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)
Susan McWhan Tobin, 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) 449-2139
Date of fiscal year end: September 30
Date of reporting period: March 31, 2024
Item 1. Reports to Stockholders.
| (a) | The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
Semiannual Report
March 31, 2024
| Loomis Sayles Core Plus Bond 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
| 1 | |
| 10 | |
| 49 | |
| 77 |
IMPORTANT NOTICE TO SHAREHOLDERS
The Securities and Exchange Commission (SEC) has adopted new regulations that will result in changes to
the design and delivery of annual and semiannual shareholder reports. Beginning in July 2024, Funds will be required by the SEC to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that is currently being provided. If you would like to receive shareholder reports and other communications from the Funds electronically, instead of by mail, you may make that request at www.icsdelivery.com/natixisfunds. If you have already elected to receive shareholder reports electronically,
you will not be affected by this change, and you need not take any action.
Loomis
Sayles Core Plus Bond Fund
| Managers |
| Ian
Anderson |
| Peter W. Palfrey,
CFA® |
| Richard G.
Raczkowski |
| Barath W.
Sankaran, CFA® |
| Loomis, Sayles & Company, L.P. |
| Symbols | |
| Class A |
NEFRX |
| Class C |
NECRX |
| Class N |
NERNX |
| Class Y |
NERYX |
Investment Goal
The Fund seeks high total investment return through a combination of current income and capital
appreciation.
| |
6 Months |
1 Year |
5 Years |
10 Years |
Expense Ratios2 | |
| |
Gross |
Net | ||||
| Class Y |
|
|
|
|
|
|
| NAV |
6.93 % |
1.86 % |
1.17 % |
1.97 % |
0.50 % |
0.49 % |
| Class A |
|
|
|
|
|
|
| NAV |
6.77 |
1.62 |
0.91 |
1.71 |
0.75 |
0.74 |
| With 4.25% Maximum Sales Charge |
2.19 |
-2.71 |
0.03 |
1.27 |
|
|
| Class C |
|
|
|
|
|
|
| NAV |
6.36 |
0.85 |
0.15 |
1.09 |
1.50 |
1.49 |
| With CDSC3
|
5.36 |
-0.13 |
0.15 |
1.09 |
|
|
| Class N |
|
|
|
|
|
|
| NAV |
6.98 |
1.96 |
1.26 |
2.06 |
0.40 |
0.40 |
| Comparative Performance |
|
|
|
|
|
|
| Bloomberg U.S. Aggregate Bond Index4
|
5.99 |
1.70 |
0.36 |
1.54 |
|
|
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. 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 |
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2 |
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 1/31/25. 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. |
| 3 |
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and
includes automatic conversion to Class A shares after eight years.
|
| 4 |
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 U.S. Treasury,
government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
1 |
Loomis
Sayles Global Allocation Fund
| Managers |
| Matthew J. Eagan,
CFA® |
| Eileen N. Riley,
CFA® |
| David W. Rolley,
CFA® |
| Lee M.
Rosenbaum |
| Loomis, Sayles & Company, L.P. |
| Symbols | |
| Class A |
LGMAX |
| Class C |
LGMCX |
| Class N |
LGMNX |
| Class Y |
LSWWX |
Investment Goal
The Fund seeks high total investment return through a combination of capital appreciation and current
income.
| |
6 Months |
1 Year |
5 Years |
10 Years |
Life of
Class N |
Expense Ratios2 | |
| |
Gross |
Net | |||||
| Class Y |
|
|
|
|
|
|
|
| NAV |
19.94 % |
22.30 % |
8.55 % |
7.96 % |
— % |
0.92 % |
0.92 % |
| Class A |
|
|
|
|
|
|
|
| NAV |
19.79 |
22.01 |
8.28 |
7.69 |
— |
1.17 |
1.17 |
| With 5.75% Maximum Sales Charge |
12.90 |
15.02 |
7.01 |
7.05 |
— |
|
|
| Class C |
|
|
|
|
|
|
|
| NAV |
19.36 |
21.12 |
7.48 |
7.04 |
— |
1.92 |
1.92 |
| With CDSC3 |
18.36 |
20.12 |
7.48 |
7.04 |
— |
|
|
| Class N (Inception 2/1/17) |
|
|
|
|
|
|
|
| NAV |
19.97 |
22.44 |
8.65 |
— |
9.42 |
0.82 |
0.82 |
| Comparative Performance |
|
|
|
|
|
|
|
| MSCI All Country World Index (Net)4 |
20.14 |
23.22 |
10.92 |
8.66 |
10.56 |
|
|
| Blended Index5 |
14.28 |
13.71 |
6.18 |
5.29 |
6.53 |
|
|
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. 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 |
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2 |
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 1/31/25. 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. |
| 3 |
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and
includes automatic conversion to Class A shares after eight years.
|
| 4 |
MSCI All Country World Index (Net) is an unmanaged index that captures large and mid-cap representation across developed markets and emerging markets
countries. |
| 5 |
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. |
| 2
Loomis
Sayles Growth Fund
| Managers |
| Aziz V.
Hamzaogullari, CFA® |
| Loomis, Sayles & Company, L.P. |
| Symbols | |
| Class A |
LGRRX |
| Class C |
LGRCX |
| Class N |
LGRNX |
| Class Y |
LSGRX |
Investment Goal
The Fund seeks long-term growth of capital.
| |
6 Months |
1 Year |
5 Years |
10 Years |
Expense Ratios2 | |
| |
Gross |
Net | ||||
| Class Y |
|
|
|
|
|
|
| NAV |
28.22 % |
40.15 % |
16.95 % |
15.55 % |
0.67 % |
0.67 % |
| Class A |
|
|
|
|
|
|
| NAV |
28.02 |
39.80 |
16.65 |
15.25 |
0.92 |
0.92 |
| With 5.75% Maximum Sales Charge |
20.69 |
31.79 |
15.27 |
14.57 |
|
|
| Class C |
|
|
|
|
|
|
| NAV |
27.49 |
38.68 |
15.77 |
14.56 |
1.67 |
1.67 |
| With CDSC3
|
26.49 |
37.68 |
15.77 |
14.56 |
|
|
| Class N |
|
|
|
|
|
|
| NAV |
28.20 |
40.24 |
17.04 |
15.63 |
0.58 |
0.58 |
| Comparative Performance |
|
|
|
|
|
|
| S&P 500® Index4
|
23.48 |
29.88 |
15.05 |
12.96 |
|
|
| Russell 1000® Growth Index5
|
27.19 |
39.00 |
18.52 |
15.98 |
|
|
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. 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 |
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2 |
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 1/31/25. 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. |
| 3 |
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and
includes automatic conversion to Class A shares after eight years.
|
| 4 |
Effective February 1, 2024, the Fund's primary broad-based performance index changed to the S&P 500® Index. The S&P 500® Index is a broad-based
securities market index that represents the overall market applicable to the Fund.
S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance
of the large cap segment of the U.S. equities market. |
| 5 |
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® Index companies with higher price-to-book ratios and higher
forecasted growth values. The Fund will retain the Russell 1000® Growth Index as its additional benchmark for performance comparison. |
3 |
Loomis
Sayles Intermediate Duration Bond Fund
| Managers |
| Daniel Conklin,
CFA® |
| Christopher
T. Harms |
| Clifton V. Rowe,
CFA® |
| Loomis, Sayles & Company, L.P. |
| Symbols | |
| Class A |
LSDRX |
| Class C |
LSCDX |
| Class N |
LSDNX |
| Class Y |
LSDIX |
Investment Goal
The Fund seeks above-average total return through a combination of current income and capital
appreciation.
| |
6 Months |
1 Year |
5 Years |
10 Years |
Life of
Class N |
Expense Ratios3 | |
| |
Gross |
Net | |||||
| Class Y |
|
|
|
|
|
|
|
| NAV |
5.02 % |
3.84 % |
1.55 % |
1.96 % |
— % |
0.46 % |
0.40 % |
| Class A |
|
|
|
|
|
|
|
| NAV |
4.87 |
3.54 |
1.27 |
1.69 |
— |
0.71 |
0.65 |
| With 4.25% Maximum Sales Charge |
0.38 |
-0.87 |
0.40 |
1.25 |
— |
|
|
| Class C (Inception 8/31/16) |
|
|
|
|
|
|
|
| NAV |
4.49 |
2.79 |
0.53 |
1.07 |
— |
1.46 |
1.40 |
| With CDSC4 |
3.49 |
1.79 |
0.53 |
1.07 |
— |
|
|
| Class N (Inception 2/1/19) |
|
|
|
|
|
|
|
| NAV |
4.93 |
3.89 |
1.58 |
— |
1.91 |
0.39 |
0.35 |
| Comparative Performance |
|
|
|
|
|
|
|
| Bloomberg U.S. Aggregate Bond Index5 |
5.99 |
1.70 |
0.36 |
1.54 |
0.76 |
|
|
| Bloomberg U.S. Intermediate
Government/Credit Bond Index6 |
4.40 |
2.69 |
1.09 |
1.61 |
1.37 |
|
|
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. 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 |
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2 |
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. |
| 3 |
Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in
the Financial Highlights section of this report under Ratios to Average Net
Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about
the Fund’s expense limitations. |
| 4 |
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and
includes automatic conversion to Class A shares after eight years.
|
| 5 |
Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Bloomberg U.S. Aggregate Bond Index. The Bloomberg U.S. Aggregate
Bond Index is a broad-based securities market index that represents the overall
market applicable to the Fund. The Bloomberg U.S. Aggregate Bond Index covers the
U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered
securities. The index includes bonds from the U.S. Treasury, government-related,
corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
| 6 |
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. The Fund will retain the
Bloomberg U.S. Intermediate Government/Credit Bond Index as its additional benchmark for
performance comparison. |
| 4
Loomis
Sayles Limited Term Government and Agency Fund
| Managers |
| Daniel Conklin,
CFA® |
| Christopher
T. Harms |
| Clifton V. Rowe,
CFA® |
| Loomis, Sayles & Company, L.P. |
| Symbols | |
| Class A |
NEFLX |
| Class C |
NECLX |
| Class N |
LGANX |
| Class Y |
NELYX |
Investment Goal
The Fund seeks high current return consistent with preservation of capital.
| |
6 Months |
1 Year |
5 Years |
10 Years |
Life of
Class N |
Expense Ratios2 | |
| |
Gross |
Net | |||||
| Class Y |
|
|
|
|
|
|
|
| NAV |
3.53 % |
3.71 % |
1.19 % |
1.20 % |
— % |
0.53 % |
0.45 % |
| Class A |
|
|
|
|
|
|
|
| NAV |
3.31 |
3.45 |
0.92 |
0.94 |
— |
0.77 |
0.70 |
| With 2.25% Maximum Sales Charge |
1.02 |
1.10 |
0.46 |
0.71 |
— |
|
|
| Class C |
|
|
|
|
|
|
|
| NAV |
2.93 |
2.68 |
0.15 |
0.33 |
— |
1.53 |
1.45 |
| With CDSC3
|
1.93 |
1.68 |
0.15 |
0.33 |
— |
|
|
| Class N (Inception 2/1/17) |
|
|
|
|
|
|
|
| NAV |
3.46 |
3.76 |
1.24 |
— |
1.37 |
0.43 |
0.40 |
| Comparative Performance |
|
|
|
|
|
|
|
| Bloomberg U.S. Aggregate Bond Index4
|
5.99 |
1.70 |
0.36 |
1.54 |
1.14 |
|
|
| Bloomberg U.S. 1-5 Year Government Bond Index5 |
3.15 |
2.44 |
0.93 |
1.10 |
1.10 |
|
|
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. 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 |
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2 |
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 1/31/25. 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. |
| 3 |
Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and
includes automatic conversion to Class A shares after eight years.
|
| 4 |
Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Bloomberg U.S. Aggregate Bond Index. The Bloomberg U.S. Aggregate
Bond Index is a broad-based securities market index that represents the overall
market applicable to the Fund. The Bloomberg U.S. Aggregate Bond Index covers the
U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered
securities. The index includes bonds from the U.S. Treasury, government-related,
corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
| 5 |
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. The Fund will retain the Bloomberg U.S. 1-5 Year Government Bond Index as its additional
benchmark for performance comparison. |
5 |
ADDITIONAL
INFORMATION
All investing involves risk, including the risk of loss. There is no
assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The
index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of
use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without
limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to
such information.
PROXY VOTING INFORMATION
A description of the Natixis Funds' proxy voting policies and procedures is available without charge, upon
request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com, and on the Securities and Exchange Commission
(“SEC”) website at www.sec.gov. Information about how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available through the Natixis Funds’ website and the SEC 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 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.
TAILORED SHAREHOLDER REPORTS FOR MUTUAL FUNDS AND EXCHANGE-TRADED FUNDS
In October 2022, the SEC adopted rule and form amendments requiring mutual funds and exchange-traded funds to transmit concise and visually engaging streamlined annual and semiannual reports that highlight key information to shareholders. Other information, including financial statements, will no longer appear in the funds’ shareholder reports but will be available online, delivered free of charge upon request, and filed with the SEC on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA
Institute.
| 6
Understanding Fund
Expenses
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent
deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees ("12b-1 fees"), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds' prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2023 through March 31, 2024. 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 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your
class.
The second line in the table for each class of fund shares provides information about
hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which
is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
| Loomis Sayles Core Plus Bond Fund
|
Beginning
Account Value
10/1/2023 |
Ending
Account Value
3/31/2024 |
Expenses Paid
During Period* 10/1/2023 – 3/31/2024 |
| Class A |
|
|
|
| Actual |
$1,000.00 |
$1,067.70 |
$3.83 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,021.30 |
$3.74 |
| Class C |
|
|
|
| Actual |
$1,000.00 |
$1,063.60 |
$7.69 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,017.55 |
$7.52 |
| Class N |
|
|
|
| Actual |
$1,000.00 |
$1,069.80 |
$2.07 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,023.00 |
$2.02 |
| Class Y |
|
|
|
| Actual |
$1,000.00 |
$1,069.30 |
$2.53 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,022.55 |
$2.48
|
| * |
Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.74%, 1.49%, 0.40% and 0.49% for Class A, C,
N and Y, respectively, multiplied by the average account value over the period,
multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
7 |
| Loomis Sayles Global Allocation Fund
|
Beginning
Account Value
10/1/2023 |
Ending
Account Value
3/31/2024 |
Expenses Paid
During Period* 10/1/2023 – 3/31/2024 |
| Class A |
|
|
|
| Actual |
$1,000.00 |
$1,197.90 |
$6.43 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,019.15 |
$5.91 |
| Class C |
|
|
|
| Actual |
$1,000.00 |
$1,193.60 |
$10.47 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,015.45 |
$9.62 |
| Class N |
|
|
|
| Actual |
$1,000.00 |
$1,199.70 |
$4.56 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,020.85 |
$4.19 |
| Class Y |
|
|
|
| Actual |
$1,000.00 |
$1,199.40 |
$5.06 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,020.40 |
$4.65
|
| * |
Expenses are equal to the Fund's annualized expense ratio: 1.17%, 1.91%, 0.83% and 0.92% for Class A, C,
N and Y, respectively, multiplied by the average account value over the period,
multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
| Loomis Sayles Growth Fund |
Beginning
Account Value
10/1/2023 |
Ending
Account Value
3/31/2024 |
Expenses Paid
During Period* 10/1/2023 – 3/31/2024 |
| Class A |
|
|
|
| Actual |
$1,000.00 |
$1,280.20 |
$5.19 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,020.45 |
$4.60 |
| Class C |
|
|
|
| Actual |
$1,000.00 |
$1,274.90 |
$9.44 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,016.70 |
$8.37 |
| Class N |
|
|
|
| Actual |
$1,000.00 |
$1,282.00 |
$3.25 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,022.15 |
$2.88 |
| Class Y |
|
|
|
| Actual |
$1,000.00 |
$1,282.20 |
$3.77 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,021.70 |
$3.34
|
| * |
Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.91%, 1.66%, 0.57% and 0.66% for Class A, C,
N and Y, respectively, multiplied by the average account value over the period,
multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
| 8
| Loomis Sayles Intermediate Duration Bond
Fund |
Beginning
Account Value
10/1/2023 |
Ending
Account Value
3/31/2024 |
Expenses Paid
During Period* 10/1/2023 – 3/31/2024 |
| Class A |
|
|
|
| Actual |
$1,000.00 |
$1,048.70 |
$3.33 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,021.75 |
$3.29 |
| Class C |
|
|
|
| Actual |
$1,000.00 |
$1,044.90 |
$7.16 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,018.00 |
$7.06 |
| Class N |
|
|
|
| Actual |
$1,000.00 |
$1,049.30 |
$1.79 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,023.25 |
$1.77 |
| Class Y |
|
|
|
| Actual |
$1,000.00 |
$1,050.20 |
$2.05 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,023.00 |
$2.02
|
| * |
Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40%, 0.35% and 0.40% for Class A, C,
N and Y, respectively, multiplied by the average account value over the period,
multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
| Loomis Sayles Limited Term Government And Agency
Fund |
Beginning
Account Value
10/1/2023 |
Ending
Account Value
3/31/2024 |
Expenses Paid
During Period* 10/1/2023 – 3/31/2024 |
| Class A |
|
|
|
| Actual |
$1,000.00 |
$1,033.10 |
$3.56 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,021.50 |
$3.54 |
| Class C |
|
|
|
| Actual |
$1,000.00 |
$1,029.30 |
$7.36 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,017.75 |
$7.31 |
| Class N |
|
|
|
| Actual |
$1,000.00 |
$1,034.60 |
$2.03 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,023.00 |
$2.02 |
| Class Y |
|
|
|
| Actual |
$1,000.00 |
$1,035.30 |
$2.29 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,022.75 |
$2.28
|
| * |
Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45%, 0.40% 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 (183), divided by 366 (to reflect the half–year period). |
9 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund
| Principal
Amount (‡) |
Description |
Value (†) |
| Bonds and Notes — 88.6% of Net Assets | ||
| | ||
| | ||
| Non-Convertible Bonds — 88.5% | ||
| |
ABS Car Loan — 2.1% | |
| $4,420,000
|
AmeriCredit Automobile Receivables Trust, Series 2023-1, Class C, 5.800%, 12/18/2028 |
$4,463,307
|
| 2,206,000 |
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025(a) |
2,192,884 |
| 7,064,000 |
Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027(a) |
6,666,822 |
| 8,160,000 |
Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, 3.830%, 8/21/2028(a) |
7,828,032 |
| 1,840,000 |
Avis Budget Rental Car Funding AESOP LLC, Series 2023-2A, Class A, 5.200%, 10/20/2027(a) |
1,836,416 |
| 3,245,000 |
Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class A, 6.020%, 2/20/2030(a) |
3,349,330 |
| 4,224,254 |
Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027(a) |
4,234,227 |
| 9,895,000 |
Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027(a) |
9,938,173 |
| 7,300,000 |
Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A, 6.480%, 3/15/2033(a) |
7,379,053 |
| 2,020,000 |
DT Auto Owner Trust, Series 2023-1A, Class C, 5.550%, 10/16/2028(a) |
2,011,562 |
| 672,631 |
Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.980%, 6/15/2026 |
667,930 |
| 4,320,000 |
Exeter Automobile Receivables Trust, Series 2023-1A, Class C, 5.820%, 2/15/2028 |
4,314,492 |
| 4,805,000 |
Ford Credit Auto Lease Trust, Series 2023-B, Class C, 6.430%, 4/15/2027 |
4,896,026 |
| 3,455,000 |
Ford Credit Auto Owner Trust, Series 2018-1, Class B, 3.340%, 7/15/2031(a) |
3,383,991 |
| 7,240,000 |
Ford Credit Auto Owner Trust, Series 2023-1, Class A, 4.850%, 8/15/2035(a) |
7,209,918 |
| 4,950,000 |
GM Financial Automobile Leasing Trust, Series 2023-1, Class B, 5.510%, 1/20/2027 |
4,923,349 |
| 12,845,000 |
Hertz Vehicle Financing III LLC, Series 2023-2A, Class A, 5.570%, 9/25/2029(a) |
12,938,171 |
| 9,874,000 |
Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.210%, 12/26/2025(a) |
9,640,246 |
| 9,930,000 |
NextGear Floorplan Master Owner Trust, Series 2023-1A, Class A2, 5.740%, 3/15/2028(a) |
10,023,402 |
| 10,730,000 |
OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A, 5.410%, 11/14/2029(a) |
10,716,330 |
| 915,883 |
Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class B, 6.451%, 12/15/2032(a) |
918,150 |
| 581,020 |
Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class C, 6.986%, 12/15/2032(a) |
583,258 |
| 1,418,949 |
Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027 |
1,413,530 |
| 19,695,000 |
Santander Drive Auto Receivables Trust, Series 2022-2, Class B, 3.440%, 9/15/2027 |
19,390,614 |
| 6,865,000 |
Westlake Automobile Receivables Trust, Series 2022-2A, Class C, 4.850%, 9/15/2027(a) |
6,804,574 |
| 1,295,000 |
Westlake Automobile Receivables Trust, Series 2023-1A, Class B, 5.410%, 1/18/2028(a) |
1,291,649 |
| 4,910,000 |
Westlake Automobile Receivables Trust, Series 2023-2A, Class C, 6.290%, 3/15/2028(a) |
4,956,542 |
| |
|
153,971,978 |
| |
ABS Home Equity — 0.4% | |
| 2,211,984 |
CoreVest American Finance Ltd., Series 2019-3, Class A, 2.705%, 10/15/2052(a) |
2,161,281 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
ABS Home Equity — continued | |
| $9,671
|
Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c) |
$9,436
|
| 880,547 |
OBX Trust, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048(a)(c) |
811,290 |
| 2,963,430 |
Progress Residential Trust, Series 2023-SFR1, Class A, 4.300%, 3/17/2040(a) |
2,863,362 |
| 6,214,413 |
PRPM LLC, Series 2024-1, Class A1, 6.959%, 2/25/2029(a)(c) |
6,197,255 |
| 69,654 |
Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 8/25/2047(a)(c) |
65,057 |
| 319,015 |
Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 3/25/2048(a)(c) |
293,970 |
| 215,269 |
Sequoia Mortgage Trust, Series 2018-CH3, Class A2, 4.000%, 8/25/2048(a)(c) |
208,607 |
| 3,660,000 |
Toorak Mortgage Trust, Series 2024-RRTL1, Class A1, 6.597%, 2/25/2039(a)(c) |
3,657,328 |
| 1,220,110 |
Towd Point Mortgage Trust, Series 2015-1, Class A5, 4.534%, 10/25/2053(a)(c) |
1,208,675 |
| 1,912,002 |
Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055(a)(c) |
1,885,240 |
| 5,101,352 |
Towd Point Mortgage Trust, Series 2016-2, Class M2, 3.000%, 8/25/2055(a)(c) |
4,697,340 |
| 3,662,152 |
Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058(a)(c) |
3,521,926 |
| |
|
27,580,767 |
| |
ABS Other — 1.6% | |
| 2,230,000 |
Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028(a) |
2,243,479 |
| 6,018,683 |
CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046(a) |
5,338,758 |
| 11,764,212 |
DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051(a) |
10,377,365 |
| 570,689 |
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034(a) |
568,452 |
| 7,910,400 |
Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.445%, 2/26/2052(a) |
7,334,396 |
| 13,310,400 |
Jack in the Box Funding LLC, Series 2022-1A, Class A2II, 4.136%, 2/26/2052(a) |
11,579,216 |
| 5,863,596 |
Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046(a) |
5,211,119 |
| 8,475,997 |
Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046(a)(c) |
7,529,355 |
| 13,500,000 |
OneMain Financial Issuance Trust, Series 2021-1A, Class A2, 30 day USD SOFR Average + 0.760%, 6.079%, 6/16/2036(a)(c) |
13,392,459 |
| 3,025,000 |
SCF Equipment Leasing LLC, Series 2023-1A, Class A2, 6.560%, 1/22/2030(a) |
3,055,059 |
| 2,785,984 |
Textainer Marine Containers VII Ltd., Series 2020-2A, Class A, 2.100%, 9/20/2045(a) |
2,528,656 |
| 15,890,000 |
Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) |
15,897,627 |
| 15,765,919 |
Willis Engine Structured Trust VII, Series 2023-A, Class A, 8.000%, 10/15/2048(a) |
16,512,783 |
| 13,900,000 |
Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.640%, 4/20/2054(a) |
13,894,315 |
| |
|
115,463,039 |
| |
ABS Student Loan — 0.5% | |
| 2,616,759 |
Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069(a) |
2,415,226 |
See accompanying notes to financial statements.
| 10
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
ABS Student Loan — continued | |
| $7,592,854
|
Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069(a) |
$6,671,834
|
| 8,025,437 |
Navient Private Education Refi Loan Trust, Series 2023-A, Class A, 5.510%, 10/15/2071(a) |
8,065,179 |
| 2,778,781 |
SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.070%, 1/15/2053(a) |
2,451,125 |
| 6,674,813 |
SMB Private Education Loan Trust, Series 2021-C, Class A2, 1 mo. USD SOFR + 0.914%, 6.240%, 1/15/2053(a)(c) |
6,610,839 |
| 7,852,199 |
SMB Private Education Loan Trust, Series 2023-A, Class A1A, 5.380%, 1/15/2053(a) |
7,862,854 |
| 1,834,650 |
SoFi Professional Loan Program LLC, Series 2020-A, Class A2FX, 2.540%, 5/15/2046(a) |
1,723,809 |
| |
|
35,800,866 |
| |
ABS Whole Business — 0.3% | |
| 7,125,200 |
Domino's Pizza Master Issuer LLC, Series 2018-1A, Class A2I, 4.116%, 7/25/2048(a) |
6,931,275 |
| 4,689,300 |
Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051(a) |
4,377,708 |
| 11,867,800 |
Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2II, 4.008%, 12/05/2051(a) |
10,528,519 |
| |
|
21,837,502 |
| |
Aerospace & Defense — 0.2% | |
| 15,199,000 |
Boeing Co., 5.705%, 5/01/2040 |
14,547,593 |
| |
Agency Commercial Mortgage-Backed Securities — 0.5% | |
| 6,026,450 |
Federal Home Loan Mortgage Corp., 3.350%, 8/01/2037 |
5,231,131 |
| 3,586,531 |
Federal Home Loan Mortgage Corp., 3.450%, 5/01/2037 |
3,158,378 |
| 1,238,268 |
Federal Home Loan Mortgage Corp., 3.700%, 5/01/2037 |
1,121,710 |
| 8,591,744 |
Federal Home Loan Mortgage Corp., 3.750%, 5/01/2037 |
7,684,659 |
| 2,075,130 |
Federal Home Loan Mortgage Corp., 3.900%, 7/01/2037 |
1,900,240 |
| 2,077,127 |
Federal Home Loan Mortgage Corp., 3.900%, 7/01/2037 |
1,878,971 |
| 7,013,000 |
Federal National Mortgage Association, 3.850%, 9/01/2037 |
6,325,327 |
| 160,000 |
Federal National Mortgage Association, 3.940%, 9/01/2032 |
151,413 |
| 6,572,870 |
Federal National Mortgage Association, 4.240%, 7/01/2038 |
6,158,131 |
| |
|
33,609,960 |
| |
Airlines — 0.7% | |
| 4,405,584 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026(a) |
4,375,581 |
| 5,620,467 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029(a) |
5,524,668 |
| 1,351,518 |
Continental Airlines Pass-Through Trust, Series 2012-2, Class A, 4.000%, 4/29/2026 |
1,334,380 |
| 14,751,433 |
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028(a) |
14,427,743 |
| 2,733,296 |
United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 |
2,684,725 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Airlines — continued | |
| $14,440,000
|
United Airlines Pass-Through Trust, Series 2023-1, Class A, 5.800%, 7/15/2037 |
$14,647,936
|
| 2,266,000 |
United Airlines, Inc., 4.375%, 4/15/2026(a) |
2,190,629 |
| 4,293,000 |
United Airlines, Inc., 4.625%, 4/15/2029(a) |
3,992,491 |
| |
|
49,178,153 |
| |
Apartment REITs — 0.0% | |
| 1,715,000 |
American Homes 4 Rent LP, 3.375%, 7/15/2051 |
1,141,868 |
| |
Automotive — 1.9% | |
| 3,200,000 |
Ford Motor Credit Co. LLC, 4.271%, 1/09/2027 |
3,078,278 |
| 9,430,000 |
Ford Motor Credit Co. LLC, 6.800%, 5/12/2028 |
9,796,720 |
| 5,315,000 |
Ford Motor Credit Co. LLC, 6.950%, 3/06/2026 |
5,416,282 |
| 5,450,000 |
Ford Motor Credit Co. LLC, 7.122%, 11/07/2033 |
5,863,716 |
| 17,142,000 |
General Motors Co., 5.000%, 4/01/2035 |
16,245,895 |
| 1,000,000 |
General Motors Financial Co., Inc., 2.350%, 1/08/2031 |
825,729 |
| 5,067,000 |
General Motors Financial Co., Inc., 2.900%, 2/26/2025 |
4,942,830 |
| 7,442,000 |
Goodyear Tire & Rubber Co., 5.625%, 4/30/2033 |
6,796,675 |
| 6,206,000 |
Hyundai Capital America, 2.375%, 10/15/2027(a) |
5,626,364 |
| 10,356,000 |
Hyundai Capital America, 2.650%, 2/10/2025(a) |
10,094,140 |
| 7,453,000 |
Hyundai Capital America, 3.000%, 2/10/2027(a) |
6,997,002 |
| 11,455,000 |
Hyundai Capital America, 6.100%, 9/21/2028(a) |
11,800,979 |
| 1,725,000 |
Lear Corp., 3.550%, 1/15/2052 |
1,202,084 |
| 12,381,000 |
Lear Corp., 5.250%, 5/15/2049 |
11,297,390 |
| 4,550,000 |
Nissan Motor Acceptance Co. LLC, 7.050%, 9/15/2028(a) |
4,756,036 |
| 3,075,000 |
Phinia, Inc., 6.750%, 4/15/2029(a) |
3,104,652 |
| 33,235,000 |
Volkswagen Group of America Finance LLC, 6.450%, 11/16/2030(a) |
35,312,082 |
| |
|
143,156,854 |
| |
Banking — 6.9% | |
| 4,075,000 |
AIB Group PLC, (fixed rate to 3/28/2034, variable rate thereafter), 5.871%, 3/28/2035(a) |
4,086,420 |
| 10,051,000 |
Banco Santander Chile, 2.700%, 1/10/2025(a) |
9,816,797 |
| 11,000,000 |
Banco Santander SA, 1.849%, 3/25/2026 |
10,275,269 |
| 3,800,000 |
Banco Santander SA, 2.958%, 3/25/2031 |
3,274,349 |
| 4,000,000 |
Bank of America Corp., (fixed rate to 11/10/2027, variable rate thereafter), 6.204%, 11/10/2028 |
4,137,823 |
| 26,146,000 |
Bank of America Corp., (fixed rate to 4/22/2024, variable rate thereafter), 0.976%, 4/22/2025 |
26,068,338 |
| 5,475,000 |
Bank of America Corp., (fixed rate to 4/24/2027, variable rate thereafter), 3.705%, 4/24/2028 |
5,238,503 |
| 16,280,000 |
Bank of America Corp., (fixed rate to 4/25/2033, variable rate thereafter), 5.288%, 4/25/2034 |
16,230,502 |
| 24,210,000 |
Bank of America Corp., MTN, (fixed rate to 4/23/2026, variable rate thereafter), 3.559%, 4/23/2027 |
23,360,795 |
| 18,664,000 |
Barclays PLC, (fixed rate to 3/10/2041, variable rate thereafter), 3.811%, 3/10/2042 |
14,393,507 |
| 950,000 |
Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034 |
979,828 |
| 7,864,000 |
BBVA Bancomer SA, 1.875%, 9/18/2025(a) |
7,466,054 |
| 13,513,000 |
BNP Paribas SA, (fixed rate to 1/13/2026, variable rate thereafter), 1.323%, 1/13/2027(a) |
12,560,883 |
| 26,613,000 |
BNP Paribas SA, (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025(a) |
26,099,378 |
| 23,750,000 |
Capital One Financial Corp., (fixed rate to 6/08/2033, variable rate thereafter), 6.377%, 6/08/2034 |
24,664,708 |
See accompanying notes to financial statements.
11 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Banking — continued | |
| $1,154,000
|
Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 |
$1,148,946
|
| 10,085,000 |
Credit Agricole SA, (fixed rate to 1/10/2034, variable rate thereafter), 6.251%, 1/10/2035(a) |
10,250,652 |
| 9,038,000 |
Deutsche Bank AG, 1.686%, 3/19/2026 |
8,461,170 |
| 8,585,000 |
Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 |
7,091,271 |
| 6,737,000 |
Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 |
5,674,143 |
| 1,750,000 |
Deutsche Bank AG, (fixed rate to 11/10/2032, variable rate thereafter), 7.079%, 2/10/2034 |
1,799,751 |
| 10,680,000 |
Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), 2.129%, 11/24/2026 |
10,071,357 |
| 12,486,000 |
Goldman Sachs Group, Inc., 6.750%, 10/01/2037 |
13,641,421 |
| 6,320,000 |
Goldman Sachs Group, Inc., (fixed rate to 6/05/2027, variable rate thereafter), 3.691%, 6/05/2028 |
6,047,037 |
| 1,326,000 |
HSBC Holdings PLC, 4.950%, 3/31/2030 |
1,316,702 |
| 13,610,000 |
HSBC Holdings PLC, (fixed rate to 5/24/2024, variable rate thereafter), 0.976%, 5/24/2025 |
13,505,249 |
| 9,610,000 |
Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) |
10,387,449 |
| 4,740,000 |
Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032(a) |
3,961,455 |
| 24,590,000 |
JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 |
21,776,289 |
| 14,076,000 |
JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031 |
12,304,644 |
| 14,145,000 |
Macquarie Bank Ltd., 3.231%, 3/21/2025(a) |
13,860,324 |
| 10,590,000 |
Mitsubishi UFJ Financial Group, Inc., (fixed rate to 7/20/2031, variable rate thereafter), 2.309%, 7/20/2032 |
8,804,346 |
| 13,321,000 |
Morgan Stanley, 3.591%, 7/22/2028(c) |
12,656,364 |
| 1,500,000 |
Morgan Stanley, (fixed rate to 2/01/2028, variable rate thereafter), 5.123%, 2/01/2029 |
1,496,343 |
| 10,135,000 |
Morgan Stanley, MTN, (fixed rate to 4/20/2028, variable rate thereafter), 5.164%, 4/20/2029 |
10,126,820 |
| 5,600,000 |
PNC Financial Services Group, Inc., (fixed rate to 1/24/2033, variable rate thereafter), 5.068%, 1/24/2034 |
5,424,732 |
| 11,465,000 |
Santander Holdings USA, Inc., (fixed rate to 1/06/2027, variable rate thereafter), 2.490%, 1/06/2028 |
10,419,528 |
| 24,503,000 |
Societe Generale SA, 2.625%, 1/22/2025(a) |
23,879,353 |
| 13,420,000 |
Societe Generale SA, (fixed rate to 1/19/2054, variable rate thereafter), 7.132%, 1/19/2055(a) |
13,397,312 |
| 18,840,000 |
Standard Chartered PLC, (fixed rate to 1/12/2032, variable rate thereafter), 3.603%, 1/12/2033(a) |
15,934,495 |
| 22,346,000 |
Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026(a) |
21,776,252 |
| 660,000 |
Standard Chartered PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.866%, 3/15/2033(a) |
628,780 |
| 5,660,000 |
Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 |
5,388,026 |
| 10,888,000 |
Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029 |
9,872,650 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Banking — continued | |
| $6,655,000
|
Truist Financial Corp., MTN, (fixed rate to 6/08/2033, variable rate thereafter), 5.867%, 6/08/2034 |
$6,736,596
|
| 5,040,000 |
UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) |
6,115,264 |
| 690,000 |
UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026(a) |
694,838 |
| 7,695,000 |
UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) |
7,926,389 |
| 15,845,000 |
UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027(a) |
14,624,403 |
| |
|
505,853,505 |
| |
Building Materials — 0.4% | |
| 15,155,000 |
American Builders & Contractors Supply Co., Inc., 3.875%, 11/15/2029(a) |
13,620,556 |
| 8,962,000 |
Cemex SAB de CV, 3.875%, 7/11/2031(a) |
7,940,414 |
| 9,128,000 |
Mohawk Industries, Inc., 3.625%, 5/15/2030 |
8,412,274 |
| |
|
29,973,244 |
| |
Cable Satellite — 0.6% | |
| 17,010,000 |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(a) |
12,840,066 |
| 21,060,000 |
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.500%, 4/01/2063 |
16,515,955 |
| 5,285,000 |
Time Warner Cable LLC, 4.500%, 9/15/2042 |
3,909,877 |
| 783,000 |
Time Warner Cable LLC, 5.500%, 9/01/2041 |
651,802 |
| 2,245,000 |
Time Warner Cable LLC, 5.875%, 11/15/2040 |
1,944,666 |
| 7,162,000 |
Time Warner Cable LLC, 6.550%, 5/01/2037 |
6,770,003 |
| 1,707,000 |
Time Warner Cable LLC, 6.750%, 6/15/2039 |
1,625,867 |
| |
|
44,258,236 |
| |
Chemicals — 1.1% | |
| 1,610,000 |
Alpek SAB de CV, 3.250%, 2/25/2031(a) |
1,378,649 |
| 21,698,000 |
Braskem America Finance Co., 7.125%, 7/22/2041(a) |
19,576,387 |
| 1,873,000 |
Celanese U.S. Holdings LLC, 6.050%, 3/15/2025 |
1,876,604 |
| 4,145,000 |
Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 |
4,298,159 |
| 6,640,000 |
Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 |
6,888,428 |
| 4,410,000 |
Nutrien Ltd., 5.800%, 3/27/2053 |
4,502,592 |
| 8,271,000 |
Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044(a) |
7,525,556 |
| 9,466,000 |
Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042(a) |
9,476,990 |
| 3,830,000 |
Sociedad Quimica y Minera de Chile SA, 3.500%, 9/10/2051(a) |
2,602,370 |
| 9,154,000 |
Sociedad Quimica y Minera de Chile SA, 4.250%, 1/22/2050(a) |
7,033,110 |
| 13,835,000 |
Sociedad Quimica y Minera de Chile SA, 6.500%, 11/07/2033(a) |
14,458,128 |
| |
|
79,616,973 |
| |
Collateralized Mortgage Obligations — 1.0% | |
| 31,857,418 |
Federal Home Loan Mortgage Corp., Series 406, Class F15, 30 day USD SOFR Average + 1.450%, 6.770%, 10/25/2053(c) |
32,339,448 |
| 30,435,000 |
Federal Home Loan Mortgage Corp., Series 5365, Class LY, REMICS, 6.500%, 12/25/2053 |
31,358,002 |
| 7,850,000 |
Federal National Mortgage Association, Series 2023-51, Class L, REMICS, 6.500%, 11/25/2053 |
8,088,475 |
See accompanying notes to financial statements.
| 12
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Collateralized Mortgage Obligations — continued | |
| $122,090
|
Government National Mortgage Association, Series 2010-H24, Class FA, 1 mo. USD SOFR + 0.464%, 5.794%, 10/20/2060(c) |
$121,742
|
| 75,385 |
Government National Mortgage Association, Series 2012-H18, Class NA, 1 mo. USD SOFR + 0.634%, 5.964%, 8/20/2062(c) |
75,252 |
| 469 |
Government National Mortgage Association, Series 2013-H01, Class FA, 1.650%, 1/20/2063(b) |
407 |
| 8,634 |
Government National Mortgage Association, Series 2013-H03, Class HA, 1.750%, 12/20/2062(b) |
7,533 |
| 7,103 |
Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(b) |
6,194 |
| 86,819 |
Government National Mortgage Association, Series 2013-H10, Class PA, 2.500%, 4/20/2063(b) |
74,602 |
| 2,733,646 |
Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 |
2,634,430 |
| 6,609 |
Government National Mortgage Association, Series 2015-H13, Class FL, 1 mo. USD SOFR + 0.394%, 5.724%, 5/20/2063(b)(c) |
6,258 |
| |
|
74,712,343 |
| |
Consumer Cyclical Services — 0.0% | |
| 1,791,000 |
Expedia Group, Inc., 6.250%, 5/01/2025(a) |
1,798,831 |
| |
Consumer Products — 0.1% | |
| 2,157,000 |
Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031(a) |
1,826,719 |
| 1,425,000 |
Natura &Co. Luxembourg Holdings SARL, 6.000%, 4/19/2029(a) |
1,385,456 |
| 2,738,000 |
Natura Cosmeticos SA, 4.125%, 5/03/2028(a) |
2,500,460 |
| |
|
5,712,635 |
| |
Electric — 1.1% | |
| 3,587,000 |
AES Corp., 3.300%, 7/15/2025(a) |
3,474,839 |
| 1,609,000 |
AES Corp., 3.950%, 7/15/2030(a) |
1,463,370 |
| 10,104,000 |
Calpine Corp., 5.000%, 2/01/2031(a) |
9,268,373 |
| 6,110,000 |
CenterPoint Energy, Inc., SOFR Index + 0.650%, 6.004%, 5/13/2024(c) |
6,110,733 |
| 13,354,000 |
Clearway Energy Operating LLC, 3.750%, 2/15/2031(a) |
11,461,605 |
| 19,884,788 |
Cometa Energia SA de CV, 6.375%, 4/24/2035(a) |
20,046,670 |
| 2,415,000 |
DPL, Inc., 4.350%, 4/15/2029 |
2,211,650 |
| 852,000 |
Edison International, 4.950%, 4/15/2025 |
845,142 |
| 2,811,000 |
Enel Americas SA, 4.000%, 10/25/2026 |
2,700,204 |
| 1,348,000 |
Enel Generacion Chile SA, 4.250%, 4/15/2024 |
1,344,640 |
| 4,316,000 |
Entergy Corp., 2.800%, 6/15/2030 |
3,771,428 |
| 750,000 |
IPALCO Enterprises, Inc., 4.250%, 5/01/2030 |
697,810 |
| 10,966,000 |
National Rural Utilities Cooperative Finance Corp., 3 mo. USD SOFR + 3.172%, 8.489%, 4/30/2043(c) |
10,938,617 |
| 3,509,000 |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.500%, 8/15/2028(a) |
3,270,897 |
| 7,133,000 |
Transelec SA, 4.250%, 1/14/2025(a) |
7,040,308 |
| |
|
84,646,286 |
| |
Finance Companies — 2.0% | |
| 6,365,000 |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 |
5,759,183 |
| 7,145,000 |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.100%, 1/19/2029 |
7,102,798 |
| 18,150,000 |
Air Lease Corp., GMTN, 3.750%, 6/01/2026 |
17,505,412 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Finance Companies — continued | |
| $20,287,000
|
Aircastle Ltd., 2.850%, 1/26/2028(a) |
$18,210,430
|
| 22,772,000 |
Ares Capital Corp., 2.150%, 7/15/2026 |
20,969,136 |
| 15,425,000 |
Avolon Holdings Funding Ltd., 2.750%, 2/21/2028(a) |
13,801,512 |
| 4,262,000 |
Blue Owl Capital Corp., 2.625%, 1/15/2027 |
3,892,763 |
| 13,397,000 |
Blue Owl Capital Corp., 3.400%, 7/15/2026 |
12,621,452 |
| 10,958,000 |
Blue Owl Technology Finance Corp., 3.750%, 6/17/2026(a) |
10,147,340 |
| 18,679,000 |
FS KKR Capital Corp., 3.400%, 1/15/2026 |
17,725,835 |
| 2,730,000 |
Main Street Capital Corp., 6.950%, 3/01/2029 |
2,773,091 |
| 8,000,000 |
Navient Corp., 5.000%, 3/15/2027 |
7,664,337 |
| 6,564,000 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) |
5,718,552 |
| 1,655,000 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) |
1,401,935 |
| |
|
145,293,776 |
| |
Financial Other — 0.1% | |
| 4,763,000 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 |
4,060,899 |
| |
Food & Beverage — 0.7% | |
| 14,008,000 |
BRF SA, 5.750%, 9/21/2050(a) |
11,108,624 |
| 2,032,000 |
Gruma SAB de CV, 4.875%, 12/01/2024(a) |
2,015,206 |
| 24,100,000 |
JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg SARL, 7.250%, 11/15/2053(a) |
25,902,102 |
| 11,530,000 |
Minerva Luxembourg SA, 4.375%, 3/18/2031(a) |
9,639,599 |
| 3,534,000 |
Post Holdings, Inc., 4.500%, 9/15/2031(a) |
3,178,805 |
| 1,599,000 |
Smithfield Foods, Inc., 3.000%, 10/15/2030(a) |
1,323,744 |
| |
|
53,168,080 |
| |
Gaming — 0.2% | |
| 4,340,000 |
Caesars Entertainment, Inc., 6.500%, 2/15/2032(a) |
4,378,218 |
| 11,765,000 |
MGM Resorts International, 6.500%, 4/15/2032 |
11,726,103 |
| |
|
16,104,321 |
| |
Government Owned - No Guarantee — 1.0% | |
| 6,872,000 |
Antares Holdings LP, 3.950%, 7/15/2026(a) |
6,452,602 |
| 2,585,000 |
Ascot Group Ltd., 4.250%, 12/15/2030(a) |
2,125,613 |
| 8,635,000 |
Ecopetrol SA, 8.375%, 1/19/2036 |
8,716,333 |
| 3,903,000 |
Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050(a) |
2,347,363 |
| 8,230,000 |
Freeport Indonesia PT, 5.315%, 4/14/2032(a) |
8,033,468 |
| 7,985,000 |
OCP SA, 3.750%, 6/23/2031(a) |
6,795,235 |
| 11,538,000 |
Saudi Arabian Oil Co., 3.500%, 11/24/2070(a) |
7,502,238 |
| 10,070,000 |
Tennessee Valley Authority, 4.250%, 9/15/2065 |
8,779,109 |
| 7,669,000 |
Tennessee Valley Authority, 4.625%, 9/15/2060 |
7,265,757 |
| 5,427,000 |
Tennessee Valley Authority, 4.875%, 1/15/2048 |
5,466,807 |
| 9,290,000 |
Tennessee Valley Authority, 5.250%, 9/15/2039 |
9,731,551 |
| |
|
73,216,076 |
| |
Health Insurance — 0.1% | |
| 7,364,000 |
Centene Corp., 3.375%, 2/15/2030 |
6,516,637 |
| |
Healthcare — 0.1% | |
| 12,395,000 |
HCA, Inc., 4.625%, 3/15/2052 |
10,359,301 |
| |
Home Construction — 0.2% | |
| 4,801,000 |
Forestar Group, Inc., 3.850%, 5/15/2026(a) |
4,584,912 |
| 8,905,000 |
NVR, Inc., 3.000%, 5/15/2030 |
7,907,777 |
| |
|
12,492,689 |
| |
Independent Energy — 0.5% | |
| 10,350,000 |
Baytex Energy Corp., 7.375%, 3/15/2032(a) |
10,455,661 |
| 8,952,000 |
Devon Energy Corp., 4.500%, 1/15/2030 |
8,628,454 |
See accompanying notes to financial statements.
13 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Independent Energy — continued | |
| $1,765,000
|
EQT Corp., 3.125%, 5/15/2026(a) |
$1,672,735
|
| 4,696,000 |
EQT Corp., 3.900%, 10/01/2027 |
4,463,708 |
| 601,000 |
EQT Corp., 5.000%, 1/15/2029 |
588,743 |
| 9,078,204 |
Leviathan Bond Ltd., 6.125%, 6/30/2025 |
8,938,490 |
| 4,320,000 |
Pan American Energy LLC, 9.125%, 4/30/2027(a) |
4,513,709 |
| |
|
39,261,500 |
| |
Industrial Other — 0.0% | |
| 3,408,000 |
Georgetown University, Series A, 5.215%, 10/01/2118 |
3,218,243 |
| |
Life Insurance — 0.2% | |
| 14,171,000 |
Brighthouse Financial, Inc., 5.625%, 5/15/2030 |
14,222,649 |
| 2,327,000 |
OneAmerica Financial Partners, Inc., 4.250%, 10/15/2050(a) |
1,639,116 |
| |
|
15,861,765 |
| |
Lodging — 0.1% | |
| 6,397,000 |
Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032(a) |
5,507,829 |
| |
Media Entertainment — 0.6% | |
| 54,020,000 |
Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
2,047,168 |
| 5,553,000 |
Outfront Media Capital LLC/Outfront Media Capital Corp., 4.250%, 1/15/2029(a) |
5,030,898 |
| 12,303,000 |
Prosus NV, 3.680%, 1/21/2030(a) |
10,799,405 |
| 13,750,000 |
Prosus NV, 3.832%, 2/08/2051(a) |
8,463,064 |
| 20,770,000 |
Warnermedia Holdings, Inc., 5.391%, 3/15/2062 |
17,236,553 |
| |
|
43,577,088 |
| |
Metals & Mining — 0.9% | |
| 1,835,000 |
Anglo American Capital PLC, 2.250%, 3/17/2028(a) |
1,630,812 |
| 3,620,000 |
Anglo American Capital PLC, 3.875%, 3/16/2029(a) |
3,386,632 |
| 3,322,000 |
Anglo American Capital PLC, 3.950%, 9/10/2050(a) |
2,497,657 |
| 7,696,000 |
Anglo American Capital PLC, 5.625%, 4/01/2030(a) |
7,798,605 |
| 9,977,000 |
FMG Resources August 2006 Pty. Ltd., 4.375%, 4/01/2031(a) |
8,914,109 |
| 14,428,000 |
Fresnillo PLC, 4.250%, 10/02/2050(a) |
10,816,095 |
| 25,662,000 |
Glencore Funding LLC, 2.500%, 9/01/2030(a) |
21,786,781 |
| 5,290,000 |
POSCO, 5.625%, 1/17/2026(a) |
5,302,216 |
| 3,555,000 |
SunCoke Energy, Inc., 4.875%, 6/30/2029(a) |
3,218,708 |
| |
|
65,351,615 |
| |
Midstream — 0.6% | |
| 568,000 |
Energy Transfer LP, 5.150%, 2/01/2043 |
507,406 |
| 1,500,000 |
Energy Transfer LP, 5.300%, 4/15/2047 |
1,363,758 |
| 125,000 |
Energy Transfer LP, 5.400%, 10/01/2047 |
115,358 |
| 4,900,000 |
Energy Transfer LP, 5.950%, 10/01/2043 |
4,841,213 |
| 8,548,000 |
Energy Transfer LP, 6.500%, 2/01/2042 |
9,065,562 |
| 1,338,000 |
Energy Transfer LP, 6.625%, 10/15/2036 |
1,416,163 |
| 8,045,000 |
EQM Midstream Partners LP, 6.375%, 4/01/2029(a) |
8,104,087 |
| 2,445,000 |
EQM Midstream Partners LP, 6.500%, 7/01/2027(a) |
2,466,624 |
| 2,014,000 |
Gray Oak Pipeline LLC, 2.600%, 10/15/2025(a) |
1,919,905 |
| 982,000 |
Gray Oak Pipeline LLC, 3.450%, 10/15/2027(a) |
921,717 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Midstream — continued | |
| $14,215,000
|
Sempra Global, 3.250%, 1/15/2032(a) |
$11,733,251
|
| 930,000 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.500%, 7/15/2027 |
940,278 |
| |
|
43,395,322 |
| |
Mortgage Related — 24.9% |
|
| 45,683,412 |
Federal Home Loan Mortgage Corp., 1.500%, with various maturities from 2050 to 2051(d) |
33,601,084 |
| 110,199,783 |
Federal Home Loan Mortgage Corp., 2.000%, with various maturities from 2050 to 2052(d) |
86,783,093 |
| 40,773,386 |
Federal Home Loan Mortgage Corp., 2.500%, with various maturities from 2050 to 2051(d) |
33,746,964 |
| 29,186,774 |
Federal Home Loan Mortgage Corp., 3.000%, with various maturities from 2042 to 2051(d) |
25,352,860 |
| 5,740,291 |
Federal Home Loan Mortgage Corp., 3.500%, with various maturities from 2043 to 2050(d) |
5,227,633 |
| 58,284,714 |
Federal Home Loan Mortgage Corp., 4.000%, with various maturities from 2044 to 2052(d) |
54,067,012 |
| 23,884,110 |
Federal Home Loan Mortgage Corp., 4.500%, with various maturities from 2041 to 2052(d) |
22,803,800 |
| 11,541,652 |
Federal Home Loan Mortgage Corp., 5.000%, with various maturities in 2048(d) |
11,449,330 |
| 28,973,669 |
Federal Home Loan Mortgage Corp., 5.500%, with various maturities in 2053(d) |
29,072,391 |
| 37,231,805 |
Federal Home Loan Mortgage Corp., 6.000%, with various maturities from 2035 to 2054(d) |
38,214,518 |
| 54,817,812 |
Federal Home Loan Mortgage Corp., 6.500%, with various maturities from 2053 to 2054(d) |
56,670,670 |
| 20,980,960 |
Federal Home Loan Mortgage Corp., 7.000%, with various maturities from 2053 to 2054(d) |
21,901,223 |
| 6,968,436 |
Federal Home Loan Mortgage Corp., 7.500%, 1/01/2054 |
7,314,091 |
| 248,101 |
Federal Home Loan Mortgage Corp., 8.000%, 2/01/2054 |
259,933 |
| 4,677,897 |
Federal National Mortgage Association, 1.500%, 9/01/2051 |
3,528,646 |
| 331,600,499 |
Federal National Mortgage Association, 2.000%, with various maturities from 2037 to 2052(d) |
267,763,844 |
| 712,856,362 |
Federal National Mortgage Association, 2.500%, with various maturities from 2045 to 2062(d) |
571,987,408 |
| 140,008,769 |
Federal National Mortgage Association, 3.000%, with various maturities from 2045 to 2063(d) |
118,187,843 |
| 163,782,766 |
Federal National Mortgage Association, 3.500%, with various maturities from 2045 to 2063(d) |
144,093,512 |
| 36,389,652 |
Federal National Mortgage Association, 4.000%, with various maturities from 2041 to 2052(d) |
33,954,581 |
| 17,112,672 |
Federal National Mortgage Association, 4.500%, with various maturities from 2043 to 2053(d) |
16,447,010 |
| 11,280,621 |
Federal National Mortgage Association, 5.000%, with various maturities from 2048 to 2053(d) |
11,159,298 |
| 7,940,616 |
Federal National Mortgage Association, 5.500%, with various maturities from 2050 to 2053(d) |
8,011,823 |
See accompanying notes to financial statements.
| 14
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Mortgage Related — continued |
|
| $53,630,879
|
Federal National Mortgage Association, 6.000%, with various maturities from 2034 to 2053(d) |
$54,995,648
|
| 22,851,591 |
Federal National Mortgage Association, 6.500%, with various maturities from 2029 to 2054(d) |
23,622,832 |
| 14,756,070 |
Federal National Mortgage Association, 7.000%, with various maturities from 2030 to 2054(d) |
15,365,761 |
| 7,393 |
Federal National Mortgage Association, 7.500%, with various maturities from 2024 to 2032(d) |
7,484 |
| 336,871 |
Federal National Mortgage Association, 8.000%, 1/01/2054 |
354,190 |
| 4,578 |
Government National Mortgage Association, 3.659%, 7/20/2063(c) |
4,454 |
| 932 |
Government National Mortgage Association, 3.890%, 12/20/2062(c) |
885 |
| 734,489 |
Government National Mortgage Association, 4.348%, 6/20/2064(c) |
721,108 |
| 5,178,364 |
Government National Mortgage Association, 4.388%, 12/20/2066(c) |
5,048,741 |
| 17,455 |
Government National Mortgage Association, 4.390%, 11/20/2062(c) |
16,747 |
| 3,505,146 |
Government National Mortgage Association, 4.394%, with various maturities in 2066(c)(d) |
3,424,513 |
| 858,786 |
Government National Mortgage Association, 4.398%, 2/20/2066(c) |
836,828 |
| 2,353 |
Government National Mortgage Association, 4.422%, 5/20/2063(c) |
2,300 |
| 2,170,602 |
Government National Mortgage Association, 4.432%, 11/20/2066(c) |
2,122,700 |
| 1,569,787 |
Government National Mortgage Association, 4.481%, 9/20/2066(c) |
1,537,354 |
| 197,919 |
Government National Mortgage Association, 4.483%, 1/20/2064(c) |
196,022 |
| 2,286,895 |
Government National Mortgage Association, 4.497%, 6/20/2066(c) |
2,241,150 |
| 1,754,765 |
Government National Mortgage Association, 4.503%, 12/20/2064(c) |
1,729,554 |
| 2,803,857 |
Government National Mortgage Association, 4.519%, with various maturities from 2063 to 2064(c)(d) |
2,758,554 |
| 2,134,124 |
Government National Mortgage Association, 4.575%, 2/20/2065(c) |
2,105,718 |
| 646,985 |
Government National Mortgage Association, 4.583%, 1/20/2065(c) |
638,072 |
| 3,352,598 |
Government National Mortgage Association, 4.587%, with various maturities from 2065 to 2066(c)(d) |
3,282,473 |
| 969,907 |
Government National Mortgage Association, 4.593%, 3/20/2065(c) |
955,999 |
| 570,663 |
Government National Mortgage Association, 4.595%, 6/20/2064(c) |
558,301 |
| 1,016,930 |
Government National Mortgage Association, 4.604%, 4/20/2066(c) |
998,099 |
| 2,163,346 |
Government National Mortgage Association, 4.609%, 3/20/2066(c) |
2,113,365 |
| 1,336,342 |
Government National Mortgage Association, 4.613%, 12/20/2064(c) |
1,318,181 |
| 4,098,996 |
Government National Mortgage Association, 4.656%, 12/20/2066(c) |
4,007,232 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Mortgage Related — continued |
|
| $2,743
|
Government National Mortgage Association, 4.657%, 5/20/2063(c) |
$2,695
|
| 3,544 |
Government National Mortgage Association, 4.677%, 8/20/2061(c) |
3,495 |
| 1,778,919 |
Government National Mortgage Association, 4.690%, 1/20/2065(c) |
1,750,820 |
| 1,106,781 |
Government National Mortgage Association, 4.700%, with various maturities from 2062 to 2066(c)(d) |
1,082,348 |
| 866,147 |
Government National Mortgage Association, 4.752%, 1/20/2064(c) |
855,385 |
| 70,427 |
Government National Mortgage Association, 5.500%, 4/15/2038 |
72,356 |
| 11,246 |
Government National Mortgage Association, 6.000%, with various maturities from 2029 to 2038(d) |
11,484 |
| 13,674 |
Government National Mortgage Association, 6.500%, with various maturities from 2029 to 2032(d) |
14,018 |
| 7,259 |
Government National Mortgage Association, 7.000%, 9/15/2025 |
7,242 |
| 1,176 |
Government National Mortgage Association, 7.500%, with various maturities from 2025 to 2030(d) |
1,185 |
| 84,951,000 |
Uniform Mortgage-Backed Security, TBA, 2.500%, 4/01/2054(e) |
70,208,630 |
| 13,407,000 |
Uniform Mortgage-Backed Security, TBA, 3.000%, 4/01/2054(e) |
11,532,851 |
| 11,592,000 |
Uniform Mortgage-Backed Security, TBA, 3.500%, 4/01/2054(e) |
10,373,418 |
| |
|
1,828,478,759 |
| |
Natural Gas — 0.0% | |
| 2,701,000 |
Boston Gas Co., 3.001%, 8/01/2029(a) |
2,387,700 |
| |
Non-Agency Commercial Mortgage-Backed Securities — 1.8% | |
| 22,085,000 |
AOA Mortgage Trust, Series 2021-1177, Class A, 1 mo. USD SOFR + 0.989%, 6.315%, 10/15/2038(a)(c) |
21,478,632 |
| 1,531,640 |
BANK, Series 2019-BN16, Class A4, 4.005%, 2/15/2052 |
1,455,124 |
| 3,409,380 |
BANK, Series 2019-BN20, Class A3, 3.011%, 9/15/2062 |
3,024,749 |
| 12,696,152 |
BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062 |
11,374,363 |
| 6,138,240 |
BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 |
5,491,846 |
| 7,135,000 |
BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.851%, 12/15/2038(a)(c) |
6,743,727 |
| 14,179,842 |
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 |
12,639,046 |
| 7,070,071 |
Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052 |
6,200,915 |
| 8,877,514 |
Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5, 2.717%, 2/15/2053 |
7,776,645 |
| 698,971 |
Commercial Mortgage Trust, Series 2010-C1, Class D, 5.793%, 7/10/2046(a)(c) |
644,604 |
| 2,112,208 |
Credit Suisse Mortgage Trust, Series 2014-USA, Class A1, 3.304%, 9/15/2037(a) |
1,851,580 |
| 11,367,000 |
Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037(a) |
10,059,795 |
See accompanying notes to financial statements.
