2052(g)		44,030,482
	68,805,000	UMBS^® (TBA), 4.000%, 5/01/2052(g)		69,962,897
	44,222,000	UMBS^® (TBA), 4.000%, 6/01/2052(g)		44,814,706

				1,973,674,425

		Natural Gas — 0.1%
	6,262,000	Atmos Energy Corp., 0.625%, 3/09/2023		6,168,884
	2,701,000	Boston Gas Co., 3.001%, 8/01/2029, 144A		2,564,748

				8,733,632

		Non-Agency Commercial Mortgage-Backed Securities — 2.0%
	22,085,000	AOA Mortgage Trust, Series 2021-1177, Class A, 1-month LIBOR + 0.874%, 1.271%, 10/15/2038, 144A(b)(c)		21,436,209
	1,531,640	BANK, Series 2019-BN16, Class A4, 4.005%, 2/15/2052		1,588,051
	3,409,380	BANK, Series 2019-BN20, Class A3, 3.011%, 9/15/2062		3,325,753
	12,696,152	BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062		12,353,296
	6,138,240	BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062		5,963,345
	7,135,000	BPR Trust, Series 2021-NRD, Class A, 1-month Term SOFR + 1.525%, 1.829%, 12/15/2023, 144A(b)		6,956,488
	14,179,842	Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072		13,724,981
	7,070,071	Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052(c)		6,902,316
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	9,877,514	Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5, 2.717%, 2/15/2053	$	9,368,536
	908,054	Commercial Mortgage Trust, Series 2010-C1, Class D, 5.755%, 7/10/2046, 144A(a)		907,603
	2,112,208	Credit Suisse Mortgage Trust, Series 2014-USA, Class A1, 3.304%, 9/15/2037, 144A		2,064,271
	11,367,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A		11,172,451
	6,360,852	Extended Stay America Trust, Series 2021-ESH, Class A, 1-month LIBOR + 1.080%, 1.477%, 7/15/2038, 144A(b)		6,284,961
	1,475,916	Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 2.647%, 7/15/2038, 144A(b)		1,453,680
	5,627,003	GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.163%, 8/10/2044, 144A(a)		4,651,477
	2,317,554	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a)		2,156,942
	6,596,065	GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053		6,364,457
	8,370,000	MedTrust, Series 2021-MDLN, Class A, 1-month LIBOR + 0.950%, 1.347%, 11/15/2038, 144A(b)		8,225,507
	3,825,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.152%, 8/15/2046(a)		3,846,112
	6,909,759	UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A4, 3.185%, 3/10/2046		6,927,601
	4,982,141	WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D, 4.888%, 6/15/2044, 144A(a)		4,741,951
	5,245,978	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, 4.176%, 5/15/2047		5,268,094

				145,684,082

		Oil Field Services — 0.3%
	21,664,000	Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043, 144A		20,478,979

		Paper — 0.4%
	11,675,000	Klabin Austria GmbH, 7.000%, 4/03/2049, 144A		12,275,679
	8,445,000	Suzano Austria GmbH, 3.125%, 1/15/2032		7,477,034
	8,529,000	Suzano Austria GmbH, 3.750%, 1/15/2031		8,030,053

				27,782,766

		Pharmaceuticals — 0.4%
	9,325,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		7,325,160
	3,863,000	Jazz Securities DAC, 4.375%, 1/15/2029, 144A		3,742,281
	12,284,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		11,121,811
	7,588,000	Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025		7,982,120
	2,903,000	Viatris, Inc., 4.000%, 6/22/2050		2,438,742

				32,610,114

		Property & Casualty Insurance — 0.1%
	2,585,000	Ascot Group Ltd., 4.250%, 12/15/2030, 144A		2,528,759
	6,865,000	Liberty Mutual Group, Inc., 3.950%, 5/15/2060, 144A		6,246,112

				8,774,871

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Refining — 0.2%
$	12,089,000	Ultrapar International S.A., 5.250%, 10/06/2026, 144A	$	12,270,335

		REITs – Apartments — 0.0%
	1,715,000	American Homes 4 Rent, 3.375%, 7/15/2051		1,433,205

		REITs – Diversified — 0.3%
	3,790,000	EPR Properties, 3.600%, 11/15/2031		3,436,020
	16,503,000	iStar, Inc., 4.250%, 8/01/2025		16,234,826
	1,267,000	iStar, Inc., 4.750%, 10/01/2024		1,277,351

				20,948,197

		Retailers — 1.0%
	3,081,000	Alibaba Group Holding Ltd., 3.250%, 2/09/2061		2,312,698
	1,097,000	Asbury Automotive Group, Inc., 4.500%, 3/01/2028		1,053,778
	1,942,000	Asbury Automotive Group, Inc., 4.750%, 3/01/2030		1,832,763
	11,715,000	Dick’s Sporting Goods, Inc., 4.100%, 1/15/2052		9,998,124
	25,444,000	El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A		26,207,574
	8,985,000	Falabella S.A., 3.375%, 1/15/2032, 144A		8,378,602
	1,820,000	Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A		1,694,875
	856,000	Hanesbrands, Inc., 4.625%, 5/15/2024, 144A		868,840
	4,042,000	Hanesbrands, Inc., 4.875%, 5/15/2026, 144A		4,065,140
	3,889,000	Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A		3,655,660
	3,280,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		3,116,197
	10,257,000	Lithia Motors, Inc., 4.375%, 1/15/2031, 144A		9,910,826
	4,582,000	MercadoLibre, Inc., 3.125%, 1/14/2031		3,992,526

				77,087,603

		Sovereigns — 3.0%
	13,213,000	Colombia Government International Bond, 4.125%, 5/15/2051		9,968,151
	22,169,000	Dominican Republic, 4.875%, 9/23/2032, 144A		20,063,167
	11,070,000	Dominican Republic, 5.300%, 1/21/2041, 144A		9,603,336
	15,265,000	Egypt Government International Bond, 7.625%, 5/29/2032, 144A		13,810,886
	24,753,000	Kingdom of Saudi Arabia, 3.250%, 10/26/2026, 144A		25,331,973
	14,611,000	Morocco Government International Bond, 4.000%, 12/15/2050, 144A		11,684,417
	2,980,000	Peruvian Government International Bond, 2.392%, 1/23/2026		2,891,166
	7,473,000	Qatar Government International Bond, 4.400%, 4/16/2050, 144A		8,398,740
	17,772,000	Republic of Ghana, 7.750%, 4/07/2029, 144A		12,989,555
	5,029,000	State of Qatar, 3.875%, 4/23/2023, 144A		5,116,907
	4,253,157,000	Uruguay Government International Bond, 8.250%, 5/21/2031, (UYU)		98,594,643

				218,452,941

		Supermarkets — 0.2%
	12,455,000	Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.250%, 3/15/2026, 144A		11,770,224

		Technology — 2.5%
	3,425,000	Baidu, Inc., 2.375%, 10/09/2030		3,033,146
	4,515,000	Baidu, Inc., 3.075%, 4/07/2025		4,440,006
	3,890,000	Broadcom, Inc., 3.137%, 11/15/2035, 144A		3,427,451
	12,254,000	Corning, Inc., 5.450%, 11/15/2079		13,543,438
	3,133,000	Equifax, Inc., 2.600%, 12/15/2025		3,042,508
	2,544,000	Equifax, Inc., 3.300%, 12/15/2022		2,557,343
	4,324,000	Equifax, Inc., 7.000%, 7/01/2037		5,302,721
		Technology — continued
$	12,320,000	HCL America, Inc., 1.375%, 3/10/2026, 144A	$	11,337,973
	7,756,000	Hewlett Packard Enterprise Co., 4.450%, 10/02/2023		7,943,789
	15,421,000	Hewlett Packard Enterprise Co., 6.200%, 10/15/2035		17,733,432
	16,919,000	Iron Mountain, Inc., 4.500%, 2/15/2031, 144A		15,624,866
	5,460,000	Jabil, Inc., 3.000%, 1/15/2031		5,001,619
	11,294,000	Microchip Technology, Inc., 2.670%, 9/01/2023		11,256,173
	6,371,000	Microchip Technology, Inc., 4.333%, 6/01/2023		6,471,049
	6,151,000	Molex Electronic Technologies LLC, 3.900%, 4/15/2025, 144A		6,253,264
	15,801,000	Oracle Corp., 4.100%, 3/25/2061		13,469,720
	4,505,000	Qorvo, Inc., 1.750%, 12/15/2024, 144A		4,297,184
	5,778,000	Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A		6,033,561
	1,475,000	Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A		1,635,237
	1,374,000	Science Applications International Corp., 4.875%, 4/01/2028, 144A		1,353,857
	2,060,000	Seagate HDD Cayman, 4.125%, 1/15/2031		1,952,180
	5,644,000	Sensata Technologies BV, 4.000%, 4/15/2029, 144A		5,374,386
	7,989,000	Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A		7,389,825
	14,793,000	Tencent Holdings Ltd., 3.290%, 6/03/2060, 144A		11,188,542
	17,432,000	Ziff Davis, Inc., 4.625%, 10/15/2030, 144A		16,599,186

				186,262,456

		Tobacco — 0.5%
	3,362,000	Altria Group, Inc., 2.350%, 5/06/2025		3,265,362
	31,751,000	BAT Capital Corp., 2.789%, 9/06/2024		31,333,824

				34,599,186

		Transportation Services — 0.1%
	5,293,000	Ryder System, Inc., MTN, 2.500%, 9/01/2024		5,223,683

		Treasuries — 14.8%
	8,220,100(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		37,586,810
	25,562,431(††)	Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)		129,887,737
	468,727,000	Republic of Uruguay, 8.500%, 3/15/2028, 144A, (UYU)		11,177,073
	132,590,000	U.S. Treasury Bond, 1.750%, 8/15/2041		114,918,239
	190,464,000	U.S. Treasury Bond, 1.875%, 11/15/2051		167,072,640
	234,700,000	U.S. Treasury Bond, 2.000%, 11/15/2041(c)		212,366,828
	10,150,000	U.S. Treasury Bond, 2.250%, 5/15/2041		9,581,838
	83,040,000	U.S. Treasury Bond, 2.250%, 2/15/2052		79,640,550
	93,765,000	U.S. Treasury Bond, 2.375%, 2/15/2042		90,439,273
	105,730,000	U.S. Treasury Note, 1.875%, 2/28/2029		102,062,491
	41,277,000	U.S. Treasury Note, 1.875%, 2/15/2032		39,638,819
	97,680,000	U.S. Treasury Note, 2.500%, 3/31/2027		97,893,675
	93,095,000	Uruguay Government International Bond, 8.500%, 3/15/2028, (UYU)		2,219,905

				1,094,485,878

		Utility Other — 0.3%
	23,526,215	Acwa Power Management & Investments One Ltd., 5.950%, 12/15/2039, 144A		25,007,896

		Wireless — 1.0%
	6,400,000	America Movil SAB de CV, 2.875%, 5/07/2030		6,113,984
	14,780,000	America Movil SAB de CV, 5.375%, 4/04/2032, 144A		14,876,218
	19,567,000	Bharti Airtel Ltd., 4.375%, 6/10/2025, 144A		19,708,081
	983,000	Crown Castle International Corp., 4.150%, 7/01/2050		957,904

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Wireless — continued
$	5,305,000	Empresa Nacional de Telecomunicaciones S.A., 3.050%, 9/14/2032, 144A	$	4,814,288
	7,180,000	Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A		6,324,216
	5,452,000	Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A		5,077,420
	16,920,000	SBA Communications Corp., 3.125%, 2/01/2029		15,390,770

				73,262,881

		Wirelines — 0.7%
	20,028,000	AT&T, Inc., 1.700%, 3/25/2026		18,960,221
	7,956,000	AT&T, Inc., 3.500%, 9/15/2053		6,980,945
	3,863,000	AT&T, Inc., 3.650%, 6/01/2051		3,515,229
	14,391,000	AT&T, Inc., 3.650%, 9/15/2059		12,619,937
	7,539,000	AT&T, Inc., 3.800%, 12/01/2057		6,878,131

				48,954,463

		Total Non-Convertible Bonds (Identified Cost $6,950,478,172)		6,604,565,817


	Municipals — 0.1%
		Virginia — 0.1%
	12,785,000	University of Virginia, Revenue Bond, Series A, 3.227%, 9/01/2119		9,728,787

		Total Municipals (Identified Cost $12,785,000)		9,728,787


		Total Bonds and Notes (Identified Cost $6,963,263,172)		6,614,294,604


	Senior Loans — 5.8%
		Aerospace & Defense — 0.2%
	12,752,185	TransDigm, Inc., 2020 Term Loan F, 1-month LIBOR + 2.250%, 2.707%, 12/09/2025(b)(h)		12,529,022
	6,296,314	TransDigm, Inc., 2020 Term Loan G, 1-month LIBOR + 2.250%, 2.707%, 8/22/2024(b)(h)		6,197,966

				18,726,988

		Automotive — 0.1%
	2,710,500	KAR Auction Services, Inc., 2019 Term Loan B6, 1-month LIBOR + 2.250%, 2.750%, 9/19/2026(b)(h)		2,683,395
	1,487,781	Visteon Corp., 2018 Term Loan B, LIBOR + 1.750%, 2.208%, 3/25/2024(a)(h)		1,461,120

				4,144,515

		Brokerage — 0.2%
	5,527,722	AllSpring Buyer LLC, Term Loan B, 3-month LIBOR + 3.250%, 4.313%, 11/01/2028(b)(i)		5,484,550
	10,106,232	Citadel Securities LP, 2021 Term Loan B, 1-month LIBOR + 2.500%, 2.927%, 2/02/2028(b)(h)		10,039,430

				15,523,980

		Building Materials — 0.9%
	19,490,127	American Builders & Contractors Supply Co., Inc., 2019 Term Loan, 1-month LIBOR + 2.000%, 2.457%, 1/15/2027(b)(h)		19,219,798
	15,214,262	Beacon Roofing Supply, Inc., 2021 Term Loan B, 1-month LIBOR + 2.250%, 2.707%, 5/19/2028(b)(h)		14,969,768
	10,055,303	Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 2.500%, 3.082%, 2/01/2027(b)(h)		9,795,575
		Building Materials — continued
$	7,323,510	Quikrete Holdings, Inc., 2021 Term Loan B1, 6/11/2028(j)	$	7,181,141
	17,867,869	Summit Materials Cos. I LLC, 2017 Term Loan B, 1-month LIBOR + 2.000%, 2.457%, 11/21/2024(b)(h)		17,784,962

				68,951,244

		Cable Satellite — 0.5%
	12,181,198	CSC Holdings LLC, 2017 Term Loan B1, 1-month LIBOR + 2.250%, 2.647%, 7/17/2025(b)(h)		11,960,475
	4,217,424	Telenet Financing USD LLC, 2020 USD Term Loan AR, 3-month LIBOR + 2.000%, 2.397%, 4/30/2028(b)(h)		4,114,983
	9,994,764	UPC Broadband Holding BV, 2020 USD Term Loan AT, 3-month LIBOR + 2.250%, 2.647%, 4/30/2028(b)(h)		9,750,292
	12,405,000	Virgin Media Bristol LLC, USD Term Loan N, 3-month LIBOR + 2.500%, 2.897%, 1/31/2028(b)(h)		12,236,416

				38,062,166

		Chemicals — 0.0%
	3,016	Venator Materials Corp., Term Loan B, 1-month LIBOR + 3.000%, 3.457%, 8/08/2024(b)(h)		2,881

		Consumer Cyclical Services — 0.2%
	428,218	FrontDoor, Inc., 2021 Term Loan B, 1-month LIBOR + 2.250%, 2.707%, 6/17/2028(b)(h)		422,865
	4,322,338	RE/MAX International, Inc., 2021 Term Loan B, 1-month LIBOR + 2.500%, 3.000%, 7/21/2028(b)(i)		4,223,269
	10,991,367	Trans Union LLC, 2019 Term Loan B5, 1-month LIBOR + 1.750%, 2.207%, 11/16/2026(b)(h)		10,818,253

				15,464,387

		Consumer Products — 0.2%
	6,194,735	Coty, Inc., 2018 USD Term Loan B, 1-month LIBOR + 2.250%, 2.560%, 4/07/2025(b)(h)		6,032,123
	1,377,594	Griffon Corp., Term Loan B, 90-day Average SOFR + 2.750%, 3.267%, 1/24/2029(b)(i)		1,361,669
	4,512,576	SRAM LLC, 2021 Term Loan B, LIBOR + 2.750%, 3.251%, 5/18/2028(a)(i)		4,454,273

				11,848,065

		Electric — 0.3%
	5,742,202	Calpine Corp., 2019 Term Loan B10, 1-month LIBOR + 2.000%, 2.457%, 8/12/2026(b)(h)		5,652,796
	4,338,417	Calpine Corp., Term Loan B9, 1-month LIBOR + 2.000%, 2.457%, 4/05/2026(b)(h)		4,271,518
	9,854,475	Pacific Gas & Electric Co., 2020 Term Loan, 1-month LIBOR + 3.000%, 3.500%, 6/23/2025(b)(i)		9,718,976

				19,643,290

		Food & Beverage — 0.1%
	8,942,631	Aramark Services, Inc., 2021 Term Loan B, 1-month LIBOR + 2.500%, 2.957%, 4/06/2028(b)(h)		8,808,491

		Gaming — 0.2%
	4,340,348	Churchill Downs, Inc., 2017 Term Loan B, 1-month LIBOR + 2.000%, 2.460%, 12/27/2024(b)(h)		4,275,242
	10,011,913	Churchill Downs, Inc., 2021 Incremental Term Loan B1, 1-month LIBOR + 2.000%, 2.460%, 3/17/2028(b)(h)		9,853,425

				14,128,667

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Industrial Other — 0.3%
$	14,292,643	AEA International Holdings (Lux) S.a.r.l., Term Loan B, 3-month LIBOR + 3.750%, 4.813%, 9/07/2028(b)(i)	$	14,239,045
	7,770,950	AECOM, 2021 Term Loan B, 1-month LIBOR + 1.750%, 2.197%, 4/13/2028(b)(h)		7,747,327

				21,986,372

		Media Entertainment — 0.5%
	4,796,313	E.W. Scripps Co. (The), 2020 Term Loan B3, 1-month LIBOR + 3.000%, 3.750%, 1/07/2028(b)(k)		4,758,086
	8,712,049	Entercom Media Corp., 2019 Term Loan, 1-month LIBOR + 2.500%, 2.947%, 11/18/2024(b)(h)		8,546,520
	3,468,383	Lamar Media Corp., 2020 Term Loan B, 1-month LIBOR + 1.500%, 1.968%, 2/05/2027(b)(h)		3,442,370
	10,888,398	Nielsen Finance LLC, USD Term Loan B4, 1-month LIBOR + 2.000%, 2.306%, 10/04/2023(b)(h)		10,871,412
	5,898,750	Sinclair Television Group, Inc., Term Loan B2B, 1-month LIBOR + 2.500%, 2.960%, 9/30/2026(b)(h)		5,711,937
	6,690,750	WMG Acquisition Corp., 2021 Term Loan G, 1-month LIBOR + 2.125%, 2.582%, 1/20/2028(b)(h)		6,621,032

				39,951,357

		Midstream — 0.1%
	7,410,667	DT Midstream, Inc., Term Loan B, LIBOR + 2.000%, 2.500%, 6/26/2028(a)(i)		7,391,102

		Pharmaceuticals — 0.5%
	4,275,592	Bausch Health Cos., Inc., Term Loan B, 1-month LIBOR + 2.750%, 3.207%, 11/27/2025(b)(h)		4,232,835
	6,233,458	Change Healthcare Holdings LLC, 2017 Term Loan B, 1-month LIBOR + 2.500%, 3.500%, 3/01/2024(b)(l)		6,191,382
	19,140,502	Elanco Animal Health, Inc., Term Loan B, 1-month LIBOR + 1.750%, 1.981%, 8/01/2027(b)(h)		18,811,477
	4,639,811	Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1-month LIBOR + 2.000%, 2.457%, 11/15/2027(b)(h)		4,556,295

				33,791,989

		Property & Casualty Insurance — 0.1%
	2,645,350	USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 4.006%, 5/16/2024(b)(h)		2,625,457
	2,077,231	USI, Inc., 2019 Incremental Term Loan B, 3-month LIBOR + 3.250%, 4.256%, 12/02/2026(b)(h)		2,058,182

				4,683,639

		Restaurants — 0.2%
	18,078,863	1011778 B.C. Unlimited Liability Co., Term Loan B4, 1-month LIBOR + 1.750%, 2.207%, 11/19/2026(b)(h)		17,668,292

		Retailers — 0.1%
	7,602,016	Restoration Hardware, Inc., Term Loan B, 1-month LIBOR + 2.500%, 3.000%, 10/20/2028(b)(i)		7,451,344

		Technology — 0.7%
$	9,727,076	Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 2.207%, 1/02/2026(b)(h)	$	9,573,097
	19,573,019	ON Semiconductor Corp., 2019 Term Loan B, 1-month LIBOR + 2.000%, 2.457%, 9/19/2026(b)(h)		19,528,980
	1,715,849	Sabre GLBL, Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%, 2.457%, 2/22/2024(b)(h)		1,686,902
	3,529,272	Sabre GLBL, Inc., 2021 Term Loan B1, 1-month LIBOR + 3.500%, 4.000%, 12/17/2027(b)(i)		3,485,156
	5,625,869	Sabre GLBL, Inc., 2021 Term Loan B2, 1-month LIBOR + 3.500%, 4.000%, 12/17/2027(b)(i)		5,555,546
	9,421,290	SS&C Technologies, Inc., 2018 Term Loan B5, 1-month LIBOR + 1.750%, 2.207%, 4/16/2025(b)(h)		9,260,374

				49,090,055

		Transportation Services — 0.2%
	10,334,223	Uber Technologies, Inc., 2021 Term Loan B, 1-month LIBOR + 3.500%, 3.957%, 2/25/2027(b)(h)		10,282,552
	4,649,710	WEX, Inc., 2021 Term Loan, 1-month LIBOR + 2.250%, 2.707%, 3/31/2028(b)(h)		4,587,450

				14,870,002

		Wireless — 0.2%
	2,244,903	Asurion LLC, 2018 Term Loan B6, 1-month LIBOR + 3.125%, 3.582%, 11/03/2023(b)(h)		2,229,189
	15,619,155	Asurion LLC, 2020 Term Loan B8, 1-month LIBOR + 3.250%, 3.707%, 12/23/2026(b)(h)		15,261,164

				17,490,353

		Total Senior Loans (Identified Cost $433,774,008)		429,679,179


	Collateralized Loan Obligations — 1.5%
	1,585,000	AMMC CLO Ltd., Series 2018-22A, Class D, 3-month LIBOR + 2.700%, 2.958%, 4/25/2031, 144A(b)		1,527,820
	400,000	Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 1.741%, 10/15/2030, 144A(b)		395,448
	1,165,000	Bain Capital Credit CLO, Series 2019-1A, Class CR, 3-month LIBOR + 2.1500%, 2.398%, 4/19/2034, 144A(b)		1,160,969
	420,000	Bain Capital Credit CLO Ltd., Series 2021-4A, Class D, 3-month LIBOR + 3.100%, 3.226%, 10/20/2034, 144A(b)		408,363
	1,400,000	Ballyrock CLO Ltd., Series 2019-1A, Class A2R, 3-month LIBOR + 1.550%, 1.791%, 7/15/2032, 144A(b)		1,380,127
	400,000	Battalion Clo XIX Ltd., Series 2021-19A, Class D, 3-month LIBOR + 3.250%, 3.491%, 4/15/2034, 144A(b)		397,481
	1,675,000	Betony CLO Ltd., Series 18-1A, Class A2, 3-month LIBOR + 1.600%, 1.899%, 4/30/2031, 144A(b)		1,654,543
	1,575,000	BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, 3-month LIBOR + 1.750%, 2.008%, 7/25/2034, 144A(b)		1,557,236
	2,035,000	Carbone CLO Ltd., Series 2017-1A, Class A1, 3-month LIBOR + 1.140%, 1.394%, 1/20/2031, 144A(b)		2,025,665
	400,000	CarVal CLO II Ltd., Series 2019-1A, Class DR, 3-month LIBOR + 3.200%, 3.454%, 4/20/2032, 144A(b)		395,520

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond Fund – (continued)


Principal Amount (‡)		Description	Value (†)
$	3,515,000	CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 3.204%, 7/20/2032, 144A(b)	$	3,430,468
	525,000	Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, 3-month LIBOR + 1.650%, 1.891%, 7/17/2034, 144A(b)		519,846
	540,000	CIFC Funding Ltd., Series 2019-3A, Class CR, 3-month LIBOR + 3.050%, 3.291%, 10/16/2034, 144A(b)		530,079
	1,935,000	CIFC Funding Ltd., Series 2020-1A, Class BR, 3-month LIBOR + 1.650%, 1.891%, 7/15/2036, 144A(b)		1,920,567
	2,165,000	CIFC Funding Ltd., Series 18-2RA, Class A2, 3-month LIBOR + 1.2500%, 1.504%, 1/20/2028, 144A(b)		2,150,059
	2,500,000	CIFC Funding Ltd., Series 2019-5A, Class CR, 3-month LIBOR + 3.1500%, 3.387%, 1/15/2035, 144A(b)		2,466,048
	3,900,000	CIFC Funding Ltd., Series 2020-3A, Class DR, 3-month LIBOR + 3.100%, 3.354%, 10/20/2034, 144A(b)		3,827,990
	7,190,000	CIFC Funding Ltd., Series 2021-7A, Class D, 3-month LIBOR + 3.000%, 3.128%, 1/23/2035, 144A(b)		7,018,166
	7,655,000	Crown City CLO III, Series 2021-1A, Class A1A, 3-month LIBOR + 1.170%, 1.424%, 7/20/2034, 144A(b)		7,567,695
	5,450,000	Dryden CLO Ltd., Series 2020-78A, Class A, 3-month LIBOR + 1.180%, 1.421%, 4/17/2033, 144A(b)		5,409,021
	2,520,000	Elmwood CLO III Ltd., Series 2019-3A, Class AR, 3-month LIBOR + 1.160%, 1.414%, 10/20/2034, 144A(b)		2,497,960
	2,700,000	Elmwood CLO IV Ltd., Series 2020-1A, Class A, 3-month LIBOR + 1.240%, 1.481%, 4/15/2033, 144A(b)		2,688,741
	550,000	Fortress Credit BSL XII Ltd., Series 2021-4A, Class D, 3-month LIBOR + 3.650%, 3.786%, 10/15/2034, 144A(b)		534,513
	1,650,000	Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 3.191%, 10/15/2030, 144A(b)		1,629,223
	1,190,000	Long Point Park CLO Ltd., Series 2017-1A, Class A2, 3-month LIBOR + 1.37500%, 1.616%, 1/17/2030, 144A(b)		1,177,448
	1,650,000	Madison Park Funding XLVI Ltd., Series 2020-46A, Class DR, 3-month LIBOR + 3.150%, 3.391%, 10/15/2034, 144A(b)		1,629,390
	1,250,000	Magnetite XXI Ltd., Series 2019-21A, Class BR, 3-month LIBOR + 1.3500%, 1.604%, 4/20/2034, 144A(b)		1,219,196
	4,320,000	Magnetite XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.0500%, 3.171%, 1/25/2035, 144A(b)		4,238,356
	1,900,000	Magnetite Xxx Ltd., Series 2021-30A, Class D, 3-month LIBOR + 2.950%, 3.082%, 10/25/2034, 144A(b)		1,846,792
	3,410,000	Neuberger Berman Loan Advisers CLO Ltd., Series 2021-40A, Class B, 3-month LIBOR + 1.400%, 1.641%, 4/16/2033, 144A(b)		3,358,744
	2,745,000	NYACK Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.800%, 2.924%, 10/20/2034, 144A(b)		2,661,994
	1,150,000	OCP CLO Ltd., Series 2021-21A, Class D, 3-month LIBOR + 2.950%, 3.204%, 7/20/2034, 144A(b)		1,120,099
	7,630,000	OHA Credit Funding Ltd., Series 2021-8A, Class B1, 3-month LIBOR + 1.500%, 1.741%, 1/18/2034, 144A(b)		7,525,889
	720,000	OHA Credit Partners VII Ltd., Series 2012-7A, Class D1R3, 3-month LIBOR + 2.900%, 3.380%, 2/20/2034, 144A(b)		700,948
	3,895,000	OHA Credit Partners XIII Ltd., Series 2016-13A, Class DR, 3-month LIBOR + 3.200%, 3.455%, 10/25/2034, 144A(b)		3,846,235
	5,655,000	Palmer Square Loan Funding Ltd., Series 2020-2A, Class C, 3-month LIBOR + 3.000%, 3.254%, 4/20/2028, 144A(b)		5,655,249
	3,890,000	Palmer Square Loan Funding Ltd., Series 2019-4A, Class C, 3-month LIBOR + 3.250%, 3.509%, 10/24/2027, 144A(b)		3,890,265
	2,120,000	Palmer Square Loan Funding Ltd., Series 2020-4A, Class C, 3-month LIBOR + 3.600%, 4.098%, 11/25/2028, 144A(b)		2,121,079
	5,670,000	Post CLO Ltd., Series 2021-1A, Class B, 3-month LIBOR + 1.750%, 1.879%, 10/15/2034, 144A(b)		5,615,880
	3,730,000	PPM CLO Ltd., Series 2021-5A, Class B, 3-month LIBOR + 1.700%, 1.819%, 10/18/2034, 144A(b)		3,644,389
	3,250,000	Riserva CLO Ltd., Series 2016-3A, Class DRR, 3-month LIBOR + 3.2500%, 3.491%, 1/18/2034, 144A(b)		3,218,628
	400,000	Symphony CLO XIV Ltd., Series 2014-14A, Class CR, 3-month LIBOR + 2.100%, 2.338%, 7/14/2026, 144A(b)		400,072
	940,000	Telos CLO Ltd., Series 2014-5A, Class DR, 3-month LIBOR + 3.300%, 3.541%, 4/17/2028, 144A(b)		929,997
	657,897	WhiteHorse IX Ltd., Series 2014-9A, Class C, 3-month LIBOR + 2.700%, 2.941%, 7/17/2026, 144A(b)		657,947

		Total Collateralized Loan Obligations (Identified Cost $108,914,780)		108,552,145


	Short-Term Investments — 8.1%
	467,373,794	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $467,373,793 on 4/01/2022 collateralized by $403,979,700 U.S. Treasury Bond, 3.375% due 11/15/2048 valued at $476,721,321 including accrued interest (Note 2 of Notes to Financial Statements)		467,373,794
	70,615,000	U.S. Treasury Bills, 0.050%-0.060%, 4/14/2022(m)(n)		70,611,398
	60,745,000	U.S. Treasury Bills, 0.050%-0.065%, 4/12/2022(m)(n)		60,742,401

		Total Short-Term Investments (Identified Cost $598,731,324)		598,727,593


		Total Investments — 104.9% (Identified Cost $8,104,683,284)		7,751,253,521
		Other assets less liabilities — (4.9)%		(365,378,558	)

		Net Assets — 100.0%	$	7,385,874,963


	Bonds and Notes Sold Short — (1.0)%
		Mortgage Related — (1.0)%
$	68,805,000	UMBS^® (TBA), 4.000%, 4/01/2052(g) (Proceeds $71,422,815)	$	(70,267,106	)

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Core Plus Bond 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 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, 2022 is disclosed.
	(b)			Variable rate security. Rate as of March 31, 2022 is disclosed.
	(c)			Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.
	(d)			Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(e)			Fair valued by the Fund’s adviser. At March 31, 2022, the value of these securities amounted to $153,360 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(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)			When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(h)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.00%, to which the spread is added.
	(i)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.50%, to which the spread is added.
	(j)			Position is unsettled. Contract rate was not determined at March 31, 2022 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(k)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added.
	(l)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 1.00%, to which the spread is added.
	(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, 2022, the value of Rule 144A holdings amounted to $1,990,579,038 or 27.0% of net assets.
	ABS			Asset-Backed Securities
	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
	REMIC			Real Estate Mortgage Investment Conduit
	SOFR			Secured Overnight Financing Rate
	TBA			To Be Announced
	UMBS^®			Uniform Mortgage-Backed Securities

	MXN			Mexican Peso
	UYU			Uruguayan Peso

At March 31, 2022, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/21/2022		1,636	$	199,633,599	$	201,023,500	$	1,389,901

Industry Summary at March 31, 2022 (Unaudited)


Mortgage Related	26.7	%
Treasuries	14.8
Banking	8.6
Technology	3.2
Sovereigns	3.0
Finance Companies	2.6
Electric	2.3
Government Owned – No Guarantee	2.2
Non-Agency Commercial Mortgage-Backed Securities	2.0
Other Investments, less than 2% each	29.9
Short-Term Investments	8.1
Collateralized Loan Obligations	1.5

Total Investments	104.9
Other assets less liabilities (including futures contracts and securities sold short )	(4.9	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Credit Income Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 92.4% of Net Assets
	Non-Convertible Bonds — 87.0%
		Aerospace & Defense — 3.2%
$	125,000	Boeing Co. (The), 2.196%, 2/04/2026	$	118,177
	20,000	Boeing Co. (The), 2.250%, 6/15/2026		18,904
	20,000	Boeing Co. (The), 2.950%, 2/01/2030		18,531
	5,000	Boeing Co. (The), 3.100%, 5/01/2026		4,913
	10,000	Boeing Co. (The), 3.200%, 3/01/2029		9,529
	5,000	Boeing Co. (The), 3.250%, 2/01/2035		4,465
	5,000	Boeing Co. (The), 3.375%, 6/15/2046		4,136
	5,000	Boeing Co. (The), 3.500%, 3/01/2039		4,303
	15,000	Boeing Co. (The), 3.550%, 3/01/2038		13,184
	220,000	Boeing Co. (The), 3.625%, 2/01/2031		214,136
	5,000	Boeing Co. (The), 3.625%, 3/01/2048		4,243
	40,000	Boeing Co. (The), 3.750%, 2/01/2050		35,784
	15,000	Boeing Co. (The), 3.825%, 3/01/2059		12,320
	10,000	Boeing Co. (The), 3.850%, 11/01/2048		8,768
	15,000	Boeing Co. (The), 3.900%, 5/01/2049		13,535
	30,000	Boeing Co. (The), 3.950%, 8/01/2059		25,989
	40,000	Boeing Co. (The), 5.150%, 5/01/2030		42,658
	10,000	Boeing Co. (The), 5.805%, 5/01/2050		11,547
	30,000	Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025		30,321
	20,000	Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030		20,801
	5,000	Spirit AeroSystems, Inc., 4.600%, 6/15/2028		4,693
	125,000	Textron, Inc., 3.000%, 6/01/2030		119,288

				740,225

		Airlines — 0.5%
	73,308	American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030		65,628
	15,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A		15,112
	15,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		14,944
	12,960	United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		12,719

				108,403

		Automotive — 1.6%
	60,000	Allison Transmission, Inc., 3.750%, 1/30/2031, 144A		54,429
	40,000	Ford Motor Co., 3.250%, 2/12/2032		35,725
	40,000	Ford Motor Co., 9.000%, 4/22/2025		45,805
	170,000	General Motors Co., 5.200%, 4/01/2045		172,070
	40,000	General Motors Co., 6.250%, 10/02/2043		45,352
	5,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(a)		5,239

				358,620

		Banking — 10.8%
	40,000	Ally Financial, Inc., 2.200%, 11/02/2028		36,135
	65,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(a)		61,185
	50,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(a)		45,500
	270,000	Bank of America Corp., MTN, 4.250%, 10/22/2026(b)		277,904
	200,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		184,206
	215,000	Citigroup, Inc., 4.450%, 9/29/2027		221,759
	250,000	Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A		245,830
	150,000	Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031		141,447
	120,000	Goldman Sachs Group, Inc. (The), (fixed rate to 1/24/2024, variable rate thereafter), 1.757%, 1/24/2025		116,988
	390,000	Morgan Stanley, 3.625%, 1/20/2027(b)		393,353
	80,000	Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter), 2.475%, 1/21/2028		76,266
		Banking — continued
$	200,000	NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027(b)	$	182,844
	115,000	Santander Holdings USA, Inc., 3.244%, 10/05/2026		112,100
	200,000	Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A		184,405
	200,000	Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(b)		206,221

				2,486,143

		Brokerage — 1.0%
	15,000	Jefferies Group LLC, 6.250%, 1/15/2036		17,540
	180,000	Jefferies Group LLC, 6.500%, 1/20/2043		215,646

				233,186

		Building Materials — 0.2%
	35,000	Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A		36,313

		Cable Satellite — 4.5%
	125,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A		113,935
	120,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A		112,595
	35,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A		32,593
	90,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062		72,780
	165,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050		156,735
	200,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		167,572
	15,000	DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A		14,756
	100,000	DISH DBS Corp., 5.125%, 6/01/2029		85,159
	110,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		104,775
	200,000	Time Warner Cable LLC, 4.500%, 9/15/2042		184,984

				1,045,884

		Chemicals — 1.4%
	70,000	CF Industries, Inc., 4.500%, 12/01/2026, 144A		73,062
	15,000	FMC Corp., 3.450%, 10/01/2029		14,734
	60,000	Hercules LLC, 6.500%, 6/30/2029		63,759
	200,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A		177,456

				329,011

		Construction Machinery — 0.6%
	90,000	Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024		87,675
	20,000	John Deere Capital Corp., MTN, 0.900%, 1/10/2024		19,461
	35,000	John Deere Capital Corp., MTN, 1.250%, 1/10/2025		33,689

				140,825

		Consumer Cyclical Services — 2.3%
	185,000	Expedia Group, Inc., 3.250%, 2/15/2030		176,097
	50,000	Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A		45,974
	325,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		304,687
	5,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		5,331

				532,089

		Electric — 1.5%
	15,000	AES Corp. (The), 2.450%, 1/15/2031		13,414
	5,000	AES Corp. (The), 3.950%, 7/15/2030, 144A		4,953
	85,000	Calpine Corp., 3.750%, 3/01/2031, 144A		76,091
	40,000	Calpine Corp., 5.125%, 3/15/2028, 144A		38,103
	20,000	IPALCO Enterprises, Inc., 4.250%, 5/01/2030		20,031
	35,000	NRG Energy, Inc., 4.450%, 6/15/2029, 144A		35,014

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Credit Income Fund – (continued)


Principal Amount		Description	Value (†)
		Electric — continued
$	35,000	NRG Energy, Inc., 5.250%, 6/15/2029, 144A	$	34,203
	140,000	Pacific Gas & Electric Co., 3.500%, 8/01/2050		112,708
	20,000	Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A		19,195

				353,712

		Finance Companies — 7.0%
	150,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028		146,199
	105,000	Air Lease Corp., 3.125%, 12/01/2030		97,074
	205,000	Air Lease Corp., MTN, 3.000%, 2/01/2030		188,816
	40,000	Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(a)		35,900
	125,000	Aircastle Ltd., 4.125%, 5/01/2024		124,794
	15,000	Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(a)		13,725
	60,000	Ares Capital Corp., 2.875%, 6/15/2028		53,118
	65,000	Ares Capital Corp., 3.200%, 11/15/2031		55,085
	25,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		22,960
	30,000	Barings BDC, Inc., 3.300%, 11/23/2026, 144A		27,700
	115,000	Blackstone Secured Lending Fund, 2.125%, 2/15/2027, 144A		102,016
	40,000	FS KKR Capital Corp., 3.125%, 10/12/2028		35,659
	35,000	FS KKR Capital Corp., 3.400%, 1/15/2026		33,886
	75,000	Hercules Capital, Inc., 3.375%, 1/20/2027		70,409
	75,000	Navient Corp., 5.000%, 3/15/2027		71,437
	35,000	Oaktree Specialty Lending Corp., 2.700%, 1/15/2027		32,068
	10,000	OneMain Finance Corp., 7.125%, 3/15/2026		10,689
	50,000	Owl Rock Capital Corp., 2.625%, 1/15/2027		44,815
	50,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		43,609
	60,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		54,188
	110,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		100,996
	75,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		68,539
	155,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		140,275
	55,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		48,174

				1,622,131

		Financial Other — 1.1%
	30,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		27,525
	115,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		112,864
	35,000	Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A		33,380
	200,000	Times China Holdings Ltd., 6.200%, 3/22/2026		75,834

				249,603

		Food & Beverage — 2.5%
	30,000	Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A		29,850
	20,000	JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A		18,500
	145,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		143,782
	95,000	Kraft Heinz Foods Co., 4.875%, 10/01/2049		100,095
	10,000	Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A		8,743
	50,000	Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A		50,469
	60,000	Post Holdings, Inc., 4.625%, 4/15/2030, 144A		54,027
	190,000	Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A		172,437

				577,903

		Gaming — 0.8%
	20,000	GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032		18,146
	85,000	MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 3.875%, 2/15/2029, 144A		83,512
		Gaming — continued
$	15,000	Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A	$	13,428
	55,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		57,007
	5,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		5,238

				177,331

		Government Owned – No Guarantee — 0.1%
	25,000	EcoPetrol S.A., 4.625%, 11/02/2031		22,625

		Health Insurance — 0.7%
	90,000	Centene Corp., 2.500%, 3/01/2031		79,428
	35,000	Centene Corp., 2.625%, 8/01/2031		31,150
	20,000	Centene Corp., 3.000%, 10/15/2030		18,369
	5,000	Centene Corp., 4.625%, 12/15/2029		5,041
	20,000	Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A		19,019

				153,007

		Healthcare — 1.6%
	25,000	Avantor Funding, Inc., 3.875%, 11/01/2029, 144A		23,500
	15,000	Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A		13,634
	75,000	Cigna Corp., 4.375%, 10/15/2028		78,894
	5,000	Encompass Health Corp., 4.750%, 2/01/2030		4,800
	165,000	HCA, Inc., 4.125%, 6/15/2029		168,185
	15,000	HCA, Inc., 5.250%, 6/15/2049		16,427
	25,000	Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A		24,531
	30,000	Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A		30,488

				360,459

		Home Construction — 1.0%
	90,000	Lennar Corp., 4.750%, 11/29/2027		93,756
	75,000	MDC Holdings, Inc., 3.966%, 8/06/2061		57,946
	70,000	PulteGroup, Inc., 6.000%, 2/15/2035		78,791

				230,493

		Independent Energy — 3.4%
	150,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		149,435
	5,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		4,459
	20,000	Continental Resources, Inc., 3.800%, 6/01/2024		20,073
	85,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		92,973
	10,000	Coterra Energy, Inc., 4.375%, 6/01/2024, 144A		10,201
	20,000	Diamondback Energy, Inc., 3.125%, 3/24/2031		19,101
	25,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		24,037
	40,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		38,090
	5,000	EQT Corp., 3.125%, 5/15/2026, 144A		4,856
	30,000	EQT Corp., 3.625%, 5/15/2031, 144A		28,650
	15,000	EQT Corp., 3.900%, 10/01/2027		14,957
	10,000	EQT Corp., 5.000%, 1/15/2029		10,323
	55,000	Hess Corp., 4.300%, 4/01/2027		56,435
	60,000	Hess Corp., 5.600%, 2/15/2041		67,419
	15,000	Occidental Petroleum Corp., 4.100%, 2/15/2047		13,875
	45,000	Occidental Petroleum Corp., 4.200%, 3/15/2048		42,075
	15,000	Occidental Petroleum Corp., 4.400%, 4/15/2046		14,250
	5,000	Occidental Petroleum Corp., 4.400%, 8/15/2049		4,700
	5,000	Occidental Petroleum Corp., 4.500%, 7/15/2044		4,781
	30,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		31,800
	45,000	Ovintiv Exploration, Inc., 5.375%, 1/01/2026		47,698
	20,000	Ovintiv Exploration, Inc., 5.625%, 7/01/2024		21,027
	50,000	Ovintiv, Inc., 6.500%, 8/15/2034		59,346
	5,000	Southwestern Energy Co., 4.750%, 2/01/2032		4,994

				785,555

		Industrial Other — 0.1%
	20,000	TopBuild Corp., 4.125%, 2/15/2032, 144A		18,125

		Leisure — 0.9%
	55,000	Carnival Corp., 5.750%, 3/01/2027, 144A		52,452
	30,000	Carnival Corp., 6.000%, 5/01/2029, 144A		28,270