15 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Non-Agency Commercial Mortgage-Backed Securities — continued | |
| $8,025,000
|
DC Commercial Mortgage Trust, Series 2023-DC, Class A, 6.314%, 9/12/2040(a) |
$8,203,460
|
| 7,400,900 |
Extended Stay America Trust, Series 2021-ESH, Class A, 1 mo. USD SOFR + 1.194%, 6.520%, 7/15/2038(a)(c) |
7,398,575 |
| 1,357,670 |
Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD SOFR + 2.364%, 7.690%, 7/15/2038(a)(c) |
1,355,973 |
| 5,627,003 |
GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.152%, 8/10/2044(a)(c) |
4,137,153 |
| 6,596,065 |
GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 |
5,827,579 |
| 8,330,022 |
Med Trust, Series 2021-MDLN, Class A, 1 mo. USD SOFR + 1.064%, 6.390%, 11/15/2038(a)(c) |
8,309,197 |
| 4,982,141 |
WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D, 4.979%, 6/15/2044(a)(c) |
4,192,431 |
| 5,245,978 |
WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, 4.176%, 5/15/2047 |
4,978,477 |
| |
|
133,143,871 |
| |
Other REITs — 0.0% | |
| 3,790,000 |
EPR Properties, 3.600%, 11/15/2031 |
3,167,530 |
| |
Paper — 0.1% | |
| 11,175,000 |
Klabin Austria GmbH, 7.000%, 4/03/2049(a) |
11,306,049 |
| |
Pharmaceuticals — 0.4% | |
| 12,370,000 |
Amgen, Inc., 5.750%, 3/02/2063 |
12,616,775 |
| 10,284,000 |
Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 |
9,614,422 |
| 7,588,000 |
Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 |
7,622,450 |
| 1,903,000 |
Viatris, Inc., 4.000%, 6/22/2050 |
1,311,014 |
| |
|
31,164,661 |
| |
Property & Casualty Insurance — 0.3% | |
| 17,395,000 |
Ardonagh Finco Ltd., 7.750%, 2/15/2031(a) |
17,316,479 |
| 5,865,000 |
Liberty Mutual Group, Inc., 3.950%, 5/15/2060(a) |
4,254,313 |
| |
|
21,570,792 |
| |
Refining — 0.4% | |
| 6,720,000 |
Raizen Fuels Finance SA, 6.450%, 3/05/2034(a) |
6,887,798 |
| 4,475,000 |
Raizen Fuels Finance SA, 6.950%, 3/05/2054(a) |
4,603,030 |
| 1,000,000 |
Thaioil Treasury Center Co. Ltd., 3.750%, 6/18/2050(a) |
716,765 |
| 19,664,000 |
Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043(a) |
17,129,114 |
| |
|
29,336,707 |
| |
Retailers — 0.4% | |
| 3,081,000 |
Alibaba Group Holding Ltd., 3.250%, 2/09/2061 |
1,964,622 |
| 12,355,000 |
Dick's Sporting Goods, Inc., 4.100%, 1/15/2052 |
8,954,486 |
| 8,985,000 |
Falabella SA, 3.375%, 1/15/2032(a) |
7,088,445 |
| 6,632,000 |
Lithia Motors, Inc., 4.375%, 1/15/2031(a) |
5,940,460 |
| 4,582,000 |
MercadoLibre, Inc., 3.125%, 1/14/2031 |
3,836,225 |
| |
|
27,784,238 |
| |
Sovereigns — 0.4% | |
| 4,185,000 |
Panama Government International Bonds, 6.853%, 3/28/2054 |
3,795,274 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Sovereigns — continued | |
| $9,670,000
|
Panama Government International Bonds, 8.000%, 3/01/2038 |
$10,130,388
|
| 14,320,000 |
Republic of South Africa Government International Bonds, 7.300%, 4/20/2052 |
12,414,294 |
| |
|
26,339,956 |
| |
Technology — 1.4% | |
| 3,175,000 |
Baidu, Inc., 2.375%, 10/09/2030 |
2,689,384 |
| 4,515,000 |
Baidu, Inc., 3.075%, 4/07/2025 |
4,404,699 |
| 5,890,000 |
Broadcom, Inc., 3.137%, 11/15/2035(a) |
4,758,539 |
| 11,954,000 |
Corning, Inc., 5.450%, 11/15/2079 |
11,319,249 |
| 2,133,000 |
Equifax, Inc., 2.600%, 12/15/2025 |
2,036,454 |
| 4,324,000 |
Equifax, Inc., 7.000%, 7/01/2037 |
4,791,549 |
| 15,011,000 |
Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 |
16,017,534 |
| 12,714,000 |
Iron Mountain, Inc., 4.500%, 2/15/2031(a) |
11,471,050 |
| 5,460,000 |
Jabil, Inc., 3.000%, 1/15/2031 |
4,674,221 |
| 2,250,000 |
Jabil, Inc., 5.450%, 2/01/2029 |
2,261,315 |
| 14,161,000 |
Oracle Corp., 4.100%, 3/25/2061 |
10,633,988 |
| 3,513,000 |
Sabre Global, Inc., 8.625%, 6/01/2027(a) |
3,082,735 |
| 39,000 |
Science Applications International Corp., 4.875%, 4/01/2028(a) |
37,240 |
| 4,204,000 |
Sensata Technologies, Inc., 3.750%, 2/15/2031(a) |
3,636,469 |
| 13,563,000 |
Tencent Holdings Ltd., 3.290%, 6/03/2060(a) |
8,742,062 |
| 13,307,000 |
Ziff Davis, Inc., 4.625%, 10/15/2030(a) |
11,996,165 |
| |
|
102,552,653 |
| |
Tobacco — 0.3% | |
| 26,019,000 |
BAT Capital Corp., 2.789%, 9/06/2024 |
25,690,412 |
| |
Treasuries — 30.3% | |
| 375,158(f ) |
Brazil Notas do Tesouro Nacional, Series NTNF, 10.000%, 1/01/2033, (BRL) |
71,140,285 |
| 6,961,647(g ) |
Mexico Bonos, Series M, 5.750%, 3/05/2026, (MXN) |
38,727,184 |
| 12,930,849(g ) |
Mexico Bonos, Series M 20, 8.500%, 5/31/2029, (MXN) |
75,428,202 |
| 154,795,000 |
U.S. Treasury Bonds, 1.750%, 8/15/2041 |
104,462,438 |
| 241,735,000 |
U.S. Treasury Bonds, 2.000%, 11/15/2041 |
169,592,211 |
| 71,990,000 |
U.S. Treasury Bonds, 2.375%, 2/15/2042 |
53,545,374 |
| 46,925,000 |
U.S. Treasury Bonds, 3.250%, 5/15/2042 |
39,888,083 |
| 86,885,000 |
U.S. Treasury Bonds, 3.375%, 8/15/2042 |
75,046,919 |
| 33,895,000 |
U.S. Treasury Bonds, 3.625%, 2/15/2053 |
29,764,047 |
| 15,860,000 |
U.S. Treasury Bonds, 3.875%, 2/15/2043 |
14,661,207 |
| 72,190,000 |
U.S. Treasury Bonds, 3.875%, 5/15/2043 |
66,626,294 |
| 172,935,000 |
U.S. Treasury Bonds, 4.125%, 8/15/2053 |
166,206,748 |
| 32,345,000 |
U.S. Treasury Bonds, 4.250%, 2/15/2054 |
31,809,286 |
| 15,520,000 |
U.S. Treasury Bonds, 4.750%, 11/15/2043 |
16,099,575 |
| 1,575,000 |
U.S. Treasury Bonds, 4.750%, 11/15/2053 |
1,681,313 |
| 15,485,000 |
U.S. Treasury Notes, 2.750%, 7/31/2027 |
14,705,911 |
| 45,850,000 |
U.S. Treasury Notes, 2.750%, 8/15/2032 |
41,123,510 |
| 1,135,000 |
U.S. Treasury Notes, 2.875%, 5/15/2032 |
1,030,500 |
| 99,910,000 |
U.S. Treasury Notes, 3.125%, 8/31/2029 |
94,586,670 |
| 160,115,000 |
U.S. Treasury Notes, 3.375%, 5/15/2033 |
149,995,232 |
| 41,465,000 |
U.S. Treasury Notes, 3.500%, 1/31/2028 |
40,251,825 |
| 25,800,000 |
U.S. Treasury Notes, 3.500%, 4/30/2028 |
25,027,008 |
| 21,635,000 |
U.S. Treasury Notes, 3.500%, 1/31/2030 |
20,818,617 |
| 127,735,000 |
U.S. Treasury Notes, 3.500%, 2/15/2033 |
120,974,026 |
| 31,760,000 |
U.S. Treasury Notes, 3.625%, 3/31/2028 |
30,961,038 |
| 12,305,000 |
U.S. Treasury Notes, 3.625%, 3/31/2030 |
11,910,855 |
| 9,895,000 |
U.S. Treasury Notes, 3.750%, 12/31/2028 |
9,683,958 |
| 3,655,000 |
U.S. Treasury Notes, 3.750%, 6/30/2030 |
3,558,200 |
| 14,275,000 |
U.S. Treasury Notes, 3.875%, 11/30/2027 |
14,044,146 |
See accompanying notes to financial statements.
| 16
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Treasuries — continued | |
| $33,275,000
|
U.S. Treasury Notes, 3.875%, 12/31/2027 |
$32,738,181
|
| 30,770,000 |
U.S. Treasury Notes, 3.875%, 11/30/2029 |
30,214,698 |
| 32,370,000 |
U.S. Treasury Notes, 3.875%, 8/15/2033 |
31,510,172 |
| 189,365,000 |
U.S. Treasury Notes, 4.000%, 2/15/2034 |
186,228,642 |
| 10,050,000 |
U.S. Treasury Notes, 4.125%, 9/30/2027 |
9,971,877 |
| 19,250,000 |
U.S. Treasury Notes, 4.125%, 10/31/2027 |
19,097,353 |
| 95,010,000 |
U.S. Treasury Notes, 4.125%, 3/31/2029 |
94,601,753 |
| 2,210,000 |
U.S. Treasury Notes, 4.125%, 3/31/2031 |
2,197,569 |
| 109,640,000 |
U.S. Treasury Notes, 4.125%, 11/15/2032 |
108,890,508 |
| 44,835,000 |
U.S. Treasury Notes, 4.500%, 11/15/2033 |
45,829,777 |
| 4,273,057,000 |
Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) |
108,767,068 |
| 213,447,000 |
Uruguay Government International Bonds, 8.500%, 3/15/2028, (UYU)(a) |
5,577,847 |
| 93,095,000 |
Uruguay Government International Bonds, 8.500%, 3/15/2028, (UYU) |
2,432,780 |
| 596,940,000 |
Uruguay Government International Bonds, 9.750%, 7/20/2033, (UYU) |
16,638,167 |
| |
|
2,228,047,054 |
| |
Wireless — 0.8% | |
| 17,567,000 |
Bharti Airtel Ltd., 4.375%, 6/10/2025(a) |
17,279,891 |
| 983,000 |
Crown Castle, Inc., 4.150%, 7/01/2050 |
785,564 |
| 3,360,000 |
Empresa Nacional de Telecomunicaciones SA, 3.050%, 9/14/2032(a) |
2,675,921 |
| 13,869,000 |
Kenbourne Invest SA, 4.700%, 1/22/2028(a) |
5,090,894 |
| 5,452,000 |
Millicom International Cellular SA, 4.500%, 4/27/2031(a) |
4,674,526 |
| 14,210,000 |
SBA Communications Corp., 3.125%, 2/01/2029 |
12,540,405 |
| 16,530,000 |
Sitios Latinoamerica SAB de CV, 5.375%, 4/04/2032(a) |
15,410,423 |
| |
|
58,457,624 |
| |
Wirelines — 0.3% | |
| 7,956,000 |
AT&T, Inc., 3.500%, 9/15/2053 |
5,613,137 |
| 2,905,000 |
AT&T, Inc., 3.550%, 9/15/2055 |
2,031,250 |
| 1,863,000 |
AT&T, Inc., 3.650%, 6/01/2051 |
1,367,697 |
| 11,891,000 |
AT&T, Inc., 3.650%, 9/15/2059 |
8,278,655 |
| 7,539,000 |
AT&T, Inc., 3.800%, 12/01/2057 |
5,458,401 |
| |
|
22,749,140 |
| |
Total Non-Convertible Bonds (Identified Cost $7,016,703,871) |
6,512,422,920 |
| | ||
| | ||
| Municipals — 0.1% | ||
| |
Virginia — 0.1% | |
| 12,785,000 |
University of Virginia, 3.227%, 9/01/2119 (Identified Cost $12,785,000) |
7,940,675 |
| |
Total Bonds and Notes (Identified Cost $7,029,488,871) |
6,520,363,595 |
| | ||
| | ||
| Collateralized Loan Obligations — 4.8% | ||
| 2,390,000 |
37 Capital CLO 1 Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.782%, 9.096%, 10/15/2034(a)(c) |
2,379,694 |
| 2,135,000 |
37 Capital CLO 4 Ltd., Series 2023-2A, Class B, 3 mo. USD SOFR + 2.750%, 8.117%, 1/15/2034(a)(c) |
2,147,133 |
| 1,000,000 |
37 Capital CLO II Ltd., Series 2022-1A, Class C1, 3 mo. USD SOFR + 3.350%, 8.664%, 7/15/2034(a)(c) |
1,001,680 |
| 1,815,000 |
720 East CLO IV Ltd., Series 2024-1A, Class C, 3 mo. USD SOFR + 2.400%, 7.695%, 4/15/2037(a)(c) |
1,813,628 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| $6,520,000
|
AGL CLO 30 Ltd., Series 2024-30A, Class B, 3 mo. USD SOFR + 2.050%, 7.379%, 4/21/2037(a)(c) |
$6,525,073
|
| 1,000,000 |
AIMCO CLO 14 Ltd., Series 2021-14A, Class B, 3 mo. USD SOFR + 1.612%, 6.929%, 4/20/2034(a)(c) |
992,319 |
| 1,575,000 |
Allegro CLO XII Ltd., Series 2020-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.279%, 1/21/2032(a)(c) |
1,575,083 |
| 4,275,000 |
AMMC CLO 26 Ltd., Series 2023-26A, Class D, 3 mo. USD SOFR + 5.750%, 11.064%, 4/15/2036(a)(c) |
4,380,203 |
| 5,120,000 |
Anchorage Capital CLO 13 LLC, Series 2019-13A, Class B1R, 3 mo. USD SOFR + 2.062%, 7.376%, 4/15/2034(a)(c) |
5,119,933 |
| 750,000 |
Anchorage Capital CLO 19 Ltd., Series 2021-19A, Class B1, 3 mo. USD SOFR + 2.112%, 7.426%, 10/15/2034(a)(c) |
748,004 |
| 940,000 |
Anchorage Capital CLO 28 Ltd., Series 2024-28A, Class B, 3 mo. USD SOFR + 2.250%, 7.535%, 4/20/2037(a)(c) |
940,004 |
| 400,000 |
ARES XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3 mo. USD SOFR + 1.762%, 7.076%, 10/15/2030(a)(c) |
400,021 |
| 745,000 |
Atrium IX, Series 9A, Class BR2, 3 mo. USD SOFR + 1.762%, 7.099%, 5/28/2030(a)(c) |
745,039 |
| 1,405,000 |
Atrium XIII, Series 13A, Class B, 3 mo. USD SOFR + 1.762%, 7.077%, 11/21/2030(a)(c) |
1,405,398 |
| 1,650,000 |
Atrium XV, Series 15A, Class B, 3 mo. USD SOFR + 2.012%, 7.327%, 1/23/2031(a)(c) |
1,650,873 |
| 2,000,000 |
Atrium XV, Series 15A, Class D, 3 mo. USD SOFR + 3.262%, 8.577%, 1/23/2031(a)(c) |
1,997,593 |
| 5,775,000 |
Bain Capital CLO Ltd., Series 2024-1A, Class B, 3 mo. USD SOFR + 2.000%, 7.325%, 4/16/2037(a)(c) |
5,771,535 |
| 1,165,000 |
Bain Capital Credit CLO Ltd., Series 2019-1A, Class CR, 3 mo. USD SOFR + 2.412%, 7.721%, 4/19/2034(a)(c) |
1,165,253 |
| 845,000 |
Bain Capital Credit CLO Ltd., Series 2020-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.260%, 4/18/2033(a)(c) |
845,179 |
| 1,750,000 |
Bain Capital Credit CLO Ltd., Series 2021-7A, Class D, 3 mo. USD SOFR + 3.512%, 8.829%, 1/22/2035(a)(c) |
1,750,063 |
| 565,000 |
Bain Capital Credit CLO Ltd., Series 2023-1A, Class B, 3 mo. USD SOFR + 2.250%, 7.564%, 4/16/2036(a)(c) |
567,089 |
| 2,250,000 |
Bain Capital Credit CLO Ltd., Series 2023-1A, Class D, 3 mo. USD SOFR + 4.900%, 10.214%, 4/16/2036(a)(c) |
2,281,590 |
| 4,165,000 |
Balboa Bay Loan Funding Ltd., Series 2021-1A, Class A, 3 mo. USD SOFR + 1.462%, 6.779%, 7/20/2034(a)(c) |
4,172,467 |
| 3,420,000 |
Balboa Bay Loan Funding Ltd., Series 2023-1A, Class B, 3 mo. USD SOFR + 2.550%, 7.868%, 4/20/2035(a)(c) |
3,419,737 |
| 6,000,000 |
Balboa Bay Loan Funding Ltd., Series 2023-1A, Class BR, 3 mo. USD SOFR + 2.050%, 7.868%, 4/20/2036(a)(c) |
6,001,074 |
| 1,400,000 |
Ballyrock CLO Ltd., Series 2019-1A, Class A2R, 3 mo. USD SOFR + 1.812%, 7.126%, 7/15/2032(a)(c) |
1,399,930 |
See accompanying notes to financial statements.
17 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| $1,065,000
|
Battalion CLO VIII Ltd., Series 2015-8A, Class BR2, 3 mo. USD SOFR + 2.262%, 7.560%, 7/18/2030(a)(c) |
$1,065,007
|
| 5,000,000 |
Battalion CLO X Ltd., Series 2016-10A, Class A1R2, 3 mo. USD SOFR + 1.432%, 6.750%, 1/25/2035(a)(c) |
5,000,270 |
| 400,000 |
Battalion CLO XIX Ltd., Series 2021-19A, Class D, 3 mo. USD SOFR + 3.512%, 8.826%, 4/15/2034(a)(c) |
389,968 |
| 1,675,000 |
Betony CLO 2 Ltd., Series 2018-1A, Class A2, 3 mo. USD SOFR + 1.862%, 7.179%, 4/30/2031(a)(c) |
1,675,137 |
| 1,865,000 |
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, 3 mo. USD SOFR + 2.012%, 7.336%, 7/25/2034(a)(c) |
1,865,261 |
| 6,805,000 |
Bryant Park Funding Ltd., Series 2024-22A, Class A1, 3 mo. USD SOFR + 1.620%, 6.933%, 4/15/2037(a)(c) |
6,807,293 |
| 2,400,000 |
Buttermilk Park CLO Ltd., Series 2018-1A, Class C, 3 mo. USD SOFR + 2.362%, 7.676%, 10/15/2031(a)(c) |
2,400,043 |
| 500,000 |
Canyon CLO Ltd., Series 2018-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.276%, 7/15/2031(a)(c) |
500,045 |
| 1,990,000 |
Canyon CLO Ltd., Series 2021-4A, Class B, 3 mo. USD SOFR + 1.962%, 7.276%, 10/15/2034(a)(c) |
1,985,615 |
| 545,000 |
Carlyle Global Market Strategies CLO Ltd., Series 2015-5A, Class A2RR, 3 mo. USD SOFR + 1.912%, 7.229%, 1/20/2032(a)(c) |
545,243 |
| 3,515,000 |
CarVal CLO III Ltd., Series 2019-2A, Class DR, 3 mo. USD SOFR + 3.212%, 8.529%, 7/20/2032(a)(c) |
3,502,132 |
| 525,000 |
Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, 3 mo. USD SOFR + 1.912%, 7.228%, 7/17/2034(a)(c) |
525,071 |
| 6,970,000 |
CIFC Funding Ltd., Series 2017-1A, Class BRR, 3 mo. USD SOFR + 2.050%, 7.330%, 4/21/2037(a)(c) |
6,968,982 |
| 325,000 |
CIFC Funding Ltd., Series 2018-1A, Class B, 3 mo. USD SOFR + 1.662%, 6.960%, 4/18/2031(a)(c) |
325,201 |
| 2,935,000 |
CIFC Funding Ltd., Series 2020-1A, Class BR, 3 mo. USD SOFR + 1.912%, 7.226%, 7/15/2036(a)(c) |
2,935,370 |
| 4,500,000 |
CIFC Funding Ltd., Series 2020-3A, Class DR, 3 mo. USD SOFR + 3.362%, 8.679%, 10/20/2034(a)(c) |
4,500,648 |
| 7,190,000 |
CIFC Funding Ltd., Series 2021-7A, Class D, 3 mo. USD SOFR + 3.262%, 8.577%, 1/23/2035(a)(c) |
7,173,521 |
| 4,210,000 |
Clover CLO LLC, Series 2018-1A, Class A1R, 3 mo. USD SOFR + 1.382%, 6.699%, 4/20/2032(a)(c) |
4,213,806 |
| 725,000 |
Clover CLO Ltd., Series 2019-1A, Class BR, 3 mo. USD SOFR + 1.850%, 7.148%, 4/18/2035(a)(c) |
724,706 |
| 7,655,000 |
Crown City CLO III, Series 2021-1A, Class A1A, 3 mo. USD SOFR + 1.432%, 6.749%, 7/20/2034(a)(c) |
7,655,903 |
| 5,450,000 |
Dryden 78 CLO Ltd., Series 2020-78A, Class A, 3 mo. USD SOFR + 1.442%, 6.758%, 4/17/2033(a)(c) |
5,451,106 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| $7,000,000
|
Elmwood CLO 26 Ltd., Series 2024-1A, Class B, 3 mo. USD SOFR + 2.000%, 7.292%, 4/18/2037(a)(c) |
$7,003,542
|
| 4,520,000 |
Elmwood CLO III Ltd., Series 2019-3A, Class AR, 3 mo. USD SOFR + 1.422%, 6.739%, 10/20/2034(a)(c) |
4,523,874 |
| 2,700,000 |
Elmwood CLO IV Ltd., Series 2020-1A, Class A, 3 mo. USD SOFR + 1.502%, 6.816%, 4/15/2033(a)(c) |
2,701,912 |
| 1,750,000 |
Fortress Credit BSL XII Ltd., Series 2021-4A, Class D, 3 mo. USD SOFR + 3.912%, 9.226%, 10/15/2034(a)(c) |
1,749,977 |
| 2,945,000 |
Generate CLO 13 Ltd., Series 2023-13A, Class A1, 3 mo. USD SOFR + 1.800%, 7.130%, 1/20/2037(a)(c) |
2,964,949 |
| 7,000,000 |
Generate CLO 7 Ltd., Series 7A, Class A1R, 3 mo. USD SOFR + 1.620%, 6.919%, 4/22/2037(a)(c) |
7,006,447 |
| 500,000 |
Generate CLO 9 Ltd., Series 9A, Class A, 3 mo. USD SOFR + 1.462%, 6.779%, 10/20/2034(a)(c) |
500,217 |
| 1,875,000 |
GoldenTree Loan Management U.S. CLO 2 Ltd., Series 2017-2A, Class BR, 3 mo. USD SOFR + 1.662%, 6.979%, 11/20/2030(a)(c) |
1,875,174 |
| 1,000,000 |
GoldenTree Loan Management U.S. CLO 2 Ltd., Series 2017-2A, Class C, 3 mo. USD SOFR + 2.062%, 7.379%, 11/28/2030(a)(c) |
1,000,079 |
| 1,875,000 |
GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class BR2, 3 mo. USD SOFR + 1.612%, 6.910%, 1/18/2031(a)(c) |
1,868,664 |
| 6,030,000 |
Golub Capital Partners CLO 72 B Ltd., Series 2024-72A, Class B, 3 mo. USD SOFR + 2.100%, 7.396%, 4/25/2037(a)(c) |
6,032,056 |
| 1,518,000 |
Greywolf CLO VI Ltd., Series 2018-1A, Class A2, 3 mo. USD SOFR + 1.890%, 7.214%, 4/26/2031(a)(c) |
1,519,820 |
| 1,750,000 |
HalseyPoint CLO 3 Ltd., Series 2020-3A, Class A1A, 3 mo. USD SOFR + 1.712%, 7.029%, 11/30/2032(a)(c) |
1,750,101 |
| 2,575,000 |
Hayfin U.S. XII Ltd., Series 2018-9A, Class BR, 3 mo. USD SOFR + 2.062%, 7.381%, 4/28/2031(a)(c) |
2,582,668 |
| 5,000,000 |
Invesco U.S. CLO Ltd., Series 2023-2A, Class D, 3 mo. USD SOFR + 4.950%, 10.268%, 4/21/2036(a)(c) |
5,052,935 |
| 1,610,000 |
KKR CLO 22 Ltd., Series 22A, Class B, 3 mo. USD SOFR + 1.862%, 7.179%, 7/20/2031(a)(c) |
1,610,753 |
| 1,190,000 |
Long Point Park CLO Ltd., Series 2017-1A, Class A2, 3 mo. USD SOFR + 1.637%, 6.953%, 1/17/2030(a)(c) |
1,188,862 |
| 3,000,000 |
Madison Park Funding LXVII Ltd., Series 2024-67A, Class B, 3 mo. USD SOFR + 2.050%, 7.027%, 4/25/2037(a)(c) |
3,001,545 |
| 680,000 |
Madison Park Funding XXII Ltd., Series 2016-22A, Class BR, 3 mo. USD SOFR + 1.862%, 7.176%, 1/15/2033(a)(c) |
678,916 |
| 475,000 |
Madison Park Funding XXXV Ltd., Series 2019-35A, Class CR, 3 mo. USD SOFR + 2.162%, 7.479%, 4/20/2032(a)(c) |
475,000 |
| 835,000 |
Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class B, 3 mo. USD SOFR + 1.912%, 7.228%, 7/17/2034(a)(c) |
835,117 |
See accompanying notes to financial statements.
| 18
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| $649,288
|
Magnetite XVIII Ltd., Series 2016-18A, Class AR2, 3 mo. USD SOFR + 1.142%, 6.449%, 11/15/2028(a)(c) |
$649,256
|
| 1,250,000 |
Magnetite XXI Ltd., Series 2019-21A, Class BR, 3 mo. USD SOFR + 1.612%, 6.929%, 4/20/2034(a)(c) |
1,248,256 |
| 3,595,000 |
Milos CLO Ltd., Series 2017-1A, Class BR, 3 mo. USD SOFR + 1.812%, 7.129%, 10/20/2030(a)(c) |
3,594,975 |
| 465,000 |
MP CLO VIII Ltd., Series 2015-2A, Class ARR, 3 mo. USD SOFR + 1.462%, 6.781%, 4/28/2034(a)(c) |
463,854 |
| 3,990,000 |
Nassau Ltd., Series 2022-1A, Class CR, 3 mo. USD SOFR + 2.700%, 8.024%, 1/15/2031(a)(c) |
3,989,693 |
| 1,345,000 |
Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class BR2, 3 mo. USD SOFR + 1.762%, 7.081%, 1/28/2030(a)(c) |
1,344,609 |
| 650,000 |
Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class CR2, 3 mo. USD SOFR + 2.162%, 7.481%, 1/28/2030(a)(c) |
646,690 |
| 3,410,000 |
Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class B, 3 mo. USD SOFR + 1.662%, 6.976%, 4/16/2033(a)(c) |
3,398,177 |
| 2,745,000 |
NYACK Park CLO Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.062%, 8.379%, 10/20/2034(a)(c) |
2,744,816 |
| 3,230,000 |
Octagon Investment Partners 31 Ltd., Series 2017-1A, Class B1RR, 3 mo. USD SOFR + 1.500%, 6.819%, 7/20/2030(a)(c) |
3,230,136 |
| 4,385,000 |
Octagon Investment Partners 32 Ltd., Series 2017-1A, Class CR, 3 mo. USD SOFR + 2.312%, 7.626%, 7/15/2029(a)(c) |
4,384,816 |
| 7,000,000 |
Octagon Investment Partners 49 Ltd., Series 2020-5A, Class CR, 3 mo. USD SOFR + 2.400%, 7.691%, 4/15/2037(a)(c) |
6,997,550 |
| 4,000,000 |
OHA Credit Funding 10 Ltd., Series 2021-10A, Class A, 3 mo. USD SOFR + 1.392%, 6.690%, 1/18/2036(a)(c) |
4,001,684 |
| 4,375,000 |
OHA Credit Funding 12 Ltd., Series 2022-12A, Class CR2, 3 mo. USD SOFR + 2.400%, 7.229%, 4/23/2037(a)(c) |
4,375,000 |
| 1,000,000 |
OHA Credit Funding 16 Ltd., Series 2023-16A, Class B, 3 mo. USD SOFR + 2.250%, 7.606%, 10/20/2036(a)(c) |
1,008,202 |
| 4,355,000 |
OHA Credit Funding 17 Ltd., Series 2024-17A, Class B1, 3 mo. USD SOFR + 1.900%, 7.213%, 4/20/2037(a)(c) |
4,350,845 |
| 1,750,000 |
OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3 mo. USD SOFR + 1.912%, 7.229%, 7/02/2035(a)(c) |
1,751,799 |
| 8,880,000 |
OHA Credit Funding 8 Ltd., Series 2021-8A, Class B1, 3 mo. USD SOFR + 1.762%, 7.060%, 1/18/2034(a)(c) |
8,877,780 |
| 1,280,000 |
OHA Credit Partners XI Ltd., Series 2015-11A, Class BR, 3 mo. USD SOFR + 1.912%, 7.229%, 1/20/2032(a)(c) |
1,280,114 |
| 6,005,000 |
OHA Credit Partners XV Ltd., Series 2017-15A, Class CR, 3 mo. USD SOFR + 2.350%, 7.676%, 4/20/2037(a)(c) |
6,008,063 |
| 470,000 |
OZLM Funding IV Ltd., Series 2013-4A, Class A2R, 3 mo. USD SOFR + 1.962%, 7.279%, 10/22/2030(a)(c) |
469,371 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| $260,000
|
Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3 mo. USD SOFR + 2.212%, 7.529%, 7/20/2030(a)(c) |
$259,661
|
| 250,000 |
Palmer Square CLO Ltd., Series 2019-1A, Class A2R, 3 mo. USD SOFR + 1.962%, 7.268%, 11/14/2034(a)(c) |
250,474 |
| 4,445,000 |
Palmer Square CLO Ltd., Series 2024-1A, Class B, 3 mo. USD SOFR + 2.000%, 7.305%, 4/15/2037(a)(c) |
4,445,876 |
| 1,250,000 |
Palmer Square Loan Funding Ltd., Series 2021-1A, Class B, 3 mo. USD SOFR + 2.062%, 7.379%, 4/20/2029(a)(c) |
1,250,975 |
| 3,500,000 |
Palmer Square Loan Funding Ltd., Series 2021-3A, Class A2, 3 mo. USD SOFR + 1.662%, 6.979%, 7/20/2029(a)(c) |
3,500,766 |
| 1,500,000 |
Palmer Square Loan Funding Ltd., Series 2021-4A, Class A2, 3 mo. USD SOFR + 1.662%, 6.976%, 10/15/2029(a)(c) |
1,500,984 |
| 1,000,000 |
Palmer Square Loan Funding Ltd., Series 2022-2A, Class A2, 3 mo. USD SOFR + 1.900%, 7.214%, 10/15/2030(a)(c) |
1,000,494 |
| 1,585,000 |
Palmer Square Loan Funding Ltd., Series 2022-4A, Class A2, 3 mo. USD SOFR + 2.300%, 7.619%, 7/24/2031(a)(c) |
1,585,057 |
| 3,510,000 |
Peebles Park CLO Ltd., Series 2024-1A, Class B1, 3 mo. USD SOFR + 2.000%, 7.304%, 4/21/2037(a)(c) |
3,510,590 |
| 2,320,000 |
Point Au Roche Park CLO Ltd., Series 2021-1A, Class B1, 3 mo. USD SOFR + 1.862%, 7.179%, 7/20/2034(a)(c) |
2,320,274 |
| 1,450,000 |
Post CLO Ltd., Series 2021-1A, Class A, 3 mo. USD SOFR + 1.462%, 6.776%, 10/15/2034(a)(c) |
1,450,682 |
| 5,670,000 |
Post CLO Ltd., Series 2021-1A, Class B, 3 mo. USD SOFR + 2.012%, 7.326%, 10/15/2034(a)(c) |
5,670,272 |
| 1,245,000 |
Post CLO Ltd., Series 2022-1A, Class B, 3 mo. USD SOFR + 1.900%, 7.218%, 4/20/2035(a)(c) |
1,241,520 |
| 5,385,000 |
Post CLO Ltd., Series 2024-1A, Class B, 3 mo. USD SOFR + 2.100%, 7.372%, 4/20/2037(a)(c) |
5,383,110 |
| 3,730,000 |
PPM CLO 5 Ltd., Series 2021-5A, Class B, 3 mo. USD SOFR + 1.962%, 7.260%, 10/18/2034(a)(c) |
3,711,569 |
| 1,460,000 |
Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo. USD SOFR + 1.662%, 6.979%, 4/20/2034(a)(c) |
1,446,606 |
| 2,555,000 |
Reese Park CLO Ltd., Series 2020-1A, Class BR, 3 mo. USD SOFR + 1.912%, 7.226%, 10/15/2034(a)(c) |
2,555,335 |
| 750,000 |
Regatta IX Funding Ltd., Series 2017-1A, Class B, 3 mo. USD SOFR + 2.062%, 7.378%, 4/17/2030(a)(c) |
753,043 |
| 3,250,000 |
Riserva CLO Ltd., Series 2016-3A, Class DRR, 3 mo. USD SOFR + 3.512%, 8.810%, 1/18/2034(a)(c) |
3,236,931 |
| 1,495,000 |
Rockford Tower CLO Ltd., Series 2017-1A, Class BR2A, 3 mo. USD SOFR + 1.912%, 7.229%, 4/20/2034(a)(c) |
1,485,123 |
| 2,765,000 |
Rockford Tower CLO Ltd., Series 2021-2A, Class B, 3 mo. USD SOFR + 2.012%, 7.329%, 7/20/2034(a)(c) |
2,764,873 |
| 2,605,000 |
Rockland Park CLO Ltd., Series 2021-1A, Class B, 3 mo. USD SOFR + 1.912%, 7.229%, 4/20/2034(a)(c) |
2,605,487 |
| 2,750,000 |
RR 26 Ltd., Series 2023-26A, Class A1, 3 mo. USD SOFR + 1.780%, 7.094%, 4/15/2038(a)(c) |
2,769,351 |
See accompanying notes to financial statements.
19 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| $7,045,000
|
RR 28 Ltd., Series 2024-28RA, Class A2R, 3 mo. USD SOFR + 2.050%, 7.341%, 4/15/2037(a)(c) |
$7,044,704
|
| 3,000,000 |
Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD SOFR + 1.422%, 6.738%, 4/17/2034(a)(c) |
2,999,865 |
| 1,000,000 |
Signal Peak CLO 12 Ltd., Series 2022-12A, Class B1, 3 mo. USD SOFR + 2.600%, 7.898%, 7/18/2034(a)(c) |
1,002,708 |
| 7,000,000 |
Silver Point CLO 4 Ltd., Series 2024-4A, Class A1, 3 mo. USD SOFR + 1.630%, 6.887%, 4/15/2037(a)(c) |
7,003,598 |
| 5,410,000 |
Sixth Street CLO XXIV Ltd., Series 2024-24A, Class A, 3 mo. USD SOFR + 1.520%, 8.579%, 4/23/2037(a)(c) |
5,413,673 |
| 2,060,000 |
Sycamore Tree CLO Ltd., Series 2023-2A, Class CR, 3 mo. USD SOFR + 2.750%, 8.073%, 1/20/2037(a)(c) |
2,066,950 |
| 3,500,000 |
TICP CLO V Ltd., Series 2016-5A, Class CR, 3 mo. USD SOFR + 2.462%, 7.778%, 7/17/2031(a)(c) |
3,499,772 |
| 1,880,000 |
TICP CLO XII Ltd., Series 2018-12A, Class BR, 3 mo. USD SOFR + 1.912%, 7.226%, 7/15/2034(a)(c) |
1,880,218 |
| 5,000,000 |
Trestles CLO IV Ltd., Series 2021-4A, Class A, 3 mo. USD SOFR + 1.432%, 6.749%, 7/21/2034(a)(c) |
5,000,520 |
| 1,000,000 |
Trinitas CLO XVI Ltd., Series 2021-16A, Class A1, 3 mo. USD SOFR + 1.442%, 6.759%, 7/20/2034(a)(c) |
998,995 |
| 500,000 |
Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, 3 mo. USD SOFR + 1.432%, 6.749%, 1/20/2035(a)(c) |
499,451 |
| 1,000,000 |
Verde CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD SOFR + 1.362%, 6.676%, 4/15/2032(a)(c) |
1,000,340 |
| 3,250,000 |
Wellfleet CLO X Ltd., Series 2019-XA, Class BR, 3 mo. USD SOFR + 2.462%, 7.779%, 7/20/2032(a)(c) |
3,195,514 |
| 2,280,000 |
Wellington Management CLO 1 Ltd., Series 2023-1A, Class C, 3 mo. USD SOFR + 3.100%, 8.418%, 10/20/2036(a)(c) |
2,280,401 |
| 3,500,000 |
Wellington Management CLO 2 Ltd., Series 2024-2A, Class B, 3 mo. USD SOFR + 2.000%, 7.314%, 4/20/2037(a)(c) |
3,500,588 |
| 250,000 |
Wind River CLO Ltd., Series 2021-3A, Class A, 3 mo. USD SOFR + 1.412%, 6.729%, 7/20/2033(a)(c) |
250,042 |
| |
Total Collateralized Loan Obligations (Identified Cost $347,266,874) |
350,480,609 |
| | ||
| | ||
| Short-Term Investments — 10.9% | ||
| 301,324,990 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $301,442,172 on 4/01/2024 collateralized by $309,034,000 U.S. Treasury Note, 3.625% due 5/15/2026 valued at $307,351,532 including accrued interest (Note 2 of Notes to Financial Statements) |
301,324,990 |
| 12,130,000 |
Federal Home Loan Bank Discount Notes, 5.170%, 4/04/2024(h) |
12,117,782 |
| 85,305,000 |
Federal Home Loan Bank Discount Notes, 5.180%, 4/08/2024(h) |
85,169,981 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| $60,345,000
|
Federal Home Loan Bank Discount Notes, 5.180%, 4/10/2024(h) |
$60,188,707
|
| 58,815,000 |
Federal Home Loan Bank Discount Notes, 5.180%, 4/15/2024(h) |
58,662,669 |
| 133,260,000 |
Federal National Mortgage Association Discount Notes, 5.230%, 4/01/2024(h) |
133,183,301 |
| 20,000,000 |
U.S. Treasury Bills, 5.021%–5.025%, 7/18/2024(h)(i)(j) |
19,690,220 |
| 73,255,000 |
U.S. Treasury Bills, 5.133%–5.148%, 5/30/2024(h)(j) |
72,623,201 |
| 29,620,000 |
U.S. Treasury Bills, 5.141%–5.157%, 7/11/2024(h)(j) |
29,192,448 |
| 27,485,000 |
U.S. Treasury Bills, 5.193%–5.206%, 4/16/2024(h)(j) |
27,424,653 |
| |
Total Short-Term Investments (Identified Cost $799,846,911) |
799,577,952 |
| |
Total Investments — 104.3% (Identified Cost $8,176,602,656) |
7,670,422,156 |
| |
Other assets less liabilities — (4.3)% |
(314,396,235 ) |
| |
Net Assets — 100.0% |
$7,356,025,921 |
| (†) |
See Note 2 of Notes to Financial Statements. |
| (‡) |
Principal Amount stated in U.S. dollars unless otherwise noted. |
| (a)
|
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, 2024, the
value of Rule 144A holdings amounted to $1,666,400,852 or
22.7% of net assets. |
| (b)
|
Level 3 security. Value has been determined using significant
unobservable inputs. See Note 3 of Notes to Financial
Statements. |
| (c)
|
Variable rate security. Rate as of March 31, 2024 is disclosed.
Issuers comprised of various lots with differing coupon rates
have been aggregated for the purpose of presentation in the
Portfolio of Investments and show a weighted average rate.
Certain variable rate securities are not based on a published
reference rate and spread, rather are determined by the issuer
or agent and are based on current market conditions. These
securities may not indicate a reference rate and/or spread in
their description. |
| (d)
|
The Fund’s investment in mortgage related securities of Federal
Home Loan Mortgage Corporation, Federal National Mortgage
Association and Government National Mortgage Association
are interests in separate pools of mortgages. All separate
investments in securities of each issuer which have the same
coupon rate have been aggregated for the purpose of
presentation in the Portfolio of Investments. |
| (e)
|
When-issued/delayed delivery. |
| (f)
|
Amount shown represents units. One unit represents a principal
amount of 1,000. |
| (g)
|
Amount shown represents units. One unit represents a principal
amount of 100. |
| (h)
|
Interest rate represents discount rate at time of purchase; not a
coupon rate. |
| (i)
|
Security (or a portion thereof) has been pledged as collateral
for open derivative contracts. |
See accompanying notes to financial statements.
| 20
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Core Plus Bond Fund (continued)
| (j)
|
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. |
| ABS
|
Asset-Backed Securities |
| EMTN
|
Euro
Medium Term Note |
| GMTN
|
Global Medium Term Note |
| MTN
|
Medium Term Note |
| REITs
|
Real
Estate Investment Trusts |
| REMICS
|
Real
Estate Mortgage Investment Conduits |
| SOFR
|
Secured Overnight Financing Rate |
| TBA
|
To Be
Announced |
| BRL
|
Brazilian Real |
| MXN
|
Mexican Peso |
| UYU
|
Uruguayan Peso |
At March 31, 2024, open long futures contracts were as
follows:
| Financial Futures |
Expiration
Date |
Contracts |
Notional
Amount |
Value |
Unrealized Appreciation
(Depreciation) |
| CBOT 10 Year U.S. Treasury Notes Futures |
6/18/2024 |
2,751 |
$302,830,396
|
$304,802,203
|
$1,971,807
|
| CBOT 2 Year U.S. Treasury Notes Futures |
6/28/2024 |
2,405 |
491,881,698 |
491,784,924 |
(96,774 ) |
| CME Ultra Long Term U.S. Treasury Bond Futures |
6/18/2024 |
365 |
45,961,954 |
47,085,000 |
1,123,046 |
| Ultra 10-Year U.S. Treasury Notes Futures |
6/18/2024 |
2,204 |
250,473,362 |
252,599,063 |
2,125,701 |
| Total |
|
|
|
|
$5,123,780 |
Industry Summary at March 31, 2024
(Unaudited)
| Treasuries |
30.3 % |
| Mortgage Related |
24.9 |
| Banking |
6.9 |
| ABS Car Loan |
2.1 |
| Finance Companies |
2.0 |
| Other Investments, less than 2% each |
22.4 |
| Collateralized Loan Obligations |
4.8 |
| Short-Term Investments |
10.9 |
| Total Investments |
104.3 |
| Other assets less liabilities (including futures contracts) |
(4.3 ) |
| Net Assets |
100.0 % |
See accompanying notes to financial statements.
21 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund
| Shares |
Description |
Value (†) |
| Common Stocks — 67.4% of Net Assets | ||
| |
France — 2.4% | |
| 62,281 |
LVMH Moet Hennessy Louis Vuitton SE |
$56,040,197
|
| 134,558 |
Vinci SA |
17,267,636 |
| |
|
73,307,833 |
| |
Japan — 1.6% | |
| 1,778,761 |
Nomura Research Institute Ltd. |
50,247,739 |
| |
Netherlands — 2.3% | |
| 73,802 |
ASML Holding NV |
71,548,160 |
| |
Sweden — 2.5% | |
| 4,418,011 |
Atlas Copco AB, Class A |
74,613,804 |
| |
Taiwan — 1.9% | |
| 2,391,000 |
Taiwan Semiconductor Manufacturing Co. Ltd. |
57,279,273 |
| |
United Kingdom — 2.0% | |
| 864,177 |
Halma PLC |
25,804,635 |
| 285,274 |
London Stock Exchange Group PLC |
34,134,187 |
| |
|
59,938,822 |
| |
United States — 54.7% | |
| 160,513 |
Accenture PLC, Class A |
55,635,411 |
| 58,932 |
Adobe, Inc.(a) |
29,737,087 |
| 435,395 |
Airbnb, Inc., Class A(a) |
71,822,759 |
| 577,687 |
Alphabet, Inc., Class A(a) |
87,190,299 |
| 582,764 |
Amazon.com, Inc.(a) |
105,118,970 |
| 66,683 |
BlackRock, Inc. |
55,593,617 |
| 81,151 |
Costco Wholesale Corp. |
59,453,657 |
| 156,605 |
Cummins, Inc. |
46,143,663 |
| 223,241 |
Danaher Corp. |
55,747,742 |
| 177,123 |
Diamondback Energy, Inc. |
35,100,465 |
| 84,540 |
Goldman Sachs Group, Inc. |
35,311,513 |
| 177,436 |
Home Depot, Inc. |
68,064,450 |
| 191,696 |
IQVIA Holdings, Inc.(a) |
48,478,001 |
| 263,570 |
JPMorgan Chase & Co. |
52,793,071 |
| 185,732 |
Linde PLC |
86,239,082 |
| 176,947 |
Mastercard, Inc., Class A |
85,212,367 |
| 47,221 |
Mettler-Toledo International, Inc.(a) |
62,864,845 |
| 461,618 |
NIKE, Inc., Class B |
43,382,860 |
| 88,050 |
NVIDIA Corp. |
79,558,458 |
| 58,427 |
O'Reilly Automotive, Inc.(a) |
65,957,072 |
| 101,087 |
Parker-Hannifin Corp. |
56,183,144 |
| 106,062 |
Roper Technologies, Inc. |
59,483,812 |
| 224,957 |
S&P Global, Inc. |
95,707,956 |
| 225,590 |
Salesforce, Inc. |
67,943,196 |
| 138,234 |
Schneider Electric SE |
31,251,443 |
| 154,333 |
Texas Instruments, Inc. |
26,886,352 |
| 81,635 |
Trane Technologies PLC |
24,506,827 |
| 128,323 |
UnitedHealth Group, Inc. |
63,481,388 |
| 71,766 |
Veralto Corp. |
6,362,774 |
| |
|
1,661,212,281 |
| |
Total Common Stocks (Identified Cost $1,475,366,831) |
2,048,147,912 |
| Principal
Amount (‡) |
|
|
| Bonds and Notes — 28.7% | ||
| | ||
| | ||
| Non-Convertible Bonds — 26.9% | ||
| |
Australia — 1.4% | |
| $2,990,000
|
AngloGold Ashanti Holdings PLC, 3.375%, 11/01/2028 |
2,691,638 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Australia — continued | |
| 5,325,000 |
Australia Government Bonds, Series 164, 0.500%, 9/21/2026, (AUD) |
$3,216,919
|
| 5,540,000 |
Australia Government Bonds, Series 166, 3.000%, 11/21/2033, (AUD) |
3,332,138 |
| 670,000 |
GAIF Bond Issuer Pty. Ltd., 3.400%, 9/30/2026(b) |
638,392 |
| 16,470,000 |
Glencore Funding LLC, 6.500%, 10/06/2033(b) |
17,617,048 |
| 5,000,000 |
Macquarie Group Ltd., (fixed rate to 1/14/2032, variable rate thereafter), 2.871%, 1/14/2033(b) |
4,158,591 |
| 4,000,000 |
Macquarie Group Ltd., (fixed rate to 9/23/2026, variable rate thereafter), 1.629%, 9/23/2027(b) |
3,629,369 |
| 11,610,000 |
New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD) |
6,169,324 |
| 95,000 |
Sydney Airport Finance Co. Pty. Ltd., 3.375%, 4/30/2025(b) |
92,691 |
| |
|
41,546,110 |
| |
Belgium — 0.1% | |
| 2,745,000 |
Anheuser-Busch InBev SA, EMTN, 2.000%, 1/23/2035, (EUR) |
2,596,309 |
| |
Brazil — 0.8% | |
| 1,035,000 |
Braskem Netherlands Finance BV, 4.500%, 1/10/2028 |
929,211 |
| 1,785,000 |
Braskem Netherlands Finance BV, 4.500%, 1/31/2030 |
1,534,876 |
| 2,600,000 |
Brazil Government International Bonds, 6.000%, 10/20/2033 |
2,573,691 |
| 25,149 (c) |
Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2035, (BRL) |
4,701,141 |
| 53,329 (c) |
Brazil Notas do Tesouro Nacional, Series NTNF, 10.000%, 1/01/2031, (BRL) |
10,214,650 |
| 650,000 |
Centrais Eletricas Brasileiras SA, 4.625%, 2/04/2030(b) |
594,945 |
| 835,000 |
Embraer Netherlands Finance BV, 7.000%, 7/28/2030(b) |
874,372 |
| 575,000 |
Raizen Fuels Finance SA, 5.300%, 1/20/2027(b) |
571,403 |
| 2,515,000 |
Suzano Austria GmbH, 2.500%, 9/15/2028 |
2,219,701 |
| 1,185,000 |
Suzano Austria GmbH, 3.125%, 1/15/2032 |
984,420 |
| 550,000 |
Suzano Austria GmbH, 3.750%, 1/15/2031 |
486,193 |
| |
|
25,684,603 |
| |
Canada — 1.3% | |
| 1,235,000 |
1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030(b) |
1,100,387 |
| 315,977 |
Air Canada Pass-Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029(b) |
293,098 |
| 642,968 |
Air Canada Pass-Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031(b) |
579,931 |
| 505,000 |
Antares Holdings LP, 3.750%, 7/15/2027(b) |
460,807 |
| 1,210,000 |
Antares Holdings LP, 3.950%, 7/15/2026(b) |
1,136,154 |
| 305,000 |
Antares Holdings LP, 7.950%, 8/11/2028(b) |
316,946 |
| 2,835,000 |
Bell Telephone Co. of Canada or Bell Canada, MTN, 3.600%, 9/29/2027, (CAD) |
2,025,783 |
| 1,735,000 |
Brookfield Finance I U.K. PLC/Brookfield Finance, Inc., 2.340%, 1/30/2032 |
1,410,054 |
| 1,015,000 |
Brookfield Finance, Inc., 3.900%, 1/25/2028 |
977,332 |
| 2,715,000 |
Brookfield Renewable Partners ULC, MTN, 4.250%, 1/15/2029, (CAD) |
1,961,783 |
| 7,275,000 |
Canada Government Bonds, 0.500%, 9/01/2025, (CAD) |
5,094,353 |
See accompanying notes to financial statements.
| 22
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Canada — continued | |
| 800,000 |
CPPIB Capital, Inc., 0.375%, 6/20/2024, (EUR)(b) |
$856,693
|
| 4,695,000 |
Enbridge Gas, Inc., MTN, 2.900%, 4/01/2030, (CAD) |
3,198,305 |
| 4,770,000 |
Enbridge, Inc., MTN, 2.990%, 10/03/2029, (CAD) |
3,241,684 |
| 2,965,000 |
Federation des Caisses Desjardins du Quebec, (fixed rate to 5/26/2025, variable rate thereafter), 2.856%, 5/26/2030, (CAD) |
2,130,847 |
| 4,670,000 |
Ontario Power Generation, Inc., MTN, 2.977%, 9/13/2029, (CAD) |
3,221,957 |
| 2,350,000 |
Province of Quebec, 4.500%, 9/08/2033 |
2,325,544 |
| 2,960,000 |
Rogers Communications, Inc., 3.300%, 12/10/2029, (CAD) |
2,028,722 |
| 2,735,000 |
Toronto-Dominion Bank, 1.950%, 1/12/2027 |
2,528,153 |
| 1,675,000 |
Toronto-Dominion Bank, MTN, 1.150%, 6/12/2025 |
1,595,465 |
| 1,580,000 |
Videotron Ltd., 5.125%, 4/15/2027(b) |
1,546,512 |
| |
|
38,030,510 |
| |
Chile — 0.6% | |
| 575,000 |
Antofagasta PLC, 2.375%, 10/14/2030 |
479,985 |
| 975,000 |
Antofagasta PLC, 5.625%, 5/13/2032 |
977,845 |
| 2,525,000 |
Banco Santander Chile, 3.177%, 10/26/2031(b) |
2,203,012 |
| 950,000 |
Celulosa Arauco y Constitucion SA, 4.500%, 8/01/2024 |
945,057 |
| 1,005,000 |
Chile Government International Bonds, 2.550%, 1/27/2032 |
848,099 |
| 2,580,000 |
Colbun SA, 3.150%, 3/06/2030 |
2,267,484 |
| 1,960,000 |
Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029(b) |
1,740,137 |
| 275,000 |
Corp. Nacional del Cobre de Chile, 6.300%, 9/08/2053(b) |
274,282 |
| 595,000 |
Empresa Nacional de Telecomunicaciones SA, 3.050%, 9/14/2032(b) |
473,861 |
| 1,980,000 |
Empresa Nacional del Petroleo, 3.450%, 9/16/2031(b) |
1,689,593 |
| 525,000 |
Enel Chile SA, 4.875%, 6/12/2028 |
512,010 |
| 2,690,000 |
Engie Energia Chile SA, 3.400%, 1/28/2030 |
2,327,280 |
| 870,000 |
Sociedad Quimica y Minera de Chile SA, 6.500%, 11/07/2033(b) |
909,185 |
| 1,120,000 |
Transelec SA, 4.250%, 1/14/2025(b) |
1,105,446 |
| |
|
16,753,276 |
| |
China — 0.0% | |
| 625,000 |
Tencent Holdings Ltd., 2.880%, 4/22/2031(b) |
544,102 |
| |
Colombia — 0.5% | |
| 1,395,000 |
Colombia Government International Bonds, 3.125%, 4/15/2031 |
1,113,101 |
| 575,000 |
Colombia Government International Bonds, 3.875%, 4/25/2027 |
540,216 |
| 1,280,000 |
Colombia Government International Bonds, 7.500%, 2/02/2034 |
1,307,395 |
| 7,073,300,000 |
Colombia TES, Series B, 6.250%, 11/26/2025, (COP) |
1,778,500 |
| 29,559,900,000 |
Colombia TES, Series B, 7.500%, 8/26/2026, (COP) |
7,380,036 |
| 2,536,000 |
Ecopetrol SA, 5.875%, 5/28/2045 |
1,893,838 |
| 1,300,000 |
Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029(b) |
1,126,136 |
| |
|
15,139,222 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Czech — 0.0% | |
| 1,525,000 |
CEZ AS, EMTN, 0.875%, 12/02/2026, (EUR) |
$1,517,782 |
| |
Czech Republic — 0.0% | |
| 1,120,000 |
CEZ AS, EMTN, 3.000%, 6/05/2028, (EUR) |
1,170,339 |
| |
Denmark — 0.2% | |
| 2,135,000 |
Danske Bank AS, EMTN, (fixed rate to 6/21/2029, variable rate thereafter), 4.750%, 6/21/2030, (EUR) |
2,411,362 |
| 2,055,000 |
Orsted AS, EMTN, 2.125%, 5/17/2027, (GBP) |
2,378,844 |
| |
|
4,790,206 |
| |
Dominican Republic — 0.2% | |
| 2,160,000 |
Dominican Republic International Bonds, 4.500%, 1/30/2030(b) |
1,965,443 |
| 1,155,000 |
Dominican Republic International Bonds, 4.875%, 9/23/2032(b) |
1,034,044 |
| 590,000 |
Dominican Republic International Bonds, 5.950%, 1/25/2027(b) |
588,206 |
| 995,000 |
Dominican Republic International Bonds, 6.000%, 7/19/2028(b) |
989,140 |
| 425,000 |
Dominican Republic International Bonds, 8.625%, 4/20/2027(b) |
441,682 |
| |
|
5,018,515 |
| |
Ecuador — 0.1% | |
| 4,275,000 |
Ecuador Government International Bonds, 6.000%, 7/31/2030 |
2,893,695 |
| |
France — 0.2% | |
| 205,000 |
BNP Paribas SA, 4.375%, 5/12/2026(b) |
199,469 |
| 1,190,000 |
BNP Paribas SA, (fixed rate to 1/09/2029, variable rate thereafter), 5.176%, 1/09/2030(b) |
1,190,085 |
| 890,000 |
BNP Paribas SA, (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026(b) |
855,738 |
| 1,410,000 |
Electricite de France SA, 4.875%, 9/21/2038(b) |
1,260,490 |
| 1,400,000 |
Engie SA, 1.250%, 10/24/2041, (EUR) |
999,168 |
| 1,015,000 |
Societe Generale SA, 4.750%, 11/24/2025(b) |
995,353 |
| 1,485,000 |
Societe Generale SA, (fixed rate to 1/19/2034, variable rate thereafter), 6.066%, 1/19/2035(b) |
1,493,843 |
| |
|
6,994,146 |
| |
Germany — 0.3% | |
| 1,635,000 |
Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028 |
1,501,224 |
| 870,000 |
Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 |
718,626 |
| 2,255,000 |
Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 |
1,899,242 |
| 3,220,000 |
Fraport AG Frankfurt Airport Services Worldwide, 1.875%, 3/31/2028, (EUR) |
3,234,114 |
| 1,450,000 |
Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026(b) |
1,362,635 |
| 250,000 |
ZF North America Capital, Inc., 6.875%, 4/14/2028(b) |
259,418 |
| 265,000 |
ZF North America Capital, Inc., 7.125%, 4/14/2030(b) |
279,257 |
| |
|
9,254,516 |
| |
Guatemala — 0.0% | |
| 1,050,000 |
CT Trust, 5.125%, 2/03/2032(b) |
930,268 |
| |
India — 0.3% | |
| 2,940,000 |
Bharti Airtel Ltd., 3.250%, 6/03/2031 |
2,583,519 |
| 2,790,000 |
Export-Import Bank of India, 2.250%, 1/13/2031(b) |
2,305,902 |
See accompanying notes to financial statements.
23 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
India — continued | |
| $1,250,000
|
Power Finance Corp. Ltd., 3.950%, 4/23/2030(b) |
$1,143,975
|
| 2,400,000 |
Shriram Finance Ltd., 4.150%, 7/18/2025(b) |
2,324,160 |
| |
|
8,357,556 |
| |
Indonesia — 0.2% | |
| 50,092,000,000 |
Indonesia Treasury Bonds, Series FR75, 7.500%, 5/15/2038, (IDR) |
3,338,993 |
| 43,840,000,000 |
Indonesia Treasury Bonds, Series FR82, 7.000%, 9/15/2030, (IDR) |
2,818,313 |
| |
|
6,157,306 |
| |
Ireland — 0.3% | |
| 3,245,000 |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 |
2,783,095 |
| 2,325,000 |
AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(b) |
2,423,730 |
| 3,710,000 |
Ireland Government Bonds, Zero Coupon, 0.029%, 10/18/2031, (EUR)(d) |
3,299,484 |
| |
|
8,506,309 |
| |
Israel — 1.1% | |
| 1,405,000 |
Israel Electric Corp. Ltd., GMTN, 3.750%, 2/22/2032 |
1,185,528 |
| 320,000 |
Leviathan Bond Ltd., 6.500%, 6/30/2027 |
309,241 |
| 345,000 |
Leviathan Bond Ltd., 6.750%, 6/30/2030 |
319,219 |
| 2,750,000 |
Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 |
2,675,864 |
| 4,570,000 |
Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 |
4,272,453 |
| 17,791,000 |
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 |
12,265,162 |
| 2,700,000 |
Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 |
2,613,802 |
| 510,000 |
Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 |
490,101 |
| 4,415,000 |
Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 |
4,739,101 |
| 3,170,000 |
Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 |
3,476,853 |
| |
|
32,347,324 |
| |
Italy — 0.6% | |
| 200,000 |
Intesa Sanpaolo SpA, 5.710%, 1/15/2026(b) |
198,261 |
| 2,225,000 |
Intesa Sanpaolo SpA, 6.625%, 6/20/2033(b) |
2,308,701 |
| 3,305,000 |
Italy Buoni Poliennali Del Tesoro, Series 10Y, 2.000%, 2/01/2028, (EUR) |
3,424,686 |
| 6,965,000 |
Italy Buoni Poliennali Del Tesoro, Series 11Y, 1.350%, 4/01/2030, (EUR) |
6,737,673 |
| 2,370,000 |
Italy Buoni Poliennali Del Tesoro, Series 7Y, 2.500%, 11/15/2025, (EUR) |
2,526,448 |
| 830,000 |
UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034(b) |
853,019 |
| 1,460,000 |
UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032(b) |
1,426,084 |
| 200,000 |
UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(b) |
187,811 |
| 545,000 |
UniCredit SpA, EMTN, (fixed rate to 7/22/2026, variable rate thereafter), 2.200%, 7/22/2027, (EUR) |
565,976 |
| |
|
18,228,659 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Japan — 0.8% | |
| 1,058,370,600 (e) |
Japan Government CPI-Linked Bonds, Series 23, 0.100%, 3/10/2028, (JPY) |
$7,341,076
|
| 693,300,000 |
Japan Government Ten Year Bonds, Series 371, 0.400%, 6/20/2033, (JPY) |
4,478,604 |
| 2,375,000 |
Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028 |
2,202,644 |
| 2,020,000 |
Mizuho Financial Group, Inc., 2.564%, 9/13/2031 |
1,653,590 |
| 2,000,000 |
Nomura Holdings, Inc., 1.851%, 7/16/2025 |
1,905,139 |
| 2,385,000 |
Nomura Holdings, Inc., 2.710%, 1/22/2029 |
2,118,944 |
| 1,200,000 |
Sumitomo Mitsui Financial Group, Inc., 5.766%, 1/13/2033 |
1,250,365 |
| 1,780,000 |
Toyota Motor Corp., 5.123%, 7/13/2033 |
1,878,232 |
| |
|
22,828,594 |
| |
Korea — 0.8% | |
| 1,060,000 |
Kia Corp., 2.750%, 2/14/2027(b) |
988,047 |
| 1,515,000 |
Korea East-West Power Co. Ltd., 1.750%, 5/06/2025(b) |
1,456,425 |
| 2,400,000 |
Korea National Oil Corp., 2.125%, 4/18/2027(b) |
2,200,235 |
| 4,500,000,000 |
Korea Treasury Bonds, Series 2509, 1.125%, 9/10/2025, (KRW) |
3,237,101 |
| 4,450,000,000 |
Korea Treasury Bonds, Series 2809, 3.500%, 9/10/2028, (KRW) |
3,326,059 |
| 13,130,550,000 |
Korea Treasury Bonds, Series 3012, 1.500%, 12/10/2030, (KRW) |
8,674,473 |
| 770,000 |
Shinhan Bank Co. Ltd., 3.875%, 3/24/2026(b) |
744,718 |
| 2,765,000 |
SK Hynix, Inc., 2.375%, 1/19/2031(b) |
2,273,162 |
| 200,000 |
SK Hynix, Inc., 6.375%, 1/17/2028(b) |
205,792 |
| 140,000 |
SK Telecom Co. Ltd., 6.625%, 7/20/2027(b) |
145,816 |
| |
|
23,251,828 |
| |
Luxembourg — 0.2% | |
| 920,000 |
ArcelorMittal SA, 6.750%, 3/01/2041 |
953,755 |
| 1,905,000 |
Blackstone Property Partners Europe Holdings SARL, EMTN, 1.625%, 4/20/2030, (EUR) |
1,710,345 |
| 280,000 |
Logicor Financing SARL, EMTN, 0.875%, 1/14/2031, (EUR) |
240,059 |
| 1,490,000 |
Logicor Financing SARL, EMTN, 1.625%, 1/17/2030, (EUR) |
1,388,932 |
| 955,000 |
Logicor Financing SARL, EMTN, 2.000%, 1/17/2034, (EUR) |
806,263 |
| |
|
5,099,354 |
| |
Mexico — 1.6% | |
| 620,000 |
Alfa SAB de CV, 6.875%, 3/25/2044 |
622,972 |
| 770,000 |
America Movil SAB de CV, 2.125%, 3/10/2028, (EUR) |
790,049 |
| 860,000 |
America Movil SAB de CV, 2.875%, 5/07/2030 |
760,461 |
| 730,000 |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/2025(b) |
727,199 |
| 1,950,000 |
Cemex SAB de CV, 3.875%, 7/11/2031(b) |
1,727,718 |
| 1,990,000 |
Cemex SAB de CV, 5.200%, 9/17/2030(b) |
1,923,539 |
| 855,000 |
Cemex SAB de CV, 5.450%, 11/19/2029 |
842,098 |
| 810,000 |
Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(b)(f) |
782,819 |
| 1,775,000 |
Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030 |
1,576,175 |
| 10,000,000 |
Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
378,965 |
See accompanying notes to financial statements.
| 24
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Mexico — continued | |
| $1,515,000
|
Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031 |
$1,283,023
|
| 840,000 |
Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031(b) |
711,379 |
| 1,707,184 (g) |
Mexico Bonos, Series M, 5.750%, 3/05/2026, (MXN) |
9,496,952 |
| 724,558 (g) |
Mexico Bonos, Series M 20, 7.500%, 6/03/2027, (MXN) |
4,118,717 |
| 1,402,466 (g) |
Mexico Bonos, Series M 20, 8.500%, 5/31/2029, (MXN) |
8,180,862 |
| 637,836 (g) |
Mexico Bonos, Series M 30, 8.500%, 11/18/2038, (MXN) |
3,564,200 |
| 2,665,000 |
Mexico Government International Bonds, 3.250%, 4/16/2030 |
2,372,043 |
| 1,880,000 |
Mexico Government International Bonds, 3.500%, 2/12/2034 |
1,563,627 |
| 196,000 |
Mexico Government International Bonds, 4.000%, 3/15/2115, (EUR) |
166,294 |
| 810,000 |
Mexico Government International Bonds, 4.875%, 5/19/2033 |
766,969 |
| 750,000 |
Mexico Government International Bonds, 6.000%, 5/07/2036 |
751,542 |
| 350,000 |
Mexico Government International Bonds, 6.338%, 5/04/2053 |
345,309 |
| 1,850,000 |
Orbia Advance Corp. SAB de CV, 1.875%, 5/11/2026(b) |
1,694,100 |
| 1,240,000 |
Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027 |
1,175,205 |
| 835,000 |
Sigma Alimentos SA de CV, 4.125%, 5/02/2026 |
808,065 |
| 2,090,000 |
Sigma Finance Netherlands BV, 4.875%, 3/27/2028 |
2,039,124 |
| |
|
49,169,406 |
| |
Netherlands — 0.1% | |
| 870,000 |
Cooperatieve Rabobank UA, 4.375%, 8/04/2025 |
855,010 |
| 1,725,000 |
ING Groep NV, (fixed rate to 7/01/2025, variable rate thereafter), 1.400%, 7/01/2026(b) |
1,638,017 |
| 1,800,000 |
Netherlands Government Bonds, Zero Coupon, 2.523%, 1/15/2029, (EUR)(d) |
1,725,016 |
| |
|
4,218,043 |
| |
New Zealand — 0.5% | |
| 4,200,000 |
Fonterra Co.-operative Group Ltd., MTN, 3.750%, 6/16/2026, (AUD) |
2,692,270 |
| 700,000 |
Fonterra Co.-operative Group Ltd., MTN, 4.000%, 11/02/2027, (AUD) |
445,696 |
| 3,575,000 |
New Zealand Government Bonds, Series 429, 3.000%, 4/20/2029, (NZD) |
2,004,313 |
| 10,700,000 |
New Zealand Government Bonds, Series 524, 0.500%, 5/15/2024, (NZD) |
6,356,265 |
| 6,310,000 |
New Zealand Government Bonds, Series 531, 1.500%, 5/15/2031, (NZD) |
3,096,152 |
| |
|
14,594,696 |
| |
Norway — 0.6% | |
| 3,660,000 |
DNB Bank ASA, (fixed rate to 5/25/2026, variable rate thereafter), 1.535%, 5/25/2027(b) |
3,370,182 |
| 2,790,000 |
Equinor ASA, 3.625%, 4/06/2040 |
2,324,534 |
| 16,500,000 |
Norway Government Bonds, Series 478, 1.500%, 2/19/2026, (NOK) |
1,455,301 |
| 41,750,000 |
Norway Government Bonds, Series 479, 1.750%, 2/17/2027, (NOK) |
3,646,419 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Norway — continued | |
| 36,610,000 |
Norway Government Bonds, Series 480, 2.000%, 4/26/2028, (NOK) |
$3,172,878
|
| 46,500,000 |
Norway Government Bonds, Series 482, 1.375%, 8/19/2030, (NOK) |
3,764,031 |
| 455,000 |
Var Energi ASA, 8.000%, 11/15/2032(b) |
509,309 |
| |
|
18,242,654 |
| |
Paraguay — 0.1% | |
| 1,420,000 |
Paraguay Government International Bonds, 4.950%, 4/28/2031(b) |
1,366,046 |
| 615,000 |
Paraguay Government International Bonds, 5.000%, 4/15/2026(b) |
606,390 |
| |
|
1,972,436 |
| |
Peru — 0.1% | |
| 3,220,000 |
Corp. Financiera de Desarrollo SA, 2.400%, 9/28/2027(b) |
2,874,816 |
| 1,050,000 |
Transportadora de Gas del Peru SA, 4.250%, 4/30/2028(b) |
1,021,235 |
| |
|
3,896,051 |
| |
Poland — 0.3% | |
| 26,400,000 |
Republic of Poland Government Bonds, Series 1030, 1.250%, 10/25/2030, (PLN) |
5,150,297 |
| 12,970,000 |
Republic of Poland Government Bonds, Series 725, 3.250%, 7/25/2025, (PLN) |
3,168,443 |
| |
|
8,318,740 |
| |
Portugal — 0.1% | |
| 3,590,000 |
EDP Finance BV, 1.710%, 1/24/2028(b) |
3,162,503 |
| |
Qatar — 0.1% | |
| 1,770,000 |
Ooredoo International Finance Ltd., 2.625%, 4/08/2031(b) |
1,518,851 |
| 1,600,000 |
QatarEnergy, 2.250%, 7/12/2031(b) |
1,339,216 |
| |
|
2,858,067 |
| |
Romania — 0.0% | |
| 1,100,000 |
Romania Government International Bonds, 2.000%, 4/14/2033, (EUR)(b) |
909,374 |
| |
Singapore — 0.2% | |
| 10,055,000 |
Singapore Government Bonds, 2.125%, 6/01/2026, (SGD) |
7,254,300 |
| |
South Africa — 0.5% | |
| 1,400,000 |
Anglo American Capital PLC, 2.625%, 9/10/2030(b) |
1,191,792 |
| 1,400,000 |
Anglo American Capital PLC, 5.625%, 4/01/2030(b) |
1,418,665 |
| 116,835,000 |
Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) |
4,917,680 |
| 39,185,000 |
Republic of South Africa Government Bonds, Series R213, 7.000%, 2/28/2031, (ZAR) |
1,666,087 |
| 7,585,000 |
Republic of South Africa Government International Bonds, 5.750%, 9/30/2049 |
5,492,511 |
| |
|
14,686,735 |
| |
Spain — 0.4% | |
| 800,000 |
Banco Santander SA, 6.938%, 11/07/2033 |
883,633 |
| 2,000,000 |
Banco Santander SA, (fixed rate to 9/14/2026, variable rate thereafter), 1.722%, 9/14/2027 |
1,824,211 |
| 1,260,000 |
CaixaBank SA, (fixed rate to 1/18/2028, variable rate thereafter), 6.208%, 1/18/2029(b) |
1,285,478 |
| 1,000,000 |
CaixaBank SA, EMTN, (fixed rate to 11/23/2027, variable rate thereafter), 6.250%, 2/23/2033, (EUR) |
1,141,643 |
See accompanying notes to financial statements.
25 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
Spain — continued | |
| 3,700,000 |
Cellnex Telecom SA, EMTN, 1.750%, 10/23/2030, (EUR) |
$3,551,735
|
| 700,000 |
Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR) |
704,903 |
| 2,525,000 |
Spain Government Bonds, 1.950%, 7/30/2030, (EUR) |
2,581,648 |
| |
|
11,973,251 |
| |
Supranationals — 0.3% | |
| 10,030,000 |
International Bank for Reconstruction & Development, 1.200%, 7/22/2026, (CAD) |
6,918,038 |
| 16,750,000 |
Nordic Investment Bank, EMTN, 1.500%, 3/13/2025, (NOK) |
1,497,464 |
| |
|
8,415,502 |
| |
Sweden — 0.1% | |
| 1,200,000 |
Swedbank AB, 6.136%, 9/12/2026(b) |
1,215,963 |
| 2,560,000 |
Sweden Government Bonds, Series 1058, 2.500%, 5/12/2025, (SEK) |
237,326 |
| 38,000,000 |
Sweden Government Bonds, Series 1062, 0.125%, 5/12/2031, (SEK) |
3,038,965 |
| |
|
4,492,254 |
| |
Switzerland — 0.2% | |
| 1,375,000 |
Novartis Capital Corp., 2.000%, 2/14/2027 |
1,280,719 |
| 325,000 |
UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(b) |
394,337 |
| 2,960,000 |
UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032(b) |
2,517,683 |
| 750,000 |
UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(b) |
790,223 |
| 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 |
329,367 |
| |
|
5,312,329 |
| |
Taiwan — 0.1% | |
| 1,925,000 |
TSMC Arizona Corp., 2.500%, 10/25/2031 |
1,645,082 |
| |
Tanzania — 0.0% | |
| 985,000 |
HTA Group Ltd., 7.000%, 12/18/2025(b) |
979,602 |
| |
Trinidad And Tobago — 0.0% | |
| 415,000 |
Trinidad Generation UnLtd, 5.250%, 11/04/2027(b) |
405,145 |
| |
Turkey — 0.3% | |
| 1,010,000 |
Aydem Yenilenebilir Enerji AS, 7.750%, 2/02/2027(b) |
971,513 |
| 1,120,000 |
TC Ziraat Bankasi AS, 5.375%, 3/02/2026(b) |
1,089,200 |
| 1,685,000 |
Turk Telekomunikasyon AS, 6.875%, 2/28/2025 |
1,678,917 |
| 1,415,000 |
Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028 |
1,355,004 |
| 3,480,000 |
Turkiye Government International Bonds, 5.250%, 3/13/2030 |
3,140,700 |
| 680,000 |
Turkiye Government International Bonds, 7.625%, 4/26/2029 |
692,240 |
| |
|
8,927,574 |
| |
United Arab Emirates — 0.0% | |
| 1,295,000 |
Abu Dhabi Government International Bonds, 3.125%, 4/16/2030(b) |
1,190,582 |
| |
United Kingdom — 0.4% | |
| 200,000 |
BAE Systems PLC, 5.250%, 3/26/2031(b) |
200,966 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
United Kingdom — continued | |
| $1,695,000
|
BAE Systems PLC, 5.300%, 3/26/2034(b) |
$1,703,085
|
| 1,350,000 |
CK Hutchison International 19 Ltd., 3.625%, 4/11/2029(b) |
1,268,886 |
| 1,420,000 |
Diageo Capital PLC, 2.125%, 4/29/2032 |
1,158,891 |
| 65,000 |
Macquarie Airfinance Holdings Ltd., 6.400%, 3/26/2029(b) |
66,028 |
| 135,000 |
Macquarie Airfinance Holdings Ltd., 6.500%, 3/26/2031(b) |
137,407 |
| 1,395,000 |
Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030(b) |
1,290,986 |
| 955,000 |
Santander U.K. Group Holdings PLC, (fixed rate to 1/11/2027, variable rate thereafter), 2.469%, 1/11/2028 |
877,617 |
| 1,455,000 |
Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036(b) |
1,221,898 |
| 2,200,000 |
Standard Chartered PLC, (fixed rate to 3/30/2025, variable rate thereafter), 3.971%, 3/30/2026(b) |
2,160,715 |
| 250,000 |
Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR) |
267,786 |
| 235,000 |
U.K. Gilts, 0.250%, 1/31/2025, (GBP) |
286,017 |
| 2,065,000 |
U.K. Gilts, 3.250%, 1/31/2033, (GBP) |
2,485,820 |
| |
|
13,126,102 |
| |
United States — 10.8% | |
| 165,000 |
AES Corp., 3.950%, 7/15/2030(b) |
150,066 |
| 315,000 |
Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(b)(f) |
300,045 |
| 1,915,000 |
Albemarle Corp., 5.050%, 6/01/2032 |
1,836,747 |
| 370,000 |
Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(f) |
317,214 |
| 821,973 |
American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 |
790,574 |
| 210,761 |
American Airlines Pass-Through Trust, Series 2017-1, Class B, 4.950%, 8/15/2026 |
207,741 |
| 279,667 |
American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 |
271,231 |
| 3,975,000 |
Apple, Inc., 2.513%, 8/19/2024, (CAD) |
2,906,617 |
| 260,000 |
Aptiv PLC, 1.600%, 9/15/2028, (EUR) |
258,571 |
| 2,330,000 |
Ares Capital Corp., 3.200%, 11/15/2031 |
1,943,267 |
| 290,000 |
Asbury Automotive Group, Inc., 4.625%, 11/15/2029(b) |
267,619 |
| 425,000 |
Ashland, Inc., 3.375%, 9/01/2031(b) |
359,590 |
| 800,000 |
Bank of America Corp., (fixed rate to 3/08/2032, variable rate thereafter), 3.846%, 3/08/2037 |
707,254 |
| 2,865,000 |
Bank of America Corp., (fixed rate to 9/15/2026, variable rate thereafter), 1.978%, 9/15/2027, (CAD) |
1,975,032 |
| 1,370,000 |
Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 |
1,095,771 |
| 10,000 |
Bausch & Lomb Corp., 8.375%, 10/01/2028(b) |
10,347 |
| 11,400,000 |
Bausch Health Cos., Inc., 4.875%, 6/01/2028(b) |
6,221,023 |
| 930,000 |
Beazer Homes USA, Inc., 7.250%, 10/15/2029 |
942,080 |
| 500,000 |
Block, Inc., 3.500%, 6/01/2031 |
435,172 |
| 4,840,000 |
Blue Owl Capital Corp., 4.250%, 1/15/2026 |
4,694,648 |
See accompanying notes to financial statements.
| 26
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
United States — continued | |
| $1,550,000
|
Blue Owl Technology Finance Corp., 2.500%, 1/15/2027 |
$1,376,237
|
| 2,585,000 |
Blue Owl Technology Finance Corp., 4.750%, 12/15/2025(b) |
2,485,615 |
| 636,000 |
Boeing Co., 3.625%, 2/01/2031 |
559,741 |
| 644,000 |
Boeing Co., 5.705%, 5/01/2040 |
616,399 |
| 1,005,000 |
Boeing Co., 5.805%, 5/01/2050 |
950,858 |
| 1,400,000 |
Boost Newco Borrower LLC, 7.500%, 1/15/2031(b) |
1,465,538 |
| 875,000 |
BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 12.196%, 12/15/2038(b)(h) |
752,363 |
| 3,120,000 |
Broadcom, Inc., 2.450%, 2/15/2031(b) |
2,630,224 |
| 5,205,000 |
Broadcom, Inc., 2.600%, 2/15/2033(b) |
4,227,297 |
| 690,000 |
Broadcom, Inc., 3.187%, 11/15/2036(b) |
549,138 |
| 5,095,000 |
Broadcom, Inc., 3.419%, 4/15/2033(b) |
4,416,853 |
| 4,670,000 |
Broadcom, Inc., 3.469%, 4/15/2034(b) |
4,001,765 |
| 2,485,000 |
Broadcom, Inc., 4.150%, 4/15/2032(b) |
2,305,431 |
| 695,000 |
Carnival Corp., 5.750%, 3/01/2027(b) |
687,866 |
| 150,000 |
Carnival Corp., 7.000%, 8/15/2029(b) |
156,448 |
| 10,570,000 |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(b) |
8,603,346 |
| 6,265,000 |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(b) |
4,729,160 |
| 1,575,000 |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032(b) |
1,285,395 |
| 370,000 |
Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 |
383,672 |
| 270,000 |
Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 |
280,102 |
| 195,000 |
Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 |
207,914 |
| 2,385,000 |
Centene Corp., 2.500%, 3/01/2031 |
1,961,716 |
| 1,480,000 |
Centene Corp., 3.000%, 10/15/2030 |
1,268,947 |
| 1,075,000 |
Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 |
648,563 |
| 895,000 |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 |
793,163 |
| 4,945,000 |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061 |
3,228,981 |
| 265,000 |
Civitas Resources, Inc., 8.625%, 11/01/2030(b) |
284,551 |
| 2,570,000 |
CommScope Technologies LLC, 5.000%, 3/15/2027(b) |
992,637 |
| 1,440,000 |
CommScope, Inc., 4.750%, 9/01/2029(b) |
1,040,227 |
| 2,663,000 |
Continental Resources, Inc., 2.875%, 4/01/2032(b) |
2,170,325 |
| 4,662,000 |
Continental Resources, Inc., 5.750%, 1/15/2031(b) |
4,634,231 |
| 13,550,000 |
CSC Holdings LLC, 3.375%, 2/15/2031(b) |
9,209,846 |
| 2,400,000 |
CSC Holdings LLC, 4.125%, 12/01/2030(b) |
1,716,120 |
| 2,395,000 |
CSC Holdings LLC, 4.500%, 11/15/2031(b) |
1,695,581 |
| 20,310,000 |
CSC Holdings LLC, 4.625%, 12/01/2030(b) |
10,313,706 |
| 1,850,000 |
CSC Holdings LLC, 5.000%, 11/15/2031(b) |
935,235 |
| 595,000 |
CSC Holdings LLC, 5.375%, 2/01/2028(b) |
511,773 |
| 495,000 |
CSC Holdings LLC, 5.750%, 1/15/2030(b) |
262,040 |
| 1,115,000 |
CSC Holdings LLC, 6.500%, 2/01/2029(b) |
944,751 |
| 940,000 |
DH Europe Finance II SARL, 0.750%, 9/18/2031, (EUR) |
851,619 |
| 50,000 |
Dillard's, Inc., 7.000%, 12/01/2028 |
52,064 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
United States — continued | |
| $8,000
|
Dillard's, Inc., 7.750%, 7/15/2026 |
$8,314
|
| 355,000 |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(b) |
335,843 |
| 3,550,000 |
DISH DBS Corp., 5.125%, 6/01/2029 |
1,480,664 |
| 4,115,000 |
DISH DBS Corp., 5.250%, 12/01/2026(b) |
3,240,186 |
| 795,000 |
DISH DBS Corp., 5.750%, 12/01/2028(b) |
546,368 |
| 1,960,000 |
DISH DBS Corp., 7.750%, 7/01/2026 |
1,312,312 |
| 80,000 |
EnLink Midstream LLC, 6.500%, 9/01/2030(b) |
82,279 |
| 575,000 |
EnLink Midstream Partners LP, 5.450%, 6/01/2047 |
500,411 |
| 280,000 |
EPR Properties, 3.600%, 11/15/2031 |
234,013 |
| 1,230,000 |
EQT Corp., 3.625%, 5/15/2031(b) |
1,082,535 |
| 230,000 |
EQT Corp., 5.000%, 1/15/2029 |
225,309 |
| 115,000 |
Everi Holdings, Inc., 5.000%, 7/15/2029(b) |
113,930 |
| 2,570,000 |
Expedia Group, Inc., 2.950%, 3/15/2031 |
2,242,751 |
| 2,710,000 |
Freeport-McMoRan, Inc., 4.375%, 8/01/2028 |
2,603,690 |
| 4,795,000 |
Freeport-McMoRan, Inc., 5.400%, 11/14/2034 |
4,736,822 |
| 390,000 |
Gartner, Inc., 3.625%, 6/15/2029(b) |
353,099 |
| 85,000 |
Gartner, Inc., 3.750%, 10/01/2030(b) |
76,087 |
| 570,000 |
General Motors Financial Co., Inc., 3.100%, 1/12/2032 |
482,790 |
| 760,000 |
General Motors Financial Co., Inc., 6.400%, 1/09/2033 |
796,428 |
| 460,000 |
GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 |
387,241 |
| 105,000 |
Goodyear Tire & Rubber Co., 7.000%, 3/15/2028 |
106,573 |
| 960,000 |
Hess Midstream Operations LP, 4.250%, 2/15/2030(b) |
882,151 |
| 475,000 |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(b) |
425,284 |
| 470,000 |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(b) |
438,323 |
| 360,000 |
Hologic, Inc., 3.250%, 2/15/2029(b) |
322,629 |
| 1,395,000 |
Hyundai Capital America, 6.375%, 4/08/2030(b) |
1,465,558 |
| 7,770,000 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 |
6,624,645 |
| 195,000 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 |
194,102 |
| 3,555,000 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 |
3,212,799 |
| 390,000 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 |
386,841 |
| 1,840,000 |
iHeartCommunications, Inc., 5.250%, 8/15/2027(b) |
1,339,144 |
| 1,055,000 |
Ingersoll Rand, Inc., 5.700%, 8/14/2033 |
1,082,259 |
| 1,310,000 |
Iron Mountain, Inc., 4.875%, 9/15/2029(b) |
1,229,028 |
| 795,000 |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031 |
687,376 |
| 730,000 |
JELD-WEN, Inc., 4.875%, 12/15/2027(b) |
698,471 |
| 1,135,000 |
John Deere Capital Corp., MTN, 0.450%, 6/07/2024 |
1,124,586 |
| 1,440,000 |
Light & Wonder International, Inc., 7.000%, 5/15/2028(b) |
1,450,610 |
| 525,000 |
Light & Wonder International, Inc., 7.250%, 11/15/2029(b) |
538,948 |
| 210,000 |
Light & Wonder International, Inc., 7.500%, 9/01/2031(b) |
218,380 |
| 1,300,000 |
Lithia Motors, Inc., 3.875%, 6/01/2029(b) |
1,172,886 |
See accompanying notes to financial statements.
27 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
United States — continued | |
| $120,000
|
Lithia Motors, Inc., 4.375%, 1/15/2031(b) |
$107,487
|
| 995,000 |
Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(b) |
910,179 |
| 155,000 |
Matador Resources Co., 6.875%, 4/15/2028(b) |
158,577 |
| 580,000 |
Medline Borrower LP/Medline Co-Issuer, Inc., 6.250%, 4/01/2029(b) |
582,597 |
| 615,000 |
Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR) |
624,114 |
| 6,240,000 |
Micron Technology, Inc., 5.875%, 2/09/2033 |
6,457,175 |
| 655,000 |
Molina Healthcare, Inc., 3.875%, 5/15/2032(b) |
570,325 |
| 435,000 |
Molina Healthcare, Inc., 4.375%, 6/15/2028(b) |
408,912 |
| 1,415,000 |
Morgan Stanley, (fixed rate to 9/16/2031, variable rate thereafter), 2.484%, 9/16/2036 |
1,119,102 |
| 345,000 |
MSCI, Inc., 3.250%, 8/15/2033(b) |
284,222 |
| 420,000 |
Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(b) |
411,014 |
| 520,000 |
Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(b) |
471,786 |
| 1,095,000 |
Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028(b) |
1,048,004 |
| 4,600,000 |
NCL Corp. Ltd., 5.875%, 3/15/2026(b) |
4,540,894 |
| 615,000 |
NCL Corp. Ltd., 5.875%, 2/15/2027(b) |
606,685 |
| 715,000 |
NCL Corp. Ltd., 8.125%, 1/15/2029(b) |
756,602 |
| 1,960,000 |
NCL Finance Ltd., 6.125%, 3/15/2028(b) |
1,935,532 |
| 2,020,000 |
Netflix, Inc., 4.875%, 6/15/2030(b) |
2,005,868 |
| 20,000 |
NGPL PipeCo LLC, 7.768%, 12/15/2037(b) |
22,284 |
| 70,000 |
OneMain Finance Corp., 3.500%, 1/15/2027 |
64,981 |
| 85,000 |
OneMain Finance Corp., 3.875%, 9/15/2028 |
75,826 |
| 215,000 |
OneMain Finance Corp., 4.000%, 9/15/2030 |
184,007 |
| 290,000 |
OneMain Finance Corp., 5.375%, 11/15/2029 |
272,662 |
| 860,000 |
OneMain Finance Corp., 6.875%, 3/15/2025 |
868,991 |
| 1,705,000 |
OneMain Finance Corp., 7.125%, 3/15/2026 |
1,735,939 |
| 115,000 |
Outfront Media Capital LLC/Outfront Media Capital Corp., 7.375%, 2/15/2031(b) |
120,454 |
| 400,000 |
Ovintiv, Inc., 6.250%, 7/15/2033 |
415,879 |
| 1,000,000 |
Ovintiv, Inc., 6.500%, 8/15/2034 |
1,060,790 |
| 45,000 |
Ovintiv, Inc., 6.500%, 2/01/2038 |
46,880 |
| 230,000 |
Ovintiv, Inc., 6.625%, 8/15/2037 |
240,099 |
| 30,000 |
Ovintiv, Inc., 7.200%, 11/01/2031 |
32,522 |
| 115,000 |
Ovintiv, Inc., 7.375%, 11/01/2031 |
126,006 |
| 130,000 |
Ovintiv, Inc., 8.125%, 9/15/2030 |
146,656 |
| 1,265,000 |
Pilgrim's Pride Corp., 3.500%, 3/01/2032 |
1,072,113 |
| 315,000 |
Pilgrim's Pride Corp., 4.250%, 4/15/2031 |
283,954 |
| 480,000 |
Plains All American Pipeline LP/PAA Finance Corp., 3.550%, 12/15/2029 |
440,491 |
| 690,000 |
Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 |
632,256 |
| 745,000 |
Post Holdings, Inc., 4.500%, 9/15/2031(b) |
670,122 |
| 2,165,000 |
Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR) |
2,090,764 |
| 1,450,000 |
Prologis Euro Finance LLC, 1.875%, 1/05/2029, (EUR) |
1,453,590 |
| 365,000 |
Prologis LP, 2.250%, 6/30/2029, (GBP) |
407,061 |
| 1,310,000 |
Rand Parent LLC, 8.500%, 2/15/2030(b) |
1,296,127 |
| 430,000 |
Realty Income Corp., 5.125%, 7/06/2034, (EUR) |
506,125 |
| 1,100,000 |
Realty Income Corp., EMTN, 1.625%, 12/15/2030, (GBP) |
1,119,508 |
| 7,695,000 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(b) |
7,109,587 |
| 6,794,000 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 |
6,111,513 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
United States — continued | |
| $2,540,000
|
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(b) |
$2,284,846
|
| 7,011,000 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(b) |
6,107,978 |
| 4,510,000 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(b) |
3,820,380 |
| 2,945,000 |
Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(b) |
2,842,053 |
| 3,280,000 |
Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(b) |
3,241,965 |
| 400,000 |
Royal Caribbean Cruises Ltd., 6.250%, 3/15/2032(b) |
403,184 |
| 1,425,000 |
SBA Communications Corp., 3.125%, 2/01/2029 |
1,257,570 |
| 435,000 |
Sensata Technologies BV, 4.000%, 4/15/2029(b) |
397,193 |
| 105,000 |
Sensata Technologies, Inc., 3.750%, 2/15/2031(b) |
90,825 |
| 140,000 |
Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR) |
149,159 |
| 315,000 |
Southwestern Energy Co., 4.750%, 2/01/2032 |
289,976 |
| 255,000 |
Tapestry, Inc., 3.050%, 3/15/2032 |
209,408 |
| 875,000 |
Targa Resources Corp., 6.125%, 3/15/2033 |
912,863 |
| 265,000 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 |
238,442 |
| 165,000 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 |
157,952 |
| 245,000 |
Thermo Fisher Scientific Finance I BV, 2.000%, 10/18/2051, (EUR) |
190,278 |
| 100,000 |
Thermo Fisher Scientific, Inc., EMTN, 1.500%, 10/01/2039, (EUR) |
82,114 |
| 90,000 |
Time Warner Cable LLC, 4.500%, 9/15/2042 |
66,583 |
| 85,000 |
Time Warner Cable LLC, 5.500%, 9/01/2041 |
70,758 |
| 2,805,000 |
T-Mobile USA, Inc., 3.875%, 4/15/2030 |
2,627,675 |
| 400,000 |
TopBuild Corp., 4.125%, 2/15/2032(b) |
354,077 |
| 405,000 |
TransDigm, Inc., 6.750%, 8/15/2028(b) |
410,345 |
| 4,075,000 |
Travel & Leisure Co., 4.500%, 12/01/2029(b) |
3,747,099 |
| 530,000 |
Travel & Leisure Co., 4.625%, 3/01/2030(b) |
483,921 |
| 240,000 |
TriNet Group, Inc., 3.500%, 3/01/2029(b) |
215,254 |
| 204,749 |
U.S. Airways Pass-Through Trust, Series 2012-2, Class A, 4.625%, 12/03/2026 |
201,356 |
| 12,440,000 |
U.S. Treasury Bonds, 2.250%, 2/15/2052 |
8,182,702 |
| 5,210,000 |
U.S. Treasury Bonds, 3.625%, 5/15/2053 |
4,577,473 |
| 9,980,000 |
U.S. Treasury Bonds, 4.125%, 8/15/2053 |
9,591,716 |
| 5,036,037 |
U.S. Treasury Inflation-Indexed Notes, 1.375%, 7/15/2033(i) |
4,832,978 |
| 5,000,000 |
U.S. Treasury Notes, 4.250%, 1/31/2026 |
4,960,547 |
| 21,415,000 |
U.S. Treasury Notes, 4.625%, 2/28/2026 |
21,397,433 |
| 13,115,000 |
Uber Technologies, Inc., 4.500%, 8/15/2029(b) |
12,443,745 |
| 8,655,000 |
Uber Technologies, Inc., 6.250%, 1/15/2028(b) |
8,690,399 |
| 1,555,000 |
Uber Technologies, Inc., 7.500%, 9/15/2027(b) |
1,592,332 |
| 140,000 |
Uber Technologies, Inc., 8.000%, 11/01/2026(b) |
141,685 |
| 645,000 |
UKG, Inc., 6.875%, 2/01/2031(b) |
657,079 |
| 247,917 |
United Airlines Pass-Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027 |
237,063 |
| 1,090,000 |
United Rentals North America, Inc., 6.125%, 3/15/2034(b) |
1,091,355 |
| 895,000 |
Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(b) |
760,394 |
See accompanying notes to financial statements.
| 28
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
United States — continued | |
| $1,130,000
|
Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(b) |
$1,004,796
|
| 175,000 |
Venture Global Calcasieu Pass LLC, 6.250%, 1/15/2030(b) |
176,061 |
| 3,095,000 |
Verizon Communications, Inc., 2.500%, 5/16/2030, (CAD) |
2,025,008 |
| 895,000 |
VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026(b) |
860,513 |
| 285,000 |
Viper Energy, Inc., 7.375%, 11/01/2031(b) |
296,279 |
| 1,945,000 |
VMware LLC, 2.200%, 8/15/2031 |
1,582,813 |
| 1,270,000 |
Warnermedia Holdings, Inc., 4.279%, 3/15/2032 |
1,134,413 |
| 130,000 |
Western Digital Corp., 2.850%, 2/01/2029 |
113,106 |
| 90,000 |
Western Digital Corp., 3.100%, 2/01/2032 |
72,467 |
| 360,000 |
Western Midstream Operating LP, 4.050%, 2/01/2030 |
335,890 |
| 475,000 |
Western Midstream Operating LP, 5.250%, 2/01/2050 |
424,899 |
| 470,000 |
Western Midstream Operating LP, 5.300%, 3/01/2048 |
412,357 |
| 150,000 |
Western Midstream Operating LP, 5.450%, 4/01/2044 |
137,867 |
| 115,000 |
Western Midstream Operating LP, 5.500%, 8/15/2048 |
101,701 |
| 640,000 |
Western Midstream Operating LP, 6.150%, 4/01/2033 |
656,202 |
| 1,250,000 |
Yum! Brands, Inc., 4.625%, 1/31/2032 |
1,153,523 |
| |
|
328,424,024 |
| |
Uruguay — 0.1% | |
| 1,415,000 |
Uruguay Government International Bonds, 4.375%, 1/23/2031 |
1,383,379 |
| 86,955,000 |
Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) |
2,213,366 |
| |
|
3,596,745 |
| |
Total Non-Convertible Bonds (Identified Cost $893,156,372) |
815,411,726 |
| | ||
| | ||
| Convertible Bonds — 1.8% | ||
| |
United States — 1.8% | |
| 12,590,000 |
BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 |
12,417,517 |
| 1,595,000 |
Carnival Corp., 5.750%, 12/01/2027 |
2,400,475 |
| 23,580,000 |
DISH Network Corp., 3.375%, 8/15/2026 |
14,678,550 |
| 6,285,000 |
DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(j) |
4,588,050 |
| 320,000 |
Etsy, Inc., 0.125%, 9/01/2027 |
267,808 |
| 745,000 |
Etsy, Inc., 0.250%, 6/15/2028 |
586,687 |
| 350,000 |
NCL Corp. Ltd., 1.125%, 2/15/2027 |
330,803 |
| 345,000 |
Northern Oil & Gas, Inc., 3.625%, 4/15/2029 |
420,038 |
| 6,890,000 |
Southwest Airlines Co., 1.250%, 5/01/2025 |
6,972,680 |
| 1,025,000 |
Splunk, Inc., 1.125%, 6/15/2027 |
1,022,232 |
| 655,000 |
Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(j) |
601,290 |
| 11,550,000 |
Teladoc Health, Inc., 1.250%, 6/01/2027 |
9,730,875 |
| 1,018,000 |
Uber Technologies, Inc., Zero Coupon, 1.368%-5.582%, 12/15/2025(j) |
1,142,705 |
| Principal
Amount (‡) |
Description |
Value (†) |
| | ||
| |
United States — continued | |
| $410,000
|
Unity Software, Inc., Zero Coupon, 7.197%-7.334%, 11/15/2026(j) |
$347,475
|
| 120,000 |
Zillow Group, Inc., 1.375%, 9/01/2026 |
147,825 |
| |
Total Convertible Bonds (Identified Cost $69,079,035) |
55,655,010 |
| | ||
| | ||
| Municipals — 0.0% | ||
| |
United States — 0.0% | |
| 120,000 |
Tobacco Settlement Financing Corp., Series A-1, 6.706%-, 6/01/2046 (Identified cost $119,990) |
103,434 |
| |
Total Bonds and Notes (Identified Cost $962,355,397) |
871,170,170 |
| | ||
| | ||
| Senior Loans — 0.3% | ||
| |
Canada — 0.0% | |
| 583,538 |
1011778 B.C. Unlimited Liability Co., 2023 Term Loan B5, 1 mo. USD SOFR + 2.250%, 7.580%, 9/20/2030(h)(k) |
582,954 |
| |
United States — 0.3% | |
| 2,406,228 |
Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.695%, 10/18/2028(h)(k) |
2,406,733 |
| 1,353,766 |
Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.319%, 8/08/2027(h)(k) |
1,354,619 |
| 320,000 |
Foundation Building Materials Holding Co. LLC, 2024 Term Loan B2, 1 mo. USD SOFR + 4.000%, 9.313%, 1/29/2031(h)(k) |
321,120 |
| 341,000 |
GTCR W Merger Sub LLC, USD Term Loan B, 1 mo. USD SOFR + 3.000%, 8.309%, 1/31/2031(h)(k) |
341,924 |
| 1,010,000 |
Hilton Grand Vacations Borrower LLC, 2024 Incremental Term Loan B, 1 mo. USD SOFR + 2.750%, 8.077%, 1/17/2031(h)(k) |
1,011,576 |
| 269,325 |
HUB International Ltd., 2024 Term Loan B, 3 mo. USD SOFR + 3.250%, 8.574%, 6/20/2030(h)(k) |
269,374 |
| 100,000 |
Light & Wonder International, Inc., 2024 Term Loan, 1 mo. USD SOFR + 2.750%, 8.075%, 4/14/2029(h)(k) |
100,097 |
| 1,081,191 |
Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 4.000%, 9.309%, 9/27/2030(h)(k) |
1,073,893 |
| 845,000 |
Summit Materials LLC, 2023 Incremental Term Loan B, 3 mo. USD SOFR + 2.500%, 7.827%, 1/12/2029(h)(k) |
848,591 |
| 94,763 |
TransDigm, Inc., 2023 Term Loan J, 3 mo. USD SOFR + 3.250%, 8.598%, 2/28/2031(h)(k) |
95,202 |
| 163,611 |
TransDigm, Inc., 2024 Term Loan I, 8/24/2028(l) |
164,123 |
| 595,000 |
Truist Insurance Holdings LLC, 1st Lien Term Loan, 3/24/2031(l) |
594,006 |
| 445,879 |
Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.079%, 3/03/2030(h)(k) |
447,600 |
| |
|
9,028,858 |
| |
Total Senior Loans (Identified Cost $9,555,233) |
9,611,812 |
See accompanying notes to financial statements.
29 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
| Shares |
Description |
Value (†) |
| Preferred Stocks — 0.0% | ||
| |
United States — 0.0% | |
| 24,376 |
El Paso Energy Capital Trust I, 4.750%, 3/31/2028 (Identified Cost $1,125,845) |
$1,169,073 |
| Principal
Amount (‡) |
|
|
| Short-Term Investments — 0.7% | ||
| $11,213,758
|
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $11,218,119 on 4/01/2024 collateralized by $12,330,300 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $11,438,084 including accrued interest (Note 2 of Notes to Financial Statements) |
11,213,758 |
| 8,960,000 |
U.S. Treasury Bills, 4.970%, 8/01/2024(m) |
8,803,046 |
| |
Total Short-Term Investments (Identified Cost $20,022,847) |
20,016,804 |
| |
Total Investments — 97.1% (Identified Cost $2,468,426,153) |
2,950,115,771 |
| |
Other assets less liabilities — 2.9% |
88,575,419 |
| |
Net Assets — 100.0% |
$3,038,691,190 |
| (†) |
See Note 2 of Notes to Financial Statements. |
| (‡) |
Principal Amount stated in U.S. dollars unless otherwise
noted. |
| (a)
|
Non-income producing security. |
| (b)
|
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, 2024, the value of Rule 144A holdings amounted to
$299,405,756 or 9.9% of net assets. |
| (c)
|
Amount shown represents units. One unit represents a
principal amount of 1,000. |
| (d)
|
Interest rate represents annualized yield at time of purchase;
not a coupon rate. |
| (e)
|
Amount shown represents principal amount including
inflation adjustments. |
| (f)
|
Perpetual bond with no specified maturity date. |
| (g)
|
Amount shown represents units. One unit represents a
principal amount of 100. |
| (h)
|
Variable rate security. Rate as of March 31, 2024 is disclosed.
Issuers comprised of various lots with differing coupon rates
have been aggregated for the purpose of presentation in the
Portfolio of Investments and show a weighted average rate.
Certain variable rate securities are not based on a published
reference rate and spread, rather are determined by the
issuer or agent and are based on current market conditions.
These securities may not indicate a reference rate and/or
spread in their description. |
| (i)
|
Treasury Inflation Protected Security (TIPS). |
| (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 floor rate which may range from 0.00%
to 1.00%, to which the spread is added. |
| (l)
|
Position is unsettled. Contract rate was not determined at
March 31, 2024 and does not take effect until settlement date.