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Credit Income Fund – (continued)


Principal Amount		Description	Value (†)
		Leisure — continued
$	30,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A	$	28,505
	25,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		24,688
	10,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		9,273
	60,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		57,199

				200,387

		Life Insurance — 1.0%
	50,000	Athene Global Funding, 1.608%, 6/29/2026, 144A		45,556
	55,000	Athene Global Funding, 1.716%, 1/07/2025, 144A		52,414
	95,000	Athene Global Funding, 2.550%, 11/19/2030, 144A		84,292
	30,000	Athene Holding Ltd., 3.500%, 1/15/2031		28,714
	30,000	CNO Financial Group, Inc., 5.250%, 5/30/2029		31,621

				242,597

		Lodging — 1.3%
	60,000	Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A		54,450
	40,000	Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A		37,758
	10,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		9,291
	25,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		23,857
	5,000	Hyatt Hotels Corp., (Step to 5.625% on 4/23/2022), 5.375%, 4/23/2025		5,249
	3,000	Marriott International, Inc., Series EE, 5.750%, 5/01/2025		3,185
	25,000	Marriott International, Inc., Series FF, 4.625%, 6/15/2030		25,892
	20,000	Marriott International, Inc., Series HH, 2.850%, 4/15/2031		18,254
	20,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		18,850
	45,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		41,729
	75,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		69,750

				308,265

		Media Entertainment — 2.0%
	25,000	AMC Networks, Inc., 4.250%, 2/15/2029		23,330
	60,000	Clear Channel Outdoor Holdings, Inc., 5.125%, 8/15/2027, 144A		59,351
	85,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		81,175
	75,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		74,156
	15,000	Magallanes, Inc., 4.054%, 3/15/2029, 144A		15,073
	25,000	Magallanes, Inc., 4.279%, 3/15/2032, 144A		25,141
	10,000	Netflix, Inc., 4.875%, 4/15/2028		10,488
	135,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		144,004
	5,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		5,413
	5,000	Netflix, Inc., 5.875%, 11/15/2028		5,511
	15,000	Netflix, Inc., 6.375%, 5/15/2029		16,962

				460,604

		Metals & Mining — 3.5%
	25,000	Allegheny Technologies, Inc., 5.875%, 12/01/2027		24,982
	200,000	Anglo American Capital PLC, 4.500%, 3/15/2028, 144A		207,369
	35,000	ArcelorMittal S.A., 7.000%, 10/15/2039		41,081
	200,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		209,500
	45,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		42,566
	25,000	Freeport-McMoRan, Inc., 4.625%, 8/01/2030		25,563
	40,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		44,402
	10,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		11,199
	135,000	Glencore Funding LLC, 3.875%, 10/27/2027, 144A		134,306
		Metals & Mining — continued
$	20,000	Glencore Funding LLC, 4.000%, 3/27/2027, 144A	$	20,061
	35,000	Novelis Corp., 4.750%, 1/30/2030, 144A		33,980
	10,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		9,575

				804,584

		Midstream — 2.6%
	115,000	Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027		122,581
	55,000	DCP Midstream Operating LP, 3.250%, 2/15/2032		49,500
	10,000	DCP Midstream Operating LP, 5.125%, 5/15/2029		10,285
	55,000	Energy Transfer LP, 4.000%, 10/01/2027		55,354
	30,000	EnLink Midstream Partners LP, 5.450%, 6/01/2047		25,275
	35,000	EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028		35,137
	15,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		14,154
	80,000	NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A		83,037
	15,000	Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030		14,713
	35,000	Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043		30,989
	35,000	Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044		32,841
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032		14,397
	60,000	Valero Energy Partners LP, 4.500%, 3/15/2028		61,461
	10,000	Western Midstream Operating LP, 4.550%, 2/01/2030		9,950
	20,000	Western Midstream Operating LP, 5.300%, 3/01/2048		19,800
	5,000	Western Midstream Operating LP, 5.450%, 4/01/2044		5,069
	10,000	Western Midstream Operating LP, 5.750%, 2/01/2050		9,750

				594,293

		Paper — 0.2%
	45,000	Suzano Austria GmbH, 3.750%, 1/15/2031		42,368

		Pharmaceuticals — 1.9%
	10,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		9,575
	65,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A		53,532
	10,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		7,856
	50,000	Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A		38,918
	5,000	Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A		4,100
	5,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A		4,476
	50,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		50,500
	70,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		63,377
	250,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		196,250

				428,584

		Property & Casualty Insurance — 1.2%
	175,000	Fidelity National Financial, Inc., 2.450%, 3/15/2031		154,993
	65,000	Sirius International Group Ltd., 4.600%, 11/01/2026, 144A		63,356
	55,000	Stewart Information Services Corp., 3.600%, 11/15/2031		50,057

				268,406

		REITs – Apartments — 0.0%
	10,000	American Homes 4 Rent, 2.375%, 7/15/2031		8,828

		REITs – Diversified — 0.1%
	15,000	EPR Properties, 3.600%, 11/15/2031		13,599

		REITs – Mortgage — 0.1%
	15,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A		14,375

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Credit Income Fund – (continued)


Principal Amount		Description	Value (†)
		REITs – Office Property — 0.0%
$	10,000	Corporate Office Properties LP, 2.750%, 4/15/2031	$	8,977

		REITs – Shopping Centers – 0.8%
	115,000	Brixmor Operating Partnership LP, 4.050%, 7/01/2030		115,384
	75,000	SITE Centers Corp., 3.625%, 2/01/2025		75,049

				190,433

		Restaurants — 0.7%
	125,000	1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A		120,000
	45,000	Yum! Brands, Inc., 4.625%, 1/31/2032		43,528

				163,528

		Retailers — 0.8%
	55,000	Carvana Co., 5.625%, 10/01/2025, 144A		51,857
	90,263	CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A		93,997
	20,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		19,001
	10,000	Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A		9,125
	10,000	Tapestry, Inc., 3.050%, 3/15/2032		9,088

				183,068

		Sovereigns — 0.8%
	200,000	Mexico Government International Bond, 4.280%, 8/14/2041		186,434

		Technology — 5.1%
	85,000	Avnet, Inc., 4.625%, 4/15/2026		87,261
	55,000	Broadcom, Inc., 4.300%, 11/15/2032		55,812
	90,000	CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031		83,381
	130,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		112,915
	60,000	CommScope, Inc., 4.750%, 9/01/2029, 144A		55,261
	5,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		4,738
	60,000	Iron Mountain, Inc., 5.250%, 7/15/2030, 144A		58,800
	35,000	Jabil, Inc., 1.700%, 4/15/2026		32,400
	30,000	Marvell Technology, Inc., 2.450%, 4/15/2028		27,584
	25,000	Marvell Technology, Inc., 2.950%, 4/15/2031		23,109
	265,000	Micron Technology, Inc., 4.663%, 2/15/2030		276,959
	25,000	MSCI, Inc., 3.250%, 8/15/2033, 144A		22,470
	60,000	Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A		56,892
	60,000	Oracle Corp., 3.950%, 3/25/2051		52,453
	60,000	Qorvo, Inc., 3.375%, 4/01/2031, 144A		54,561
	55,000	S&P Global, Inc., 4.250%, 5/01/2029, 144A		57,875
	10,000	Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A		11,086
	60,000	TD SYNNEX Corp., 1.750%, 8/09/2026, 144A		54,952
	35,000	Verisk Analytics, Inc., 4.125%, 3/15/2029		36,089
	5,000	Western Digital Corp., 2.850%, 2/01/2029		4,568
	5,000	Western Digital Corp., 3.100%, 2/01/2032		4,477

				1,173,643

		Treasuries — 15.6%
	135,000	U.S. Treasury Bond, 1.125%, 8/15/2040		105,833
	255,000	U.S. Treasury Bond, 1.875%, 2/15/2051		222,816
	1,510,000	U.S. Treasury Note, 0.125%, 1/31/2023(b)(c)		1,492,128
	780,000	U.S. Treasury Note, 0.125%, 4/30/2023(b)		766,228
	805,000	U.S. Treasury Note, 0.250%, 9/30/2023(b)		782,642
	230,000	U.S. Treasury Note, 1.500%, 2/29/2024		226,649

				3,596,296

		Wireless — 2.5%
	80,000	Crown Castle International Corp., 2.500%, 7/15/2031		71,364
	70,000	SBA Communications Corp., 3.125%, 2/01/2029		63,673
	130,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		123,647
	65,000	T-Mobile USA, Inc., 3.500%, 4/15/2031		61,164
	265,000	T-Mobile USA, Inc., 3.875%, 4/15/2030		266,017

				585,865

		Total Non-Convertible Bonds (Identified Cost $21,355,897)		20,036,777

	Convertible Bonds – 5.4%
		Airlines – 0.6%
$	20,000	JetBlue Airways Corp., 0.500%, 4/01/2026, 144A	$	18,609
	90,000	Southwest Airlines Co., 1.250%, 5/01/2025		122,130

				140,739

		Cable Satellite — 1.4%
	25,000	DISH Network Corp., Zero Coupon, 0.000%, 12/15/2025(d)		24,254
	340,000	DISH Network Corp., 3.375%, 8/15/2026		305,830

				330,084

		Consumer Cyclical Services — 0.3%
	20,000	Peloton Interactive, Inc., Zero Coupon, 0.000%-1.003%, 2/15/2026(e)		16,710
	55,000	Uber Technologies, Inc., Zero Coupon, 0.000%-1.532%, 12/15/2025(e)		49,300

				66,010

		Gaming — 0.1%
	10,000	Penn National Gaming, Inc., 2.750%, 5/15/2026		20,110

		Healthcare — 0.5%
	140,000	Teladoc Health, Inc., 1.250%, 6/01/2027		118,090

		Leisure — 0.2%
	60,000	NCL Corp. Ltd., 1.125%, 2/15/2027, 144A		54,956

		Media Entertainment — 0.5%
	30,000	Bilibili, Inc., 0.500%, 12/01/2026, 144A		21,975
	25,000	Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026(d)		20,988
	75,000	Zynga, Inc., Zero Coupon, 0.456%-1.992%, 12/15/2026(e)		76,350

				119,313

		Pharmaceuticals — 1.4%
	240,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		240,309
	15,000	Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(d)		12,031
	25,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(d)		23,252
	40,000	Livongo Health, Inc., 0.875%, 6/01/2025		40,520

				316,112

		Technology — 0.4%
	25,000	Nutanix, Inc., 0.250%, 10/01/2027, 144A		20,828
	65,000	Splunk, Inc., 1.125%, 6/15/2027		62,075

				82,903

		Total Convertible Bonds (Identified Cost $1,356,166)		1,248,317


		Total Bonds and Notes (Identified Cost $22,712,063)		21,285,094


	Collateralized Loan Obligations — 3.2%
	250,000	AIMCO CLO Ltd., Series 2021-14A, Class D, 3-month LIBOR + 2.900%, 3.154%, 4/20/2034, 144A(f)		238,768
	250,000	Fillmore Park CLO Ltd., Series 2018-1A, Class D, 3-month LIBOR + 2.900%, 3.141%, 7/15/2030, 144A(f)		245,576
	250,000	Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 3.504%, 4/20/2034, 144A(f)		243,528

		Total Collateralized Loan Obligations (Identified Cost $750,000)		727,872


Shares
	Preferred Stocks — 2.3%
	Convertible Preferred Stocks — 2.3%
		Banking — 1.0%
	97	Bank of America Corp., Series L, 7.250%		127,312
	83	Wells Fargo & Co., Class A, Series L, 7.500%		109,975

				237,287

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Credit Income Fund – (continued)


Shares		Description	Value (†)
		Technology — 0.1%
	273	Clarivate PLC, Series A, 5.250%	$	18,529

		Wireless — 1.2%
	250	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(g)(h)		278,750

		Total Convertible Preferred Stocks (Identified Cost $591,279)		534,566


		Total Preferred Stocks (Identified Cost $591,279)		534,566


Principal Amount
	Short-Term Investments — 1.5%
$	355,617	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $355,617 on 4/01/2022 collateralized by $364,100 U.S. Treasury Note, 2.375% due 3/31/2029 valued at $362,791 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $355,617)		355,617


		Total Investments — 99.4% (Identified Cost $24,408,959)		22,903,149
		Other assets less liabilities — 0.6%		137,628

		Net Assets — 100.0%	$	23,040,777

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Perpetual bond with no specified maturity date.
	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(c)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(d)	Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(e)	Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(f)	Variable rate security. Rate as of March 31, 2022 is disclosed.
	(g)	Illiquid security.
	(h)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2022, the value of this security amounted to $278,750 or 1.2% of net assets. See Note 2 of Notes to Financial Statements.

	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, 2022, the value of Rule 144A holdings amounted to $7,573,678 or 32.9% of net assets.
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts

At March 31, 2022, 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		6/21/2022		15	$	2,097,275	$	2,032,031	$	65,244

Industry Summary at March 31, 2022 (Unaudited)


Treasuries	15.6	%
Banking	11.8
Finance Companies	7.0
Cable Satellite	5.9
Technology	5.6
Wireless	3.7
Metals & Mining	3.5
Independent Energy	3.4
Pharmaceuticals	3.3
Aerospace & Defense	3.2
Consumer Cyclical Services	2.6
Midstream	2.6
Media Entertainment	2.5
Food & Beverage	2.5
Healthcare	2.1
Other Investments, less than 2% each	19.4
Collateralized Loan Obligations	3.2
Short-Term Investments	1.5

Total Investments	99.4
Other assets less liabilities (including futures contracts)	0.6

Net Assets	100.0	%

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund


Shares		Description	Value (†)
	Common Stocks — 67.3% of Net Assets
		Canada — 0.4%
	646,549	Canada Goose Holdings, Inc.(a)	$	16,989,269
	22,985	Descartes Systems Group, Inc. (The)(a)		1,682,852

				18,672,121

		France — 2.2%
	607,804	Dassault Systemes SE		29,860,559
	94,127	LVMH Moet Hennessy Louis Vuitton SE		67,187,729

				97,048,288

		Hong Kong — 0.8%
	3,332,200	AIA Group Ltd.		34,794,423

		India — 1.1%
	2,507,735	HDFC Bank Ltd.		48,298,498

		Japan — 1.2%
	1,570,861	Nomura Research Institute Ltd.		51,252,926

		Netherlands — 3.2%
	210,316	ASML Holding NV		140,537,665

		Sweden — 1.4%
	1,212,567	Atlas Copco AB, Class A		62,939,413

		Taiwan — 1.9%
	4,172,000	Taiwan Semiconductor Manufacturing Co. Ltd.		85,582,376

		United Kingdom — 3.6%
	798,070	Halma PLC		26,110,536
	414,707	Linde PLC		132,469,857

				158,580,393

		United States — 51.5%
	313,590	Accenture PLC, Class A		105,751,956
	117,905	Adobe, Inc.(a)		53,719,876
	843,730	Airbnb, Inc., Class A(a)		144,919,065
	5,639	Alphabet, Inc., Class C(a)		15,749,671
	46,899	Alphabet, Inc., Class A(a)		130,442,534
	46,054	Amazon.com, Inc.(a)		150,133,737
	88,173	Azenta, Inc.		7,307,778
	195,384	Copart, Inc.(a)		24,514,830
	163,032	Costco Wholesale Corp.		93,881,977
	492,713	Cummins, Inc.		101,060,363
	427,719	Danaher Corp.		125,462,814
	773,946	Dropbox, Inc., Class A(a)		17,994,245
	226,363	Estee Lauder Cos., Inc. (The), Class A		61,643,172
	226,305	Goldman Sachs Group, Inc. (The)		74,703,281
	262,853	Home Depot, Inc. (The)		78,679,788
	498,220	IQVIA Holdings, Inc.(a)		115,193,446
	390,858	Mastercard, Inc., Class A		139,684,832
	298,750	Meta Platforms, Inc., Class A(a)		66,430,050
	47,995	Mettler-Toledo International, Inc.(a)		65,906,254
	419,574	NVIDIA Corp.		114,484,962
	207,663	Roper Technologies, Inc.		98,064,699
	261,434	S&P Global, Inc.		107,234,998
	556,196	salesforce.com, inc.(a)		118,091,535
	273,850	Sherwin-Williams Co. (The)		68,358,437
	267,513	Texas Instruments, Inc.		49,083,285
	232,426	UnitedHealth Group, Inc.		118,530,287
	66,428	VeriSign, Inc.(a)		14,777,573

				2,261,805,445

		Total Common Stocks (Identified Cost $2,187,396,313)		2,959,511,548

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 31.3%
	Non-Convertible Bonds — 29.0%
		Australia — 0.7%
	3,010,000	Australia Government Bond, Series 133, 5.500%, 4/21/2023, (AUD)(b)	$	2,356,560
	10,700,000	Australia Government Bond, Series 164, 0.500%, 9/21/2026, (AUD)(b)		7,305,994
	800,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		756,720
	670,000	GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A		675,300
	3,560,000	Glencore Funding LLC, 1.625%, 9/01/2025, 144A		3,328,600
	5,000,000	Macquarie Group Ltd., (fixed rate to 1/14/2032, variable rate thereafter), 2.871%, 1/14/2033, 144A(b)		4,437,835
	4,000,000	Macquarie Group Ltd., (fixed rate to 9/23/2026, variable rate thereafter), 1.629%, 9/23/2027, 144A(b)		3,609,972
	11,610,000	New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD)(b)		7,656,796
	95,000	Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A		94,439
	1,370,000	Westpac Banking Corp., 1.953%, 11/20/2028(b)		1,261,855

				31,484,071

		Belgium — 0.1%
	2,745,000	Anheuser-Busch InBev S.A., EMTN, 2.000%, 1/23/2035, (EUR)		3,027,394
	1,690,000	Anheuser-Busch InBev Worldwide, Inc., 4.750%, 1/23/2029		1,832,256

				4,859,650

		Brazil — 0.7%
	1,035,000	Braskem Netherlands Finance BV, 4.500%, 1/10/2028		1,021,235
	1,785,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030		1,727,505
	53,329(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2031, (BRL)		10,288,655
	2,685,000	Brazilian Government International Bond, 4.500%, 5/30/2029		2,632,374
	1,085,000	Brazilian Government International Bond, 4.625%, 1/13/2028		1,087,431
	2,980,000	BRF S.A., 4.875%, 1/24/2030		2,841,430
	650,000	Centrais Eletricas Brasileiras S.A., 4.625%, 2/04/2030, 144A		607,750
	400,000	Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A		400,100
	1,100,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		1,111,011
	2,465,000	Petrobras Global Finance BV, 5.999%, 1/27/2028		2,586,894
	150,000	Petrobras Global Finance BV, 6.875%, 1/20/2040		154,599
	575,000	Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A		595,125
	2,515,000	Suzano Austria GmbH, 2.500%, 9/15/2028		2,269,410
	1,185,000	Suzano Austria GmbH, 3.125%, 1/15/2032		1,049,175
	550,000	Suzano Austria GmbH, 3.750%, 1/15/2031		517,825

				28,890,519

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Canada — 3.3%
$	790,000	1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A	$	712,608
	363,716	Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A		349,033
	734,616	Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031, 144A(b)		697,716
	505,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		465,883
	1,210,000	Antares Holdings LP, 3.950%, 7/15/2026, 144A		1,127,895
	1,010,000	Antares Holdings LP, 6.000%, 8/15/2023, 144A		1,031,044
	4,500,000	Bank of Montreal, (fixed rate to 1/22/2026, variable rate thereafter), MTN, 0.949%, 1/22/2027(b)		4,129,200
	2,675,000	Bank of Nova Scotia (The), 1.050%, 3/02/2026(b)		2,453,872
	2,525,000	Bank of Nova Scotia (The), 1.300%, 9/15/2026(b)		2,321,921
	2,835,000	Bell Telephone Co. of Canada/Bell Canada (The), MTN, 3.600%, 9/29/2027, (CAD)		2,252,398
	1,735,000	Brookfield Finance I UK PLC, 2.340%, 1/30/2032		1,542,273
	1,015,000	Brookfield Finance, Inc., 3.900%, 1/25/2028		1,019,297
	2,715,000	Brookfield Renewable Partners ULC, MTN, 4.250%, 1/15/2029, (CAD)		2,216,173
	1,220,000	Canada Housing Trust No. 1, 1.550%, 12/15/2026, 144A, (CAD)(b)		925,557
	35,055,000	Canadian Government Bond, 0.500%, 9/01/2025, (CAD)(b)		26,329,315
	62,805,000	Canadian Government Bond, 1.500%, 12/01/2031, (CAD)		46,370,652
	970,000	Canadian Imperial Bank of Commerce, 3.500%, 9/13/2023(b)		984,432
	1,800,000	Canadian Imperial Bank of Commerce, (fixed rate to 7/22/2022, variable rate thereafter), 2.606%, 7/22/2023(b)		1,800,286
	2,465,000	Canadian Pacific Railway Co., 1.750%, 12/02/2026		2,321,959
	800,000	CPPIB Capital, Inc., 0.375%, 6/20/2024, 144A, (EUR)(b)		881,044
	4,695,000	Enbridge Gas, Inc., MTN, 2.900%, 4/01/2030, (CAD)(b)		3,567,096
	430,000	Enbridge, Inc., 2.900%, 7/15/2022		431,086
	4,770,000	Enbridge, Inc., MTN, 2.990%, 10/03/2029, (CAD)		3,532,658
	2,965,000	Federation des Caisses Desjardins du Quebec, (fixed rate to 5/26/2025, variable rate thereafter), 2.856%, 5/26/2030, (CAD)(b)		2,304,335
	182,519	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)		142,469
	4,670,000	Ontario Power Generation, Inc., MTN, 2.977%, 9/13/2029, (CAD)(b)		3,574,288
	5,000,000	Province of British Columbia Canada, Series 10, 1.750%, 9/27/2024(b)		4,909,746
	2,355,000	Province of Quebec Canada, 2.300%, 9/01/2029, (CAD)(b)		1,800,511
	2,725,000	Royal Bank of Canada, 0.875%, 1/20/2026(b)		2,504,957
	2,040,000	Royal Bank of Canada, 1.200%, 4/27/2026(b)		1,887,958
	2,475,000	Royal Bank of Canada, GMTN, 2.250%, 11/01/2024(b)		2,440,281
	2,960,000	Shaw Communications, Inc., 3.300%, 12/10/2029, (CAD)		2,222,409
		Canada — continued
$	7,170,000	Toronto-Dominion Bank (The), 1.950%, 1/12/2027(b)	$	6,790,781
	2,500,000	Toronto-Dominion Bank (The), 2.100%, 7/15/2022, 144A(b)		2,505,110
	1,690,000	Toronto-Dominion Bank (The), GMTN, 3.500%, 7/19/2023(b)		1,717,718
	1,675,000	Toronto-Dominion Bank (The), MTN, 1.150%, 6/12/2025(b)		1,580,799
	1,580,000	Videotron Ltd., 5.125%, 4/15/2027, 144A		1,598,923

				143,443,683

		Chile — 0.4%
	715,000	Banco de Chile, 2.990%, 12/09/2031, 144A(b)		659,838
	2,525,000	Banco Santander Chile, 3.177%, 10/26/2031, 144A(b)		2,411,981
	950,000	Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024		976,134
	1,500,000	Chile Government International Bond, 2.450%, 1/31/2031(b)		1,404,795
	1,005,000	Chile Government International Bond, 2.550%, 1/27/2032(b)		944,318
	2,580,000	Colbun S.A., 3.150%, 3/06/2030		2,390,396
	1,960,000	Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029, 144A(b)		1,866,948
	570,000	Corp. Nacional del Cobre de Chile, 3.750%, 1/15/2031, 144A(b)		570,471
	595,000	Empresa Nacional de Telecomunicaciones S.A., 3.050%, 9/14/2032, 144A		539,962
	1,980,000	Empresa Nacional del Petroleo, 3.450%, 9/16/2031, 144A(b)		1,815,541
	525,000	Enel Chile S.A., 4.875%, 6/12/2028		543,853
	2,690,000	Engie Energia Chile S.A., 3.400%, 1/28/2030		2,474,827
	800,000	Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A		813,008
	1,120,000	Transelec S.A., 4.250%, 1/14/2025, 144A		1,142,400

				18,554,472

		China — 1.0%
	920,000	Alibaba Group Holding Ltd., 3.400%, 12/06/2027(b)		902,677
	795,000	Baidu, Inc., 3.875%, 9/29/2023(b)		802,982
	98,500,000	China Government Bond, 2.200%, 7/27/2025, (CNY)(b)		15,255,368
	6,500,000	China Government Bond, 3.390%, 5/21/2025, (CNH)(b)		1,043,786
	500,000	China Government Bond, 3.480%, 6/29/2027, (CNH)		81,210
	25,000,000	China Government Bond, 3.900%, 7/04/2036, (CNH)(b)		4,270,462
	67,500,000	China Government Bond, 4.000%, 11/30/2035, (CNY)(b)		11,678,948
	2,600,000	Country Garden Holdings Co. Ltd., 2.700%, 7/12/2026		1,844,778
	2,800,000	Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031		1,933,764
	2,435,000	Country Garden Holdings Co. Ltd., 8.000%, 1/27/2024		2,089,303
	905,000	Industrial & Commercial Bank of China Ltd., 2.957%, 11/08/2022(b)		906,765
	2,750,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(c)(d)		682,880
	2,750,000	Sunac China Holdings Ltd., 5.950%, 4/26/2024(c)(d)		701,223
	625,000	Tencent Holdings Ltd., 2.880%, 4/22/2031, 144A(b)		570,869

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		China — continued
$	500,000	Tencent Holdings Ltd., 2.985%, 1/19/2023, 144A(b)	$	499,715
	1,175,000	Tencent Holdings Ltd., 3.280%, 4/11/2024, 144A(b)		1,168,238
	1,270,000	Weibo Corp., 3.500%, 7/05/2024		1,239,850

				45,672,818

		Colombia — 0.4%
	1,395,000	Colombia Government International Bond, 3.125%, 4/15/2031		1,180,519
	2,536,000	Ecopetrol S.A., 5.875%, 5/28/2045		2,221,790
	1,300,000	Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029, 144A		1,157,260
	1,026,000	Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A		1,088,714
	1,035,000	Millicom International Cellular S.A., 6.625%, 10/15/2026		1,060,875
	575,000	Republic of Colombia, 3.875%, 4/25/2027		551,241
	7,073,300,000	Republic of Colombia, Series B, 6.250%, 11/26/2025, (COP)		1,707,051
	29,559,900,000	Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)		7,331,512
	870,000	Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A		898,832

				17,197,794

		Denmark — 0.1%
	2,055,000	Orsted A/S, EMTN, 2.125%, 5/17/2027, (GBP)		2,664,785

		Dominican Republic — 0.1%
	2,160,000	Dominican Republic, 4.500%, 1/30/2030, 144A		1,981,822
	1,155,000	Dominican Republic, 4.875%, 9/23/2032, 144A		1,045,287
	590,000	Dominican Republic, 5.950%, 1/25/2027, 144A		606,514
	995,000	Dominican Republic, 6.000%, 7/19/2028, 144A		1,012,034
	425,000	Dominican Republic, 8.625%, 4/20/2027, 144A		469,625

				5,115,282

		Ecuador — 0.1%
	4,275,000	Ecuador Government International Bond, (Step to 5.500% on 7/31/2022), 5.000%, 7/31/2030		3,569,668

		Egypt — 0.1%
	1,515,000	Egypt Government International Bond, 5.250%, 10/06/2025		1,457,127
	1,435,000	Egypt Government International Bond, 7.625%, 5/29/2032		1,298,305

				2,755,432

		Finland — 0.1%
	3,575,000	Nordea Bank Abp, 0.750%, 8/28/2025, 144A(b)		3,293,301

		France — 0.2%
	205,000	BNP Paribas S.A., 4.375%, 5/12/2026, 144A		207,728
	890,000	BNP Paribas S.A., (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026, 144A(b)		846,306
	250,000	Credit Agricole S.A., 3.250%, 10/04/2024, 144A		249,992
	4,500,000	Credit Agricole S.A., (fixed rate to 1/26/2026, variable rate thereafter), 1.247%, 1/26/2027, 144A(b)		4,093,986
	1,300,000	Edenred, 1.875%, 3/06/2026, (EUR)		1,468,095
	1,400,000	Engie S.A., 1.250%, 10/24/2041, (EUR)		1,269,510
	500,000	Holding d’Infrastructures de Transport SASU, EMTN, 0.625%, 3/27/2023, (EUR)		555,116
	500,000	Holding d’Infrastructures de Transport SASU, EMTN, 1.625%, 11/27/2027, (EUR)		542,717
		France — continued
$	1,015,000	Societe Generale S.A., 4.750%, 11/24/2025, 144A	$	1,023,610
	230,000	SPCM S.A., 3.125%, 3/15/2027, 144A		211,600
	215,000	SPCM S.A., 3.375%, 3/15/2030, 144A		188,749

				10,657,409

		Germany — 0.3%
	1,165,000	BMW U.S. Capital LLC, 3.150%, 4/18/2024, 144A(b)		1,170,981
	1,395,000	BMW U.S. Capital LLC, 4.150%, 4/09/2030, 144A(b)		1,464,412
	1,635,000	Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028		1,508,359
	305,000	Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033		269,559
	2,255,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		2,011,342
	3,220,000	Fraport AG Frankfurt Airport Services Worldwide, 1.875%, 3/31/2028, (EUR)		3,431,216
	3,790,000	Kreditanstalt fuer Wiederaufbau, EMTN, 1.250%, 8/28/2023, (NOK)(b)		426,123
	1,450,000	Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026, 144A(b)		1,396,221
	490,000	Volkswagen Group of America Finance LLC, 1.625%, 11/24/2027, 144A		435,052
	420,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A		418,682

				12,531,947

		Guatemala — 0.0%
	1,050,000	CT Trust, 5.125%, 2/03/2032, 144A		1,049,423

		Hong Kong — 0.1%
	355,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A		357,032
	1,405,000	AIA Group Ltd., 3.600%, 4/09/2029(b)		1,415,205
	1,135,000	AIA Group Ltd., 3.900%, 4/06/2028, 144A(b)		1,155,566

				2,927,803

		India — 0.3%
	1,195,000	Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A		1,028,787
	2,480,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027		2,415,931
	2,940,000	Bharti Airtel Ltd., 3.250%, 6/03/2031		2,717,190
	2,790,000	Export-Import Bank of India, 2.250%, 1/13/2031, 144A		2,391,203
	1,230,000	ICICI Bank Ltd., EMTN, 3.250%, 9/09/2022		1,230,763
	1,250,000	Power Finance Corp. Ltd., 3.950%, 4/23/2030, 144A		1,198,387
	2,400,000	Shriram Transport Finance Co. Ltd., 4.150%, 7/18/2025, 144A		2,286,000
	2,420,000	Shriram Transport Finance Co. Ltd., 4.400%, 3/13/2024		2,366,760

				15,635,021

		Indonesia — 0.2%
	300,000	Indonesia Government International Bond, 4.125%, 1/15/2025, 144A		308,175
	50,092,000,000	Indonesia Treasury Bond, Series FR75, 7.500%, 5/15/2038, (IDR)		3,566,306
	43,840,000,000	Indonesia Treasury Bond, Series FR82, 7.000%, 9/15/2030, (IDR)		3,104,010
	1,475,000	Republic of Indonesia, 2.850%, 2/14/2030		1,450,559

				8,429,050

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Ireland — 0.2%
$	645,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028	$	594,811
	3,245,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032		2,925,236
	1,250,000	Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A		1,273,970
	3,710,000	Ireland Government Bond, Zero Coupon, 0.029%, 10/18/2031, (EUR)(b)(e)		3,724,172
	375,000	Ireland Government Bond, 3.400%, 3/18/2024, (EUR)(b)		442,165

				8,960,354

		Israel — 0.7%
	10,950,000	State of Israel, 1.000%, 3/31/2030, (ILS)(b)		3,176,464
	2,750,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		2,777,500
	4,140,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		3,748,315
	20,421,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		16,030,485
	4,475,000	Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027		4,295,776
	510,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		490,222

				30,518,762

		Italy — 0.4%
	200,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		204,309
	530,000	Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR)		612,855
	6,965,000	Italy Buoni Poliennali Del Tesoro, 1.350%, 4/01/2030, (EUR)		7,464,710
	3,305,000	Italy Buoni Poliennali Del Tesoro, 2.000%, 2/01/2028, (EUR)		3,769,862
	1,975,000	Italy Government International Bond, 2.375%, 10/17/2024		1,941,449
	3,335,000	Republic of Italy, 2.500%, 11/15/2025, (EUR)		3,892,995
	630,000	UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034, 144A		667,286
	635,000	UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A		624,052
	200,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		191,109

				19,368,627

		Japan — 1.0%
	995,386,000(†††)	Japan Government CPI Linked Bond, Series 23, 0.100%, 3/10/2028, (JPY)(b)		8,607,511
	2,020,350,000	Japan Government Thirty Year Bond, Series 62, 0.500%, 3/20/2049, (JPY)(b)		15,067,987
	2,375,000	Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028(b)		2,243,152
	3,000,000	Mitsubishi UFJ Financial Group, Inc., (fixed rate to 10/13/2026, variable rate thereafter), 1.640%, 10/13/2027(b)		2,757,859
	2,020,000	Mizuho Financial Group, Inc., 2.564%, 9/13/2031(b)		1,765,488
	2,000,000	Mizuho Financial Group, Inc., (fixed rate to 7/10/2023, variable rate thereafter), 1.241%, 7/10/2024(b)		1,957,287
		Japan — continued
$	2,000,000	Nomura Holdings, Inc., 1.851%, 7/16/2025(b)	$	1,887,743
	2,385,000	Nomura Holdings, Inc., 2.710%, 1/22/2029		2,198,884
	3,050,000	Sumitomo Mitsui Financial Group, Inc., 1.402%, 9/17/2026(b)		2,782,430
	1,445,000	Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029(b)		1,389,612
	2,790,000	Toyota Motor Corp., 2.362%, 3/25/2031(b)		2,607,381

				43,265,334

		Korea — 1.1%
	765,000	Export-Import Bank of Korea, 3.000%, 11/01/2022(b)		767,303
	160,900,000	Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(b)		2,128,461
	636,300,000	Export-Import Bank of Korea, MTN, 6.900%, 2/07/2023, (INR)(b)(c)(d)		8,440,138
	1,100,000	Hyundai Capital Services, Inc., 3.750%, 3/05/2023, 144A		1,112,374
	1,650,000	Kia Corp., 1.750%, 10/16/2026, 144A		1,537,256
	1,060,000	Kia Corp., 2.750%, 2/14/2027, 144A		1,025,094
	1,575,000	Kia Corp., 3.000%, 4/25/2023, 144A		1,579,630
	2,720,000	Kookmin Bank, 1.375%, 5/06/2026, 144A(b)		2,544,315
	1,515,000	Korea East-West Power Co. Ltd., 1.750%, 5/06/2025, 144A(b)		1,451,279
	910,000	Korea Gas Corp., 2.750%, 7/20/2022, 144A(b)		910,628
	2,400,000	Korea National Oil Corp., 2.125%, 4/18/2027, 144A(b)		2,246,943
	670,000	KT Corp., 2.500%, 7/18/2026, 144A(b)		652,073
	1,180,000	LG Chem Ltd., 3.250%, 10/15/2024, 144A		1,182,732
	4,500,000,000	Republic of Korea, 0.875%, 12/10/2023, (KRW)(b)		3,629,148
	4,500,000,000	Republic of Korea, 1.125%, 9/10/2025, (KRW)(b)		3,520,837
	13,130,550,000	Republic of Korea, 1.500%, 12/10/2030, (KRW)(b)		9,625,483
	1,440,000,000	Republic of Korea, Series 2209, 2.000%, 9/10/2022, (KRW)(b)		1,190,397
	770,000	Shinhan Bank Co. Ltd., 3.875%, 3/24/2026, 144A		776,348
	2,765,000	SK Hynix, Inc., 2.375%, 1/19/2031, 144A		2,410,097
	140,000	SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		161,678

				46,892,214

		Luxembourg — 0.0%
	920,000	ArcelorMittal S.A., 6.750%, 3/01/2041		1,088,038

		Malaysia — 0.2%
	28,570,000	Malaysia Government Bond, 3.480%, 3/15/2023, (MYR)(b)		6,879,423

		Mexico — 1.1%
	620,000	Alfa SAB de CV, 6.875%, 3/25/2044		685,987
	770,000	America Movil SAB de CV, 2.125%, 3/10/2028, (EUR)		863,802
	860,000	America Movil SAB de CV, 2.875%, 5/07/2030		821,567
	10,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		495,475
	730,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A		761,781
	1,905,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		1,738,332
	855,000	Cemex SAB de CV, 5.450%, 11/19/2029		864,627
	400,000	Cemex SAB de CV, 7.375%, 6/05/2027, 144A		428,000
	1,775,000	Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030(b)		1,698,728

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Mexico — continued
$	1,205,000	Comision Federal de Electricidad, 4.750%, 2/23/2027	$	1,232,112
	800,000	Gruma SAB de CV, 4.875%, 12/01/2024		829,008
	10,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		330,518
	840,000	Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(b)		760,654
	1,707,184(††††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(b)		7,806,183
	1,294,043(††††)	Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)(b)		6,575,287
	637,836(††††)	Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)		3,254,888
	724,558(††††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		3,496,129
	2,665,000	Mexico Government International Bond, 3.250%, 4/16/2030		2,565,249
	1,880,000	Mexico Government International Bond, 3.500%, 2/12/2034		1,747,441
	196,000	Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)		196,443
	1,850,000	Orbia Advance Corp. SAB de CV, 1.875%, 5/11/2026, 144A		1,735,836
	1,240,000	Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027		1,240,012
	3,505,000	Petroleos Mexicanos, 5.950%, 1/28/2031		3,235,150
	100,000	Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR)		112,612
	835,000	Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026		841,263
	2,090,000	Sigma Finance Netherlands BV, 4.875%, 3/27/2028		2,155,333
	1,010,000	Unifin Financiera SAB de CV, 7.250%, 9/27/2023		717,403
	2,195,000	Unifin Financiera SAB de CV, 9.875%, 1/28/2029		1,290,879

				48,480,699

		Netherlands — 0.1%
	870,000	Cooperatieve Rabobank U.A., 4.375%, 8/04/2025		884,677
	1,725,000	ING Groep NV, (fixed rate to 7/01/2025, variable rate thereafter), 1.400%, 7/01/2026, 144A(b)		1,595,852

				2,480,529

		New Zealand — 0.5%
	3,495,000	ANZ New Zealand International Ltd., 1.250%, 6/22/2026, 144A(b)		3,228,252
	2,200,000	Bank of New Zealand, 1.000%, 3/03/2026, 144A(b)		2,018,750
	5,000,000	Fonterra Co-operative Group Ltd., MTN, 5.500%, 2/26/2024, (AUD)(b)		3,940,636
	10,700,000	New Zealand Government Bond, 0.500%, 5/15/2024, (NZD)(b)		7,053,160
	6,310,000	New Zealand Government Bond, 1.500%, 5/15/2031, (NZD)(b)		3,778,967
	3,575,000	New Zealand Government Bond, 3.000%, 4/20/2029, (NZD)(b)		2,446,882

				22,466,647

		Nigeria — 0.0%
	1,975,000	Nigeria Government International Bond, 6.125%, 9/28/2028, 144A		1,812,102

		Norway — 0.4%
$	3,660,000	DNB Bank ASA, (fixed rate to 5/25/2026, variable rate thereafter), 1.535%, 5/25/2027, 144A(b)	$	3,365,386
	2,790,000	Equinor ASA, 3.625%, 4/06/2040(b)		2,805,923
	41,750,000	Norway Government Bond, 1.750%, 2/17/2027, 144A, (NOK)(b)		4,564,409
	16,500,000	Norway Government Bond, Series 478, 1.500%, 2/19/2026, 144A, (NOK)(b)		1,804,168
	46,500,000	Norway Government Bond, Series 482, 1.375%, 8/19/2030, 144A, (NOK)(b)		4,809,494

				17,349,380

		Panama — 0.0%
	1,485,000	Cable Onda S.A., 4.500%, 1/30/2030, 144A		1,448,618

		Paraguay — 0.1%
	1,420,000	Paraguay Government International Bond, 4.950%, 4/28/2031, 144A		1,483,914
	800,000	Republic of Paraguay, 5.000%, 4/15/2026, 144A		834,000

				2,317,914

		Peru — 0.2%
	3,220,000	Corp. Financiera de Desarrollo S.A., 2.400%, 9/28/2027, 144A		2,949,198
	2,005,000	Peruvian Government International Bond, 2.392%, 1/23/2026		1,945,231
	2,455,000	Peruvian Government International Bond, 3.000%, 1/15/2034		2,288,453
	1,050,000	Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A		1,065,760

				8,248,642

		Philippines — 0.0%
	1,060,000	Philippine Government International Bond, 2.457%, 5/05/2030		1,008,325

		Poland — 0.2%
	26,400,000	Republic of Poland Government Bond, 1.250%, 10/25/2030, (PLN)(b)		4,626,244
	12,970,000	Republic of Poland Government Bond, 3.250%, 7/25/2025, (PLN)(b)		2,869,744

				7,495,988

		Portugal — 0.1%
	3,590,000	EDP Finance BV, 1.710%, 1/24/2028, 144A		3,172,196

		Qatar — 0.1%
	1,770,000	Ooredoo International Finance Ltd., 2.625%, 4/08/2031, 144A(b)		1,659,191
	1,600,000	Qatar Energy, 2.250%, 7/12/2031, 144A(b)		1,472,224

				3,131,415

		Romania — 0.1%
	29,970,000	Romania Government Bond, 4.150%, 10/24/2030, (RON)		5,845,868
	1,100,000	Romania Government International Bond, 2.000%, 4/14/2033, 144A, (EUR)		976,396

				6,822,264

		Singapore — 0.3%
	785,000	BOC Aviation Ltd., 2.750%, 9/18/2022, 144A		785,093
	1,450,000	BOC Aviation Ltd., 3.250%, 4/29/2025, 144A		1,427,423
	860,000	BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A		826,073
	345,000	DBS Group Holdings Ltd., (fixed rate to 12/11/2023, variable rate thereafter), 4.520%, 12/11/2028, 144A(b)		352,100

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Singapore — continued
	4,510,000	Republic of Singapore, 2.750%, 7/01/2023, (SGD)(b)	$	3,372,781
	10,055,000	Singapore Government Bond, 2.125%, 6/01/2026, (SGD)(b)		7,389,073

				14,152,543

		South Africa — 0.5%
	1,400,000	Anglo American Capital PLC, 2.625%, 9/10/2030, 144A		1,269,394
	1,400,000	Anglo American Capital PLC, 5.625%, 4/01/2030, 144A		1,543,069
	1,420,000	MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024		1,423,550
	930,000	MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A		932,325
	116,835,000	Republic of South Africa, Series 2035, 8.875%, 2/28/2035, (ZAR)		7,181,605
	39,185,000	Republic of South Africa, Series R213, 7.000%, 2/28/2031, (ZAR)		2,234,852
	7,585,000	South Africa Government International Bond, 5.750%, 9/30/2049		6,617,913

				21,202,708

		Spain — 0.4%
	2,300,000	Banco Bilbao Vizcaya Argentaria S.A., GMTN, 0.750%, 9/11/2022, (EUR)		2,555,570
	400,000	Banco Santander S.A., 3.125%, 2/23/2023		402,877
	2,000,000	Banco Santander S.A., (fixed rate to 9/14/2026, variable rate thereafter), 1.722%, 9/14/2027(b)		1,806,404
	600,000	CaixaBank S.A., (fixed rate to 4/17/2025, variable rate thereafter), EMTN, 2.250%, 4/17/2030, (EUR)		660,225
	500,000	CaixaBank S.A., (fixed rate to 7/14/2023, variable rate thereafter), EMTN, 2.750%, 7/14/2028, (EUR)		561,855
	3,700,000	Cellnex Telecom S.A., EMTN, 1.750%, 10/23/2030, (EUR)		3,574,615
	270,000	Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A		254,138
	700,000	Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR)		774,455
	430,000	Spain Government Bond, 1.600%, 4/30/2025, 144A, (EUR)		492,850
	2,525,000	Spain Government Bond, 1.950%, 7/30/2030, 144A, (EUR)(b)		2,962,324
	2,565,000	Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(b)		3,034,467

				17,079,780

		Supranationals — 0.3%
	1,495,000	Corporacion Andina de Fomento, 2.375%, 5/12/2023(b)		1,495,552
	1,115,000	Corporacion Andina de Fomento, 4.375%, 6/15/2022(b)		1,119,271
	3,360,000	European Investment Bank, 1.750%, 7/30/2024, 144A, (CAD)(b)		2,641,557
	2,560,000	International Bank for Reconstruction & Development, 0.250%, 12/23/2022, (SEK)(b)		271,836
	10,030,000	International Bank for Reconstruction & Development, 1.200%, 7/22/2026, (CAD)(b)		7,519,592
	16,750,000	Nordic Investment Bank, EMTN, 1.500%, 3/13/2025, (NOK)(b)		1,842,843

				14,890,651

		Sweden — 0.1%
$	1,675,000	Svenska Handelsbanken AB, 0.625%, 6/30/2023, 144A(b)	$	1,639,310
	38,000,000	Sweden Government Bond, 0.125%, 5/12/2031, 144A, (SEK)(b)		3,668,072

				5,307,382

		Switzerland — 0.1%
	930,000	Credit Suisse AG, 2.950%, 4/09/2025(b)		919,782
	3,855,000	Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A(b)		3,476,814
	1,375,000	Novartis Capital Corp., 2.000%, 2/14/2027(b)		1,323,299
	340,000	Willow No. 2 (Ireland) PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2025, variable rate thereafter), 4.250%, 10/01/2045		339,150

				6,059,045

		Taiwan — 0.0%
	1,925,000	TSMC Arizona Corp., 2.500%, 10/25/2031(b)		1,782,673

		Tanzania — 0.1%
	2,990,000	AngloGold Ashanti Holdings PLC, 3.375%, 11/01/2028		2,804,380
	985,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		973,968

				3,778,348

		Thailand — 0.1%
	1,570,000	Kasikornbank PCL, EMTN, 3.256%, 7/12/2023		1,576,904
	950,000	Thaioil Treasury Center Co. Ltd., 3.625%, 1/23/2023, 144A		951,700

				2,528,604

		Trinidad And Tobago — 0.0%
	415,000	Trinidad Generation Unlimited, 5.250%, 11/04/2027, 144A		414,573

		Turkey — 0.4%
	2,045,000	Aydem Yenilenebilir Enerji A/S, 7.750%, 2/02/2027, 144A		1,625,898
	2,250,000	TC Ziraat Bankasi A/S, 5.375%, 3/02/2026, 144A		2,074,815
	2,830,000	Turk Telekomunikasyon AS, 6.875%, 2/28/2025		2,782,897
	525,000	Turk Telekomunikasyon AS, 6.875%, 2/28/2025, 144A		516,262
	2,875,000	Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028		2,598,253
	6,970,000	Turkey Government International Bond, 5.250%, 3/13/2030		5,864,558
	1,345,000	Turkey Government International Bond, 7.625%, 4/26/2029		1,311,106

				16,773,789

		United Arab Emirates — 0.1%
	1,610,000	Abu Dhabi Crude Oil Pipeline LLC, 3.650%, 11/02/2029(b)		1,650,250
	1,295,000	Abu Dhabi Government International Bond, 3.125%, 4/16/2030, 144A(b)		1,322,324

				2,972,574

		United Kingdom — 0.3%
	95,000	Avon Products, Inc., 8.450%, 3/15/2043		109,962
	1,350,000	CK Hutchison International 19 Ltd., 3.625%, 4/11/2029, 144A(b)		1,364,876
	1,420,000	Diageo Capital PLC, 2.125%, 4/29/2032		1,280,856
	635,000	Lloyds Banking Group PLC, 4.050%, 8/16/2023(b)		646,304

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		United Kingdom — continued
$	1,125,000	Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025(b)	$	1,136,847
	1,395,000	Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030, 144A(b)		1,390,796
	1,190,000	NatWest Markets PLC, 0.800%, 8/12/2024, 144A(b)		1,120,225
	235,000	Network Rail Infrastructure Finance PLC, EMTN, 4.750%, 1/22/2024, (GBP)(b)		325,294
	955,000	Santander U.K. Group Holdings PLC, (fixed rate to 1/11/2027, variable rate thereafter), 2.469%, 1/11/2028(b)		888,205
	1,455,000	Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A		1,304,378
	2,200,000	Standard Chartered PLC, (fixed rate to 3/30/2025, variable rate thereafter), 3.971%, 3/30/2026, 144A		2,193,480
	250,000	Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR)		288,944
	1,035,000	United Kingdom Gilt, 2.750%, 9/07/2024, (GBP)(b)		1,403,188
	1,660,000	Vodafone Group PLC, 4.375%, 5/30/2028		1,735,939

				15,189,294

		United States — 11.5%
	165,000	AES Corp. (The), 3.950%, 7/15/2030, 144A		163,458
	315,000	Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(f)		288,225
	480,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		472,200
	1,145,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(f)		1,077,800
	965,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(f)		878,150
	435,000	AMC Networks, Inc., 4.250%, 2/15/2029		405,940
	1,364,551	American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025		1,329,318
	1,131,315	American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027		1,040,256
	311,216	American Airlines Pass Through Trust, Series 2017-1B, Class B, 4.950%, 8/15/2026		298,334
	407,061	American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		382,433
	220,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A		221,650
	255,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		254,044
	3,975,000	Apple, Inc., Series MPLE, 2.513%, 8/19/2024, (CAD)(b)		3,155,803
	260,000	Aptiv PLC, 1.600%, 9/15/2028, (EUR)		278,404
	2,630,000	Ares Capital Corp., 3.200%, 11/15/2031		2,228,809
	1,300,000	Ashland LLC, 3.375%, 9/01/2031, 144A		1,147,250
	945,000	Athene Global Funding, 1.608%, 6/29/2026, 144A		861,020
	2,410,000	Athene Global Funding, 1.716%, 1/07/2025, 144A		2,296,677
	980,000	Avantor Funding, Inc., 3.875%, 11/01/2029, 144A		921,200
	2,865,000	Bank of America Corp., (fixed rate to 9/15/2026, variable rate thereafter), 1.978%, 9/15/2027, (CAD)(b)		2,107,218
	675,000	Barings BDC, Inc., 3.300%, 11/23/2026, 144A		623,249
		United States — continued
$	950,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A	$	909,625
	7,660,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A		6,308,546
	205,000	Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A		159,696
	1,215,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		954,431
	4,007,000	Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A		3,118,889
	228,000	Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A		186,960
	370,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A		331,254
	1,140,000	Beazer Homes USA, Inc., 7.250%, 10/15/2029		1,146,099
	500,000	Block, Inc., 3.500%, 6/01/2031, 144A		457,500
	140,000	Boeing Co. (The), 3.100%, 5/01/2026		137,552
	25,000	Boeing Co. (The), 3.250%, 2/01/2035		22,322
	165,000	Boeing Co. (The), 3.550%, 3/01/2038		145,023
	25,000	Boeing Co. (The), 3.625%, 3/01/2048		21,215
	90,000	Boeing Co. (The), 3.750%, 2/01/2050		80,513
	635,000	Boeing Co. (The), 3.850%, 11/01/2048		556,751
	640,000	Boeing Co. (The), 3.950%, 8/01/2059		554,435
	875,000	BPR Trust, Series 2021-NRD, Class F, 1-month Term SOFR + 6.870%, 7.174%, 12/15/2023, 144A(g)		857,225
	690,000	Broadcom, Inc., 3.187%, 11/15/2036, 144A		598,981
	6,085,000	Carnival Corp., 5.750%, 3/01/2027, 144A		5,803,052
	2,125,000	Carnival Corp., 6.000%, 5/01/2029, 144A		2,002,472
	1,720,000	Carvana Co., 5.500%, 4/15/2027, 144A		1,535,100
	260,000	Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A		236,318
	12,500,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A		11,393,500
	3,810,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		3,308,966
	1,575,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A		1,466,703
	2,510,000	Centene Corp., 2.500%, 3/01/2031		2,215,150
	160,000	Centene Corp., 2.625%, 8/01/2031		142,400
	975,000	Centene Corp., 3.000%, 10/15/2030		895,508
	165,000	Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A		155,624
	175,000	Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A		164,281
	1,085,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062		877,399
	6,835,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061		5,949,692
	1,240,000	Clear Channel Outdoor Holdings, Inc., 5.125%, 8/15/2027, 144A		1,226,596
	5,315,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		4,616,476
	7,265,000	CommScope, Inc., 4.750%, 9/01/2029, 144A		6,691,138
	1,565,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		1,413,782
	200,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		178,350
	920,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		1,006,296
	19,925,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		16,663,078
	2,060,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		1,725,992
	595,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		577,483

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		United States — continued
$	495,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A	$	440,550
	490,000	Dana, Inc., 5.375%, 11/15/2027		486,938
	2,235,000	DCP Midstream Operating LP, 3.250%, 2/15/2032		2,011,500
	380,000	DCP Midstream Operating LP, 5.125%, 5/15/2029		390,826
	940,000	DH Europe Finance II S.a.r.l., 0.750%, 9/18/2031, (EUR)		952,879
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		55,045
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,570
	355,000	DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A		349,231
	705,000	DISH DBS Corp., 5.125%, 6/01/2029		600,371
	2,260,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		2,152,650
	3,035,000	DISH DBS Corp., 5.875%, 11/15/2024		3,027,412
	1,960,000	DISH DBS Corp., 7.750%, 7/01/2026		1,947,260
	160,000	Edison International, 4.950%, 4/15/2025		163,694
	235,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		325,863
	575,000	EnLink Midstream Partners LP, 5.450%, 6/01/2047		484,438
	280,000	EPR Properties, 3.600%, 11/15/2031		253,848
	70,000	EQT Corp., 3.125%, 5/15/2026, 144A		67,989
	1,555,000	EQT Corp., 3.625%, 5/15/2031, 144A		1,485,025
	515,000	EQT Corp., 3.900%, 10/01/2027		513,509
	360,000	EQT Corp., 5.000%, 1/15/2029		371,642
	115,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		108,963
	3,780,000	Expedia Group, Inc., 2.950%, 3/15/2031		3,499,696
	575,000	Ford Motor Co., 3.250%, 2/12/2032		513,550
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,303,186
	2,710,000	Freeport-McMoRan, Inc., 4.375%, 8/01/2028		2,722,547
	6,640,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		7,370,732
	3,005,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		3,365,119
	2,710,000	General Motors Co., 5.200%, 4/01/2045		2,742,998
	405,000	General Motors Co., 6.250%, 10/02/2043		459,190
	100,000	General Motors Financial Co., Inc., EMTN, 0.955%, 9/07/2023, (EUR)		110,997
	635,000	General Motors Financial Co., Inc., EMTN, 2.250%, 9/06/2024, (GBP)		823,198
	770,000	General Motors Financial of Canada Ltd., Series 5, 3.250%, 11/07/2023, (CAD)		615,630
	315,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		440,065
	460,000	GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032		417,358
	855,000	Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A		786,147
	975,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		1,004,367
	830,000	HCA, Inc., 3.500%, 9/01/2030		801,833
	220,000	HCA, Inc., 5.250%, 6/15/2049		240,935
	245,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		231,182
	660,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		613,173
	470,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		448,519
	3,065,000	Hyundai Capital America, 0.875%, 6/14/2024, 144A		2,893,385
	1,000,000	Hyundai Capital America, 2.650%, 2/10/2025		968,871
	835,000	Hyundai Capital America, 2.650%, 2/10/2025, 144A		809,008
	1,585,000	Hyundai Capital America, 2.750%, 9/27/2026, 144A		1,505,426
		United States — continued
$	1,395,000	Hyundai Capital America, 6.375%, 4/08/2030, 144A	$	1,588,743
	11,250,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		10,321,875
	1,180,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		1,158,082
	1,085,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		1,036,175
	620,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		613,025
	1,135,000	Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		1,080,372
	200,000	Jazz Securities DAC, 4.375%, 1/15/2029, 144A		193,750
	795,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A		737,947
	2,430,000	JELD-WEN, Inc., 4.625%, 12/15/2025, 144A		2,338,875
	1,875,000	JELD-WEN, Inc., 4.875%, 12/15/2027, 144A		1,795,313
	1,135,000	John Deere Capital Corp., MTN, 0.450%, 6/07/2024		1,080,985
	3,185,000	John Deere Financial, Inc., 1.340%, 9/08/2027, (CAD)(b)		2,266,735
	2,435,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		2,414,546
	1,970,000	Kraft Heinz Foods Co., 5.500%, 6/01/2050		2,236,994
	760,000	Level 3 Financing, Inc., 5.375%, 5/01/2025		767,220
	345,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		327,771
	60,000	Lumen Technologies, Inc., 5.625%, 4/01/2025		60,450
	870,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		819,975
	44,000	Masco Corp., 6.500%, 8/15/2032		51,851
	615,000	Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR)(b)		677,520
	2,355,000	Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A		2,455,087
	1,025,000	Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A		979,019
	435,000	Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A		413,663
	490,000	MSCI, Inc., 3.250%, 8/15/2033, 144A		440,418
	2,135,000	Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A		2,052,375
	4,605,000	Nationwide Mutual Insurance Co., 4.350%, 4/30/2050, 144A		4,581,571
	1,370,000	Navient Corp., 5.000%, 3/15/2027		1,304,925
	421,000	Navient Corp., MTN, 5.625%, 8/01/2033		354,482
	4,600,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		4,370,736
	615,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		607,331
	790,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		732,603
	835,000	Netflix, Inc., 4.875%, 4/15/2028		875,710
	2,620,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		2,794,754
	310,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		335,575
	280,000	Netflix, Inc., 5.875%, 11/15/2028		308,644
	530,000	Netflix, Inc., 6.375%, 5/15/2029		599,313
	20,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		25,101
	475,000	Novelis Corp., 4.750%, 1/30/2030, 144A		461,161
	1,865,000	NRG Energy, Inc., 3.625%, 2/15/2031, 144A		1,640,435
	455,000	NRG Energy, Inc., 3.875%, 2/15/2032, 144A		400,400
	300,000	Occidental Petroleum Corp., 4.500%, 7/15/2044		286,869
	2,355,000	Occidental Petroleum Corp., 6.625%, 9/01/2030		2,702,362
	1,795,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		2,302,087
	420,000	Old Republic International Corp., 4.875%, 10/01/2024		433,644

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		United States — continued
$	1,170,000	OneMain Finance Corp., 5.625%, 3/15/2023	$	1,191,440
	860,000	OneMain Finance Corp., 6.875%, 3/15/2025		904,307
	2,310,000	OneMain Finance Corp., 7.125%, 3/15/2026		2,469,136
	130,000	OneMain Finance Corp., 8.250%, 10/01/2023		136,976
	1,490,000	Oracle Corp., 3.950%, 3/25/2051		1,302,581
	1,000,000	Ovintiv, Inc., 6.500%, 8/15/2034		1,186,928
	45,000	Ovintiv, Inc., 6.500%, 2/01/2038		53,303
	230,000	Ovintiv, Inc., 6.625%, 8/15/2037		272,105
	30,000	Ovintiv, Inc., 7.200%, 11/01/2031		36,307
	115,000	Ovintiv, Inc., 7.375%, 11/01/2031		140,982
	130,000	Ovintiv, Inc., 8.125%, 9/15/2030		162,772
	8,630,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		8,410,201
	1,550,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		1,399,852
	2,120,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		2,092,471
	1,250,000	Pacific Gas & Electric Co., 3.500%, 8/01/2050		1,006,318
	1,645,000	Pacific Gas & Electric Co., 3.950%, 12/01/2047		1,361,078
	310,000	Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A		277,512
	1,205,000	Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A		1,053,483
	70,000	Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A		64,750
	1,060,000	Post Holdings, Inc., 4.500%, 9/15/2031, 144A		939,149
	2,165,000	Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR)(b)		2,230,277
	1,530,000	Prologis Euro Finance LLC, 0.375%, 2/06/2028, (EUR)(b)		1,570,156
	365,000	Prologis LP, 2.250%, 6/30/2029, (GBP)		463,750
	890,000	Range Resources Corp., 4.875%, 5/15/2025		900,828
	165,000	Range Resources Corp., 5.000%, 3/15/2023		166,155
	1,100,000	Realty Income Corp., EMTN, 1.625%, 12/15/2030, (GBP)		1,314,212
	5,190,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		4,765,173
	6,794,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029		6,208,697
	11,981,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		10,842,805
	4,435,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		3,884,616
	2,175,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		2,023,163
	4,130,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		3,937,170
	810,000	Santander Holdings USA, Inc., 3.450%, 6/02/2025		804,145
	1,605,000	SBA Communications Corp., 3.125%, 2/01/2029		1,459,940
	1,020,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		1,057,225
	525,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		549,938
	435,000	Sensata Technologies BV, 4.000%, 4/15/2029, 144A		414,220
	140,000	Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR)		153,900
	315,000	Southwestern Energy Co., 4.750%, 2/01/2032		314,606
	2,785,000	Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A		2,750,187
	410,000	T-Mobile USA, Inc., 2.400%, 3/15/2029, 144A		375,443
	735,000	T-Mobile USA, Inc., 2.700%, 3/15/2032, 144A		668,624
	6,900,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		6,562,797
		United States — continued
$	5,840,000	T-Mobile USA, Inc., 3.500%, 4/15/2031	$	5,495,323
	2,805,000	T-Mobile USA, Inc., 3.875%, 4/15/2030		2,815,769
	255,000	Tapestry, Inc., 3.050%, 3/15/2032		231,738
	420,000	Terminix Co. LLC (The), 7.450%, 8/15/2027		475,440
	100,000	Thermo Fisher Scientific, Inc., EMTN, 1.500%, 10/01/2039, (EUR)		99,179
	245,000	Thermo Fisher Scientific, Inc., EMTN, 1.875%, 10/01/2049, (EUR)		242,979
	90,000	Time Warner Cable LLC, 4.500%, 9/15/2042		83,243
	85,000	Time Warner Cable LLC, 5.500%, 9/01/2041		88,237
	400,000	TopBuild Corp., 4.125%, 2/15/2032, 144A		362,500
	1,635,000	Toyota Motor Credit Corp., MTN, 2.650%, 4/12/2022(b)		1,635,547
	635,000	TransDigm, Inc., 5.500%, 11/15/2027		630,238
	50,000	TransDigm, Inc., 7.500%, 3/15/2027		51,500
	11,330,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		10,506,536
	615,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		571,950
	75,000	Travel & Leisure Co., 6.000%, 4/01/2027		77,250
	90,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		93,825
	5,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		5,194
	775,000	TriNet Group, Inc., 3.500%, 3/01/2029, 144A		712,031
	63,766	U.S. Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		65,885
	251,111	U.S. Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		241,945
	4,495,867	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2022(b)(h)		4,513,078
	4,538,629	U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2027(b)(h)		4,833,906
	12,860,293	U.S. Treasury Inflation Indexed Note, 0.625%, 4/15/2023(b)(h)		13,408,363
	32,370,000	U.S. Treasury Note, 0.125%, 1/31/2023(b)(i)		31,986,871
	10,300,000	U.S. Treasury Note, 0.125%, 3/31/2023(b)		10,139,465
	7,860,000	U.S. Treasury Note, 0.125%, 4/30/2023(b)		7,721,222
	14,775,000	U.S. Treasury Note, 0.500%, 11/30/2023(b)		14,361,185
	2,910,000	U.S. Treasury Note, 0.875%, 1/31/2024		2,835,886
	19,120,000	U.S. Treasury Note, 0.875%, 6/30/2026(b)		17,857,781
	4,495,000	U.S. Treasury Note, 1.625%, 10/31/2026(b)		4,327,140
	14,060,000	U.S. Treasury Note, 1.625%, 8/15/2029(b)		13,333,384
	8,930,000	U.S. Treasury Note, 1.750%, 3/15/2025		8,740,935
	10,235,000	U.S. Treasury Note, 1.750%, 11/15/2029(b)(i)		9,792,816
	4,700,000	U.S. Treasury Note, 2.875%, 5/15/2028(b)		4,809,605
	13,090,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		12,271,875
	10,745,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		11,109,685
	1,080,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		1,151,561
	335,278	United Airlines Pass Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027		313,280
	2,205,179	United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029		2,257,463
	770,000	United Rentals North America, Inc., 3.750%, 1/15/2032		718,025
	710,000	United Rentals North America, Inc., 3.875%, 2/15/2031		669,175
	3,095,000	Verizon Communications, Inc., Series MPLE, 2.500%, 5/16/2030, (CAD)(b)		2,230,559
	130,000	Western Digital Corp., 2.850%, 2/01/2029		118,767
	90,000	Western Digital Corp., 3.100%, 2/01/2032		80,583
	360,000	Western Midstream Operating LP, 4.550%, 2/01/2030		358,200

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		United States — continued
$	820,000	Western Midstream Operating LP, 5.300%, 3/01/2048	$	811,800
	150,000	Western Midstream Operating LP, 5.450%, 4/01/2044		152,064
	115,000	Western Midstream Operating LP, 5.500%, 8/15/2048		113,563
	475,000	Western Midstream Operating LP, 5.750%, 2/01/2050		463,125
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		69,573
	89,000	Weyerhaeuser Co., 7.375%, 3/15/2032		113,459
	1,595,000	Yum! Brands, Inc., 4.625%, 1/31/2032		1,542,828

				507,708,804

		Uruguay — 0.1%
	1,415,000	Uruguay Government International Bond, 4.375%, 1/23/2031		1,541,911
	86,955,000	Uruguay Government International Bond, 8.250%, 5/21/2031, (UYU)		2,015,749

				3,557,660

		Total Non-Convertible Bonds (Identified Cost $1,343,258,370)		1,275,338,027


	Convertible Bonds — 2.3%
		United States — 2.3%
	3,485,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		3,483,257
	18,255,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		18,278,467
	5,315,000	DISH Network Corp., Zero Coupon, 0.000%, 12/15/2025(e)		5,156,454
	545,000	DISH Network Corp., 2.375%, 3/15/2024		509,575
	24,745,000	DISH Network Corp., 3.375%, 8/15/2026		22,258,127
	805,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%-0.979%, 4/01/2026, 144A(j)		748,730
	305,000	JetBlue Airways Corp., 0.500%, 4/01/2026, 144A		283,784
	5,320,000	Livongo Health, Inc., 0.875%, 6/01/2025		5,389,160
	6,630,000	NCL Corp. Ltd., 1.125%, 2/15/2027, 144A		6,072,616
	550,000	Nutanix, Inc., 0.250%, 10/01/2027, 144A		458,219
	575,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-1.146%, 2/15/2026(j)		480,401
	230,000	Penn National Gaming, Inc., 2.750%, 5/15/2026		462,530
	8,945,000	Southwest Airlines Co., 1.250%, 5/01/2025(b)		12,138,365
	1,340,000	Splunk, Inc., 1.125%, 6/15/2027		1,279,700
	17,320,000	Teladoc Health, Inc., 1.250%, 6/01/2027		14,609,420
	645,000	Twitter, Inc., Zero Coupon, 0.000%-1.483%, 3/15/2026(j)		541,477
	7,528,000	Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(j)		6,747,873
	120,000	Zillow Group, Inc., 1.375%, 9/01/2026		158,775
	1,610,000	Zynga, Inc., Zero Coupon, 0.456%-1.992%, 12/15/2026(j)		1,638,980

		Total Convertible Bonds (Identified Cost $109,551,487)		100,695,910


	Municipals — 0.0%
		United States — 0.0%
	125,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $124,989)		126,772

		Total Bonds and Notes (Identified Cost $1,452,934,846)		1,376,160,709

	Senior Loans — 0.0%
		United States — 0.0%
$	255,310	Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 4/29/2022(g)(k) (Identified Cost $254,192)	$	254,131


Shares
	Preferred Stocks — 0.2%
	Convertible Preferred Stocks — 0.2%
		United States — 0.2%
	5,415	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(c)(d)		6,037,725
	38,952	El Paso Energy Capital Trust I, 4.750%		1,939,810

				7,977,535

		Total Convertible Preferred Stocks (Identified Cost $7,306,436)		7,977,535


		Total Preferred Stocks (Identified Cost $7,306,436)		7,977,535


Principal Amount (‡)
	Short-Term Investments — 0.6%
$	24,010,009	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $24,010,009 on 4/01/2022 collateralized by $24,578,600 U.S. Treasury Note, 2.375% due 3/31/2029 valued at $24,490,265 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $24,010,009)		24,010,009


		Total Investments — 99.4% (Identified Cost $3,671,901,796)		4,367,913,932
		Other assets less liabilities — 0.6%		27,111,313

		Net Assets — 100.0%	$	4,395,025,245


	(‡)	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.
	(a)	Non-income producing security.
	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(c)	Illiquid security.
	(d)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2022, the value of these securities amounted to $15,861,966 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(f)	Perpetual bond with no specified maturity date.
	(g)	Variable rate security. Rate as of March 31, 2022 is disclosed.
	(h)	Treasury Inflation Protected Security (TIPS).

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)


	(i)			Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(j)			Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(k)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.50%, to which the spread is added.

	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, 2022, the value of Rule 144A holdings amounted to $387,031,653 or 8.8% of net assets.
	CPI			Consumer Price Index
	EMTN			Euro Medium Term Note
	GMTN			Global Medium Term Note
	MTN			Medium Term Note
	SOFR			Secured Overnight Financing Rate

	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
	ILS			Israeli Shekel
	INR			Indian Rupee
	JPY			Japanese Yen
	KRW			South Korean Won
	MXN			Mexican Peso
	MYR			Malaysian Ringgit
	NOK			Norwegian Krone
	NZD			New Zealand Dollar
	PLN			Polish Zloty
	RON			Romanian Leu
	SEK			Swedish Krona
	SGD			Singapore Dollar
	UYU			Uruguayan Peso
	ZAR			South African Rand

At March 31, 2022, 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.		6/15/2022	KRW		B	5,850,000,000	$	4,837,429	$	4,822,895	$	(14,534	)
Bank of America, N.A.		6/15/2022	MXN		S	256,059,000		11,881,812		12,710,452		(828,640	)
Credit Suisse International		6/15/2022	CAD		B	12,904,000		10,214,677		10,320,046		105,369
Credit Suisse International		6/15/2022	CAD		B	16,382,000		13,104,353		13,101,597		(2,756	)
Credit Suisse International		6/15/2022	CAD		S	144,460,000		112,991,080		115,532,698		(2,541,618	)
Credit Suisse International		6/15/2022	COP		S	38,844,665,000		10,247,765		10,193,840		53,925
Credit Suisse International		6/15/2022	GBP		B	12,371,000		16,284,826		16,246,450		(38,376	)
Credit Suisse International		6/15/2022	JPY		B	11,200,164,000		96,639,697		92,170,808		(4,468,889	)
HSBC Bank USA		6/15/2022	AUD		B	18,075,000		13,251,234		13,541,828		290,594
Morgan Stanley Capital Services, Inc.		6/15/2022	EUR		B	147,481,000		161,043,353		163,591,496		2,548,143
Morgan Stanley Capital Services, Inc.		6/15/2022	NZD		S	6,003,000		4,103,230		4,155,347		(52,117	)
UBS AG		6/15/2022	IDR		S	105,333,420,000		7,278,429		7,312,002		(33,573	)
UBS AG		6/15/2022	SEK		B	7,350,000		761,805		783,094		21,289

Total											$	(4,961,183	)

At March 31, 2022, 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)
Morgan Stanley Capital Services, Inc.		6/15/2022	NOK	30,959,000		EUR	3,139,922	$	3,482,920	$	(31,919	)

At March 31, 2022, 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		6/21/2022	59	$	8,249,515	$	7,992,656	$	(256,859	)

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Global Allocation Fund – (continued)

Industry Summary at March 31, 2022 (Unaudited)


Treasuries	10.8	%
Semiconductors & Semiconductor Equipment	8.8
Life Sciences Tools & Services	7.2
IT Services	7.1
Software	5.0
Interactive Media & Services	4.9
Chemicals	4.7
Capital Markets	4.1
Machinery	3.7
Internet & Direct Marketing Retail	3.4
Hotels, Restaurants & Leisure	3.3
Banking	2.7
Health Care Providers & Services	2.7
Industrial Conglomerates	2.2
Food & Staples Retailing	2.1
Cable Satellite	2.0
Other Investments, less than 2% each	24.1
Short-Term Investments	0.6

Total Investments	99.4
Other assets less liabilities (including forward foreign currency and futures contracts)	0.6

Net Assets	100.0	%

Currency Exposure Summary at March 31, 2022 (Unaudited)


United States Dollar	76.3	%
Euro	6.7
Canadian Dollar	3.5
Other, less than 2% each	12.9

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.

39 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)
	Common Stocks — 99.3% of Net Assets
		Aerospace & Defense — 4.5%
	3,071,410	Boeing Co. (The)(a)	$	588,175,015

		Air Freight & Logistics — 1.5%
	1,898,081	Expeditors International of Washington, Inc.		195,806,036

		Automobiles — 3.2%
	388,556	Tesla, Inc.(a)		418,707,946

		Beverages — 2.7%
	4,375,499	Monster Beverage Corp.(a)		349,602,370

		Biotechnology — 6.3%
	605,426	Regeneron Pharmaceuticals, Inc.(a)		422,841,627
	1,572,840	Vertex Pharmaceuticals, Inc.(a)		410,464,055

				833,305,682

		Capital Markets — 3.0%
	509,416	FactSet Research Systems, Inc.		221,162,956
	2,923,179	SEI Investments Co.		176,004,608

				397,167,564

		Entertainment — 5.3%
	717,328	Netflix, Inc.(a)		268,703,895
	3,170,424	Walt Disney Co. (The)(a)		434,855,356

				703,559,251

		Health Care Equipment & Supplies — 1.3%
	554,999	Intuitive Surgical, Inc.(a)		167,432,098

		Hotels, Restaurants & Leisure — 3.8%
	2,845,065	Starbucks Corp.		258,815,563
	1,912,829	Yum China Holdings, Inc.		79,458,917
	1,351,857	Yum! Brands, Inc.		160,235,610

				498,510,090

		Interactive Media & Services — 12.0%
	185,888	Alphabet, Inc., Class A(a)		517,019,589
	171,234	Alphabet, Inc., Class C(a)		478,254,850
	2,640,759	Meta Platforms, Inc., Class A(a)		587,199,171

				1,582,473,610

		Internet & Direct Marketing Retail — 7.9%
	1,604,893	Alibaba Group Holding Ltd., Sponsored ADR(a)		174,612,358
	265,105	Amazon.com, Inc.(a)		864,229,045

				1,038,841,403

		IT Services — 10.2%
	1,474,684	Block, Inc.(a)		199,967,151
	1,699,891	PayPal Holdings, Inc.(a)		196,592,394
	284,152	Shopify, Inc., Class A(a)		192,075,386
	3,392,182	Visa, Inc., Class A		752,284,202

				1,340,919,133

		Life Sciences Tools & Services — 2.3%
	872,283	Illumina, Inc.(a)		304,775,680

		Machinery — 2.6%
	840,222	Deere & Co.		349,078,632

		Pharmaceuticals — 6.6%
	4,229,234	Novartis AG, Sponsored ADR		371,115,284
	1,398,056	Novo Nordisk A/S, Sponsored ADR		155,254,119
	6,936,642	Roche Holding AG, Sponsored ADR		342,739,481

				869,108,884

		Semiconductors & Semiconductor Equipment — 9.1%
	3,337,897	NVIDIA Corp.		910,778,575
	1,837,155	QUALCOMM, Inc.		280,754,027

				1,191,532,602

		Software — 17.0%
	1,937,029	Autodesk, Inc.(a)	$	415,202,166
	2,133,216	Microsoft Corp.		657,691,825
	6,552,562	Oracle Corp.		542,093,454
	2,121,490	salesforce.com, inc.(a)		450,434,757
	699,721	Workday, Inc., Class A(a)		167,555,191

				2,232,977,393

		Total Common Stocks (Identified Cost $7,588,241,648)		13,061,973,389


Principal Amount
	Short-Term Investments — 0.6%
$	84,444,321	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $84,444,321 on 4/01/2022 collateralized by $86,443,900 U.S. Treasury Note, 2.375% due 3/31/2029 valued at $86,133,221 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $84,444,321)		84,444,321


		Total Investments — 99.9% (Identified Cost $7,672,685,969)		13,146,417,710
		Other assets less liabilities — 0.1%		8,630,160

		Net Assets — 100.0%	$	13,155,047,870


	(†)	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, 2022 (Unaudited)


Software	17.0	%
Interactive Media & Services	12.0
IT Services	10.2
Semiconductors & Semiconductor Equipment	9.1
Internet & Direct Marketing Retail	7.9
Pharmaceuticals	6.6
Biotechnology	6.3
Entertainment	5.3
Aerospace & Defense	4.5
Hotels, Restaurants & Leisure	3.8
Automobiles	3.2
Capital Markets	3.0
Beverages	2.7
Machinery	2.6
Life Sciences Tools & Services	2.3
Other Investments, less than 2% each	2.8
Short-Term Investments	0.6

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 96.1% of Net Assets
		ABS Car Loan — 8.8%
$	291,216	American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A	$	291,499
	24,916	American Credit Acceptance Receivables Trust, Series 2020-2, Class B, 2.480%, 9/13/2024, 144A		24,926
	46,200	American Credit Acceptance Receivables Trust, Series 2020-3, Class B, 1.150%, 8/13/2024, 144A		46,186
	240,000	American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A		237,347
	385,000	American Credit Acceptance Receivables Trust, Series 2021-3, Class B, 0.660%, 2/13/2026, 144A		377,844
	180,000	American Credit Acceptance Receivables Trust, Series 2022-1, Class B, 1.680%, 9/14/2026, 144A		175,514
	112,854	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024		113,054
	480,000	AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024		481,510
	117,991	AmeriCredit Automobile Receivables Trust, Series 2019-3, Class A3, 2.060%, 4/18/2024		118,095
	156,075	AmeriCredit Automobile Receivables Trust, Series 2020-1, Class A3, 1.110%, 8/19/2024		155,875
	98,680	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024		98,143
	265,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B, 0.970%, 2/18/2026		260,312
	215,000	AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027		205,642
	520,000	AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027		486,500
	140,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		140,450
	118,564	Bank of The West Auto Trust, Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A		118,854
	225,201	Capital One Prime Auto Receivables Trust, Series 2019-2, Class A3, 1.920%, 5/15/2024		225,463
	306,686	CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024		307,490
	415,380	CarMax Auto Owner Trust, Series 2020-3, Class A3, 0.620%, 3/17/2025		411,851
	196,603	Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028		192,487
	305,000	Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028		296,257
	1,075,000	Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027		1,034,047
	332,995	Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.380%, 11/15/2028, 144A		333,609
	377,385	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.010%, 2/15/2029, 144A		377,256
	585,000	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.390%, 4/16/2029, 144A		577,680
	315,000	Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A, 1.370%, 7/16/2029, 144A		311,800
	265,000	Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000%, 5/15/2030, 144A		255,728
	405,000	Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025		401,425
	585,000	Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025		570,481
	465,000	Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026		451,362
	71,675	DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A		71,827
		ABS Car Loan — continued
$	320,000	DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A	$	320,212
	30,000	DT Auto Owner Trust, Series 2021-1A, Class B, 0.620%, 9/15/2025, 144A		29,583
	300,000	DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A		294,055
	410,000	DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027, 144A		390,951
	440,000	Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A		442,156
	251,980	Exeter Automobile Receivables Trust, Series 2021-1A, Class B, 0.500%, 2/18/2025		251,305
	330,000	Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025		324,913
	715,000	Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026		692,221
	64,947	Flagship Credit Auto Trust, Series 2020-1, Class A, 1.900%, 8/15/2024, 144A		64,946
	915,000	Flagship Credit Auto Trust, Series 2020-1, Class B, 2.050%, 2/17/2025, 144A		914,182
	290,000	Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A		277,541
	1,647,576	Flagship Credit Auto Trust, Series 2022-1, Class A, 1.790%, 10/15/2026, 144A(a)		1,628,733
	595,000	Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031, 144A		592,925
	107,871	Ford Credit Auto Owner Trust, Series 2020-A, Class A3, 1.040%, 8/15/2024		107,434
	589,991	Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024		585,045
	570,000	Ford Credit Auto Owner Trust, Series 2021-1, Class A, 1.370%, 10/17/2033, 144A		529,105
	410,000	Foursight Capital Automobile Receivables Trust, Series 2022-1, Class A3, 1.830%, 12/15/2026, 144A		397,042
	189,757	GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A		190,094
	29,042	GLS Auto Receivables Issuer Trust, Series 2020-2A, Class A, 1.580%, 8/15/2024, 144A		28,989
	184,462	GLS Auto Receivables Issuer Trust, Series 2020-3A, Class B, 1.380%, 8/15/2024, 144A		184,366
	265,000	GLS Auto Receivables Issuer Trust, Series 2020-4A, Class C, 1.140%, 11/17/2025, 144A		260,634
	995,000	GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026, 144A		964,889
	340,000	GLS Auto Receivables Trust, Series 2021-2A, Class B, 0.770%, 9/15/2025, 144A		333,591
	96,824	GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.800%, 7/20/2023		96,662
	129,445	GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024		129,778
	98,644	GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024		98,326
	180,000	GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A, 0.680%, 8/15/2025, 144A		175,227
	347,438	Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024		344,909
	152,428	Hyundai Auto Receivables Trust, Series 2019-B, Class A3, 1.940%, 2/15/2024		152,618
	146,614	Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024		146,028
	232,400	Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3, 0.550%, 2/18/2025		230,352
	865,000	NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A		859,293

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Car Loan — continued
$	695,000	Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A	$	688,265
	430,000	Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028, 144A		392,638
	210,000	Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A		210,963
	149,956	Santander Consumer Auto Receivables Trust, Series 2020-BA, Class A3, 0.460%, 8/15/2024, 144A		149,470
	81,602	Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024		81,713
	168,638	Santander Drive Auto Receivables Trust, Series 2020-2, Class B, 0.960%, 11/15/2024		168,555
	290,000	Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026		287,412
	170,000	Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026		168,071
	460,000	Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026		447,065
	745,000	Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027		722,889
	530,000	Santander Drive Auto Receivables Trust, Series 2021-4, Class B, 0.880%, 6/15/2026		511,705
	440,000	Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033, 144A		416,029
	150,500	Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, 1.360%, 8/15/2024		149,922
	185,000	United Auto Credit Securitization Trust, Series 2022-1, Class B, 2.100%, 3/10/2025, 144A		182,728
	69,206	Westlake Automobile Receivables Trust, Series 2020-2A, Class A2A, 0.930%, 2/15/2024, 144A		69,172
	400,000	Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A		397,340
	590,000	Westlake Automobile Receivables Trust, Series 2021-1A, Class B, 0.640%, 3/16/2026, 144A		578,887
	270,000	Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A		262,177
	1,050,000	Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027, 144A		1,009,640
	556,778	World Omni Auto Receivables Trust, Series 2020-B, Class A3, 0.630%, 5/15/2025		550,684
	310,000	World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025		307,673
	360,000	World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027		340,813

				29,282,430

		ABS Credit Card — 0.7%
	925,000	Barclays Dryrock Issuance Trust, Series 2019-1, Class A, 1.960%, 5/15/2025		926,965
	960,000	Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026, 144A		926,274
	585,000	World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026		586,578

				2,439,817

		ABS Home Equity — 0.0%
	2,005	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		2,028

		ABS Other — 1.2%
	395,000	Affirm Asset Securitization Trust, Series 2021-B, Class A, 1.030%, 8/17/2026, 144A		377,436
	480,598	Aqua Finance Trust, Series 2021-A, Class A, 1.540%, 7/17/2046, 144A		457,940
		ABS Other — continued
$	188,585	Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032, 144A	$	187,076
	162,960	CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025		161,721
	69,267	Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A		69,423
	691,985	Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A		678,837
	204,947	Kubota Credit Owner Trust, Series 2020-1A, Class A3, 1.960%, 3/15/2024, 144A		204,628
	463,136	Marlette Funding Trust, Series 2021-3A, Class A, 0.650%, 12/15/2031, 144A		457,122
	91,129	MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037, 144A		88,399
	69,458	OneMain Financial Issuance Trust, Series 2018-1A, Class A, 3.300%, 3/14/2029, 144A		69,470
	238,761	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		202,288
	370,000	SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029, 144A		359,818
	127,859	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037, 144A		123,025
	601,453	Verizon Owner Trust, Series 2019-B, Class A1A, 2.330%, 12/20/2023		603,005
	7,105	Wheels SPV 2 LLC, Series 2019-1A, Class A2, 2.300%, 5/22/2028, 144A		7,109

				4,047,297

		ABS Student Loan — 0.1%
	128,368	Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033		126,614
	72,323	Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069, 144A		69,934
	100,214	Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A		97,039
	18,021	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A		18,054
	37,500	SoFi Professional Loan Program LLC, Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A		37,565

				349,206

		ABS Whole Business — 0.2%
	516,275	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A		515,800

		Aerospace & Defense — 0.0%
	29,000	Raytheon Technologies Corp., 3.650%, 8/16/2023		29,375

		Agency Commercial Mortgage-Backed Securities — 0.7%
	491,260	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)		496,128
	701,647	FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024		701,053
	1,175,000	FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027(a)		1,165,320
	53,861	FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025		52,892

				2,415,393

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Automotive — 2.7%
$	1,205,000	American Honda Finance Corp., MTN, 2.250%, 1/12/2029	$	1,123,618
	145,000	American Honda Finance Corp., MTN, 3.625%, 10/10/2023		146,950
	470,000	Aptiv PLC/Aptiv Corp., 3.250%, 3/01/2032		445,465
	160,000	Daimler Finance North America LLC, 3.350%, 2/22/2023, 144A		161,481
	380,000	Daimler Trucks Finance North America LLC, 2.375%, 12/14/2028, 144A		345,951
	725,000	Daimler Trucks Finance North America LLC, 3.650%, 4/07/2027, 144A		723,557
	665,000	Denso Corp., 1.239%, 9/16/2026, 144A		613,842
	360,000	General Motors Financial Co., Inc., 4.150%, 6/19/2023		365,231
	295,000	Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A		289,989
	645,000	Hyundai Capital America, 2.100%, 9/15/2028, 144A		568,416
	195,000	Hyundai Capital America, 2.375%, 2/10/2023, 144A		194,364
	95,000	Hyundai Capital America, 3.000%, 6/20/2022, 144A		95,208
	240,000	Kia Corp., 1.000%, 4/16/2024, 144A		229,219
	275,000	Nissan Motor Acceptance Co. LLC, 3.450%, 3/15/2023, 144A		276,219
	205,000	PACCAR Financial Corp., 2.000%, 2/04/2027		196,876
	105,000	PACCAR Financial Corp., MTN, 0.800%, 6/08/2023		103,288
	160,000	PACCAR Financial Corp., MTN, 1.800%, 2/06/2025		155,131
	955,000	PACCAR Financial Corp., MTN, 1.900%, 2/07/2023		953,665
	860,000	Toyota Motor Credit Corp., 3.050%, 3/22/2027		858,565
	250,000	Toyota Motor Credit Corp., MTN, 1.150%, 5/26/2022		249,938
	480,000	Toyota Motor Credit Corp., MTN, 1.900%, 4/06/2028		445,505
	275,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A		274,137
	290,000	Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A		295,401