Maturity date is not finalized until settlement date. |
| (m)
|
Interest rate represents discount rate at time of purchase;
not a coupon rate. |
| 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 |
| COP
|
Colombian Peso |
| EUR
|
Euro |
| GBP
|
British Pound |
| IDR
|
Indonesian Rupiah |
| JPY
|
Japanese Yen |
| KRW
|
South Korean Won |
| MXN
|
Mexican Peso |
| NOK
|
Norwegian Krone |
| NZD
|
New Zealand Dollar |
| PLN
|
Polish Zloty |
| SEK
|
Swedish Krona |
| SGD
|
Singapore Dollar |
| UYU
|
Uruguayan Peso |
| ZAR
|
South African Rand |
At March 31, 2024, 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. |
6/18/2024 |
GBP |
B |
12,366,000 |
$15,872,936
|
$15,614,051
|
$(258,885
) |
| Bank of America N.A. |
6/18/2024 |
JPY |
B |
5,864,309,000 |
40,525,400 |
39,198,093 |
(1,327,307 ) |
| Bank of America N.A. |
6/18/2024 |
KRW |
S |
19,047,379,000 |
14,547,091 |
14,207,424 |
339,667 |
| Bank of America N.A. |
6/18/2024 |
MXN |
S |
256,059,000 |
15,065,662 |
15,217,114 |
(151,452 ) |
| Bank of America N.A. |
6/18/2024 |
MXN |
S |
80,826,000 |
4,803,923 |
4,803,340 |
583 |
| HSBC Bank USA N.A. |
6/18/2024 |
AUD |
S |
13,800,000 |
9,143,190 |
9,012,027 |
131,163 |
| HSBC Bank USA N.A. |
6/18/2024 |
CAD |
B |
6,613,000 |
4,876,988 |
4,887,451 |
10,463 |
| HSBC Bank USA N.A. |
6/18/2024 |
CAD |
S |
39,142,000 |
29,072,117 |
28,928,567 |
143,550 |
| Morgan Stanley Capital Services LLC |
6/18/2024 |
EUR |
B |
89,752,000 |
98,092,025 |
97,126,244 |
(965,781 ) |
See accompanying notes to financial statements.
| 30
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
| Counterparty |
Delivery
Date |
Currency
Bought/
Sold
(B/S) |
Units
of
Currency |
In Exchange
for |
Notional
Value |
Unrealized Appreciation
(Depreciation) | |
| Morgan Stanley Capital Services LLC |
6/18/2024 |
NZD |
S |
6,003,000 |
$3,660,808
|
$3,586,695
|
$74,113
|
| UBS AG |
6/18/2024 |
COP |
S |
30,469,789,000 |
7,677,911 |
7,784,070 |
(106,159 ) |
| UBS AG |
6/20/2024 |
IDR |
S |
100,000,000,000 |
6,405,740 |
6,293,765 |
111,975 |
| Total |
|
|
|
|
|
|
$(1,998,070 ) |
At March 31, 2024, 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 LLC |
6/18/2024 |
NOK |
30,959,000 |
EUR |
2,721,504 |
$2,945,109
|
$88,266 |
At March 31, 2024, open long futures contracts were as
follows:
| Financial Futures |
Expiration
Date |
Contracts |
Notional
Amount |
Value |
Unrealized Appreciation
(Depreciation) |
| CBOT 10 Year U.S. Treasury Notes Futures |
6/18/2024 |
557 |
$61,314,625
|
$61,713,860
|
$399,235
|
| CBOT 2 Year U.S. Treasury Notes Futures |
6/28/2024 |
9 |
1,842,209 |
1,840,359 |
(1,850 ) |
| CBOT U.S. Long Bond Futures |
6/18/2024 |
816 |
97,481,967 |
98,277,000 |
795,033 |
| CME Ultra Long Term U.S. Treasury Bond Futures |
6/18/2024 |
212 |
27,053,138 |
27,348,000 |
294,862 |
| Total |
|
|
|
|
$1,487,280 |
At March 31, 2024, open short futures contracts were as
follows:
| Financial Futures |
Expiration
Date |
Contracts |
Notional
Amount |
Value |
Unrealized Appreciation
(Depreciation) |
| CBOT 5 Year U.S. Treasury Notes Futures |
6/28/2024 |
470 |
$50,562,434
|
$50,297,344
|
$265,090
|
| Ultra 10-Year U.S. Treasury Notes Futures |
6/18/2024 |
651 |
74,442,116 |
74,610,703 |
(168,587 ) |
| Total |
|
|
|
|
$96,503 |
See accompanying notes to financial statements.
31 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Global Allocation Fund (continued)
Industry Summary at March 31, 2024
(Unaudited)
| Semiconductors & Semiconductor Equipment |
7.7 % |
| Treasuries |
7.5 |
| Capital Markets |
7.3 |
| Machinery |
5.8 |
| Life Sciences Tools & Services |
5.5 |
| Software |
5.2 |
| Specialty Retail |
4.4 |
| Broadline Retail |
3.5 |
| IT Services |
3.4 |
| Textiles, Apparel & Luxury Goods |
3.2 |
| Chemicals |
3.1 |
| Interactive Media & Services |
2.9 |
| Financial Services |
2.8 |
| Cable Satellite |
2.7 |
| Hotels, Restaurants & Leisure |
2.4 |
| Banking |
2.3 |
| Health Care Providers & Services |
2.1 |
| Consumer Staples Distribution & Retail |
2.0 |
| Other Investments, less than 2% each |
22.6 |
| Short-Term Investments |
0.7 |
| Total Investments |
97.1 |
| Other assets less liabilities (including forward foreign
currency and futures contracts) |
2.9 |
| Net Assets |
100.0 % |
Currency Exposure Summary at March 31, 2024 (Unaudited)
| United States Dollar |
75.3 % |
| Euro |
7.2 |
| Swedish Krona |
2.6 |
| British Pound |
2.2 |
| Other, less than 2% each |
9.8 |
| Total Investments |
97.1 |
| Other assets less liabilities (including forward foreign
currency and futures contracts) |
2.9 |
| Net Assets |
100.0 % |
See accompanying notes to financial statements.
| 32
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Growth Fund
| Shares |
Description |
Value (†) |
| Common Stocks — 95.7% of Net Assets | ||
| |
Aerospace & Defense — 4.8% | |
| 3,396,753 |
Boeing Co.(a) |
$655,539,361 |
| |
Air Freight & Logistics — 1.4% | |
| 1,520,478 |
Expeditors International of Washington, Inc. |
184,844,510 |
| |
Automobiles — 4.7% | |
| 3,598,490 |
Tesla, Inc.(a) |
632,578,557 |
| |
Beverages — 2.8% | |
| 6,338,451 |
Monster Beverage Corp.(a) |
375,743,375 |
| |
Biotechnology — 4.6% | |
| 299,985 |
Regeneron Pharmaceuticals, Inc.(a) |
288,732,563 |
| 806,609 |
Vertex Pharmaceuticals, Inc.(a) |
337,170,628 |
| |
|
625,903,191 |
| |
Broadline Retail — 6.4% | |
| 1,259,364 |
Alibaba Group Holding Ltd., ADR |
91,127,579 |
| 4,352,171 |
Amazon.com, Inc.(a) |
785,044,605 |
| |
|
876,172,184 |
| |
Capital Markets — 2.5% | |
| 400,624 |
FactSet Research Systems, Inc. |
182,039,539 |
| 2,282,120 |
SEI Investments Co. |
164,084,428 |
| |
|
346,123,967 |
| |
Entertainment — 8.3% | |
| 1,079,726 |
Netflix, Inc.(a) |
655,749,991 |
| 3,864,252 |
Walt Disney Co. |
472,829,875 |
| |
|
1,128,579,866 |
| |
Financial Services — 7.3% | |
| 1,932,920 |
Block, Inc.(a) |
163,486,374 |
| 1,752,987 |
PayPal Holdings, Inc.(a) |
117,432,599 |
| 2,548,394 |
Visa, Inc., Class A |
711,205,797 |
| |
|
992,124,770 |
| |
Health Care Equipment & Supplies — 1.4% | |
| 464,196 |
Intuitive Surgical, Inc.(a) |
185,255,982 |
| |
Hotels, Restaurants & Leisure — 2.9% | |
| 2,146,372 |
Starbucks Corp. |
196,156,937 |
| 1,231,232 |
Yum China Holdings, Inc. |
48,990,721 |
| 1,052,256 |
Yum! Brands, Inc. |
145,895,295 |
| |
|
391,042,953 |
| |
Interactive Media & Services — 13.5% | |
| 3,698,473 |
Alphabet, Inc., Class A(a) |
558,210,530 |
| 1,630,334 |
Alphabet, Inc., Class C(a) |
248,234,655 |
| 2,127,741 |
Meta Platforms, Inc., Class A |
1,033,188,475 |
| |
|
1,839,633,660 |
| |
IT Services — 1.8% | |
| 3,204,521 |
Shopify, Inc., Class A(a) |
247,292,886 |
| |
Life Sciences Tools & Services — 2.5% | |
| 1,129,811 |
Illumina, Inc.(a) |
155,145,647 |
| 313,658 |
Thermo Fisher Scientific, Inc. |
182,301,166 |
| |
|
337,446,813 |
| |
Machinery — 0.6% | |
| 187,498 |
Deere & Co. |
77,012,929 |
| |
Pharmaceuticals — 4.0% | |
| 1,520,581 |
Novartis AG, ADR |
147,085,800 |
| 2,285,799 |
Novo Nordisk AS, ADR |
293,496,592 |
| 3,459,020 |
Roche Holding AG, ADR |
110,411,918 |
| |
|
550,994,310 |
| Shares |
Description |
Value (†) |
| |
Semiconductors & Semiconductor Equipment — 9.4% | |
| 1,139,293 |
NVIDIA Corp. |
$1,029,419,583
|
| 1,471,862 |
QUALCOMM, Inc. |
249,186,237 |
| |
|
1,278,605,820 |
| |
Software — 16.8% | |
| 1,533,394 |
Autodesk, Inc.(a) |
399,326,465 |
| 1,636,595 |
Microsoft Corp. |
688,548,248 |
| 4,610,193 |
Oracle Corp. |
579,086,343 |
| 1,539,482 |
Salesforce, Inc. |
463,661,189 |
| 534,272 |
Workday, Inc., Class A(a) |
145,722,688 |
| |
|
2,276,344,933 |
| |
Total Common Stocks (Identified Cost $6,224,911,478) |
13,001,240,067 |
| | ||
| | ||
| Affiliated Exchange-Traded Funds — 1.0% | ||
| 4,284,398 |
Natixis Loomis Sayles Focused Growth ETF (Identified Cost $133,847,928) |
137,355,657 |
| Principal
Amount |
|
|
| Short-Term Investments — 2.4% | ||
| $323,090,591
|
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $323,216,237 on 04/01/2024 collateralized by $222,875,600 U.S. Treasury Inflation Indexed Note, 0.125% due 04/15/2026 valued at $251,133,215; $78,374,000 U.S. Treasury Note, 3.750% due 04/15/2026 valued at $78,419,270 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $323,090,591) |
323,090,591 |
| |
Total Investments — 99.1% (Identified Cost $6,681,849,997) |
13,461,686,315 |
| |
Other assets less liabilities — 0.9% |
119,173,503 |
| |
Net Assets — 100.0% |
$13,580,859,818 |
| (†) |
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. |
| ETF
|
Exchange-Traded Fund |
See accompanying notes to financial statements.
33 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Growth Fund (continued)
Industry Summary at March 31, 2024
(Unaudited)
| Software |
16.8 % |
| Interactive Media & Services |
13.5 |
| Semiconductors & Semiconductor Equipment |
9.4 |
| Entertainment |
8.3 |
| Financial Services |
7.3 |
| Broadline Retail |
6.4 |
| Aerospace & Defense |
4.8 |
| Automobiles |
4.7 |
| Biotechnology |
4.6 |
| Pharmaceuticals |
4.0 |
| Hotels, Restaurants & Leisure |
2.9 |
| Beverages |
2.8 |
| Capital Markets |
2.5 |
| Life Sciences Tools & Services |
2.5 |
| Other Investments, less than 2% each |
5.2 |
| Short-Term Investments |
2.4 |
| Affiliated Exchange-Traded Funds |
1.0 |
| Total Investments |
99.1 |
| Other assets less liabilities |
0.9 |
| Net Assets |
100.0 % |
See accompanying notes to financial statements.
| 34
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Intermediate Duration Bond Fund
| Principal
Amount |
Description |
Value (†) |
| Bonds and Notes — 97.8% of Net Assets | ||
| |
ABS Car Loan — 9.3% | |
| $255,000
|
Ally Auto Receivables Trust, Series 2022-3, Class A3, 5.070%, 4/15/2027 |
$254,167
|
| 80,000 |
American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) |
80,762 |
| 420,000 |
American Credit Acceptance Receivables Trust, Series 2023-3, Class C, 6.440%, 10/12/2029(a) |
423,637 |
| 250,000 |
American Credit Acceptance Receivables Trust, Series 2023-4, Class B, 6.630%, 2/14/2028(a) |
252,908 |
| 215,000 |
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027 |
209,287 |
| 520,000 |
AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027 |
482,671 |
| 335,000 |
AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3, 4.380%, 4/18/2028 |
331,913 |
| 870,000 |
AmeriCredit Automobile Receivables Trust, Series 2023-1, Class B, 5.570%, 3/20/2028 |
876,518 |
| 1,210,000 |
Avis Budget Rental Car Funding AESOP LLC, Series 2023-3A, Class A, 5.440%, 2/22/2028(a) |
1,217,013 |
| 1,185,000 |
Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class A3, 6.510%, 11/15/2027 |
1,192,981 |
| 1,055,000 |
CarMax Auto Owner Trust, Series 2023-2, Class A3, 5.050%, 1/18/2028 |
1,051,765 |
| 170,000 |
CarMax Auto Owner Trust, Series 2023-3, Class A3, 5.280%, 5/15/2028 |
170,384 |
| 66,179 |
Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 |
62,706 |
| 299,521 |
Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027 |
291,074 |
| 471,124 |
Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027(a) |
472,237 |
| 675,000 |
Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027(a) |
677,945 |
| 160,000 |
Citizens Auto Receivables Trust, Series 2024-1, Class A3, 5.110%, 4/17/2028(a) |
160,207 |
| 845,000 |
Credit Acceptance Auto Loan Trust, Series 2022-3A, Class A, 6.570%, 10/15/2032(a) |
850,153 |
| 710,000 |
Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A, 6.480%, 3/15/2033(a) |
717,689 |
| 465,000 |
Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B, 6.610%, 7/15/2033(a) |
469,736 |
| 130,000 |
Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C, 7.620%, 12/15/2033(a) |
133,846 |
| 235,000 |
Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A, 5.680%, 3/15/2034(a) |
235,838 |
| 410,000 |
DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027(a) |
398,889 |
| 630,000 |
DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028(a) |
633,011 |
| 345,000 |
DT Auto Owner Trust, Series 2023-2A, Class B, 5.410%, 2/15/2029(a) |
343,128 |
| 680,000 |
Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.970%, 3/15/2027 |
679,662 |
| 360,000 |
Exeter Automobile Receivables Trust, Series 2023-1A, Class B, 5.720%, 4/15/2027 |
359,532 |
| 380,000 |
Exeter Automobile Receivables Trust, Series 2023-2A, Class B, 5.610%, 9/15/2027 |
378,582 |
| 355,000 |
Exeter Automobile Receivables Trust, Series 2023-5A, Class A3, 6.320%, 3/15/2027 |
357,450 |
| 126,382 |
Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027(a) |
125,334 |
| Principal
Amount |
Description |
Value (†) |
| |
ABS Car Loan — continued | |
| $490,000
|
Flagship Credit Auto Trust, Series 2022-4, Class A3, 6.320%, 6/15/2027(a) |
$492,952
|
| 430,000 |
Flagship Credit Auto Trust, Series 2023-1, Class A3, 5.010%, 8/16/2027(a) |
427,100 |
| 450,000 |
Flagship Credit Auto Trust, Series 2023-2, Class C, 5.810%, 5/15/2029(a) |
449,392 |
| 595,000 |
Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031(a) |
584,073 |
| 570,000 |
Ford Credit Auto Owner Trust, Series 2021-1, Class A, 1.370%, 10/17/2033(a) |
527,914 |
| 226,999 |
Foursight Capital Automobile Receivables Trust, Series 2022-1, Class A3, 1.830%, 12/15/2026(a) |
224,033 |
| 340,000 |
Foursight Capital Automobile Receivables Trust, Series 2022-2, Class A3, 4.590%, 6/15/2027(a) |
337,362 |
| 380,000 |
GECU Auto Receivables Trust, Series 2023-1A, Class A3, 5.630%, 8/15/2028(a) |
380,968 |
| 224,344 |
GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026(a) |
223,459 |
| 160,000 |
GLS Auto Receivables Issuer Trust, Series 2024-1A, Class A3, 5.400%, 9/15/2027(a) |
159,760 |
| 280,000 |
GM Financial Automobile Leasing Trust, Series 2023-2, Class A3, 5.050%, 7/20/2026 |
278,946 |
| 630,000 |
GM Financial Revolving Receivables Trust, Series 2024-1, Class A, 4.980%, 12/11/2036(a) |
633,400 |
| 265,000 |
Harley-Davidson Motorcycle Trust, Series 2023-B, Class A3, 5.690%, 8/15/2028 |
267,687 |
| 215,000 |
Harley-Davidson Motorcycle Trust, Series 2023-B, Class A4, 5.780%, 4/15/2031 |
219,537 |
| 715,000 |
Hertz Vehicle Financing III LLC, Series 2023-3A, Class A, 5.940%, 2/25/2028(a) |
726,034 |
| 260,000 |
Huntington Auto Trust, Series 2024-1A, Class A3, 5.230%, 1/16/2029(a) |
260,259 |
| 225,000 |
LAD Auto Receivables Trust, Series 2023-4A, Class B, 6.390%, 10/16/2028(a) |
228,835 |
| 115,000 |
LAD Auto Receivables Trust, Series 2024-1A, Class A4, 5.170%, 9/15/2028(a) |
114,171 |
| 250,000 |
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.180%, 8/25/2028(a) |
252,077 |
| 430,000 |
Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028(a) |
412,441 |
| 340,000 |
Prestige Auto Receivables Trust, Series 2023-1A, Class C, 5.650%, 2/15/2028(a) |
338,097 |
| 560,000 |
Santander Drive Auto Receivables Trust, Series 2022-4, Class B, 4.420%, 11/15/2027 |
553,687 |
| 115,000 |
Santander Drive Auto Receivables Trust, Series 2023-1, Class C, 5.090%, 5/15/2030 |
113,690 |
| 170,000 |
Santander Drive Auto Receivables Trust, Series 2023-3, Class C, 5.770%, 11/15/2030 |
171,273 |
| 540,000 |
Santander Drive Auto Receivables Trust, Series 2023-4, Class B, 5.770%, 12/15/2028 |
543,757 |
| 590,000 |
Santander Drive Auto Receivables Trust, Series 2023-5, Class B, 6.160%, 12/17/2029 |
603,110 |
| 215,000 |
SBNA Auto Lease Trust, Series 2024-A, Class A3, 5.390%, 11/20/2026(a) |
215,036 |
| 145,000 |
SBNA Auto Receivables Trust, Series 2024-A, Class B, 5.290%, 9/17/2029(a) |
144,810 |
| 420,000 |
SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A3, 5.470%, 10/20/2028(a) |
421,870 |
| 440,000 |
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033(a) |
419,861 |
| 370,000 |
Toyota Auto Receivables Owner Trust, Series 2023-C, Class A3, 5.160%, 4/17/2028 |
370,191 |
See accompanying notes to financial statements.
35 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Intermediate Duration Bond Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
ABS Car Loan — continued | |
| $320,000
|
United Auto Credit Securitization Trust, Series 2022-2, Class C, 5.810%, 5/10/2027(a) |
$319,138
|
| 90,000 |
VStrong Auto Receivables Trust, Series 2024-A, Class B, 5.770%, 7/15/2030(a) |
90,219 |
| 695,000 |
Westlake Automobile Receivables Trust, Series 2023-3A, Class C, 6.020%, 9/15/2028(a) |
700,058 |
| 95,000 |
Westlake Flooring Master Trust, Series 2024-1A, Class A, 5.430%, 2/15/2028(a) |
95,244 |
| 380,000 |
World Omni Automobile Lease Securitization Trust, Series 2023-A, Class A3, 5.070%, 9/15/2026 |
378,827 |
| 360,000 |
World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027 |
346,200 |
| |
|
26,916,493 |
| |
ABS Credit Card — 0.3% | |
| 720,000 |
Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1, 6.050%, 7/15/2027(a) |
719,783 |
| 230,000 |
Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028(a) |
231,898 |
| |
|
951,681 |
| |
ABS Home Equity — 0.0% | |
| 1,457 |
Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c) |
1,422 |
| |
ABS Other — 3.9% | |
| 125,000 |
Affirm Asset Securitization Trust, Series 2022-A, Class A, 4.300%, 5/17/2027(a) |
124,224 |
| 105,000 |
Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028(a) |
105,635 |
| 320,000 |
Affirm Asset Securitization Trust, Series 2023-B, Class A, 6.820%, 9/15/2028(a) |
324,800 |
| 140,851 |
Affirm Asset Securitization Trust, Series 2023-X1, Class A, 7.110%, 11/15/2028(a) |
141,571 |
| 150,000 |
Affirm Asset Securitization Trust, Series 2024-A, Class A, 5.610%, 2/15/2029(a) |
149,922 |
| 251,179 |
Aqua Finance Trust, Series 2021-A, Class A, 1.540%, 7/17/2046(a) |
224,555 |
| 170,000 |
Auxilior Term Funding LLC, Series 2023-1A, Class A2, 6.180%, 12/15/2028(a) |
170,842 |
| 46,889 |
BHG Securitization Trust, Series 2022-C, Class A, 5.320%, 10/17/2035(a) |
46,730 |
| 155,000 |
BHG Securitization Trust, Series 2024-1CON, Class A, 5.810%, 4/17/2035(a) |
155,545 |
| 7,091 |
Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032(a) |
7,073 |
| 347,879 |
Chesapeake Funding II LLC, Series 2023-1A, Class A1, 5.650%, 5/15/2035(a) |
348,251 |
| 500,000 |
Daimler Trucks Retail Trust, Series 2023-1, Class A4, 5.930%, 12/16/2030 |
505,632 |
| 735,000 |
Dell Equipment Finance Trust, Series 2023-3, Class A3, 5.930%, 4/23/2029(a) |
743,039 |
| 645,000 |
DLLMT LLC, Series 2023-1A, Class A3, 5.340%, 3/22/2027(a) |
640,871 |
| 39,017 |
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034(a) |
38,865 |
| 120,723 |
Enterprise Fleet Financing LLC, Series 2022-3, Class A2, 4.380%, 7/20/2029(a) |
119,435 |
| 423,322 |
Enterprise Fleet Financing LLC, Series 2023-2, Class A2, 5.560%, 4/22/2030(a) |
423,737 |
| 150,000 |
Enterprise Fleet Financing LLC, Series 2024-1, Class A3, 5.160%, 9/20/2030(a) |
149,679 |
| 630,000 |
Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) |
635,681 |
| Principal
Amount |
Description |
Value (†) |
| |
ABS Other — continued | |
| $69,406
|
Hilton Grand Vacations Trust, Series 2022-2A, Class C, 5.570%, 1/25/2037(a) |
$68,123
|
| 455,000 |
M&T Equipment Notes, Series 2023-1A, Class A3, 5.740%, 7/15/2030(a) |
456,352 |
| 19,725 |
Marlette Funding Trust, Series 2022-3A, Class A, 5.180%, 11/15/2032(a) |
19,693 |
| 760,000 |
Merchants Fleet Funding LLC, Series 2023-1A, Class A, 7.210%, 5/20/2036(a) |
764,948 |
| 43,472 |
MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037(a) |
40,741 |
| 150,000 |
MVW LLC, Series 2024-1A, Class A, 5.320%, 2/20/2043(a) |
150,581 |
| 1,135,000 |
OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.130%, 5/14/2035(a) |
1,113,242 |
| 100,000 |
Post Road Equipment Finance LLC, Series 2024-1A, Class A2, 5.590%, 11/15/2029(a) |
99,817 |
| 263,334 |
SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029(a) |
258,754 |
| 1,165,000 |
SCF Equipment Leasing LLC, Series 2023-1A, Class A2, 6.560%, 1/22/2030(a) |
1,176,577 |
| 315,000 |
SEB Funding LLC, Series 2024-1A, Class A2, 7.386%, 4/30/2054(a) |
318,215 |
| 50,258 |
Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037(a) |
48,163 |
| 885,000 |
Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) |
885,425 |
| 795,000 |
Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.640%, 4/20/2054(a) |
794,675 |
| |
|
11,251,393 |
| |
ABS Student Loan — 0.1% | |
| 79,872 |
Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033 |
74,860 |
| 43,818 |
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069(a) |
39,510 |
| 52,208 |
Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069(a) |
48,187 |
| |
|
162,557 |
| |
ABS Whole Business — 0.2% | |
| 505,575 |
Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048(a) |
494,505 |
| |
Aerospace & Defense — 0.5% | |
| 475,000 |
BAE Systems PLC, 5.125%, 3/26/2029(a) |
476,748 |
| 1,015,000 |
L3Harris Technologies, Inc., 5.250%, 6/01/2031 |
1,013,118 |
| |
|
1,489,866 |
| |
Agency Commercial Mortgage-Backed Securities — 0.5% | |
| 701,647 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024 |
688,882 |
| 911,498 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027 |
871,194 |
| |
|
1,560,076 |
| |
Apartment REITs — 0.1% | |
| 225,000 |
Invitation Homes Operating Partnership LP, 2.000%, 8/15/2031 |
178,783 |
| |
Automotive — 3.5% | |
| 730,000 |
American Honda Finance Corp., 4.900%, 3/13/2029 |
727,932 |
| 605,000 |
BMW U.S. Capital LLC, 4.900%, 4/02/2029(a) |
604,486 |
See accompanying notes to financial statements.
| 36
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Intermediate Duration Bond Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Automotive — continued | |
| $735,000
|
Daimler Truck Finance North America LLC, 5.200%, 1/17/2025(a) |
$732,381
|
| 665,000 |
Denso Corp., 1.239%, 9/16/2026(a) |
602,593 |
| 730,000 |
Ford Motor Credit Co. LLC, 6.798%, 11/07/2028 |
761,955 |
| 270,000 |
General Motors Financial Co., Inc., 6.050%, 10/10/2025 |
271,999 |
| 785,000 |
General Motors Financial Co., Inc., 6.100%, 1/07/2034 |
806,032 |
| 180,000 |
Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025(a) |
174,598 |
| 570,000 |
Harley-Davidson Financial Services, Inc., 6.500%, 3/10/2028(a) |
585,041 |
| 255,000 |
Hyundai Capital America, 5.950%, 9/21/2026(a) |
257,964 |
| 240,000 |
Kia Corp., 1.000%, 4/16/2024(a) |
239,546 |
| 495,000 |
LKQ Corp., 5.750%, 6/15/2028 |
503,753 |
| 420,000 |
Magna International, Inc., 5.050%, 3/14/2029 |
419,781 |
| 285,000 |
Mercedes-Benz Finance North America LLC, 5.000%, 1/11/2034(a) |
282,603 |
| 150,000 |
Mercedes-Benz Finance North America LLC, 5.100%, 8/03/2028(a) |
150,556 |
| 315,000 |
Nissan Motor Acceptance Co. LLC, 7.050%, 9/15/2028(a) |
329,264 |
| 740,000 |
PACCAR Financial Corp., MTN, 4.600%, 1/31/2029 |
735,066 |
| 445,000 |
Toyota Motor Credit Corp., MTN, 4.650%, 1/05/2029 |
442,276 |
| 370,000 |
Toyota Motor Credit Corp., MTN, 5.000%, 8/14/2026 |
370,394 |
| 965,000 |
Volkswagen Group of America Finance LLC, 5.250%, 3/22/2029(a) |
965,683 |
| |
|
9,963,903 |
| |
Banking — 13.5% | |
| 800,000 |
ABN AMRO Bank NV, (fixed rate to 9/18/2026, variable rate thereafter), 6.339%, 9/18/2027(a) |
813,727 |
| 200,000 |
AIB Group PLC, (fixed rate to 3/28/2034, variable rate thereafter), 5.871%, 3/28/2035(a) |
200,560 |
| 200,000 |
AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(a) |
208,493 |
| 700,000 |
AIB Group PLC, (fixed rate to 10/14/2025, variable rate thereafter), 7.583%, 10/14/2026(a) |
718,216 |
| 360,000 |
Ally Financial, Inc., (fixed rate to 1/03/2029, variable rate thereafter), 6.848%, 1/03/2030 |
370,500 |
| 215,000 |
Ally Financial, Inc., 7.100%, 11/15/2027 |
224,646 |
| 325,000 |
ANZ New Zealand International Ltd., 5.355%, 8/14/2028(a) |
328,656 |
| 355,000 |
ASB Bank Ltd., (fixed rate to 6/17/2027, variable rate thereafter), 5.284%, 6/17/2032(a) |
349,476 |
| 1,000,000 |
Banco Bilbao Vizcaya Argentaria SA, 5.381%, 3/13/2029 |
1,008,883 |
| 1,000,000 |
Banco Santander SA, (fixed rate to 3/14/2029, variable rate thereafter), 5.538%, 3/14/2030 |
1,000,100 |
| 840,000 |
Bank of America Corp., MTN, (fixed rate to 4/02/2025, variable rate thereafter), 3.384%, 4/02/2026 |
821,577 |
| 675,000 |
Bank of America Corp., (fixed rate to 1/23/2034, variable rate thereafter), 5.468%, 1/23/2035 |
679,400 |
| 710,000 |
Bank of Ireland Group PLC, (fixed rate to 3/20/2029, variable rate thereafter), 5.601%, 3/20/2030(a) |
709,304 |
| 315,000 |
Bank of Ireland Group PLC, (fixed rate to 9/16/2025, variable rate thereafter), 6.253%, 9/16/2026(a) |
316,814 |
| 570,000 |
Bank of New York Mellon Corp., (fixed rate to 4/26/2026, variable rate thereafter), 4.947%, 4/26/2027 |
567,398 |
| Principal
Amount |
Description |
Value (†) |
| |
Banking — continued | |
| $370,000
|
Bank of New York Mellon Corp., MTN, (fixed rate to 3/14/2029, variable rate thereafter), 4.975%, 3/14/2030 |
$370,318
|
| 250,000 |
Bank of New Zealand, 2.285%, 1/27/2027(a) |
231,421 |
| 565,000 |
BNP Paribas SA, (fixed rate to 1/09/2029, variable rate thereafter), 5.176%, 1/09/2030(a) |
565,040 |
| 435,000 |
BNP Paribas SA, (fixed rate to 2/20/2034, variable rate thereafter), 5.738%, 2/20/2035(a) |
437,906 |
| 465,000 |
CaixaBank SA, (fixed rate to 6/15/2034, variable rate thereafter), 6.037%, 6/15/2035(a) |
469,141 |
| 605,000 |
Capital One Financial Corp., (fixed rate to 10/29/2026, variable rate thereafter), 7.149%, 10/29/2027 |
629,630 |
| 1,265,000 |
Citibank NA, 5.488%, 12/04/2026 |
1,278,526 |
| 530,000 |
Citizens Financial Group, Inc., (fixed rate to 5/21/2032, variable rate thereafter), 5.641%, 5/21/2037 |
494,712 |
| 365,000 |
Comerica, Inc., (fixed rate to 1/30/2029, variable rate thereafter), 5.982%, 1/30/2030 |
360,611 |
| 485,000 |
Credit Agricole SA, 5.365%, 3/11/2034(a) |
486,416 |
| 485,000 |
Credit Agricole SA, (fixed rate to 10/03/2028, variable rate thereafter), 6.316%, 10/03/2029(a) |
502,809 |
| 335,000 |
Credit Suisse AG, 5.000%, 7/09/2027 |
331,947 |
| 800,000 |
Danske Bank AS, (fixed rate to 9/10/2024, variable rate thereafter), 0.976%, 9/10/2025(a) |
782,202 |
| 595,000 |
Danske Bank AS, (fixed rate to 3/01/2029, variable rate thereafter), 5.705%, 3/01/2030(a) |
598,802 |
| 445,000 |
Deutsche Bank AG, (fixed rate to 2/08/2027, variable rate thereafter), 5.706%, 2/08/2028 |
444,354 |
| 590,000 |
DNB Bank ASA, (fixed rate to 9/16/2025, variable rate thereafter), 1.127%, 9/16/2026(a) |
553,114 |
| 720,000 |
Federation des Caisses Desjardins du Quebec, 5.700%, 3/14/2028(a) |
731,275 |
| 1,650,000 |
Goldman Sachs Group, Inc., (fixed rate to 8/10/2025, variable rate thereafter), 5.798%, 8/10/2026 |
1,655,348 |
| 430,000 |
HSBC Holdings PLC, (fixed rate to 8/14/2026, variable rate thereafter), 5.887%, 8/14/2027 |
433,761 |
| 520,000 |
HSBC USA, Inc., 3.750%, 5/24/2024 |
518,814 |
| 525,000 |
HSBC USA, Inc., 5.625%, 3/17/2025 |
525,950 |
| 290,000 |
Huntington Bancshares, Inc., (fixed rate to 8/21/2028, variable rate thereafter), 6.208%, 8/21/2029 |
296,818 |
| 290,000 |
Huntington National Bank, 5.650%, 1/10/2030 |
291,619 |
| 245,000 |
Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) |
264,821 |
| 550,000 |
JPMorgan Chase & Co., (fixed rate to 6/01/2028, variable rate thereafter), 2.069%, 6/01/2029 |
487,879 |
| 1,685,000 |
JPMorgan Chase Bank NA, 5.110%, 12/08/2026 |
1,689,838 |
| 435,000 |
KeyBank NA, 5.850%, 11/15/2027 |
431,404 |
| 1,110,000 |
Morgan Stanley, (fixed rate to 7/20/2028, variable rate thereafter), 5.449%, 7/20/2029 |
1,119,734 |
| 820,000 |
Morgan Stanley Bank NA, 5.882%, 10/30/2026 |
835,808 |
| 925,000 |
National Australia Bank Ltd., 4.900%, 6/13/2028 |
926,844 |
| 1,130,000 |
National Bank of Canada, (fixed rate to 6/09/2024, variable rate thereafter), 3.750%, 6/09/2025 |
1,125,017 |
| 410,000 |
National Bank of Canada, 5.600%, 12/18/2028 |
416,791 |
| 495,000 |
Nationwide Building Society, (fixed rate to 10/18/2026, variable rate thereafter), 6.557%, 10/18/2027(a) |
507,831 |
| 565,000 |
NatWest Group PLC, MTN, (fixed rate to 3/01/2034, variable rate thereafter), 5.778%, 3/01/2035 |
572,872 |
| 935,000 |
NatWest Markets PLC, 1.600%, 9/29/2026(a) |
854,871 |
See accompanying notes to financial statements.
37 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Intermediate Duration Bond Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Banking — continued | |
| $210,000
|
Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032 |
$195,742
|
| 375,000 |
Santander Holdings USA, Inc., (fixed rate to 1/09/2029, variable rate thereafter), 6.174%, 1/09/2030 |
378,380 |
| 220,000 |
Societe Generale SA, (fixed rate to 1/19/2034, variable rate thereafter), 6.066%, 1/19/2035(a) |
221,310 |
| 415,000 |
Standard Chartered PLC, (fixed rate to 2/08/2029, variable rate thereafter), 7.018%, 2/08/2030(a) |
439,178 |
| 885,000 |
State Street Corp., 4.993%, 3/18/2027 |
886,714 |
| 400,000 |
Sumitomo Mitsui Trust Bank Ltd., 5.200%, 3/07/2027(a) |
400,331 |
| 835,000 |
Swedbank AB, 5.407%, 3/14/2029(a) |
834,985 |
| 325,000 |
Swedbank AB, 6.136%, 9/12/2026(a) |
329,323 |
| 560,000 |
Synchrony Bank, 5.400%, 8/22/2025 |
554,949 |
| 285,000 |
Synchrony Financial, 4.875%, 6/13/2025 |
280,760 |
| 1,445,000 |
Toronto-Dominion Bank, GMTN, 4.994%, 4/05/2029 |
1,445,087 |
| 630,000 |
Truist Financial Corp., MTN, (fixed rate to 1/26/2033, variable rate thereafter), 5.122%, 1/26/2034 |
606,393 |
| 525,000 |
Truist Financial Corp., MTN, (fixed rate to 10/30/2028, variable rate thereafter), 7.161%, 10/30/2029 |
559,861 |
| 585,000 |
UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026(a) |
557,164 |
| 655,000 |
Wells Fargo & Co., MTN, (fixed rate to 4/25/2025, variable rate thereafter), 3.908%, 4/25/2026 |
642,855 |
| |
|
38,875,026 |
| |
Brokerage — 0.5% | |
| 310,000 |
Cantor Fitzgerald LP, 7.200%, 12/12/2028(a) |
320,701 |
| 285,000 |
Jefferies Financial Group, Inc., 5.875%, 7/21/2028 |
290,124 |
| 350,000 |
Lseg U.S. Fin Corp., 5.297%, 3/28/2034(a) |
352,208 |
| 430,000 |
TPG Operating Group II LP, 5.875%, 3/05/2034 |
436,076 |
| |
|
1,399,109 |
| |
Chemicals — 0.4% | |
| 240,000 |
Cabot Corp., 4.000%, 7/01/2029 |
226,531 |
| 1,015,000 |
LYB International Finance III LLC, 5.500%, 3/01/2034 |
1,016,877 |
| |
|
1,243,408 |
| |
Collateralized Mortgage Obligations — 0.6% | |
| 79,239 |
Government National Mortgage Association, Series 2014-H14, Class FA, 1 mo. USD SOFR + 0.614%, 5.963%, 7/20/2064(c) |
79,136 |
| 72,154 |
Government National Mortgage Association, Series 2014-H15, Class FA, 1 mo. USD SOFR + 0.614%, 5.944%, 7/20/2064(c) |
72,057 |
| 174 |
Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(b) |
156 |
| 80,828 |
Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 |
77,894 |
| 238,110 |
Government National Mortgage Association, Series 2016-H06, Class FC, 1 mo. USD SOFR + 1.034%, 6.364%, 2/20/2066(c) |
237,879 |
| 748,443 |
Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(c) |
710,230 |
| 128,440 |
Government National Mortgage Association, Series 2019-H01, Class FL, 1 mo. USD SOFR + 0.564%, 5.894%, 12/20/2068(c) |
128,386 |
| Principal
Amount |
Description |
Value (†) |
| |
Collateralized Mortgage Obligations — continued | |
| $175,008
|
Government National Mortgage Association, Series 2019-H01, Class FT, 1 mo. USD SOFR + 0.514%, 5.844%, 10/20/2068(c) |
$174,751
|
| 380,631 |
Government National Mortgage Association, Series 2019-H10, Class FM, 1 mo. USD SOFR + 0.514%, 5.844%, 5/20/2069(c) |
379,515 |
| |
|
1,860,004 |
| |
Construction Machinery — 0.7% | |
| 475,000 |
Caterpillar Financial Services Corp., 4.850%, 2/27/2029 |
477,725 |
| 480,000 |
CNH Industrial Capital LLC, 5.500%, 1/12/2029 |
486,877 |
| 1,010,000 |
John Deere Capital Corp., MTN, 4.900%, 3/07/2031 |
1,010,275 |
| |
|
1,974,877 |
| |
Consumer Cyclical Services — 0.1% | |
| 150,000 |
CBRE Services, Inc., 5.500%, 4/01/2029 |
150,906 |
| 165,000 |
Expedia Group, Inc., 6.250%, 5/01/2025(a) |
165,721 |
| |
|
316,627 |
| |
Consumer Products — 0.4% | |
| 165,000 |
Brunswick Corp., 5.850%, 3/18/2029 |
166,792 |
| 620,000 |
Estee Lauder Cos., Inc., 5.000%, 2/14/2034 |
615,051 |
| 245,000 |
Whirlpool Corp., 5.750%, 3/01/2034 |
245,779 |
| |
|
1,027,622 |
| |
Diversified Manufacturing — 0.2% | |
| 510,000 |
Honeywell International, Inc., 5.000%, 3/01/2035 |
511,915 |
| |
Electric — 4.2% | |
| 435,000 |
AES Corp., 3.300%, 7/15/2025(a) |
421,398 |
| 425,000 |
Ameren Corp., 5.000%, 1/15/2029 |
422,675 |
| 365,000 |
American Electric Power Co., Inc., 5.200%, 1/15/2029 |
365,858 |
| 565,000 |
American Electric Power Co., Inc., 5.699%, 8/15/2025 |
566,156 |
| 340,000 |
Appalachian Power Co., 5.650%, 4/01/2034 |
343,143 |
| 120,000 |
Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026 |
112,661 |
| 745,000 |
DTE Energy Co., 4.220%, 11/01/2024 |
738,123 |
| 740,000 |
Edison International, 4.700%, 8/15/2025 |
730,911 |
| 310,000 |
Entergy Corp., 0.900%, 9/15/2025 |
290,576 |
| 710,000 |
Entergy Louisiana LLC, 5.350%, 3/15/2034 |
712,654 |
| 665,000 |
Eversource Energy, 5.950%, 2/01/2029 |
686,186 |
| 750,000 |
Liberty Utilities Co., 5.577%, 1/31/2029(a) |
754,046 |
| 370,000 |
National Grid PLC, 5.418%, 1/11/2034 |
367,394 |
| 685,000 |
National Rural Utilities Cooperative Finance Corp., MTN, 5.600%, 11/13/2026 |
694,016 |
| 141,000 |
National Rural Utilities Cooperative Finance Corp., 3 mo. USD SOFR + 3.172%, 8.489%, 4/30/2043(c) |
140,648 |
| 865,000 |
NextEra Energy Capital Holdings, Inc., 5.250%, 3/15/2034 |
863,087 |
| 345,000 |
Public Service Enterprise Group, Inc., 5.200%, 4/01/2029 |
345,265 |
| 215,000 |
Southern California Edison Co., 5.150%, 6/01/2029 |
215,883 |
| 290,000 |
Southern California Edison Co., 5.200%, 6/01/2034 |
287,093 |
| 675,000 |
Southern Co., 5.500%, 3/15/2029 |
687,830 |
| 730,000 |
Vistra Operations Co. LLC, 5.125%, 5/13/2025(a) |
724,459 |
| 830,000 |
WEC Energy Group, Inc., 4.750%, 1/09/2026 |
822,339 |
| 725,000 |
Xcel Energy, Inc., 5.500%, 3/15/2034 |
720,931 |
| |
|
12,013,332 |
| |
Finance Companies — 3.2% | |
| 365,000 |
Air Lease Corp., 5.100%, 3/01/2029 |
362,579 |
| 555,000 |
Aircastle Ltd., 2.850%, 1/26/2028(a) |
498,190 |
See accompanying notes to financial statements.
| 38
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Intermediate Duration Bond Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Finance Companies — continued | |
| $170,000
|
Aircastle Ltd., 5.950%, 2/15/2029(a) |
$170,067
|
| 190,000 |
Aircastle Ltd., 6.500%, 7/18/2028(a) |
193,811 |
| 360,000 |
Ares Capital Corp., 7.000%, 1/15/2027 |
370,346 |
| 265,000 |
ARES Capital Corp., 5.875%, 3/01/2029 |
264,207 |
| 545,000 |
Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026 |
500,172 |
| 310,000 |
Blackstone Private Credit Fund, 2.625%, 12/15/2026 |
282,851 |
| 490,000 |
Blackstone Secured Lending Fund, 2.850%, 9/30/2028 |
432,019 |
| 260,000 |
Blue Owl Capital Corp., 3.750%, 7/22/2025 |
252,218 |
| 45,000 |
Blue Owl Capital Corp., 4.250%, 1/15/2026 |
43,649 |
| 295,000 |
Blue Owl Capital Corp., 5.950%, 3/15/2029 |
293,339 |
| 265,000 |
Blue Owl Capital Corp. II, 8.450%, 11/15/2026(a) |
272,945 |
| 490,000 |
Blue Owl Credit Income Corp., 7.950%, 6/13/2028(a) |
508,362 |
| 355,000 |
Blue Owl Technology Finance Corp., 4.750%, 12/15/2025(a) |
341,351 |
| 575,000 |
Blue Owl Technology Finance Corp. II, 6.750%, 4/04/2029(a) |
567,867 |
| 145,000 |
FS KKR Capital Corp., 3.125%, 10/12/2028 |
126,673 |
| 295,000 |
FS KKR Capital Corp., 7.875%, 1/15/2029 |
308,315 |
| 190,000 |
GATX Corp., 5.400%, 3/15/2027 |
191,300 |
| 275,000 |
Goldman Sachs BDC, Inc., 6.375%, 3/11/2027 |
277,050 |
| 480,000 |
Golub Capital BDC, Inc., 2.500%, 8/24/2026 |
441,015 |
| 220,000 |
Golub Capital BDC, Inc., 6.000%, 7/15/2029 |
216,066 |
| 465,000 |
Hercules Capital, Inc., 3.375%, 1/20/2027 |
427,029 |
| 185,000 |
Macquarie Airfinance Holdings Ltd., 6.400%, 3/26/2029(a) |
187,927 |
| 370,000 |
Main Street Capital Corp., 3.000%, 7/14/2026 |
344,771 |
| 150,000 |
New Mountain Finance Corp., 6.875%, 2/01/2029 |
148,419 |
| 330,000 |
Sixth Street Lending Partners, 6.500%, 3/11/2029(a) |
329,804 |
| 285,000 |
Sixth Street Specialty Lending, Inc., 6.125%, 3/01/2029 |
283,352 |
| 520,000 |
USAA Capital Corp., 3.375%, 5/01/2025(a) |
510,080 |
| |
|
9,145,774 |
| |
Financial Other — 0.2% | |
| 470,000 |
LeasePlan Corp. NV, 2.875%, 10/24/2024(a) |
462,341 |
| 185,000 |
ORIX Corp., 3.250%, 12/04/2024 |
182,165 |
| |
|
644,506 |
| |
Food & Beverage — 2.4% | |
| 630,000 |
Anheuser-Busch InBev Worldwide, Inc., 5.000%, 6/15/2034 |
633,748 |
| 695,000 |
Bimbo Bakeries USA, Inc., 6.050%, 1/15/2029(a) |
719,130 |
| 280,000 |
Cargill, Inc., 4.500%, 6/24/2026(a) |
277,645 |
| 1,135,000 |
Conagra Brands, Inc., 5.300%, 10/01/2026 |
1,136,816 |
| 615,000 |
Constellation Brands, Inc., 4.800%, 1/15/2029 |
609,606 |
| 1,005,000 |
Keurig Dr Pepper, Inc., Series 10, 5.200%, 3/15/2031 |
1,007,397 |
| 1,450,000 |
Nestle Capital Corp., 4.650%, 3/12/2029(a) |
1,444,560 |
| 915,000 |
Pernod Ricard International Finance LLC, 1.250%, 4/01/2028(a) |
794,147 |
| 320,000 |
Tyson Foods, Inc., 5.700%, 3/15/2034 |
324,221 |
| |
|
6,947,270 |
| |
Government Owned - No Guarantee — 0.4% | |
| 800,000 |
Antares Holdings LP, 3.750%, 7/15/2027(a) |
729,991 |
| 350,000 |
BOC Aviation USA Corp., 1.625%, 4/29/2024(a) |
348,888 |
| |
|
1,078,879 |
| |
Health Care REITs — 0.1% | |
| 235,000 |
Omega Healthcare Investors, Inc., 4.500%, 1/15/2025 |
232,414 |
| Principal
Amount |
Description |
Value (†) |
| |
Health Insurance — 0.5% | |
| $780,000
|
Humana, Inc., 5.375%, 4/15/2031 |
$780,420
|
| 645,000 |
Humana, Inc., 5.750%, 12/01/2028 |
660,956 |
| |
|
1,441,376 |
| |
Healthcare — 0.7% | |
| 1,030,000 |
Cigna Group, 5.250%, 2/15/2034 |
1,028,537 |
| 755,000 |
GE HealthCare Technologies, Inc., 5.550%, 11/15/2024 |
754,013 |
| 320,000 |
IQVIA, Inc., 5.700%, 5/15/2028 |
324,438 |
| |
|
2,106,988 |
| |
Hybrid ARMs — 0.0% | |
| 24,296 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.500%, 6.111%, 5/01/2036(c) |
24,985 |
| 12,645 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.225%, 6.149%, 1/01/2035(c) |
12,934 |
| |
|
37,919 |
| |
Independent Energy — 0.2% | |
| 460,000 |
Pioneer Natural Resources Co., 5.100%, 3/29/2026 |
459,420 |
| |
Industrial Other — 0.0% | |
| 50,000 |
CIMIC Finance USA Pty. Ltd., 7.000%, 3/25/2034(a) |
51,340 |
| |
Life Insurance — 4.0% | |
| 290,000 |
Athene Global Funding, 2.500%, 3/24/2028(a) |
258,670 |
| 520,000 |
Athene Holding Ltd., 6.250%, 4/01/2054 |
527,739 |
| 780,000 |
Brighthouse Financial Global Funding, 1.750%, 1/13/2025(a) |
753,878 |
| 835,000 |
CNO Global Funding, 2.650%, 1/06/2029(a) |
727,101 |
| 670,000 |
Corebridge Global Funding, 5.750%, 7/02/2026(a) |
670,677 |
| 155,000 |
F&G Annuities & Life, Inc., 7.400%, 1/13/2028 |
160,962 |
| 875,000 |
F&G Global Funding, 5.150%, 7/07/2025(a) |
861,540 |
| 995,000 |
GA Global Funding Trust, 2.250%, 1/06/2027(a) |
910,474 |
| 665,000 |
Great-West Lifeco U.S. Finance 2020 LP, 0.904%, 8/12/2025(a) |
626,168 |
| 1,370,000 |
Guardian Life Global Funding, 1.100%, 6/23/2025(a) |
1,303,253 |
| 300,000 |
Jackson National Life Global Funding, 1.750%, 1/12/2025(a) |
290,967 |
| 155,000 |
Jackson National Life Global Funding, 3.875%, 6/11/2025(a) |
151,071 |
| 385,000 |
Lincoln National Corp., 5.852%, 3/15/2034 |
380,057 |
| 650,000 |
Mutual of Omaha Cos. Global Funding, 5.450%, 12/12/2028(a) |
662,395 |
| 400,000 |
New York Life Global Funding, 5.000%, 1/09/2034(a) |
395,729 |
| 840,000 |
Northwestern Mutual Global Funding, 4.900%, 6/12/2028(a) |
834,868 |
| 370,000 |
Protective Life Global Funding, 4.714%, 7/06/2027(a) |
366,009 |
| 655,000 |
Reliance Standard Life Global Funding II, 2.750%, 5/07/2025(a) |
633,656 |
| 415,000 |
Reliance Standard Life Global Funding II, 5.243%, 2/02/2026(a) |
410,742 |
| 570,000 |
RGA Global Funding, 2.700%, 1/18/2029(a) |
507,983 |
| |
|
11,433,939 |
| |
Lodging — 0.3% | |
| 400,000 |
Hyatt Hotels Corp., 5.750%, 1/30/2027 |
406,224 |
| 360,000 |
Marriott International, Inc., 5.550%, 10/15/2028 |
367,599 |
| |
|
773,823 |
| |
Media Entertainment — 0.7% | |
| 805,000 |
Fox Corp., 6.500%, 10/13/2033 |
852,642 |
See accompanying notes to financial statements.