				9,112,016

		Banking — 18.7%
	800,000	ABN AMRO Bank NV, (fixed rate to 12/13/2028, variable rate thereafter), 2.470%, 12/13/2029, 144A		731,197
	1,165,000	Ally Financial, Inc., 3.050%, 6/05/2023		1,169,253
	855,000	American Express Co., 2.550%, 3/04/2027		831,337
	525,000	ANZ New Zealand International Ltd., 2.166%, 2/18/2025, 144A		511,371
	1,190,000	Australia & New Zealand Banking Group Ltd., MTN, 2.050%, 11/21/2022		1,192,494
	800,000	Banco Bilbao Vizcaya Argentaria S.A., 0.875%, 9/18/2023		777,236
	600,000	Banco Santander S.A., (fixed rate to 3/24/2027, variable rate thereafter), 4.175%, 3/24/2028		603,043
	840,000	Bank of America Corp., (fixed rate to 4/02/2025, variable rate thereafter), MTN, 3.384%, 4/02/2026		838,869
	395,000	Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A		402,575
	910,000	Bank of Ireland Group PLC, (fixed rate to 9/30/2026, variable rate thereafter), 2.029%, 9/30/2027, 144A		824,160
	1,210,000	Bank of Montreal, MTN, 1.500%, 1/10/2025		1,159,187
	515,000	Bank of Montreal, MTN, 2.650%, 3/08/2027		498,047
	1,055,000	Bank of New York Mellon Corp. (The), 2.050%, 1/26/2027		1,016,470
	655,000	Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025		631,380
	295,000	Bank of New York Mellon Corp. (The), MTN, 1.800%, 7/28/2031		260,952
	635,000	Bank of New Zealand, 2.000%, 2/21/2025, 144A		613,878
	690,000	Bank of New Zealand, 2.285%, 1/27/2027, 144A		658,433
		Banking — continued
$	870,000	Bank of Nova Scotia (The), 2.000%, 11/15/2022	$	871,514
	945,000	Bank of Nova Scotia (The), 2.450%, 2/02/2032		869,606
	200,000	Banque Federative du Credit Mutuel S.A., 2.375%, 11/21/2024, 144A		194,720
	460,000	Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A		461,841
	485,000	Banque Federative du Credit Mutuel S.A., 3.750%, 7/20/2023, 144A		491,243
	485,000	Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024		492,414
	480,000	BNP Paribas S.A., (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A		451,730
	1,600,000	Canadian Imperial Bank of Commerce, 1.000%, 10/18/2024		1,519,731
	360,000	Canadian Imperial Bank of Commerce, 3.450%, 4/07/2027		359,285
	245,000	Capital One Financial Corp., (fixed rate to 11/02/2031, variable rate thereafter), 2.618%, 11/02/2032		220,613
	1,015,000	Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024		984,267
	135,000	Capital One Financial Corp., (fixed rate to 3/03/2025, variable rate thereafter), 2.636%, 3/03/2026		132,098
	255,000	Capital One Financial Corp., (fixed rate to 7/29/2031, variable rate thereafter), 2.359%, 7/29/2032		219,416
	880,000	Citigroup, Inc., (fixed rate to 2/24/2027, variable rate thereafter), 3.070%, 2/24/2028		857,084
	510,000	Citigroup, Inc., (fixed rate to 4/08/2025, variable rate thereafter), 3.106%, 4/08/2026		505,665
	230,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025		219,254
	225,000	Comerica, Inc., 3.700%, 7/31/2023		227,986
	880,000	Commonwealth Bank of Australia, 2.552%, 3/14/2027, 144A		853,462
	1,380,000	Cooperatieve Rabobank U.A., (fixed rate to 12/15/2026, variable rate thereafter), 1.980%, 12/15/2027, 144A		1,280,896
	750,000	Credit Agricole S.A., (fixed rate to 6/16/2025, variable rate thereafter), 1.907%, 6/16/2026, 144A		707,970
	575,000	Credit Suisse AG, 1.250%, 8/07/2026		524,340
	500,000	Danske Bank A/S, 3.875%, 9/12/2023, 144A		504,641
	800,000	Danske Bank A/S, (fixed rate to 9/10/2024, variable rate thereafter), 0.976%, 9/10/2025, 144A		749,709
	390,000	Danske Bank AS, (fixed rate to 3/28/2024, variable rate thereafter), 3.773%, 3/28/2025, 144A		390,895
	1,365,000	Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028		1,259,272
	205,000	DNB Bank ASA, 2.150%, 12/02/2022, 144A		205,418
	935,000	DNB Bank ASA, (fixed rate to 3/28/2024, variable rate thereafter), 2.968%, 3/28/2025, 144A		934,067
	590,000	DNB Bank ASA, (fixed rate to 9/16/2025, variable rate thereafter), 1.127%, 9/16/2026, 144A		539,614
	980,000	Goldman Sachs Group, Inc. (The), (fixed rate to 10/21/2026, variable rate thereafter), 1.948%, 10/21/2027		911,184
	480,000	Goldman Sachs Group, Inc. (The), (fixed rate to 3/09/2026, variable rate thereafter), 1.431%, 3/09/2027		442,320
	1,205,000	Goldman Sachs Group, Inc. (The), (fixed rate to 3/15/2027, variable rate thereafter), 3.615%, 3/15/2028		1,205,060

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Banking — continued
$	1,335,000	HSBC Holdings PLC, (fixed rate to 3/10/2025, variable rate thereafter), 2.999%, 3/10/2026	$	1,308,910
	395,000	HSBC Holdings PLC, (fixed rate to 8/17/2028, variable rate thereafter), 2.206%, 8/17/2029		355,289
	940,000	ING Groep NV, (fixed rate to 3/28/2027, variable rate thereafter), 4.017%, 3/28/2028		945,166
	825,000	JPMorgan Chase & Co., (fixed rate to 2/24/2027, variable rate thereafter), 2.947%, 2/24/2028		805,098
	535,000	JPMorgan Chase & Co., (fixed rate to 4/01/2022, variable rate thereafter), 3.207%, 4/01/2023		535,000
	1,070,000	JPMorgan Chase & Co., (fixed rate to 6/01/2028, variable rate thereafter), 2.069%, 6/01/2029		986,064
	495,000	Lloyds Banking Group PLC, 4.050%, 8/16/2023		503,812
	520,000	Lloyds Banking Group PLC, (fixed rate to 3/18/2025, variable rate thereafter), 3.511%, 3/18/2026		517,452
	375,000	Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025		378,949
	1,195,000	Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A		1,195,199
	65,000	Macquarie Bank Ltd., 2.300%, 1/22/2025, 144A		63,167
	1,170,000	Macquarie Group Ltd., (fixed rate to 6/21/2027, variable rate thereafter), 4.098%, 6/21/2028, 144A		1,165,207
	885,000	Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter), 2.475%, 1/21/2028		843,691
	2,005,000	National Australia Bank Ltd., 1.388%, 1/12/2025, 144A		1,919,840
	620,000	Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A		623,344
	1,215,000	NatWest Markets PLC, 1.600%, 9/29/2026, 144A		1,112,672
	660,000	NatWest Markets PLC, 3.625%, 9/29/2022, 144A		665,282
	1,305,000	Nordea Bank Abp, 1.500%, 9/30/2026, 144A		1,198,102
	210,000	Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032		205,375
	355,000	Royal Bank of Canada, 0.650%, 7/29/2024		337,580
	1,175,000	Royal Bank of Canada, GMTN, 1.600%, 1/21/2025		1,129,393
	690,000	Santander Holdings USA, Inc., 3.450%, 6/02/2025		685,012
	395,000	Santander U.K. Group Holdings PLC, (fixed rate to 1/11/2027, variable rate thereafter), 2.469%, 1/11/2028		367,373
	265,000	Societe Generale S.A., (fixed rate to 1/21/2032, variable rate thereafter), 3.337%, 1/21/2033, 144A		243,749
	390,000	Standard Chartered PLC, (fixed rate to 1/12/2027, variable rate thereafter), 2.608%, 1/12/2028, 144A		364,806
	465,000	Standard Chartered PLC, (fixed rate to 3/30/2025, variable rate thereafter), 3.971%, 3/30/2026, 144A		463,622
	375,000	Standard Chartered PLC, (fixed rate to 6/29/2031, variable rate thereafter), 2.678%, 6/29/2032, 144A		330,007
	335,000	State Street Corp., (fixed rate to 11/18/2026, variable rate thereafter), 1.684%, 11/18/2027		314,301
	320,000	State Street Corp., (fixed rate to 2/07/2032, variable rate thereafter), 2.623%, 2/07/2033		301,113
	305,000	State Street Corp., (fixed rate to 5/15/2022, variable rate thereafter), 2.653%, 5/15/2023		305,069
	1,015,000	Sumitomo Mitsui Financial Group, Inc., 1.902%, 9/17/2028		908,335
	235,000	Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022		235,964
	840,000	Sumitomo Mitsui Trust Bank Ltd., 0.850%, 3/25/2024, 144A		804,870
	200,000	Sumitomo Mitsui Trust Bank Ltd., 2.550%, 3/10/2025, 144A		195,686
	1,400,000	Swedbank AB, 1.300%, 6/02/2023, 144A		1,381,058
	235,000	Swedbank AB, 3.356%, 4/04/2025, 144A		235,724
	75,000	Synchrony Financial, 4.250%, 8/15/2024		76,046
		Banking — continued
$	840,000	Toronto-Dominion Bank (The), MTN, 3.200%, 3/10/2032	$	826,681
	770,000	Truist Financial Corp., MTN, 3.050%, 6/20/2022		771,781
	515,000	Truist Financial Corp., MTN, (fixed rate to 6/07/2028, variable rate thereafter), 1.887%, 6/07/2029		468,098
	1,400,000	UBS AG, 1.375%, 1/13/2025, 144A		1,330,330
	665,000	UniCredit SpA, 3.750%, 4/12/2022, 144A		665,150
	585,000	UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A		540,482
	610,000	Wells Fargo & Co., (fixed rate to 3/24/2027, variable rate thereafter), MTN, 3.526%, 3/24/2028		608,775
	1,000,000	Westpac Banking Corp., 1.953%, 11/20/2028		921,062

				62,446,883

		Brokerage — 1.2%
	595,000	Ares Finance Co. IV LLC, 3.650%, 2/01/2052, 144A		505,332
	855,000	Blue Owl Finance LLC, 4.375%, 2/15/2032, 144A		802,502
	880,000	Charles Schwab Corp. (The), 2.450%, 3/03/2027		854,280
	465,000	Intercontinental Exchange, Inc., 2.100%, 6/15/2030		426,182
	355,000	Jefferies Group LLC/Jefferies Group Capital Finance, Inc., 2.625%, 10/15/2031		320,047
	1,205,000	Nomura Holdings, Inc., 2.329%, 1/22/2027		1,127,111

				4,035,454

		Building Materials — 0.2%
	640,000	Fortune Brands Home & Security, Inc., 4.000%, 3/25/2032		640,986

		Chemicals — 0.4%
	360,000	Cabot Corp., 4.000%, 7/01/2029		361,589
	960,000	Nutrien Ltd., 1.900%, 5/13/2023		952,777

				1,314,366

		Collateralized Mortgage Obligations — 1.3%
	322,251	Government National Mortgage Association, Series 2010-H02, Class FA, 1-month LIBOR + 0.680%, 0.911%, 2/20/2060(c)		322,386
	193,649	Government National Mortgage Association, Series 2010-H03, Class FA, 1-month LIBOR + 0.550%, 0.781%, 3/20/2060(c)		193,324
	116,278	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 0.601%, 7/20/2064(c)		115,923
	93,885	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 0.606%, 7/20/2064(c)		93,583
	272	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(d)(e)		261
	242,083	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		239,527
	354,245	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 1.026%, 2/20/2066(c)		356,751
	999,406	Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(b)		1,008,742
	254,881	Government National Mortgage Association, Series 2019-H01, Class FL, 1-month LIBOR + 0.450%, 0.556%, 12/20/2068(c)		253,865
	848,558	Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 0.506%, 10/20/2068(c)		845,459
	799,080	Government National Mortgage Association, Series 2019-H10, Class FM, 1-month LIBOR + 0.400%, 0.506%, 5/20/2069(c)		794,905

				4,224,726

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Construction Machinery — 0.3%
$	275,000	Caterpillar Financial Services Corp., MTN, 0.950%, 5/13/2022	$	274,998
	300,000	CNH Industrial Capital LLC, 1.950%, 7/02/2023		296,900
	435,000	John Deere Capital Corp., MTN, 2.350%, 3/08/2027		422,977

				994,875

		Consumer Cyclical Services — 0.3%
	945,000	eBay, Inc., 1.400%, 5/10/2026		879,744
	165,000	Expedia Group, Inc., 6.250%, 5/01/2025, 144A		176,406

				1,056,150

		Consumer Products — 0.6%
	840,000	Brunswick Corp., 4.400%, 9/15/2032		830,458
	1,115,000	GSK Consumer Healthcare Capital U.S. LLC, 3.375%, 3/24/2027, 144A		1,114,986

				1,945,444

		Diversified Manufacturing — 0.2%
	135,000	Amphenol Corp., 2.050%, 3/01/2025		131,329
	225,000	Kennametal, Inc., 4.625%, 6/15/2028		233,495
	135,000	Timken Co. (The), 4.500%, 12/15/2028		138,515
	275,000	WW Grainger, Inc., 1.850%, 2/15/2025		266,847

				770,186

		Electric — 3.7%
	435,000	AES Corp. (The), 3.300%, 7/15/2025, 144A		426,779
	360,000	Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A		371,439
	550,000	American Electric Power Co., Inc., 2.031%, 3/15/2024		540,475
	120,000	Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026		118,022
	225,000	Dominion Energy, Inc., 3.071%, 8/15/2024		224,536
	270,000	DTE Energy Co., 2.250%, 11/01/2022		270,357
	1,135,000	Duke Energy Carolinas LLC, 3.050%, 3/15/2023		1,146,466
	285,000	Duke Energy Corp., 0.900%, 9/15/2025		264,706
	605,000	Entergy Corp., 0.900%, 9/15/2025		554,799
	270,000	Eversource Energy, 3.375%, 3/01/2032		264,109
	855,000	Fells Point Funding Trust, 3.046%, 1/31/2027, 144A		819,610
	590,000	National Rural Utilities Cooperative Finance Corp., 1.875%, 2/07/2025		571,591
	188,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		183,365
	900,000	NextEra Energy Capital Holdings, Inc., 0.650%, 3/01/2023		887,071
	300,000	NextEra Energy Capital Holdings, Inc., 2.940%, 3/21/2024		300,138
	825,000	Oncor Electric Delivery Co. LLC, 2.750%, 5/15/2030, 144A		795,028
	115,000	Pacific Gas & Electric Co., SOFR Index + 1.150%, 1.338%, 11/14/2022(c)		115,033
	375,000	Pacific Gas & Electric Co., 4.200%, 3/01/2029		368,747
	200,000	Public Service Electric & Gas Co., MTN, 3.100%, 3/15/2032		197,582
	235,000	Public Service Enterprise Group, Inc., 2.875%, 6/15/2024		232,833
	275,000	Puget Energy, Inc., 4.224%, 3/15/2032		275,553
	515,000	Southern California Edison Co., 0.700%, 8/01/2023		501,634
	845,000	Southern California Edison Co., SOFR + 0.470%, 0.702%, 12/02/2022(c)		845,115
	600,000	Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A		594,313
	1,540,000	WEC Energy Group, Inc., 0.550%, 9/15/2023		1,495,816

				12,365,117

		Finance Companies — 3.2%
$	510,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.150%, 2/15/2024	$	501,778
	360,000	Air Lease Corp., 1.875%, 8/15/2026		331,636
	555,000	Aircastle Ltd., 2.850%, 1/26/2028, 144A		498,559
	550,000	Ares Capital Corp., 2.875%, 6/15/2028		486,916
	50,000	Ares Capital Corp., 4.250%, 3/01/2025		49,975
	305,000	Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A		306,334
	225,000	Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A		224,642
	545,000	Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026		491,452
	200,000	Barings BDC, Inc., 3.300%, 11/23/2026, 144A		184,666
	1,115,000	Blackstone Private Credit Fund, 2.625%, 12/15/2026, 144A		1,003,457
	350,000	Blackstone Private Credit Fund, 3.250%, 3/15/2027, 144A		320,764
	615,000	Blackstone Secured Lending Fund, 2.850%, 9/30/2028, 144A		533,070
	710,000	FS KKR Capital Corp., 3.125%, 10/12/2028		632,946
	280,000	GATX Corp., 3.500%, 6/01/2032		269,983
	810,000	Golub Capital BDC, Inc., 2.500%, 8/24/2026		744,125
	695,000	Hercules Capital, Inc., 3.375%, 1/20/2027		652,456
	785,000	Main Street Capital Corp., 3.000%, 7/14/2026		727,802
	600,000	Morgan Stanley Direct Lending Fund, 4.500%, 2/11/2027, 144A		569,160
	110,000	Oaktree Specialty Lending Corp., 3.500%, 2/25/2025		107,387
	260,000	Owl Rock Capital Corp., 3.750%, 7/22/2025		251,491
	90,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		87,708
	500,000	OWL Rock Core Income Corp., 5.500%, 3/21/2025, 144A		498,729
	1,110,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		1,095,586

				10,570,622

		Financial Other — 0.3%
	470,000	LeasePlan Corp. NV, 2.875%, 10/24/2024, 144A		459,113
	410,000	Mitsubishi HC Capital, Inc., 2.652%, 9/19/2022, 144A		410,667
	185,000	ORIX Corp., 3.250%, 12/04/2024		185,205

				1,054,985

		Food & Beverage — 1.2%
	120,000	Brown-Forman Corp., 3.500%, 4/15/2025		121,667
	1,060,000	Coca-Cola Europacific Partners PLC, 0.800%, 5/03/2024, 144A		1,012,514
	1,095,000	General Mills, Inc., 2.600%, 10/12/2022		1,097,597
	265,000	J M Smucker Co. (The), 2.125%, 3/15/2032		231,387
	455,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 5/15/2032, 144A		409,505
	915,000	Pernod Ricard International Finance LLC, 1.250%, 4/01/2028, 144A		800,551
	340,000	Viterra Finance BV, 2.000%, 4/21/2026, 144A		313,019

				3,986,240

		Government Owned – No Guarantee — 0.4%
	800,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		738,032
	350,000	BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A		336,193
	325,000	DAE Funding LLC, 1.550%, 8/01/2024, 144A		306,964

				1,381,189

		Healthcare — 0.6%
	650,000	Baxter International, Inc., 2.272%, 12/01/2028, 144A		602,157
	227,000	Cigna Corp., 3.750%, 7/15/2023		230,314

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Healthcare — continued
$	92,000	CVS Health Corp., 4.300%, 3/25/2028	$	96,239
	510,000	DH Europe Finance II S.a.r.l., 2.200%, 11/15/2024		499,566
	490,000	HCA, Inc., 3.125%, 3/15/2027, 144A		478,775

				1,907,051

		Hybrid ARMs — 0.0%
	23,805	FHLMC, 1-year CMT + 2.225%, 2.289%, 1/01/2035(c)		24,972
	41,351	FHLMC, 1-year CMT + 2.500%, 2.603%, 5/01/2036(c)		43,400

				68,372

		Independent Energy — 0.3%
	350,000	ConocoPhillips Co., 2.400%, 3/07/2025		345,972
	530,000	Pioneer Natural Resources Co., 0.550%, 5/15/2023		518,205

				864,177

		Industrial Other — 0.1%
	225,000	CK Hutchison International Ltd., 1.500%, 4/15/2026, 144A		210,213

		Integrated Energy — 0.2%
	660,000	Suncor Energy, Inc., 2.800%, 5/15/2023		660,974

		Life Insurance — 6.0%
	535,000	AIG Global Funding, 0.900%, 9/22/2025, 144A		490,120
	295,000	Athene Global Funding, 1.716%, 1/07/2025, 144A		281,128
	635,000	Athene Global Funding, 2.500%, 3/24/2028, 144A		584,808
	415,000	Athene Global Funding, 2.646%, 10/04/2031, 144A		366,228
	445,000	Athene Global Funding, 3.205%, 3/08/2027, 144A		428,382
	885,000	Brighthouse Financial Global Funding, 1.200%, 12/15/2023, 144A		859,276
	780,000	Brighthouse Financial Global Funding, 1.750%, 1/13/2025, 144A		742,257
	985,000	CNO Global Funding, 2.650%, 1/06/2029, 144A		910,715
	1,680,000	Corebridge Financial, Inc., 3.650%, 4/05/2027, 144A		1,677,648
	1,285,000	Equitable Financial Life Global Funding, 1.800%, 3/08/2028, 144A		1,155,754
	615,000	F&G Global Funding, 2.000%, 9/20/2028, 144A		550,163
	820,000	GA Global Funding Trust, 1.250%, 12/08/2023, 144A		791,632
	995,000	GA Global Funding Trust, 2.250%, 1/06/2027, 144A		928,837
	665,000	Great-West Lifeco U.S. Finance LP, 0.904%, 8/12/2025, 144A		615,035
	1,370,000	Guardian Life Global Funding, 1.100%, 6/23/2025, 144A		1,288,847
	955,000	Jackson National Life Global Funding, 1.750%, 1/12/2025, 144A		914,520
	155,000	Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A		157,537
	340,000	Lincoln National Corp., 3.400%, 3/01/2032		327,953
	565,000	Manulife Financial Corp., 3.703%, 3/16/2032		570,112
	795,000	Metropolitan Life Global Funding I, 0.900%, 6/08/2023, 144A		781,171
	700,000	Metropolitan Life Global Funding I, 0.950%, 7/02/2025, 144A		655,375
	1,070,000	New York Life Global Funding, 2.875%, 4/10/2024, 144A		1,072,359
	1,180,000	Protective Life Global Funding, 1.646%, 1/13/2025, 144A		1,130,204
	430,000	Protective Life Global Funding, 3.218%, 3/28/2025, 144A		429,276
	655,000	Reliance Standard Life Global Funding II, 2.750%, 5/07/2025, 144A		642,267
	175,000	Reliance Standard Life Global Funding II, 3.850%, 9/19/2023, 144A		177,348
	770,000	RGA Global Funding, 2.700%, 1/18/2029, 144A		724,799
	755,000	Security Benefit Global Funding, 1.250%, 5/17/2024, 144A		721,487

				19,975,238

		Lodging — 0.1%
$	350,000	Marriott International, Inc., Series Z, 4.150%, 12/01/2023	$	356,458

		Media Entertainment — 0.4%
	495,000	Magallanes, Inc., 4.279%, 3/15/2032, 144A		497,787
	870,000	Prosus NV, 4.193%, 1/19/2032, 144A		765,495

				1,263,282

		Metals & Mining — 0.2%
	210,000	Anglo American Capital PLC, 2.250%, 3/17/2028, 144A		191,787
	200,000	Anglo American Capital PLC, 3.875%, 3/16/2029, 144A		200,092
	155,000	Glencore Funding LLC, 4.125%, 3/12/2024, 144A		157,094

				548,973

		Midstream — 0.5%
	300,000	Boardwalk Pipelines LP, 3.600%, 9/01/2032		286,013
	25,000	Energy Transfer LP, 4.250%, 3/15/2023		25,272
	440,000	Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A		440,000
	510,000	MPLX LP, 4.950%, 3/14/2052		530,951
	225,000	Targa Resources Corp., 4.200%, 2/01/2033		227,053

				1,509,289

		Mortgage Related — 0.8%
	1,003	FHLMC, 3.000%, 10/01/2026		1,013
	57	FHLMC, 6.500%, 1/01/2024		61
	20	FHLMC, 8.000%, 7/01/2025		21
	4,817	GNMA, 3.890%, 10/20/2062(b)		4,758
	5,991	GNMA, 3.991%, 5/20/2062(b)		6,028
	13,283	GNMA, 4.015%, 4/20/2063(b)		13,329
	46,184	GNMA, 4.286%, 11/20/2066(b)		47,415
	60,843	GNMA, 4.373%, 9/20/2066(b)		62,325
	38,770	GNMA, 4.396%, 6/20/2066(b)		39,609
	154,941	GNMA, 4.427%, 10/20/2066(b)		159,282
	59,842	GNMA, 4.464%, 10/20/2066(b)		61,782
	34,944	GNMA, 4.470%, 8/20/2066(b)		36,074
	60,589	GNMA, 4.504%, 11/20/2066(b)		62,447
	69,043	GNMA, 4.509%, 10/20/2066(b)		71,017
	143,506	GNMA, 4.524%, 9/20/2066(b)		147,596
	5,953	GNMA, 4.529%, 11/20/2064(b)		6,058
	342,554	GNMA, 4.622%, 7/20/2067(b)		353,486
	689,890	GNMA, 4.644%, 4/20/2067(b)		714,686
	561,549	GNMA, 4.679%, 1/20/2067(b)		580,342
	207,695	GNMA, 4.700%, with various maturities from 2061 to 2064(b)(f)		212,027
	176	GNMA, 6.500%, 12/15/2023		188

				2,579,544

		Natural Gas — 0.2%
	290,000	Sempra Energy, 3.700%, 4/01/2029		291,403
	430,000	Southwest Gas Corp., 4.050%, 3/15/2032		428,816

				720,219

		Non-Agency Commercial Mortgage-Backed Securities — 5.5%
	230,000	BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062		223,447
	270,000	BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063		256,600
	870,000	BANK, Series 2021-BN37, Class A5, 2.618%, 11/15/2064(b)		818,613
	308,860	Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050		308,659

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	660,000	Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A, 1-month LIBOR + 2.140%, 2.537%, 10/15/2037, 144A(c)	$	659,402
	865,000	BBCMS Mortgage Trust, Series 2021-C12, Class A5, 2.689%, 11/15/2054(a)		818,081
	285,000	Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053		267,711
	755,000	Benchmark Mortgage Trust, Series 2021-B31, Class A5, 2.669%, 12/15/2054		713,121
	520,000	BPR Trust, Series 2021-NRD, Class A, 1-month Term SOFR + 1.525%, 1.829%, 12/15/2023, 144A(c)		506,990
	491,600	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048		499,213
	361,996	CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058		359,057
	992,138	Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049		984,820
	540,000	Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072		522,678
	535,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		527,484
	263,676	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(b)		265,369
	22,994	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		22,736
	71,499	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		72,234
	280,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047		282,782
	280,000	Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048		279,572
	520,299	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049		526,855
	795,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A		781,393
	60,199	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048		60,759
	470,000	CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052		451,487
	605,000	GS Mortgage Securities Corp. II, Series 2012-BWTR, Class A, 2.954%, 11/05/2034, 144A		604,062
	440,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b)		427,337
	330,000	GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047		334,185
	245,000	GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053		236,397
	180,000	Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A		164,851
	355,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		327,327
	43,373	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		43,793
	575,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052		572,622
	470,000	MedTrust, Series 2021-MDLN, Class A, 1-month LIBOR + 0.950%, 1.347%, 11/15/2038, 144A(c)		461,886
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	240,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.075%, 7/15/2046(b)	$	241,169
	129,604	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048		128,717
	550,000	Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053		519,538
	256,506	Motel 6 Trust, Series 2021-MTL6, Class A, 1-month LIBOR + 0.900%, 1.297%, 9/15/2038, 144A(c)		252,782
	845,000	New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.910%, 10/20/2061, 144A		787,966
	980,000	SPGN Mortgage Trust, Series 2022-TFLM. Class A, 1-month Term SOFR + 1.550%, 1.851%, 2/15/2039, 144A(c)		973,219
	211,070	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A		210,636
	565,000	UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046		566,879
	201,109	Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059		201,334
	490,000	Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class A4, 2.092%, 7/15/2053		442,380
	100,418	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A3, 3.660%, 3/15/2047		100,131
	325,000	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047		330,215
	144,174	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047		145,420

				18,281,909

		Pharmaceuticals — 0.4%
	235,000	Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A		235,873
	1,200,000	Roche Holdings, Inc., 2.314%, 3/10/2027, 144A		1,164,678

				1,400,551

		Property & Casualty Insurance — 0.4%
	325,000	American Financial Group, Inc., 3.500%, 8/15/2026		327,962
	180,000	Assurant, Inc., 4.200%, 9/27/2023		183,026
	670,000	Brown & Brown, Inc., 4.200%, 3/17/2032		680,760
	240,000	Trustage Financial Group, Inc., 4.625%, 4/15/2032, 144A		240,813

				1,432,561

		Railroads — 0.3%
	930,000	Canadian Pacific Railway Co., 1.350%, 12/02/2024		891,681
	215,000	Union Pacific Corp., 3.646%, 2/15/2024		218,562

				1,110,243

		REITs – Apartments — 0.1%
	155,000	American Campus Communities Operating Partnership LP, 2.250%, 1/15/2029		141,649
	225,000	Invitation Homes Operating Partnership LP, 2.000%, 8/15/2031		192,143

				333,792

		REITs – Health Care — 0.3%
	235,000	Omega Healthcare Investors, Inc., 4.500%, 1/15/2025		238,872
	355,000	Welltower, Inc., 2.750%, 1/15/2032		326,486
	375,000	Welltower, Inc., 3.850%, 6/15/2032		377,618

				942,976

		REITs – Office Property — 0.4%
	570,000	Kilroy Realty LP, 2.650%, 11/15/2033		493,854
	190,000	Office Properties Income Trust, 2.400%, 2/01/2027		168,998

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		REITs – Office Property — continued
$	560,000	Office Properties Income Trust, 3.450%, 10/15/2031	$	482,466
	340,000	Office Properties Income Trust, 4.500%, 2/01/2025		339,336

				1,484,654

		REITs – Regional Malls — 0.1%
	310,000	Simon Property Group LP, 1.750%, 2/01/2028		282,404

		REITs – Storage — 0.2%
	215,000	Extra Space Storage LP, 3.900%, 4/01/2029		215,447
	550,000	Life Storage LP, 2.400%, 10/15/2031		484,703

				700,150

		Restaurants — 0.1%
	420,000	McDonald’s Corp., MTN, 3.350%, 4/01/2023		425,206

		Retailers — 1.0%
	100,000	Advance Auto Parts, Inc., 3.500%, 3/15/2032		95,946
	345,000	AutoNation, Inc., 3.500%, 11/15/2024		343,776
	670,000	AutoNation, Inc., 3.850%, 3/01/2032		648,598
	290,000	AutoNation, Inc., 4.500%, 10/01/2025		295,225
	445,000	Home Depot, Inc. (The), 2.875%, 4/15/2027		443,328
	190,000	Tapestry, Inc., 3.050%, 3/15/2032		172,667
	1,245,000	Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023		1,213,154

				3,212,694

		Technology — 2.5%
	875,000	Broadcom, Inc., 4.000%, 4/15/2029, 144A		874,571
	870,000	CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028		819,453
	950,000	DXC Technology Co., 1.800%, 9/15/2026		870,826
	165,000	Flex Ltd., 4.875%, 6/15/2029		171,661
	450,000	Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022		450,000
	525,000	Global Payments, Inc., 1.500%, 11/15/2024		501,920
	825,000	HP, Inc., 4.000%, 4/15/2029		821,921
	315,000	Infor, Inc., 1.450%, 7/15/2023, 144A		308,607
	530,000	International Business Machines Corp., 2.850%, 5/13/2022		531,096
	175,000	Marvell Technology, Inc., 4.200%, 6/22/2023		177,813
	285,000	Microchip Technology, Inc., 0.972%, 2/15/2024		273,144
	460,000	Microchip Technology, Inc., 2.670%, 9/01/2023		458,459
	565,000	Panasonic Corp., 2.536%, 7/19/2022, 144A		565,761
	925,000	PayPal Holdings, Inc., 1.350%, 6/01/2023		922,295
	200,000	Qorvo, Inc., 1.750%, 12/15/2024, 144A		190,774
	170,000	Western Digital Corp., 2.850%, 2/01/2029		155,310
	165,000	Western Union Co. (The), 4.250%, 6/09/2023		167,563

				8,261,174

		Tobacco — 0.8%
	585,000	Altria Group, Inc., 2.450%, 2/04/2032		508,523
	1,025,000	BAT Capital Corp., 4.700%, 4/02/2027		1,051,288
	1,170,000	BAT Capital Corp., 4.742%, 3/16/2032		1,176,916

				2,736,727

		Transportation Services — 0.7%
	450,000	Element Fleet Management Corp., 3.850%, 6/15/2025, 144A		450,412
	175,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A		176,701
	695,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A		703,409
	285,000	Ryder System, Inc., 2.850%, 3/01/2027		276,357
	255,000	Ryder System, Inc., MTN, 3.750%, 6/09/2023		257,882
	370,000	Ryder System, Inc., MTN, 4.625%, 6/01/2025		383,013

				2,247,774

		Treasuries — 27.0%
	14,455,000	U.S. Treasury Note, 0.250%, 10/31/2025(a)		13,327,397
		Treasuries — continued
$	14,355,000	U.S. Treasury Note, 0.375%, 12/31/2025(a)	$	13,255,385
	7,050,000	U.S. Treasury Note, 0.500%, 3/31/2025(a)		6,641,596
	15,830,000	U.S. Treasury Note, 1.125%, 10/31/2026(a)		14,890,094
	4,630,000	U.S. Treasury Note, 1.250%, 11/30/2026(a)		4,380,595
	6,240,000	U.S. Treasury Note, 1.250%, 8/15/2031(a)		5,672,550
	19,625,000	U.S. Treasury Note, 1.375%, 11/15/2031(a)		18,005,937
	3,470,000	U.S. Treasury Note, 1.500%, 1/31/2027		3,316,019
	6,825,000	U.S. Treasury Note, 1.875%, 2/28/2027		6,642,111
	4,250,000	U.S. Treasury Note, 1.875%, 2/15/2032		4,081,328

				90,213,012

		Wireless — 0.3%
	680,000	Crown Castle International Corp., 2.900%, 3/15/2027		657,400
	200,000	SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A		202,168

				859,568

		Wirelines — 0.2%
	205,000	British Telecommunications PLC, 4.500%, 12/04/2023		209,072
	600,000	TELUS Corp., 3.400%, 5/13/2032		586,951

				796,023

		Total Bonds and Notes (Identified Cost $333,827,737)		320,365,793


	Short-Term Investments — 4.1%
	4,428,284	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $4,428,284 on 4/01/2022 collateralized by $4,533,200 U.S. Treasury Note, 2.375% due 3/31/2029 valued at $4,516,908 including accrued interest (Note 2 of Notes to Financial Statements)		4,428,284
	9,405,000	U.S. Treasury Bills, 0.086%, 6/02/2022(g)		9,399,711

		Total Short-Term Investments (Identified Cost $13,831,891)		13,827,995


		Total Investments — 100.2% (Identified Cost $347,659,628)		334,193,788
		Other assets less liabilities — (0.2)%		(696,951	)

		Net Assets — 100.0%	$	333,496,837


	(†)	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)	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, 2022 is disclosed.
	(c)	Variable rate security. Rate as of March 31, 2022 is disclosed.
	(d)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(e)	Fair valued by the Fund’s adviser. At March 31, 2022, the value of this security amounted to $261 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(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

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


				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, 2022, the value of Rule 144A holdings amounted to $101,645,076 or 30.5% of net assets.
	ABS			Asset-Backed Securities
	ARMs			Adjustable Rate Mortgages
	CMT			Constant Maturity Treasury
	FHLMC			Federal Home Loan Mortgage Corp.
	GMTN			Global Medium Term Note
	GNMA			Government National Mortgage Association
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts
	SOFR			Secured Overnight Financing Rate

At March 31, 2022, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		6/30/2022		374	$	43,921,127	$	42,893,124	$	(1,028,003	)

At March 31, 2022, 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		6/21/2022		82	$	11,465,102	$	11,108,437	$	356,665
Ultra Long U.S. Treasury Bond		6/21/2022		12		2,200,805		2,125,500		75,305

Total									$	431,970

Industry Summary at March 31, 2022 (Unaudited)


Treasuries	27.0	%
Banking	18.7
ABS Car Loan	8.8
Life Insurance	6.0
Non-Agency Commercial Mortgage-Backed Securities	5.5
Electric	3.7
Finance Companies	3.2
Automotive	2.7
Technology	2.5
Other Investments, less than 2% each	18.0
Short-Term Investments	4.1

Total Investments	100.2
Other assets less liabilities (including futures contracts)	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 94.9% of Net Assets
		ABS Car Loan — 2.3%
$	354,350	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024	$	352,423
	1,028,299	CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024		1,030,994
	1,865,000	Carvana Auto Receivables Trust, Series 2021-N2, Class A2, 0.970%, 3/10/2028		1,777,797
	1,094,127	Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.380%, 11/15/2028, 144A		1,096,145
	9,695,000	Credit Acceptance Auto Loan Trust, Series 2020-3A, Class A, 1.240%, 10/15/2029, 144A		9,536,460
	61,506	Flagship Credit Auto Trust, Series 2020-2, Class A, 1.490%, 7/15/2024, 144A		61,489
	253,872	Flagship Credit Auto Trust, Series 2020-3, Class A, 0.700%, 4/15/2025, 144A		252,938
	366,763	Ford Credit Auto Owner Trust, Series 2020-A, Class A3, 1.040%, 8/15/2024		365,274
	328,509	GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.800%, 7/20/2023		327,962
	424,293	GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024		425,383
	372,630	GM Financial Consumer Automobile Receivables Trust, Series 2019-4, Class A3, 1.750%, 7/16/2024		372,831
	581,759	GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024		581,946
	340,151	GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024		339,056
	655,000	GM Financial Revolving Receivables Trust, Series 2021-1, Class A, 1.170%, 6/12/2034, 144A		600,227
	41,704	Honda Auto Receivables Owner Trust, Series 2019-2, Class A3, 2.520%, 6/21/2023		41,815
	280,501	Honda Auto Receivables Owner Trust, Series 2020-1, Class A3, 1.610%, 4/22/2024		280,306
	504,525	Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024		502,507
	1,343,673	Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3, 1.380%, 12/16/2024		1,336,482
	450,153	Santander Consumer Auto Receivables Trust, Series 2020-AA, Class A, 1.370%, 10/15/2024, 144A		449,252
	765,000	Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033, 144A		723,323
	222,924	Toyota Auto Receivables Owner Trust, Series 2019-A, Class A3, 2.910%, 7/17/2023		223,618
	298,664	Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3, 1.660%, 5/15/2024		298,170
	504,175	Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, 1.360%, 8/15/2024		502,240
	243,671	Westlake Automobile Receivables Trust, Series 2020-2A, Class A2A, 0.930%, 2/15/2024, 144A		243,552
	182,613	World Omni Auto Receivables Trust, Series 2019-B, Class A3, 2.590%, 7/15/2024		183,253

				21,905,443

		ABS Other — 1.4%
	647,749	Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032, 144A		642,566
	280,290	CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025		278,159
	260,768	Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A		261,356
	1,958,448	Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A		1,921,237
		ABS Other — continued
$	7,165,000	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ37, Class A2, 2.333%, 11/25/2030	$	6,998,738
	646,990	Kubota Credit Owner Trust, Series 2020-1A, Class A3, 1.960%, 3/15/2024, 144A		645,983
	518,136	MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037, 144A		502,611
	883,800	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037, 144A		850,386
	1,057,460	Welk Resorts LLC, Series 2019-AA, Class A, 2.800%, 6/15/2038, 144A		1,045,484

				13,146,520

		ABS Student Loan — 1.1%
	2,072,956	Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.600%, 8/15/2068, 144A		2,048,804
	642,776	Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, 1.690%, 5/15/2069, 144A		620,894
	1,973,441	Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069, 144A		1,878,629
	4,480,269	Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069, 144A		4,175,660
	1,215,736	SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.340%, 3/17/2053, 144A		1,149,880
	24,355	SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1-month LIBOR + 0.950%, 1.407%, 1/25/2039, 144A(a)		24,392

				9,898,259

		Agency Commercial Mortgage-Backed Securities — 33.0%
	4,132,569	Federal Home Loan Mortgage Corp., Series Q016, Class APT1, 1.242%, 5/25/2051(b)		3,895,665
	11,380,000	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K747, Class A2, 2.050%, 11/25/2028(b)		10,822,084
	4,253,941	Federal National Mortgage Association, Series 2014-M2, Class A2, 3.513%, 12/25/2023(b)		4,319,691
	322,218	Federal National Mortgage Association, Series 2015-M17, Class FA, 1-month LIBOR + 0.930%, 1.056%, 11/25/2022(a)		322,231
	45,681	Federal National Mortgage Association, Series 2016-M3, Class ASQ2, 2.263%, 2/25/2023		45,562
	3,790,363	Federal National Mortgage Association, Series 2020-M5, Class FA, 1-month LIBOR + 0.460%, 0.691%, 1/25/2027(a)		3,814,591
	9,763,436	FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2, 3.799%, 12/25/2025		9,961,815
	4,630,723	FHLMC Multifamily Structured Pass Through Certificates, Series K-F100, Class AS, 30-day Average SOFR + 0.180%, 0.230%, 1/25/2028(a)		4,630,723
	7,900,000	FHLMC Multifamily Structured Pass Through Certificates, Series K034, Class A2, 3.531%, 7/25/2023(b)		8,010,226
	7,835,000	FHLMC Multifamily Structured Pass Through Certificates, Series K035, Class A2, 3.458%, 8/25/2023(b)		7,941,192
	7,500,000	FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class A2, 3.389%, 3/25/2024		7,595,541
	2,580,000	FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027		2,629,789

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of March 31, 2022 (Unaudited)

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


Principal Amount		Description	Value (†)
		Agency Commercial Mortgage-Backed Securities — continued
$	19,170,000	FHLMC Multifamily Structured Pass Through Certificates, Series K139, Class A1, 2.209%, 10/25/2031	$	18,504,397
	697,727	FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1, 2.666%, 5/25/2023		698,433
	8,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series KC06, Class A2, 2.541%, 8/25/2026		7,942,239
	18,395,000	FHLMC Multifamily Structured Pass Through Certificates, Series KF123, Class AS, 30-day Average SOFR + 0.200%, 0.250%, 9/25/2028(a)		18,279,259
	373,656	FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1-month LIBOR + 0.650%, 0.891%, 1/25/2023(a)		373,741
	1,670,550	FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A, 1-month LIBOR + 0.390%, 0.631%, 10/25/2025(a)		1,672,994
	8,313,590	FHLMC Multifamily Structured Pass Through Certificates, Series KF72, Class A, 1-month LIBOR + 0.500%, 0.741%, 10/25/2026(a)		8,297,889
	7,579,075	FHLMC Multifamily Structured Pass Through Certificates, Series KF74, Class AS, 1-month Average Compounded SOFR + 0.530%, 0.580%, 1/25/2027(a)		7,595,169
	9,474,268	FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AL, 1-month LIBOR + 0.700%, 0.941%, 2/25/2027(a)		9,537,831
	12,461,091	FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AS, 30-day Average SOFR + 0.900%, 0.950%, 2/25/2027(a)		12,634,873
	28,885,152	FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AL, 1-month LIBOR + 0.800%, 1.041%, 3/25/2030(a)		28,719,063
	28,885,152	FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AS, 30-day Average SOFR + 1.000%, 1.050%, 3/25/2030(a)		29,093,660
	4,304,597	FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AL, 1-month LIBOR + 0.470%, 0.711%, 5/25/2030(a)		4,310,661
	3,972,110	FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AS, 30-day Average SOFR + 0.580%, 0.630%, 5/25/2030(a)		3,983,761
	7,022,856	FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AL, 1-month LIBOR + 0.440%, 0.681%, 6/25/2030(a)		7,012,810
	3,945,873	FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AS, 30-day Average SOFR + 0.510%, 0.560%, 6/25/2030(a)		3,951,563
	2,370,032	FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AL, 1-month LIBOR + 0.360%, 0.601%, 6/25/2027(a)		2,373,053
	1,777,524	FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AS, 30-day Average SOFR + 0.400%, 0.450%, 6/25/2027(a)		1,778,061
	1,062,066	FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AL, 1-month LIBOR + 0.300%, 0.541%, 7/25/2030(a)		1,058,896
	893,484	FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AS, 30-day Average SOFR + 0.320%, 0.370%, 7/25/2030(a)		889,633
	738,382	FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AL, 1-month LIBOR + 0.300%, 0.541%, 8/25/2030(a)		736,786
		Agency Commercial Mortgage-Backed Securities — continued
$	1,968,354	FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AS, 30-day Average SOFR + 0.330%, 0.380%, 8/25/2030(a)	$	1,961,496
	1,402,750	FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AL, 1-month LIBOR + 0.290%, 0.531%, 8/25/2027(a)		1,398,109
	1,252,616	FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AS, 30-day Average SOFR + 0.320%, 0.370%, 8/25/2027(a)		1,248,145
	10,261,000	FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2, 3.700%, 9/25/2026		10,502,506
	7,720,000	FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027		7,656,404
	600,976	FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025		590,160
	8,515,000	FHLMC Multifamily Structured Pass Through Certificates, Series KS12, Class A, 1-month LIBOR + 0.650%, 0.891%, 8/25/2029(a)		8,514,999
	2,855,000	FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AL, 1-month LIBOR + 0.340%, 0.581%, 4/25/2030(a)		2,843,748
	3,140,000	FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AS, 30-day Average SOFR + 0.370%, 0.420%, 4/25/2030(a)		3,128,385
	1,918,069	FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A, 1-month LIBOR + 0.390%, 0.631%, 10/25/2045(a)		1,909,990
	5,200,000	FNMA, 3.580%, 1/01/2026		5,317,518
	17,436,910	Freddie Mac Multifamily Structured Pass Through Certificates, Series K-107, Class AS, 30-day Average SOFR + 0.250%, 0.300%, 3/25/2028(a)		17,436,910
	9,395,000	Freddie Mac Multifamily Structured Pass Through Certificates, Series K-F121, Class AS, 30-day Average SOFR + 0.180%, 0.230%, 8/25/2028(a)		9,300,813
	915,287	Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AL, 1-month LIBOR + 0.280%, 0.521%, 10/25/2027(a)		915,287
	1,098,937	Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AS, 30-day Average SOFR + 0.310%, 0.360%, 10/25/2027(a)		1,098,937
	4,623,066	Freddie Mac Multifamily Structured Pass Through Certificates, Series KF97, Class AS, 30-day Average SOFR + 0.250%, 0.300%, 12/25/2030(a)		4,623,066
	1,819,955	Freddie Mac Multifamily Structured Pass Through Certificates, Series Q015, Class A, 30-day Average SOFR + 0.200%, 0.306%, 8/25/2024(a)		1,824,140
	103,191	Government National Mortgage Association, Series 2003-72, Class Z, 5.300%, 11/16/2045(b)		106,537