39 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Intermediate Duration Bond Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Media Entertainment — continued | |
| $550,000
|
Prosus NV, 4.193%, 1/19/2032(a) |
$477,572
|
| 835,000 |
Take-Two Interactive Software, Inc., 4.950%, 3/28/2028 |
831,790 |
| |
|
2,162,004 |
| |
Metals & Mining — 0.5% | |
| 1,010,000 |
Glencore Funding LLC, 5.634%, 4/04/2034(a) |
1,012,699 |
| 475,000 |
Newmont Corp./ Newcrest Finance Pty Ltd., 5.350%, 3/15/2034(a) |
478,029 |
| |
|
1,490,728 |
| |
Midstream — 0.2% | |
| 600,000 |
Williams Cos., Inc., 5.400%, 3/02/2026 |
601,541 |
| |
Mortgage Related — 0.6% | |
| 404 |
Federal Home Loan Mortgage Corp., 3.000%, 10/01/2026 |
393 |
| 3 |
Federal Home Loan Mortgage Corp., 8.000%, 7/01/2025 |
3 |
| 10,058 |
Government National Mortgage Association, 3.890%, with various maturities in 2062(c)(d) |
9,600 |
| 13,325 |
Government National Mortgage Association, 4.015%, 4/20/2063(c) |
12,847 |
| 13,608 |
Government National Mortgage Association, 4.102%, 6/20/2066(c) |
13,028 |
| 37,585 |
Government National Mortgage Association, 4.349%, 9/20/2066(c) |
36,454 |
| 35,724 |
Government National Mortgage Association, 4.369%, 11/20/2066(c) |
34,699 |
| 1,111 |
Government National Mortgage Association, 4.371%, 11/20/2064(c) |
1,080 |
| 114,132 |
Government National Mortgage Association, 4.394%, 10/20/2066(c) |
111,146 |
| 52,877 |
Government National Mortgage Association, 4.411%, 10/20/2066(c) |
51,414 |
| 52,404 |
Government National Mortgage Association, 4.453%, 11/20/2066(c) |
50,939 |
| 111,093 |
Government National Mortgage Association, 4.481%, 9/20/2066(c) |
108,798 |
| 32,478 |
Government National Mortgage Association, 4.485%, 8/20/2066(c) |
31,675 |
| 45,861 |
Government National Mortgage Association, 4.578%, 10/20/2066(c) |
44,889 |
| 253,307 |
Government National Mortgage Association, 4.585%, 7/20/2067(c) |
246,620 |
| 631,419 |
Government National Mortgage Association, 4.639%, 4/20/2067(c) |
617,008 |
| 377,135 |
Government National Mortgage Association, 4.700%, with various maturities from 2064 to 2067(c)(d) |
369,776 |
| |
|
1,740,369 |
| |
Natural Gas — 0.2% | |
| 410,000 |
NiSource, Inc., 5.350%, 4/01/2034 |
407,779 |
| 155,000 |
Sempra, 5.400%, 8/01/2026 |
155,448 |
| |
|
563,227 |
| |
Non-Agency Commercial Mortgage-Backed Securities — 6.1% | |
| 270,000 |
BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 |
235,268 |
| 870,000 |
BANK, Series 2021-BN37, Class A5, 2.618%, 11/15/2064(c) |
732,531 |
| 635,000 |
BANK, Series 2023-5YR3, Class A3, 6.724%, 9/15/2056(c) |
673,628 |
| Principal
Amount |
Description |
Value (†) |
| |
Non-Agency Commercial Mortgage-Backed Securities — continued | |
| $385,000
|
BANK, Series 2023-5YR4, Class A3, 6.500%, 12/15/2056 |
$405,647
|
| 660,000 |
BBCMS Mortgage Trust, Series 2020-BID, Class A, 1 mo. USD SOFR + 2.254%, 7.581%, 10/15/2037(a)(c) |
656,700 |
| 865,000 |
BBCMS Mortgage Trust, Series 2021-C12, Class A5, 2.689%, 11/15/2054 |
736,969 |
| 173,715 |
BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030(a) |
161,225 |
| 285,000 |
Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053 |
249,893 |
| 520,000 |
Benchmark Mortgage Trust, Series 2023-V2, Class A3, 5.812%, 5/15/2055(c) |
531,634 |
| 520,000 |
BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.851%, 12/15/2038(a)(c) |
491,484 |
| 360,000 |
BPR Trust, Series 2022-OANA, Class A, 1 mo. USD SOFR + 1.898%, 7.223%, 4/15/2037(a)(c) |
361,802 |
| 491,600 |
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048 |
473,739 |
| 361,996 |
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058 |
346,167 |
| 992,138 |
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049 |
943,375 |
| 540,000 |
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 |
481,323 |
| 403,490 |
Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) |
375,007 |
| 280,000 |
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047 |
278,600 |
| 280,000 |
Commercial Mortgage Pass-Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048 |
274,208 |
| 520,299 |
Commercial Mortgage Pass-Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049 |
500,706 |
| 795,000 |
Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037(a) |
703,575 |
| 24,255 |
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048 |
23,885 |
| 470,000 |
CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052 |
411,292 |
| 335,000 |
DC Commercial Mortgage Trust, Series 2023-DC, Class A, 6.314%, 9/12/2040(a) |
342,450 |
| 365,000 |
GS Mortgage Securities Corp. II, Series 2023-SHIP, Class A, 4.322%, 9/10/2038(a)(c) |
353,363 |
| 605,000 |
GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a) |
459,551 |
| 440,000 |
GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033(a)(c) |
355,737 |
| 245,000 |
GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 |
216,456 |
| 180,000 |
Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034(a) |
168,400 |
| 282,664 |
Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034(a) |
274,601 |
| 575,000 |
JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052 |
517,403 |
| 776,275 |
Med Trust, Series 2021-MDLN, Class A, 1 mo. USD SOFR + 1.064%, 6.390%, 11/15/2038(a)(c) |
774,334 |
| 129,604 |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048 |
126,350 |
| 550,000 |
Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053 |
483,506 |
See accompanying notes to financial statements.
| 40
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Intermediate Duration Bond Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Non-Agency Commercial Mortgage-Backed Securities — continued | |
| $845,000
|
New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.910%, 10/20/2061(a) |
$740,001
|
| 465,000 |
SCOTT Trust, Series 2023-SFS, Class A, 5.910%, 3/15/2040(a) |
467,655 |
| 980,000 |
SPGN Mortgage Trust, Series 2022-TFLM, Class A, 1 mo. USD SOFR + 1.550%, 6.875%, 2/15/2039(a)(c) |
963,248 |
| 201,109 |
Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059 |
192,391 |
| 490,000 |
Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class A4, 2.092%, 7/15/2053 |
406,370 |
| 825,000 |
Wells Fargo Commercial Mortgage Trust, Series 2022-C62, Class A4, 4.000%, 4/15/2055(c) |
763,908 |
| |
|
17,654,382 |
| |
Office REITs — 0.2% | |
| 485,000 |
Hudson Pacific Properties LP, 5.950%, 2/15/2028 |
448,015 |
| |
Other REITs — 0.1% | |
| 260,000 |
Prologis Targeted U.S. Logistics Fund LP, 5.250%, 4/01/2029(a) |
259,254 |
| |
Packaging — 0.1% | |
| 335,000 |
Amcor Flexibles North America, Inc., 4.000%, 5/17/2025 |
328,917 |
| |
Paper — 0.2% | |
| 570,000 |
Smurfit Kappa Treasury ULC, 5.438%, 4/03/2034(a) |
571,112 |
| |
Pharmaceuticals — 0.6% | |
| 770,000 |
Astrazeneca Finance LLC, 4.850%, 2/26/2029 |
772,172 |
| 715,000 |
Bayer U.S. Finance LLC, 6.500%, 11/21/2033(a) |
727,518 |
| 195,000 |
Bristol-Myers Squibb Co., 5.100%, 2/22/2031 |
196,886 |
| |
|
1,696,576 |
| |
Property & Casualty Insurance — 0.9% | |
| 1,015,000 |
Aon North America, Inc., 5.450%, 3/01/2034 |
1,026,716 |
| 65,000 |
CNA Financial Corp., 5.125%, 2/15/2034 |
63,241 |
| 390,000 |
Radian Group, Inc., 6.200%, 5/15/2029 |
395,786 |
| 395,000 |
SiriusPoint Ltd., 7.000%, 4/05/2029 |
394,944 |
| 240,000 |
Trustage Financial Group, Inc., 4.625%, 4/15/2032(a) |
208,854 |
| 430,000 |
Willis North America, Inc., 5.900%, 3/05/2054 |
435,305 |
| |
|
2,524,846 |
| |
Refining — 0.4% | |
| 1,005,000 |
Phillips 66 Co., 5.250%, 6/15/2031 |
1,018,399 |
| |
Restaurants — 0.1% | |
| 350,000 |
Starbucks Corp., 5.000%, 2/15/2034 |
346,935 |
| |
Retail REITs — 0.1% | |
| 370,000 |
Realty Income Corp., 5.125%, 2/15/2034 |
363,073 |
| |
Retailers — 0.8% | |
| 345,000 |
AutoNation, Inc., 3.500%, 11/15/2024 |
340,501 |
| 290,000 |
AutoNation, Inc., 4.500%, 10/01/2025 |
285,539 |
| 525,000 |
AutoZone, Inc., 5.050%, 7/15/2026 |
525,820 |
| 375,000 |
O'Reilly Automotive, Inc., 5.750%, 11/20/2026 |
381,171 |
| 670,000 |
Tapestry, Inc., 7.700%, 11/27/2030 |
714,497 |
| |
|
2,247,528 |
| |
Technology — 1.3% | |
| 305,000 |
Avnet, Inc., 6.250%, 3/15/2028 |
312,430 |
| 440,000 |
Broadcom, Inc., 4.000%, 4/15/2029(a) |
419,137 |
| 570,000 |
CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 |
519,977 |
| 330,000 |
Equifax, Inc., 5.100%, 6/01/2028 |
330,567 |
| 265,000 |
Fiserv, Inc., 5.350%, 3/15/2031 |
268,090 |
| 355,000 |
Flex Ltd., 6.000%, 1/15/2028 |
361,089 |
| 525,000 |
Global Payments, Inc., 1.500%, 11/15/2024 |
511,643 |
| Principal
Amount |
Description |
Value (†) |
| |
Technology — continued | |
| $490,000
|
Microchip Technology, Inc., 5.050%, 3/15/2029 |
$490,074
|
| 350,000 |
Micron Technology, Inc., 6.750%, 11/01/2029 |
375,676 |
| 200,000 |
Qorvo, Inc., 1.750%, 12/15/2024 |
194,085 |
| |
|
3,782,768 |
| |
Tobacco — 0.9% | |
| 550,000 |
Altria Group, Inc., 6.200%, 11/01/2028 |
573,249 |
| 475,000 |
BAT Capital Corp., 5.834%, 2/20/2031 |
479,077 |
| 1,215,000 |
Philip Morris International, Inc., 5.125%, 2/13/2031 |
1,207,035 |
| 430,000 |
Philip Morris International, Inc., 5.500%, 9/07/2030 |
438,235 |
| |
|
2,697,596 |
| |
Transportation Services — 0.7% | |
| 275,000 |
Element Fleet Management Corp., 3.850%, 6/15/2025(a) |
268,496 |
| 440,000 |
Element Fleet Management Corp., 6.319%, 12/04/2028(a) |
454,604 |
| 175,000 |
Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025(a) |
171,370 |
| 130,000 |
Penske Truck Leasing Co. LP/PTL Finance Corp., 5.350%, 1/12/2027(a) |
130,094 |
| 450,000 |
Penske Truck Leasing Co. LP/PTL Finance Corp., 5.350%, 3/30/2029(a) |
450,308 |
| 565,000 |
Ryder System, Inc., MTN, 5.375%, 3/15/2029 |
569,689 |
| |
|
2,044,561 |
| |
Treasuries — 31.7% | |
| 3,635,000 |
U.S. Treasury Notes, 2.750%, 7/31/2027 |
3,452,114 |
| 5,200,000 |
U.S. Treasury Notes, 3.250%, 6/30/2027 |
5,021,656 |
| 6,850,000 |
U.S. Treasury Notes, 3.625%, 3/31/2028 |
6,677,680 |
| 11,070,000 |
U.S. Treasury Notes, 3.625%, 5/31/2028 |
10,789,358 |
| 17,710,000 |
U.S. Treasury Notes, 3.875%, 11/30/2027 |
17,423,596 |
| 1,105,000 |
U.S. Treasury Notes, 3.875%, 12/31/2027 |
1,087,173 |
| 5,925,000 |
U.S. Treasury Notes, 4.000%, 1/31/2029 |
5,863,899 |
| 13,855,000 |
U.S. Treasury Notes, 4.125%, 7/31/2028 |
13,768,406 |
| 7,200,000 |
U.S. Treasury Notes, 4.250%, 2/28/2029 |
7,209,563 |
| 9,155,000 |
U.S. Treasury Notes, 4.375%, 11/30/2028 |
9,203,278 |
| 1,990,000 |
U.S. Treasury Notes, 4.750%, 7/31/2025 |
1,986,502 |
| 3,335,000 |
U.S. Treasury Notes, 4.875%, 11/30/2025 |
3,339,820 |
| 5,510,000 |
U.S. Treasury Notes, 5.000%, 10/31/2025 |
5,525,497 |
| |
|
91,348,542 |
| |
Wireless — 0.2% | |
| 520,000 |
T-Mobile USA, Inc., 4.850%, 1/15/2029 |
516,148 |
| |
Wirelines — 0.2% | |
| 715,000 |
Bell Telephone Co. of Canada or Bell Canada, 5.200%, 2/15/2034 |
708,625 |
| |
Total Bonds and Notes (Identified Cost $285,859,430) |
281,661,393 |
| | ||
| | ||
See accompanying notes to financial statements.
41 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Intermediate Duration Bond Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| | ||
| Short-Term Investments — 2.3% | ||
| $6,662,223
|
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $6,664,814 on 4/01/2024 collateralized by $7,325,600 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $6,795,522 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,662,223) |
$6,662,223 |
| |
Total Investments — 100.1% (Identified Cost $292,521,653) |
288,323,616 |
| |
Other assets less liabilities — (0.1)% |
(322,075 ) |
| |
Net Assets — 100.0% |
$288,001,541 |
| (†) |
See Note 2 of Notes to Financial Statements. |
| (a)
|
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, 2024, the value of
Rule 144A holdings amounted to $82,255,529 or 28.6% of net assets. |
| (b)
|
Level 3 security. Value has been determined using significant
unobservable inputs. See Note 3 of Notes to Financial Statements. |
| (c)
|
Variable rate security. Rate as of March 31, 2024 is disclosed.
Issuers comprised of various lots with differing coupon rates have
been aggregated for the purpose of presentation in the Portfolio of
Investments and show a weighted average rate. Certain variable
rate securities are not based on a published reference rate and
spread, rather are determined by the issuer or agent and are
based on current market conditions. These securities may not
indicate a reference rate and/or spread in their description. |
| (d)
|
The Fund’s investment in mortgage related securities of
Government National Mortgage Association are interests in
separate pools of mortgages. All separate investments in
securities of each issuer which have the same coupon rate have
been aggregated for the purpose of presentation in the Portfolio of
Investments. |
| ABS
|
Asset-Backed Securities |
| ARMs
|
Adjustable Rate Mortgages |
| CMT
|
Constant Maturity Treasury |
| GMTN
|
Global Medium Term Note |
| MTN
|
Medium Term Note |
| REITs
|
Real
Estate Investment Trusts |
| SOFR
|
Secured Overnight Financing Rate |
At March 31, 2024, open long futures contracts were as
follows:
| Financial Futures |
Expiration
Date |
Contracts |
Notional
Amount |
Value |
Unrealized Appreciation
(Depreciation) |
| CBOT 5 Year U.S. Treasury Notes Futures |
6/28/2024 |
64 |
$6,828,435
|
$6,849,000
|
$20,565
|
| Ultra 10-Year U.S. Treasury Notes Futures |
6/18/2024 |
107 |
12,138,710 |
12,263,203 |
124,493 |
| Total |
|
|
|
|
$145,058 |
Industry Summary at March 31, 2024
(Unaudited)
| Treasuries |
31.7 % |
| Banking |
13.5 |
| ABS Car Loan |
9.3 |
| Non-Agency Commercial Mortgage-Backed Securities |
6.1 |
| Electric |
4.2 |
| Life Insurance |
4.0 |
| ABS Other |
3.9 |
| Automotive |
3.5 |
| Finance Companies |
3.2 |
| Food & Beverage |
2.4 |
| Other Investments, less than 2% each |
16.0 |
| Short-Term Investments |
2.3 |
| Total Investments |
100.1 |
| Other assets less liabilities (including futures contracts) |
(0.1 ) |
| Net Assets |
100.0 % |
See accompanying notes to financial statements.
| 42
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Limited Term Government and Agency Fund
| Principal
Amount |
Description |
Value (†) |
| Bonds and Notes — 94.6% of Net Assets | ||
| |
ABS Car Loan — 1.9% | |
| $3,220,000
|
Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, 3.830%, 8/21/2028(a) |
$3,089,003
|
| 1,461,379 |
Carvana Auto Receivables Trust, Series 2021-N2, Class A2, 0.970%, 3/10/2028 |
1,394,924 |
| 437,935 |
Exeter Automobile Receivables Trust, Series 2022-5A, Class A3, 5.430%, 4/15/2026 |
437,864 |
| 655,000 |
GM Financial Revolving Receivables Trust, Series 2021-1, Class A, 1.170%, 6/12/2034(a) |
597,393 |
| 1,555,000 |
Hertz Vehicle Financing III LLC, Series 2023-3A, Class A, 5.940%, 2/25/2028(a) |
1,578,997 |
| 1,260,000 |
NextGear Floorplan Master Owner Trust, Series 2024-1A, Class A2, 5.120%, 3/15/2029(a) |
1,258,889 |
| 620,000 |
PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4, 4.180%, 12/15/2028(a) |
610,880 |
| 765,000 |
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033(a) |
729,985 |
| 4,365,000 |
Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A, 3.820%, 4/25/2035(a) |
4,222,211 |
| |
|
13,920,146 |
| |
ABS Other — 0.6% | |
| 810,000 |
BHG Securitization Trust, Series 2024-1CON, Class A, 5.810%, 4/17/2035(a) |
812,850 |
| 24,355 |
Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032(a) |
24,294 |
| 110,427 |
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034(a) |
109,995 |
| 452,710 |
Enterprise Fleet Financing LLC, Series 2022-3, Class A2, 4.380%, 7/20/2029(a) |
447,881 |
| 247,167 |
MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037(a) |
231,641 |
| 775,000 |
MVW LLC, Series 2024-1A, Class A, 5.320%, 2/20/2043(a) |
778,002 |
| 347,397 |
Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037(a) |
332,915 |
| 474,823 |
Welk Resorts LLC, Series 2019-AA, Class A, 2.800%, 6/15/2038(a) |
461,892 |
| 1,110,000 |
Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) |
1,110,533 |
| |
|
4,310,003 |
| |
ABS Student Loan — 0.8% | |
| 1,225,422 |
Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.600%, 8/15/2068(a) |
1,146,740 |
| 384,876 |
Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, 1.690%, 5/15/2069(a) |
351,239 |
| 1,350,987 |
Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069(a) |
1,187,110 |
| 3,203,186 |
Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069(a) |
2,764,888 |
| 693,017 |
SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.340%, 3/17/2053(a) |
622,495 |
| |
|
6,072,472 |
| |
Agency Commercial Mortgage-Backed Securities — 26.2% | |
| 2,580,000 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027 |
2,477,248 |
| 18,877,975 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K139, Class A1, 2.209%, 10/25/2031 |
17,051,739 |
| Principal
Amount |
Description |
Value (†) |
| |
Agency Commercial Mortgage-Backed Securities — continued | |
| $11,380,000
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K747, Class A2, 2.050%, 11/25/2028(b) |
$10,171,319
|
| 7,855,681 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KC06, Class A2, 2.541%, 8/25/2026 |
7,461,567 |
| 2,124,509 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K-F100, Class AS, 30 day USD SOFR Average + 0.180%, 5.500%, 1/25/2028(b) |
2,101,376 |
| 5,084,629 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K-F121, Class AS, 30 day USD SOFR Average + 0.180%, 5.500%, 8/25/2028(b) |
5,037,149 |
| 12,456,790 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF123, Class AS, 30 day USD SOFR Average + 0.200%, 5.520%, 9/25/2028(b) |
12,324,051 |
| 1,239,233 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF53, Class A, 30 day USD SOFR Average + 0.504%, 5.825%, 10/25/2025(b) |
1,235,406 |
| 5,148,214 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF72, Class A, 30 day USD SOFR Average + 0.614%, 5.935%, 10/25/2026(b) |
5,136,845 |
| 707,393 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF74, Class AS, 1 mo. USD SOFR Historical Calendar Day Compounded + 0.530%, 5.850%, 1/25/2027(b) |
705,821 |
| 4,980,730 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF77, Class AL, 30 day USD SOFR Average + 0.814%, 6.135%, 2/25/2027(b) |
4,992,151 |
| 6,550,937 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF77, Class AS, 30 day USD SOFR Average + 0.900%, 6.220%, 2/25/2027(b) |
6,610,839 |
| 17,368,194 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF78, Class AL, 30 day USD SOFR Average + 0.914%, 6.235%, 3/25/2030(b) |
17,490,516 |
| 17,368,194 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF78, Class AS, 30 day USD SOFR Average + 1.000%, 6.320%, 3/25/2030(b) |
17,639,853 |
| 2,801,455 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF79, Class AL, 30 day USD SOFR Average + 0.584%, 5.905%, 5/25/2030(b) |
2,797,105 |
| 2,585,071 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF79, Class AS, 30 day USD SOFR Average + 0.580%, 5.900%, 5/25/2030(b) |
2,588,930 |
| 3,838,266 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF80, Class AL, 30 day USD SOFR Average + 0.554%, 5.875%, 6/25/2030(b) |
3,825,452 |
| 2,156,574 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF80, Class AS, 30 day USD SOFR Average + 0.510%, 5.830%, 6/25/2030(b) |
2,149,971 |
See accompanying notes to financial statements.
43 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Limited Term Government and Agency Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Agency Commercial Mortgage-Backed Securities — continued | |
| $806,229
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AL, 30 day USD SOFR Average + 0.474%, 5.795%, 6/25/2027(b) |
$803,324
|
| 604,672 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AS, 30 day USD SOFR Average + 0.400%, 5.720%, 6/25/2027(b) |
600,976 |
| 470,675 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF84, Class AL, 30 day USD SOFR Average + 0.414%, 5.735%, 7/25/2030(b) |
467,401 |
| 395,965 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF84, Class AS, 30 day USD SOFR Average + 0.320%, 5.640%, 7/25/2030(b) |
392,909 |
| 128,034 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF85, Class AL, 30 day USD SOFR Average + 0.414%, 5.735%, 8/25/2030(b) |
127,101 |
| 341,309 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF85, Class AS, 30 day USD SOFR Average + 0.330%, 5.650%, 8/25/2030(b) |
338,014 |
| 509,165 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF86, Class AL, 30 day USD SOFR Average + 0.404%, 5.725%, 8/25/2027(b) |
507,736 |
| 454,670 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF86, Class AS, 30 day USD SOFR Average + 0.320%, 5.640%, 8/25/2027(b) |
451,603 |
| 377,159 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF93, Class AL, 30 day USD SOFR Average + 0.394%, 5.715%, 10/25/2027(b) |
375,175 |
| 452,835 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF93, Class AS, 30 day USD SOFR Average + 0.310%, 5.630%, 10/25/2027(b) |
448,235 |
| 2,444,646 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF97, Class AS, 30 day USD SOFR Average + 0.250%, 5.570%, 12/25/2030(b) |
2,409,797 |
| 6,185,735 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ20, Class A2, 3.799%, 12/25/2025 |
6,067,211 |
| 8,074,466 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ21, Class A2, 3.700%, 9/25/2026 |
7,861,471 |
| 5,988,735 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027 |
5,723,932 |
| 7,165,000 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ37, Class A2, 2.333%, 11/25/2030 |
6,311,979 |
| 16,300,000 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ42, Class A2, 4.118%, 11/25/2032 |
15,732,287 |
| Principal
Amount |
Description |
Value (†) |
| |
Agency Commercial Mortgage-Backed Securities — continued | |
| $8,515,000
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS12, Class A, 30 day USD SOFR Average + 0.764%, 6.085%, 8/25/2029(b) |
$8,530,572
|
| 2,855,000 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS14, Class AL, 30 day USD SOFR Average + 0.454%, 5.775%, 4/25/2030(b) |
2,843,646 |
| 3,140,000 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS14, Class AS, 30 day USD SOFR Average + 0.370%, 5.690%, 4/25/2030(b) |
3,116,481 |
| 403,546 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series Q008, Class A, 30 day USD SOFR Average + 0.504%, 5.825%, 10/25/2045(b) |
402,224 |
| 3,909,804 |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series Q016, Class APT1, 1.242%, 5/25/2051(b) |
3,631,625 |
| 5,200,000 |
Federal National Mortgage Association, 3.580%, 1/01/2026 |
5,070,852 |
| 700,247 |
Federal National Mortgage Association, Series 2020-M5, Class FA, 30 day USD SOFR Average + 0.574%, 5.895%, 1/25/2027(b) |
698,329 |
| 68,320 |
Government National Mortgage Association, Series 2003-72, Class Z, 5.417%, 11/16/2045(b) |
67,533 |
| |
|
194,777,751 |
| |
Collateralized Mortgage Obligations — 9.5% | |
| 36,685 |
Federal Home Loan Mortgage Corp., Series 2131, Class ZB, REMICS, 6.000%, 3/15/2029(c) |
35,115 |
| 341,070 |
Federal Home Loan Mortgage Corp., Series 2978, Class JG, REMICS, 5.500%, 5/15/2035(c) |
343,386 |
| 523,673 |
Federal Home Loan Mortgage Corp., Series 3036, Class NE, REMICS, 5.000%, 9/15/2035(c) |
520,329 |
| 185,098 |
Federal Home Loan Mortgage Corp., Series 3412, Class AY, REMICS, 5.500%, 2/15/2038(c) |
186,312 |
| 496,011 |
Federal Home Loan Mortgage Corp., Series 3561, Class W, REMICS, 2.580%, 6/15/2048(b)(d) |
446,337 |
| 362,054 |
Federal Home Loan Mortgage Corp., Series 3620, Class AT, REMICS, 3.979%, 12/15/2036(b)(d) |
357,028 |
| 98,978 |
Federal Home Loan Mortgage Corp., Series 4212, Class FW, REMICS, 0.000%, 6/15/2043(b)(c) |
86,488 |
| 4,446 |
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, Series T-60, Class 2A1, 4.123%, 3/25/2044(b)(c) |
3,737 |
| 224,553 |
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, Series T-62, Class 1A1, 1 yr. MTA + 1.200%, 6.289%, 10/25/2044(b)(c) |
201,402 |
| 32 |
Federal National Mortgage Association, Series 1994-42, Class FD, REMICS, 10 yr. CMT - 0.500%, 3.800%, 4/25/2024(b)(c) |
31 |
| 4,954 |
Federal National Mortgage Association, Series 2002-W10, Class A7, REMICS, 4.591%, 8/25/2042(b)(c) |
4,508 |
| 456,591 |
Federal National Mortgage Association, Series 2003-48, Class GH, REMICS, 5.500%, 6/25/2033(c) |
457,544 |
| 258,260 |
Federal National Mortgage Association, Series 2007-73, Class A1, REMICS, 30 day USD SOFR Average + 0.174%, 5.692%, 7/25/2037(b)(c) |
248,830 |
See accompanying notes to financial statements.
| 44
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Limited Term Government and Agency Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Collateralized Mortgage Obligations — continued | |
| $470,414
|
Federal National Mortgage Association, Series 2008-86, Class LA, REMICS, 3.507%, 8/25/2038(b) |
$449,669
|
| 969,206 |
Federal National Mortgage Association, Series 2012-56, Class FK, REMICS, 30 day USD SOFR Average + 0.564%, 5.885%, 6/25/2042(b)(c) |
943,085 |
| 1,107,689 |
Federal National Mortgage Association, Series 2012-58, Class KF, REMICS, 30 day USD SOFR Average + 0.664%, 5.985%, 6/25/2042(b) |
1,094,985 |
| 2,616,090 |
Federal National Mortgage Association, Series 2012-83, Class LF, REMICS, 30 day USD SOFR Average + 0.624%, 5.945%, 8/25/2042(b) |
2,580,768 |
| 1,840,298 |
Federal National Mortgage Association, Series 2013-67, Class NF, REMICS, 30 day USD SOFR Average + 1.114%, 5.000%, 7/25/2043(b) |
1,723,695 |
| 2,918,375 |
Federal National Mortgage Association, Series 2015-4, Class BF, REMICS, 30 day USD SOFR Average + 0.514%, 5.835%, 2/25/2045(b) |
2,861,007 |
| 3,989,044 |
Federal National Mortgage Association, Series 2020-35, Class FA, REMICS, 30 day USD SOFR Average + 0.614%, 5.943%, 6/25/2050(b) |
3,880,251 |
| 808,175 |
Government National Mortgage Association, Series 2005-18, Class F, 1 mo. USD SOFR + 0.314%, 5.643%, 2/20/2035(b)(c) |
795,066 |
| 622,622 |
Government National Mortgage Association, Series 2007-59, Class FM, 1 mo. USD SOFR + 0.634%, 5.963%, 10/20/2037(b)(c) |
616,109 |
| 97,600 |
Government National Mortgage Association, Series 2009-H01, Class FA, 1 mo. USD SOFR + 1.264%, 6.593%, 11/20/2059(b)(c) |
96,753 |
| 323,383 |
Government National Mortgage Association, Series 2010-H20, Class AF, 1 mo. USD SOFR + 0.444%, 5.774%, 10/20/2060(b) |
322,271 |
| 291,331 |
Government National Mortgage Association, Series 2010-H24, Class FA, 1 mo. USD SOFR + 0.464%, 5.794%, 10/20/2060(b) |
290,500 |
| 211,323 |
Government National Mortgage Association, Series 2010-H27, Class FA, 1 mo. USD SOFR + 0.494%, 5.824%, 12/20/2060(b) |
210,759 |
| 10,757 |
Government National Mortgage Association, Series 2011-H08, Class FA, 1 mo. USD SOFR + 0.714%, 6.044%, 2/20/2061(b)(c) |
10,650 |
| 1,756,745 |
Government National Mortgage Association, Series 2012-18, Class FM, 1 mo. USD SOFR + 0.364%, 5.693%, 9/20/2038(b) |
1,750,577 |
| 87 |
Government National Mortgage Association, Series 2012-H15, Class FA, 1 mo. USD SOFR + 0.564%, 5.500%, 5/20/2062(b)(c) |
84 |
| 151,472 |
Government National Mortgage Association, Series 2012-H18, Class NA, 1 mo. USD SOFR + 0.634%, 5.964%, 8/20/2062(b) |
151,205 |
| 8,935 |
Government National Mortgage Association, Series 2012-H29, Class HF, 1 mo. USD SOFR + 0.614%, 5.944%, 10/20/2062(b)(c) |
8,589 |
| 10,704 |
Government National Mortgage Association, Series 2013-H02, Class GF, 1 mo. USD SOFR + 0.614%, 5.944%, 12/20/2062(b)(c) |
10,345 |
| 412,900 |
Government National Mortgage Association, Series 2013-H08, Class FA, 1 mo. USD SOFR + 0.464%, 5.794%, 3/20/2063(b)(c) |
407,422 |
| Principal
Amount |
Description |
Value (†) |
| |
Collateralized Mortgage Obligations — continued | |
| $503,076
|
Government National Mortgage Association, Series 2013-H10, Class FA, 1 mo. USD SOFR + 0.514%, 5.844%, 3/20/2063(b) |
$501,858
|
| 67,887 |
Government National Mortgage Association, Series 2013-H14, Class FG, 1 mo. USD SOFR + 0.584%, 5.914%, 5/20/2063(b)(c) |
67,092 |
| 2,385,426 |
Government National Mortgage Association, Series 2014-H14, Class FA, 1 mo. USD SOFR + 0.614%, 5.963%, 7/20/2064(b) |
2,382,335 |
| 2,144,293 |
Government National Mortgage Association, Series 2014-H15, Class FA, 1 mo. USD SOFR + 0.614%, 5.944%, 7/20/2064(b) |
2,141,381 |
| 1,316,292 |
Government National Mortgage Association, Series 2015-H04, Class FL, 1 mo. USD SOFR + 0.584%, 5.933%, 2/20/2065(b) |
1,314,284 |
| 4,662 |
Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(c) |
4,183 |
| 191,488 |
Government National Mortgage Association, Series 2015-H10, Class FC, 1 mo. USD SOFR + 0.594%, 5.924%, 4/20/2065(b) |
191,207 |
| 1,366,091 |
Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 |
1,316,510 |
| 1,693 |
Government National Mortgage Association, Series 2015-H11, Class FA, 1 mo. USD SOFR + 0.364%, 5.694%, 4/20/2065(b)(c) |
1,627 |
| 931,787 |
Government National Mortgage Association, Series 2015-H12, Class FL, 1 mo. USD SOFR + 0.344%, 5.674%, 5/20/2065(b) |
927,832 |
| 18,950 |
Government National Mortgage Association, Series 2015-H19, Class FH, 1 mo. USD SOFR + 0.414%, 5.744%, 7/20/2065(b)(c) |
18,158 |
| 1,406 |
Government National Mortgage Association, Series 2015-H29, Class FA, 1 mo. USD SOFR + 0.814%, 6.144%, 10/20/2065(b)(c) |
1,356 |
| 2,394 |
Government National Mortgage Association, Series 2015-H30, Class FA, 1 mo. USD SOFR + 0.794%, 6.124%, 8/20/2061(b)(c) |
2,306 |
| 2,608,701 |
Government National Mortgage Association, Series 2016-H06, Class FC, 1 mo. USD SOFR + 1.034%, 6.364%, 2/20/2066(b) |
2,606,171 |
| 600,794 |
Government National Mortgage Association, Series 2016-H20, Class FB, 1 mo. USD SOFR + 0.664%, 5.994%, 9/20/2066(b) |
600,395 |
| 1,904,233 |
Government National Mortgage Association, Series 2017-H05, Class FC, 1 mo. USD SOFR + 0.864%, 6.194%, 2/20/2067(b) |
1,895,958 |
| 1,850 |
Government National Mortgage Association, Series 2018-H02, Class FJ, 1 mo. USD SOFR + 0.314%, 5.644%, 10/20/2064(b)(c) |
1,791 |
| 3,889,894 |
Government National Mortgage Association, Series 2018-H11, Class FJ, 1yr. USD SOFR + 0.795%, 5.027%, 6/20/2068(b) |
3,860,215 |
| 61,481 |
Government National Mortgage Association, Series 2018-H14, Class FG, 1 mo. USD SOFR + 0.464%, 5.794%, 9/20/2068(b) |
61,264 |
| 6,044,109 |
Government National Mortgage Association, Series 2018-H16, Class FA, 1 mo. USD SOFR + 0.534%, 5.864%, 9/20/2068(b) |
5,956,803 |
| 5,748,926 |
Government National Mortgage Association, Series 2019-H04, Class NA, 3.500%, 9/20/2068 |
5,278,046 |
See accompanying notes to financial statements.
45 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Limited Term Government and Agency Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Collateralized Mortgage Obligations — continued | |
| $476,934
|
Government National Mortgage Association, Series 2019-H13, Class FT, 1 yr. CMT + 0.450%, 5.250%, 8/20/2069(b) |
$476,293
|
| 1,495,952 |
Government National Mortgage Association, Series 2020-30, Class F, 1 mo. USD SOFR + 0.514%, 5.840%, 4/20/2048(b) |
1,442,105 |
| 2,894,449 |
Government National Mortgage Association, Series 2020-53, Class NF, 1 mo. USD SOFR + 0.564%, 5.890%, 5/20/2046(b) |
2,715,031 |
| 1,082,841 |
Government National Mortgage Association, Series 2020-H01, Class FT, 1 yr. CMT + 0.500%, 5.300%, 1/20/2070(b) |
1,077,717 |
| 3,109,012 |
Government National Mortgage Association, Series 2020-H02, Class FG, 1 mo. USD SOFR + 0.714%, 6.044%, 1/20/2070(b) |
3,109,017 |
| 3,476,853 |
Government National Mortgage Association, Series 2020-H04, Class FP, 1 mo. USD SOFR + 0.614%, 5.944%, 6/20/2069(b) |
3,470,439 |
| 5,501,938 |
Government National Mortgage Association, Series 2020-H07, Class FL, 1 mo. USD SOFR + 0.764%, 6.094%, 4/20/2070(b) |
5,489,691 |
| 2,873,195 |
Government National Mortgage Association, Series 2020-H10, Class FD, 1 mo. USD SOFR + 0.514%, 5.844%, 5/20/2070(b) |
2,862,220 |
| |
|
70,868,122 |
| |
Hybrid ARMs — 2.0% | |
| 53,887 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.686%, 5.217%, 3/01/2038(b) |
53,333 |
| 463,503 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.896%, 5.276%, 9/01/2041(b) |
459,924 |
| 65,503 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.772%, 5.476%, 11/01/2038(b) |
65,002 |
| 127,193 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.731%, 5.623%, 4/01/2037(b) |
127,711 |
| 206,445 |
Federal Home Loan Mortgage Corp., 6 mo. RFUCC Treasury + 1.770%, 5.643%, 6/01/2037(b) |
203,171 |
| 244,549 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.245%, 5.842%, 3/01/2036(b) |
250,422 |
| 35,450 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.750%, 5.875%, 12/01/2037(b) |
35,373 |
| 975,614 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.840%, 5.938%, 1/01/2046(b) |
999,921 |
| 73,417 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.703%, 5.942%, 11/01/2038(b) |
73,175 |
| 402,234 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.765%, 6.015%, 9/01/2035(b) |
404,281 |
| 138,632 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.903%, 6.050%, 4/01/2037(b) |
138,859 |
| 955,446 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.249%, 6.054%, 3/01/2037(b) |
978,088 |
| 126,667 |
Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.937%, 6.094%, 12/01/2034(b) |
126,243 |
| 171,574 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.220%, 6.153%, 7/01/2033(b) |
170,343 |
| 597,443 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.260%, 6.226%, 2/01/2036(b) |
606,838 |
| 66,237 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.207%, 6.227%, 9/01/2038(b) |
65,661 |
| 216,573 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.248%, 6.228%, 9/01/2038(b) |
221,242 |
| Principal
Amount |
Description |
Value (†) |
| |
Hybrid ARMs — continued | |
| $55,411
|
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.165%, 6.290%, 4/01/2036(b) |
$54,966
|
| 396,021 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.286%, 6.384%, 2/01/2036(b) |
398,653 |
| 63,602 |
Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.250%, 6.498%, 2/01/2035(b) |
65,054 |
| 27,792 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.565%, 4.315%, 4/01/2037(b) |
27,828 |
| 82,985 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 4.636%, 3/01/2034(b) |
84,972 |
| 331,194 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.810%, 4.824%, 3/01/2037(b) |
332,286 |
| 202,860 |
Federal National Mortgage Association, 1 yr. CMT + 2.131%, 4.857%, 6/01/2036(b) |
203,230 |
| 41,443 |
Federal National Mortgage Association, 1 yr. CMT + 2.211%, 5.211%, 4/01/2033(b) |
41,592 |
| 15,984 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.807%, 5.314%, 7/01/2041(b) |
15,932 |
| 439,655 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.706%, 5.338%, 9/01/2037(b) |
450,712 |
| 359,537 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.558%, 5.603%, 7/01/2035(b) |
362,935 |
| 509,668 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.550%, 5.638%, 4/01/2037(b) |
520,184 |
| 65,553 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.514%, 5.764%, 8/01/2035(b) |
64,668 |
| 79,290 |
Federal National Mortgage Association, 1 yr. CMT + 2.196%, 5.770%, 4/01/2034(b) |
78,504 |
| 823,763 |
Federal National Mortgage Association, 1 yr. CMT + 2.216%, 5.808%, 10/01/2034(b) |
844,582 |
| 645,311 |
Federal National Mortgage Association, 1 yr. CMT + 2.177%, 5.820%, 12/01/2040(b) |
660,588 |
| 330,784 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.585%, 5.840%, 9/01/2037(b) |
330,063 |
| 104,640 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.676%, 5.847%, 11/01/2036(b) |
105,423 |
| 71,616 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.732%, 5.855%, 11/01/2035(b) |
73,341 |
| 146,951 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.616%, 5.866%, 8/01/2038(b) |
145,942 |
| 102,462 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.670%, 5.920%, 10/01/2033(b) |
102,430 |
| 210,457 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.681%, 5.931%, 7/01/2038(b) |
209,335 |
| 48,393 |
Federal National Mortgage Association, 1 yr. CMT + 2.145%, 5.934%, 9/01/2036(b) |
48,378 |
| 133,248 |
Federal National Mortgage Association, 1 yr. CMT + 2.287%, 5.944%, 6/01/2033(b) |
133,215 |
| 85,783 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.713%, 5.963%, 8/01/2034(b) |
84,531 |
| 265,833 |
Federal National Mortgage Association, 1 yr. CMT + 2.270%, 6.020%, 6/01/2037(b) |
269,460 |
| 663,220 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 6.050%, 10/01/2041(b) |
680,161 |
| 108,481 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 6.050%, 12/01/2041(b) |
108,331 |
| 239,529 |
Federal National Mortgage Association, 6 mo. RFUCC Treasury + 2.063%, 6.054%, 7/01/2037(b) |
243,721 |
| 33,721 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.728%, 6.074%, 1/01/2037(b) |
33,794 |
| 98,889 |
Federal National Mortgage Association, 1 yr. CMT + 2.146%, 6.088%, 9/01/2034(b) |
100,610 |
See accompanying notes to financial statements.
| 46
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Limited Term Government and Agency Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Hybrid ARMs — continued | |
| $622,772
|
Federal National Mortgage Association, 1 yr. CMT + 2.229%, 6.150%, 4/01/2034(b) |
$632,413
|
| 166,931 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.734%, 6.188%, 2/01/2037(b) |
167,346 |
| 714,007 |
Federal National Mortgage Association, 1 yr. CMT + 2.185%, 6.219%, 11/01/2033(b) |
731,545 |
| 56,862 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 2.473%, 6.223%, 6/01/2035(b) |
56,566 |
| 124,133 |
Federal National Mortgage Association, 1 yr. CMT + 2.223%, 6.223%, 8/01/2035(b) |
123,366 |
| 47,730 |
Federal National Mortgage Association, 1 yr. CMT + 2.440%, 6.266%, 8/01/2033(b) |
47,693 |
| 96,047 |
Federal National Mortgage Association, 1 yr. CMT + 2.500%, 6.278%, 8/01/2036(b) |
99,451 |
| 274,359 |
Federal National Mortgage Association, 1 yr. CMT + 2.185%, 6.310%, 1/01/2036(b) |
276,035 |
| 81,871 |
Federal National Mortgage Association, 1 yr. CMT + 2.287%, 6.351%, 10/01/2033(b) |
81,418 |
| 453,896 |
Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.820%, 6.445%, 2/01/2047(b) |
456,723 |
| 126,888 |
Federal National Mortgage Association, 1 yr. CMT + 2.486%, 6.611%, 5/01/2035(b) |
128,854 |
| 19,245 |
Federal National Mortgage Association, 6 mo. RFUCC Treasury + 1.460%, 7.057%, 2/01/2037(b) |
19,510 |
| 186,282 |
Federal National Mortgage Association, 6 mo. RFUCC Treasury + 1.545%, 7.366%, 7/01/2035(b) |
188,614 |
| |
|
14,864,542 |
| |
Mortgage Related — 0.8% | |
| 8,244 |
Federal Home Loan Mortgage Corp., 3.000%, 10/01/2026 |
8,026 |
| 90,215 |
Federal Home Loan Mortgage Corp., 4.000%, with various maturities from 2024 to 2042(e) |
85,778 |
| 15,339 |
Federal Home Loan Mortgage Corp., 4.500%, with various maturities from 2025 to 2034(e) |
15,027 |
| 94,335 |
Federal Home Loan Mortgage Corp., 6.500%, 12/01/2034 |
97,169 |
| 15 |
Federal Home Loan Mortgage Corp., 7.500%, 6/01/2026 |
15 |
| 59,634 |
Federal National Mortgage Association, 3.000%, 3/01/2042 |
53,612 |
| 466,183 |
Federal National Mortgage Association, 5.000%, with various maturities from 2037 to 2038(e) |
468,623 |
| 134,944 |
Federal National Mortgage Association, 5.500%, 3/01/2033 |
137,745 |
| 120,972 |
Federal National Mortgage Association, 6.500%, with various maturities from 2032 to 2037(e) |
125,341 |
| 21,579 |
Federal National Mortgage Association, 7.500%, with various maturities from 2030 to 2032(e) |
21,642 |
| 107,078 |
Government National Mortgage Association, 4.140%, with various maturities from 2061 to 2063(b)(e) |
103,406 |
| 16,841 |
Government National Mortgage Association, 4.303%, 1/20/2064(b) |
16,526 |
| 13,976 |
Government National Mortgage Association, 4.390%, 12/20/2062(b) |
13,690 |
| 1,716,345 |
Government National Mortgage Association, 4.468%, 10/20/2065(b) |
1,681,773 |
| 140,260 |
Government National Mortgage Association, 4.475%, 11/20/2063(b) |
137,942 |
| 520,356 |
Government National Mortgage Association, 4.551%, 2/20/2066(b) |
511,330 |
| Principal
Amount |
Description |
Value (†) |
| |
Mortgage Related — continued | |
| $1,731
|
Government National Mortgage Association, 4.573%, 8/20/2062(b) |
$1,686
|
| 53,612 |
Government National Mortgage Association, 4.630%, with various maturities from 2062 to 2063(b)(e) |
53,291 |
| 6,554 |
Government National Mortgage Association, 4.645%, 2/20/2062(b) |
6,312 |
| 9,722 |
Government National Mortgage Association, 4.677%, 8/20/2061(b) |
9,587 |
| 111,468 |
Government National Mortgage Association, 4.700%, with various maturities from 2061 to 2064(b)(e) |
110,255 |
| 1,465 |
Government National Mortgage Association, 4.783%, 4/20/2061(b) |
1,434 |
| 4,062 |
Government National Mortgage Association, 6.000%, 12/15/2031 |
4,226 |
| 17,437 |
Government National Mortgage Association, 6.500%, 5/15/2031 |
18,030 |
| 12,770 |
Government National Mortgage Association, 7.000%, 10/15/2028 |
12,827 |
| 635,539 |
Government National Mortgage Association, 1 mo. RFUCC Treasury + 1.762%, 7.245%, 2/20/2061(b) |
644,139 |
| 516,483 |
Government National Mortgage Association, 1 mo. RFUCC Treasury + 1.890%, 7.341%, 2/20/2063(b) |
526,652 |
| 392,424 |
Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.153%, 7.604%, 3/20/2063(b) |
402,314 |
| 454,298 |
Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.220%, 7.670%, 6/20/2065(b) |
464,435 |
| 326,214 |
Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.167%, 7.694%, 5/20/2065(b) |
333,478 |
| 241,178 |
Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.315%, 7.767%, 2/20/2063(b) |
246,508 |
| |
|
6,312,819 |
| |
Non-Agency Commercial Mortgage-Backed Securities — 3.6% | |
| 1,595,000 |
BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 |
1,389,822 |
| 855,000 |
BANK, Series 2023-5YR4, Class A3, 6.500%, 12/15/2056 |
900,852 |
| 3,895,000 |
BBCMS Mortgage Trust, Series 2020-BID, Class A, 1 mo. USD SOFR + 2.254%, 7.581%, 10/15/2037(a)(b) |
3,875,525 |
| 1,825,000 |
BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.851%, 12/15/2038(a)(b) |
1,724,920 |
| 4,650,000 |
BPR Trust, Series 2022-SSP, Class A, 1 mo. USD SOFR + 3.000%, 8.325%, 5/15/2039(a)(b) |
4,670,344 |
| 1,745,000 |
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3, 3.839%, 12/10/2054 |
1,661,098 |
| 987,986 |
Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) |
918,242 |
| 1,408,399 |
Commercial Mortgage Pass-Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049 |
1,383,876 |
| 2,570,000 |
DROP Mortgage Trust, Series 2021-FILE, Class A, 1 mo. USD SOFR + 1.264%, 6.590%, 10/15/2043(a)(b) |
2,471,369 |
| 2,070,217 |
Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034(a) |
2,011,158 |
| 3,295,000 |
SPGN Mortgage Trust, Series 2022-TFLM, Class A, 1 mo. USD SOFR + 1.550%, 6.875%, 2/15/2039(a)(b) |
3,238,674 |
| 2,995,449 |
Starwood Retail Property Trust, Series 2014-STAR, Class A, Prime + 0.000%, 8.500%, 11/15/2027(a)(b) |
2,189,270 |
| |
|
26,435,150 |
| |
Treasuries — 49.2% | |
| 4,010,000 |
U.S. Treasury Notes, 0.375%, 9/30/2027 |
3,497,315 |
See accompanying notes to financial statements.
47 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Limited Term Government and Agency Fund (continued)
| Principal
Amount |
Description |
Value (†) |
| |
Treasuries — continued | |
| $3,620,000
|
U.S. Treasury Notes, 2.750%, 4/30/2027 |
$3,447,202
|
| 71,120,000 |
U.S. Treasury Notes, 2.750%, 2/15/2028 |
67,136,169 |
| 13,575,000 |
U.S. Treasury Notes, 3.750%, 12/31/2028 |
13,285,471 |
| 26,990,000 |
U.S. Treasury Notes, 3.875%, 11/30/2027 |
26,553,521 |
| 10,465,000 |
U.S. Treasury Notes, 3.875%, 12/31/2027 |
10,296,170 |
| 12,315,000 |
U.S. Treasury Notes, 4.000%, 2/29/2028 |
12,171,165 |
| 42,930,000 |
U.S. Treasury Notes, 4.000%, 6/30/2028 |
42,453,745 |
| 4,080,000 |
U.S. Treasury Notes, 4.000%, 1/31/2029 |
4,037,925 |
| 5,270,000 |
U.S. Treasury Notes, 4.125%, 10/31/2027 |
5,228,210 |
| 7,645,000 |
U.S. Treasury Notes, 4.125%, 7/31/2028 |
7,597,219 |
| 4,860,000 |
U.S. Treasury Notes, 4.125%, 3/31/2029 |
4,839,117 |
| 3,850,000 |
U.S. Treasury Notes, 4.250%, 12/31/2025 |
3,818,268 |
| 12,050,000 |
U.S. Treasury Notes, 4.250%, 1/31/2026 |
11,954,918 |
| 13,620,000 |
U.S. Treasury Notes, 4.375%, 8/31/2028 |
13,675,863 |
| 44,880,000 |
U.S. Treasury Notes, 4.500%, 3/31/2026 |
44,767,800 |
| 15,490,000 |
U.S. Treasury Notes, 4.625%, 6/30/2025 |
15,433,728 |
| 20,570,000 |
U.S. Treasury Notes, 4.625%, 3/15/2026 |
20,552,323 |
| 5,565,000 |
U.S. Treasury Notes, 4.625%, 11/15/2026 |
5,583,043 |
| 18,775,000 |
U.S. Treasury Notes, 4.750%, 7/31/2025 |
18,741,997 |
| 18,230,000 |
U.S. Treasury Notes, 4.875%, 10/31/2028 |
18,687,886 |
| 3,710,000 |
U.S. Treasury Notes, 5.000%, 8/31/2025 |
3,717,536 |
| 9,130,000 |
U.S. Treasury Notes, 5.000%, 10/31/2025 |
9,155,678 |
| |
|
366,632,269 |
| |
Total Bonds and Notes (Identified Cost $721,868,388) |
704,193,274 |
| | ||
| | ||
| Short-Term Investments — 13.8% | ||
| 18,141,275 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $18,148,330 on 4/01/2024 collateralized by $19,149,800 U.S. Treasury Note, 2.375% due 4/30/2026 valued at $18,504,152 including accrued interest (Note 2 of Notes to Financial Statements) |
18,141,275 |
| 20,250,000 |
Federal Home Loan Bank Discount Notes, 5.180%, 4/10/2024(f) |
20,212,121 |
| 52,900,000 |
Federal National Mortgage Association Discount Notes, 5.230%, 4/01/2024(f) |
52,869,553 |
| 11,850,000 |
U.S. Treasury Bills, 5.248%, 4/09/2024(f) |
11,836,197 |
| |
Total Short-Term Investments (Identified Cost $103,101,233) |
103,059,146 |
| |
Total Investments — 108.4% (Identified Cost $824,969,621) |
807,252,420 |
| |
Other assets less liabilities — (8.4)% |
(62,437,135 ) |
| |
Net Assets — 100.0% |
$744,815,285 |
| (†) |
See Note 2 of Notes to Financial Statements. |
| (a)
|
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, 2024, the value of
Rule 144A holdings amounted to $43,569,335 or 5.8% of net assets. |
| (b)
|
Variable rate security. Rate as of March 31, 2024 is disclosed.
Issuers comprised of various lots with differing coupon rates have
been aggregated for the purpose of presentation in the Portfolio of
Investments and show a weighted average rate. Certain variable
rate securities are not based on a published reference rate and
spread, rather are determined by the issuer or agent and are
based on current market conditions. These securities may not
indicate a reference rate and/or spread in their description. |
| (c)
|
Level 3 security. Value has been determined using significant
unobservable inputs. See Note 3 of Notes to Financial Statements. |
| (d)
|
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. |
| (e)
|
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. |
| (f)
|
Interest rate represents discount rate at time of purchase; not a
coupon rate. |
| ABS
|
Asset-Backed Securities |
| ARMs
|
Adjustable Rate Mortgages |
| CMT
|
Constant Maturity Treasury |
| MTA
|
Monthly Treasury Average Interest |
| REMICS
|
Real
Estate Mortgage Investment Conduits |
| SOFR
|
Secured Overnight Financing Rate |
Industry Summary at March 31, 2024 (Unaudited)
| Treasuries |
49.2 % |
| Agency Commercial Mortgage-Backed Securities |
26.2 |
| Collateralized Mortgage Obligations |
9.5 |
| Non-Agency Commercial Mortgage-Backed Securities |
3.6 |
| Hybrid ARMs |
2.0 |
| Other Investments, less than 2% each |
4.1 |
| Short-Term Investments |
13.8 |
| Total Investments |
108.4 |
| Other assets less liabilities |
(8.4 ) |
| Net Assets |
100.0 % |
See accompanying notes to financial statements.
| 48
Statements of Assets and
Liabilities
March 31, 2024 (Unaudited)
| |
Core Plus Bond Fund |
Global Allocation
Fund |
Growth Fund |
| ASSETS |
|
|
|
| Unaffiliated investments at cost |
$8,176,602,656
|
$2,468,426,153
|
$6,548,002,069
|
| Affiliated investments at cost |
— |
— |
133,847,928 |
| Net unrealized appreciation (depreciation) on unaffiliated investments |
(506,180,500 ) |
481,689,618 |
6,776,328,589 |
| Net unrealized appreciation on affiliated investments |
— |
— |
3,507,729 |
| Investments at value |
7,670,422,156 |
2,950,115,771 |
13,461,686,315 |
| Cash |
285,510 |
4,126,641 |
1,731 |
| Due from brokers (Note 2) |
194,799 |
1,791,847 |
— |
| Foreign currency at value (identified cost $145, $6,043,454 and $0, respectively)
|
144 |
5,985,795 |
— |
| Receivable for Fund shares sold |
37,023,244 |
2,283,877 |
23,387,454 |
| Receivable for securities sold |
215,937,918 |
71,829,950 |
99,591,012 |
| Receivable for when-issued/delayed delivery securities sold (Note 2) |
148,651,536 |
— |
— |
| Collateral received for open forward foreign currency contracts (Notes 2 and 4) |
— |
370,000 |
— |
| Dividends and interest receivable |
58,085,299 |
11,530,934 |
9,745,790 |
| Unrealized appreciation on forward foreign currency contracts (Note 2) |
— |
899,780 |
— |
| Tax reclaims receivable |
399 |
357,345 |
10,152,626 |
| Receivable for variation margin on futures contracts (Note 2) |
— |
302,927 |
— |
| Prepaid expenses (Note 9) |
1,608 |
950 |
2,214 |
| TOTAL ASSETS |
8,130,602,613 |
3,049,595,817 |
13,604,567,142 |
| LIABILITIES |
|
|
|
| Payable for securities purchased |
500,099,081 |
943,362 |
— |
| Payable for when-issued/delayed delivery securities purchased (Note 2) |
242,353,793 |
— |
— |
| Payable for Fund shares redeemed |
28,089,253 |
4,010,973 |
15,864,289 |
| Payable for variation margin on futures contracts (Note 2) |
513,733 |
— |
— |
| Unrealized depreciation on forward foreign currency contracts (Note 2) |
— |
2,809,584 |
— |
| Foreign taxes payable (Note 2) |
— |
69,110 |
— |
| Due to brokers (Note 2) |
— |
370,000 |
— |
| Management fees payable (Note 6) |
1,965,219 |
1,933,684 |
5,726,023 |
| Deferred Trustees’ fees (Note 6) |
839,424 |
373,485 |
826,204 |
| Administrative fees payable (Note 6) |
276,361 |
116,839 |
519,283 |
| Payable to distributor (Note 6d) |
63,208 |
50,430 |
132,880 |
| Audit and tax services fees payable |
35,133 |
35,204 |
24,888 |
| Other accounts payable and accrued expenses |
341,487 |
191,956 |
613,757 |
| TOTAL LIABILITIES |
774,576,692 |
10,904,627 |
23,707,324 |
| COMMITMENTS AND
CONTINGENCIES(a) |
— |
— |
— |
| NET ASSETS |
$7,356,025,921 |
$3,038,691,190 |
$13,580,859,818 |
| NET ASSETS CONSIST OF: |
|
|
|
| Paid-in capital |
$8,496,649,197
|
$2,481,532,618
|
$6,164,207,353
|
| Accumulated earnings (loss) |
(1,140,623,276 ) |
557,158,572 |
7,416,652,465 |
| NET ASSETS |
$7,356,025,921 |
$3,038,691,190 |
$13,580,859,818 |
See accompanying notes to financial statements.
49 |
Statements of Assets and
Liabilities (continued)
March 31, 2024 (Unaudited)
| |
Core Plus Bond Fund |
Global Allocation
Fund |
Growth Fund |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
|
|
|
| Class A shares: |
|
|
|
| Net assets |
$397,872,526 |
$557,823,211 |
$1,072,872,589 |
| Shares of beneficial interest |
34,773,049 |
22,546,406 |
45,708,395 |
| Net asset value and redemption price per share |
$11.44 |
$24.74 |
$23.47 |
| Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) |
$11.95 |
$26.25 |
$24.90 |
| Class C shares:
(redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge) (Note 1) |
|
|
|
| Net assets |
$28,346,112 |
$258,846,093 |
$103,197,490 |
| Shares of beneficial interest |
2,474,770 |
10,941,840 |
5,271,943 |
| Net asset value and offering price per share |
$11.45 |
$23.66 |
$19.57 |
| Class N shares: |
|
|
|
| Net assets |
$2,144,244,621 |
$282,247,745 |
$801,388,959 |
| Shares of beneficial interest |
185,510,519 |
11,249,132 |
30,616,813 |
| Net asset value, offering and redemption price per share |
$11.56 |
$25.09 |
$26.17 |
| Class Y shares: |
|
|
|
| Net assets |
$4,785,562,662 |
$1,939,774,141 |
$11,603,400,780 |
| Shares of beneficial interest |
414,307,961 |
77,372,981 |
444,468,010 |
| Net asset value, offering and redemption price per share |
$11.55 |
$25.07 |
$26.11 |
| (a) |
As disclosed in the Notes to Financial Statements, if applicable. |
See accompanying notes to financial statements.
| 50
Statements of Assets and
Liabilities (continued)
March 31, 2024 (Unaudited)
| |
Intermediate Duration Bond
Fund |
Limited Term Government and
Agency Fund |
| ASSETS |
|
|
| Unaffiliated investments at cost |
$292,521,653
|
$824,969,621
|
| Net unrealized depreciation on unaffiliated investments |
(4,198,037 ) |
(17,717,201 ) |
| Investments at value |
288,323,616 |
807,252,420 |
| Cash |
19,215 |
68 |
| Due from brokers (Note 2) |
590,000 |
— |
| Receivable for Fund shares sold |
125,030 |
1,265,419 |
| Receivable for securities sold |
3,465,274 |
20,274,276 |
| Dividends and interest receivable |
2,456,272 |
3,787,524 |
| Tax reclaims receivable |
1,334 |
— |
| Prepaid expenses (Note 9) |
504 |
577 |
| TOTAL ASSETS |
294,981,245 |
832,580,284 |
| LIABILITIES |
|
|
| Payable for securities purchased |
6,150,474 |
85,276,081 |
| Payable for Fund shares redeemed |
552,332 |
1,121,209 |
| Payable for variation margin on futures contracts (Note 2) |
5,806 |
— |
| Distributions payable |
— |
648,682 |
| Management fees payable (Note 6) |
44,662 |
139,686 |
| Deferred Trustees’ fees (Note 6) |
136,474 |
394,554 |
| Administrative fees payable (Note 6) |
10,985 |
28,249 |
| Payable to distributor (Note 6d) |
6,151 |
12,542 |
| Audit and tax services fees payable |
33,229 |
35,611 |
| Other accounts payable and accrued expenses |
39,591 |
108,385 |
| TOTAL LIABILITIES |
6,979,704 |
87,764,999 |
| COMMITMENTS AND
CONTINGENCIES(a) |
— |
— |
| NET ASSETS |
$288,001,541 |
$744,815,285 |
| NET ASSETS CONSIST OF: |
|
|
| Paid-in capital |
$325,467,491
|
$830,505,616
|
| Accumulated loss |
(37,465,950 ) |
(85,690,331 ) |
| NET ASSETS |
$288,001,541 |
$744,815,285 |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
|
|
| Class A shares: |
|
|
| Net assets |
$3,792,199 |
$207,507,720 |
| Shares of beneficial interest |
402,614 |
19,371,189 |
| Net asset value and redemption price per share |
$9.42 |
$10.71 |
| Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) |
$9.84 |
$10.96 |
| Class C shares:
(redemption price per share is equal to net asset value less any applicable contingent deferred sales
charge) (Note 1) |
|
|
| Net assets |
$703,122 |
$7,764,284 |
| Shares of beneficial interest |
74,397 |
726,666 |
| Net asset value and offering price per share |
$9.45 |
$10.68 |
| Class N shares: |
|
|
| Net assets |
$57,500,095 |
$49,915,422 |
| Shares of beneficial interest |
6,108,702 |
4,646,139 |
| Net asset value, offering and redemption price per share |
$9.41 |
$10.74 |
| Class Y shares: |
|
|
| Net assets |
$226,006,125 |
$479,627,859 |
| Shares of beneficial interest |
24,003,651 |
44,632,196 |
| Net asset value, offering and redemption price per share |
$9.42 |
$10.75 |
| (a) |
As disclosed in the Notes to Financial Statements, if applicable. |
See accompanying notes to financial statements.
51 |
Statements of
Operations
For the Six Months Ended March 31, 2024 (Unaudited)
| |
Core Plus Bond Fund |
Global Allocation
Fund |
Growth Fund |
| INVESTMENT
INCOME |
|
|
|
| Interest |
$156,916,153
|
$21,794,440
|
$4,342,405
|
| Dividends |
— |
12,164,978 |
36,682,166 |
| Less net foreign taxes withheld |
— |
(389,208 ) |
(1,941,715 ) |
| |
156,916,153 |
33,570,210 |
39,082,856 |
| Expenses |
|
|
|
| Management fees (Note 6) |
11,159,564 |
10,666,514 |
30,696,951 |
| Service and distribution fees (Note 6) |
630,321 |
1,939,123 |
1,649,578 |
| Administrative fees (Note 6) |
1,591,166 |
658,147 |
2,817,052 |
| Trustees' fees and expenses (Note 6) |
211,733 |
95,204 |
315,355 |
| Transfer agent fees and expenses (Notes 6, 7 and 8) |
2,688,420 |
1,188,492 |
5,571,439 |
| Audit and tax services fees |
29,289 |
30,915 |
23,091 |
| Custodian fees and expenses |
107,502 |
97,147 |
149,205 |
| Legal fees |
95,708 |
35,346 |
159,703 |
| Registration fees |
131,271 |
75,757 |
116,682 |
| Shareholder reporting expenses |
176,527 |
94,878 |
342,339 |
| Miscellaneous expenses |
122,291 |
64,417 |
248,360 |
| Total expenses |
16,943,792 |
14,945,940 |
42,089,755 |
| Less waiver and/or expense reimbursement (Note 6) |
(241,843 ) |
— |
(60,409 ) |
| Less expense offset (Note 8) |
(55,963 ) |
(8,892 ) |
(239,817 ) |
| Net expenses |
16,645,986 |
14,937,048 |
41,789,529 |
| Net investment income (loss) |
140,270,167 |
18,633,162 |
(2,706,673 ) |
| Net realized and unrealized gain (loss) on Investments, Futures contracts, Forward foreign currency contracts and Foreign currency transactions |
|
|
|
| Net realized gain (loss) on: |
|
|
|
| Unaffiliated investments |
(35,226,185 ) |
89,554,475 |
769,921,599 |
| Futures contracts |
(1,882,112 ) |
244,761 |
— |
| Forward foreign currency contracts (Note 2e) |
— |
(1,487,659 ) |
— |
| Foreign currency transactions (Note 2d) |
(247,146 ) |
72,114 |
— |
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
| Unaffiliated investments |
323,399,947 |
407,604,768 |
2,280,188,294 |
| Affiliated investments |
— |
— |
3,507,729 |
| Futures contracts |
30,225,998 |
4,687,337 |
— |
| Forward foreign currency contracts (Note 2e) |
— |
(323,787 ) |
— |
| Foreign currency translations (Note 2d) |
268,130 |
116,571 |
38,443 |
| Net realized and unrealized gain on Investments, Futures contracts, Forward foreign currency contracts
and Foreign currency transactions |
316,538,632 |
500,468,580 |
3,053,656,065 |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$456,808,799 |
$519,101,742 |
$3,050,949,392 |
See accompanying notes to financial statements.
| 52
Statements of Operations
(continued)
For the Six Months Ended March 31, 2024 (Unaudited)
| |
Intermediate Duration Bond
Fund |
Limited Term Government and
Agency Fund |
| INVESTMENT
INCOME |
|
|
| Interest |
$7,170,474
|
$16,032,348
|
| Less net foreign taxes withheld |
(6 ) |
— |
| |
7,170,468 |
16,032,348 |
| Expenses |
|
|
| Management fees (Note 6) |
396,724 |
1,189,854 |
| Service and distribution fees (Note 6) |
9,915 |
297,626 |
| Administrative fees (Note 6) |
72,954 |
172,610 |
| Trustees' fees and expenses (Note 6) |
25,668 |
57,331 |
| Transfer agent fees and expenses (Notes 6, 7 and 8) |
110,066 |
358,880 |
| Audit and tax services fees |
28,768 |
31,043 |
| Custodian fees and expenses |
12,382 |
18,356 |
| Legal fees |
4,778 |
9,724 |
| Registration fees |
55,318 |
81,182 |
| Shareholder reporting expenses |
18,961 |
36,132 |
| Miscellaneous expenses |
23,591 |
27,281 |
| Total expenses |
759,125 |
2,280,019 |
| Less waiver and/or expense reimbursement (Note 6) |
(127,477 ) |
(275,190 ) |
| Less expense offset (Note 8) |
(893 ) |
(28,044 ) |
| Net expenses |
630,755 |
1,976,785 |
| Net investment income |
6,539,713 |
14,055,563 |
| Net realized and unrealized gain (loss) on Investments and Futures contracts |
|
|
| Net realized gain (loss) on: |
|
|
| Unaffiliated investments |
(1,183,719 ) |
624,225 |
| Futures contracts |
(266,078 ) |
— |
| Net change in unrealized appreciation (depreciation) on: |
|
|
| Unaffiliated investments |
10,280,451 |
10,612,408 |
| Futures contracts |
640,643 |
— |
| Net realized and unrealized gain on Investments and Futures contracts |
9,471,297 |
11,236,633 |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$16,011,010 |
$25,292,196 |
See accompanying notes to financial statements.
53 |
Statements of Changes in Net
Assets
| |
Core Plus
Bond Fund |
Global
Allocation Fund | ||
| |
Six Months Ended March 31,2024
(Unaudited) |
Year Ended September 30,2023 |
Six Months Ended March 31,2024
(Unaudited) |
Year Ended September 30,2023 |
| FROM OPERATIONS: |
|
|
|
|
| Net investment income |
$140,270,167
|
$230,602,339
|
$18,633,162
|
$34,175,709
|
| Net realized gain (loss) on investments, futures contracts, forward foreign
currency contracts and foreign currency transactions |
(37,355,443 ) |
(259,997,860 ) |
88,383,691 |
103,329,063 |
| Net change in unrealized appreciation on investments, futures contracts,
forward foreign currency contracts and foreign currency translations |
353,894,075 |
70,468,730 |
412,084,889 |
369,524,598 |
| Net increase in net assets resulting from operations |
456,808,799 |
41,073,209 |
519,101,742 |
507,029,370 |
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(7,718,286 ) |
(14,223,494 ) |
(19,252,001 ) |
(46,037,953 ) |
| Class C |
(470,006 ) |
(1,000,231 ) |
(9,934,162 ) |
(28,653,920 ) |
| Class N |
(43,688,164 ) |
(75,521,129 ) |
(11,641,729 ) |
(23,349,603 ) |
| Class Y |
(94,227,164 ) |
(146,856,134 ) |
(71,141,366 ) |
(167,186,118 ) |
| Total distributions |
(146,103,620 ) |
(237,600,988 ) |
(111,969,258 ) |
(265,227,594 ) |
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 12) |
332,311,588 |
998,143,455 |
(64,753,878 ) |
(506,795,479 ) |
| Net increase (decrease) in net assets |
643,016,767 |
801,615,676 |
342,378,606 |
(264,993,703 ) |
| NET ASSETS |
|
|
|
|
| Beginning of the period |
6,713,009,154 |
5,911,393,478 |
2,696,312,584 |
2,961,306,287 |
| End of the period |
$7,356,025,921 |
$6,713,009,154 |
$3,038,691,190 |
$2,696,312,584 |
See accompanying notes to financial statements.
| 54
Statements of Changes in Net
Assets (continued)
| |
Growth
Fund |
Intermediate Duration Bond Fund | ||
| |
Six Months Ended March 31,2024
(Unaudited) |
Year Ended September 30,2023 |
Six Months Ended March 31,2024
(Unaudited) |
Year Ended September 30,2023 |
| FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$(2,706,673
) |
$(19,364,839
) |
$6,539,713
|
$10,815,532
|
| Net realized gain (loss) on investments and futures contracts |
769,921,599 |
623,787,240 |
(1,449,797 ) |
(11,692,886 ) |
| Net change in unrealized appreciation on investments, futures contracts and
foreign currency translations |
2,283,734,466 |
2,716,623,774 |
10,921,094 |
8,549,222 |
| Net increase in net assets resulting from operations |
3,050,949,392 |
3,321,046,175 |
16,011,010 |
7,671,868 |
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(61,797,811 ) |
(87,496,281 ) |
(97,313 ) |
(458,681 ) |
| Class C |
(6,693,261 ) |
(11,157,335 ) |
(11,124 ) |
(16,463 ) |
| Class N |
(42,231,293 ) |
(94,252,383 ) |
(1,183,516 ) |
(924,081 ) |
| Class Y |
(605,668,194 ) |
(1,021,376,434 ) |
(5,313,680 ) |
(9,622,358 ) |
| Total distributions |
(716,390,559 ) |
(1,214,282,433 ) |
(6,605,633 ) |
(11,021,583 ) |
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 12) |
446,160,809 |
(794,319,290 ) |
(66,518,648 ) |
55,500,864 |
| Net increase (decrease) in net assets |
2,780,719,642 |
1,312,444,452 |
(57,113,271 ) |
52,151,149 |
| NET ASSETS |
|
|
|
|
| Beginning of the period |
10,800,140,176 |
9,487,695,724 |
345,114,812 |
292,963,663 |
| End of the period |
$13,580,859,818 |
$10,800,140,176 |
$288,001,541 |
$345,114,812 |
See accompanying notes to financial statements.
55 |
Statements of Changes in Net
Assets (continued)
| |
Limited
Term Government and Agency Fund | |
| |
Six Months Ended March 31,2024
(Unaudited) |
Year Ended September 30,2023 |
| FROM OPERATIONS: |
|
|
| Net investment income |
$14,055,563
|
$22,918,860
|
| Net realized gain (loss) on investments |
624,225 |
(11,880,518 ) |
| Net change in unrealized appreciation on investments |
10,612,408 |
7,382,057 |
| Net increase in net assets resulting from operations |
25,292,196 |
18,420,399 |
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
| Class A |
(4,061,867 ) |
(7,482,280 ) |
| Class C |
(122,714 ) |
(275,385 ) |
| Class N |
(994,561 ) |
(1,508,048 ) |
| Class Y |
(10,078,688 ) |
(15,806,812 ) |
| Total distributions |
(15,257,830 ) |
(25,072,525 ) |
| NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 12) |
(14,972,455 ) |
(15,089,643 ) |
| Net decrease in net assets |
(4,938,089 ) |
(21,741,769 ) |
| NET ASSETS |
|
|
| Beginning of the period |
749,753,374 |
771,495,143 |
| End of the period |
$744,815,285 |
$749,753,374 |
See accompanying notes to financial statements.
| 56
Financial
Highlights
For a share outstanding throughout each period.
| |
Core Plus
Bond Fund—Class A | |||||
| |
Six Months Ended March
31,
2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$10.93 |
$11.20 |
$13.59 |
$14.08 |
$13.25 |
$12.53 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.21 |
0.38 |
0.26 |
0.21 |
0.26 |
0.34 |
| Net realized and unrealized gain (loss) |
0.52 |
(0.25 ) |
(2.30 ) |
(0.13 ) |
0.86 |
0.70 |
| Total from Investment Operations |
0.73 |
0.13 |
(2.04 ) |
0.08 |
1.12 |
1.04 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.22 ) |
(0.40 ) |
(0.32 ) |
(0.29 ) |
(0.29 ) |
(0.32 ) |
| Net realized capital gains |
— |
— |
(0.03 ) |
(0.28 ) |
— |
— |
| Total Distributions |
(0.22 ) |
(0.40 ) |
(0.35 ) |
(0.57 ) |
(0.29 ) |
(0.32 ) |
| Net asset value, end of the period |
$11.44 |
$10.93 |
$11.20 |
$13.59 |
$14.08 |
$13.25 |
| Total return(b) |
6.77 %(c)(d)
|
1.04 %(c) |
(15.24 )%(c) |
0.53 % |
8.60 % |
8.39 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$397,873
|
$376,624
|
$428,825
|
$747,497
|
$617,609
|
$558,291
|
| Net expenses |
0.74 %(e)(f)
|
0.74 %(e) |
0.73 %(e)(g)
|
0.71 % |
0.72 %(h) |
0.73 % |
| Gross expenses |
0.75 %(f) |
0.75 % |
0.74 % |
0.71 % |
0.72 % |
0.73 % |
| Net investment income |
3.79 %(f) |
3.33 % |
2.08 % |
1.51 % |
1.88 % |
2.63 % |
| Portfolio turnover rate |
92 % |
168 % |
280 % |
266 % |
359 %(i) |
297 % |
| (a) |
Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) |
A sales charge for Class A shares is not reflected in total return calculations. |
| (c) |
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) |
Periods less than one year are not annualized. |
| (e) |
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses
would have been higher. |
| (f) |
Computed on an annualized basis for periods less than one year. |
| (g) |
Effective July 1, 2022, the expense limit decreased from 0.75% to 0.74%. |
| (h) |
Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%. |
| (i) |
The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
See accompanying notes to financial statements.
57 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Core Plus
Bond Fund—Class C | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$10.94 |
$11.21 |
$13.60 |
$14.09 |
$13.25 |
$12.53 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.17 |
0.30 |
0.17 |
0.10 |
0.15 |
0.24 |
| Net realized and unrealized gain (loss) |
0.52 |
(0.26 ) |
(2.30 ) |
(0.13 ) |
0.88 |
0.70 |
| Total from Investment Operations |
0.69 |
0.04 |
(2.13 ) |
(0.03 ) |
1.03 |
0.94 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.18 ) |
(0.31 ) |
(0.23 ) |
(0.18 ) |
(0.19 ) |
(0.22 ) |
| Net realized capital gains |
— |
— |
(0.03 ) |
(0.28 ) |
— |
— |
| Total Distributions |
(0.18 ) |
(0.31 ) |
(0.26 ) |
(0.46 ) |
(0.19 ) |
(0.22 ) |
| Net asset value, end of the period |
$11.45 |
$10.94 |
$11.21 |
$13.60 |
$14.09 |
$13.25 |
| Total return(b) |
6.36 %(c)(d)
|
0.26 %(c) |
(15.88 )%(c) |
(0.24 )% |
7.83 % |
7.57 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$28,346
|
$30,402
|
$48,679
|
$95,755
|
$132,590
|
$160,201
|
| Net expenses |
1.49 %(e)(f)
|
1.49 %(e) |
1.48 %(e)(g)
|
1.46 % |
1.47 %(h) |
1.48 % |
| Gross expenses |
1.50 %(f) |
1.50 % |
1.49 % |
1.46 % |
1.47 % |
1.48 % |
| Net investment income |
3.03 %(f) |
2.57 % |
1.33 % |
0.75 % |
1.13 % |
1.88 % |
| Portfolio turnover rate |
92 % |
168 % |
280 % |
266 % |
359 %(i) |
297 % |
| (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. |
| (g) |
Effective July 1, 2022, the expense limit decreased from 1.50% to 1.49%. |
| (h) |
Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%. |
| (i) |
The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
See accompanying notes to financial statements.
| 58
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Core Plus
Bond Fund—Class N | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$11.04 |
$11.31 |
$13.72 |
$14.21 |
$13.37 |
$12.63 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.23 |
0.43 |
0.31 |
0.26 |
0.30 |
0.38 |
| Net realized and unrealized gain (loss) |
0.53 |
(0.26 ) |
(2.32 ) |
(0.14 ) |
0.88 |
0.72 |
| Total from Investment Operations |
0.76 |
0.17 |
(2.01 ) |
0.12 |
1.18 |
1.10 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.24 ) |
(0.44 ) |
(0.37 ) |
(0.33 ) |
(0.34 ) |
(0.36 ) |
| Net realized capital gains |
— |
— |
(0.03 ) |
(0.28 ) |
— |
— |
| Total Distributions |
(0.24 ) |
(0.44 ) |
(0.40 ) |
(0.61 ) |
(0.34 ) |
(0.36 ) |
| Net asset value, end of the period |
$11.56 |
$11.04 |
$11.31 |
$13.72 |
$14.21 |
$13.37 |
| Total return |
6.98 %(b) |
1.37 % |
(14.94 )% |
0.86 % |
8.95 % |
8.85 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$2,144,245
|
$2,015,457
|
$1,890,793
|
$2,563,736
|
$2,682,487
|
$2,610,699
|
| Net expenses |
0.40 %(c) |
0.40 % |
0.38 %(d) |
0.38 % |
0.38 %(e) |
0.39 % |
| Gross expenses |
0.40 %(c) |
0.40 % |
0.38 % |
0.38 % |
0.38 % |
0.39 % |
| Net investment income |
4.13 %(c) |
3.69 % |
2.47 % |
1.84 % |
2.21 % |
2.96 % |
| Portfolio turnover rate |
92 % |
168 % |
280 % |
266 % |
359 %(f) |
297 % |
| (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, 2022, the expense limit decreased from 0.45% to 0.44%. |
| (e) |
Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%. |
| (f) |
The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
See accompanying notes to financial statements.
59 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Core Plus
Bond Fund—Class Y | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$11.03 |
$11.30 |
$13.71 |
$14.20 |
$13.36 |
$12.63 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.23 |
0.42 |
0.30 |
0.24 |
0.29 |
0.37 |
| Net realized and unrealized gain (loss) |
0.53 |
(0.26 ) |
(2.32 ) |
(0.13 ) |
0.88 |
0.71 |
| Total from Investment Operations |
0.76 |
0.16 |
(2.02 ) |
0.11 |
1.17 |
1.08 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.24 ) |
(0.43 ) |
(0.36 ) |
(0.32 ) |
(0.33 ) |
(0.35 ) |
| Net realized capital gains |
— |
— |
(0.03 ) |
(0.28 ) |
— |
— |
| Total Distributions |
(0.24 ) |
(0.43 ) |
(0.39 ) |
(0.60 ) |
(0.33 ) |
(0.35 ) |
| Net asset value, end of the period |
$11.55 |
$11.03 |
$11.30 |
$13.71 |
$14.20 |
$13.36 |
| Total return |
6.93 %(b)(c)
|
1.28 %(b) |
(15.03 )%(b) |
0.78 % |
8.87 % |
8.67 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$4,785,563
|
$4,290,526
|
$3,543,096
|
$5,442,563
|
$5,846,057
|
$4,163,785
|
| Net expenses |
0.49 %(d)(e)
|
0.49 %(d) |
0.48 %(d)(f)
|
0.46 % |
0.47 %(g) |
0.48 % |
| Gross expenses |
0.50 %(e) |
0.50 % |
0.49 % |
0.46 % |
0.47 % |
0.48 % |
| Net investment income |
4.04 %(e) |
3.60 % |
2.35 % |
1.76 % |
2.11 % |
2.87 % |
| Portfolio turnover rate |
92 % |
168 % |
280 % |
266 % |
359 %(h) |
297 % |
| (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, 2022, the expense limit decreased from 0.50% to 0.49%. |
| (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 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
See accompanying notes to financial statements.
| 60
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Global
Allocation Fund—Class A |
|||||
| |
Six Months Ended March
31,
2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$21.45 |
$19.94 |
$28.86 |
$26.23 |
$23.76 |
$23.10 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.14 |
0.23 |
0.13 |
0.06 |
0.10 |
0.19 |
| Net realized and unrealized gain (loss) |
4.04 |
3.31 |
(6.89 ) |
4.18 |
3.05 |
1.38 |
| Total from Investment Operations |
4.18 |
3.54 |
(6.76 ) |
4.24 |
3.15 |
1.57 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.04 ) |
— |
— |
(0.13 ) |
(0.12 ) |
(0.16 ) |
| Net realized capital gains |
(0.85 ) |
(2.03 ) |
(2.16 ) |
(1.48 ) |
(0.56 ) |
(0.75 ) |
| Total Distributions |
(0.89 ) |
(2.03 ) |
(2.16 ) |
(1.61 ) |
(0.68 ) |
(0.91 ) |
| Net asset value, end of the period |
$24.74 |
$21.45 |
$19.94 |
$28.86 |
$26.23 |
$23.76 |
| Total return(b) |
19.79 %(c) |
18.67 % |
(25.59 )% |
16.73 % |
13.41 % |
7.66 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$557,823
|
$474,968
|
$482,031
|
$737,469
|
$632,479
|
$453,009
|
| Net expenses |
1.17 %(d) |
1.17 % |
1.14 % |
1.13 % |
1.15 % |
1.16 % |
| Gross expenses |
1.17 %(d) |
1.17 % |
1.14 % |
1.13 % |
1.15 % |
1.16 % |
| Net investment income |
1.18 %(d) |
1.09 % |
0.52 % |
0.23 % |
0.42 % |
0.83 % |
| Portfolio turnover rate |
9 % |
19 % |
35 % |
45 % |
37 % |
27 % |
| (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.
61 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Global
Allocation Fund—Class C |
|||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$20.59 |
$19.34 |
$28.26 |
$25.78 |
$23.43 |
$22.78 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income (loss)(a) |
0.05 |
0.07 |
(0.06 ) |
(0.14 ) |
(0.08 ) |
0.02 |
| Net realized and unrealized gain (loss) |
3.87 |
3.21 |
(6.70 ) |
4.10 |
2.99 |
1.38 |
| Total from Investment Operations |
3.92 |
3.28 |
(6.76 ) |
3.96 |
2.91 |
1.40 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
— |
— |
— |
— |
— |
(0.00 )(b) |
| Net realized capital gains |
(0.85 ) |
(2.03 ) |
(2.16 ) |
(1.48 ) |
(0.56 ) |
(0.75 ) |
| Total Distributions |
(0.85 ) |
(2.03 ) |
(2.16 ) |
(1.48 ) |
(0.56 ) |
(0.75 ) |
| Net asset value, end of the period |
$23.66 |
$20.59 |
$19.34 |
$28.26 |
$25.78 |
$23.43 |
| Total return(c) |
19.36 %(d) |
17.84 % |
(26.16 )% |
15.85 % |
12.55 % |
6.85 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$258,846
|
$256,487
|
$302,501
|
$503,073
|
$483,814
|
$480,479
|
| Net expenses |
1.91 %(e) |
1.92 % |
1.89 % |
1.88 % |
1.90 % |
1.91 % |
| Gross expenses |
1.92 %(e)(f)
|
1.92 % |
1.89 % |
1.88 % |
1.90 % |
1.91 % |
| Net investment income (loss) |
0.43 %(e) |
0.33 % |
(0.23 )% |
(0.52 )% |
(0.33 )% |
0.08 % |
| Portfolio turnover rate |
9 % |
19 % |
35 % |
45 % |
37 % |
27 % |
| (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. |
| (f) |
Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 1.91%. See Note 8 of
Notes to Financial Statements. |
See accompanying notes to financial statements.
| 62
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Global
Allocation Fund—Class N |
|||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$21.78 |
$20.14 |
$29.09 |
$26.42 |
$23.92 |
$23.25 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.18 |
0.31 |
0.22 |
0.15 |
0.18 |
0.27 |
| Net realized and unrealized gain (loss) |
4.09 |
3.36 |
(6.96 ) |
4.21 |
3.07 |
1.38 |
| Total from Investment Operations |
4.27 |
3.67 |
(6.74 ) |
4.36 |
3.25 |
1.65 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.11 ) |
— |
(0.05 ) |
(0.21 ) |
(0.19 ) |
(0.23 ) |
| Net realized capital gains |
(0.85 ) |
(2.03 ) |
(2.16 ) |
(1.48 ) |
(0.56 ) |
(0.75 ) |
| Total Distributions |
(0.96 ) |
(2.03 ) |
(2.21 ) |
(1.69 ) |
(0.75 ) |
(0.98 ) |
| Net asset value, end of the period |
$25.09 |
$21.78 |
$20.14 |
$29.09 |
$26.42 |
$23.92 |
| Total return |
19.97 %(b) |
19.16 % |
(25.36 )% |
17.10 % |
13.78 % |
8.04 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$282,248
|
$266,298
|
$243,862
|
$350,222
|
$264,338
|
$202,692
|
| Net expenses |
0.83 %(c) |
0.82 % |
0.81 % |
0.81 % |
0.82 % |
0.82 % |
| Gross expenses |
0.83 %(c) |
0.82 % |
0.81 % |
0.81 % |
0.82 % |
0.82 % |
| Net investment income |
1.51 %(c) |
1.43 % |
0.87 % |
0.55 % |
0.76 % |
1.20 % |
| Portfolio turnover rate |
9 % |
19 % |
35 % |
45 % |
37 % |
27 % |
| (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.
63 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Global
Allocation Fund—Class Y |
|||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$21.75 |
$20.14 |
$29.09 |
$26.42 |
$23.92 |
$23.25 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.17 |
0.29 |
0.20 |
0.13 |
0.16 |
0.24 |
| Net realized and unrealized gain (loss) |
4.09 |
3.35 |
(6.96 ) |
4.21 |
3.07 |
1.40 |
| Total from Investment Operations |
4.26 |
3.64 |
(6.76 ) |
4.34 |
3.23 |
1.64 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.09 ) |
— |
(0.03 ) |
(0.19 ) |
(0.17 ) |
(0.22 ) |
| Net realized capital gains |
(0.85 ) |
(2.03 ) |
(2.16 ) |
(1.48 ) |
(0.56 ) |
(0.75 ) |
| Total Distributions |
(0.94 ) |
(2.03 ) |
(2.19 ) |
(1.67 ) |
(0.73 ) |
(0.97 ) |
| Net asset value, end of the period |
$25.07 |
$21.75 |
$20.14 |
$29.09 |
$26.42 |
$23.92 |
| Total return |
19.94 %(b) |
19.00 % |
(25.41 )% |
17.02 % |
13.70 % |
7.95 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$1,939,774
|
$1,698,560
|
$1,932,913
|
$3,286,680
|
$2,660,927
|
$1,938,124
|
| Net expenses |
0.92 %(c) |
0.92 % |
0.89 % |
0.88 % |
0.90 % |
0.91 % |
| Gross expenses |
0.92 %(c) |
0.92 % |
0.89 % |
0.88 % |
0.90 % |
0.91 % |
| Net investment income |
1.43 %(c) |
1.33 % |
0.77 % |
0.48 % |
0.67 % |
1.08 % |
| Portfolio turnover rate |
9 % |
19 % |
35 % |
45 % |
37 % |
27 % |
| (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.
| 64
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Growth
Fund—Class A | |||||
| |
Six Months Ended March
31,
2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$19.58 |
$16.45 |
$23.85 |
$20.72 |
$16.02 |
$16.05 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income (loss)(a) |
(0.03 ) |
(0.08 ) |
(0.06 ) |
(0.05 ) |
0.01 |
0.05 |
| Net realized and unrealized gain (loss) |
5.32 |
5.89 |
(6.10 ) |
4.17 |
5.14 |
0.71 |
| Total from Investment Operations |
5.29 |
5.81 |
(6.16 ) |
4.12 |
5.15 |
0.76 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
— |
— |
— |
— |
(0.05 ) |
(0.05 ) |
| Net realized capital gains |
(1.40 ) |
(2.68 ) |
(1.24 ) |
(0.99 ) |
(0.40 ) |
(0.74 ) |
| Total Distributions |
(1.40 ) |
(2.68 ) |
(1.24 ) |
(0.99 ) |
(0.45 ) |
(0.79 ) |
| Net asset value, end of the period |
$23.47 |
$19.58 |
$16.45 |
$23.85 |
$20.72 |
$16.02 |
| Total return(b) |
28.02 %(c) |
40.67 % |
(27.48 )% |
20.43 % |
32.80 % |
5.81 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$1,072,873
|
$798,843
|
$1,164,116
|
$1,740,523
|
$1,477,915
|
$1,250,030
|
| Net expenses |
0.91 %(d) |
0.92 % |
0.90 % |
0.89 % |
0.90 % |
0.91 % |
| Gross expenses |
0.95 %(d)(e)
|
0.92 % |
0.90 % |
0.89 % |
0.90 % |
0.91 % |
| Net investment income (loss) |
(0.27 )%(d) |
(0.43 )% |
(0.30 )% |
(0.22 )% |
0.04 % |
0.35 % |
| Portfolio turnover rate |
6 % |
13 % |
20 % |
9 % |
19 % |
7 % |
| (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. |
| (e) |
Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 0.91%. See Note 8 of
Notes to Financial Statements. |
See accompanying notes to financial statements.
65 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Growth
Fund—Class C | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$16.60 |
$14.42 |
$21.21 |
$18.66 |
$14.53 |
$14.68 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment loss(a) |
(0.09 ) |
(0.18 ) |
(0.20 ) |
(0.20 ) |
(0.11 ) |
(0.06 ) |
| Net realized and unrealized gain (loss) |
4.46 |
5.04 |
(5.35 ) |
3.74 |
4.64 |
0.65 |
| Total from Investment Operations |
4.37 |
4.86 |
(5.55 ) |
3.54 |
4.53 |
0.59 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net realized capital gains |
(1.40 ) |
(2.68 ) |
(1.24 ) |
(0.99 ) |
(0.40 ) |
(0.74 ) |
| Net asset value, end of the period |
$19.57 |
$16.60 |
$14.42 |
$21.21 |
$18.66 |
$14.53 |
| Total return(b) |
27.49 %(c) |
39.68 % |
(28.05 )% |
19.55 % |
31.76 % |
5.05 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$103,197
|
$78,116
|
$65,977
|
$127,003
|
$128,764
|
$120,493
|
| Net expenses |
1.66 %(d) |
1.67 % |
1.65 % |
1.63 % |
1.65 % |
1.66 % |
| Gross expenses |
1.66 %(d) |
1.67 % |
1.65 % |
1.63 % |
1.65 % |
1.66 % |
| Net investment loss |
(1.02 )%(d) |
(1.18 )% |
(1.05 )% |
(0.97 )% |
(0.71 )% |
(0.39 )% |
| Portfolio turnover rate |
6 % |
13 % |
20 % |
9 % |
19 % |
7 % |
| (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.
| 66
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Growth
Fund—Class N | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$21.66 |
$17.87 |
$25.73 |
$22.26 |
$17.17 |
$17.15 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income (loss)(a) |
0.01 |
(0.02 ) |
0.01 |
0.02 |
0.07 |
0.11 |
| Net realized and unrealized gain (loss) |
5.90 |
6.49 |
(6.63 ) |
4.49 |
5.53 |
0.76 |
| Total from Investment Operations |
5.91 |
6.47 |
(6.62 ) |
4.51 |
5.60 |
0.87 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
— |
— |
— |
(0.05 ) |
(0.11 ) |
(0.11 ) |
| Net realized capital gains |
(1.40 ) |
(2.68 ) |
(1.24 ) |
(0.99 ) |
(0.40 ) |
(0.74 ) |
| Total Distributions |
(1.40 ) |
(2.68 ) |
(1.24 ) |
(1.04 ) |
(0.51 ) |
(0.85 ) |
| Net asset value, end of the period |
$26.17 |
$21.66 |
$17.87 |
$25.73 |
$22.26 |
$17.17 |
| Total return |
28.20 %(b) |
41.19 % |
(27.25 )% |
20.80 % |
33.26 % |
6.14 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$801,389
|
$718,311
|
$663,001
|
$806,186
|
$579,571
|
$442,787
|
| Net expenses |
0.57 %(c) |
0.58 % |
0.57 % |
0.56 % |
0.57 % |
0.56 % |
| Gross expenses |
0.57 %(c) |
0.58 % |
0.57 % |
0.56 % |
0.57 % |
0.56 % |
| Net investment income (loss) |
0.06 %(c) |
(0.08 )% |
0.04 % |
0.09 % |
0.38 % |
0.69 % |
| Portfolio turnover rate |
6 % |
13 % |
20 % |
9 % |
19 % |
7 % |
| (a) |
Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) |
Periods less than one year are not annualized. |
| (c) |
Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
67 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Growth
Fund—Class Y | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$21.61 |
$17.86 |
$25.73 |
$22.26 |
$17.17 |
$17.14 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income (loss)(a) |
(0.00 )(b) |
(0.03 ) |
(0.01 ) |
0.01 |
0.05 |
0.10 |
| Net realized and unrealized gain (loss) |
5.90 |
6.46 |
(6.62 ) |
4.48 |
5.53 |
0.77 |
| Total from Investment Operations |
5.90 |
6.43 |
(6.63 ) |
4.49 |
5.58 |
0.87 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
— |
— |
— |
(0.03 ) |
(0.09 ) |
(0.10 ) |
| Net realized capital gains |
(1.40 ) |
(2.68 ) |
(1.24 ) |
(0.99 ) |
(0.40 ) |
(0.74 ) |
| Total Distributions |
(1.40 ) |
(2.68 ) |
(1.24 ) |
(1.02 ) |
(0.49 ) |
(0.84 ) |
| Net asset value, end of the period |
$26.11 |
$21.61 |
$17.86 |
$25.73 |
$22.26 |
$17.17 |
| Total return |
28.22 %(c) |
40.97 % |
(27.29 )% |
20.72 % |
33.15 % |
6.09 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$11,603,401
|
$9,204,871
|
$7,594,603
|
$11,094,922
|
$9,313,775
|
$7,017,707
|
| Net expenses |
0.66 %(d) |
0.67 % |
0.65 % |
0.64 % |
0.65 % |
0.66 % |
| Gross expenses |
0.66 %(d) |
0.67 % |
0.65 % |
0.64 % |
0.65 % |
0.66 % |
| Net investment income (loss) |
(0.02 )%(d) |
(0.17 )% |
(0.05 )% |
0.02 % |
0.27 % |
0.60 % |
| Portfolio turnover rate |
6 % |
13 % |
20 % |
9 % |
19 % |
7 % |
| (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) |
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.
| 68
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Intermediate Duration Bond Fund—Class A | |||||
| |
Six Months Ended March
31,
2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$9.16 |
$9.23 |
$10.58 |
$10.99 |
$10.51 |
$9.97 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.18 |
0.29 |
0.15 |
0.11 |
0.19 |
0.25 |
| Net realized and unrealized gain (loss) |
0.26 |
(0.06 ) |
(1.30 ) |
(0.11 ) |
0.54 |
0.55 |
| Total from Investment Operations |
0.44 |
0.23 |
(1.15 ) |
(0.00
)(b) |
0.73 |
0.80 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.18 ) |
(0.30 ) |
(0.15 ) |
(0.12 ) |
(0.20 ) |
(0.26 ) |
| Net realized capital gains |
— |
— |
(0.05 ) |
(0.29 ) |
(0.05 ) |
— |
| Total Distributions |
(0.18 ) |
(0.30 ) |
(0.20 ) |
(0.41 ) |
(0.25 ) |
(0.26 ) |
| Net asset value, end of the period |
$9.42 |
$9.16 |
$9.23 |
$10.58 |
$10.99 |
$10.51 |
| Total return(c)(d) |
4.87 %(e) |
2.53 % |
(10.98 )% |
(0.06 )% |
7.06 % |
8.11 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$3,792
|
$7,150
|
$18,077
|
$20,942
|
$19,962
|
$21,415
|
| Net expenses(f) |
0.65 %(g) |
0.65 % |
0.65 % |
0.65 % |
0.65 % |
0.65 % |
| Gross expenses |
0.74 %(g)(h)
|
0.71 % |
0.68 % |
0.70 % |
0.72 % |
0.72 % |
| Net investment income |
3.85 %(g) |
3.12 % |
1.49 % |
1.03 % |
1.78 % |
2.42 % |
| Portfolio turnover rate |
64 % |
138 % |
144 % |
100 % |
123 % |
135 % |
| (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. |
| (h) |
Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 0.73%. See Note 8 of
Notes to Financial Statements. |
See accompanying notes to financial statements.
69 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Intermediate Duration Bond Fund—Class C | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$9.19 |
$9.27 |
$10.62 |
$11.02 |
$10.54 |
$10.00 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.15 |
0.24 |
0.06 |
0.03 |
0.11 |
0.17 |
| Net realized and unrealized gain (loss) |
0.26 |
(0.08 ) |
(1.29 ) |
(0.11 ) |
0.54 |
0.55 |
| Total from Investment Operations |
0.41 |
0.16 |
(1.23 ) |
(0.08 ) |
0.65 |
0.72 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.15 ) |
(0.24 ) |
(0.07 ) |
(0.03 ) |
(0.12 ) |
(0.18 ) |
| Net realized capital gains |
— |
— |
(0.05 ) |
(0.29 ) |
(0.05 ) |
— |
| Total Distributions |
(0.15 ) |
(0.24 ) |
(0.12 ) |
(0.32 ) |
(0.17 ) |
(0.18 ) |
| Net asset value, end of the period |
$9.45 |
$9.19 |
$9.27 |
$10.62 |
$11.02 |
$10.54 |
| Total return(b)(c) |
4.49 %(d) |
1.69 % |
(11.65 )% |
(0.76 )% |
6.27 % |
7.28 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$703
|
$698
|
$174
|
$315
|
$668
|
$467
|
| Net expenses(e) |
1.40 %(f) |
1.40 % |
1.40 % |
1.40 % |
1.40 % |
1.40 % |
| Gross expenses |
1.49 %(f) |
1.46 % |
1.43 % |
1.45 % |
1.46 % |
1.48 % |
| Net investment income |
3.14 %(f) |
2.53 % |
0.60 % |
0.30 % |
1.00 % |
1.64 % |
| Portfolio turnover rate |
64 % |
138 % |
144 % |
100 % |
123 % |
135 % |
| (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.
| 70
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Intermediate Duration Bond Fund—Class N | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Period Ended September 30,
2019*
|
| Net asset value, beginning of the period |
$9.16 |
$9.22 |
$10.57 |
$10.98 |
$10.50 |
$10.07 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.20 |
0.33 |
0.18 |
0.14 |
0.22 |
0.17 |
| Net realized and unrealized gain (loss) |
0.25 |
(0.06 ) |
(1.30 ) |
(0.11 ) |
0.54 |
0.45 |
| Total from Investment Operations |
0.45 |
0.27 |
(1.12 ) |
0.03 |
0.76 |
0.62 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.20 ) |
(0.33 ) |
(0.18 ) |
(0.15 ) |
(0.23 ) |
(0.19 ) |
| Net realized capital gains |
— |
— |
(0.05 ) |
(0.29 ) |
(0.05 ) |
— |
| Total Distributions |
(0.20 ) |
(0.33 ) |
(0.23 ) |
(0.44 ) |
(0.28 ) |
(0.19 ) |
| Net asset value, end of the period |
$9.41 |
$9.16 |
$9.22 |
$10.57 |
$10.98 |
$10.50 |
| Total return(b) |
4.93 %(c) |
2.97 % |
(10.73 )% |
0.25 % |
7.39 % |
6.19 %(c) |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$57,500
|
$55,983
|
$19,294
|
$20,094
|
$3,307
|
$3,546
|
| Net expenses(d) |
0.35 %(e) |
0.35 % |
0.35 % |
0.35 % |
0.35 % |
0.35 %(e) |
| Gross expenses |
0.41 %(e) |
0.39 % |
0.37 % |
0.38 % |
0.43 % |
0.42 %(e) |
| Net investment income |
4.18 %(e) |
3.60 % |
1.80 % |
1.32 % |
2.09 % |
2.54 %(e) |
| Portfolio turnover rate |
64 % |
138 % |
144 % |
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.
71 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Intermediate Duration Bond Fund—Class Y | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$9.16 |
$9.23 |
$10.58 |
$10.99 |
$10.51 |
$9.97 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.19 |
0.32 |
0.17 |
0.14 |
0.21 |
0.27 |
| Net realized and unrealized gain (loss) |
0.27 |
(0.06 ) |
(1.29 ) |
(0.11 ) |
0.54 |
0.55 |
| Total from Investment Operations |
0.46 |
0.26 |
(1.12 ) |
0.03 |
0.75 |
0.82 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.20 ) |
(0.33 ) |
(0.18 ) |
(0.15 ) |
(0.22 ) |
(0.28 ) |
| Net realized capital gains |
— |
— |
(0.05 ) |
(0.29 ) |
(0.05 ) |
— |
| Total Distributions |
(0.20 ) |
(0.33 ) |
(0.23 ) |
(0.44 ) |
(0.27 ) |
(0.28 ) |
| Net asset value, end of the period |
$9.42 |
$9.16 |
$9.23 |
$10.58 |
$10.99 |
$10.51 |
| Total return(b) |
5.02 %(c) |
2.81 % |
(10.76 )% |
0.20 % |
7.33 % |
8.38 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$226,006
|
$281,284
|
$255,418
|
$340,326
|
$293,577
|
$215,752
|
| Net expenses(d) |
0.40 %(e) |
0.40 % |
0.40 % |
0.40 % |
0.40 % |
0.40 % |
| Gross expenses |
0.49 %(e) |
0.46 % |
0.44 % |
0.45 % |
0.47 % |
0.48 % |
| Net investment income |
4.12 %(e) |
3.47 % |
1.70 % |
1.28 % |
2.01 % |
2.67 % |
| Portfolio turnover rate |
64 % |
138 % |
144 % |
100 % |
123 % |
135 % |
| (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.
| 72
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Limited
Term Government and Agency Fund—Class A | |||||
| |
Six Months Ended March
31,
2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$10.57 |
$10.65 |
$11.40 |
$11.54 |
$11.34 |
$11.09 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.19 |
0.32 |
0.07 |
0.04 |
0.11 |
0.15 |
| Net realized and unrealized gain (loss) |
0.16 |
(0.04 ) |
(0.72 ) |
(0.11 ) |
0.25 |
0.34 |
| Total from Investment Operations |
0.35 |
0.28 |
(0.65 ) |
(0.07 ) |
0.36 |
0.49 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.21 ) |
(0.36 ) |
(0.10 ) |
(0.07 ) |
(0.16 ) |
(0.24 ) |
| Net asset value, end of the period |
$10.71 |
$10.57 |
$10.65 |
$11.40 |
$11.54 |
$11.34 |
| Total return(b) |
3.31 %(c)(d)
|
2.64 %(c) |
(5.75 )%(c) |
(0.58 )%(c) |
3.19 % |
4.42 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$207,508
|
$209,032
|
$246,532
|
$287,244
|
$296,217
|
$308,186
|
| Net expenses |
0.70 %(e)(f)
(g) |
0.69 %(e)(h)
|
0.69 %(e)(h)
|
0.73 %(e)(h)
(i) |
0.78 %(j) |
0.80 % |
| Gross expenses |
0.79 %(f)(g)
(k) |
0.77 %(h) |
0.72 %(h) |
0.73 %(h) |
0.78 % |
0.80 % |
| Net investment income |
3.57 %(g) |
3.04 % |
0.65 % |
0.36 % |
0.93 % |
1.31 % |
| Portfolio turnover rate |
115 % |
267 % |
203 % |
247 % |
319 %(l) |
527 %(l) |
| (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 less than 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) |
Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 0.77%. See Note 8 of
Notes to Financial Statements. |
| (l) |
The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading
strategies. |
See accompanying notes to financial statements.
73 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Limited
Term Government and Agency Fund—Class C | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$10.54 |
$10.62 |
$11.38 |
$11.54 |
$11.35 |
$11.10 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income (loss)(a) |
0.15 |
0.24 |
(0.02 ) |
(0.05 ) |
0.02 |
0.06 |
| Net realized and unrealized gain (loss) |
0.16 |
(0.04 ) |
(0.71 ) |
(0.11 ) |
0.24 |
0.34 |
| Total from Investment Operations |
0.31 |
0.20 |
(0.73 ) |
(0.16 ) |
0.26 |
0.40 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.17 ) |
(0.28 ) |
(0.03 ) |
(0.00
)(b) |
(0.07 ) |
(0.15 ) |
| Net asset value, end of the period |
$10.68 |
$10.54 |
$10.62 |
$11.38 |
$11.54 |
$11.35 |
| Total return(c) |
2.93 %(d)(e)
|
1.86 %(d) |
(6.43 )%(d) |
(1.35 )%(d) |
2.34 % |
3.64 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$7,764
|
$8,510
|
$14,145
|
$24,922
|
$19,628
|
$22,142
|
| Net expenses |
1.45 %(f)(g)
|
1.45 %(f) |
1.45 %(f) |
1.48 %(f)(h)
|
1.53 %(i) |
1.55 % |
| Gross expenses |
1.53 %(g)(j)
|
1.53 % |
1.48 % |
1.49 % |
1.53 % |
1.55 % |
| Net investment income (loss) |
2.81 %(g) |
2.24 % |
(0.16 )% |
(0.40 )% |
0.18 % |
0.57 % |
| Portfolio turnover rate |
115 % |
267 % |
203 % |
247 % |
319 %(k) |
527 %(k) |
| (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) |
Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 1.52%. See Note 8 of
Notes to Financial Statements. |
| (k) |
The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading
strategies. |
See accompanying notes to financial statements.
| 74
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Limited
Term Government and Agency Fund—Class N | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$10.60 |
$10.68 |
$11.43 |
$11.57 |
$11.37 |
$11.12 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.21 |
0.37 |
0.11 |
0.08 |
0.14 |
0.19 |
| Net realized and unrealized gain (loss) |
0.15 |
(0.06 ) |
(0.73 ) |
(0.11 ) |
0.26 |
0.33 |
| Total from Investment Operations |
0.36 |
0.31 |
(0.62 ) |
(0.03 ) |
0.40 |
0.52 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.22 ) |
(0.39 ) |
(0.13 ) |
(0.11 ) |
(0.20 ) |
(0.27 ) |
| Net asset value, end of the period |
$10.74 |
$10.60 |
$10.68 |
$11.43 |
$11.57 |
$11.37 |
| Total return(b) |
3.46 %(c) |
2.94 % |
(5.45 )% |
(0.25 )% |
3.53 % |
4.77 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$49,915
|
$45,716
|
$19,656
|
$12,972
|
$11,035
|
$5,272
|
| Net expenses(d) |
0.40 %(e) |
0.40 % |
0.39 % |
0.40 %(f) |
0.45 %(g) |
0.46 % |
| Gross expenses |
0.44 %(e) |
0.43 % |
0.40 % |
0.41 % |
0.46 % |
0.48 % |
| Net investment income |
3.87 %(e) |
3.44 % |
1.03 % |
0.68 % |
1.20 % |
1.65 % |
| Portfolio turnover rate |
115 % |
267 % |
203 % |
247 % |
319 %(h) |
527 %(h) |
| (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 0.45% to 0.40% |
| (g) |
Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%. |
| (h) |
The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading
strategies. |
See accompanying notes to financial statements.
75 |
Financial Highlights
(continued)
For a share outstanding throughout each period.
| |
Limited
Term Government and Agency Fund—Class Y | |||||
| |
Six Months Ended March
31, 2024 (Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$10.60 |
$10.69 |
$11.43 |
$11.57 |
$11.38 |
$11.13 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.20 |
0.35 |
0.10 |
0.07 |
0.13 |
0.17 |
| Net realized and unrealized gain (loss) |
0.17 |
(0.05 ) |
(0.72 ) |
(0.11 ) |
0.25 |
0.34 |
| Total from Investment Operations |
0.37 |
0.30 |
(0.62 ) |
(0.04 ) |
0.38 |
0.51 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.22 ) |
(0.39 ) |
(0.12 ) |
(0.10 ) |
(0.19 ) |
(0.26 ) |
| Net asset value, end of the period |
$10.75 |
$10.60 |
$10.69 |
$11.43 |
$11.57 |
$11.38 |
| Total return |
3.53 %(b)(c)
|
2.79 %(b) |
(5.42 )%(b) |
(0.33 )%(b) |
3.35 % |
4.67 % |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$479,628
|
$486,496
|
$491,162
|
$707,904
|
$691,616
|
$457,248
|
| Net expenses |
0.45 %(d)(e)
|
0.45 %(d) |
0.45 %(d) |
0.48 %(d)(f)
|
0.53 %(g) |
0.55 % |
| Gross expenses |
0.53 %(e) |
0.53 % |
0.48 % |
0.49 % |
0.53 % |
0.55 % |
| Net investment income |
3.81 %(e) |
3.30 % |
0.87 % |
0.61 % |
1.11 % |
1.55 % |
| Portfolio turnover rate |
115 % |
267 % |
203 % |
247 % |
319 %(h) |
527 %(h) |
| (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 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading
strategies. |
See accompanying notes to financial statements.
| 76
Notes to
Financial Statements
March 31, 2024 (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 ("Core Plus Bond Fund")
Loomis Sayles Core Plus Bond Fund ("Core Plus Bond Fund")
Loomis Sayles Funds I:
Loomis Sayles Intermediate Duration Bond Fund (“Intermediate Duration Bond Fund”)
Loomis Sayles Intermediate Duration Bond Fund (“Intermediate Duration Bond Fund”)
Loomis Sayles Funds
II:
Loomis Sayles Global Allocation Fund (“Global Allocation Fund”)
Loomis Sayles Growth Fund (“Growth Fund”)
Loomis Sayles Limited Term Government and Agency Fund (“Limited Term Government and Agency Fund”)
Loomis Sayles Global Allocation Fund (“Global Allocation Fund”)
Loomis Sayles Growth Fund (“Growth Fund”)
Loomis Sayles Limited Term Government and Agency Fund (“Limited Term Government and Agency Fund”)
Each Fund is a
diversified investment company.
Each Fund offers Class A, Class C, Class N and Class Y
shares.
Effective February 1, 2024, Growth Fund's principal investment strategies disclosure was
amended to permit the Fund to invest in affiliated and unaffiliated mutual funds and exchange-traded funds, to the extent permitted by the Investment Company Act of
1940.
Class A shares are sold with a maximum front-end sales charge of 4.25% for Core Plus Bond 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. Registered investment companies are required to value portfolio investments using an
unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded
77 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee
believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value (“NAV”) per share.
Exchange
traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service.
Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the
Funds by an independent pricing service or bid prices obtained from broker-dealers. Short sales of debt investments are fair valued based on an evaluated ask price furnished to the Funds by an independent pricing service. Senior loans and collateralized loan obligations (“CLOs”) are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and CLOs where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. Bilateral credit default swaps are fair valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are fair valued based on prices supplied by an independent pricing source. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
The Funds may also fair value investments 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 a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s NAV is calculated. Fair valuation by the Fund(s) valuation designee may require subjective determinations about the value of the investment, 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 investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments 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. 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.
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.
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
| 78
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
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 in the Funds’ books and records 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.
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 a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts. 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 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. Swap
Agreements. A Fund may enter into credit default swaps. A credit default
swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference
obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the
protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of
79 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are
unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap
agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared
swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its
obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the
“CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker
in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund's Portfolio of Investments.
h. 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.