				313,811,032

		Collateralized Mortgage Obligations — 13.1%
	5,317	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 7-year CMT – 0.200%, 1.570%, 5/15/2023(a)(c)(d)		5,250
	5,168	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 10-year CMT – 0.650%, 1.340%, 8/15/2023(a)(c)(d)		5,089
	63,840	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029(c)(d)		66,647
	465,058	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035(c)(d)		492,749

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

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


Principal Amount		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	690,998	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035	$	735,585
	219,795	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038(c)(d)		224,902
	703,689	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, IO, 2.585%, 6/15/2048(b)(e)		696,307
	656,457	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, IO, 3.846%, 12/15/2036(b)(e)		669,977
	98,978	Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 2.497%, 6/15/2043(b)(c)(d)		108,764
	1,225	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 7-year CMT – 0.050%, 2.140%, 9/25/2022(a)(c)(d)		1,211
	7,120	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 10-year CMT – 0.500%, 1.490%, 4/25/2024(a)(c)(d)		6,999
	6,070	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 4.037%, 8/25/2042(b)(c)(d)		6,197
	680,826	Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033(c)(d)		728,784
	85,244	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025(c)(d)		86,335
	363,367	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 1-month LIBOR + 0.060%, 0.247%, 7/25/2037(a)(c)(d)		353,592
	663,967	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.435%, 8/25/2038(b)		663,002
	1,309,961	Federal National Mortgage Association, REMIC, Series 2012-56, Class FK, 1-month LIBOR + 0.450%, 0.907%, 6/25/2042(a)		1,317,923
	1,695,030	Federal National Mortgage Association, REMIC, Series 2012-58, Class KF, 1-month LIBOR + 0.550%, 1.007%, 6/25/2042(a)		1,714,678
	3,462,701	Federal National Mortgage Association, REMIC, Series 2012-83, Class LF, 1-month LIBOR + 0.510%, 0.967%, 8/25/2042(a)		3,492,079
	1,846,794	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1-month LIBOR + 1.000%, 1.457%, 7/25/2043(a)		1,746,827
	3,741,964	Federal National Mortgage Association, REMIC, Series 2015-4, Class BF, 1-month LIBOR + 0.400%, 0.857%, 2/25/2045(a)		3,750,734
	6,428,488	Federal National Mortgage Association, REMIC, Series 2020-35, Class FA, 1-month LIBOR + 0.500%, 0.606%, 6/25/2050(a)		6,415,245
	5,655	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.441%, 3/25/2044(b)(c)(d)		5,723
	302,150	FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, 12-month MTA + 1.200%, 1.341%, 10/25/2044(a)(c)(d)		306,383
	1,131,286	Government National Mortgage Association, Series 2005-18, Class F, 1-month LIBOR + 0.200%, 0.649%, 2/20/2035(a)		1,130,208
	841,495	Government National Mortgage Association, Series 2007-59, Class FM, 1-month LIBOR + 0.520%, 0.969%, 10/20/2037(a)(c)(d)		840,884
	268,409	Government National Mortgage Association, Series 2009-H01, Class FA, 1-month LIBOR + 1.150%, 1.599%, 11/20/2059(a)(c)(d)		269,528
	779,804	Government National Mortgage Association, Series 2010-H20, Class AF, 1-month LIBOR + 0.330%, 0.436%, 10/20/2060(a)		775,312
		Collateralized Mortgage Obligations — continued
$	660,573	Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 0.456%, 10/20/2060(a)	$	656,736
	386,263	Government National Mortgage Association, Series 2010-H27, Class FA, 1-month LIBOR + 0.380%, 0.486%, 12/20/2060(a)		384,264
	40,100	Government National Mortgage Association, Series 2011- H20, Class FA, 1-month LIBOR + 0.550%, 0.656%, 9/20/2061(a)		40,027
	497,660	Government National Mortgage Association, Series 2011-H06, Class FA, 1-month LIBOR + 0.450%, 0.556%, 2/20/2061(a)		495,813
	32,226	Government National Mortgage Association, Series 2011-H08, Class FA, 1-month LIBOR + 0.600%, 0.706%, 2/20/2061(a)		32,193
	29,070	Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(c)(d)		28,511
	28,469	Government National Mortgage Association, Series 2012-124, Class HT, 6.500%, 7/20/2032(b)(c)(d)		27,893
	2,534,345	Government National Mortgage Association, Series 2012-18, Class FM, 1-month LIBOR + 0.250%, 0.699%, 9/20/2038(a)		2,534,296
	101	Government National Mortgage Association, Series 2012-H15, Class FA, 1-month LIBOR + 0.450%, 0.556%, 5/20/2062(a)(c)(d)		100
	413,979	Government National Mortgage Association, Series 2012-H18, Class NA, 1-month LIBOR + 0.520%, 0.626%, 8/20/2062(a)		413,764
	1,393,239	Government National Mortgage Association, Series 2012-H20, Class PT, 1.129%, 7/20/2062(b)		1,389,541
	20,125	Government National Mortgage Association, Series 2012-H29, Class HF, 1-month LIBOR + 0.500%, 0.606%, 10/20/2062(a)(c)(d)		19,865
	28,408	Government National Mortgage Association, Series 2013-H02, Class GF, 1-month LIBOR + 0.500%, 0.606%, 12/20/2062(a)(c)(d)		28,043
	1,278,199	Government National Mortgage Association, Series 2013-H08, Class FA, 1-month LIBOR + 0.350%, 0.456%, 3/20/2063(a)		1,272,028
	1,250,511	Government National Mortgage Association, Series 2013-H10, Class FA, 1-month LIBOR + 0.400%, 0.506%, 3/20/2063(a)		1,245,020
	179,305	Government National Mortgage Association, Series 2013-H14, Class FG, 1-month LIBOR + 0.470%, 0.576%, 5/20/2063(a)		178,738
	4,912,591	Government National Mortgage Association, Series 2013-H22, Class FT, 1-year CMT + 0.650%, 1.340%, 4/20/2063(a)		4,893,036
	3,500,471	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 0.601%, 7/20/2064(a)		3,489,782
	2,790,077	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 0.606%, 7/20/2064(a)		2,781,118
	2,107,131	Government National Mortgage Association, Series 2015-H04, Class FL, 1-month LIBOR + 0.470%, 0.576%, 2/20/2065(a)		2,099,339
	3,410	Government National Mortgage Association, Series 2015-H05, Class FA, 1-month LIBOR + 0.300%, 0.406%, 4/20/2061(a)(c)(d)		3,357
	7,254	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(c)(d)		6,965

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of March 31, 2022 (Unaudited)

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


Principal Amount		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	252,637	Government National Mortgage Association, Series 2015-H10, Class FC, 1-month LIBOR + 0.480%, 0.586%, 4/20/2065(a)	$	251,701
	4,091,511	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		4,048,309
	3,368	Government National Mortgage Association, Series 2015-H11, Class FA, 1-month LIBOR + 0.250%, 0.356%, 4/20/2065(a)(c)(d)		3,312
	2,429,757	Government National Mortgage Association, Series 2015-H12, Class FL, 1-month LIBOR + 0.230%, 0.336%, 5/20/2065(a)		2,412,050
	82,450	Government National Mortgage Association, Series 2015-H19, Class FH, 1-month LIBOR + 0.300%, 0.406%, 7/20/2065(a)(c)(d)		81,664
	3,706	Government National Mortgage Association, Series 2015-H29, Class FA, 1-month LIBOR + 0.700%, 0.806%, 10/20/2065(a)(c)(d)		3,670
	3,056	Government National Mortgage Association, Series 2015-H30, Class FA, 1-month LIBOR + 0.680%, 0.786%, 8/20/2061(a)(c)(d)		3,032
	3,881,071	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 1.026%, 2/20/2066(a)		3,908,518
	1,137,323	Government National Mortgage Association, Series 2016-H20, Class FB, 1-month LIBOR + 0.550%, 0.656%, 9/20/2066(a)		1,135,259
	2,552,787	Government National Mortgage Association, Series 2017-H05, Class FC, 1-month LIBOR + 0.750%, 0.856%, 2/20/2067(a)		2,562,866
	39,441	Government National Mortgage Association, Series 2018-H02, Class FJ, 1-month LIBOR + 0.200%, 0.306%, 10/20/2064(a)(c)(d)		39,068
	5,285,970	Government National Mortgage Association, Series 2018-H11, Class FJ, 12-month LIBOR + 0.080%, 0.327%, 6/20/2068(a)		5,188,965
	127,128	Government National Mortgage Association, Series 2018-H14, Class FG, 1-month LIBOR + 0.350%, 0.456%, 9/20/2068(a)		126,360
	7,520,053	Government National Mortgage Association, Series 2018-H16, Class FA, 1-month LIBOR + 0.420%, 0.526%, 9/20/2068(a)		7,469,625
	6,568,902	Government National Mortgage Association, Series 2019-H04, Class NA, 3.500%, 9/20/2068		6,573,027
	2,651,590	Government National Mortgage Association, Series 2019-H13, Class FT, 1-year CMT + 0.450%, 1.140%, 8/20/2069(a)		2,649,651
	2,207,430	Government National Mortgage Association, Series 2020-30, Class F, 1-month LIBOR + 0.400%, 0.631%, 4/20/2048(a)		2,201,890
	4,173,043	Government National Mortgage Association, Series 2020-53, Class NF, 1-month LIBOR + 0.450%, 0.681%, 5/20/2046(a)		4,087,053
	4,164,905	Government National Mortgage Association, Series 2020-H02, Class FG, 1-month LIBOR + 0.600%, 0.706%, 1/20/2070(a)		4,164,245
	4,551,298	Government National Mortgage Association, Series 2020-H04, Class FP, 1-month LIBOR + 0.500%, 0.606%, 6/20/2069(a)		4,535,812
	9,397,292	Government National Mortgage Association, Series 2020-H07, Class FL, 1-month LIBOR + 0.650%, 1.099%, 4/20/2070(a)		9,452,332
		Collateralized Mortgage Obligations — continued
$	10,184,929	Government National Mortgage Association, Series 2020-H10, Class FD, 1-month LIBOR + 0.400%, 0.849%, 5/20/2070(a)	$	10,174,031
	4,399,137	Government National Mortgage Association, Series 2020-HO1, Class FT, 1-year CMT + 0.500%, 0.710%, 1/20/2070(a)		4,452,032

				124,161,815

		Hybrid ARMs — 2.6%
	250,483	FHLMC, 6-month LIBOR + 1.776%, 1.900%, 6/01/2037(a)		250,860
	104,353	FHLMC, 12-month LIBOR + 1.670%, 1.921%, 11/01/2038(a)		104,575
	44,877	FHLMC, 12-month LIBOR + 1.739%, 1.996%, 12/01/2037(a)		44,893
	166,988	FHLMC, 12-month LIBOR + 1.725%, 2.001%, 4/01/2037(a)		171,832
	501,626	FHLMC, 12-month LIBOR + 1.764%, 2.013%, 9/01/2035(a)		517,218
	131,516	FHLMC, 12-month LIBOR + 1.707%, 2.024%, 3/01/2038(a)		131,667
	94,713	FHLMC, 12-month LIBOR + 1.799%, 2.048%, 11/01/2038(a)		94,967
	1,877,276	FHLMC, 12-month LIBOR + 1.842%, 2.108%, 1/01/2046(a)		1,923,465
	669,822	FHLMC, 12-month LIBOR + 1.896%, 2.146%, 9/01/2041(a)		695,652
	165,223	FHLMC, 12-month LIBOR + 1.934%, 2.195%, 12/01/2034(a)		165,519
	347,396	FHLMC, 1-year CMT + 2.220%, 2.220%, 7/01/2033(a)		348,198
	327,262	FHLMC, 1-year CMT + 2.247%, 2.273%, 9/01/2038(a)		343,939
	344,299	FHLMC, 1-year CMT + 2.165%, 2.290%, 4/01/2036(a)		344,011
	107,922	FHLMC, 1-year CMT + 2.209%, 2.318%, 9/01/2038(a)		108,159
	1,544,195	FHLMC, 1-year CMT + 2.247%, 2.326%, 3/01/2037(a)		1,617,306
	891,453	FHLMC, 1-year CMT + 2.258%, 2.386%, 2/01/2036(a)		927,842
	448,459	FHLMC, 12-month LIBOR + 1.899%, 2.388%, 4/01/2037(a)		448,098
	497,558	FHLMC, 1-year CMT + 2.285%, 2.411%, 2/01/2036(a)		518,916
	346,397	FHLMC, 1-year CMT + 2.245%, 2.441%, 3/01/2036(a)		361,368
	90,073	FHLMC, 1-year CMT + 2.250%, 2.497%, 2/01/2035(a)		93,559
	49,960	FHLMC, 12-month LIBOR + 2.180%, 2.555%, 3/01/2037(a)		49,879
	67,868	FHLMC, 1-year CMT + 2.470%, 2.595%, 9/01/2038(a)		67,824
	325,992	FNMA, 6-month LIBOR + 1.544%, 1.734%, 7/01/2035(a)		336,971
	21,363	FNMA, 6-month LIBOR + 1.460%, 1.786%, 2/01/2037(a)		21,722
	91,191	FNMA, 12-month LIBOR + 1.555%, 1.805%, 8/01/2035(a)		91,330
	511,624	FNMA, 12-month LIBOR + 1.565%, 1.836%, 7/01/2035(a)		526,537
	480,626	FNMA, 12-month LIBOR + 1.599%, 1.847%, 9/01/2037(a)		495,099
	177,162	FNMA, 12-month LIBOR + 1.607%, 1.858%, 10/01/2033(a)		181,863
	785,060	FNMA, 12-month LIBOR + 1.546%, 1.887%, 4/01/2037(a)		812,178
	223,732	FNMA, 12-month LIBOR + 1.639%, 1.889%, 8/01/2038(a)		224,792
	317,980	FNMA, 12-month LIBOR + 1.669%, 1.919%, 7/01/2038(a)		321,160
	143,534	FNMA, 12-month LIBOR + 1.594%, 1.924%, 4/01/2037(a)		143,745
	305,804	FNMA, 12-month LIBOR + 1.678%, 1.928%, 8/01/2034(a)		306,341

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

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


Principal Amount		Description	Value (†)
		Hybrid ARMs — continued
$	117,946	FNMA, 12-month LIBOR + 1.728%, 1.990%, 11/01/2035(a)	$	122,744
	151,340	FNMA, 12-month LIBOR + 1.667%, 2.014%, 11/01/2036(a)		157,393
	840,912	FNMA, 12-month LIBOR + 1.800%, 2.050%, 10/01/2041(a)		869,645
	116,936	FNMA, 12-month LIBOR + 1.800%, 2.050%, 12/01/2041(a)		116,932
	819,130	FNMA, 12-month LIBOR + 1.743%, 2.083%, 9/01/2037(a)		854,566
	42,907	FNMA, 12-month LIBOR + 1.754%, 2.089%, 1/01/2037(a)		43,015
	26,481	FNMA, 12-month LIBOR + 1.805%, 2.134%, 7/01/2041(a)		26,508
	53,961	FNMA, 1-year CMT + 2.145%, 2.145%, 9/01/2036(a)		54,569
	662,556	FNMA, 12-month LIBOR + 1.761%, 2.148%, 3/01/2037(a)		689,730
	316,276	FNMA, 12-month LIBOR + 1.755%, 2.177%, 2/01/2037(a)		316,662
	109,501	FNMA, 12-month LIBOR + 1.800%, 2.186%, 3/01/2034(a)		113,573
	938,577	FNMA, 1-year CMT + 2.188%, 2.219%, 11/01/2033(a)		985,591
	256,271	FNMA, 1-year CMT + 2.223%, 2.223%, 8/01/2035(a)		256,860
	185,343	FNMA, 1-year CMT + 2.149%, 2.238%, 9/01/2034(a)		193,918
	259,592	FNMA, 1-year CMT + 2.145%, 2.245%, 6/01/2036(a)		266,447
	946,311	FNMA, 1-year CMT + 2.172%, 2.255%, 12/01/2040(a)		991,868
	174,841	FNMA, 1-year CMT + 2.185%, 2.259%, 12/01/2034(a)		175,055
	531,639	FNMA, 1-year CMT + 2.270%, 2.270%, 6/01/2037(a)		564,895
	1,762,359	FNMA, 1-year CMT + 2.207%, 2.275%, 10/01/2034(a)		1,847,706
	384,121	FNMA, 1-year CMT + 2.185%, 2.310%, 1/01/2036(a)		394,618
	207,069	FNMA, 1-year CMT + 2.287%, 2.313%, 6/01/2033(a)		207,679
	391,885	FNMA, 6-month LIBOR + 2.157%, 2.319%, 7/01/2037(a)		409,955
	49,177	FNMA, 1-year CMT + 2.211%, 2.336%, 4/01/2033(a)		49,397
	1,102,982	FNMA, 1-year CMT + 2.225%, 2.338%, 4/01/2034(a)		1,150,780
	169,591	FNMA, 1-year CMT + 2.287%, 2.351%, 10/01/2033(a)		169,841
	112,314	FNMA, 1-year CMT + 2.198%, 2.366%, 4/01/2034(a)		112,382
	56,112	FNMA, 1-year CMT + 2.440%, 2.440%, 8/01/2033(a)		56,241
	725,021	FNMA, 12-month LIBOR + 1.820%, 2.445%, 2/01/2047(a)		750,644
	149,870	FNMA, 1-year CMT + 2.482%, 2.606%, 5/01/2035(a)		157,253
	128,684	FNMA, 1-year CMT + 2.500%, 2.633%, 8/01/2036(a)		136,007
	63,946	FNMA, 12-month LIBOR + 2.473%, 2.723%, 6/01/2035(a)		64,568

				25,098,527

		Mortgage Related — 1.7%
	20,480	FHLMC, 3.000%, 10/01/2026		20,694
	150,837	FHLMC, 4.000%, with various maturities from 2024 to 2042(f)		157,232
	52,194	FHLMC, 4.500%, with various maturities from 2025 to 2034(f)		53,773
	6,514	FHLMC, 5.500%, 10/01/2023		6,602
	129,057	FHLMC, 6.500%, 12/01/2034		140,009
	50	FHLMC, 7.500%, 6/01/2026		52
	83,056	FNMA, 3.000%, 3/01/2042		82,910
	659,219	FNMA, 5.000%, with various maturities from 2037 to 2038(f)		712,345
	258,479	FNMA, 5.500%, with various maturities from 2023 to 2033(f)		273,568
	24,281	FNMA, 6.000%, with various maturities in 2022(f)		24,438
	142,983	FNMA, 6.500%, with various maturities from 2032 to 2037(f)		154,353
	32,444	FNMA, 7.500%, with various maturities from 2030 to 2032(f)		34,041
		Mortgage Related — continued
$	1,519,499	GNMA, 1-month LIBOR + 1.748%, 1.869%, 2/20/2061(a)	$	1,548,959
	1,214,699	GNMA, 1-month LIBOR + 1.890%, 1.991%, 2/20/2063(a)		1,238,857
	951,204	GNMA, 1-month LIBOR + 2.150%, 2.249%, 3/20/2063(a)		972,876
	577,543	GNMA, 1-month LIBOR + 2.210%, 2.312%, 5/20/2065(a)		597,393
	596,269	GNMA, 1-month LIBOR + 2.236%, 2.338%, 6/20/2065(a)		620,839
	603,893	GNMA, 1-month LIBOR + 2.328%, 2.436%, 2/20/2063(a)		619,485
	54,757	GNMA, 4.007%, 12/20/2062(b)		55,438
	27,151	GNMA, 4.140%, with various maturities from 2061 to 2063(b)(f)		27,494
	13,761	GNMA, 4.316%, 8/20/2061(b)		14,008
	193,436	GNMA, 4.476%, 7/20/2063(b)		196,372
	2,485,704	GNMA, 4.483%, 10/20/2065(b)		2,553,585
	3,644	GNMA, 4.581%, 8/20/2062(b)		3,723
	1,317,967	GNMA, 4.601%, 2/20/2066(b)		1,348,073
	1,875,346	GNMA, 4.613%, 3/20/2064(b)		1,911,110
	205,544	GNMA, 4.624%, with various maturities from 2062 to 2064(b)(f)		209,542
	72,274	GNMA, 4.630%, with various maturities from 2061 to 2063(b)(f)		71,097
	1,595,313	GNMA, 4.677%, 11/20/2063(b)		1,627,022
	757,517	GNMA, 4.700%, with various maturities from 2061 to 2064(b)(f)		770,658
	2,413	GNMA, 4.891%, 4/20/2061(b)		2,426
	6,262	GNMA, 6.000%, 12/15/2031		6,949
	26,627	GNMA, 6.500%, 5/15/2031		29,161
	24,426	GNMA, 7.000%, 10/15/2028		25,738

				16,110,822

		Non-Agency Commercial Mortgage-Backed Securities — 2.6%
	1,595,000	BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063		1,515,840
	3,895,000	Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A, 1-month LIBOR + 2.140%, 2.537%, 10/15/2037, 144A(a)		3,891,473
	1,825,000	BPR Trust, Series 2021-NRD, Class A, 1-month Term SOFR + 1.525%, 1.829%, 12/15/2023, 144A(a)		1,779,340
	1,310,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		1,291,597
	1,488,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047		1,505,013
	3,311,532	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049		3,343,071
	2,570,000	DROP Mortgage Trust, Series 2021-FILE, Class A, 1-month LIBOR + 1.150%, 1.550%, 4/15/2026, 144A(a)		2,542,717
	2,600,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		2,397,322
	1,040,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4, 3.134%, 12/15/2048		1,042,297
	3,295,000	SPGN Mortgage Trust, Series 2022-TFLM. Class A, 1-month Term SOFR + 1.550%, 1.851%, 2/15/2039, 144A(a)		3,272,201
	3,279,464	Starwood Retail Property Trust, Series 2014-STAR, Class A, 1-month LIBOR + 1.470%, 1.867%, 11/15/2027, 144A(a)		2,299,817

				24,880,688

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of March 31, 2022 (Unaudited)

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


Principal Amount		Description	Value (†)
		Treasuries — 37.1%
$	17,715,000	U.S. Treasury Bond, 1.500%, 2/15/2025	$	17,218,150
	4,510,000	U.S. Treasury Note, 0.250%, 6/30/2025		4,189,896
	13,840,000	U.S. Treasury Note, 0.250%, 8/31/2025		12,805,244
	13,070,000	U.S. Treasury Note, 0.250%, 9/30/2025		12,073,412
	13,605,000	U.S. Treasury Note, 0.250%, 10/31/2025		12,543,704
	7,255,000	U.S. Treasury Note, 0.375%, 11/30/2025		6,707,474
	65,670,000	U.S. Treasury Note, 0.375%, 12/31/2025		60,639,576
	24,685,000	U.S. Treasury Note, 0.375%, 1/31/2026		22,743,949
	11,585,000	U.S. Treasury Note, 0.500%, 2/28/2026		10,710,695
	13,225,000	U.S. Treasury Note, 0.750%, 3/31/2026		12,332,829
	67,095,000	U.S. Treasury Note, 0.750%, 8/31/2026		62,186,057
	13,355,000	U.S. Treasury Note, 0.875%, 1/31/2024		13,014,865
	25,460,000	U.S. Treasury Note, 0.875%, 9/30/2026		23,698,685
	21,410,000	U.S. Treasury Note, 1.250%, 12/31/2026		20,228,268
	5,760,000	U.S. Treasury Note, 1.875%, 2/28/2027		5,605,650
	46,160,000	U.S. Treasury Note, 2.250%, 3/31/2024		46,096,890
	9,955,000	U.S. Treasury Note, 2.875%, 7/31/2025		10,063,883

				352,859,227

		Total Bonds and Notes (Identified Cost $929,323,816)		901,872,333


	Short-Term Investments — 5.0%
	19,252,967	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $19,252,967 on 4/01/2022 collateralized by $21,825,500 U.S. Treasury Bond, 2.000% due 8/15/2051 valued at $19,638,038 including accrued interest (Note 2 of Notes to Financial Statements)		19,252,967
	27,770,000	U.S. Treasury Bills, 0.050%-0.131%, 4/12/2022(g)(h)		27,768,812

		Total Short-Term Investments (Identified Cost $47,022,278)		47,021,779


		Total Investments — 99.9% (Identified Cost $976,346,094)		948,894,112
		Other assets less liabilities — 0.1%		1,232,455

		Net Assets — 100.0%	$	950,126,567


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of March 31, 2022 is disclosed.
	(b)	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, 2022 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, 2022, the value of these securities amounted to $3,754,517 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Interest only security. 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.
	(h)	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, 2022, the value of Rule 144A holdings amounted to $46,205,735 or 4.9% 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
	MTA	Monthly Treasury Average Interest
	REMIC	Real Estate Mortgage Investment Conduit
	SOFR	Secured Overnight Financing Rate

Industry Summary at March 31, 2022 (Unaudited)


Treasuries	37.1	%
Agency Commercial Mortgage-Backed Securities	33.0
Collateralized Mortgage Obligations	13.1
Hybrid ARMs	2.6
Non-Agency Commercial Mortgage-Backed Securities	2.6
ABS Car Loan	2.3
Other Investments, less than 2% each	4.2
Short-Term Investments	5.0

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

See accompanying notes to financial statements.

55 |

Statements of Assets and Liabilities

March 31, 2022 (Unaudited)


	Core Plus Bond Fund			Credit Income Fund			Global Allocation Fund
ASSETS
Investments at cost	$	8,104,683,284		$	24,408,959		$	3,671,901,796
Net unrealized appreciation (depreciation)		(353,429,763	)		(1,505,810	)		696,012,136

Investments at value		7,751,253,521			22,903,149			4,367,913,932
Cash		—			—			1,351,286
Due from brokers (Note 2)		12,202,775			—			8,495,000
Foreign currency at value (identified cost $0, $0 and $6,915,025, respectively)		—			—			6,945,888
Receivable for Fund shares sold		11,624,104			—			3,143,624
Receivable for securities sold		278,615,566			22,025			7,997,500
Receivable for when-issued/delayed delivery securities sold (Note 2)		823,998,490			—			—
Collateral received for open forward foreign currency contracts (Notes 2 and 4)		—			—			3,838,481
Dividends and interest receivable		48,889,934			191,243			12,184,293
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			3,019,320
Tax reclaims receivable		—			—			845,753
Receivable for variation margin on futures contracts (Note 2)		1,572,301			—			23,968
Prepaid expenses (Note 8)		59			—			28

TOTAL ASSETS		8,928,156,750			23,116,417			4,415,759,073

LIABILITIES
Securities sold short, at value (proceeds $71,422,815)		70,267,106			—			—
Payable for securities purchased		205,405,857			—			—
Payable for when-issued/delayed delivery securities purchased (Note 2)		1,247,075,217			—			—
Payable for Fund shares redeemed		14,612,837			—			3,770,593
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—			8,012,422
Foreign taxes payable (Note 2)		—			—			1,426,408
Due to brokers (Note 2)		—			—			3,838,481
Payable for variation margin on futures contracts (Note 2)		—			6,094			—
Management fees payable (Note 6)		2,044,464			8,068			2,720,900
Deferred Trustees’ fees (Note 6)		862,510			4,133			386,529
Administrative fees payable (Note 6)		280,105			861			162,014
Payable to distributor (Note 6d)		64,147			—			63,723
Audit and tax services fees payable		32,476			35,273			33,086
Other accounts payable and accrued expenses		1,637,068			21,211			319,672

TOTAL LIABILITIES		1,542,281,787			75,640			20,733,828

NET ASSETS	$	7,385,874,963		$	23,040,777		$	4,395,025,245

NET ASSETS CONSIST OF:
Paid-in capital	$	7,840,793,991		$	24,461,908		$	3,616,120,680
Accumulated earnings (loss)		(454,919,028	)		(1,421,131	)		778,904,565

NET ASSETS	$	7,385,874,963		$	23,040,777		$	4,395,025,245

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	562,466,239		$	85,215		$	660,191,773

Shares of beneficial interest		44,502,561			9,052			26,098,965

Net asset value and redemption price per share	$	12.64		$	9.41		$	25.30

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	13.20		$	9.83		$	26.84

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	72,493,658		$	972		$	445,430,244

Shares of beneficial interest		5,732,083			103			18,079,244

Net asset value and offering price per share	$	12.65		$	9.40	*	$	24.64

Class N shares:
Net assets	$	2,207,568,662		$	22,908,225		$	332,019,438

Shares of beneficial interest		173,028,635			2,434,178			13,011,854

Net asset value, offering and redemption price per share	$	12.76		$	9.41		$	25.52

Class Y shares:
Net assets	$	4,543,346,404		$	46,365		$	2,957,383,790

Shares of beneficial interest		356,323,656			4,927			115,871,297

Net asset value, offering and redemption price per share	$	12.75		$	9.41		$	25.52

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

See accompanying notes to financial statements.

| 56

Statements of Assets and Liabilities (continued)

March 31, 2022 (Unaudited)


	Growth Fund		Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
ASSETS
Investments at cost	$	7,672,685,969	$	347,659,628		$	976,346,094
Net unrealized appreciation (depreciation)		5,473,731,741		(13,465,840	)		(27,451,982	)

Investments at value		13,146,417,710		334,193,788			948,894,112
Due from brokers (Note 2)		—		215,000			—
Receivable for Fund shares sold		16,536,351		360,818			1,435,557
Receivable for securities sold		—		2,481,431			18,743,801
Dividends and interest receivable		2,847,388		1,218,743			2,455,353
Tax reclaims receivable		11,298,233		388			—
Receivable for variation margin on futures contracts (Note 2)		—		6,486			—
Prepaid expenses (Note 8)		79		1			7

TOTAL ASSETS		13,177,099,761		338,476,655			971,528,830

LIABILITIES
Payable for securities purchased		—		4,484,903			18,779,670
Payable for Fund shares redeemed		14,658,899		175,579			1,590,086
Distributions payable		—		—			127,965
Management fees payable (Note 6)		5,369,795		79,596			270,702
Deferred Trustees’ fees (Note 6)		790,775		156,598			451,340
Administrative fees payable (Note 6)		471,212		12,568			35,571
Payable to distributor (Note 6d)		134,353		2,742			13,381
Audit and tax services fees payable		26,179		30,364			32,554
Other accounts payable and accrued expenses		600,678		37,468			100,994

TOTAL LIABILITIES		22,051,891		4,979,818			21,402,263

NET ASSETS	$	13,155,047,870	$	333,496,837		$	950,126,567

NET ASSETS CONSIST OF:
Paid-in capital	$	6,766,084,854	$	355,345,533		$	1,010,192,603
Accumulated earnings (loss)		6,388,963,016		(21,848,696	)		(60,066,036	)

NET ASSETS	$	13,155,047,870	$	333,496,837		$	950,126,567

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	1,639,592,049	$	21,804,061		$	266,319,256

Shares of beneficial interest		73,543,524		2,205,446			24,170,301

Net asset value and redemption price per share	$	22.29	$	9.89		$	11.02

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	23.65	$	10.33		$	11.27

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	104,846,085	$	317,942		$	20,129,844

Shares of beneficial interest		5,342,730		32,039			1,831,364

Net asset value and offering price per share	$	19.62	$	9.92		$	10.99

Class N shares:
Net assets	$	977,013,047	$	19,153,357		$	13,617,418

Shares of beneficial interest		40,402,639		1,938,943			1,232,491

Net asset value, offering and redemption price per share	$	24.18	$	9.88		$	11.05

Class Y shares:
Net assets	$	10,433,596,689	$	292,221,477		$	650,060,049

Shares of beneficial interest		431,655,795		29,568,776			58,811,208

Net asset value, offering and redemption price per share	$	24.17	$	9.88		$	11.05

See accompanying notes to financial statements.

57 |

Statements of Operations

For the Six Months Ended March 31, 2022 (Unaudited)


	Core Plus Bond Fund			Credit Income Fund			Global Allocation Fund
INVESTMENT INCOME
Interest	$	100,845,247		$	350,653		$	22,451,276
Dividends		—			14,351			10,515,930
Less net foreign taxes withheld		(5,736	)		—			(144,037	)

		100,839,511			365,004			32,823,169

Expenses
Management fees (Note 6)		13,128,674			50,759			17,655,883
Service and distribution fees (Note 6)		1,273,976			116			3,354,967
Administrative fees (Note 6)		1,770,203			5,191			1,033,964
Trustees’ fees and expenses (Note 6)		109,571			5,256			66,673
Trustees’ fees deferred compensation (Note 6)		(40,445	)		1,182			(14,096	)
Transfer agent fees and expenses (Notes 6 and 7)		2,891,651			2,979			1,648,111
Audit and tax services fees		27,151			31,221			31,570
Custodian fees and expenses		155,448			4,984			218,060
Legal fees (Note 8)		82,200			224			48,518
Registration fees		90,693			24,719			91,531
Shareholder reporting expenses		220,427			1,953			137,734
Miscellaneous expenses		139,199			16,307			95,311

Total expenses		19,848,748			144,891			24,368,226
Less waiver and/or expense reimbursement (Note 6)		—			(81,893	)		—

Net expenses		19,848,748			62,998			24,368,226

Net investment income		80,990,763			302,006			8,454,943

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SHORT SALES, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(61,848,524	)		136,990			124,368,483
Futures contracts		—			102,500			1,378,808
Forward foreign currency contracts (Note 2e)		—			—			(19,813,755	)
Foreign currency transactions (Note 2d)		(250,259	)		—			(642,356	)
Net change in unrealized appreciation (depreciation) on:
Investments		(486,851,013	)		(2,065,882	)		(380,662,404	)
Futures contracts		1,389,901			29,526			(925,006	)
Short sales		1,155,709			—			—
Forward foreign currency contracts (Note 2e)		—			—			(270,237	)
Foreign currency translations (Note 2d)		370,729			—			481,526

Net realized and unrealized loss on investments, futures contracts, short sales, forward foreign currency contracts and foreign currency transactions		(546,033,457	)		(1,796,866	)		(276,084,941	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(465,042,694	)	$	(1,494,860	)	$	(267,629,998	)

See accompanying notes to financial statements.

| 58

Statements of Operations (continued)

For the Six Months Ended March 31, 2022 (Unaudited)


	Growth Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
INVESTMENT INCOME
Interest	$	—		$	3,158,308		$	4,933,826
Dividends		53,217,706			—			—
Less net foreign taxes withheld		(1,537,126	)		—			—

		51,680,580			3,158,308			4,933,826

Expenses
Management fees (Note 6)		34,344,940			467,765			1,526,247
Service and distribution fees (Note 6)		2,736,366			28,032			442,028
Administrative fees (Note 6)		2,949,198			80,343			209,817
Trustees’ fees and expenses (Note 6)		180,276			9,704			17,554
Trustees’ fees deferred compensation (Note 6)		(18,219	)		(9,884	)		(31,375	)
Transfer agent fees and expenses (Notes 6 and 7)		5,018,107			133,579			376,250
Audit and tax services fees		43,116			26,266			28,369
Custodian fees and expenses		173,308			12,484			21,615
Legal fees (Note 8)		139,008			3,674			9,456
Registration fees		159,464			51,048			71,877
Shareholder reporting expenses		411,697			18,374			31,149
Miscellaneous expenses		235,358			21,149			29,564

Total expenses		46,372,619			842,534			2,732,551
Less waiver and/or expense reimbursement (Note 6)		—			(70,823	)		(96,486	)

Net expenses		46,372,619			771,711			2,636,065

Net investment income		5,307,961			2,386,597			2,297,761

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain (loss) on:
Investments		928,326,494			(7,003,818	)		(1,221,874	)
Futures contracts		—			(559,568	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		(1,110,596,576	)		(14,835,150	)		(29,907,693	)
Futures contracts		—			(599,256	)		—
Foreign currency translations (Note 2d)		(85,294	)		—			—

Net realized and unrealized loss on investments and futures contracts		(182,355,376	)		(22,997,792	)		(31,129,567	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(177,047,415	)	$	(20,611,195	)	$	(28,831,806	)

See accompanying notes to financial statements.

59 |

Statements of Changes in Net Assets


	Core Plus Bond Fund						Credit Income Fund
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021
FROM OPERATIONS:
Net investment income	$	80,990,763		$	163,972,599		$	302,006		$	616,673
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		(62,098,783	)		116,923,272			239,490			91,677
Net change in unrealized appreciation (depreciation) on investments, futures contracts, short sales and foreign currency translations		(483,934,674	)		(226,524,491	)		(2,036,356	)		680,884

Net increase (decrease) in net assets resulting from operations		(465,042,694	)		54,371,380			(1,494,860	)		1,389,234

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(8,951,542	)		(26,989,208	)		(1,520	)		(2,194	)
Class C		(781,754	)		(4,109,684	)		(14	)		(20	)
Class N		(35,535,780	)		(114,300,522	)		(448,862	)		(776,415	)
Class Y		(72,555,166	)		(253,871,577	)		(1,120	)		(642	)

Total distributions		(117,824,242	)		(399,270,991	)		(451,516	)		(779,271	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(880,808,448	)		(84,293,745	)		31,613			(572,703	)

Net increase (decrease) in net assets		(1,463,675,384	)		(429,193,356	)		(1,914,763	)		37,260
NET ASSETS
Beginning of the period		8,849,550,347			9,278,743,703			24,955,540			24,918,280

End of the period	$	7,385,874,963		$	8,849,550,347		$	23,040,777		$	24,955,540

See accompanying notes to financial statements.

| 60

Statements of Changes in Net Assets (continued)


	Global Allocation Fund						Growth Fund
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021
FROM OPERATIONS:
Net investment income (loss)	$	8,454,943		$	15,287,268		$	5,307,961		$	(1,879,895	)
Net realized gain on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		105,291,180			369,056,675			928,326,494			688,859,379
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations		(381,376,121	)		307,378,584			(1,110,681,870	)		1,682,048,663

Net increase (decrease) in net assets resulting from operations		(267,629,998	)		691,722,527			(177,047,415	)		2,369,028,147

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(54,983,172	)		(37,700,764	)		(87,877,160	)		(71,172,533	)
Class C		(37,592,938	)		(27,793,335	)		(6,955,691	)		(6,613,461	)
Class N		(26,402,455	)		(17,490,999	)		(39,935,698	)		(27,159,617	)
Class Y		(248,208,914	)		(172,869,178	)		(530,904,861	)		(427,889,322	)

Total distributions		(367,187,479	)		(255,854,276	)		(665,673,410	)		(532,834,933	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		152,398,388			400,018,429			229,134,538			432,416,142

Net increase (decrease) in net assets		(482,419,089	)		835,886,680			(613,586,287	)		2,268,609,356
NET ASSETS
Beginning of the period		4,877,444,334			4,041,557,654			13,768,634,157			11,500,024,801

End of the period	$	4,395,025,245		$	4,877,444,334		$	13,155,047,870		$	13,768,634,157

See accompanying notes to financial statements.

61 |

Statements of Changes in Net Assets (continued)


	Intermediate Duration Bond Fund						Limited Term Government and Agency Fund
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021
FROM OPERATIONS:
Net investment income	$	2,386,597		$	4,516,514		$	2,297,761		$	5,377,989
Net realized gain (loss) on investments and futures contracts		(7,563,386	)		2,618,566			(1,221,874	)		4,014,542
Net change in unrealized appreciation (depreciation) on investments and futures contracts		(15,434,406	)		(6,669,694	)		(29,907,693	)		(13,859,882	)

Net increase (decrease) in net assets resulting from operations		(20,611,195	)		465,386			(28,831,806	)		(4,467,351	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(215,077	)		(742,805	)		(834,921	)		(1,888,946	)
Class C		(2,102	)		(18,045	)		(13,327	)		(6,855	)
Class N		(225,955	)		(788,205	)		(61,977	)		(104,954	)
Class Y		(3,812,025	)		(12,363,185	)		(2,749,705	)		(6,301,562	)

Total distributions		(4,255,159	)		(13,912,240	)		(3,659,930	)		(8,302,317	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(23,313,291	)		77,608,974			(50,423,101	)		27,315,308

Net increase (decrease) in net assets		(48,179,645	)		64,162,120			(82,914,837	)		14,545,640
NET ASSETS
Beginning of the period		381,676,482			317,514,362			1,033,041,404			1,018,495,764

End of the period	$	333,496,837		$	381,676,482		$	950,126,567		$	1,033,041,404

See accompanying notes to financial statements.

| 62

Financial Highlights

For a share outstanding throughout each period.


	Core Plus Bond Fund—Class A
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	13.59		$	14.08		$	13.25		$	12.53		$	12.96		$	13.06

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.21			0.26			0.34			0.35			0.28
Net realized and unrealized gain (loss)		(0.88	)		(0.13	)		0.86			0.70			(0.38	)		(0.04	)

Total from Investment Operations		(0.77	)		0.08			1.12			1.04			(0.03	)		0.24

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.29	)		(0.29	)		(0.32	)		(0.40	)		(0.34	)
Net realized capital gains		(0.03	)		(0.28	)		—			—			—			—

Total Distributions		(0.18	)		(0.57	)		(0.29	)		(0.32	)		(0.40	)		(0.34	)

Net asset value, end of the period	$	12.64		$	13.59		$	14.08		$	13.25		$	12.53		$	12.96

Total return(b)		(5.75	)%(c)		0.53	%		8.60	%		8.39	%		(0.27	)%		1.86	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	562,466		$	747,497		$	617,609		$	558,291		$	600,762		$	676,892
Net expenses		0.73	%(d)		0.71	%		0.72	%(e)		0.73	%		0.73	%		0.73	%
Gross expenses		0.73	%(d)		0.71	%		0.72	%		0.73	%		0.73	%		0.73	%
Net investment income		1.71	%(d)		1.51	%		1.88	%		2.63	%		2.71	%		2.19	%
Portfolio turnover rate		145	%		266	%		359	%(f)		297	%(g)		181	%		195	%

(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)	Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%.

(f)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio.

(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.

See accompanying notes to financial statements.

63 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Core Plus Bond Fund—Class C
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	13.60		$	14.09		$	13.25		$	12.53		$	12.96		$	13.06

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.06			0.10			0.15			0.24			0.25			0.19
Net realized and unrealized gain (loss)		(0.88	)		(0.13	)		0.88			0.70			(0.38	)		(0.05	)

Total from Investment Operations		(0.82	)		(0.03	)		1.03			0.94			(0.13	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.18	)		(0.19	)		(0.22	)		(0.30	)		(0.24	)
Net realized capital gains		(0.03	)		(0.28	)		—			—			—			—

Total Distributions		(0.13	)		(0.46	)		(0.19	)		(0.22	)		(0.30	)		(0.24	)

Net asset value, end of the period	$	12.65		$	13.60		$	14.09		$	13.25		$	12.53		$	12.96

Total return(b)		(6.18	)%(c)		(0.24	)%		7.83	%		7.57	%		(1.03	)%		1.08	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	72,494		$	95,755		$	132,590		$	160,201		$	185,758		$	248,687
Net expenses		1.48	%(d)		1.46	%		1.47	%(e)		1.48	%		1.48	%		1.48	%
Gross expenses		1.48	%(d)		1.46	%		1.47	%		1.48	%		1.48	%		1.48	%
Net investment income		0.96	%(d)		0.75	%		1.13	%		1.88	%		1.96	%		1.44	%
Portfolio turnover rate		145	%		266	%		359	%(f)		297	%(g)		181	%		195	%

(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)	Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%.