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.
i. 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, 2024 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
| 80
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
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. 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.
j. 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, net operating losses, premium amortization, capital gains taxes, convertible bond adjustments, defaulted and/or non-income producing securities, return of capital distributions received, redemptions in-kind, trust preferred securities 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, futures contract mark-to-market, convertible bond adjustments, defaulted and/or non-income producing securities, dividends payable, return of capital distributions received, trust preferred securities and paydown gains and losses. 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, 2023 was as follows:
| |
2023 Distributions | ||
| Fund |
Ordinary Income |
Long-Term
Capital
Gains |
Total |
| Core Plus Bond Fund |
$237,600,988
|
$ —
|
$237,600,988
|
| Global Allocation Fund |
— |
265,227,594 |
265,227,594 |
| Growth Fund |
1,801,992 |
1,212,480,441 |
1,214,282,433 |
| Intermediate Duration Bond Fund |
11,021,583 |
— |
11,021,583 |
| Limited Term Government and Agency Fund |
25,072,525 |
— |
25,072,525 |
81 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
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, 2023, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:
| |
Core Plus Bond Fund |
Global
Allocation
Fund |
Growth Fund |
Intermediate
Duration Bond
Fund |
Limited Term Government
and Agency
Fund |
| Capital loss carryforward: |
|
|
|
|
|
| Short-term: |
|
|
|
|
|
| No expiration date |
$(263,274,882
) |
$ —
|
$ —
|
$(19,689,910
) |
$(10,097,977
) |
| Long-term: |
|
|
|
|
|
| No expiration date |
(335,593,277 ) |
— |
— |
(12,535,488 ) |
(56,235,014 ) |
| Total capital loss carryforward |
$(598,868,159 ) |
$ — |
$ — |
$(32,225,398 ) |
$(66,332,991 ) |
| Late-year ordinary and post-October capital loss deferrals* |
$ — |
$(2,253,183 ) |
$(15,598,809 ) |
$ — |
$ — |
| * |
Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt
instruments after October 31 or December 31, as applicable, may be deferred and
treated as occurring on the first day of the following taxable year. Global Allocation Fund is deferring currency losses and Growth Fund is deferring net operating losses. |
As of March 31, 2024, the tax cost of investments (including derivatives, if applicable) and unrealized
appreciation (depreciation) on a federal tax basis were as
follows:
| |
Core Plus Bond Fund |
Global
Allocation
Fund |
Growth Fund |
Intermediate
Duration Bond
Fund |
Limited Term Government
and Agency
Fund |
| Federal tax cost |
$8,192,186,963 |
$2,472,773,312 |
$6,681,849,997 |
$292,636,597 |
$825,302,243 |
| Gross tax appreciation |
$47,606,379
|
$593,344,556
|
$7,182,992,968
|
$1,425,882
|
$1,024,941
|
| Gross tax depreciation |
(564,247,406 ) |
(116,328,118 ) |
(403,156,650 ) |
(5,593,805 ) |
(19,074,764 ) |
| Net tax appreciation (depreciation) |
$(516,641,027 ) |
$477,016,438 |
$6,779,836,318 |
$(4,167,923 ) |
$(18,049,823 ) |
Amounts in the table above exclude certain adjustments that will be made at the end of the
Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.
k. 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. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. 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.
l. Collateralized Loan Obligations. A Fund may invest in 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.
| 82
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
m. 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, 2024, 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.
n. 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. The due from brokers balance in the Statements of Assets and Liabilities for Global Allocation Fund represents cash pledged as collateral for forward foreign currency contracts. The due 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.
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. Regulatory Update. Effective January 24, 2023, the SEC adopted a release (the “Release”)
containing rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders
that highlight key information deemed important for retail investors to assess and monitor their fund investments. Other information, including financial statements, will no longer appear in the new tailored shareholder reports but will be available online, delivered free of charge upon request, and filed with the SEC on a semiannual basis on Form N-CSR. In addition to the removal of financial statements from the new tailored shareholder reports, the Release requires mandatory mailing of the reports, unless a shareholder specifically opts out and chooses electronic delivery. The Release also requires that the new tailored shareholder reports be no longer than 2-4 pages, include only a single share class of a single fund, and use a broad-based securities market index for performance comparison purposes. Management is evaluating the impact of the Release on the content of the current shareholder report and newly created tailored shareholder reports and expects to meet the required compliance date of July 24, 2024.
3.Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have
categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed
below:
• Level 1 — quoted prices in active markets for identical assets or liabilities;
• Level 2 — prices determined using other significant inputs that are
observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest
rates, credit risk, etc.); and
• Level 3 — prices determined using significant unobservable inputs
when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each
Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with
investing in those securities.
The Funds' pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All
83 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the
broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain
conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio
investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Funds' investments as of March 31, 2024, at
value:
| Core Plus Bond Fund | ||||
| Asset Valuation Inputs | ||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
| Bonds and Notes |
|
|
|
|
| Non-Convertible Bonds |
|
|
|
|
| ABS Home Equity |
$ —
|
$27,571,331
|
$9,436
|
$27,580,767
|
| Collateralized Mortgage Obligations |
— |
74,617,349 |
94,994 |
74,712,343 |
| All Other Non-Convertible Bonds(a) |
— |
6,410,129,810 |
— |
6,410,129,810 |
| Total Non-Convertible Bonds |
— |
6,512,318,490 |
104,430 |
6,512,422,920 |
| Municipals(a) |
— |
7,940,675 |
— |
7,940,675 |
| Total Bonds and Notes |
— |
6,520,259,165 |
104,430 |
6,520,363,595 |
| Collateralized Loan Obligations |
— |
350,480,609 |
— |
350,480,609 |
| Short-Term Investments |
— |
799,577,952 |
— |
799,577,952 |
| Total Investments |
— |
7,670,317,726 |
104,430 |
7,670,422,156 |
| Futures Contracts (unrealized appreciation) |
5,220,554 |
— |
— |
5,220,554 |
| Total |
$5,220,554 |
$7,670,317,726 |
$104,430 |
$7,675,642,710 |
| Liability Valuation Inputs | ||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
| Futures Contracts (unrealized depreciation) |
$(96,774 ) |
$ — |
$ — |
$(96,774 ) |
| (a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| 84
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
| Global Allocation Fund | ||||
| Asset Valuation Inputs | ||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
| Common Stocks |
|
|
|
|
| France |
$ —
|
$73,307,833
|
$ —
|
$73,307,833
|
| Japan |
— |
50,247,739 |
— |
50,247,739 |
| Netherlands |
— |
71,548,160 |
— |
71,548,160 |
| Sweden |
— |
74,613,804 |
— |
74,613,804 |
| Taiwan |
— |
57,279,273 |
— |
57,279,273 |
| United Kingdom |
— |
59,938,822 |
— |
59,938,822 |
| United States |
1,629,960,838 |
31,251,443 |
— |
1,661,212,281 |
| Total Common Stocks |
1,629,960,838 |
418,187,074 |
— |
2,048,147,912 |
| Bonds and Notes(a) |
— |
871,170,170 |
— |
871,170,170 |
| Senior Loans(a) |
— |
9,611,812 |
— |
9,611,812 |
| Preferred Stocks(a) |
1,169,073 |
— |
— |
1,169,073 |
| Short-Term Investments |
— |
20,016,804 |
— |
20,016,804 |
| Total Investments |
1,631,129,911 |
1,318,985,860 |
— |
2,950,115,771 |
| Forward Foreign Currency Contracts (unrealized appreciation) |
— |
899,780 |
— |
899,780 |
| Futures Contracts (unrealized appreciation) |
1,754,220 |
— |
— |
1,754,220 |
| Total |
$1,632,884,131 |
$1,319,885,640 |
$ — |
$2,952,769,771 |
| | ||||
| Liability Valuation Inputs | ||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
| Forward Foreign Currency Contracts (unrealized depreciation) |
$ —
|
$(2,809,584
) |
$ —
|
$(2,809,584
) |
| Futures Contracts (unrealized depreciation) |
(170,437 ) |
— |
— |
(170,437 ) |
| Total |
$(170,437 ) |
$(2,809,584 ) |
$ — |
$(2,980,021 ) |
| (a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| Growth Fund | ||||
| Asset Valuation Inputs | ||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
| Common Stocks(a) |
$13,001,240,067
|
$ —
|
$ —
|
$13,001,240,067
|
| Affiliated Exchange-Traded Funds |
137,355,657 |
— |
— |
137,355,657 |
| Short-Term Investments |
— |
323,090,591 |
— |
323,090,591 |
| Total Investments |
$13,138,595,724 |
$323,090,591 |
$— |
$13,461,686,315 |
| (a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
85 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
| Intermediate Duration Bond Fund | ||||
| Asset Valuation Inputs | ||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
| Bonds and Notes |
|
|
|
|
| ABS Home Equity |
$ —
|
$ —
|
$1,422
|
$1,422
|
| Collateralized Mortgage Obligations |
— |
1,859,848 |
156 |
1,860,004 |
| All Other Bonds and Notes(a) |
— |
279,799,967 |
— |
279,799,967 |
| Total Bonds and Notes |
— |
281,659,815 |
1,578 |
281,661,393 |
| Short-Term Investments |
— |
6,662,223 |
— |
6,662,223 |
| Total Investments |
— |
288,322,038 |
1,578 |
288,323,616 |
| Futures Contracts (unrealized appreciation) |
145,058 |
— |
— |
145,058 |
| Total |
$145,058 |
$288,322,038 |
$1,578 |
$288,468,674 |
| (a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| Limited Term Government and Agency Fund | ||||
| Asset Valuation Inputs | ||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
| Bonds and Notes |
|
|
|
|
| Collateralized Mortgage Obligations |
$ —
|
$65,795,824
|
$5,072,298
|
$70,868,122
|
| All Other Bonds and Notes(a) |
— |
633,325,152 |
— |
633,325,152 |
| Total Bonds and Notes |
— |
699,120,976 |
5,072,298 |
704,193,274 |
| Short-Term Investments |
— |
103,059,146 |
— |
103,059,146 |
| Total Investments |
$— |
$802,180,122 |
$5,072,298 |
$807,252,420 |
| (a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to
determine fair value as of September 30, 2023 and/or March 31,
2024:
| Core Plus Bond Fund | ||||||||||
| Asset Valuation Inputs | ||||||||||
| Investments in Securities |
Balance as of September 30,
2023 |
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,
2024 |
Change in Unrealized
Appreciation (Depreciation) from
Investments Still Held at March 31,
2024 |
| Bonds and Notes |
|
|
|
|
|
|
|
|
|
|
| Non-Convertible Bonds |
|
|
|
|
|
|
|
|
|
|
| ABS Home Equity |
$ —
|
$ —
|
$ —
|
$(68
) |
$ —
|
$(526
) |
$10,030
|
$ —
|
$9,436
|
$(68
) |
| Collateralized Mortgage Obligations |
96,178 |
— |
1 |
(1,861 ) |
1,209 |
(533 ) |
— |
— |
94,994 |
(1,909 ) |
| Total |
$96,178 |
$ — |
$1 |
$(1,929 ) |
$1,209 |
$(1,059 ) |
$10,030 |
$ — |
$104,430 |
$(1,977 ) |
A debt security valued at $10,030 was transferred from Level 2 to Level 3 during the period ended
March 31, 2024. At September 30, 2023, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with
| 86
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
the Fund's valuation policies. At March 31, 2024, this security was fair valued as determined by the Fund's valuation designee as
an independent pricing service did not provide a reliable price for the
security.
| Intermediate Duration Bond Fund | ||||||||||
| Asset Valuation Inputs | ||||||||||
| Investments in Securities |
Balance as of September 30, 2023 |
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, 2024 |
Change in Unrealized Appreciation
(Depreciation) from Investments
Still Held at March 31, 2024 |
| Bonds and Notes |
|
|
|
|
|
|
|
|
|
|
| ABS Home Equity |
$ —
|
$ —
|
$ —
|
$(10
) |
$ —
|
$(79
) |
$1,511
|
$ —
|
$1,422
|
$(10
) |
| Collateralized Mortgage Obligations |
166 |
— |
— |
3 |
— |
(13 ) |
— |
— |
156 |
2 |
| Total |
$166 |
$ — |
$ — |
$(7 ) |
$ — |
$(92 ) |
$1,511 |
$ — |
$1,578 |
$(8 ) |
A debt security valued at $1,511 was transferred from Level 2 to Level 3 during the period ended March 31,
2024. At September 30, 2023, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At March 31, 2024, this security was fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the
security.
| Limited Term Government and Agency Fund | ||||||||||
| Asset Valuation Inputs | ||||||||||
| Investments in Securities |
Balance as of September 30, 2023 |
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, 2024 |
Change in Unrealized Appreciation
(Depreciation) from Investments
Still Held at March 31, 2024 |
| Bonds and Notes |
|
|
|
|
|
|
|
|
|
|
| Collateralized Mortgage Obligations |
$5,429,401 |
$ — |
$(18,102 ) |
$110,707 |
$6,482 |
$(471,395 ) |
$15,205 |
$ — |
$5,072,298 |
$77,427 |
A debt security valued at $15,205 was transferred from Level 2 to Level 3 during the period ended March 31, 2024. At September 30, 2023, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At March 31, 2024, this security was fair valued as determined by the Fund's valuation designee 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, Global Allocation Fund
and Intermediate Duration Bond Fund used during the period include forward foreign currency contracts and futures contracts.
The Funds are 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 Funds may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds 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 Funds. During the six months ended March 31, 2024, Global Allocation Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
87 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
The Funds 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, 2024, Core Plus Bond Fund, Global Allocation Fund and Intermediate Duration Bond Fund each used futures contracts to manage duration.
The following is a summary of derivative instruments for Core Plus Bond Fund as of March 31, 2024, as reflected
within the Statements of Assets and Liabilities:
| Assets |
Unrealized appreciation
on futures
contracts1 |
| Exchange-traded asset derivatives |
|
| Interest rate contracts |
$5,220,554
|
| Liabilities |
Unrealized depreciation
on futures contracts1
|
| Exchange-traded liability derivatives |
|
| Interest rate contracts |
$(96,774
) |
| 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, 2024, as reflected within the Statements of Operations were as follows:
| Net Realized Gain (Loss) on: |
Futures contracts |
| Interest rate contracts |
$(1,882,112
) |
| Net Change in Unrealized Appreciation (Depreciation) on: |
Futures contracts |
| Interest rate contracts |
$30,225,998
|
The following is a summary of derivative instruments for Global
Allocation Fund as of March 31, 2024, as reflected within the Statements of Assets and Liabilities:
| Assets |
Unrealized
appreciation
on forward
foreign
currency
contracts |
Unrealized
appreciation
on futures
contracts1 |
Total |
| Over-the-counter asset derivatives |
|
|
|
| Foreign exchange contracts |
$899,780
|
$ —
|
$899,780
|
| Exchange-traded asset derivatives |
|
|
|
| Interest rate contracts |
— |
1,754,220 |
1,754,220 |
| Total asset derivatives |
$899,780 |
$1,754,220 |
$2,654,000 |
| 88
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
| Liabilities |
Unrealized
depreciation
on forward
foreign
currency
contracts |
Unrealized
depreciation
on futures
contracts1 |
Total |
| Over-the-counter liability derivatives |
|
|
|
| Foreign exchange contracts |
$(2,809,584
) |
$ —
|
$(2,809,584
) |
| Exchange-traded liability derivatives |
|
|
|
| Interest rate contracts |
— |
(170,437 ) |
(170,437 ) |
| Total liability derivatives |
$(2,809,584 ) |
$(170,437 ) |
$(2,980,021 ) |
| 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, 2024, as reflected within the Statements of Operations were as follows:
| Net Realized Gain (Loss) on: |
Forward
foreign
currency
contracts |
Futures contracts |
| Interest rate contracts |
$ —
|
$244,761
|
| Foreign exchange contracts |
(1,487,659 ) |
— |
| Total |
$(1,487,659 ) |
$244,761 |
| Net Change in Unrealized Appreciation (Depreciation) on: |
Forward
foreign
currency
contracts |
Futures contracts |
| Interest rate contracts |
$ —
|
$4,687,337
|
| Foreign exchange contracts |
(323,787 ) |
— |
| Total |
$(323,787 ) |
$4,687,337 |
The following is a summary of derivative instruments for Intermediate Duration Bond Fund as of March 31, 2024, as reflected within the Statements of Assets and Liabilities:
| Assets |
Unrealized appreciation
on futures contracts1
|
| Exchange-traded asset derivatives |
|
| Interest rate contracts |
$145,058
|
| 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, 2024, as reflected within the Statements of Operations were as follows:
| Net Realized Gain (Loss) on: |
Futures contracts |
| Interest rate contracts |
$(266,078
) |
89 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
| Net Change in Unrealized Appreciation (Depreciation) on: |
Futures contracts |
| Interest rate contracts |
$640,643
|
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, 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, 2024:
| Core Plus Bond Fund |
Futures |
| Average Notional Amount Outstanding |
15.36 % |
| Highest Notional Amount Outstanding |
20.40 % |
| Lowest Notional Amount Outstanding |
9.50 % |
| Notional Amount Outstanding as of March 31, 2024 |
14.90 % |
| Global Allocation Fund |
Forwards |
Futures |
| Average Notional Amount Outstanding |
8.65 % |
9.13 % |
| Highest Notional Amount Outstanding |
9.39 % |
11.38 % |
| Lowest Notional Amount Outstanding |
8.23 % |
7.07 % |
| Notional Amount Outstanding as of March 31, 2024 |
8.31 % |
10.34 % |
| Intermediate Duration Bond Fund |
Futures |
| Average Notional Amount Outstanding |
6.56 % |
| Highest Notional Amount Outstanding |
7.36 % |
| Lowest Notional Amount Outstanding |
6.33 % |
| Notional Amount Outstanding as of March 31, 2024 |
6.64 % |
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, 2024, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:
| Global Allocation Fund | |||||
| Counterparty |
Gross Amounts of Assets |
Offset Amount |
Net Asset Balance |
Collateral
(Received)/
Pledged |
Net Amount |
| Bank of America N.A. |
$340,250
|
$(340,250
) |
$ —
|
$ —
|
$ —
|
| HSBC Bank USA N.A. |
285,176 |
— |
285,176 |
(285,176 ) |
— |
| 90
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
| Global Allocation Fund | |||||
| Counterparty |
Gross Amounts of Assets |
Offset Amount |
Net Asset Balance |
Collateral
(Received)/
Pledged |
Net
Amount |
| Morgan Stanley Capital Services LLC |
$162,379
|
$(162,379
) |
$ —
|
$ —
|
$ —
|
| UBS AG |
111,975 |
(106,159 ) |
5,816 |
— |
5,816 |
| |
$899,780 |
$(608,788 ) |
$290,992 |
$(285,176 ) |
$5,816 |
| | |||||
| Counterparty |
Gross Amounts of Liabilities |
Offset Amount |
Net Liability Balance |
Collateral
(Received)/
Pledged |
Net Amount |
| Bank of America N.A. |
$(1,737,644
) |
$340,250
|
$(1,397,394
) |
$1,250,000
|
$(147,394
) |
| Morgan Stanley Capital Services LLC |
(965,781 ) |
162,379 |
(803,402 ) |
541,847 |
(261,555 ) |
| UBS AG |
(106,159 ) |
106,159 |
— |
— |
— |
| |
$(2,809,584 ) |
$608,788 |
$(2,200,796 ) |
$1,791,847 |
$(408,949 ) |
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 and Trust Company (“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. 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 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.
5.Purchases and Sales of Securities. For the six months ended March 31, 2024, 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 |
$5,612,098,067
|
$5,706,984,368
|
$538,992,580
|
$297,039,152
|
| Global Allocation Fund |
36,020,601 |
32,287,538 |
214,881,017 |
437,745,874 |
| Growth Fund |
— |
— |
677,942,748 |
1,191,461,250 |
| Intermediate Duration Bond Fund |
45,095,592 |
87,007,044 |
153,945,432 |
176,491,868 |
| Limited Term Government and Agency Fund |
814,291,885 |
853,844,652 |
4,837,349 |
7,697,980 |
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.
91 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
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 % |
| 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 % |
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, 2025, may be terminated before then only with the consent of the Funds' Board of Trustees and are reevaluated on an annual basis. In addition, Loomis Sayles will voluntarily waive its management fee on any portion of the Growth Fund’s assets that are invested in the Natixis Loomis Sayles Focused Growth ETF. 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, 2024 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 |
0.74 % |
1.49 % |
0.44 % |
0.49 % |
| Global Allocation Fund |
1.20 % |
1.95 % |
0.90 % |
0.95 % |
| Growth Fund |
1.00 % |
1.75 % |
0.70 % |
0.75 % |
| 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.
| 92
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
For the six months ended March 31, 2024, the management fees and waivers of management fees for each Fund were as follows:
| |
Gross
Management
Fees |
Contractual
Waivers of
Management
Fees1 |
Voluntary
Waivers of
Management
Fees2 |
Net
Management
Fees |
Percentage of
Average
Daily Net Assets | |
| Fund |
Gross |
Net | ||||
| Core Plus Bond Fund |
$5,579,782
|
$ —
|
$ —
|
$5,579,782
|
0.16 % |
0.16 % |
| Global Allocation Fund |
10,666,514 |
— |
— |
10,666,514 |
0.74 % |
0.74 % |
| Growth Fund |
30,696,951 |
— |
60,409 |
30,636,542 |
0.50 % |
0.50 % |
| Intermediate Duration Bond Fund |
396,724 |
126,170 |
— |
270,554 |
0.25 % |
0.17 % |
| Limited Term Government and Agency Fund |
1,189,854 |
273,899 |
— |
915,955 |
0.32 % |
0.24 % |
| 1 |
Waiver/expense reimbursements are subject to possible recovery until September 30, 2025. |
| 2 |
Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described above. |
For the six months ended March 31, 2024, class-specific expenses have been reimbursed as follows:
| |
Reimbursement | ||||
| |
Class A |
Class C |
Class N |
Class Y |
Total |
| Core Plus Bond Fund |
$18,810
|
$1,379
|
$ —
|
$221,654
|
$241,843
|
For the six months ended March 31, 2024, the advisory administration fees
for Core Plus Bond Fund were $5,579,782 (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, 2024 under the terms of the expense limitation agreements.
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 Trust. 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 the Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to the Fund’s Class C shares (the “Class C Plans”).
Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed
0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
For the six months ended March 31, 2024, 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 |
$483,816
|
$36,626
|
|
$109,879
|
| Global Allocation Fund |
640,216 |
324,727 |
|
974,180 |
| Growth Fund |
1,201,047 |
112,133 |
|
336,398 |
| Intermediate Duration Bond Fund |
6,448 |
867 |
|
2,600 |
| Limited Term Government and Agency Fund |
258,461 |
9,791 |
|
29,374 |
For the six months ended March 31, 2024, Natixis Distribution refunded Limited Term Government and Agency Fund
$2,472 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.
93 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
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, 2024, the administrative fees for each Fund were as
follows:
| Fund |
Administrative Fees |
| Core Plus Bond Fund |
$1,591,166
|
| Global Allocation Fund |
658,147 |
| Growth Fund |
2,817,052 |
| Intermediate Duration Bond Fund |
72,954 |
| Limited Term Government and Agency Fund |
172,610 |
d. Sub-Transfer
Agent Fees. Natixis Distribution has entered into agreements, which
include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the six months ended March 31, 2024, 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 |
$2,488,287
|
| Global Allocation Fund |
1,131,583 |
| Growth Fund |
4,953,006 |
| Intermediate Duration Bond Fund |
102,448 |
| Limited Term Government and Agency Fund |
230,858 |
As of March 31, 2024, 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 |
$63,208
|
| Global Allocation Fund |
50,430 |
| Growth Fund |
132,880 |
| Intermediate Duration Bond Fund |
6,151 |
| Limited Term Government and Agency Fund |
12,542 |
| 94
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
e. Commissions.
Commissions (including CDSCs) on Fund shares retained by Natixis Distribution
during the six months ended March 31, 2024 were as follows:
| Fund |
Commissions |
| Core Plus Bond Fund |
$34,410
|
| Global Allocation Fund |
40,663 |
| Growth Fund |
392,482 |
| Intermediate Duration Bond Fund |
1,083 |
| Limited Term Government and Agency Fund |
26,483 |
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 $400,000. 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 $225,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the Chairperson of the Contract Review Committee and the Chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $25,000. The Chairperson of the Governance Committee receives 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. Each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends. 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, 2024, the Chairperson of the Board of Trustees received a retainer fee at the annual rate of $369,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee received a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attended in person. The Chairperson of the Contract Review Committee and the Chairperson of the Audit Committee each received an additional retainer fee at the annual rate of $20,000. All other Trustees fees remained unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. 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. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the
Trusts.
95 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
g. Affiliated
Ownership. As of March 31, 2024, the percentage of each Fund’s net
assets owned by affiliates is as follows:
| |
Percentage of Net Assets |
| Core Plus Bond Fund |
|
| Loomis Sayles Employees’ Profit Sharing Retirement Plan |
0.18 % |
| Global Allocation Fund |
|
| Loomis Sayles Employees’ Profit Sharing Retirement Plan |
0.65 % |
| Growth Fund |
|
| Loomis Sayles Employees’ Profit Sharing Retirement Plan |
0.83 % |
| Loomis Sayles Funded Pension Plan and Trust |
0.14 % |
| |
0.97 % |
| Limited Term Government and Agency Fund |
|
| Loomis Sayles Employees’ Profit Sharing Retirement Plan |
0.32 % |
| Loomis Sayles Distribution and Trust |
0.68 % |
| Natixis Sustainable Future 2015 Fund |
0.09 % |
| Natixis Sustainable Future 2020 Fund |
0.08 % |
| Natixis Sustainable Future 2025 Fund |
0.13 % |
| Natixis Sustainable Future 2030 Fund |
0.15 % |
| Natixis Sustainable Future 2035 Fund |
0.13 % |
| Natixis Sustainable Future 2040 Fund |
0.09 % |
| Natixis Sustainable Future 2045 Fund |
0.05 % |
| |
1.72 % |
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to 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, 2025 and is not subject to recovery under the expense limitation agreement described above.
For the six
months ended March 31, 2024, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:
| |
Reimbursement of Transfer
Agency Expenses |
| Fund |
Class N |
| Intermediate Duration Bond Fund |
$1,307
|
| Limited Term Government and Agency Fund |
1,291 |
i. Affiliated
Fund Transactions. A summary of affiliated fund transactions for each
underlying fund held by the Funds for the six months ended March 31, 2024, is as follows:
| Growth Fund | ||||||||
| Fund |
Beginning Value |
Purchase Cost(1) |
Sales Proceeds |
Realized
Gain
(Loss) |
Change in
Unrealized
Gain
(Loss) |
Ending Value |
Shares as
of March 31,
2024 |
Distribution Received(2)
|
| Natixis Loomis Sayles Focused Growth ETF |
$ —
|
$133,847,928
|
$ —
|
$ —
|
$3,507,729
|
$137,355,657
|
4,284,398 |
$ —
|
| (1) |
Purchase cost includes dividend reinvested, if any. |
| (2) |
Distributions received includes distributions from net investment income and from capital gains, if any. |
| 96
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
7.Class-Specific
Transfer Agent Fees and Expenses. Transfer agent fees and expenses
attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
Transfer agent fees and expenses attributable to Class N are allocated to Class N.
For the six months ended March 31, 2024 the Funds incurred the following class-specific transfer agent fees and expenses (net of expense offsets and 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 |
$206,529
|
$15,656
|
$21,301
|
$2,388,971
|
| Global Allocation Fund |
233,524 |
118,573 |
3,870 |
823,633 |
| Growth Fund |
443,492 |
41,384 |
7,868 |
4,838,878 |
| Intermediate Duration Bond Fund |
2,113 |
288 |
1,307 |
105,465 |
| Limited Term Government and Agency Fund |
97,693 |
3,660 |
1,291 |
228,192 |
8.Expense Offset Arrangements. The Funds have entered into an agreement with the transfer agent whereby certain transfer agent fees and
expenses may be paid indirectly by credits earned on the Funds' cash balances. Transfer agent fees and expenses are presented in the Statements of Operations gross of such
credits, and the credits are presented as offsets to expenses.
9.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 syndicated, revolving, committed, unsecured line of credit with State Street Bank as administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 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, 2024, Growth Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $33,700,000 at a weighted
average interest rate of 6.68%. Interest expense incurred on the line of credit was $6,253.
10.Risk. Global Allocation Fund's investments in foreign securities may be subject to greater
political, economic, environmental, credit/counterparty and information risks. The Fund's investments in foreign securities also are subject to foreign currency fluctuations
and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.
Core
Plus Bond Fund 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.
Geopolitical events (such as trading halts, sanctions or wars) could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These, and other related events, could significantly impact a Fund's performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to issuers in the country or countries involved.
11.Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant
percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of March 31, 2024, based on
management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds' total outstanding
shares. The number of such accounts, based on
97 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by
such holdings were as follows:
| Fund |
Number of 5% Account Holders |
Percentage of Ownership |
| Core Plus Bond Fund |
1 |
5.32 % |
| Growth Fund |
1 |
12.07 % |
| Intermediate Duration Bond Fund |
6 |
72.95 % |
| Limited Term Government and Agency Fund |
1 |
7.74 % |
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.
12.Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| | ||||
| |
Six Months
Ended March 31, 2024 |
Year
Ended September 30, 2023 | ||
| Core Plus Bond Fund |
Shares |
Amount |
Shares |
Amount |
| Class A |
|
|
|
|
| Issued from the sale of shares |
4,981,836 |
$56,257,976
|
11,357,305 |
$130,223,433
|
| Issued in connection with the reinvestment of distributions |
474,080 |
5,345,278 |
869,581 |
9,938,436 |
| Redeemed |
(5,144,868 ) |
(57,766,488 ) |
(16,060,576 ) |
(184,384,945 ) |
| Net change |
311,048 |
$3,836,766 |
(3,833,690 ) |
$(44,223,076 ) |
| Class C |
|
|
|
|
| Issued from the sale of shares |
241,487 |
$2,722,444
|
357,507 |
$4,114,433
|
| Issued in connection with the reinvestment of distributions |
36,579 |
412,722 |
76,079 |
870,566 |
| Redeemed |
(582,267 ) |
(6,548,086 ) |
(1,998,166 ) |
(22,822,620 ) |
| Net change |
(304,201 ) |
$(3,412,920 ) |
(1,564,580 ) |
$(17,837,621 ) |
| Class N |
|
|
|
|
| Issued from the sale of shares |
29,725,935 |
$339,826,270
|
66,972,306 |
$777,684,789
|
| Issued in connection with the reinvestment of distributions |
3,611,738 |
41,120,074 |
6,158,589 |
71,024,752 |
| Redeemed |
(30,426,918 ) |
(341,901,679 ) |
(57,778,078 ) |
(669,470,666 ) |
| Net change |
2,910,755 |
$39,044,665 |
15,352,817 |
$179,238,875 |
| Class Y |
|
|
|
|
| Issued from the sale of shares |
80,600,743 |
$917,954,540
|
175,407,125 |
$2,034,481,891
|
| Issued in connection with the reinvestment of distributions |
6,816,656 |
77,568,860 |
10,358,184 |
119,421,605 |
| Redeemed |
(62,083,937 ) |
(702,680,323 ) |
(110,384,583 ) |
(1,272,938,219 ) |
| Net change |
25,333,462 |
$292,843,077 |
75,380,726 |
$880,965,277 |
| Increase from capital share transactions |
28,251,064 |
$332,311,588 |
85,335,273 |
$998,143,455 |
| 98
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
12.Capital
Shares (continued).
| | ||||
| |
Six Months
Ended March 31, 2024 |
Year
Ended September 30, 2023 | ||
| Global Allocation Fund |
Shares |
Amount |
Shares |
Amount |
| Class A |
|
|
|
|
| Issued from the sale of shares |
2,111,141 |
$48,837,151
|
3,389,851 |
$71,361,898
|
| Issued in connection with the reinvestment of distributions |
568,298 |
13,014,029 |
1,584,011 |
31,205,007 |
| Redeemed |
(2,274,197 ) |
(52,065,300 ) |
(7,011,580 ) |
(149,010,976 ) |
| Net change |
405,242 |
$9,785,880 |
(2,037,718 ) |
$(46,444,071 ) |
| Class C |
|
|
|
|
| Issued from the sale of shares |
276,330 |
$6,122,674
|
777,798 |
$15,680,854
|
| Issued in connection with the reinvestment of distributions |
385,460 |
8,457,002 |
1,249,698 |
23,769,266 |
| Redeemed |
(2,176,631 ) |
(48,279,435 ) |
(5,208,741 ) |
(106,549,675 ) |
| Net change |
(1,514,841 ) |
$(33,699,759 ) |
(3,181,245 ) |
$(67,099,555 ) |
| Class N |
|
|
|
|
| Issued from the sale of shares |
1,035,921 |
$24,129,135
|
1,581,514 |
$33,910,780
|
| Issued in connection with the reinvestment of distributions |
412,093 |
9,560,563 |
960,857 |
19,169,099 |
| Redeemed |
(2,427,725 ) |
(58,903,602 ) |
(2,419,236 ) |
(52,220,251 ) |
| Net change |
(979,711 ) |
$(25,213,904 ) |
123,135 |
$859,628 |
| Class Y |
|
|
|
|
| Issued from the sale of shares |
6,460,054 |
$151,497,293
|
11,651,567 |
$249,069,549
|
| Issued in connection with the reinvestment of distributions |
2,491,406 |
57,775,714 |
6,812,550 |
135,842,251 |
| Redeemed |
(9,672,154 ) |
(224,899,102 ) |
(36,342,744 ) |
(779,023,281 ) |
| Net change |
(720,694 ) |
$(15,626,095 ) |
(17,878,627 ) |
$(394,111,481 ) |
| Decrease from capital share transactions |
(2,810,004 ) |
$(64,753,878 ) |
(22,974,455 ) |
$(506,795,479 ) |
99 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
12.Capital
Shares (continued).
| | ||||
| |
Six Months
Ended March 31, 2024 |
Year
Ended September 30, 2023 | ||
| Growth Fund |
Shares |
Amount |
Shares |
Amount |
| Class A |
|
|
|
|
| Issued from the sale of shares |
9,247,946 |
$188,066,551
|
25,307,103 |
$429,030,222
|
| Issued in connection with the reinvestment of distributions |
1,793,483 |
36,891,954 |
3,080,126 |
45,431,858 |
| Redeemed |
(6,131,674 ) |
(130,396,546 ) |
(58,359,545 ) |
(987,390,432 ) |
| Net change |
4,909,755 |
$94,561,959 |
(29,972,316 ) |
$(512,928,352 ) |
| Class C |
|
|
|
|
| Issued from the sale of shares |
1,243,002 |
$22,248,493
|
1,427,876 |
$22,531,190
|
| Issued in connection with the reinvestment of distributions |
283,961 |
4,881,292 |
596,956 |
7,503,741 |
| Redeemed |
(961,962 ) |
(17,173,220 ) |
(1,891,889 ) |
(28,339,214 ) |
| Net change |
565,001 |
$9,956,565 |
132,943 |
$1,695,717 |
| Class N |
|
|
|
|
| Issued from the sale of shares |
5,148,209 |
$123,012,187
|
9,723,730 |
$196,959,490
|
| Issued in connection with the reinvestment of distributions |
1,035,470 |
23,732,974 |
3,273,160 |
53,254,325 |
| Redeemed |
(8,736,611 ) |
(200,073,433 ) |
(16,922,957 ) |
(345,813,738 ) |
| Net change |
(2,552,932 ) |
$(53,328,272 ) |
(3,926,067 ) |
$(95,599,923 ) |
| Class Y |
|
|
|
|
| Issued from the sale of shares |
67,376,719 |
$1,592,044,239
|
145,614,231 |
$2,904,813,412
|
| Issued in connection with the reinvestment of distributions |
21,411,762 |
489,686,993 |
50,233,839 |
816,299,889 |
| Redeemed |
(70,248,947 ) |
(1,686,760,675 ) |
(185,161,203 ) |
(3,717,011,614 ) |
| Redeemed in-kind (Note 13) |
— |
— |
(10,072,998 ) |
(191,588,419 ) |
| Net change |
18,539,534 |
$394,970,557 |
613,869 |
$(187,486,732 ) |
| Increase (decrease) from capital share transactions |
21,461,358 |
$446,160,809 |
(33,151,571 ) |
$(794,319,290 ) |
| 100
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
12.Capital
Shares (continued).
| | ||||
| |
Six Months
Ended March 31, 2024 |
Year
Ended September 30, 2023 | ||
| Intermediate Duration Bond Fund |
Shares |
Amount |
Shares |
Amount |
| Class A |
|
|
|
|
| Issued from the sale of shares |
36,656 |
$343,101
|
162,767 |
$1,527,536
|
| Issued in connection with the reinvestment of distributions |
6,939 |
64,562 |
42,793 |
399,890 |
| Redeemed |
(421,294 ) |
(3,963,100 ) |
(1,383,949 ) |
(12,973,971 ) |
| Net change |
(377,699 ) |
$(3,555,437 ) |
(1,178,389 ) |
$(11,046,545 ) |
| Class C |
|
|
|
|
| Issued from the sale of shares |
4,772 |
$45,000
|
86,200 |
$813,282
|
| Issued in connection with the reinvestment of distributions |
1,186 |
11,124 |
1,755 |
16,435 |
| Redeemed |
(7,531 ) |
(70,971 ) |
(30,766 ) |
(292,234 ) |
| Net change |
(1,573 ) |
$(14,847 ) |
57,189 |
$537,483 |
| Class N |
|
|
|
|
| Issued from the sale of shares |
369,987 |
$3,476,297
|
4,504,771 |
$41,858,306
|
| Issued in connection with the reinvestment of distributions |
126,691 |
1,183,516 |
99,571 |
924,081 |
| Redeemed |
(502,947 ) |
(4,664,389 ) |
(581,767 ) |
(5,430,564 ) |
| Net change |
(6,269 ) |
$(4,576 ) |
4,022,575 |
$37,351,823 |
| Class Y |
|
|
|
|
| Issued from the sale of shares |
1,540,494 |
$14,346,715
|
10,622,669 |
$99,573,320
|
| Issued in connection with the reinvestment of distributions |
567,962 |
5,304,208 |
1,030,869 |
9,604,346 |
| Redeemed |
(8,818,828 ) |
(82,594,711 ) |
(8,626,109 ) |
(80,519,563 ) |
| Net change |
(6,710,372 ) |
$(62,943,788 ) |
3,027,429 |
$28,658,103 |
| Increase (decrease) from capital share transactions |
(7,095,913 ) |
$(66,518,648 ) |
5,928,804 |
$55,500,864 |
101 |
Notes to
Financial Statements (continued)
March 31, 2024 (Unaudited)
12.Capital
Shares (continued).
| | ||||
| |
Six Months
Ended March 31, 2024 |
Year
Ended September 30, 2023 | ||
| Limited Term Government and Agency Fund |
Shares |
Amount |
Shares |
Amount |
| Class A |
|
|
|
|
| Issued from the sale of shares |
1,367,326 |
$14,604,607
|
2,652,652 |
$28,284,400
|
| Issued in connection with the reinvestment of distributions |
326,931 |
3,493,996 |
607,403 |
6,478,043 |
| Redeemed |
(2,101,890 ) |
(22,425,441 ) |
(6,626,486 ) |
(70,703,766 ) |
| Net change |
(407,633 ) |
$(4,326,838 ) |
(3,366,431 ) |
$(35,941,323 ) |
| Class C |
|
|
|
|
| Issued from the sale of shares |
142,241 |
$1,518,653
|
216,846 |
$2,300,977
|
| Issued in connection with the reinvestment of distributions |
9,447 |
100,665 |
22,066 |
234,758 |
| Redeemed |
(232,252 ) |
(2,467,563 ) |
(762,968 ) |
(8,118,114 ) |
| Net change |
(80,564 ) |
$(848,245 ) |
(524,056 ) |
$(5,582,379 ) |
| Class N |
|
|
|
|
| Issued from the sale of shares |
610,651 |
$6,540,791
|
3,011,128 |
$32,301,122
|
| Issued in connection with the reinvestment of distributions |
92,781 |
994,555 |
140,941 |
1,507,954 |
| Redeemed |
(370,430 ) |
(3,955,668 ) |
(679,452 ) |
(7,286,871 ) |
| Net change |
333,002 |
$3,579,678 |
2,472,617 |
$26,522,205 |
| Class Y |
|
|
|
|
| Issued from the sale of shares |
11,150,222 |
$119,482,818
|
27,925,195 |
$299,329,524
|
| Issued in connection with the reinvestment of distributions |
646,992 |
6,936,355 |
1,144,373 |
12,243,193 |
| Redeemed |
(13,052,159 ) |
(139,796,223 ) |
(29,148,521 ) |
(311,660,863 ) |
| Net change |
(1,254,945 ) |
$(13,377,050 ) |
(78,953 ) |
$(88,146 ) |
| Decrease from capital share transactions |
(1,410,140 ) |
$(14,972,455 ) |
(1,496,823 ) |
$(15,089,643 ) |
13.Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for
redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. For the year ended September 30, 2023, Growth Fund participated in a redemption in-kind transaction.
| 102
Contact us by mail:
If you wish to communicate with the funds’ Board of Trustees, you may do so by writing to:
Secretary of the Funds
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
The correspondence must (a) be signed by the shareholder; (b) include the shareholder’s name and address; and (c) identify the fund(s), account number, share class, and number of shares held in that fund, as of a recent date.
Or by e-mail:
secretaryofthefunds@natixis.com (Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.)
Please
note: Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, Social Security number, PIN, or any other non-public personal information in an
e-mail communication because this information may be viewed by others.
Exp. 5/31/25
| Loomis Sayles Small Cap Growth Fund |
| Loomis Sayles Small Cap Value Fund |
| Loomis Sayles Small/Mid Cap Growth Fund |
Semiannual Report
March 31, 2024
Table of Contents
| 1 | |
| 7 | |
| 15 | |
| 28 |
IMPORTANT NOTICE TO SHAREHOLDERS
The Securities and Exchange Commission (SEC) has adopted new regulations that will result in changes to
the design and delivery of annual and semiannual shareholder reports. Beginning in July 2024, Funds will be required by the SEC to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that is currently being provided. If you would like to receive shareholder reports and other communications from the Funds electronically, instead of by mail, you may make that request at www.icsdelivery.com/loomissayles. If you have already elected to receive shareholder reports electronically,
you will not be affected by this change, and you need not take any action.
Loomis Sayles Small Cap Growth Fund
| Managers |
| Mark F. Burns, CFA® |
| John J.
Slavik, CFA® |
| Symbols | |
| Institutional Class |
LSSIX |
| 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.
| |
6 Months |
1 Year |
5 Years |
10 Years |
Expense Ratios2 | |
| |
Gross |
Net | ||||
| Institutional Class |
15.48 % |
14.46 % |
8.35 % |
8.83 % |
0.94 % |
0.94 % |
| Retail Class |
15.39 |
14.22 |
8.09 |
8.56 |
1.19 |
1.19 |
| Class N |
15.58 |
14.58 |
8.48 |
8.96 |
0.83 |
0.83 |
| Comparative Performance |
|
|
|
|
|
|
| Russell 3000®
Index3 |
23.30 |
29.29 |
14.34 |
12.33 |
|
|
| Russell 2000® Growth Index4 |
21.30 |
20.35 |
7.38 |
7.89 |
|
|
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative
of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted.
For most recent month-end performance, visit loomissayles.com. Performance for other share
classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is
cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 1 |
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2 |
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 1/31/25. 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 |
Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Russell 3000® Index. The Russell 3000® Index is a broad-based
securities market index that represents the overall market applicable to the Fund. It is
an unmanaged index that measures the performance of the largest 3,000 U.S. companies
representing approximately 98% of the investable U.S. equity market. |
| 4 |
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. The Fund will retain the Russell 2000® Growth Index as its additional
benchmark for performance comparison. |
1 |
Loomis Sayles Small Cap Value Fund
| Managers |
| Joseph R. Gatz, CFA® |
| Jeffrey
Schwartz, CFA® |
| Symbols | |
| Institutional Class |
LSSCX |
| 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.
| |
6 Months |
1 Year |
5 Years |
10 Years |
Expense Ratios2 | |
| |
Gross |
Net | ||||
| Institutional Class |
20.20 % |
25.55 % |
10.59 % |
8.28 % |
0.96 % |
0.90 % |
| Retail Class |
20.02 |
25.26 |
10.32 |
8.01 |
1.21 |
1.15 |
| Admin Class |
19.90 |
24.96 |
10.04 |
7.74 |
1.46 |
1.40 |
| Class N |
20.26 |
25.67 |
10.65 |
8.34 |
0.87 |
0.85 |
| Comparative Performance |
|
|
|
|
|
|
| Russell 3000®
Index3 |
23.30 |
29.29 |
14.34 |
12.33 |
|
|
| Russell 2000® Value Index4 |
18.60 |
18.75 |
8.17 |
6.87 |
|
|
| Russell 2000®
Index5 |
19.94 |
19.71 |
8.10 |
7.58 |
|
|
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative
of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted.
For most recent month-end performance, visit loomissayles.com. Performance for other share
classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is
cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 1 |
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2 |
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 1/31/25. 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 |
Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Russell 3000® Index. The Russell 3000® Index is a broad-based
securities market index that represents the overall market applicable to the Fund. It is
an unmanaged index that measures the performance of the largest 3,000 U.S. companies
representing approximately 98% of the investable U.S. equity market. |
| 4 |
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. The Fund will retain the Russell 2000® Value Index as an additional benchmark for performance comparison. |
| 5 |
Russell 2000® Index is an unmanaged index that measures the
performance of the small-cap segment of the U.S. equity universe. The Fund will retain the
Russell 2000® Index as an additional benchmark for performance comparison. |
| 2
Loomis Sayles Small/Mid Cap Growth Fund
| Managers |
| Mark F. Burns, CFA® |
| John J.
Slavik, CFA® |
| Symbols | |
| Institutional Class |
LSMIX |
| Class N |
LSMNX |
Investment Objective
The Fund’s investment objective is long-term capital growth from investments in
common stocks or other equity securities.
| |
6 Months |
1 Year |
5 Years |
Life of
Institutional
Class |
Life of
Class N |
Expense Ratios2 | |
| |
Gross |
Net | |||||
| Institutional Class (Inception 6/30/15) |
17.57 % |
11.95 % |
7.99 % |
9.10 % |
— % |
0.93 % |
0.85 % |
| Class N (Inception 10/1/19) |
17.55 |
11.94 |
— |
— |
8.59 |
0.92 |
0.83 |
| Comparative Performance |
|
|
|
|
|
|
|
| Russell 3000®
Index3 |
23.30 |
29.29 |
14.34 |
12.63 |
15.02 |
|
|
| Russell 2500™ Growth Index4 |
22.17 |
21.12 |
9.39 |
9.25 |
10.66 |
|
|
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative
of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted.
For most recent month-end performance, visit loomissayles.com. Performance for other share
classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is
cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
| 1 |
Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2 |
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 1/31/25. 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 |
Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Russell 3000® Index. The Russell 3000® Index is a broad-based
securities market index that represents the overall market applicable to the Fund. It is
an unmanaged index that measures the performance of the largest 3,000 U.S. companies
representing approximately 98% of the investable U.S. equity market. |
| 4 |
Russell 2500™ Growth Index is an unmanaged index that measures the
performance of the small-to-mid-cap growth segment of the U.S. equity universe. It
includes those Russell 2500™ Index companies with higher price-to-book ratios and higher
forecasted growth values. The Fund will retain the Russell 2500™ Growth Index as
its additional benchmark for performance comparison. |
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
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index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
Proxy Voting Information
A
description of the Funds' proxy voting policies and procedures is available without charge, upon request, by calling Loomis Sayles Funds at 800-633-3330; on the
Funds’ website at www.loomissayles.com, and on the Securities and Exchange Commission (“SEC”) website at www.sec.gov. Information regarding 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
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 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.
Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds
In October 2022, the SEC adopted rule and form amendments requiring mutual funds and exchange-traded funds to transmit concise and visually engaging streamlined annual and semiannual reports that highlight key information to shareholders. Other information, including financial statements, will no longer appear in the funds’ shareholder reports but will be available online, delivered free of charge upon request, and filed with the SEC on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA
Institute.
| 4
Understanding Your Fund's Expenses
As a mutual fund shareholder, you incur different 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 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, 2023 through March 31, 2024. 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 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your
class.
The second line in the table for each class of fund shares provides information about
hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which
is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on
your investment for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as
sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of
owning funds. If transaction costs were included, total costs would be
higher.
| Loomis Sayles Small Cap Growth Fund |
Beginning
Account Value
10/1/2023 |
Ending
Account Value
3/31/2024 |
Expenses Paid
During Period* 10/1/2023 – 3/31/2024 |
| Institutional Class |
|
|
|
| Actual |
$1,000.00 |
$1,154.80 |
$5.06 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,020.30 |
$4.75 |
| Retail Class |
|
|
|
| Actual |
$1,000.00 |
$1,153.90 |
$6.41 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,019.05 |
$6.01 |
| Class N |
|
|
|
| Actual |
$1,000.00 |
$1,155.80 |
$4.47 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,020.85 |
$4.19 |
| * |
Expenses are equal to the Fund's annualized expense ratio:
0.94%, 1.19% and 0.83% for Institutional Class, Retail Class and Class N, respectively,
multiplied by the average account value over the period, multiplied by the number of days in the most
recent fiscal half–year (183), divided by 366 (to reflect the half–year
period). |
5 |
| Loomis Sayles Small Cap Value Fund |
Beginning
Account Value
10/1/2023 |
Ending
Account Value
3/31/2024 |
Expenses Paid
During Period* 10/1/2023 – 3/31/2024 |
| Institutional Class |
|
|
|
| Actual |
$1,000.00 |
$1,202.00 |
$4.95 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,020.50 |
$4.55 |
| Retail Class |
|
|
|
| Actual |
$1,000.00 |
$1,200.20 |
$6.33 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,019.25 |
$5.81 |
| Admin Class |
|
|
|
| Actual |
$1,000.00 |
$1,199.00 |
$7.70 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,018.00 |
$7.06 |
| Class N |
|
|
|
| Actual |
$1,000.00 |
$1,202.60 |
$4.68 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,020.75 |
$4.29 |
| * |
Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.85% for Institutional Class,
Retail Class, Admin Class and Class N, respectively, multiplied by the average account
value over the period, multiplied by the number of days in the most recent fiscal half
-year 183, divided by 366 (to reflect the half -year period). |
| Loomis Sayles Small/Mid Cap Growth Fund |
Beginning
Account Value
10/1/2023 |
Ending
Account Value
3/31/2024 |
Expenses Paid
During Period* 10/1/2023 – 3/31/2024 |
| Institutional Class |
|
|
|
| Actual |
$1,000.00 |
$1,175.70 |
$4.62 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,020.75 |
$4.29 |
| Class N |
|
|
|
| Actual |
$1,000.00 |
$1,175.50 |
$4.51 |
| Hypothetical (5% return before expenses) |
$1,000.00 |
$1,020.85 |
$4.19 |
| * |
Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.85% and 0.83% for Institutional Class and Class N,
respectively, multiplied by the average account value over the period, multiplied by
the number of days in the most recent fiscal half–year (183), divided by 366 (to
reflect the half–year period). |
| 6
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Small Cap Growth Fund
| Shares |
Description |
Value (†) |
| Common Stocks— 97.0% of Net Assets | ||
| |
Aerospace & Defense — 4.0% | |
| 397,219 |
AAR Corp.(a) |
$23,781,502
|
| 363,985 |
Cadre Holdings, Inc. |
13,176,257 |
| 392,199 |
Hexcel Corp. |
28,571,697 |
| 1,587,025 |
Kratos Defense & Security Solutions, Inc.(a) |
29,169,519 |
| |
|
94,698,975 |
| |
Automobile Components — 3.8% | |
| 164,752 |
Dorman Products, Inc.(a) |
15,880,445 |
| 347,203 |
Gentherm, Inc.(a) |
19,991,949 |
| 231,674 |
Modine Manufacturing Co.(a) |
22,053,048 |
| 258,795 |
Patrick Industries, Inc. |
30,918,239 |
| |
|
88,843,681 |
| |
Banks — 0.7% | |
| 518,978 |
Bancorp, Inc.(a) |
17,365,004 |
| |
Beverages — 0.5% | |
| 516,094 |
Vita Coco Co., Inc.(a) |
12,608,176 |
| |
Biotechnology — 3.3% | |
| 11,043 |
Immunocore Holdings PLC, ADR(a) |
717,795 |
| 507,174 |
Insmed, Inc.(a) |
13,759,631 |
| 644,126 |
Vericel Corp.(a) |
33,507,434 |
| 557,744 |
Xencor, Inc.(a) |
12,342,875 |
| 399,772 |
Xenon Pharmaceuticals, Inc.(a) |
17,210,184 |
| |
|
77,537,919 |
| |
Building Products — 1.9% | |
| 876,945 |
AZEK Co., Inc.(a) |
44,040,178 |
| |
Capital Markets — 3.6% | |
| 296,219 |
Hamilton Lane, Inc., Class A |
33,401,655 |
| 110,460 |
Piper Sandler Cos. |
21,925,205 |
| 305,289 |
PJT Partners, Inc., Class A |
28,776,541 |
| |
|
84,103,401 |
| |
Commercial Services & Supplies — 3.0% | |
| 1,499,799 |
ACV Auctions, Inc., Class A(a) |
28,151,227 |
| 422,138 |
Casella Waste Systems, Inc., Class A(a) |
41,736,784 |
| |
|
69,888,011 |
| |
Communications Equipment — 0.1% | |
| 79,706 |
Calix, Inc.(a) |
2,643,051 |
| |
Construction & Engineering — 3.1% | |
| 323,780 |
Arcosa, Inc. |
27,799,751 |
| 415,094 |
Construction Partners, Inc., Class A(a) |
23,307,528 |
| 192,666 |
Sterling Infrastructure, Inc.(a) |
21,252,986 |
| |
|
72,360,265 |
| |
Diversified Consumer Services — 0.8% | |
| 145,292 |
Grand Canyon Education, Inc.(a) |
19,790,223 |
| |
Electronic Equipment, Instruments & Components — 3.6% | |
| 241,008 |
Advanced Energy Industries, Inc. |
24,577,996 |
| Shares |
Description |
Value (†) |
| |
Electronic Equipment, Instruments & Components — continued | |
| 336,900 |
Itron, Inc.(a) |
$31,169,988
|
| 161,318 |
Novanta, Inc.(a) |
28,193,547 |
| |
|
83,941,531 |
| |
Energy Equipment & Services — 5.1% | |
| 602,388 |
Cactus, Inc., Class A |
30,173,615 |
| 451,373 |
Noble Corp. PLC |
21,887,077 |
| 829,219 |
Oceaneering International, Inc.(a) |
19,403,724 |
| 405,055 |
Weatherford International PLC(a) |
46,751,448 |
| |
|
118,215,864 |
| |
Financial Services — 1.4% | |
| 794,349 |
EVERTEC, Inc. |
31,694,525 |
| |
Food Products — 0.8% | |
| 532,835 |
Simply Good Foods Co.(a) |
18,132,375 |
| |
Ground Transportation — 0.4% | |
| 532,736 |
Marten Transport Ltd. |
9,844,961 |
| |
Health Care Equipment & Supplies — 7.0% | |
| 470,745 |
AtriCure, Inc.(a) |
14,320,063 |
| 272,532 |
Axonics, Inc.(a) |
18,796,532 |
| 247,348 |
Glaukos Corp.(a) |
23,322,443 |
| 111,390 |
Integer Holdings Corp.(a) |
12,996,985 |
| 178,129 |
iRhythm Technologies, Inc.(a) |
20,662,964 |
| 325,717 |
LivaNova PLC(a) |
18,220,609 |
| 434,378 |
Merit Medical Systems, Inc.(a) |
32,904,134 |
| 468,808 |
PROCEPT BioRobotics Corp.(a) |
23,168,491 |
| |
|
164,392,221 |
| |
Health Care Providers & Services — 6.8% | |
| 285,740 |
Acadia Healthcare Co., Inc.(a) |
22,636,323 |
| 208,163 |
Ensign Group, Inc. |
25,899,641 |
| 293,929 |
HealthEquity, Inc.(a) |
23,993,424 |
| 1,002,336 |
Option Care Health, Inc.(a) |
33,618,349 |
| 668,694 |
Progyny, Inc.(a) |
25,510,676 |
| 575,665 |
RadNet, Inc.(a) |
28,011,859 |
| |
|
159,670,272 |
| |
Health Care Technology — 1.0% | |
| 741,604 |
Evolent Health, Inc., Class A(a) |
24,317,195 |
| |
Hotels, Restaurants & Leisure — 3.4% | |
| 473,400 |
First Watch Restaurant Group, Inc.(a) |
11,655,108 |
| 1,303,838 |
Life Time Group Holdings, Inc.(a) |
20,235,566 |
| 240,480 |
Papa John's International, Inc. |
16,015,968 |
| 197,651 |
Texas Roadhouse, Inc. |
30,531,150 |
| |
|
78,437,792 |
| |
Household Durables — 1.2% | |
| 108,200 |
Installed Building Products, Inc. |
27,994,586 |
| |
Insurance — 3.2% | |
| 864,617 |
BRP Group, Inc., Class A(a) |
25,022,016 |
| 364,110 |
Goosehead Insurance, Inc., Class A(a) |
24,257,008 |
| 47,902 |
Kinsale Capital Group, Inc. |
25,136,096 |
| |
|
74,415,120 |
See accompanying notes to financial statements.