(f)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio.

(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.

See accompanying notes to financial statements.

| 64

Financial Highlights (continued)

For a share outstanding throughout each period.


	Core Plus Bond Fund—Class N
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	13.72		$	14.21		$	13.37		$	12.63		$	13.06		$	13.17

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.26			0.30			0.38			0.39			0.33
Net realized and unrealized gain (loss)		(0.90	)		(0.14	)		0.88			0.72			(0.38	)		(0.06	)

Total from Investment Operations		(0.76	)		0.12			1.18			1.10			0.01			0.27

LESS DISTRIBUTIONS FROM:
Net investment income		(0.17	)		(0.33	)		(0.34	)		(0.36	)		(0.44	)		(0.38	)
Net realized capital gains		(0.03	)		(0.28	)		—			—			—			—

Total Distributions		(0.20	)		(0.61	)		(0.34	)		(0.36	)		(0.44	)		(0.38	)

Net asset value, end of the period	$	12.76		$	13.72		$	14.21		$	13.37		$	12.63		$	13.06

Total return		(5.60	)%(b)		0.86	%		8.95	%		8.85	%		0.07	%		2.12	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,207,569		$	2,563,736		$	2,682,487		$	2,610,699		$	1,899,190		$	1,784,150
Net expenses		0.38	%(c)		0.38	%		0.38	%(d)		0.39	%		0.39	%		0.39	%
Gross expenses		0.38	%(c)		0.38	%		0.38	%		0.39	%		0.39	%		0.39	%
Net investment income		2.07	%(c)		1.84	%		2.21	%		2.96	%		3.06	%		2.53	%
Portfolio turnover rate		145	%		266	%		359	%(e)		297	%(f)		181	%		195	%

(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)	Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%.

(e)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio.

(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.

See accompanying notes to financial statements.

65 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Core Plus Bond Fund—Class Y
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	13.71		$	14.20		$	13.36		$	12.63		$	13.06		$	13.16

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.13			0.24			0.29			0.37			0.38			0.31
Net realized and unrealized gain (loss)		(0.90	)		(0.13	)		0.88			0.71			(0.38	)		(0.04	)

Total from Investment Operations		(0.77	)		0.11			1.17			1.08			0.00	(b)		0.27

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.32	)		(0.33	)		(0.35	)		(0.43	)		(0.37	)
Net realized capital gains		(0.03	)		(0.28	)		—			—			—			—

Total Distributions		(0.19	)		(0.60	)		(0.33	)		(0.35	)		(0.43	)		(0.37	)

Net asset value, end of the period	$	12.75		$	13.71		$	14.20		$	13.36		$	12.63		$	13.06

Total return		(5.65	)%(c)		0.78	%		8.87	%		8.67	%		(0.02	)%		2.10	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	4,543,346		$	5,442,563		$	5,846,057		$	4,163,785		$	3,733,751		$	3,846,208
Net expenses		0.48	%(d)		0.46	%		0.47	%(e)		0.48	%		0.48	%		0.48	%
Gross expenses		0.48	%(d)		0.46	%		0.47	%		0.48	%		0.48	%		0.48	%
Net investment income		1.97	%(d)		1.76	%		2.11	%		2.87	%		2.97	%		2.43	%
Portfolio turnover rate		145	%		266	%		359	%(f)		297	%(g)		181	%		195	%

(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)	Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%.

(f)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio.

(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.

See accompanying notes to financial statements.

| 66

Financial Highlights (continued)

For a share outstanding throughout each period.


	Credit Income Fund—Class A
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Period Ended September 30, 2020*
Net asset value, beginning of the period	$	10.21		$	9.97		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.11			0.21			(0.00	)(b)
Net realized and unrealized gain (loss)		(0.74	)		0.31			(0.03	)

Total from Investment Operations		(0.63	)		0.52			(0.03	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.28	)		—
Net realized capital gains		(0.04	)		(0.00	)(b)		—

Total Distributions		(0.17	)		(0.28	)		—

Net asset value, end of the period	$	9.41		$	10.21		$	9.97

Total return(c)(d)		(6.24	)%(e)		5.24	%		(0.30	)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	85		$	91		$	1
Net expenses(f)		0.82	%(g)		0.82	%		0.82	%(g)
Gross expenses		4.27	%(g)		4.79	%		125.79	%(g)
Net investment income (loss)		2.20	%(g)		2.07	%		(0.82	)%(g)
Portfolio turnover rate		13	%		55	%		0	%

*	From commencement of operations on September 29, 2020 through September 30, 2020.

(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 sales charge for Class A 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.

67 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Credit Income Fund—Class C
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Period Ended September 30, 2020*
Net asset value, beginning of the period	$	10.20		$	9.97		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.07			0.13			(0.00	)(b)
Net realized and unrealized gain (loss)		(0.74	)		0.30			(0.03	)

Total from Investment Operations		(0.67	)		0.43			(0.03	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.20	)		—
Net realized capital gains		(0.04	)		(0.00	)(b)		—

Total Distributions		(0.13	)		(0.20	)		—

Net asset value, end of the period	$	9.40		$	10.20		$	9.97

Total return(c)(d)		(6.59	)%(e)		4.34	%		(0.30	)%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	1		$	1
Net expenses(f)		1.57	%(g)		1.57	%		1.57	%(g)
Gross expenses		5.10	%(g)		5.60	%		126.54	%(g)
Net investment income (loss)		1.40	%(g)		1.29	%		(1.57	)%(g)
Portfolio turnover rate		13	%		55	%		0	%

*	From commencement of operations on September 29, 2020 through September 30, 2020.

(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)	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.

| 68

Financial Highlights (continued)

For a share outstanding throughout each period.


	Credit Income Fund—Class N
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Period Ended September 30, 2020*
Net asset value, beginning of the period	$	10.21		$	9.97		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.24			0.00	(b)
Net realized and unrealized gain (loss)		(0.74	)		0.31			(0.03	)

Total from Investment Operations		(0.62	)		0.55			(0.03	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.31	)		—
Net realized capital gains		(0.04	)		(0.00	)(b)		—

Total Distributions		(0.18	)		(0.31	)		—

Net asset value, end of the period	$	9.41		$	10.21		$	9.97

Total return(c)		(6.10	)%(d)		5.54	%		(0.30	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	22,908		$	24,842		$	24,915
Net expenses(e)		0.52	%(f)		0.52	%		0.52	%(f)
Gross expenses		1.18	%(f)		1.16	%		27.91	%(f)
Net investment income		2.50	%(f)		2.38	%		0.55	%(f)
Portfolio turnover rate		13	%		55	%		0	%

*	From commencement of operations on September 29, 2020 through September 30, 2020.

(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.

69 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Credit Income Fund—Class Y
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Period Ended September 30, 2020*
Net asset value, beginning of the period	$	10.20		$	9.97		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.12			0.24			(0.00	)(b)
Net realized and unrealized gain (loss)		(0.73	)		0.29			(0.03	)

Total from Investment Operations		(0.61	)		0.53			(0.03	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.30	)		—
Net realized capital gains		(0.04	)		(0.00	)(b)		—

Total Distributions		(0.18	)		(0.30	)		—

Net asset value, end of the period	$	9.41		$	10.20		$	9.97

Total return(c)		(6.03	)%(d)		5.38	%		(0.30	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	46		$	22		$	1
Net expenses(e)		0.57	%(f)		0.57	%		0.57	%(f)
Gross expenses		4.02	%(f)		4.54	%		125.54	%(f)
Net investment income (loss)		2.49	%(f)		2.33	%		(0.57	)%(f)
Portfolio turnover rate		13	%		55	%		0	%

*	From commencement of operations on September 29, 2020 through September 30, 2020.

(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.

See accompanying notes to financial statements.

| 70

Financial Highlights (continued)

For a share outstanding throughout each period.


	Global Allocation Fund—Class A
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	28.86		$	26.23		$	23.76		$	23.10		$	21.60		$	19.17

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03			0.06			0.10			0.19			0.23			0.31
Net realized and unrealized gain (loss)		(1.43	)		4.18			3.05			1.38			1.75			2.36

Total from Investment Operations		(1.40	)		4.24			3.15			1.57			1.98			2.67

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.13	)		(0.12	)		(0.16	)		(0.19	)		(0.24	)
Net realized capital gains		(2.16	)		(1.48	)		(0.56	)		(0.75	)		(0.29	)		—

Total Distributions		(2.16	)		(1.61	)		(0.68	)		(0.91	)		(0.48	)		(0.24	)

Net asset value, end of the period	$	25.30		$	28.86		$	26.23		$	23.76		$	23.10		$	21.60

Total return(b)		(5.58	)%(c)		16.73	%		13.41	%		7.66	%		9.26	%		14.10	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	660,192		$	737,469		$	632,479		$	453,009		$	401,036		$	305,275
Net expenses		1.13	%(d)		1.13	%		1.15	%		1.16	%		1.16	%		1.18	%
Gross expenses		1.13	%(d)		1.13	%		1.15	%		1.16	%		1.16	%		1.18	%
Net investment income		0.23	%(d)		0.23	%		0.42	%		0.83	%		1.03	%		1.57	%
Portfolio turnover rate		20	%		45	%		37	%		27	%		22	%		35	%

(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.

71 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Global Allocation Fund—Class C
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	28.26		$	25.78		$	23.43		$	22.78		$	21.29		$	18.89

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.07	)		(0.14	)		(0.08	)		0.02			0.06			0.16
Net realized and unrealized gain (loss)		(1.39	)		4.10			2.99			1.38			1.73			2.33

Total from Investment Operations		(1.46	)		3.96			2.91			1.40			1.79			2.49

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.00	)(b)		(0.01	)		(0.09	)
Net realized capital gains		(2.16	)		(1.48	)		(0.56	)		(0.75	)		(0.29	)		—

Total Distributions		(2.16	)		(1.48	)		(0.56	)		(0.75	)		(0.30	)		(0.09	)

Net asset value, end of the period	$	24.64		$	28.26		$	25.78		$	23.43		$	22.78		$	21.29

Total return(c)		(5.93	)%(d)		15.85	%		12.55	%		6.85	%		8.46	%		13.22	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	445,430		$	503,073		$	483,814		$	480,479		$	412,610		$	354,017
Net expenses		1.88	%(e)		1.88	%		1.90	%		1.91	%		1.91	%		1.93	%
Gross expenses		1.88	%(e)		1.88	%		1.90	%		1.91	%		1.91	%		1.93	%
Net investment income (loss)		(0.52	)%(e)		(0.52	)%		(0.33	)%		0.08	%		0.29	%		0.84	%
Portfolio turnover rate		20	%		45	%		37	%		27	%		22	%		35	%

(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.

| 72

Financial Highlights (continued)

For a share outstanding throughout each period.


	Global Allocation Fund—Class N
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Period Ended September 30, 2017*
Net asset value, beginning of the period	$	29.09		$	26.42		$	23.92		$	23.25		$	21.73		$	19.20

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.15			0.18			0.27			0.31			0.20
Net realized and unrealized gain (loss)		(1.44	)		4.21			3.07			1.38			1.75			2.33

Total from Investment Operations		(1.36	)		4.36			3.25			1.65			2.06			2.53

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.21	)		(0.19	)		(0.23	)		(0.25	)		—
Net realized capital gains		(2.16	)		(1.48	)		(0.56	)		(0.75	)		(0.29	)		—

Total Distributions		(2.21	)		(1.69	)		(0.75	)		(0.98	)		(0.54	)		—

Net asset value, end of the period	$	25.52		$	29.09		$	26.42		$	23.92		$	23.25		$	21.73

Total return		(5.43	)%(b)		17.10	%		13.78	%		8.04	%		9.60	%		13.18	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	332,019		$	350,222		$	264,338		$	202,692		$	80,346		$	59,512
Net expenses		0.81	%(c)		0.81	%		0.82	%		0.82	%		0.83	%		0.87	%(c)
Gross expenses		0.81	%(c)		0.81	%		0.82	%		0.82	%		0.83	%		0.87	%(c)
Net investment income		0.56	%(c)		0.55	%		0.76	%		1.20	%		1.36	%		1.48	%(c)
Portfolio turnover rate		20	%		45	%		37	%		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.

73 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Global Allocation Fund—Class Y
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	29.09		$	26.42		$	23.92		$	23.25		$	21.74		$	19.29

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.13			0.16			0.24			0.29			0.36
Net realized and unrealized gain (loss)		(1.45	)		4.21			3.07			1.40			1.75			2.37

Total from Investment Operations		(1.38	)		4.34			3.23			1.64			2.04			2.73

LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.19	)		(0.17	)		(0.22	)		(0.24	)		(0.28	)
Net realized capital gains		(2.16	)		(1.48	)		(0.56	)		(0.75	)		(0.29	)		—

Total Distributions		(2.19	)		(1.67	)		(0.73	)		(0.97	)		(0.53	)		(0.28	)

Net asset value, end of the period	$	25.52		$	29.09		$	26.42		$	23.92		$	23.25		$	21.74

Total return		(5.49	)%(b)		17.02	%		13.70	%		7.95	%		9.49	%		14.42	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,957,384		$	3,286,680		$	2,660,927		$	1,938,124		$	1,549,689		$	1,067,062
Net expenses		0.88	%(c)		0.88	%		0.90	%		0.91	%		0.91	%		0.93	%
Gross expenses		0.88	%(c)		0.88	%		0.90	%		0.91	%		0.91	%		0.93	%
Net investment income		0.49	%(c)		0.48	%		0.67	%		1.08	%		1.29	%		1.79	%
Portfolio turnover rate		20	%		45	%		37	%		27	%		22	%		35	%

(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.

| 74

Financial Highlights (continued)

For a share outstanding throughout each period.


	Growth Fund—Class A
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	23.85		$	20.72		$	16.02		$	16.05		$	14.04		$	11.96

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		(0.05	)		0.01			0.05			0.06			0.06
Net realized and unrealized gain (loss)		(0.30	)		4.17			5.14			0.71			2.29			2.18

Total from Investment Operations		(0.32	)		4.12			5.15			0.76			2.35			2.24

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.05	)		(0.05	)		(0.05	)		(0.05	)
Net realized capital gains		(1.24	)		(0.99	)		(0.40	)		(0.74	)		(0.29	)		(0.11	)

Total Distributions		(1.24	)		(0.99	)		(0.45	)		(0.79	)		(0.34	)		(0.16	)

Net asset value, end of the period	$	22.29		$	23.85		$	20.72		$	16.02		$	16.05		$	14.04

Total return(b)		(1.73	)%(c)		20.43	%		32.80	%		5.81	%		16.98	%		18.99	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,639,592		$	1,740,523		$	1,477,915		$	1,250,030		$	1,083,362		$	983,047
Net expenses		0.89	%(d)		0.89	%		0.90	%		0.91	%		0.90	%		0.91	%
Gross expenses		0.89	%(d)		0.89	%		0.90	%		0.91	%		0.90	%		0.91	%
Net investment income (loss)		(0.14	)%(d)		(0.22	)%		0.04	%		0.35	%		0.39	%		0.45	%
Portfolio turnover rate		14	%		9	%		19	%		7	%		11	%		8	%

(a)	Per share net investment income (loss) 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.

75 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Growth Fund—Class C
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	21.21		$	18.66		$	14.53		$	14.68		$	12.92		$	11.06

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.09	)		(0.20	)		(0.11	)		(0.06	)		(0.05	)		(0.03	)
Net realized and unrealized gain (loss)		(0.26	)		3.74			4.64			0.65			2.10			2.00

Total from Investment Operations		(0.35	)		3.54			4.53			0.59			2.05			1.97

LESS DISTRIBUTIONS FROM:
Net realized capital gains		(1.24	)		(0.99	)		(0.40	)		(0.74	)		(0.29	)		(0.11	)

Net asset value, end of the period	$	19.62		$	21.21		$	18.66		$	14.53		$	14.68		$	12.92

Total return(b)		(2.10	)%(c)		19.55	%		31.76	%		5.05	%		16.09	%		18.03	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	104,846		$	127,003		$	128,764		$	120,493		$	130,133		$	133,329
Net expenses		1.64	%(d)		1.63	%		1.65	%		1.66	%		1.65	%		1.66	%
Gross expenses		1.64	%(d)		1.63	%		1.65	%		1.66	%		1.65	%		1.66	%
Net investment loss		(0.90	)%(d)		(0.97	)%		(0.71	)%		(0.39	)%		(0.36	)%		(0.29	)%
Portfolio turnover rate		14	%		9	%		19	%		7	%		11	%		8	%

(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.

See accompanying notes to financial statements.

| 76

Financial Highlights (continued)

For a share outstanding throughout each period.


	Growth Fund—Class N
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	25.73		$	22.26		$	17.17		$	17.15		$	14.97		$	12.73

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03			0.02			0.07			0.11			0.12			0.11
Net realized and unrealized gain (loss)		(0.34	)		4.49			5.53			0.76			2.44			2.32

Total from Investment Operations		(0.31	)		4.51			5.60			0.87			2.56			2.43

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.05	)		(0.11	)		(0.11	)		(0.09	)		(0.08	)
Net realized capital gains		(1.24	)		(0.99	)		(0.40	)		(0.74	)		(0.29	)		(0.11	)

Total Distributions		(1.24	)		(1.04	)		(0.51	)		(0.85	)		(0.38	)		(0.19	)

Net asset value, end of the period	$	24.18		$	25.73		$	22.26		$	17.17		$	17.15		$	14.97

Total return		(1.56	)%(b)		20.80	%		33.26	%		6.14	%		17.40	%(c)		19.39	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	977,013		$	806,186		$	579,571		$	442,787		$	1,001,688		$	341,160
Net expenses		0.56	%(d)		0.56	%		0.57	%		0.56	%		0.57	%(e)		0.57	%(e)
Gross expenses		0.56	%(d)		0.56	%		0.57	%		0.56	%		0.58	%		0.58	%
Net investment income		0.22	%(d)		0.09	%		0.38	%		0.69	%		0.73	%		0.80	%
Portfolio turnover rate		14	%		9	%		19	%		7	%		11	%		8	%

(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.

See accompanying notes to financial statements.

77 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Growth Fund—Class Y
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	25.73		$	22.26		$	17.17		$	17.14		$	14.97		$	12.73

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.01			0.01			0.05			0.10			0.10			0.09
Net realized and unrealized gain (loss)		(0.33	)		4.48			5.53			0.77			2.44			2.33

Total from Investment Operations		(0.32	)		4.49			5.58			0.87			2.54			2.42

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.03	)		(0.09	)		(0.10	)		(0.08	)		(0.07	)
Net realized capital gains		(1.24	)		(0.99	)		(0.40	)		(0.74	)		(0.29	)		(0.11	)

Total Distributions		(1.24	)		(1.02	)		(0.49	)		(0.84	)		(0.37	)		(0.18	)

Net asset value, end of the period	$	24.17		$	25.73		$	22.26		$	17.17		$	17.14		$	14.97

Total return		(1.60	)%(b)		20.72	%		33.15	%		6.09	%		17.25	%		19.31	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	10,433,597		$	11,094,922		$	9,313,775		$	7,017,707		$	6,620,996		$	5,749,576
Net expenses		0.64	%(c)		0.64	%		0.65	%		0.66	%		0.65	%		0.66	%
Gross expenses		0.64	%(c)		0.64	%		0.65	%		0.66	%		0.65	%		0.66	%
Net investment income		0.11	%(c)		0.02	%		0.27	%		0.60	%		0.64	%		0.69	%
Portfolio turnover rate		14	%		9	%		19	%		7	%		11	%		8	%

(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.

| 78

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class A
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	10.58		$	10.99		$	10.51		$	9.97		$	10.29		$	10.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05			0.11			0.19			0.25			0.22			0.17
Net realized and unrealized gain (loss)		(0.63	)		(0.11	)		0.54			0.55			(0.31	)		(0.12	)

Total from Investment Operations		(0.58	)		(0.00	)(b)		0.73			0.80			(0.09	)		0.05

LESS DISTRIBUTIONS FROM:
Net investment income		(0.06	)		(0.12	)		(0.20	)		(0.26	)		(0.23	)		(0.20	)
Net realized capital gains		(0.05	)		(0.29	)		(0.05	)		—			—			(0.08	)

Total Distributions		(0.11	)		(0.41	)		(0.25	)		(0.26	)		(0.23	)		(0.28	)

Net asset value, end of the period	$	9.89		$	10.58		$	10.99		$	10.51		$	9.97		$	10.29

Total return(c)(d)		(5.58	)%(e)		(0.06	)%		7.06	%		8.11	%		(0.85	)%		0.44	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	21,804		$	20,942		$	19,962		$	21,415		$	19,149		$	21,828
Net expenses(f)		0.65	%(g)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Gross expenses		0.69	%(g)		0.70	%		0.72	%		0.72	%		0.70	%		0.72	%
Net investment income		1.06	%(g)		1.03	%		1.78	%		2.42	%		2.17	%		1.69	%
Portfolio turnover rate		75	%		100	%		123	%		135	%		152	%		216	%

(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 sales charge for Class A 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.

79 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class C
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	10.62		$	11.02		$	10.54		$	10.00		$	10.30		$	10.53

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.01			0.03			0.11			0.17			0.13			0.10
Net realized and unrealized gain (loss)		(0.64	)		(0.11	)		0.54			0.55			(0.31	)		(0.13	)

Total from Investment Operations		(0.63	)		(0.08	)		0.65			0.72			(0.18	)		(0.03	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.02	)		(0.03	)		(0.12	)		(0.18	)		(0.12	)		(0.12	)
Net realized capital gains		(0.05	)		(0.29	)		(0.05	)		—			—			(0.08	)

Total Distributions		(0.07	)		(0.32	)		(0.17	)		(0.18	)		(0.12	)		(0.20	)

Net asset value, end of the period	$	9.92		$	10.62		$	11.02		$	10.54		$	10.00		$	10.30

Total return(b)(c)		(6.02	)%(d)		(0.76	)%		6.27	%		7.28	%		(1.71	)%		(0.29	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	318		$	315		$	668		$	467		$	2		$	3,225
Net expenses(e)		1.40	%(f)		1.40	%		1.40	%		1.40	%		1.40	%		1.40	%
Gross expenses		1.44	%(f)		1.45	%		1.46	%		1.48	%		1.45	%		1.48	%
Net investment income		0.29	%(f)		0.30	%		1.00	%		1.64	%		1.31	%		0.95	%
Portfolio turnover rate		75	%		100	%		123	%		135	%		152	%		216	%

(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)	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.

| 80

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class N
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Period Ended September 30, 2019*
Net asset value, beginning of the period	$	10.57		$	10.98		$	10.50		$	10.07

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.14			0.22			0.17
Net realized and unrealized gain (loss)		(0.64	)		(0.11	)		0.54			0.45

Total from Investment Operations		(0.57	)		0.03			0.76			0.62

LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.15	)		(0.23	)		(0.19	)
Net realized capital gains		(0.05	)		(0.29	)		(0.05	)		—

Total Distributions		(0.12	)		(0.44	)		(0.28	)		(0.19	)

Net asset value, end of the period	$	9.88		$	10.57		$	10.98		$	10.50

Total return(b)		(5.45	)%(c)		0.25	%		7.39	%		6.19	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	19,153		$	20,094		$	3,307		$	3,546
Net expenses(d)		0.35	%(e)		0.35	%		0.35	%		0.35	%(e)
Gross expenses		0.37	%(e)		0.38	%		0.43	%		0.42	%(e)
Net investment income		1.35	%(e)		1.32	%		2.09	%		2.54	%(e)
Portfolio turnover rate		75	%		100	%		123	%		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.

81 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class Y
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	10.58		$	10.99		$	10.51		$	9.97		$	10.29		$	10.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.14			0.21			0.27			0.25			0.20
Net realized and unrealized gain (loss)		(0.65	)		(0.11	)		0.54			0.55			(0.31	)		(0.13	)

Total from Investment Operations		(0.58	)		0.03			0.75			0.82			(0.06	)		0.07

LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.15	)		(0.22	)		(0.28	)		(0.26	)		(0.22	)
Net realized capital gains		(0.05	)		(0.29	)		(0.05	)		—			—			(0.08	)

Total Distributions		(0.12	)		(0.44	)		(0.27	)		(0.28	)		(0.26	)		(0.30	)

Net asset value, end of the period	$	9.88		$	10.58		$	10.99		$	10.51		$	9.97		$	10.29

Total return(b)		(5.56	)%(c)		0.20	%		7.33	%		8.38	%		(0.60	)%		0.69	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	292,221		$	340,326		$	293,577		$	215,752		$	148,119		$	154,668
Net expenses(d)		0.40	%(e)		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Gross expenses		0.44	%(e)		0.45	%		0.47	%		0.48	%		0.45	%		0.47	%
Net investment income		1.29	%(e)		1.28	%		2.01	%		2.67	%		2.43	%		1.93	%
Portfolio turnover rate		75	%		100	%		123	%		135	%		152	%		216	%

(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.

| 82

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class A
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	11.40		$	11.54		$	11.34		$	11.09		$	11.32		$	11.51

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.02			0.04			0.11			0.15			0.11			0.08
Net realized and unrealized gain (loss)		(0.37	)		(0.11	)		0.25			0.34			(0.13	)		(0.09	)

Total from Investment Operations		(0.35	)		(0.07	)		0.36			0.49			(0.02	)		(0.01	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.07	)		(0.16	)		(0.24	)		(0.21	)		(0.18	)

Net asset value, end of the period	$	11.02		$	11.40		$	11.54		$	11.34		$	11.09		$	11.32

Total return(b)		(3.04	)%(c)(d)		(0.58	)%(c)		3.19	%		4.42	%		(0.17	)%		(0.04	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	266,319		$	287,244		$	296,217		$	308,186		$	328,475		$	336,227
Net expenses		0.69	%(e)(f)(g)		0.73	%(e)(h)(i)		0.78	%(j)		0.80	%		0.80	%		0.80	%
Gross expenses		0.71	%(f)(g)		0.73	%(h)		0.78	%		0.80	%		0.80	%		0.80	%
Net investment income		0.33	%(g)		0.36	%		0.93	%		1.31	%		1.02	%		0.67	%
Portfolio turnover rate		94	%		247	%		319	%(k)		527	%(k)		157	%		126	%

(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)	Includes refund of prior year service fee of 0.01%. See Note 6b of Notes to Financial Statements.

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

(h)	Includes refund of prior year service fee of 0.01%.

(i)	Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%.

(j)	Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%.

(k)	The variation in the Fund’s turnover rate from 2018 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies.

See accompanying notes to financial statements.

83 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class C
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	11.38		$	11.54		$	11.35		$	11.10		$	11.33		$	11.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		(0.05	)		0.02			0.06			0.03			(0.01	)
Net realized and unrealized gain (loss)		(0.36	)		(0.11	)		0.24			0.34			(0.13	)		(0.08	)

Total from Investment Operations		(0.38	)		(0.16	)		0.26			0.40			(0.10	)		(0.09	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.00	)(b)		(0.07	)		(0.15	)		(0.13	)		(0.10	)

Net asset value, end of the period	$	10.99		$	11.38		$	11.54		$	11.35		$	11.10		$	11.33

Total return(c)		(3.37	)%(d)(e)		(1.35	)%(d)		2.34	%		3.64	%		(0.91	)%		(0.79	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	20,130		$	24,922		$	19,628		$	22,142		$	23,341		$	43,319
Net expenses		1.45	%(f)(g)		1.48	%(f)(h)		1.53	%(i)		1.55	%		1.55	%		1.55	%
Gross expenses		1.47	%(g)		1.49	%		1.53	%		1.55	%		1.55	%		1.55	%
Net investment income (loss)		(0.44	)%(g)		(0.40	)%		0.18	%		0.57	%		0.24	%		(0.09	)%
Portfolio turnover rate		94	%		247	%		319	%(j)		527	%(j)		157	%		126	%

(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)	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)	Effective July 1, 2021, the expense limit decreased from 1.50% to 1.45%.

(i)	Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%.

(j)	The variation in the Fund’s turnover rate from 2018 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies.

See accompanying notes to financial statements.

| 84

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class N
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Period Ended September 30, 2017*
Net asset value, beginning of the period	$	11.43		$	11.57		$	11.37		$	11.12		$	11.36		$	11.39

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03			0.08			0.14			0.19			0.15			0.05
Net realized and unrealized gain (loss)		(0.36	)		(0.11	)		0.26			0.33			(0.14	)		0.08	(b)

Total from Investment Operations		(0.33	)		(0.03	)		0.40			0.52			0.01			0.13

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.11	)		(0.20	)		(0.27	)		(0.25	)		(0.16	)

Net asset value, end of the period	$	11.05		$	11.43		$	11.57		$	11.37		$	11.12		$	11.36

Total return(c)		(2.89	)%(d)		(0.25	)%		3.53	%		4.77	%		0.09	%		1.12	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	13,617		$	12,972		$	11,035		$	5,272		$	3,176		$	1,900
Net expenses(e)		0.39	%(f)		0.40	%(g)		0.45	%(h)		0.46	%		0.46	%		0.47	%(f)
Gross expenses		0.41	%(f)		0.41	%		0.46	%		0.48	%		0.48	%		0.50	%(f)
Net investment income		0.62	%(f)		0.68	%		1.20	%		1.65	%		1.37	%		0.64	%(f)
Portfolio turnover rate		94	%		247	%		319	%(i)		527	%(i)		157	%		126	%(j)

*	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)	Effective July 1, 2021, the expense limit decreased from 0.45% to 0.40%.

(h)	Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%.

(i)	The variation in the Fund’s turnover rate from 2018 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies.

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

See accompanying notes to financial statements.

85 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class Y
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	11.43		$	11.57		$	11.38		$	11.13		$	11.36		$	11.55

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03			0.07			0.13			0.17			0.14			0.11
Net realized and unrealized gain (loss)		(0.36	)		(0.11	)		0.25			0.34			(0.13	)		(0.09	)

Total from Investment Operations		(0.33	)		(0.04	)		0.38			0.51			0.01			0.02

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.10	)		(0.19	)		(0.26	)		(0.24	)		(0.21	)

Net asset value, end of the period	$	11.05		$	11.43		$	11.57		$	11.38		$	11.13		$	11.36

Total return		(2.92	)%(b)(c)		(0.33	)%(b)		3.35	%		4.67	%		0.09	%		0.22	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	650,060		$	707,904		$	691,616		$	457,248		$	366,847		$	360,322
Net expenses		0.45	%(d)(e)		0.48	%(d)(f)		0.53	%(g)		0.55	%		0.55	%		0.55	%
Gross expenses		0.47	%(e)		0.49	%		0.53	%		0.55	%		0.55	%		0.55	%
Net investment income		0.56	%(e)		0.61	%		1.11	%		1.55	%		1.26	%		0.92	%
Portfolio turnover rate		94	%		247	%		319	%(h)		527	%(h)		157	%		126	%

(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)	Effective July 1, 2021, the expense limit decreased from 0.50% to 0.45%.

(g)	Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%.

(h)	The variation in the Fund’s turnover rate from 2018 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies.

See accompanying notes to financial statements.

| 86

Notes to Financial Statements

March 31, 2022 (Unaudited)

1. Organization. Natixis Funds Trust I, 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:

Natixis Funds Trust I:

Loomis Sayles Core Plus Bond Fund (the “Core Plus Bond Fund”)

Loomis Sayles Funds I:

Loomis Sayles Intermediate Duration Bond Fund (the “Intermediate Duration Bond Fund”)

Loomis Sayles Funds II:

Loomis Sayles Credit Income Fund (the “Credit Income Fund”)

Loomis Sayles Global Allocation Fund (the “Global Allocation Fund”)

Loomis Sayles Growth Fund (the “Growth Fund”)

Loomis Sayles Limited Term Government and Agency Fund (the “Limited Term Government and Agency Fund”)

Each Fund is a diversified investment company.

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

Class A shares are sold with a maximum front-end sales charge of 4.25% for Core Plus Bond Fund, Credit Income Fund and Intermediate Duration Bond Fund, 5.75% for Global Allocation Fund and Growth Fund, and 2.25% for Limited Term Government and Agency Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) 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 and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A 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 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 and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available. Short sales of debt securities are valued based on an evaluated ask price

87 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

furnished to the Funds by an independent pricing service. 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 and collateralized loan obligations 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 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, 2022, securities held by the Funds were fair valued as follows:


Fund	Equity securities¹		Percentage of Net Assets		Securities classified as fair valued		Percentage of Net Assets		Securities fair valued by the Fund’s adviser		Percentage of Net Assets
Core Plus Bond Fund	$	—		—	$	—		—	$	153,360		Less than 0.1%
Credit Income Fund		—		—		278,750		1.2%		—		—
Global Allocation Fund		546,564,125		12.4%		15,861,966		0.4%		—		—
Intermediate Duration Bond Fund		—		—		—		—		261		Less than 0.1%
Limited Term Government and Agency Fund		—		—		—		—		3,754,517		0.4%

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. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. 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.

| 88

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

c. Short Sales. A short sale is a transaction in which a Fund sells a security it does not own, usually in anticipation of a decline in the fair market value of the security. When closing out a short position, a Fund will have to purchase the security it originally sold short. The value of short sales is reflected as a liability in the Statements of Assets and Liabilities and is marked-to-market daily. A Fund will realize a profit from closing out a short position if the price of the security sold short has declined since the short position was opened; a Fund will realize a loss from closing out a short position if the value of the shorted security has risen since the short position was opened. Because there is no upper limit on the price to which a security can rise, short selling exposes a Fund to potentially unlimited losses. The Funds intend to cover their short sale transactions by segregating or earmarking liquid assets, such that the segregated/earmarked amount, equals the current market value of the securities underlying the short sale.

For the six months ended March 31, 2022, Core Plus Bond Fund engaged in short sales.

d. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, 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, 2022, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:


Core Plus Bond Fund		$	2,879,477

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.

e. Forward Foreign Currency Contracts. A Fund 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. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

f. Futures Contracts. A Fund 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

89 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

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 outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

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.

g. When-Issued and Delayed Delivery Transactions. A Fund 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.

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.

h. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2022 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. 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 are expected to be filed and paid 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.

Certain Funds have filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries (EU reclaims) and may continue to make such filings when it is determined to be in the best interest of the Funds and their shareholders. These filings are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the European Union, as well as a number of related judicial proceedings. EU reclaims are recognized by a Fund when deemed more likely than not to be collected, and are reflected as a reduction of foreign taxes withheld in the Statements of Operations. Any related receivable is reflected as tax reclaims receivable in the Statements of Assets and Liabilities.

| 90

Notes to Financial Statements (continued)

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Under certain circumstances, EU reclaims may be subject to closing agreements with the Internal Revenue Service (IRS), which may materially reduce the reclaim amounts realized by the Funds. Fees and expenses associated with closing agreements will be reflected in the Statements of Operations when it is determined that a closing agreement with the IRS is required.

i. 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, convertible bond adjustments, defaulted and/or non-income producing securities, distribution re-designations, contingent payment debt instruments, return of capital distributions received, net operating losses, redemptions in-kind, treasury inflation-protected bonds, premium amortization and paydown gains and 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 deferred Trustees’ fees, forward foreign currency contract mark-to-market, wash sales, premium amortization, trust preferred securities, futures contract mark-to-market, return of capital distributions received and dividends payable. 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.

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, 2021 was as follows:


	2021 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total
Core Plus Bond Fund	$	363,707,896	$	35,563,095	$	399,270,991
Credit Income Fund		779,271		—		779,271
Global Allocation Fund		26,444,526		229,409,750		255,854,276
Growth Fund		24,536,652		508,298,281		532,834,933
Intermediate Duration Bond Fund		12,774,431		1,137,809		13,912,240
Limited Term Government and Agency Fund		8,302,317		—		8,302,317

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, 2021, capital loss carryforwards were as follows:


	Core Plus Bond Fund		Credit Income Fund		Global Allocation Fund		Growth Fund		Intermediate Duration Bond Fund		Limited Term Government and Agency Fund
Capital loss carryforward:
Short-term:
No expiration date	$	—	$	—	$	—	$	—	$	—	$	(183,761	)
Long-term:
No expiration date		—		—		—		—		—		(28,753,709	)

Total capital loss carryforward	$	—	$	—	$	—	$	—	$	—	$	(28,937,470	)

91 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

As of March 31, 2022, unrealized appreciation (depreciation) on a tax basis was approximately as follows:


	Core Plus Bond Fund			Credit Income Fund			Global Allocation Fund			Growth Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
Unrealized appreciation (depreciation) Investments	$	(361,956,861	)	$	(1,557,684	)	$	698,282,558		$	5,473,731,741		$	(14,106,886	)	$	(27,873,944	)
Foreign currency translations		(4,542,583	)		–			(12,727,981	)		(93,683	)		–			–

Total unrealized appreciation (depreciation)	$	(366,499,444	)	$	(1,557,684	)	$	685,554,577		$	5,473,638,058		$	(14,106,886	)	$	(27,873,944	)

As of March 31, 2022, 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			Credit Income Fund			Global Allocation Fund			Growth Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
Federal tax cost	$	8,120,600,626		$	24,526,077		$	3,675,710,585		$	7,672,685,969		$	347,704,641		$	976,768,056

Gross tax appreciation	$	26,138,010		$	230,124		$	840,340,481		$	5,592,990,340		$	847,597		$	1,619,200
Gross tax depreciation		(392,939,505	)		(1,787,808	)		(153,387,095	)		(119,258,599	)		(14,954,483	)		(29,493,144	)

Net tax appreciation (depreciation)	$	(366,801,495	)	$	(1,557,684	)	$	686,953,386		$	5,473,731,741		$	(14,106,886	)	$	(27,873,944	)

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.

j. Senior Loans. A Fund’s investment in senior loans may be 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. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

k. Collateralized Loan Obligations. A Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

l. 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, 2022, 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.

| 92

Notes to Financial Statements (continued)

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m. Due to/from Brokers. Transactions and positions in certain futures, forward foreign currency contracts and delayed delivery commitments 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 brokers balance in the Statements of Assets and Liabilities for Core Plus Bond Fund represents cash pledged as collateral for delayed delivery securities and as initial margin for futures contracts. 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 and as initial margin for futures contracts. The due from brokers balance in the Statements of Assets and Liabilities for Intermediate Duration Bond Fund represents cash pledged as initial margin for futures 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.

n. Securities Lending. Each Fund, except Credit Income Fund, has 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, 2022, none of the Funds had loaned securities under this agreement.

o. 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.

p. New Accounting Pronouncement. In January 2021, the Financial Accounting Standards Board issued Accounting Standard Update 2021-01, Reference Rate Reform (Topic 848) (“ASU 2021-01”). ASU 2021-01 is an update of ASU 2020-04, which was issued in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), expected to occur no later than June 30, 2023. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. The amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. Management expects to apply the optional expedients when appropriate.

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).

93 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

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.

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2022, at value:

Core Plus Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2			Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Collateralized Mortgage Obligations	$	—	$	13,015,770		$	153,360	(b)	$	13,169,130
All Other Non-Convertible Bonds(a)		—		6,591,396,687			—			6,591,396,687

Total Non-Convertible Bonds		—		6,604,412,457			153,360			6,604,565,817

Municipals(a)		—		9,728,787			—			9,728,787

Total Bonds and Notes		—		6,614,141,244			153,360			6,614,294,604

Senior Loans(a)		—		429,679,179			—			429,679,179
Collateralized Loan Obligations		—		108,552,145			—			108,552,145
Short-Term Investments		—		598,727,593			—			598,727,593

Total Investments		—		7,751,100,161			153,360			7,751,253,521

Futures Contracts (unrealized appreciation)		1,389,901		—			—			1,389,901

Total	$	1,389,901	$	7,751,100,161		$	153,360		$	7,752,643,422


Liability Valuation Inputs

Description	Level 1		Level 2			Level 3			Total
Bonds and Notes Sold Short(a)	$	—	$	(70,267,106	)	$	—		$	(70,267,106	)

(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.

| 94

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

Credit Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	21,285,094	$	—	$	21,285,094
Collateralized Loan Obligations		—		727,872		—		727,872
Preferred Stocks
Wireless		—		278,750		—		278,750
All Other Preferred Stocks(a)		255,816		—		—		255,816

Total Preferred Stocks		255,816		278,750		—		534,566

Short-Term Investments		—		355,617		—		355,617

Total Investments		255,816		22,647,333		—		22,903,149

Futures Contracts (unrealized appreciation)		65,244		—		—		65,244

Total	$	321,060	$	22,647,333	$	—	$	22,968,393

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

Global Allocation Fund

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Common Stocks
France	$	—		$	97,048,288		$	—	$	97,048,288
Hong Kong		—			34,794,423			—		34,794,423
India		—			48,298,498			—		48,298,498
Japan		—			51,252,926			—		51,252,926
Netherlands		—			140,537,665			—		140,537,665
Sweden		—			62,939,413			—		62,939,413
Taiwan		—			85,582,376			—		85,582,376
United Kingdom		132,469,857			26,110,536			—		158,580,393
All Other Common Stocks(a)		2,280,477,566			—			—		2,280,477,566

Total Common Stocks		2,412,947,423			546,564,125			—		2,959,511,548

Bonds and Notes(a)		—			1,376,160,709			—		1,376,160,709
Senior Loans(a)		—			254,131			—		254,131
Preferred Stocks(a)		1,939,810			6,037,725			—		7,977,535
Short-Term Investments		—			24,010,009			—		24,010,009

Total Investments	$	2,414,887,233		$	1,953,026,699		$	—	$	4,367,913,932

Forward Foreign Currency Contracts (unrealized appreciation)		—			3,019,320			—		3,019,320

Total	$	2,414,887,233		$	1,956,046,019		$	—	$	4,370,933,252


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)		—			(8,012,422	)		—		(8,012,422	)
Futures Contracts (unrealized depreciation)		(256,859	)		—			—		(256,859	)

Total	$	(256,859	)	$	(8,012,422	)	$	—	$	(8,269,281	)

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

95 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	13,061,973,389	$	—	$	—	$	13,061,973,389
Short-Term Investments		—		84,444,321		—		84,444,321

Total	$	13,061,973,389	$	84,444,321	$	—	$	13,146,417,710

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

Intermediate Duration Bond Fund

Asset Valuation Inputs


Description	Level 1			Level 2		Level 3			Total
Bonds and Notes
Collateralized Mortgage Obligations	$	—		$	4,224,465	$	261	(b)	$	4,224,726
All Other Bonds and Notes(a)		—			316,141,067		—			316,141,067

Total Bonds and Notes		—			320,365,532		261			320,365,793

Short-Term Investments		—			13,827,995		—			13,827,995

Total Investments		—			334,193,527	$	261		$	334,193,788

Futures Contracts (unrealized appreciation)		431,970			—		—			431,970

Total	$	431,970		$	334,193,527	$	261		$	334,625,758


Liability Valuation Inputs

Description	Level 1			Level 2		Level 3			Total
Futures Contracts (unrealized depreciation)	$	(1,028,003	)	$	—	$	—		$	(1,028,003	)

(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	$	—	$	120,407,298	$	3,754,517	(b)	$	124,161,815
All Other Bonds and Notes(a)		—		777,710,518		—			777,710,518

Total Bonds and Notes		—		898,117,816		3,754,517			901,872,333

Short-Term Investments		—		47,021,779		—			47,021,779

Total	$	—	$	945,139,595	$	3,754,517		$	948,894,112

(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.

| 96

Notes to Financial Statements (continued)

March 31, 2022 (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, 2021 and/or March 31, 2022:

Core Plus Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2021		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2022		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2022
Bonds and Notes
Non-Convertible Bonds
Collateralized Mortgage Obligations	$	1,001,922	$	—	$	(16,458	)	$	12,044	$	1,700	$	(845,848	)	$	—	$	—	$	153,360	$	(4,456	)

Intermediate Duration Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2021		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2022		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2022
Bonds and Notes
ABS Other	$	564,912	$	—	$	—		$	—		$	—	$	—		$	—	$	(564,912	)	$	—	$	—
Collateralized Mortgage Obligations		531		—		(3	)		(10	)		—		(257	)		—		—			261		(12	)

Total	$	565,443	$	—	$	(3	)	$	(10	)	$	—	$	(257	)	$	—	$	(564,912	)	$	261	$	(12	)

A debt security valued at $564,912 was transferred from Level 3 to Level 2 during the period ended March 31, 2022. At September 30, 2021, 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, 2022, 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.

Limited Term Government and Agency Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2021		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2022		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2022
Bonds and Notes
Collateralized Mortgage Obligations	$	4,629,151	$	—	$	(39,794	)	$	(85,866	)	$	18	$	(830,151	)	$	81,159	$	—	$	3,754,517	$	(92,373	)

97 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

A debt security valued at $81,159 was transferred from Level 2 to Level 3 during the period ended March 31, 2022. At September 30, 2021, 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, 2022, 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.

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 Core Plus Bond Fund, Credit Income Fund, Global Allocation Fund and Intermediate Duration Bond Fund used during the period include forward foreign currency contracts and futures contracts.

Core Plus Bond Fund, Credit Income Fund, Global Allocation Fund and Intermediate Duration Bond Fund are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed income securities with longer maturities or durations, as compared to investing in fixed income securities with shorter maturities or durations. The Funds may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Funds may also use futures contracts to gain investment exposure. During the six months ended March 31, 2022, Core Plus Bond Fund, Credit Income Fund, Global Allocation Fund and Intermediate Duration Bond Fund each used futures contracts to manage duration.

Global Allocation 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, 2022, Global Allocation Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The following is a summary of derivative instruments for Core Plus Bond Fund as of March 31, 2022, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded asset derivatives
Interest rate contracts	$	1,389,901

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 Core Plus Bond Fund during the six months ended March 31, 2022, as reflected within the Statements of Operations, were as follows:


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Interest rate contracts	$	1,389,901

The following is a summary of derivative instruments for Credit Income Fund as of March 31, 2022, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded asset derivatives
Interest rate contracts	$	65,244

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.

| 98

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

Transactions in derivative instruments for Credit Income Fund during the six months ended March 31, 2022, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Interest rate contracts	$	102,500

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Interest rate contracts	$	29,526

The following is a summary of derivative instruments for Global Allocation Fund as of March 31, 2022, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	3,019,320


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹
Over-the-counter liability derivatives
Foreign exchange contracts	$	(8,012,422	)	$	—

Exchange-traded liability derivatives
Interest rate contracts		—			(256,859	)

Total liability derivatives	$	(8,012,422	)	$	(256,859	)

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, 2022, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Forward foreign currency contracts			Futures contracts
Interest rate contracts	$	—		$	1,378,808
Foreign exchange contracts		(19,813,755	)		—

Total	$	(19,813,755	)	$	1,378,808


Net Change in Unrealized Appreciation (Depreciation) on:	Forward foreign currency contracts			Futures contracts
Interest rate contracts	$	—		$	(925,006	)
Foreign exchange contracts		(270,237	)		—

Total	$	(270,237	)	$	(925,006	)

99 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

The following is a summary of derivative instruments for Intermediate Duration Bond Fund as of March 31, 2022, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded asset derivatives
Interest rate contracts	$	431,970

Liabilities	Unrealized depreciation on futures contracts¹
Exchange-traded liability derivatives
Interest rate contracts	$	(1,028,003	)

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 Intermediate Duration Bond Fund during the six months ended March 31, 2022, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Interest rate contracts	$	(559,568	)

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Interest rate contracts	$	(599,256	)

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets for Core Plus Bond Fund, Credit Income Fund, Global Allocation Fund and Intermediate Duration Bond Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2022:


Core Plus Bond Fund				Futures
Average Notional Amount Outstanding					0.35	%
Highest Notional Amount Outstanding					2.72	%
Lowest Notional Amount Outstanding					0.00	%
Notional Amount Outstanding as of March 31, 2022					2.72	%

Credit Income Fund				Futures
Average Notional Amount Outstanding					9.05	%
Highest Notional Amount Outstanding					9.34	%
Lowest Notional Amount Outstanding					8.82	%
Notional Amount Outstanding as of March 31, 2022					8.82	%

Global Allocation Fund	Forwards			Futures
Average Notional Amount Outstanding		11.08	%		0.67	%
Highest Notional Amount Outstanding		12.27	%		0.96	%
Lowest Notional Amount Outstanding		9.52	%		0.18	%
Notional Amount Outstanding as of March 31, 2022		10.73	%		0.18	%

Intermediate Duration Bond Fund				Futures
Average Notional Amount Outstanding					9.23	%
Highest Notional Amount Outstanding					17.03	%
Lowest Notional Amount Outstanding					6.24	%
Notional Amount Outstanding as of March 31, 2022					16.83	%

| 100

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

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

Unrealized gain and/or loss on open forwards 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.

As of March 31, 2022, 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
Credit Suisse International	$	159,294		$	(159,294	)	$	—		$	—		$	—
HSBC Bank USA		290,594			—			290,594			—			290,594
Morgan Stanley Capital Services, Inc.		2,548,143			(84,036	)		2,464,107			(2,464,107	)		—
UBS AG		21,289			(21,289	)		—			—			—

	$	3,019,320		$	(264,619	)	$	2,754,701		$	(2,464,107	)	$	290,594


Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	(843,174	)	$	—		$	(843,174	)	$	830,000		$	(13,174	)
Credit Suisse International		(7,051,639	)		159,294			(6,892,345	)		6,892,345			—
Morgan Stanley Capital Services, Inc.		(84,036	)		84,036			—			—			—
UBS AG		(33,573	)		21,289			(12,284	)		12,284			—

	$	(8,012,422	)	$	264,619		$	(7,747,803	)	$	7,734,629		$	(13,174	)

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

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s 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 typically are required to segregate customer margin for exchange-traded derivatives 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

101 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

amount of margin held by the broker for all its customers, 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, 2022:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Core Plus Bond Fund	$	4,189,901	$	4,189,901
Credit Income Fund		49,408		49,408
Global Allocation Fund		12,562,842		2,099,487
Intermediate Duration Bond Fund		221,486		221,486

Net loss amount reflects cash received as collateral for Global Allocation Fund of $3,838,481, which is recorded on the Statements of Assets and Liabilities.

5. Purchases and Sales of Securities. For the six months ended March 31, 2022, 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	$	10,832,773,029	$	11,204,774,040	$	473,974,139	$	950,040,885
Credit Income Fund		226,613		421,520		2,822,488		2,687,161
Global Allocation Fund		41,532,917		85,803,168		909,798,041		1,075,843,394
Growth Fund		—		—		1,851,570,415		2,235,779,414
Intermediate Duration Bond Fund		74,262,754		106,093,143		193,712,067		184,677,485
Limited Term Government and Agency Fund		879,430,121		928,643,763		5,115,458		11,778,622

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, 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 $400 million			Next $500 million			Next $1 billion			Next $2 billion			Over $4 billion
Core Plus Bond Fund		0.2000	%		0.1875	%		0.1875	%		0.1875	%		0.1500	%		0.1500	%
Credit Income Fund		0.4200	%		0.4200	%		0.4200	%		0.4200	%		0.4200	%		0.4200	%
Global Allocation Fund		0.7500	%		0.7500	%		0.7500	%		0.7500	%		0.7300	%		0.7000	%
Growth Fund		0.5000	%		0.5000	%		0.5000	%		0.5000	%		0.5000	%		0.5000	%
Intermediate Duration Bond Fund		0.2500	%		0.2500	%		0.2500	%		0.2500	%		0.2500	%		0.2500	%
Limited Term Government and Agency Fund		0.3250	%		0.3250	%		0.3000	%		0.2500	%		0.2500	%		0.2500	%

Natixis Advisors, LLC (“Natixis Advisors”) serves as the advisory administrator to Core Plus Bond Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC. 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	%

| 102

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

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, 2023, 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, 2022 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
Core Plus Bond Fund		0.75	%		1.50	%		0.45	%		0.50	%
Credit Income Fund		0.82	%		1.57	%		0.52	%		0.57	%
Global Allocation Fund		1.25	%		2.00	%		0.95	%		1.00	%
Growth Fund		1.25	%		2.00	%		0.95	%		1.00	%
Intermediate Duration Bond Fund		0.65	%		1.40	%		0.35	%		0.40	%
Limited Term Government and Agency Fund		0.70	%		1.45	%		0.40	%		0.45	%

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 both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, 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, 2022, the management fees and waivers of management fees for each Fund were as follows:


	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
Core Plus Bond Fund	$	6,564,337	$	—	$	6,564,337		0.16	%		0.16	%
Credit Income Fund		50,759		50,759		—		0.42	%		—	%
Global Allocation Fund		17,655,883		—		17,655,883		0.73	%		0.73	%
Growth Fund		34,344,940		—		34,344,940		0.50	%		0.50	%
Intermediate Duration Bond Fund		467,765		69,966		397,799		0.25	%		0.21	%
Limited Term Government and Agency Fund		1,526,247		—		1,526,247		0.31	%		0.31	%

For the six months ended March 31, 2022, 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	$	28,604	$	2,358	$	—	$	64,523	$	95,485

¹	Waiver/expense reimbursements are subject to possible recovery until September 30, 2023.

In addition, Loomis Sayles reimbursed non-class specific expenses of Credit Income Fund in the amount of $30,305. Expense reimbursements are subject to possible recovery until September 30, 2023.

For the six months ended March 31, 2022, the advisory administration fees for Core Plus Bond Fund were $6,564,337 (effective rate of 0.16% of average daily net assets).

No expenses were recovered for any of the Funds during the six months ended March 31, 2022 under the terms of the expense limitation agreements.

103 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

b. Service and Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, 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 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, 2022, 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	$	853,501	$	105,119	$	315,356
Credit Income Fund		111		1		4
Global Allocation Fund		907,850		611,779		1,835,338
Growth Fund		2,146,471		147,474		442,421
Intermediate Duration Bond Fund		26,238		449		1,345
Limited Term Government and Agency Fund		327,841		28,547		85,640

For the six months ended March 31, 2022, Natixis Distribution refunded Limited Term Government and Agency Fund $20,054 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 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 Trusts 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 Trusts, 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 Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2022, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Core Plus Bond Fund	$	1,770,203
Credit Income Fund		5,191
Global Allocation Fund		1,033,964
Growth Fund		2,949,198
Intermediate Duration Bond Fund		80,343
Limited Term Government and Agency Fund		209,817

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

| 104

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

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, 2022, 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	$	2,724,228
Credit Income Fund		7
Global Allocation Fund		1,606,249
Growth Fund		4,512,920
Intermediate Duration Bond Fund		125,795
Limited Term Government and Agency Fund		254,881

As of March 31, 2022, 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	$	64,147
Global Allocation Fund		63,723
Growth Fund		134,353
Intermediate Duration Bond Fund		2,742
Limited Term Government and Agency Fund		13,381

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, 2022, were as follows:


Fund	Commissions
Core Plus Bond Fund	$	13,580
Global Allocation Fund		62,912
Growth Fund		13,994
Limited Term Government and Agency Fund		10,134

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 Investment Managers, LLC 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 $210,000. 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 Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Prior to January 1, 2022, each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $199,000. All other Trustees fees remained unchanged.

105 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

For the six months ended March 31, 2022, net depreciation in the value of participants’ deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:


Fund	Amount
Core Plus Bond Fund	$	(40,445	)
Global Allocation Fund		(14,096	)
Growth Fund		(18,219	)
Intermediate Duration Bond Fund		(9,884	)
Limited Term Government Agency Fund		(31,375	)

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, 2022, the percentage of each Fund’s net assets owned by affiliates is as follows:


Core Plus Bond Fund	Percentage of Net Assets
Loomis Sayles Employees’ Profit Sharing Retirement Plan		0.13	%

Credit Income Fund
Natixis and Affiliates		99.45	%
Loomis Sayles Employees		0.04	%

Global Allocation Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan		0.54	%

Growth Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan		0.71	%
Loomis Sayles Funded Pension Plan and Trust		0.08	%

Intermediate Duration Bond Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan		1.09	%

Limited Term Government and Agency Fund
Loomis Sayles Employees’ Profit Sharing Retirement Plan		0.20	%
Loomis Sayles Distribution		0.13	%
Natixis Sustainable Future 2015 Fund		0.06	%
Natixis Sustainable Future 2020 Fund		0.05	%
Natixis Sustainable Future 2025 Fund		0.08	%
Natixis Sustainable Future 2030 Fund		0.08	%
Natixis Sustainable Future 2035 Fund		0.06	%
Natixis Sustainable Future 2040 Fund		0.03	%
Natixis Sustainable Future 2045 Fund		0.02	%

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 Credit Income Fund, Intermediate Duration Bond Fund and Limited Term Government and Agency Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through January 31, 2023 and is not subject to recovery under the expense limitation agreement described above.

| 106

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

For the six months ended March 31, 2022, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:


	Reimbursement of Transfer Agency Expenses
Fund	Class N
Credit Income Fund	$	829
Intermediate Duration Bond Fund		857
Limited Term Government and Agency Fund		1,001

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, 2022, 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	$	336,532	$	41,484	$	7,573	$	2,506,062
Credit Income Fund		1,262		14		829		874
Global Allocation Fund		267,585		180,255		2,381		1,197,890
Growth Fund		670,449		45,885		3,312		4,298,461
Intermediate Duration Bond Fund		7,816		135		857		124,771
Limited Term Government and Agency Fund		108,544		8,899		1,001		257,806

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 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 $500,000,000 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 certain 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 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, 2022, Intermediate Duration Bond Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $2,300,000 at a weighted average interest rate of 1.18%. Interest expense incurred on the line of credit was $75.

9. 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 and 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 Covid-19 pandemic. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Such effects could impair the Funds’ ability to maintain operational standards, disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments and negatively impact the Funds’ performance.

107 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region and around the world are impossible to predict, but could be significant and have a severe adverse effect on the region and around the world, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.

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, 2022, 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
Core Plus Bond Fund		1		5.29	%
Growth Fund		2		18.91	%
Intermediate Duration Bond Fund		3		62.34	%

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.

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, 2022						Year Ended September 30, 2021
Core Plus Bond Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		6,248,020		$	82,691,055			29,816,749		$	411,705,864
Issued in connection with the reinvestment of distributions		510,722			6,750,409			1,418,984			19,617,302
Redeemed		(17,253,954	)		(226,636,892	)		(20,094,174	)		(276,883,383	)

Net change		(10,495,212	)	$	(137,195,428	)		11,141,559		$	154,439,783

Class C
Issued from the sale of shares		177,856		$	2,326,419			1,270,632		$	17,680,906
Issued in connection with the reinvestment of distributions		52,589			695,373			267,935			3,719,298
Redeemed		(1,539,708	)		(20,409,102	)		(3,908,443	)		(53,805,611	)

Net change		(1,309,263	)	$	(17,387,310	)		(2,369,876	)	$	(32,405,407	)

Class N
Issued from the sale of shares		22,825,617		$	305,555,378			74,310,781		$	1,036,339,256
Issued in connection with the reinvestment of distributions		2,529,274			33,670,862			7,758,533			108,261,976
Redeemed		(39,208,712	)		(525,720,488	)		(83,980,462	)		(1,169,430,230	)

Net change		(13,853,821	)	$	(186,494,248	)		(1,911,148	)	$	(24,828,998	)

Class Y
Issued from the sale of shares		50,375,321		$	673,218,567			165,904,514		$	2,311,069,290
Issued in connection with the reinvestment of distributions		4,388,901			58,414,135			15,514,659			216,562,574
Redeemed		(95,417,369	)		(1,271,364,164	)		(118,855,676	)		(1,651,141,438	)
Redeemed in-kind (Note 13)		—			—			(77,281,925	)		(1,057,989,549	)

Net change		(40,653,147	)	$	(539,731,462	)		(14,718,428	)	$	(181,499,123	)

Decrease from capital share transactions		(66,311,443	)	$	(880,808,448	)		(7,857,893	)	$	(84,293,745	)

| 108

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended March 31, 2022						Year Ended September 30, 2021
Credit Income Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		—		$	—			8,583		$	87,178
Issued in connection with the reinvestment of distributions		154			1,520			215			2,194

Net change		154		$	1,520			8,798		$	89,372

Class C
Issued in connection with the reinvestment of distributions		1		$	14			2		$	20

Net change		1		$	14			2		$	20

Class N
Issued in connection with the reinvestment of distributions		—		$	—			70,365		$	717,264
Redeemed		—			—			(136,187	)		(1,400,000	)

Net change		—		$	—			(65,822	)	$	(682,736	)

Class Y
Issued from the sale of shares		5,230		$	52,959			1,992		$	20,000
Issued in connection with the reinvestment of distributions		114			1,120			63			641
Redeemed		(2,572	)		(24,000	)		—			—

Net change		2,772		$	30,079			2,055		$	20,641

Increase (decrease) from capital share transactions		2,927		$	31,613			(54,967	)	$	(572,703	)


	Six Months Ended March 31, 2022						Year Ended September 30, 2021
Global Allocation Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		2,842,185		$	79,144,283			6,524,893		$	180,992,665
Issued in connection with the reinvestment of distributions		1,295,398			36,335,913			920,421			24,308,308
Redeemed		(3,592,248	)		(97,330,688	)		(6,008,771	)		(165,998,676	)

Net change		545,335		$	18,149,508			1,436,543		$	39,302,297

Class C
Issued from the sale of shares		1,191,799		$	32,335,603			3,263,944		$	88,556,205
Issued in connection with the reinvestment of distributions		1,119,198			30,632,442			874,791			22,762,056
Redeemed		(2,030,478	)		(54,152,991	)		(5,108,914	)		(139,833,825	)

Net change		280,519		$	8,815,054			(970,179	)	$	(28,515,564	)

Class N
Issued from the sale of shares		1,232,843		$	34,584,728			2,841,756		$	79,949,134
Issued in connection with the reinvestment of distributions		769,270			21,747,266			538,052			14,290,673
Redeemed		(1,028,410	)		(29,078,759	)		(1,348,272	)		(37,935,362	)

Net change		973,703		$	27,253,235			2,031,536		$	56,304,445

Class Y
Issued from the sale of shares		11,556,748		$	321,786,678			28,068,845		$	781,608,888
Issued in connection with the reinvestment of distributions		7,072,361			200,006,364			5,159,028			137,075,378
Redeemed		(15,739,021	)		(423,612,451	)		(20,980,436	)		(585,757,015	)

Net change		2,890,088		$	98,180,591			12,247,437		$	332,927,251

Increase from capital share transactions		4,689,645		$	152,398,388			14,745,337		$	400,018,429

109 |

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended March 31, 2022						Year Ended September 30, 2021
Growth Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		15,392,173		$	344,571,892			14,830,602		$	336,860,802
Issued in connection with the reinvestment of distributions		2,690,613			64,816,875			2,584,797			55,159,560
Redeemed		(17,521,751	)		(399,555,986	)		(15,759,091	)		(358,878,253	)

Net change		561,035		$	9,832,781			1,656,308		$	33,142,109

Class C
Issued from the sale of shares		301,886		$	6,280,983			758,965		$	15,406,250
Issued in connection with the reinvestment of distributions		212,100			4,507,128			217,137			4,145,151
Redeemed		(1,159,582	)		(24,409,799	)		(1,887,469	)		(38,343,784	)

Net change		(645,596	)	$	(13,621,688	)		(911,367	)	$	(18,792,383	)

Class N
Issued from the sale of shares		12,114,057		$	305,038,346			9,306,755		$	236,713,241
Issued in connection with the reinvestment of distributions		974,540			25,445,235			791,041			18,170,220
Redeemed		(4,021,308	)		(100,956,624	)		(4,802,896	)		(118,776,438	)

Net change		9,067,289		$	229,526,957			5,294,900		$	136,107,023

Class Y
Issued from the sale of shares		49,568,075		$	1,247,729,019			103,087,646		$	2,516,764,085
Issued in connection with the reinvestment of distributions		15,751,106			411,103,854			14,341,619			329,570,400
Redeemed		(64,926,511	)		(1,655,436,385	)		(104,651,246	)		(2,564,375,092	)

Net change		392,670		$	3,396,488			12,778,019		$	281,959,393

Increase from capital share transactions		9,375,398		$	229,134,538			18,817,860		$	432,416,142


	Six Months Ended March 31, 2022						Year Ended September 30, 2021
Intermediate Duration Bond Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		466,154		$	4,847,587			391,289		$	4,178,504
Issued in connection with the reinvestment of distributions		19,037			196,495			67,348			722,081
Redeemed		(259,022	)		(2,702,114	)		(295,471	)		(3,162,591	)

Net change		226,169		$	2,341,968			163,166		$	1,737,994

Class C
Issued from the sale of shares		25,419		$	268,078			33,975		$	362,538
Issued in connection with the reinvestment of distributions		199			2,071			1,594			17,157
Redeemed		(23,261	)		(244,122	)		(66,527	)		(713,206	)

Net change		2,357		$	26,027			(30,958	)	$	(333,511	)

Class N
Issued from the sale of shares		35,117		$	360,070			1,919,981		$	20,990,656
Issued in connection with the reinvestment of distributions		21,920			225,955			73,626			788,205
Redeemed		(18,939	)		(197,089	)		(393,996	)		(4,192,408	)

Net change		38,098		$	388,936			1,599,611		$	17,586,453

Class Y
Issued from the sale of shares		5,366,239		$	55,633,497			10,808,587		$	115,946,231
Issued in connection with the reinvestment of distributions		368,308			3,804,621			1,146,148			12,285,740
Redeemed		(8,343,311	)		(85,508,340	)		(6,495,177	)		(69,613,933	)

Net change		(2,608,764	)	$	(26,070,222	)		5,459,558		$	58,618,038

Increase (decrease) from capital share transactions		(2,342,140	)	$	(23,313,291	)		7,191,377		$	77,608,974

| 110

Notes to Financial Statements (continued)

March 31, 2022 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended March 31, 2022						Year Ended September 30, 2021
Limited Term Government and Agency Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		1,611,108		$	18,150,963			4,147,975		$	47,644,899
Issued in connection with the reinvestment of distributions		64,024			719,265			142,329			1,632,849
Redeemed		(2,712,057	)		(30,504,156	)		(4,760,500	)		(54,613,007	)

Net change		(1,036,925	)	$	(11,633,928	)		(470,196	)	$	(5,335,259	)

Class C
Issued from the sale of shares		223,104		$	2,512,656			1,491,979		$	17,130,682
Issued in connection with the reinvestment of distributions		1,099			12,374			565			6,501
Redeemed		(582,082	)		(6,542,628	)		(1,003,816	)		(11,516,279	)

Net change		(357,879	)	$	(4,017,598	)		488,728		$	5,620,904

Class N
Issued from the sale of shares		261,009		$	2,950,290			647,112		$	7,445,249
Issued in connection with the reinvestment of distributions		5,500			61,970			9,104			104,691
Redeemed		(169,222	)		(1,900,447	)		(474,940	)		(5,474,545	)

Net change		97,287		$	1,111,813			181,276		$	2,075,395

Class Y
Issued from the sale of shares		16,485,364		$	185,531,713			31,129,058		$	358,564,945
Issued in connection with the reinvestment of distributions		185,080			2,086,554			418,562			4,816,720
Redeemed		(19,786,195	)		(223,501,655	)		(29,381,773	)		(338,427,397	)

Net change		(3,115,751	)	$	(35,883,388	)		2,165,847		$	24,954,268

Increase (decrease) from capital share transactions		(4,413,268	)	$	(50,423,101	)		2,365,655		$	27,315,308

12. Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes and are re-classified from realized gain (loss) to paid-in-capital. For the year ended September 30, 2021, Core Plus Bond Fund participated in a redemption in-kind transaction.

111 |

LOGO

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Semiannual Report

March 31, 2022



TABLE OF CONTENTS

Portfolio Review			1

Portfolio of Investments			6

Financial Statements			13

Notes to Financial Statements			22

LOOMIS SAYLES SMALL CAP GROWTH FUND


Managers	Symbols

Mark F. Burns, CFA^®	Institutional Class	LSSIX

John J. Slavik, CFA^®	Retail Class	LCGRX

	Class N	LSSNX

Investment Objective

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

Average Annual Total Returns — March 31, 2022²



													Life of			Expense Ratios³
	6 Months			1 Year			5 Years			10 Years			Class N			Gross			Net

Institutional Class		-8.66	%		-7.24	%		13.80	%		12.53	%		—	%		0.92	%		0.92	%

Retail Class		-8.75			-7.45			13.53			12.25			—			1.17			1.17

Class N (Inception 2/1/13)		-8.58			-7.12			13.94			—			13.16			0.82			0.82

Comparative Performance
Russell 2000^® Growth Index¹		-12.62			-14.33			10.33			11.21			11.23

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 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.

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.

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

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 1/31/23. 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.

1 |

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.

Average Annual Total Returns — March 31, 2022³



													Life of			Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Class N			Gross			Net

Institutional Class		-0.58	%		3.25	%		7.17	%		9.91	%		—	%		0.94	%		0.90	%

Retail Class		-0.71			2.97			6.91			9.64			—			1.19			1.15

Admin Class		-0.87			2.69			6.63			9.36			—			1.43			1.40

Class N (Inception 2/1/13)		-0.56			3.27			7.23			—			9.74			0.85			0.85

Comparative Performance
Russell 2000^® Value Index¹		1.85			3.32			8.57			10.54			10.02
Russell 2000^® Index²		-5.55			-5.79			9.74			11.04			10.80

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.

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.

Russell 2000^® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe.

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 1/31/23. 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/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.

Average Annual Total Returns — March 31, 2022²



										Life of			Life of			Expense Ratios³
	6 Months			1 Year			5 Years			Class I			Class N			Gross			Net

Institutional Class (Inception 6/30/15)		-8.05	%		-1.18	%		14.93	%		12.08	%		—	%		0.99	%		0.85	%

Class N (Inception 10/1/19)		-8.05			-1.18			—			—			16.36			1.00			0.83

Comparative Performance
Russell 2500^TM Growth Index¹		-12.13			-10.12			13.22			10.79			16.11

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.

The Russell 2500^™ Growth Index measures the performance of the small-to-mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500^TM Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2500^TM 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.

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

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 1/31/23. 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.

3 |

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

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 through the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

The Loomis Sayles Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at loomissayles.com. A hard copy may be requested from the Fund at no charge by calling 800-633-3330.

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, 2021 through March 31, 2022. 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 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.

| 4

Loomis Sayles Small Cap Growth Fund


Institutional Class	Beginning Account Value 10/1/2021		Ending Account Value 3/31/2022		Expenses Paid During Period* 10/1/2021 – 3/31/2022
Actual		$1,000.00		$913.40		$4.44
Hypothetical (5% return before expenses)		$1,000.00		$1,020.29		$4.68

Retail Class
Actual		$1,000.00		$912.50		$5.63
Hypothetical (5% return before expenses)		$1,000.00		$1,019.05		$5.94

Class N
Actual		$1,000.00		$914.20		$3.91
Hypothetical (5% return before expenses)		$1,000.00		$1,020.84		$4.13

* Expenses are equal to the Fund’s annualized expense ratio: 0.93%, 1.18% and 0.82% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

Loomis Sayles Small Cap Value Fund


Institutional Class	Beginning Account Value 10/1/2021		Ending Account Value 3/31/2022		Expenses Paid During Period* 10/1/2021 – 3/31/2022
Actual		$1,000.00		$994.20		$4.47
Hypothetical (5% return before expenses)		$1,000.00		$1,020.44		$4.53

Retail Class
Actual		$1,000.00		$992.90		$5.71
Hypothetical (5% return before expenses)		$1,000.00		$1,019.20		$5.79

Admin Class
Actual		$1,000.00		$991.30		$6.95
Hypothetical (5% return before expenses)		$1,000.00		$1,017.95		$7.04

Class N
Actual		$1,000.00		$994.40		$4.23
Hypothetical (5% return before expenses)		$1,000.00		$1,020.69		$4.28

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 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 (182), divided by 365 (to reflect the half-year period).

Loomis Sayles Small/Mid Cap Growth Fund


Institutional Class	Beginning Account Value 10/1/2021		Ending Account Value 3/31/2022		Expenses Paid During Period* 10/1/2021 – 3/31/2022
Actual		$1,000.00		$ 919.50		$4.02
Hypothetical (5% return before expenses)		$1,000.00		$1,020.74		$4.23

Class N
Actual		$1,000.00		$ 919.50		$3.97
Hypothetical (5% return before expenses)		$1,000.00		$1,020.79		$4.18

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) 0.84% 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 (182), divided by 365 (to reflect the half-year period).

5 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 98.0% of Net Assets

		Air Freight & Logistics – 1.4%
	441,702	HUB Group, Inc., Class A(a)	$	34,103,811


		Auto Components – 3.7%
	279,978	Dorman Products, Inc.(a)		26,606,309
	186,360	Fox Factory Holding Corp.(a)		18,253,962
	337,135	Gentherm, Inc.(a)		24,624,341
	355,968	Patrick Industries, Inc.		21,464,870

				90,949,482


		Banks – 2.8%
	438,417	Ameris Bancorp		19,237,738
	902,785	Bancorp, Inc. (The)(a)		25,575,899
	323,995	Lakeland Financial Corp.		23,651,635

				68,465,272


		Beverages – 0.7%
	1,291,601	Primo Water Corp.		18,405,314


		Biotechnology – 7.6%
	368,341	Bicycle Therapeutics PLC, ADR(a)		16,162,803
	1,348,429	BioCryst Pharmaceuticals, Inc.(a)		21,925,456
	250,634	Blueprint Medicines Corp.(a)		16,010,500
	825,153	Halozyme Therapeutics, Inc.(a)		32,907,102
	596,418	Inhibrx, Inc.(a)		13,288,193
	731,316	Insmed, Inc.(a)		17,185,926
	552,073	PTC Therapeutics, Inc.(a)		20,597,844
	304,505	SpringWorks Therapeutics, Inc.(a)		17,186,262
	373,925	Vericel Corp.(a)		14,291,413
	627,077	Xencor, Inc.(a)		16,730,414

				186,285,913


		Building Products – 3.5%
	352,245	Advanced Drainage Systems, Inc.		41,850,229
	203,660	Simpson Manufacturing Co., Inc.		22,207,086
	271,657	UFP Industries, Inc.		20,961,054

				85,018,369


		Capital Markets – 3.1%
	504,552	Focus Financial Partners, Inc., Class A(a)		23,078,209
	370,530	Hamilton Lane, Inc., Class A		28,638,264
	386,736	PJT Partners, Inc., Class A		24,410,776

				76,127,249


		Commercial Services & Supplies – 2.5%
	544,846	Casella Waste Systems, Inc., Class A(a)		47,755,752
	520,976	Driven Brands Holdings, Inc.(a)		13,691,249

				61,447,001


		Communications Equipment – 1.8%
	485,938	Calix, Inc.(a)		20,851,600
	712,921	Radware Ltd.(a)		22,792,084

				43,643,684


		Construction & Engineering – 1.6%
	977,132	WillScot Mobile Mini Holdings Corp.(a)		38,235,175


		Containers & Packaging – 0.7%
	793,857	Ranpak Holdings Corp.(a)		16,218,499


		Diversified Consumer Services – 0.5%
	457,798	Frontdoor, Inc.(a)		13,665,270


Shares		Description	Value (†)

		Electronic Equipment, Instruments & Components – 3.2%
	233,881	Advanced Energy Industries, Inc.	$	20,132,476
	330,127	Itron, Inc.(a)		17,391,090
	702,628	nLight, Inc.(a)		12,183,570
	207,602	Novanta, Inc.(a)		29,539,689

				79,246,825


		Energy Equipment & Services – 1.6%
	677,335	Cactus, Inc., Class A		38,431,988


		Food Products – 1.3%
	819,459	Simply Good Foods Co. (The)(a)		31,098,469


		Health Care Equipment & Supplies – 7.4%
	529,298	AtriCure, Inc.(a)		34,759,000
	587,002	Axonics, Inc.(a)		36,746,325
	236,509	CONMED Corp.		35,133,412
	26,154	LivaNova PLC(a)		2,140,182
	488,456	Merit Medical Systems, Inc.(a)		32,492,093
	434,475	NuVasive, Inc.(a)		24,634,732
	198,405	STAAR Surgical Co.(a)		15,854,544

				181,760,288


		Health Care Providers & Services – 3.6%
	179,618	Acadia Healthcare Co., Inc.(a)		11,770,367
	282,497	Ensign Group, Inc. (The)		25,427,555
	113,984	ModivCare, Inc.(a)		13,152,614
	1,287,659	Option Care Health, Inc.(a)		36,775,541

				87,126,077


		Health Care Technology – 3.7%
	1,445,770	Evolent Health, Inc., Class A(a)		46,698,371
	169,498	Inspire Medical Systems, Inc.(a)		43,508,442

				90,206,813


		Hotels, Restaurants & Leisure – 3.3%
	921,399	Life Time Group Holdings, Inc.(a)		13,397,141
	212,201	Papa John’s International, Inc.		22,340,521
	230,487	Texas Roadhouse, Inc.		19,298,677
	211,216	Wingstop, Inc.		24,786,198

				79,822,537


		Household Durables – 0.8%
	224,245	Installed Building Products, Inc.		18,946,460


		Insurance – 1.3%
	627,843	BRP Group, Inc., Class A(a)		16,845,028
	63,507	Kinsale Capital Group, Inc.		14,480,866

				31,325,894


		Interactive Media & Services – 1.1%
	626,748	CarGurus, Inc.(a)		26,611,720


		Internet & Direct Marketing Retail – 1.5%
	400,970	Shutterstock, Inc.		37,322,288


		IT Services – 3.6%
	697,044	EVERTEC, Inc.		28,530,011
	178,258	Perficient, Inc.(a)		19,624,423
	472,470	WNS Holdings Ltd., ADR(a)		40,391,460

				88,545,894


		Leisure Products – 0.8%
	339,762	Malibu Boats, Inc., Class A(a)		19,709,594

See accompanying notes to financial statements.

| 6

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Life Sciences Tools & Services – 1.0%
	148,256	Medpace Holdings, Inc.(a)	$	24,253,199


		Machinery – 5.1%
	322,462	Albany International Corp., Class A		27,189,996
	346,004	Helios Technologies, Inc.		27,766,821
	267,496	Kornit Digital Ltd.(a)		22,119,244
	139,277	RBC Bearings, Inc.(a)		27,003,025
	584,264	Shyft Group, Inc. (The)		21,097,773

				125,176,859


		Media – 1.3%
	403,269	TechTarget, Inc.(a)		32,777,704


		Personal Products – 1.2%
	729,564	elf Beauty, Inc.(a)		18,844,638
	129,577	Inter Parfums, Inc.		11,409,255

				30,253,893


		Pharmaceuticals – 2.3%
	458,893	Pacira BioSciences, Inc.(a)		35,022,714
	698,577	Supernus Pharmaceuticals, Inc.(a)		22,578,008

				57,600,722


		Professional Services – 2.7%
	121,101	FTI Consulting, Inc.(a)		19,039,499
	878,805	KBR, Inc.		48,096,998

				67,136,497


		Semiconductors & Semiconductor Equipment – 7.4%
	633,428	MACOM Technology Solutions Holdings, Inc.(a)		37,923,334
	705,256	MaxLinear, Inc.(a)		41,151,687
	1,360,692	Rambus, Inc.(a)		43,392,468
	219,318	Silicon Laboratories, Inc.(a)		32,941,564
	390,130	Silicon Motion Technology Corp., ADR		26,068,487

				181,477,540


		Software – 7.4%
	224,136	Blackline, Inc.(a)		16,411,238
	376,005	Envestnet, Inc.(a)		27,989,812
	340,091	Q2 Holdings, Inc.(a)		20,966,610
	446,629	Rapid7, Inc.(a)		49,683,010
	520,976	Tenable Holdings, Inc.(a)		30,107,203
	746,317	Varonis Systems, Inc.(a)		35,479,910

				180,637,783


		Specialty Retail – 1.0%
	253,365	Boot Barn Holdings, Inc.(a)		24,016,468


		Technology Hardware, Storage & Peripherals – 1.7%
	1,181,559	Pure Storage, Inc., Class A(a)		41,720,848


		Textiles, Apparel & Luxury Goods – 1.6%
	226,435	Columbia Sportswear Co.		20,499,161
	217,128	Oxford Industries, Inc.		19,650,084

				40,149,245


		Trading Companies & Distributors – 2.2%
	47,490	Applied Industrial Technologies, Inc.		4,875,323
	249,977	McGrath RentCorp		21,243,046
	165,556	SiteOne Landscape Supply, Inc.(a)		26,768,750

				52,887,119


		Total Common Stocks

		(Identified Cost $1,942,212,897)		2,400,807,763


Principal Amount		Description	Value (†)

	Short-Term Investments – 2.8%

$	67,481,010	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $67,481,010 on 4/01/2022 collateralized by $69,078,900 U.S. Treasury Note, 2.375% due 3/31/2029 valued at $68,830,631 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $67,481,010)	$	67,481,010


		Total Investments – 100.8%

		(Identified Cost $2,009,693,907)		2,468,288,773

		Other assets less liabilities—(0.8)%		(19,768,159	)


		Net Assets – 100.0%	$	2,448,520,614


	(†)	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, 2022 (Unaudited)


Biotechnology	7.6	%
Health Care Equipment & Supplies	7.4
Semiconductors & Semiconductor Equipment	7.4
Software	7.4
Machinery	5.1
Auto Components	3.7
Health Care Technology	3.7
IT Services	3.6
Health Care Providers & Services	3.6
Building Products	3.5
Hotels, Restaurants & Leisure	3.3
Electronic Equipment, Instruments & Components	3.2
Capital Markets	3.1
Banks	2.8
Professional Services	2.7
Commercial Services & Supplies	2.5
Pharmaceuticals	2.3
Trading Companies & Distributors	2.2
Other Investments, less than 2% each	22.9
Short-Term Investments	2.8

Total Investments	100.8
Other assets less liabilities	(0.8	)

Net Assets	100.0	%

See accompanying notes to financial statements.

7 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Small Cap Value Fund


Shares		Description	Value (†)

	Common Stocks – 97.2% of Net Assets

		Auto Components – 1.6%
	300,465	Dana, Inc.	$	5,279,170
	30,447	LCI Industries		3,160,703

				8,439,873


		Banks – 14.8%
	129,878	Ameris Bancorp		5,699,047
	142,035	Atlantic Union Bankshares Corp.		5,211,264
	188,888	Cadence Bank		5,526,863
	196,703	CVB Financial Corp.		4,565,477
	236,839	Home BancShares, Inc.		5,352,561
	138,197	Meta Financial Group, Inc.		7,589,779
	285,195	OceanFirst Financial Corp.		5,732,420
	68,791	Pinnacle Financial Partners, Inc.		6,334,275
	97,262	Popular, Inc.		7,950,196
	56,181	Prosperity Bancshares, Inc.		3,897,838
	54,058	SouthState Corp.		4,410,592
	93,973	Triumph Bancorp, Inc.(a)		8,835,341
	84,602	Wintrust Financial Corp.		7,862,064

				78,967,717


		Biotechnology – 0.8%
	25,177	United Therapeutics Corp.(a)		4,517,006


		Building Products – 2.0%
	272,349	Janus International Group, Inc.(a)		2,451,141
	166,607	Quanex Building Products Corp.		3,497,081
	64,100	UFP Industries, Inc.		4,945,956

				10,894,178


		Capital Markets – 1.2%
	97,363	Stifel Financial Corp.		6,610,948


		Chemicals – 3.3%
	30,307	Ashland Global Holdings, Inc.		2,982,512
	63,881	Cabot Corp.		4,370,099
	45,755	Ingevity Corp.(a)		2,931,523
	20,747	Scotts Miracle-Gro Co. (The)		2,551,051
	159,299	Valvoline, Inc.		5,027,477

				17,862,662


		Commercial Services & Supplies – 2.5%
	55,775	Clean Harbors, Inc.(a)		6,226,721
	83,923	IAA, Inc.(a)		3,210,055
	105,569	KAR Auction Services, Inc.(a)		1,905,521
	41,538	VSE Corp.		1,914,486

				13,256,783


		Communications Equipment – 1.1%
	353,290	Viavi Solutions, Inc.(a)		5,680,903


		Construction & Engineering – 3.5%
	87,925	AECOM		6,753,519
	113,135	Arcosa, Inc.		6,476,979
	198,567	MDU Resources Group, Inc.		5,291,811

				18,522,309


		Containers & Packaging – 0.5%
	83,453	TriMas Corp.		2,678,007


		Diversified Consumer Services – 0.7%
	168,755	Houghton Mifflin Harcourt Co.(a)		3,545,543


Shares		Description	Value (†)

		Diversified Financial Services – 0.6%
	140,900	Cannae Holdings, Inc.(a)	$	3,370,328


		Electric Utilities – 0.9%
	68,116	ALLETE, Inc.		4,562,410


		Electrical Equipment – 1.0%
	41,946	Atkore, Inc.(a)		4,129,164
	27,944	AZZ, Inc.		1,348,019

				5,477,183


		Electronic Equipment, Instruments & Components – 5.5%
	36,066	Advanced Energy Industries, Inc.		3,104,561
	134,809	Kimball Electronics, Inc.(a)		2,694,832
	11,989	Littelfuse, Inc.		2,990,177
	142,904	Methode Electronics, Inc.		6,180,598
	38,911	TD SYNNEX Corp.		4,016,004
	299,157	TTM Technologies, Inc.(a)		4,433,507
	237,629	Vontier Corp.		6,033,400

				29,453,079


		Energy Equipment & Services – 1.5%
	328,115	ChampionX Corp.(a)		8,032,255


		Entertainment – 0.5%
	100,530	Liberty Media Corp.-Liberty Braves, Class C(a)		2,805,792


		Food & Staples Retailing – 0.4%
	47,517	Andersons, Inc. (The)		2,388,204


		Food Products – 2.2%
	261,479	Dole PLC		3,242,340
	17,154	J&J Snack Foods Corp.		2,660,585
	127,617	Nomad Foods Ltd.(a)		2,881,592
	399,751	Whole Earth Brands, Inc.(a)		2,862,217

				11,646,734


		Health Care Equipment & Supplies – 3.2%
	29,129	CONMED Corp.		4,327,113
	117,572	Inmode Ltd.(a)		4,339,582
	110,125	Lantheus Holdings, Inc.(a)		6,091,014
	39,148	UFP Technologies, Inc.(a)		2,590,423

				17,348,132


		Health Care Providers & Services – 1.3%
	25,430	AMN Healthcare Services, Inc.(a)		2,653,112
	146,724	Option Care Health, Inc.(a)		4,190,437

				6,843,549


		Health Care Technology – 1.4%
	324,254	Allscripts Healthcare Solutions, Inc.(a)		7,302,200


		Hotels, Restaurants & Leisure – 2.2%
	20,127	Churchill Downs, Inc.		4,463,766
	13,929	Cracker Barrel Old Country Store, Inc.		1,653,790
	36,586	Marriott Vacations Worldwide Corp.		5,769,612

				11,887,168


		Household Durables – 1.1%
	114,582	KB Home		3,710,165
	41,213	Skyline Champion Corp.(a)		2,261,770

				5,971,935

See accompanying notes to financial statements.

| 8

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Household Products – 0.9%
	56,934	Spectrum Brands Holdings, Inc.	$	5,051,184


		Independent Power & Renewable Electricity Producers – 0.9%
	59,904	NextEra Energy Partners LP		4,993,597


		Insurance – 1.7%
	111,891	Employers Holdings, Inc.		4,589,769
	70,215	First American Financial Corp.		4,551,336

				9,141,105


		IT Services – 4.5%
	35,131	Concentrix Corp.		5,851,419
	74,230	CSG Systems International, Inc.		4,718,801
	30,462	Euronet Worldwide, Inc.(a)		3,964,629
	170,242	International Money Express, Inc.(a)		3,508,688
	196,076	Unisys Corp.(a)		4,237,202
	8,986	WEX, Inc.(a)		1,603,552

				23,884,291


		Leisure Products – 0.9%
	59,611	Brunswick Corp.		4,821,934


		Life Sciences Tools & Services – 0.8%
	10,513	Charles River Laboratories International, Inc.(a)		2,985,377
	55,785	Inotiv, Inc.(a)		1,460,451

				4,445,828


		Machinery – 4.9%
	54,946	Albany International Corp., Class A		4,633,046
	104,615	Altra Industrial Motion Corp.		4,072,662
	127,292	Columbus McKinnon Corp.		5,397,181
	35,447	Kadant, Inc.		6,883,453
	98,851	Miller Industries, Inc.		2,783,644
	145,733	Wabash National Corp.		2,162,678

				25,932,664


		Marine – 1.6%
	358,224	Genco Shipping & Trading Ltd.		8,461,251


		Media – 2.1%
	195,377	Gray Television, Inc.		4,311,970
	54,939	John Wiley & Sons, Inc., Class A		2,913,415
	58,583	Scholastic Corp.		2,359,723
	64,472	Thryv Holdings, Inc.(a)		1,812,953

				11,398,061


		Metals & Mining – 0.9%
	182,272	Arconic Corp.(a)		4,669,809


		Multi-Utilities – 0.6%
	56,724	NorthWestern Corp.		3,431,235


		Oil, Gas & Consumable Fuels – 3.5%
	200,840	Antero Resources Corp.(a)		6,131,645
	70,380	California Resources Corp.		3,148,098
	110,430	EQT Corp.		3,799,896
	198,981	Northern Oil & Gas, Inc.		5,609,274

				18,688,913


Shares		Description	Value (†)

		Pharmaceuticals – 1.7%
	28,017	Jazz Pharmaceuticals PLC(a)	$	4,361,407
	143,616	Supernus Pharmaceuticals, Inc.(a)		4,641,669

				9,003,076


		Professional Services – 3.1%
	46,263	Insperity, Inc.		4,645,730
	97,156	Korn Ferry		6,309,311
	59,404	Science Applications International Corp.		5,475,267

				16,430,308


		REITs – Diversified – 0.6%
	61,471	PotlatchDeltic Corp.		3,241,366


		REITs – Office Property – 0.3%
	127,055	Orion Office REIT, Inc.		1,778,770


		REITs – Single Tenant – 0.8%
	63,454	Agree Realty Corp.		4,210,807


		REITs – Storage – 0.9%
	87,263	CubeSmart		4,540,294


		REITs – Warehouse/Industrials – 1.8%
	53,339	Rexford Industrial Realty, Inc.		3,978,556
	132,567	STAG Industrial, Inc.		5,481,645

				9,460,201


		Semiconductors & Semiconductor Equipment – 2.7%
	248,220	Rambus, Inc.(a)		7,915,736
	136,956	Tower Semiconductor Ltd.(a)		6,628,670

				14,544,406


		Specialty Retail – 1.3%
	161,926	Aaron’s Co., Inc. (The)		3,251,474
	142,153	Urban Outfitters, Inc.(a)		3,569,462

				6,820,936


		Technology Hardware, Storage & Peripherals – 0.6%
	85,352	Super Micro Computer, Inc.(a)		3,249,351


		Thrifts & Mortgage Finance – 1.6%
	37,297	Federal Agricultural Mortgage Corp., Class C		4,045,979
	100,907	WSFS Financial Corp.		4,704,284

				8,750,263


		Trading Companies & Distributors – 3.5%
	192,103	Alta Equipment Group, Inc.(a)		2,374,393
	71,004	Herc Holdings, Inc.		11,864,058
	51,617	McGrath RentCorp		4,386,413

				18,624,864


		Water Utilities – 0.4%
	187,333	Pure Cycle Corp.(a)		2,251,743


		Wireless Telecommunication Services – 0.8%
	133,254	United States Cellular Corp.(a)		4,028,268


		Total Common Stocks
		(Identified Cost $358,692,315)		519,919,423

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Principal Amount		Description	Value (†)

	Short-Term Investments – 3.0%

$	16,026,667	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $16,026,667 on 4/01/2022 collateralized by $16,406,200 U.S. Treasury Note, 2.375% due 3/31/2029 valued at $16,347,236 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $16,026,667)	$	16,026,667


		Total Investments – 100.2%

		(Identified Cost $374,718,982)		535,946,090

		Other assets less liabilities—(0.2)%		(1,097,947	)


		Net Assets – 100.0%	$	534,848,143


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

	(a)	Non-income producing security.
	REITs	Real Estate Investment Trusts

Industry Summary at March 31, 2022 (Unaudited)


Banks	14.8	%
Electronic Equipment, Instruments & Components	5.5
Machinery	4.9
IT Services	4.5
Oil, Gas & Consumable Fuels	3.5
Trading Companies & Distributors	3.5
Construction & Engineering	3.5
Chemicals	3.3
Health Care Equipment & Supplies	3.2
Professional Services	3.1
Semiconductors & Semiconductor Equipment	2.7
Commercial Services & Supplies	2.5
Hotels, Restaurants & Leisure	2.2
Food Products	2.2
Media	2.1
Building Products	2.0
Other Investments, less than 2% each	33.7
Short-Term Investments	3.0

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 96.6% of Net Assets

		Aerospace & Defense – 5.4%
	17,435	Axon Enterprise, Inc.(a)	$	2,401,322
	20,189	HEICO Corp.		3,099,819
	34,381	Hexcel Corp.		2,044,638
	10,526	Woodward, Inc.		1,314,803

				8,860,582


		Auto Components – 1.7%
	14,095	Fox Factory Holding Corp.(a)		1,380,605
	14,469	LCI Industries		1,502,027

				2,882,632


		Banks – 1.9%
	32,377	Glacier Bancorp, Inc.		1,627,916
	41,583	Pacific Premier Bancorp, Inc.		1,469,959

				3,097,875


		Biotechnology – 5.6%
	5,866	Argenx SE, ADR(a)		1,849,608
	49,029	Halozyme Therapeutics, Inc.(a)		1,955,277
	22,975	Horizon Therapeutics PLC(a)		2,417,200
	44,988	PTC Therapeutics, Inc.(a)		1,678,502
	47,644	Xencor, Inc.(a)		1,271,142

				9,171,729


		Building Products – 2.5%
	22,698	Advanced Drainage Systems, Inc.		2,696,749
	21,769	Trex Co., Inc.(a)		1,422,169

				4,118,918


		Capital Markets – 5.2%
	35,603	Ares Management Corp., Class A		2,892,032
	22,258	Hamilton Lane, Inc., Class A		1,720,321
	9,777	Morningstar, Inc.		2,670,783
	36,890	StepStone Group, Inc., Class A		1,219,583

				8,502,719


		Commercial Services & Supplies – 1.5%
	14,616	Tetra Tech, Inc.		2,410,763


		Communications Equipment – 1.6%
	44,891	Ciena Corp.(a)		2,721,741


		Construction & Engineering – 0.8%
	33,061	WillScot Mobile Mini Holdings Corp.(a)		1,293,677


		Distributors – 1.3%
	5,214	Pool Corp.		2,204,740


		Electronic Equipment, Instruments & Components – 2.3%
	19,716	Advanced Energy Industries, Inc.		1,697,153
	28,580	Trimble, Inc.(a)		2,061,761

				3,758,914


		Energy Equipment & Services – 1.2%
	82,530	ChampionX Corp.(a)		2,020,334


		Food & Staples Retailing – 2.8%
	44,728	BJ’s Wholesale Club Holdings, Inc.(a)		3,024,060
	7,886	Casey’s General Stores, Inc.		1,562,769

				4,586,829


Shares		Description	Value (†)

		Food Products – 1.5%
	64,525	Simply Good Foods Co. (The)(a)	$	2,448,724


		Health Care Equipment & Supplies – 8.3%
	83,573	AngioDynamics, Inc.(a)		1,800,162
	33,811	Axonics, Inc.(a)		2,116,569
	18,771	CONMED Corp.		2,788,432
	40,817	Envista Holdings Corp.(a)		1,988,196
	34,006	Globus Medical, Inc., Class A(a)		2,508,963
	8,783	Insulet Corp.(a)		2,339,703
	2,630	LivaNova PLC(a)		215,213

				13,757,238


		Health Care Providers & Services – 3.4%
	42,968	Acadia Healthcare Co., Inc.(a)		2,815,693
	102,849	R1 RCM, Inc.(a)		2,752,239

				5,567,932


		Hotels, Restaurants & Leisure – 3.8%
	8,701	Churchill Downs, Inc.		1,929,708
	25,175	Planet Fitness, Inc., Class A(a)		2,126,784
	25,973	Texas Roadhouse, Inc.		2,174,719

				6,231,211


		Household Durables – 1.6%
	11,113	Helen of Troy Ltd.(a)		2,176,370
	2,217	TopBuild Corp.(a)		402,142

				2,578,512


		IT Services – 3.6%
	13,752	Broadridge Financial Solutions, Inc.		2,141,324
	10,445	Concentrix Corp.		1,739,719
	15,186	Endava PLC, Sponsored ADR(a)		2,020,194

				5,901,237


		Leisure Products – 1.2%
	24,441	Brunswick Corp.		1,977,033


		Life Sciences Tools & Services – 3.9%
	4,872	Bio-Techne Corp.		2,109,771
	8,620	ICON PLC(a)		2,096,556
	26,576	Syneos Health, Inc.(a)		2,151,327

				6,357,654


		Machinery – 6.6%
	18,248	ESCO Technologies, Inc.		1,275,900
	23,236	Graco, Inc.		1,620,014
	45,200	Ingersoll Rand, Inc.		2,275,820
	14,551	John Bean Technologies Corp.		1,723,857
	13,769	Kornit Digital Ltd.(a)		1,138,559
	8,636	Middleby Corp. (The)(a)		1,415,786
	7,675	RBC Bearings, Inc.(a)		1,488,029

				10,937,965


		Pharmaceuticals – 1.5%
	32,425	Pacira BioSciences, Inc.(a)		2,474,676


		Professional Services – 2.4%
	7,838	FTI Consulting, Inc.(a)		1,232,290
	50,985	KBR, Inc.		2,790,409

				4,022,699


		Semiconductors & Semiconductor Equipment – 7.9%
	15,740	MKS Instruments, Inc.		2,361,000
	3,601	Monolithic Power Systems, Inc.		1,748,934

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2022 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Semiconductors & Semiconductor Equipment – continued
	21,117	Nova Ltd.(a)	$	2,299,219
	33,517	Semtech Corp.(a)		2,324,069
	13,964	Silicon Laboratories, Inc.(a)		2,097,393
	11,031	Synaptics, Inc.(a)		2,200,684

				13,031,299


		Software – 7.3%
	17,304	Blackline, Inc.(a)		1,266,999
	11,471	Paylocity Holding Corp.(a)		2,360,388
	26,674	Q2 Holdings, Inc.(a)		1,644,452
	23,415	Rapid7, Inc.(a)		2,604,685
	29,655	Smartsheet, Inc., Class A(a)		1,624,501
	4,628	Tyler Technologies, Inc.(a)		2,058,951
	40,326	Zeta Global Holdings Corp., Class A(a)		514,156

				12,074,132


		Specialty Retail – 2.1%
	9,076	Five Below, Inc.(a)		1,437,366
	24,751	Floor & Decor Holdings, Inc., Class A(a)		2,004,831

				3,442,197


		Technology Hardware, Storage & Peripherals – 3.1%
	39,465	Avid Technology, Inc.(a)		1,376,145
	104,055	Pure Storage, Inc., Class A(a)		3,674,182

				5,050,327


		Textiles, Apparel & Luxury Goods – 2.0%
	17,484	Columbia Sportswear Co.		1,582,826
	43,913	Skechers U.S.A., Inc., Class A(a)		1,789,894

				3,372,720


		Thrifts & Mortgage Finance – 1.3%
	45,689	Axos Financial, Inc.(a)		2,119,513


		Trading Companies & Distributors – 1.3%
	13,035	SiteOne Landscape Supply, Inc.(a)		2,107,629


		Total Common Stocks

		(Identified Cost $156,895,742)		159,084,151


Principal Amount		Description	Value (†)

	Short-Term Investments – 3.2%

$	5,340,759	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $5,340,759 on 4/01/2022 collateralized by $258,900 U.S. Treasury Bond, 2.500% due 2/15/2045 valued at $252,709; $4,402,200 U.S. Treasury Bond, 3.375% due 11/15/2048 valued at $5,194,871 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,340,759)	$	5,340,759


		Total Investments – 99.8%

		(Identified Cost $162,236,501)		164,424,910

		Other assets less liabilities—0.2%		324,766


		Net Assets – 100.0%	$	164,749,676


	(†)	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, 2022 (Unaudited)


Health Care Equipment & Supplies	8.3	%
Semiconductors & Semiconductor Equipment	7.9
Software	7.3
Machinery	6.6
Biotechnology	5.6
Aerospace & Defense	5.4
Capital Markets	5.2
Life Sciences Tools & Services	3.9
Hotels, Restaurants & Leisure	3.8
IT Services	3.6
Health Care Providers & Services	3.4
Technology Hardware, Storage & Peripherals	3.1
Food & Staples Retailing	2.8
Building Products	2.5
Professional Services	2.4
Electronic Equipment, Instruments & Components	2.3
Specialty Retail	2.1
Textiles, Apparel & Luxury Goods	2.0
Other Investments, less than 2% each	18.4
Short-Term Investments	3.2

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

See accompanying notes to financial statements.

| 12

Statements of Assets and Liabilities

March 31, 2022 (Unaudited)


	Small Cap Growth Fund		Small Cap Value Fund		Small/Mid Cap Growth Fund
ASSETS
Investments at cost	$	2,009,693,907	$	374,718,982	$	162,236,501
Net unrealized appreciation		458,594,866		161,227,108		2,188,409

Investments at value		2,468,288,773		535,946,090		164,424,910
Cash		254,711		—		—
Receivable for Fund shares sold		2,740,954		219,446		359,313
Receivable for securities sold		8,055,298		2,426,111		1,084,577
Dividends receivable		1,276,325		416,184		32,128
Prepaid expenses (Note 7)		19		5		1

TOTAL ASSETS		2,480,616,080		539,007,836		165,900,929


LIABILITIES
Payable for securities purchased		8,465,122		3,167,242		976,075
Payable for Fund shares redeemed		21,515,225		214,827		—
Management fees payable (Note 5)		1,557,130		351,913		91,604
Deferred Trustees’ fees (Note 5)		302,132		316,462		39,347
Administrative fees payable (Note 5)		91,085		20,011		5,759
Payable to distributor (Note 5d)		19,585		5,194		26
Audit and tax services fees payable		23,995		24,396		23,773
Other accounts payable and accrued expenses		121,192		59,648		14,669

TOTAL LIABILITIES		32,095,466		4,159,693		1,151,253

NET ASSETS	$	2,448,520,614	$	534,848,143	$	164,749,676

NET ASSETS CONSIST OF:
Paid-in capital	$	1,928,106,848	$	338,373,929	$	160,911,730
Accumulated earnings		520,413,766		196,474,214		3,837,946

NET ASSETS	$	2,448,520,614	$	534,848,143	$	164,749,676


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

Institutional Class:
Net assets	$	1,102,254,707	$	342,638,197	$	110,503,145

Shares of beneficial interest		39,673,658		12,800,380		8,665,685

Net asset value, offering and redemption price per share	$	27.78	$	26.77	$	12.75


Retail Class:
Net assets	$	85,980,412	$	80,604,047	$	—

Shares of beneficial interest		3,539,819		3,091,712		—

Net asset value, offering and redemption price per share	$	24.29	$	26.07	$	—


Admin Class shares:
Net assets	$	—	$	8,992,973	$	—

Shares of beneficial interest		—		372,296		—

Net asset value, offering and redemption price per share	$	—	$	24.16	$	—


Class N shares:
Net assets	$	1,260,285,495	$	102,612,926	$	54,246,531

Shares of beneficial interest		44,692,630		3,831,668		4,250,083

Net asset value, offering and redemption price per share	$	28.20	$	26.78	$	12.76

See accompanying notes to financial statements.

13 |

Statements of Operations

For the Six Months Ended March 31, 2022 (Unaudited)


	Small Cap Growth Fund			Small Cap Value Fund			Small/Mid Cap Growth Fund
INVESTMENT INCOME
Dividends	$	6,390,976	(a)	$	4,214,094		$	226,804
Less net foreign taxes withheld		(25,937	)		(11,464	)		—

		6,365,039			4,202,630			226,804

Expenses
Management fees (Note 5)		10,361,525			2,216,869			421,450
Service and distribution fees (Note 5)		122,590			134,204			—
Administrative fees (Note 5)		592,897			126,913			24,219
Trustees’ fees and expenses (Note 5)		40,253			12,558			6,433
Trustees’ fees deferred compensation (Note 5)		(13,901	)		(21,906	)		(1,330	)
Transfer agent fees and expenses (Notes 5 and 6)		795,782			200,165			3,333
Audit and tax services fees		20,462			20,717			20,408
Custodian fees and expenses		48,768			9,256			3,626
Legal fees (Note 7)		29,370			5,904			826
Registration fees		56,870			55,100			20,746
Shareholder reporting expenses		78,642			55,587			469
Miscellaneous expenses		54,168			24,127			15,204

Total expenses		12,187,426			2,839,494			515,384
Less waiver and/or expense reimbursement (Note 5)		—			(73,444	)		(45,323	)

Net expenses		12,187,426			2,766,050			470,061

Net investment income (loss)		(5,822,387	)		1,436,580			(243,257	)


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investments		71,108,745			40,241,957			2,056,024
Net change in unrealized appreciation (depreciation) on:
Investments		(303,101,362	)		(45,125,328	)		(16,479,475	)

Net realized and unrealized loss on investments		(231,992,617	)		(4,883,371	)		(14,423,451	)


NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(237,815,004	)	$	(3,446,791	)	$	(14,666,708	)

(a)	Includes a non-recurring dividend of $1,235,166.

See accompanying notes to financial statements.

| 14

Statements of Changes in Net Assets


	Small Cap Growth Fund						Small Cap Value Fund
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021
FROM OPERATIONS:
Net investment income (loss)	$	(5,822,387	)	$	(19,450,861	)	$	1,436,580		$	507,378
Net realized gain on investments		71,108,745			533,253,178			40,241,957			100,227,931
Net change in unrealized appreciation (depreciation) on investments		(303,101,362	)		177,322,872			(45,125,328	)		147,963,359

Net increase (decrease) in net assets resulting from operations		(237,815,004	)		691,125,189			(3,446,791	)		248,698,668

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Institutional Class		(225,523,167	)		(22,559,287	)		(63,922,055	)		(26,695,330	)
Retail Class		(19,793,925	)		(2,296,488	)		(14,932,854	)		(7,238,030	)
Admin Class		—			—			(1,673,437	)		(668,585	)
Class N		(252,701,386	)		(24,308,305	)		(19,629,374	)		(8,552,785	)

Total distributions		(498,018,478	)		(49,164,080	)		(100,157,720	)		(43,154,730	)


NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		304,411,029			36,085,434			45,809,793			(91,550,412	)

Net increase (decrease) in net assets		(431,422,453	)		678,046,543			(57,794,718	)		113,993,526
NET ASSETS
Beginning of the period		2,879,943,067			2,201,896,524			592,642,861			478,649,335

End of the period	$	2,448,520,614		$	2,879,943,067		$	534,848,143		$	592,642,861

See accompanying notes to financial statements.

15 |

Statements of Changes in Net Assets – continued


	Small/Mid Cap Growth Fund
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021
FROM OPERATIONS:
Net investment loss	$	(243,257	)	$	(105,005	)
Net realized gain on investments		2,056,024			9,142,738
Net change in unrealized appreciation (depreciation) on investments		(16,479,475	)		8,684,917

Net increase (decrease) in net assets resulting from operations		(14,666,708	)		17,722,650

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Institutional Class		(7,348,311	)		(450,185	)
Class N		(901,138	)		(58,589	)

Total distributions		(8,249,449	)		(508,774	)


NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		107,880,428			10,400,054

Net increase in net assets		84,964,271			27,613,930
NET ASSETS
Beginning of the period		79,785,405			52,171,475

End of the period	$	164,749,676		$	79,785,405

See accompanying notes to financial statements.

| 16

Financial Highlights

For a share outstanding throughout each period.


	Small Cap Growth Fund – Institutional Class
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	36.57		$	28.51		$	26.30		$	31.55		$	27.37		$	22.03

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.08	)(b)		(0.26	)		(0.17	)		(0.16	)		(0.16	)		(0.12	)
Net realized and unrealized gain (loss)		(2.23	)		8.94			4.73			(2.51	)		7.54			5.46

Total from Investment Operations		(2.31	)		8.68			4.56			(2.67	)		7.38			5.34

LESS DISTRIBUTIONS FROM:
Net realized capital gains		(6.48	)		(0.62	)		(2.35	)		(2.58	)		(3.20	)		—

Net asset value, end of the period	$	27.78		$	36.57		$	28.51		$	26.30		$	31.55		$	27.37

Total return		(8.66	)%(b)(c)		30.53	%		17.98	%		(6.88	)%		29.77	%		24.24	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,102,255		$	1,299,777		$	1,037,625		$	908,616		$	926,914		$	824,103
Net expenses		0.93	%(d)		0.92	%		0.94	%		0.95	%		0.94	%		0.95	%
Gross expenses		0.93	%(d)		0.92	%		0.94	%		0.95	%		0.94	%		0.95	%
Net investment loss		(0.47	)%(b)(d)		(0.72	)%		(0.66	)%		(0.62	)%		(0.58	)%		(0.49	)%
Portfolio turnover rate		17	%		52	%		52	%		67	%		41	%		45	%

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.09), total return would have been (7.27%) and the ratio of net investment loss to average net assets would have been (0.56%).

(c)

Periods less than one year are not annualized.

(d)

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


	Small Cap Growth Fund – Retail Class
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	32.79		$	25.67		$	23.95		$	29.09		$	25.53		$	20.61

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.10	)(b)		(0.30	)		(0.21	)		(0.21	)		(0.22	)		(0.16	)
Net realized and unrealized gain (loss)		(1.92	)		8.04			4.28			(2.35	)		6.98			5.08

Total from Investment Operations		(2.02	)		7.74			4.07			(2.56	)		6.76			4.92

LESS DISTRIBUTIONS FROM:
Net realized capital gains		(6.48	)		(0.62	)		(2.35	)		(2.58	)		(3.20	)		—

Net asset value, end of the period	$	24.29		$	32.79		$	25.67		$	23.95		$	29.09		$	25.53

Total return		(8.75	)%(b)(c)		30.20	%		17.67	%		(7.11	)%(d)		29.45	%		23.93	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	85,980		$	105,027		$	98,205		$	95,635		$	136,415		$	107,387
Net expenses		1.18	%(e)		1.17	%		1.19	%		1.19	%(f)		1.19	%		1.20	%
Gross expenses		1.18	%(e)		1.17	%		1.19	%		1.20	%		1.19	%		1.20	%
Net investment loss		(0.72	)%(b)(e)		(0.92	)%		(0.91	)%		(0.86	)%		(0.82	)%		(0.73	)%
Portfolio turnover rate		17	%		52	%		52	%		67	%		41	%		45	%

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.12), total return would have been (7.49%) and the ratio of net investment loss to average net assets would have been (0.82%).

(c)

Periods less than one year are not annualized.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

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

(f)

The 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.

17 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Growth Fund – Class N
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	37.01		$	28.81		$	26.53		$	31.76		$	27.50		$	22.11

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)(b)		(0.22	)		(0.14	)		(0.13	)		(0.12	)		(0.09	)
Net realized and unrealized gain (loss)		(2.27	)		9.04			4.77			(2.52	)		7.58			5.48

Total from Investment Operations		(2.33	)		8.82			4.63			(2.65	)		7.46			5.39

LESS DISTRIBUTIONS FROM:
Net realized capital gains		(6.48	)		(0.62	)		(2.35	)		(2.58	)		(3.20	)		—

Net asset value, end of the period	$	28.20		$	37.01		$	28.81		$	26.53		$	31.76		$	27.50

Total return		(8.58	)%(b)(c)		30.66	%		18.09	%		(6.76	)%		29.93	%		24.38	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,260,285		$	1,475,139		$	1,066,067		$	629,914		$	517,734		$	279,508
Net expenses		0.82	%(d)		0.82	%		0.82	%		0.82	%		0.82	%		0.82	%
Gross expenses		0.82	%(d)		0.82	%		0.82	%		0.82	%		0.82	%		0.82	%
Net investment loss		(0.36	)%(b)(d)		(0.62	)%		(0.54	)%		(0.49	)%		(0.43	)%		(0.39	)%
Portfolio turnover rate		17	%		52	%		52	%		67	%		41	%		45	%

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been (7.18%) and the ratio of net investment loss to average net assets would have been (0.44%).

(c)

Periods less than one year are not annualized.

(d)

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


	Small Cap Value Fund – Institutional Class
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	32.05		$	22.34		$	28.66		$	35.27		$	37.37		$	33.78

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.04			0.12			0.10			0.09			0.13
Net realized and unrealized gain (loss)		0.07	(b)		11.79			(4.03	)		(2.49	)		2.11			6.36

Total from Investment Operations		0.15			11.83			(3.91	)		(2.39	)		2.20			6.49

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.13	)		(0.12	)		(0.08	)		(0.05	)		(0.14	)
Net realized capital gains		(5.38	)		(1.99	)		(2.29	)		(4.14	)		(4.25	)		(2.76	)

Total Distributions		(5.43	)		(2.12	)		(2.41	)		(4.22	)		(4.30	)		(2.90	)

Net asset value, end of the period	$	26.77		$	32.05		$	22.34		$	28.66		$	35.27		$	37.37

Total return(c)		(0.58	)%(d)		55.05	%		(15.31	)%		(4.11	)%		6.21	%		19.68	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	342,638		$	378,856		$	295,006		$	433,360		$	587,198		$	665,229
Net expenses(e)		0.90	%(f)		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Gross expenses		0.93	%(f)		0.94	%		0.95	%		0.93	%		0.92	%		0.93	%
Net investment income		0.52	%(f)		0.12	%		0.48	%		0.36	%		0.26	%		0.37	%
Portfolio turnover rate		14	%		23	%		23	%		24	%		19	%		25	%

(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.

See accompanying notes to financial statements.

18 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund – Retail Class
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	31.33		$	21.87		$	28.11		$	34.66		$	36.83		$	33.33

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.04			(0.04	)		0.05			0.03			0.00	(b)		0.04
Net realized and unrealized gain (loss)		0.08	(c)		11.55			(3.96	)		(2.44	)		2.08			6.27

Total from Investment Operations		0.12			11.51			(3.91	)		(2.41	)		2.08			6.31

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.06	)		(0.04	)		—			—			(0.05	)
Net realized capital gains		(5.38	)		(1.99	)		(2.29	)		(4.14	)		(4.25	)		(2.76	)

Total Distributions		(5.38	)		(2.05	)		(2.33	)		(4.14	)		(4.25	)		(2.81	)

Net asset value, end of the period	$	26.07		$	31.33		$	21.87		$	28.11		$	34.66		$	36.83

Total return(d)		(0.71	)%(e)		54.69	%		(15.56	)%		(4.33	)%		5.95	%		19.38	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	80,604		$	92,036		$	83,163		$	134,434		$	208,310		$	251,405
Net expenses(f)		1.15	%(g)		1.15	%		1.15	%		1.15	%		1.15	%		1.15	%
Gross expenses		1.18	%(g)		1.19	%		1.20	%		1.18	%		1.17	%		1.18	%
Net investment income (loss)		0.28	%(g)		(0.12	)%		0.23	%		0.10	%		0.01	%		0.12	%
Portfolio turnover rate		14	%		23	%		23	%		24	%		19	%		25	%

(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)

(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.


	Small Cap Value Fund – Admin Class
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	29.44		$	20.65		$	26.68		$	33.25		$	35.58		$	32.31

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.00	(b)		(0.10	)		(0.01	)		(0.04	)		(0.08	)		(0.04	)
Net realized and unrealized gain (loss)		0.10	(c)		10.88			(3.73	)		(2.39	)		2.00			6.07

Total from Investment Operations		0.10			10.78			(3.74	)		(2.43	)		1.92			6.03

LESS DISTRIBUTIONS FROM:
Net realized capital gains		(5.38	)		(1.99	)		(2.29	)		(4.14	)		(4.25	)		(2.76	)

Net asset value, end of the period	$	24.16		$	29.44		$	20.65		$	26.68		$	33.25		$	35.58

Total return(d)		(0.87	)%(e)		54.29	%		(15.74	)%		(4.60	)%		5.68	%		19.10	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	8,993		$	9,440		$	7,662		$	13,357		$	24,530		$	30,533
Net expenses(f)		1.40	%(g)		1.40	%		1.40	%		1.40	%		1.40	%		1.40	%
Gross expenses		1.43	%(g)		1.43	%		1.45	%		1.43	%		1.42	%		1.43	%
Net investment income (loss)		0.03	%(g)		(0.38	)%		(0.03	)%		(0.15	)%		(0.24	)%		(0.11	)%
Portfolio turnover rate		14	%		23	%		23	%		24	%		19	%		25	%

(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)

(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.

19 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund – Class N
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	32.07		$	22.35		$	28.68		$	35.31		$	37.41		$	33.81

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.05			0.13			0.12			0.12			0.15
Net realized and unrealized gain (loss)		0.07	(b)		11.80			(4.03	)		(2.50	)		2.11			6.37

Total from Investment Operations		0.16			11.85			(3.90	)		(2.38	)		2.23			6.52

LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.14	)		(0.14	)		(0.11	)		(0.08	)		(0.16	)
Net realized capital gains		(5.38	)		(1.99	)		(2.29	)		(4.14	)		(4.25	)		(2.76	)

Total Distributions		(5.45	)		(2.13	)		(2.43	)		(4.25	)		(4.33	)		(2.92	)

Net asset value, end of the period	$	26.78		$	32.07		$	22.35		$	28.68		$	35.31		$	37.41

Total return		(0.56	)%(c)		55.15	%		(15.28	)%		(4.07	)%		6.28	%		19.78	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	102,613		$	112,310		$	92,818		$	141,821		$	153,646		$	136,162
Net expenses		0.85	%(d)		0.85	%		0.85	%		0.83	%		0.83	%		0.83	%
Gross expenses		0.85	%(d)		0.85	%		0.85	%		0.83	%		0.83	%		0.83	%
Net investment income		0.57	%(d)		0.17	%		0.53	%		0.43	%		0.33	%		0.44	%
Portfolio turnover rate		14	%		23	%		23	%		24	%		19	%		25	%

(a)

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

(b)

(c)

Periods less than one year are not annualized.

(d)

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


	Small/Mid Cap Growth Fund – Institutional Class
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	15.25		$	11.81		$	10.03		$	15.49		$	12.31		$	9.73

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.03	)		(0.02	)(b)		(0.04	)		(0.04	)		(0.05	)		0.00	(c)
Net realized and unrealized gain (loss)		(0.99	)		3.56			2.06			(1.55	)(d)		3.23			2.60

Total from Investment Operations		(1.02	)		3.54			2.02			(1.59	)		3.18			2.60

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—			(0.02	)
Net realized capital gains		(1.48	)		(0.10	)		(0.24	)		(3.87	)		—			—

Total Distributions		(1.48	)		(0.10	)		(0.24	)		(3.87	)		—			(0.02	)

Net asset value, end of the period	$	12.75		$	15.25		$	11.81		$	10.03		$	15.49		$	12.31

Total return(e)		(8.05	)%(f)		30.00	%(b)		20.38	%		(3.27	)%		25.83	%		26.74	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	110,503		$	70,526		$	52,170		$	34,312		$	17,500		$	14,592
Net expenses(g)		0.84	%(h)(i)		0.84	%(i)		0.84	%		0.85	%		0.85	%		0.85	%
Gross expenses		0.92	%(h)		0.99	%		1.21	%		1.30	%		1.43	%		1.57	%
Net investment income (loss)		(0.44	)%(h)		(0.14	)%(b)		(0.34	)%		(0.35	)%		(0.35	)%		0.01	%
Portfolio turnover rate		23	%		50	%		60	%		67	%		102	%(j)		49	%

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 29.49% and the ratio of net investment loss to average net assets would have been (0.52%).

(c)

Amount rounds to less than $0.01 per share.

(d)

(e)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)

Periods less than one year are not annualized.

(g)

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.

(h)

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

(i)

Includes additional voluntary waiver of advisory fee of 0.01%.

(j)

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.

20 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small/Mid Cap Growth Fund – Class N
	Six Months Ended March 31, 2022 (Unaudited)			Year Ended September 30, 2021			Period Ended September 30, 2020*
Net asset value, beginning of the period	$	15.26		$	11.81		$	9.89

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.03	)		(0.01	)(b)		(0.04	)
Net realized and unrealized gain (loss)		(0.99	)		3.56			2.20

Total from Investment Operations		(1.02	)		3.55			2.16

LESS DISTRIBUTIONS FROM:
Net realized capital gains		(1.48	)		(0.10	)		(0.24	)

Net asset value, end of the period	$	12.76		$	15.26		$	11.81

Total return(c)		(8.05	)%(d)		30.08	%(b)		22.08	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	54,247		$	9,260		$	1
Net expenses(e)		0.83	%(f)		0.83	%		0.83	%(f)
Gross expenses		0.91	%(f)		1.00	%		107.49	%(f)
Net investment loss		(0.41	)%(f)		(0.08	)%(b)		(0.34	)%(f)
Portfolio turnover rate		23	%		50	%		60	%(g)

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)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 29.66% and the ratio of net investment loss to average net assets would have been (0.50%).

(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)

Represents the Fund’s portfolio turnover rate for the year ended September 30, 2020.

See accompanying notes to financial statements.

21 |

Notes to Financial Statements

March 31, 2022 (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.

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 and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Retail Class and Admin Class), and transfer agent fees 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. 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.

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.

| 22

Notes to Financial Statements – continued

March 31, 2022 (Unaudited)

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.

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.

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, 2022 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.

23 |

Notes to Financial Statements – continued

March 31, 2022 (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, distribution re-designations, capital gain distributions received and net operating losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to return of capital distributions received, deferred Trustees’ fees and wash sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are 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, 2021 was as follows:


	2021 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total
Small Cap Growth Fund	$	—	$	49,164,080	$	49,164,080
Small Cap Value Fund		2,422,269		40,732,461		43,154,730
Small/Mid Cap Growth Fund		—		508,774		508,774

As of March 31, 2022, 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	$	2,009,693,907		$	374,718,982		$	162,236,501

Gross tax appreciation	$	567,671,606		$	172,900,129		$	10,531,199
Gross tax depreciation		(109,076,740	)		(11,673,021	)		(8,342,790	)

Net tax appreciation	$	458,594,866		$	161,227,108		$	2,188,409

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.

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, 2022, 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. Small Cap Growth Fund and Small Cap Value Fund 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

| 24

Notes to Financial Statements – continued

March 31, 2022 (Unaudited)

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, 2022, neither Fund 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.

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2022, at value:

Small Cap Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	2,400,807,763	$	—	$	—	$	2,400,807,763
Short-Term Investments		—		67,481,010		—		67,481,010

Total	$	2,400,807,763	$	67,481,010	$	—	$	2,468,288,773

(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)	$	519,919,423	$	—	$	—	$	519,919,423
Short-Term Investments		—		16,026,667		—		16,026,667

Total	$	519,919,423	$	16,026,667	$	—	$	535,946,090

(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)	$	159,084,151	$	—	$	—	$	159,084,151
Short-Term Investments		—		5,340,759		—		5,340,759

Total	$	159,084,151	$	5,340,759	$	—	$	164,424,910

(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, 2022, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Small Cap Growth Fund	$	445,052,811	$	600,611,032
Small Cap Value Fund		82,232,692		138,573,654
Small/Mid Cap Growth Fund		120,965,101		24,823,301

25 |

Notes to Financial Statements – continued

March 31, 2022 (Unaudited)

5. Management Fees and Other Transactions with Affiliates.

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, 2023, 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, 2022, 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 both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, 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, 2022, the management fees for each Fund were as follows:


Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Voluntary Waivers of Management Fees²		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Voluntary Waivers of Management Fees²		Net Management Fees		Gross		Net
Small Cap Growth Fund	$	10,361,525	$	—	$	—	$	10,361,525		0.75%		0.75%
Small Cap Value Fund		2,216,869		—		—		2,216,869		0.75%		0.75%
Small/Mid Cap Growth Fund		421,450		40,044		4,448		376,958		0.75%		0.67%

For the six months ended March 31, 2022, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Institutional Class	Retail Class	Admin Class	Class N	Total
Small Cap Value Fund	$58,760	$13,234	$1,450	$—	$73,444

¹Waiver/expense reimbursements are subject to possible recovery until September 30, 2023.

²In order to ensure that the total annual fund operating expenses after fee waiver and/or expense reimbursement do not exceed limitations, the Adviser may voluntarily waive additional advisory fees for Small/Mid Cap Growth Fund. Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described above.

| 26

Notes to Financial Statements – continued

March 31, 2022 (Unaudited)

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 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, 2022, 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	$	—	$	122,590	$	—
Small Cap Value Fund		11,770		110,664		11,770

c. Administrative Fees. Natixis Advisors, LLC (“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 Investment Managers, LLC. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts 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 Trusts, 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 Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2022, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Small Cap Growth Fund	$	592,897
Small Cap Value Fund		126,913
Small/Mid Cap Growth Fund		24,219

For the six months ended March 31, 2022, 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	$	775,639
Small Cap Value Fund		186,945
Small/Mid Cap Growth Fund		885

27 |

Notes to Financial Statements – continued

March 31, 2022 (Unaudited)


Fund	Reimbursements of Sub-Transfer Agent Fees
Small Cap Growth Fund	$	19,585
Small Cap Value Fund		5,194
Small/Mid Cap Growth Fund		26

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 Investment Managers, LLC 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 $210,000. 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 Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Prior to January 1, 2022, each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $199,000. All other Trustees 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 Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

For the six months ended March 31, 2022, net depreciation in the value of participants’ deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:


Fund	Amount
Small Cap Growth Fund	$	(13,901	)
Small Cap Value Fund		(21,906	)
Small/Mid Cap Growth Fund		(1,330	)

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, 2022, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”), Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) and Loomis Sayles non-qualified retirement plans held shares of the Funds representing the following percentages of the Funds’ net assets:


Fund	Pension Plan		Retirement Plan		Non- Qualified Retirement Plans		Total Affiliated Ownership
Small Cap Growth Fund		0.07%		1.15%		—		1.22%
Small Cap Value Fund		0.29%		5.73%		6.56%		12.58%

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

| 28

Notes to Financial Statements – continued

March 31, 2022 (Unaudited)

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 and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through January 31, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended March 31, 2022, Natixis Advisors reimbursed Small/Mid Cap Growth Fund $831 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, 2022, 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	$	732,956	$	57,990	$	—	$	4,836
Small Cap Value Fund		158,313		36,801		3,929		1,122
Small/Mid Cap Growth Fund		2,502		—		—		831

7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 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 $500,000,000 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 certain 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 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, 2022, 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, 2022, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


Fund	Number of 5% Non-Affiliated Account Holders	Percentage of Non-Affiliated Ownership		Percentage of Affiliated Ownership Ownership (Note 5f)		Total Percentage of Ownership
Small Cap Value Fund	2		18.69%		12.58%		31.27%
Small/Mid Cap Growth Fund	4		70.11%		—		70.11%

9. Risk. Global markets have experienced periods of high volatility triggered by the Covid-19 pandemic. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Such effects could impair the Funds’ ability to maintain operational standards, disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments and negatively impact the Funds’ performance.

29 |

Notes to Financial Statements – continued

March 31, 2022 (Unaudited)

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


	Small Cap Growth Fund

	Six Months Ended March 31, 2022						Year Ended September 30, 2021

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,661,507		$	116,804,580			9,135,230		$	323,499,208
Issued in connection with the reinvestment of distributions		6,623,931			211,700,835			603,506			21,484,823
Redeemed		(6,149,888	)		(197,263,228	)		(10,600,777	)		(379,032,001	)

Net change		4,135,550		$	131,242,187			(862,041	)	$	(34,047,970	)


Retail Class
Issued from the sale of shares		159,966		$	4,475,207			559,662		$	17,611,050
Issued in connection with the reinvestment of distributions		703,528			19,670,652			71,504			2,286,695
Redeemed		(526,957	)		(15,295,678	)		(1,253,848	)		(39,965,014	)

Net change		336,537		$	8,850,181			(622,682	)	$	(20,067,269	)


Class N
Issued from the sale of shares		4,316,215		$	145,386,526			12,972,678		$	459,829,686
Issued in connection with the reinvestment of distributions		7,685,869			249,252,745			666,169			23,982,068
Redeemed		(7,168,325	)		(230,320,610	)		(10,783,445	)		(393,611,081	)

Net change		4,833,759		$	164,318,661			2,855,402		$	90,200,673

Increase from capital share transactions		9,305,846		$	304,411,029			1,370,679		$	36,085,434

| 30

Notes to Financial Statements – continued

March 31, 2022 (Unaudited)

10. Capital Shares – continued


	Small Cap Value Fund

	Six Months Ended March 31, 2022						Year Ended September 30, 2021

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		969,325		$	28,939,748			2,185,029		$	65,327,936
Issued in connection with the reinvestment of distributions		2,209,266			63,052,444			969,486			25,449,017
Redeemed		(2,200,048	)		(61,689,062	)		(4,539,392	)		(134,099,821	)

Net change		978,543		$	30,303,130			(1,384,877	)	$	(43,322,868	)


Retail Class
Issued from the sale of shares		76,323		$	2,306,907			272,038		$	7,899,117
Issued in connection with the reinvestment of distributions		535,511			14,897,926			280,859			7,220,881
Redeemed		(457,663	)		(13,549,005	)		(1,417,269	)		(40,836,991	)

Net change		154,171		$	3,655,828			(864,372	)	$	(25,716,993	)


Admin Class
Issued from the sale of shares		34,233		$	959,652			23,426		$	655,054
Issued in connection with the reinvestment of distributions		64,887			1,673,437			27,530			666,234
Redeemed		(47,545	)		(1,356,894	)		(101,301	)		(2,619,066	)

Net change		51,575		$	1,276,195			(50,345	)	$	(1,297,778	)


Class N
Issued from the sale of shares		500,069		$	15,754,583			710,243		$	21,428,894
Issued in connection with the reinvestment of distributions		687,544			19,629,374			325,820			8,552,785
Redeemed		(858,140	)		(24,809,317	)		(1,686,418	)		(51,194,452	)

Net change		329,473		$	10,574,640			(650,355	)	$	(21,212,773	)

Increase (decrease) from capital share transactions		1,513,762		$	45,809,793			(2,949,949	)	$	(91,550,412	)


	Small/Mid Cap Growth Fund

	Six Months Ended March 31, 2022						Year Ended September 30, 2021

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,819,491		$	50,124,002			770,533		$	10,719,355
Issued in connection with the reinvestment of distributions		493,838			7,348,311			31,883			450,185
Redeemed		(272,393	)		(3,930,248	)		(596,871	)		(8,728,075	)

Net change		4,040,936		$	53,542,065			205,545		$	2,441,465


Class N
Issued from the sale of shares		3,722,592		$	55,262,775			673,195		$	8,900,000
Issued in connection with the reinvestment of distributions		60,520			901,138			4,146			58,589
Redeemed		(139,802	)		(1,825,550	)		(70,671	)		(1,000,000	)

Net change		3,643,310		$	54,338,363			606,670		$	7,958,589

Increase from capital share transactions		7,684,246		$	107,880,428			812,215		$	10,400,054

31 |

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.

(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 L. Giunta

Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		May 24, 2022

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 L. Giunta

Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		May 24, 2022

By:		/s/ Michael C. Kardok

Name:		Michael C. Kardok
Title:		Treasurer and Principal Financial and Accounting Officer
Date:		May 24, 2022