7 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Small Cap Growth Fund (continued)
| Shares |
Description |
Value (†) |
| |
IT Services — 0.6% | |
| 521,465 |
Couchbase, Inc.(a) |
$13,719,744 |
| |
Life Sciences Tools & Services — 1.6% | |
| 92,458 |
Medpace Holdings, Inc.(a) |
37,366,901 |
| |
Machinery — 3.5% | |
| 311,893 |
Albany International Corp., Class A |
29,165,114 |
| 232,291 |
ESCO Technologies, Inc. |
24,866,752 |
| 103,465 |
RBC Bearings, Inc.(a) |
27,971,763 |
| |
|
82,003,629 |
| |
Metals & Mining — 1.2% | |
| 532,472 |
ATI, Inc.(a) |
27,246,592 |
| |
Oil, Gas & Consumable Fuels — 1.0% | |
| 883,902 |
Magnolia Oil & Gas Corp., Class A |
22,937,257 |
| |
Personal Care Products — 3.8% | |
| 562,235 |
BellRing Brands, Inc.(a) |
33,188,732 |
| 143,971 |
elf Beauty, Inc.(a) |
28,222,635 |
| 197,068 |
Inter Parfums, Inc. |
27,690,025 |
| |
|
89,101,392 |
| |
Pharmaceuticals — 1.6% | |
| 162,906 |
Axsome Therapeutics, Inc.(a) |
12,999,899 |
| 709,992 |
Supernus Pharmaceuticals, Inc.(a) |
24,217,827 |
| |
|
37,217,726 |
| |
Professional Services — 3.5% | |
| 96,069 |
FTI Consulting, Inc.(a) |
20,202,350 |
| 201,735 |
Huron Consulting Group, Inc.(a) |
19,491,636 |
| 151,808 |
ICF International, Inc. |
22,866,839 |
| 308,370 |
KBR, Inc. |
19,630,834 |
| |
|
82,191,659 |
| |
Semiconductors & Semiconductor Equipment — 5.6% | |
| 471,449 |
MACOM Technology Solutions Holdings, Inc.(a) |
45,089,382 |
| 200,238 |
Onto Innovation, Inc.(a) |
36,259,097 |
| 370,484 |
Rambus, Inc.(a) |
22,899,616 |
| 188,087 |
Silicon Laboratories, Inc.(a) |
27,031,864 |
| |
|
131,279,959 |
| |
Software — 8.6% | |
| 251,487 |
Agilysys, Inc.(a) |
21,190,295 |
| 900,544 |
Clearwater Analytics Holdings, Inc., Class A(a) |
15,930,623 |
| 645,650 |
Intapp, Inc.(a) |
22,145,795 |
| 263,015 |
JFrog Ltd.(a) |
11,630,523 |
| 223,258 |
Procore Technologies, Inc.(a) |
18,345,110 |
| 531,679 |
Tenable Holdings, Inc.(a) |
26,280,893 |
| 779,027 |
Varonis Systems, Inc.(a) |
36,746,704 |
| 890,418 |
Vertex, Inc., Class A(a) |
28,279,676 |
| 237,134 |
Workiva, Inc.(a) |
20,108,963 |
| |
|
200,658,582 |
| |
Specialty Retail — 1.0% | |
| 246,732 |
Boot Barn Holdings, Inc.(a) |
23,476,550 |
| Shares |
Description |
Value (†) |
| |
Technology Hardware, Storage & Peripherals — 1.4% | |
| 633,472 |
Pure Storage, Inc., Class A(a) |
$32,934,209 |
| |
Textiles, Apparel & Luxury Goods — 1.6% | |
| 201,383 |
Columbia Sportswear Co. |
16,348,272 |
| 192,666 |
Oxford Industries, Inc. |
21,655,658 |
| |
|
38,003,930 |
| |
Trading Companies & Distributors — 3.3% | |
| 190,552 |
Applied Industrial Technologies, Inc. |
37,643,548 |
| 97,566 |
McGrath RentCorp |
12,036,717 |
| 157,179 |
SiteOne Landscape Supply, Inc.(a) |
27,435,595 |
| |
|
77,115,860 |
| |
Total Common Stocks (Identified Cost $1,736,746,751) |
2,270,189,316 |
| Principal
Amount |
|
|
| Short-Term Investments — 2.2% | ||
| $51,288,592 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $51,308,538 on 4/01/2024 collateralized by $56,395,100 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $52,314,371 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $51,288,592) |
51,288,592 |
| |
Total Investments — 99.2% (Identified Cost $1,788,035,343) |
2,321,477,908 |
| |
Other assets less liabilities — 0.8% |
19,888,031 |
| |
Net Assets — 100.0% |
$2,341,365,939 |
| (†)
|
See Note 2 of Notes to Financial Statements. |
| (a) |
Non-income producing security. |
| ADR |
An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
See accompanying notes to financial statements.
| 8
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Small Cap Growth Fund (continued)
Industry Summary at March 31,
2024 (Unaudited)
| Software |
8.6 % |
| Health Care Equipment & Supplies |
7.0 |
| Health Care Providers & Services |
6.8 |
| Semiconductors & Semiconductor Equipment |
5.6 |
| Energy Equipment & Services |
5.1 |
| Aerospace & Defense |
4.0 |
| Personal Care Products |
3.8 |
| Automobile Components |
3.8 |
| Capital Markets |
3.6 |
| Electronic Equipment, Instruments & Components |
3.6 |
| Professional Services |
3.5 |
| Machinery |
3.5 |
| Hotels, Restaurants & Leisure |
3.4 |
| Biotechnology |
3.3 |
| Trading Companies & Distributors |
3.3 |
| Insurance |
3.2 |
| Construction & Engineering |
3.1 |
| Commercial Services & Supplies |
3.0 |
| Other Investments, less than 2% each |
18.8 |
| Short-Term Investments |
2.2 |
| Total Investments |
99.2 |
| Other assets less liabilities |
0.8 |
| Net Assets |
100.0 % |
See accompanying notes to financial statements.
9 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Small Cap Value Fund
| Shares |
Description |
Value (†) |
| Common Stocks— 97.7% of Net Assets | ||
| |
Aerospace & Defense — 3.7% | |
| 124,789 |
Leonardo DRS, Inc.(a) |
$2,756,589
|
| 68,033 |
Mercury Systems, Inc.(a) |
2,006,974 |
| 44,777 |
Moog, Inc., Class A |
7,148,648 |
| 63,034 |
V2X, Inc.(a) |
2,944,318 |
| |
|
14,856,529 |
| |
Automobile Components — 0.6% | |
| 258,075 |
Garrett Motion, Inc.(a) |
2,565,265 |
| |
Banks — 10.0% | |
| 84,723 |
Ameris Bancorp |
4,098,899 |
| 116,137 |
Cadence Bank |
3,367,973 |
| 185,456 |
Home BancShares, Inc. |
4,556,654 |
| 170,405 |
Hope Bancorp, Inc. |
1,961,362 |
| 49,165 |
Pinnacle Financial Partners, Inc. |
4,222,290 |
| 56,156 |
Popular, Inc. |
4,946,782 |
| 64,991 |
Prosperity Bancshares, Inc. |
4,275,108 |
| 51,458 |
SouthState Corp. |
4,375,474 |
| 53,141 |
Wintrust Financial Corp. |
5,547,389 |
| 65,775 |
WSFS Financial Corp. |
2,969,083 |
| |
|
40,321,014 |
| |
Biotechnology — 1.6% | |
| 98,104 |
Alkermes PLC(a) |
2,655,675 |
| 15,919 |
United Therapeutics Corp.(a) |
3,656,913 |
| |
|
6,312,588 |
| |
Building Products — 4.4% | |
| 7,650 |
CSW Industrials, Inc. |
1,794,690 |
| 61,572 |
Griffon Corp. |
4,515,691 |
| 220,927 |
Janus International Group, Inc.(a) |
3,342,626 |
| 91,808 |
Quanex Building Products Corp. |
3,528,181 |
| 38,611 |
UFP Industries, Inc. |
4,749,539 |
| |
|
17,930,727 |
| |
Capital Markets — 0.9% | |
| 49,001 |
Stifel Financial Corp. |
3,830,408 |
| |
Chemicals — 2.9% | |
| 28,774 |
Ashland, Inc. |
2,801,724 |
| 44,884 |
Cabot Corp. |
4,138,305 |
| 276,487 |
Ecovyst, Inc.(a) |
3,082,830 |
| 20,976 |
Hawkins, Inc. |
1,610,957 |
| |
|
11,633,816 |
| |
Commercial Services & Supplies — 2.7% | |
| 101,333 |
CECO Environmental Corp.(a) |
2,332,686 |
| 16,490 |
Clean Harbors, Inc.(a) |
3,319,602 |
| 106,116 |
Vestis Corp. |
2,044,855 |
| 40,250 |
VSE Corp. |
3,220,000 |
| |
|
10,917,143 |
| |
Communications Equipment — 0.5% | |
| 227,920 |
Viavi Solutions, Inc.(a) |
2,071,793 |
| Shares |
Description |
Value (†) |
| |
Construction & Engineering — 2.0% | |
| 51,340 |
Arcosa, Inc. |
$4,408,052
|
| 142,949 |
MDU Resources Group, Inc. |
3,602,315 |
| |
|
8,010,367 |
| |
Construction Materials — 1.3% | |
| 63,526 |
Knife River Corp.(a) |
5,150,688 |
| |
Consumer Staples Distribution & Retail — 1.0% | |
| 70,452 |
Andersons, Inc. |
4,041,831 |
| |
Electric Utilities — 0.7% | |
| 45,865 |
ALLETE, Inc. |
2,735,389 |
| |
Electrical Equipment — 0.9% | |
| 18,927 |
Atkore, Inc. |
3,602,944 |
| |
Electronic Equipment, Instruments & Components — 6.1% | |
| 45,371 |
Bel Fuse, Inc., Class B |
2,736,325 |
| 55,889 |
Crane NXT Co. |
3,459,529 |
| 12,075 |
Littelfuse, Inc. |
2,926,376 |
| 37,938 |
TD SYNNEX Corp. |
4,290,788 |
| 228,750 |
TTM Technologies, Inc.(a) |
3,579,938 |
| 171,600 |
Vontier Corp. |
7,783,776 |
| |
|
24,776,732 |
| |
Energy Equipment & Services — 7.0% | |
| 87,086 |
ChampionX Corp. |
3,125,516 |
| 260,008 |
Newpark Resources, Inc.(a) |
1,877,258 |
| 115,215 |
Noble Corp. PLC |
5,586,775 |
| 69,275 |
Tidewater, Inc.(a) |
6,373,300 |
| 97,816 |
Weatherford International PLC(a) |
11,289,923 |
| |
|
28,252,772 |
| |
Entertainment — 0.7% | |
| 74,161 |
Atlanta Braves Holdings, Inc., Class C(a) |
2,896,729 |
| |
Financial Services — 4.4% | |
| 32,125 |
Euronet Worldwide, Inc.(a) |
3,531,501 |
| 31,679 |
Federal Agricultural Mortgage Corp., Class C |
6,236,962 |
| 126,486 |
International Money Express, Inc.(a) |
2,887,675 |
| 81,672 |
NCR Atleos Corp.(a) |
1,613,022 |
| 14,658 |
WEX, Inc.(a) |
3,481,715 |
| |
|
17,750,875 |
| |
Food Products — 1.7% | |
| 9,459 |
J & J Snack Foods Corp. |
1,367,393 |
| 158,257 |
Nomad Foods Ltd. |
3,095,507 |
| 23,859 |
Post Holdings, Inc.(a) |
2,535,734 |
| |
|
6,998,634 |
| |
Health Care Equipment & Supplies — 2.7% | |
| 28,246 |
CONMED Corp. |
2,261,940 |
| 12,738 |
Embecta Corp. |
169,033 |
| 6,912 |
Haemonetics Corp.(a) |
589,939 |
| 84,197 |
Inmode Ltd.(a) |
1,819,497 |
See accompanying notes to financial statements.
| 10
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Small Cap Value Fund (continued)
| Shares |
Description |
Value (†) |
| |
Health Care Equipment & Supplies — continued | |
| 40,386 |
Lantheus Holdings, Inc.(a) |
$2,513,625
|
| 14,166 |
UFP Technologies, Inc.(a) |
3,572,665 |
| |
|
10,926,699 |
| |
Health Care Providers & Services — 2.2% | |
| 98,648 |
Option Care Health, Inc.(a) |
3,308,654 |
| 51,970 |
Tenet Healthcare Corp.(a) |
5,462,567 |
| |
|
8,771,221 |
| |
Hotels, Restaurants & Leisure — 0.8% | |
| 26,776 |
Churchill Downs, Inc. |
3,313,530 |
| |
Household Durables — 1.8% | |
| 52,267 |
KB Home |
3,704,685 |
| 43,031 |
Skyline Champion Corp.(a) |
3,658,065 |
| |
|
7,362,750 |
| |
Household Products — 0.8% | |
| 35,774 |
Spectrum Brands Holdings, Inc. |
3,184,244 |
| |
Independent Power & Renewable Electricity Producers — 0.7% | |
| 29,878 |
Talen Energy Corp.(a) |
2,818,989 |
| |
Industrial REITs — 1.0% | |
| 102,993 |
STAG Industrial, Inc. |
3,959,051 |
| |
Insurance — 2.2% | |
| 71,461 |
Employers Holdings, Inc. |
3,243,615 |
| 8,691 |
Enstar Group Ltd.(a) |
2,700,815 |
| 50,561 |
Kemper Corp. |
3,130,737 |
| |
|
9,075,167 |
| |
Leisure Products — 0.9% | |
| 37,804 |
Brunswick Corp. |
3,648,842 |
| |
Machinery — 5.1% | |
| 34,339 |
Albany International Corp., Class A |
3,211,040 |
| 43,703 |
Allison Transmission Holdings, Inc. |
3,546,935 |
| 96,992 |
Atmus Filtration Technologies, Inc.(a) |
3,127,992 |
| 63,693 |
Columbus McKinnon Corp. |
2,842,618 |
| 17,256 |
Kadant, Inc. |
5,661,694 |
| 71,656 |
Wabash National Corp. |
2,145,381 |
| |
|
20,535,660 |
| |
Marine Transportation — 0.8% | |
| 158,430 |
Genco Shipping & Trading Ltd. |
3,220,882 |
| |
Media — 1.0% | |
| 4,078 |
Cable One, Inc. |
1,725,524 |
| 57,261 |
John Wiley & Sons, Inc., Class A |
2,183,362 |
| |
|
3,908,886 |
| |
Office REITs — 0.9% | |
| 141,608 |
Equity Commonwealth(a) |
2,673,559 |
| 80,083 |
Postal Realty Trust, Inc., Class A |
1,146,789 |
| |
|
3,820,348 |
| |
Oil, Gas & Consumable Fuels — 5.3% | |
| 125,565 |
Antero Resources Corp.(a) |
3,641,385 |
| Shares |
Description |
Value (†) |
| |
Oil, Gas & Consumable Fuels — continued | |
| 65,283 |
California Resources Corp. |
$3,597,093
|
| 95,682 |
Delek U.S. Holdings, Inc. |
2,941,265 |
| 62,035 |
International Seaways, Inc. |
3,300,262 |
| 336,716 |
Kosmos Energy Ltd.(a) |
2,006,827 |
| 147,692 |
Northern Oil & Gas, Inc. |
5,860,419 |
| |
|
21,347,251 |
| |
Personal Care Products — 0.9% | |
| 64,437 |
BellRing Brands, Inc.(a) |
3,803,716 |
| |
Pharmaceuticals — 2.4% | |
| 47,156 |
ANI Pharmaceuticals, Inc.(a) |
3,259,894 |
| 96,485 |
Pacira BioSciences, Inc.(a) |
2,819,292 |
| 101,850 |
Supernus Pharmaceuticals, Inc.(a) |
3,474,103 |
| |
|
9,553,289 |
| |
Professional Services — 2.2% | |
| 397,228 |
Alight, Inc., Class A(a) |
3,912,696 |
| 29,290 |
Concentrix Corp. |
1,939,584 |
| 48,683 |
Korn Ferry |
3,201,394 |
| |
|
9,053,674 |
| |
Real Estate Management & Development — 0.9% | |
| 30,143 |
Colliers International Group, Inc. |
3,684,379 |
| |
Retail REITs — 0.6% | |
| 44,145 |
Agree Realty Corp. |
2,521,562 |
| |
Semiconductors & Semiconductor Equipment — 2.7% | |
| 32,013 |
MKS Instruments, Inc. |
4,257,729 |
| 52,761 |
Rambus, Inc.(a) |
3,261,157 |
| 126,243 |
Semtech Corp.(a) |
3,470,420 |
| |
|
10,989,306 |
| |
Software — 0.5% | |
| 71,068 |
HashiCorp, Inc., Class A(a) |
1,915,283 |
| |
Specialty Retail — 1.3% | |
| 44,824 |
Academy Sports & Outdoors, Inc. |
3,027,413 |
| 24,379 |
Boot Barn Holdings, Inc.(a) |
2,319,662 |
| |
|
5,347,075 |
| |
Textiles, Apparel & Luxury Goods — 1.3% | |
| 35,459 |
Crocs, Inc.(a) |
5,099,004 |
| |
Trading Companies & Distributors — 4.3% | |
| 83,269 |
Alta Equipment Group, Inc. |
1,078,334 |
| 45,892 |
Beacon Roofing Supply, Inc.(a) |
4,498,334 |
| 206,308 |
Custom Truck One Source, Inc.(a) |
1,200,713 |
| 24,504 |
Herc Holdings, Inc. |
4,124,023 |
| 27,382 |
McGrath RentCorp |
3,378,117 |
| 237,804 |
MRC Global, Inc.(a) |
2,989,196 |
| |
|
17,268,717 |
| |
Water Utilities — 0.3% | |
| 146,605 |
Pure Cycle Corp.(a) |
1,392,747 |
See accompanying notes to financial statements.
11 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Small Cap Value Fund (continued)
| Shares |
Description |
Value (†) |
| |
Wireless Telecommunication Services — 1.0% | |
| 105,234 |
U.S. Cellular Corp.(a) |
$3,841,041 |
| |
Total Common Stocks (Identified Cost $258,586,346) |
395,019,557 |
| Principal
Amount |
|
|
| Short-Term Investments — 2.3% | ||
| $9,211,778 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $9,215,361 on 4/01/2024 collateralized by $9,390,600 U.S. Treasury Note, 3.750% due 4/15/2026 valued at $9,396,024 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $9,211,778) |
9,211,778 |
| |
Total Investments — 100.0% (Identified Cost $267,798,124) |
404,231,335 |
| |
Other assets less liabilities — (0.0)% |
(182,091 ) |
| |
Net Assets — 100.0% |
$404,049,244 |
| (†)
|
See Note 2 of Notes to Financial Statements. |
| (a) |
Non-income producing security. |
| REITs |
Real Estate Investment Trusts |
Industry Summary at March
31, 2024 (Unaudited)
| Banks |
10.0 % |
| Energy Equipment & Services |
7.0 |
| Electronic Equipment, Instruments & Components |
6.1 |
| Oil, Gas & Consumable Fuels |
5.3 |
| Machinery |
5.1 |
| Building Products |
4.4 |
| Financial Services |
4.4 |
| Trading Companies & Distributors |
4.3 |
| Aerospace & Defense |
3.7 |
| Chemicals |
2.9 |
| Semiconductors & Semiconductor Equipment |
2.7 |
| Health Care Equipment & Supplies |
2.7 |
| Commercial Services & Supplies |
2.7 |
| Pharmaceuticals |
2.4 |
| Insurance |
2.2 |
| Professional Services |
2.2 |
| Health Care Providers & Services |
2.2 |
| Construction & Engineering |
2.0 |
| Other Investments, less than 2% each |
25.4 |
| Short-Term Investments |
2.3 |
| Total Investments |
100.0 |
| Other assets less liabilities |
(0.0 )* |
| Net Assets |
100.0 % |
| * |
Less than 0.1% |
See accompanying notes to financial statements.
| 12
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Small/Mid Cap Growth Fund
| Shares |
Description |
Value (†) |
| Common Stocks— 96.6% of Net Assets | ||
| |
Aerospace & Defense — 6.0% | |
| 8,364 |
Axon Enterprise, Inc.(a) |
$2,616,928
|
| 17,595 |
BWX Technologies, Inc. |
1,805,599 |
| 9,489 |
HEICO Corp. |
1,812,399 |
| 25,430 |
Hexcel Corp. |
1,852,576 |
| |
|
8,087,502 |
| |
Automobile Components — 1.4% | |
| 53,177 |
Gentex Corp. |
1,920,753 |
| |
Banks — 1.1% | |
| 26,595 |
Axos Financial, Inc.(a) |
1,437,194 |
| |
Biotechnology — 7.5% | |
| 21,621 |
Exact Sciences Corp.(a) |
1,493,146 |
| 35,569 |
Insmed, Inc.(a) |
964,987 |
| 30,079 |
Natera, Inc.(a) |
2,751,026 |
| 14,585 |
Neurocrine Biosciences, Inc.(a) |
2,011,563 |
| 112,739 |
Roivant Sciences Ltd.(a) |
1,188,269 |
| 7,686 |
United Therapeutics Corp.(a) |
1,765,628 |
| |
|
10,174,619 |
| |
Building Products — 2.0% | |
| 54,465 |
AZEK Co., Inc.(a) |
2,735,232 |
| |
Capital Markets — 4.0% | |
| 19,750 |
Hamilton Lane, Inc., Class A |
2,227,010 |
| 38,131 |
Jefferies Financial Group, Inc. |
1,681,577 |
| 41,832 |
StepStone Group, Inc., Class A |
1,495,076 |
| |
|
5,403,663 |
| |
Commercial Services & Supplies — 3.3% | |
| 22,380 |
Cimpress PLC(a) |
1,980,854 |
| 13,487 |
Tetra Tech, Inc. |
2,491,184 |
| |
|
4,472,038 |
| |
Communications Equipment — 1.0% | |
| 28,493 |
Ciena Corp.(a) |
1,408,979 |
| |
Construction Materials — 1.0% | |
| 16,714 |
Knife River Corp.(a) |
1,355,171 |
| |
Consumer Staples Distribution & Retail — 3.8% | |
| 19,480 |
BJ's Wholesale Club Holdings, Inc.(a) |
1,473,662 |
| 5,829 |
Casey's General Stores, Inc. |
1,856,245 |
| 23,627 |
Performance Food Group Co.(a) |
1,763,519 |
| |
|
5,093,426 |
| |
Diversified Consumer Services — 0.9% | |
| 87,391 |
Laureate Education, Inc. |
1,273,287 |
| |
Electronic Equipment, Instruments & Components — 3.5% | |
| 17,839 |
Advanced Energy Industries, Inc. |
1,819,221 |
| 9,665 |
IPG Photonics Corp.(a) |
876,519 |
| 30,838 |
Trimble, Inc.(a) |
1,984,734 |
| |
|
4,680,474 |
| Shares |
Description |
Value (†) |
| |
Energy Equipment & Services — 2.6% | |
| 52,310 |
ChampionX Corp. |
$1,877,406
|
| 85,317 |
NOV, Inc. |
1,665,388 |
| |
|
3,542,794 |
| |
Financial Services — 2.3% | |
| 39,066 |
Remitly Global, Inc.(a) |
810,229 |
| 9,475 |
WEX, Inc.(a) |
2,250,597 |
| |
|
3,060,826 |
| |
Food Products — 2.2% | |
| 13,867 |
Freshpet, Inc.(a) |
1,606,631 |
| 41,249 |
Simply Good Foods Co.(a) |
1,403,703 |
| |
|
3,010,334 |
| |
Health Care Equipment & Supplies — 7.0% | |
| 11,766 |
Axonics, Inc.(a) |
811,501 |
| 9,516 |
Integer Holdings Corp.(a) |
1,110,327 |
| 20,184 |
LivaNova PLC(a) |
1,129,093 |
| 20,902 |
Merit Medical Systems, Inc.(a) |
1,583,326 |
| 5,503 |
Penumbra, Inc.(a) |
1,228,160 |
| 31,272 |
PROCEPT BioRobotics Corp.(a) |
1,545,462 |
| 6,276 |
Shockwave Medical, Inc.(a) |
2,043,654 |
| |
|
9,451,523 |
| |
Health Care Providers & Services — 3.5% | |
| 19,818 |
Acadia Healthcare Co., Inc.(a) |
1,569,982 |
| 24,413 |
HealthEquity, Inc.(a) |
1,992,833 |
| 58,843 |
Privia Health Group, Inc.(a) |
1,152,734 |
| |
|
4,715,549 |
| |
Health Care Technology — 1.2% | |
| 48,013 |
Evolent Health, Inc., Class A(a) |
1,574,346 |
| |
Hotels, Restaurants & Leisure — 4.6% | |
| 13,596 |
Churchill Downs, Inc. |
1,682,505 |
| 24,142 |
Light & Wonder, Inc.(a) |
2,464,657 |
| 13,081 |
Texas Roadhouse, Inc. |
2,020,622 |
| |
|
6,167,784 |
| |
Insurance — 2.6% | |
| 3,619 |
Kinsale Capital Group, Inc. |
1,899,034 |
| 8,445 |
Reinsurance Group of America, Inc. |
1,628,872 |
| |
|
3,527,906 |
| |
Interactive Media & Services — 0.6% | |
| 19,818 |
Yelp, Inc.(a) |
780,829 |
| |
IT Services — 1.9% | |
| 8,038 |
Globant SA(a) |
1,622,872 |
| 7,171 |
Wix.com Ltd.(a) |
985,869 |
| |
|
2,608,741 |
| |
Machinery — 4.5% | |
| 11,359 |
Ingersoll Rand, Inc. |
1,078,537 |
| 12,661 |
ITT, Inc. |
1,722,276 |
| 9,123 |
Middleby Corp.(a) |
1,466,887 |
| 6,751 |
RBC Bearings, Inc.(a) |
1,825,133 |
| |
|
6,092,833 |
See accompanying notes to financial statements.
13 |
Portfolio of Investments – as of March 31, 2024 (Unaudited) Loomis Sayles Small/Mid Cap Growth Fund (continued)
| Shares |
Description |
Value (†) |
| |
Metals & Mining — 1.5% | |
| 40,910 |
ATI, Inc.(a) |
$2,093,365 |
| |
Oil, Gas & Consumable Fuels — 3.8% | |
| 9,109 |
Chord Energy Corp. |
1,623,588 |
| 68,603 |
Magnolia Oil & Gas Corp., Class A |
1,780,248 |
| 24,982 |
Matador Resources Co. |
1,668,048 |
| |
|
5,071,884 |
| |
Professional Services — 3.4% | |
| 6,357 |
FTI Consulting, Inc.(a) |
1,336,814 |
| 26,072 |
KBR, Inc. |
1,659,743 |
| 19,353 |
Parsons Corp.(a) |
1,605,331 |
| |
|
4,601,888 |
| |
Semiconductors & Semiconductor Equipment — 5.1% | |
| 2,318 |
Monolithic Power Systems, Inc. |
1,570,259 |
| 13,691 |
Nova Ltd.(a) |
2,428,510 |
| 20,468 |
Power Integrations, Inc. |
1,464,485 |
| 10,112 |
Silicon Laboratories, Inc.(a) |
1,453,297 |
| |
|
6,916,551 |
| |
Software — 6.3% | |
| 73,646 |
Clearwater Analytics Holdings, Inc., Class A(a) |
1,302,798 |
| 10,275 |
CyberArk Software Ltd.(a) |
2,729,348 |
| 57,976 |
PowerSchool Holdings, Inc., Class A(a) |
1,234,309 |
| 4,460 |
Tyler Technologies, Inc.(a) |
1,895,545 |
| 16,049 |
Workiva, Inc.(a) |
1,360,955 |
| |
|
8,522,955 |
| |
Specialty Retail — 1.9% | |
| 8,472 |
Five Below, Inc.(a) |
1,536,651 |
| 23,098 |
Valvoline, Inc.(a) |
1,029,478 |
| |
|
2,566,129 |
| |
Technology Hardware, Storage & Peripherals — 1.7% | |
| 44,163 |
Pure Storage, Inc., Class A(a) |
2,296,034 |
| |
Textiles, Apparel & Luxury Goods — 3.0% | |
| 14,545 |
Columbia Sportswear Co. |
1,180,763 |
| 1,206 |
Deckers Outdoor Corp.(a) |
1,135,160 |
| 29,469 |
Skechers USA, Inc., Class A(a) |
1,805,271 |
| |
|
4,121,194 |
| |
Trading Companies & Distributors — 1.4% | |
| 10,844 |
SiteOne Landscape Supply, Inc.(a) |
1,892,820 |
| |
Total Common Stocks (Identified Cost $107,806,457) |
130,658,623 |
| Principal
Amount |
Description |
Value (†) |
| Short-Term Investments — 3.0% | ||
| $4,085,835 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $4,087,424 on 4/01/2024 collateralized by $4,492,700 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $4,167,610 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,085,835) |
$4,085,835 |
| |
Total Investments — 99.6% (Identified Cost $111,892,292) |
134,744,458 |
| |
Other assets less liabilities — 0.4% |
496,413 |
| |
Net Assets — 100.0% |
$135,240,871 |
| (†)
|
See Note 2 of Notes to Financial Statements. |
| (a) |
Non-income producing security. |
Industry Summary at March 31, 2024 (Unaudited)
| Biotechnology |
7.5 % |
| Health Care Equipment & Supplies |
7.0 |
| Software |
6.3 |
| Aerospace & Defense |
6.0 |
| Semiconductors & Semiconductor Equipment |
5.1 |
| Hotels, Restaurants & Leisure |
4.6 |
| Machinery |
4.5 |
| Capital Markets |
4.0 |
| Consumer Staples Distribution & Retail |
3.8 |
| Oil, Gas & Consumable Fuels |
3.8 |
| Health Care Providers & Services |
3.5 |
| Electronic Equipment, Instruments & Components |
3.5 |
| Professional Services |
3.4 |
| Commercial Services & Supplies |
3.3 |
| Textiles, Apparel & Luxury Goods |
3.0 |
| Energy Equipment & Services |
2.6 |
| Insurance |
2.6 |
| Financial Services |
2.3 |
| Food Products |
2.2 |
| Building Products |
2.0 |
| Other Investments, less than 2% each |
15.6 |
| Short-Term Investments |
3.0 |
| Total Investments |
99.6 |
| Other assets less liabilities |
0.4 |
| Net Assets |
100.0 % |
See accompanying notes to financial statements.
| 14
Statements of
Assets and Liabilities
March 31, 2024 (Unaudited)
| |
Small Cap Growth Fund |
Small Cap Value Fund |
Small/Mid Cap Growth Fund |
| ASSETS |
|
|
|
| Investments at cost |
$1,788,035,343 |
$267,798,124 |
$111,892,292 |
| Net unrealized appreciation |
533,442,565 |
136,433,211 |
22,852,166 |
| Investments at value |
2,321,477,908 |
404,231,335 |
134,744,458 |
| Cash |
179,794 |
124 |
— |
| Receivable for Fund shares sold |
21,632,489 |
323,438 |
2,908 |
| Receivable for securities sold |
24,881,577 |
753,719 |
634,781 |
| Dividends and interest receivable |
542,427 |
279,000 |
21,270 |
| Prepaid expenses (Note 8) |
852 |
513 |
477 |
| TOTAL ASSETS |
2,368,715,047 |
405,588,129 |
135,403,894 |
| LIABILITIES |
|
|
|
| Payable for securities purchased |
4,245,058 |
911,867 |
— |
| Payable for Fund shares redeemed |
21,084,768 |
44,398 |
— |
| Management fees payable (Note 5) |
1,470,419 |
223,711 |
71,849 |
| Deferred Trustees’ fees (Note 5) |
290,937 |
267,061 |
40,736 |
| Administrative fees payable (Note 5) |
88,020 |
14,826 |
5,119 |
| Payable to distributor (Note 5d) |
14,460 |
3,100 |
354 |
| Audit and tax services fees payable |
26,111 |
26,718 |
26,022 |
| Other accounts payable and accrued expenses |
129,335 |
47,204 |
18,943 |
| TOTAL LIABILITIES |
27,349,108 |
1,538,885 |
163,023 |
| COMMITMENTS AND CONTINGENCIES(a) |
— |
— |
— |
| NET ASSETS |
$2,341,365,939 |
$404,049,244 |
$135,240,871 |
| NET ASSETS CONSIST OF: |
|
|
|
| Paid-in capital |
$1,797,368,599 |
$253,784,344 |
$136,587,789 |
| Accumulated earnings (loss) |
543,997,340 |
150,264,900 |
(1,346,918 ) |
| NET ASSETS |
$2,341,365,939 |
$404,049,244 |
$135,240,871 |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
|
|
|
| Institutional Class: |
|
|
|
| Net assets |
$973,151,532 |
$221,642,499 |
$119,394,619 |
| Shares of beneficial interest |
34,777,632 |
9,162,382 |
9,438,870 |
| Net asset value, offering and redemption price per share |
$27.98 |
$24.19 |
$12.65 |
| Retail Class: |
|
|
|
| Net assets |
$62,325,182 |
$79,883,373 |
$— |
| Shares of beneficial interest |
2,581,071 |
3,423,648 |
— |
| Net asset value, offering and redemption price per share |
$24.15 |
$23.33 |
$— |
| Admin Class shares: |
|
|
|
| Net assets |
$— |
$5,455,461 |
$— |
| Shares of beneficial interest |
— |
260,584 |
— |
| Net asset value, offering and redemption price per share |
$— |
$20.94 |
$— |
| Class N shares: |
|
|
|
| Net assets |
$1,305,889,225 |
$97,067,911 |
$15,846,252 |
| Shares of beneficial interest |
45,835,355 |
4,011,277 |
1,251,820 |
| Net asset value, offering and redemption price per share |
$28.49 |
$24.20 |
$12.66 |
| (a) |
As disclosed in the Notes to Financial Statements, if applicable. |
See accompanying notes to financial statements.
15 |
Statements of
Operations
For the Six Months Ended March 31, 2024 (Unaudited)
| |
Small Cap Growth Fund |
Small Cap Value Fund |
Small/Mid Cap Growth Fund |
| INVESTMENT INCOME
|
|
|
|
| Dividends |
$4,300,949 |
$2,223,667 |
$364,413 |
| Interest |
822,644 |
166,150 |
59,597 |
| Less net foreign taxes withheld |
— |
(7,642 ) |
— |
| |
5,123,593 |
2,382,175 |
424,010 |
| Expenses |
|
|
|
| Management fees (Note 5) |
8,244,463 |
1,352,911 |
530,262 |
| Service and distribution fees (Note 5) |
76,862 |
102,604 |
— |
| Administrative fees (Note 5) |
504,682 |
82,800 |
32,486 |
| Trustees' fees and expenses (Note 5) |
74,658 |
38,494 |
13,804 |
| Transfer agent fees and expenses (Notes 5, 6 and 7) |
613,083 |
128,215 |
16,027 |
| Audit and tax services fees |
22,307 |
22,677 |
22,368 |
| Custodian fees and expenses |
32,535 |
6,103 |
4,978 |
| Legal fees |
31,266 |
4,201 |
1,982 |
| Registration fees |
71,800 |
57,944 |
15,841 |
| Shareholder reporting expenses |
78,100 |
32,360 |
7,355 |
| Miscellaneous expenses |
48,613 |
20,476 |
18,061 |
| Total expenses |
9,798,369 |
1,848,785 |
663,164 |
| Less waiver and/or expense reimbursement (Note 5) |
— |
(142,114 ) |
(62,990 ) |
| Less expense offset (Note 7) |
(2,316 ) |
(956 ) |
(77 ) |
| Net expenses |
9,796,053 |
1,705,715 |
600,097 |
| Net investment income (loss) |
(4,672,460 ) |
676,460 |
(176,087 ) |
| Net
realized and unrealized gain on Investments |
|
|
|
| Net realized gain on: |
|
|
|
| Investments |
26,411,491 |
14,365,290 |
636,997 |
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
| Investments |
298,079,523 |
53,477,621 |
22,684,325 |
| Net realized and unrealized gain on
Investments |
324,491,014 |
67,842,911 |
23,321,322 |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$319,818,554 |
$68,519,371 |
$23,145,235 |
See accompanying notes to financial statements.
| 16
Statements of
Changes in Net Assets
| |
Small Cap Growth
Fund |
Small Cap Value
Fund | ||
| |
Six Months Ended March 31,2024
(Unaudited) |
Year Ended September 30,2023 |
Six Months Ended March 31,2024
(Unaudited) |
Year Ended September 30,2023 |
| FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$(4,672,460 ) |
$(9,973,759 ) |
$676,460 |
$1,185,832 |
| Net realized gain on investments |
26,411,491 |
57,412,374 |
14,365,290 |
64,347,797 |
| Net change in unrealized appreciation on investments |
298,079,523 |
183,966,249 |
53,477,621 |
17,381,687 |
| Net increase in net assets resulting from operations |
319,818,554 |
231,404,864 |
68,519,371 |
82,915,316 |
| FROM DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Institutional Class |
(22,893,991
) |
(26,863,859
) |
(35,182,366 ) |
(33,629,482
) |
| Retail Class |
(1,695,109
) |
(2,219,963
) |
(13,625,525 ) |
(7,869,701
) |
| Admin Class |
— |
— |
(971,716 ) |
(890,318 ) |
| Class N |
(27,043,660 ) |
(32,585,425 ) |
(15,330,776 ) |
(8,423,867 ) |
| Total distributions |
(51,632,760 ) |
(61,669,247 ) |
(65,110,383 ) |
(50,813,368 ) |
| NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) |
(119,141,177 ) |
45,491,029 |
58,497,141 |
(111,660,807 ) |
| Net increase (decrease) in net assets |
149,044,617 |
215,226,646 |
61,906,129 |
(79,558,859
) |
| NET ASSETS |
|
|
|
|
| Beginning of the period |
2,192,321,322 |
1,977,094,676 |
342,143,115 |
421,701,974 |
| End of the period |
$2,341,365,939 |
$2,192,321,322 |
$404,049,244 |
$342,143,115 |
See accompanying notes to financial statements.
17 |
Statements of
Changes in Net Assets (continued)
| |
Small/Mid Cap
Growth Fund | |
| |
Six Months Ended March 31,2024
(Unaudited) |
Year Ended September 30,2023 |
| FROM OPERATIONS: |
|
|
| Net investment loss |
$(176,087 ) |
$(543,546 ) |
| Net realized gain (loss) on investments |
636,997 |
(14,132,539 ) |
| Net change in unrealized appreciation on investments |
22,684,325 |
23,117,663 |
| Net increase in net assets resulting from operations |
23,145,235 |
8,441,578 |
| NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) |
(31,437,964 ) |
(18,288,186 ) |
| Net decrease in net assets |
(8,292,729 ) |
(9,846,608 ) |
| NET ASSETS |
|
|
| Beginning of the period |
143,533,600 |
153,380,208 |
| End of the period |
$135,240,871 |
$143,533,600 |
See accompanying notes to financial statements.
| 18
Financial
Highlights
For a share outstanding throughout each period.
| |
Small Cap Growth
Fund – Institutional Class | |||||
| |
Six Months Ended
March 31, 2024
(Unaudited) |
Year Ended September 30, 2023 |
Year Ended September 30, 2022 |
Year Ended September 30, 2021 |
Year Ended September 30, 2020 |
Year Ended September 30, 2019 |
| Net asset value, beginning of the period |
$24.79 |
$22.88 |
$36.57 |
$28.51 |
$26.30 |
$31.55 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment loss(a) |
(0.06 ) |
(0.12 ) |
(0.15 )(b) |
(0.26 ) |
(0.17 ) |
(0.16 ) |
| Net realized and unrealized gain (loss) |
3.86 |
2.75 |
(7.06 ) |
8.94 |
4.73 |
(2.51 ) |
| Total from Investment Operations |
3.80 |
2.63 |
(7.21 ) |
8.68 |
4.56 |
(2.67 ) |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net realized capital gains |
(0.61 ) |
(0.72 ) |
(6.48 ) |
(0.62 ) |
(2.35 ) |
(2.58 ) |
| Net asset value, end of the period |
$27.98 |
$24.79 |
$22.88 |
$36.57 |
$28.51 |
$26.30 |
| Total return |
15.48 %(c) |
11.64 % |
(24.77 )%(b) |
30.53 % |
17.98 % |
(6.88 )% |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$973,152 |
$974,539 |
$883,458 |
$1,299,777 |
$1,037,625 |
$908,616 |
| Net expenses |
0.94
%(d) |
0.94 % |
0.93 % |
0.92 % |
0.94 % |
0.95 % |
| Gross expenses |
0.94
%(d) |
0.94 % |
0.93 % |
0.92 % |
0.94 % |
0.95 % |
| Net investment loss |
(0.48 )%(d) |
(0.50 )% |
(0.51 )%(b) |
(0.72 )% |
(0.66 )% |
(0.62 )% |
| Portfolio turnover rate |
20 % |
37 % |
34 % |
52 % |
52 % |
67 % |
| (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 $(0.16), total return would have been (24.83%) and the ratio
of net investment loss to average net assets would have been
(0.56%). |
| (c) |
Periods less than one year are not annualized. |
| (d) |
Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
19 |
Financial
Highlights (continued)
For a share outstanding throughout each period.
| |
Small Cap Growth
Fund – Retail Class | |||||
| |
Six Months Ended
March 31,
2024 (Unaudited) |
Year Ended September 30, 2023 |
Year Ended September 30, 2022 |
Year Ended September 30, 2021 |
Year Ended September 30, 2020 |
Year Ended September 30, 2019 |
| Net asset value, beginning of the period |
$21.49 |
$19.98 |
$32.79 |
$25.67 |
$23.95 |
$29.09 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment loss(a) |
(0.08 ) |
(0.16 ) |
(0.19 )(b) |
(0.30 ) |
(0.21 ) |
(0.21 ) |
| Net realized and unrealized gain (loss) |
3.35 |
2.39 |
(6.14 ) |
8.04 |
4.28 |
(2.35 ) |
| Total from Investment Operations |
3.27 |
2.23 |
(6.33 ) |
7.74 |
4.07 |
(2.56 ) |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net realized capital gains |
(0.61 ) |
(0.72 ) |
(6.48 ) |
(0.62 ) |
(2.35 ) |
(2.58 ) |
| Net asset value, end of the period |
$24.15 |
$21.49 |
$19.98 |
$32.79 |
$25.67 |
$23.95 |
| Total return |
15.39 %(c) |
11.32 % |
(24.94 )%(b) |
30.20 % |
17.67 % |
(7.11 )%(d) |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$62,325 |
$62,965 |
$62,909 |
$105,027 |
$98,205 |
$95,635 |
| Net expenses |
1.19
%(e) |
1.19 % |
1.18 % |
1.17 % |
1.19 % |
1.19
%(f) |
| Gross expenses |
1.20
%(e)(g) |
1.19 % |
1.18 % |
1.17 % |
1.19 % |
1.20 % |
| Net investment loss |
(0.73 )%(e) |
(0.75 )% |
(0.76 )%(b) |
(0.92 )% |
(0.91 )% |
(0.86 )% |
| Portfolio turnover rate |
20 % |
37 % |
34 % |
52 % |
52 % |
67 % |
| (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 $(0.21), total return would have been (25.01%) and the ratio
of net investment loss to average net assets would have been
(0.81%). |
| (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. |
| (g) |
Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 1.19%. See Note 7 of Notes
to Financial Statements. |
See accompanying notes to financial statements.
| 20
Financial
Highlights (continued)
For a share outstanding throughout each period.
| |
Small Cap Growth
Fund– Class N | |||||
| |
Six Months Ended
March
31, 2024
(Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$25.21 |
$23.23 |
$37.01 |
$28.81 |
$26.53 |
$31.76 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment loss(a) |
(0.05 ) |
(0.10 ) |
(0.11 )(b) |
(0.22 ) |
(0.14 ) |
(0.13 ) |
| Net realized and unrealized gain (loss) |
3.94 |
2.80 |
(7.19 ) |
9.04 |
4.77 |
(2.52 ) |
| Total from Investment Operations |
3.89 |
2.70 |
(7.30 ) |
8.82 |
4.63 |
(2.65 ) |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net realized capital gains |
(0.61 ) |
(0.72 ) |
(6.48 ) |
(0.62 ) |
(2.35 ) |
(2.58 ) |
| Net asset value, end of the period |
$28.49 |
$25.21 |
$23.23 |
$37.01 |
$28.81 |
$26.53 |
| Total return |
15.58 %(c) |
11.77 % |
(24.69 )%(b) |
30.66 % |
18.09 % |
(6.76 )% |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$1,305,889 |
$1,154,817 |
$1,030,728 |
$1,475,139 |
$1,066,067 |
$629,914 |
| Net expenses |
0.83
%(d) |
0.83 % |
0.82 % |
0.82 % |
0.82 % |
0.82 % |
| Gross expenses |
0.83
%(d) |
0.83 % |
0.82 % |
0.82 % |
0.82 % |
0.82 % |
| Net investment loss |
(0.36 )%(d) |
(0.38 )% |
(0.39 )%(b) |
(0.62 )% |
(0.54 )% |
(0.49 )% |
| Portfolio turnover rate |
20 % |
37 % |
34 % |
52 % |
52 % |
67 % |
| (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 $(0.13), total return would have been (24.71%) 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. |
See accompanying notes to financial statements.
21 |
Financial
Highlights (continued)
For a share outstanding throughout each period.
| |
Small Cap Value
Fund – Institutional Class | |||||
| |
Six Months Ended
March 31, 2024
(Unaudited) |
Year Ended September 30, 2023 |
Year Ended September 30, 2022 |
Year Ended September 30, 2021 |
Year Ended September 30, 2020 |
Year Ended September 30, 2019 |
| Net asset value, beginning of the period |
$24.17 |
$22.57 |
$32.05 |
$22.34 |
$28.66 |
$35.27 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.05 |
0.08 |
0.13 |
0.04 |
0.12 |
0.10 |
| Net realized and unrealized gain (loss) |
4.48 |
4.37 |
(4.18 ) |
11.79 |
(4.03 ) |
(2.49 ) |
| Total from Investment Operations |
4.53 |
4.45 |
(4.05 ) |
11.83 |
(3.91 ) |
(2.39 ) |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.05 ) |
(0.13 ) |
(0.05 ) |
(0.13 ) |
(0.12 ) |
(0.08 ) |
| Net realized capital gains |
(4.46 ) |
(2.72 ) |
(5.38 ) |
(1.99 ) |
(2.29 ) |
(4.14 ) |
| Total Distributions |
(4.51 ) |
(2.85 ) |
(5.43 ) |
(2.12 ) |
(2.41 ) |
(4.22 ) |
| Net asset value, end of the period |
$24.19 |
$24.17 |
$22.57 |
$32.05 |
$22.34 |
$28.66 |
| Total return(b)
|
20.20 %(c) |
20.73 % |
(16.18 )% |
55.05 % |
(15.31 )% |
(4.11 )% |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$221,642 |
$201,632 |
$276,020 |
$378,856 |
$295,006 |
$433,360 |
| Net expenses(d)
|
0.90
%(e) |
0.90 % |
0.90 % |
0.90 % |
0.90 % |
0.90 % |
| Gross expenses |
0.99
%(e) |
0.96 % |
0.93 % |
0.94 % |
0.95 % |
0.93 % |
| Net investment income |
0.41
%(e) |
0.34 % |
0.48 % |
0.12 % |
0.48 % |
0.36 % |
| Portfolio turnover rate |
14 % |
26 % |
28 % |
23 % |
23 % |
24 % |
| (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.
| 22
Financial
Highlights (continued)
For a share outstanding throughout each period.
| |
Small Cap Value
Fund – Retail Class | |||||
| |
Six Months Ended
March 31,
2024 (Unaudited) |
Year Ended September 30, 2023 |
Year Ended September 30, 2022 |
Year Ended September 30, 2021 |
Year Ended September 30, 2020 |
Year Ended September 30, 2019 |
| Net asset value, beginning of the period |
$23.44 |
$21.95 |
$31.33 |
$21.87 |
$28.11 |
$34.66 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income (loss)(a) |
0.02 |
0.02 |
0.06 |
(0.04 ) |
0.05 |
0.03 |
| Net realized and unrealized gain (loss) |
4.33 |
4.26 |
(4.06 ) |
11.55 |
(3.96 ) |
(2.44 ) |
| Total from Investment Operations |
4.35 |
4.28 |
(4.00 ) |
11.51 |
(3.91 ) |
(2.41 ) |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
— |
(0.07 ) |
— |
(0.06 ) |
(0.04 ) |
— |
| Net realized capital gains |
(4.46 ) |
(2.72 ) |
(5.38 ) |
(1.99 ) |
(2.29 ) |
(4.14 ) |
| Total Distributions |
(4.46 ) |
(2.79 ) |
(5.38 ) |
(2.05 ) |
(2.33 ) |
(4.14 ) |
| Net asset value, end of the period |
$23.33 |
$23.44 |
$21.95 |
$31.33 |
$21.87 |
$28.11 |
| Total return(b)
|
20.02 %(c) |
20.47 % |
(16.40 )% |
54.69 % |
(15.56 )% |
(4.33 )% |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$79,883 |
$68,979 |
$63,738 |
$92,036 |
$83,163 |
$134,434 |
| Net expenses(d)
|
1.15
%(e) |
1.15 % |
1.15 % |
1.15 % |
1.15 % |
1.15 % |
| Gross expenses |
1.24
%(e) |
1.21 % |
1.18 % |
1.19 % |
1.20 % |
1.18 % |
| Net investment income (loss) |
0.17
%(e) |
0.09 % |
0.23 % |
(0.12 )% |
0.23 % |
0.10 % |
| Portfolio turnover rate |
14 % |
26 % |
28 % |
23 % |
23 % |
24 % |
| (a) |
Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) |
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) |
Periods less than one year are not annualized. |
| (d) |
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement,
expenses would have been higher. |
| (e) |
Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
23 |
Financial
Highlights (continued)
For a share outstanding throughout each period.
| |
Small Cap Value
Fund– Admin Class | |||||
| |
Six Months Ended
March 31, 2024
(Unaudited) |
Year Ended September 30, 2023 |
Year Ended September 30, 2022 |
Year Ended September 30, 2021 |
Year Ended September 30, 2020 |
Year Ended September 30, 2019 |
| Net asset value, beginning of the period |
$21.47 |
$20.31 |
$29.44 |
$20.65 |
$26.68 |
$33.25 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
| Net investment loss(a) |
(0.01 ) |
(0.03 ) |
(0.01 ) |
(0.10 ) |
(0.01 ) |
(0.04 ) |
| Net realized and unrealized gain (loss) |
3.94 |
3.92 |
(3.74 ) |
10.88 |
(3.73 ) |
(2.39 ) |
| Total from Investment Operations |
3.93 |
3.89 |
(3.75 ) |
10.78 |
(3.74 ) |
(2.43 ) |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
— |
(0.01 ) |
— |
— |
— |
— |
| Net realized capital gains |
(4.46 ) |
(2.72 ) |
(5.38 ) |
(1.99 ) |
(2.29 ) |
(4.14 ) |
| Total Distributions |
(4.46 ) |
(2.73 ) |
(5.38 ) |
(1.99 ) |
(2.29 ) |
(4.14 ) |
| Net asset value, end of the period |
$20.94 |
$21.47 |
$20.31 |
$29.44 |
$20.65 |
$26.68 |
| Total return(b)
|
19.90 %(c) |
20.18 % |
(16.63 )% |
54.29 % |
(15.74 )% |
(4.60 )% |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$5,455 |
$5,812 |
$6,776 |
$9,440 |
$7,662 |
$13,357 |
| Net expenses(d)
|
1.40
%(e) |
1.40 % |
1.40 % |
1.40 % |
1.40 % |
1.40 % |
| Gross expenses |
1.49
%(e) |
1.46 % |
1.43 % |
1.43 % |
1.45 % |
1.43 % |
| Net investment loss |
(0.09 )%(e) |
(0.16 )% |
(0.02 )% |
(0.38 )% |
(0.03 )% |
(0.15 )% |
| Portfolio turnover rate |
14 % |
26 % |
28 % |
23 % |
23 % |
24 % |
| (a) |
Per share net investment loss has been calculated using the average shares outstanding during the period. |
| (b) |
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) |
Periods less than one year are not annualized. |
| (d) |
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement,
expenses would have been higher. |
| (e) |
Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
| 24
Financial
Highlights (continued)
For a share outstanding throughout each period.
| |
Small Cap Value
Fund– Class N | |||||
| |
Six Months Ended
March
31, 2024
(Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Year Ended September 30,
2020 |
Year Ended September 30,
2019 |
| Net asset value, beginning of the period |
$24.18 |
$22.58 |
$32.07 |
$22.35 |
$28.68 |
$35.31 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment income(a) |
0.06 |
0.10 |
0.15 |
0.05 |
0.13 |
0.12 |
| Net realized and unrealized gain (loss) |
4.49 |
4.37 |
(4.19 ) |
11.80 |
(4.03 ) |
(2.50 ) |
| Total from Investment Operations |
4.55 |
4.47 |
(4.04 ) |
11.85 |
(3.90 ) |
(2.38 ) |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net investment income |
(0.07 ) |
(0.15 ) |
(0.07 ) |
(0.14 ) |
(0.14 ) |
(0.11 ) |
| Net realized capital gains |
(4.46 ) |
(2.72 ) |
(5.38 ) |
(1.99 ) |
(2.29 ) |
(4.14 ) |
| Total Distributions |
(4.53 ) |
(2.87 ) |
(5.45 ) |
(2.13 ) |
(2.43 ) |
(4.25 ) |
| Net asset value, end of the period |
$24.20 |
$24.18 |
$22.58 |
$32.07 |
$22.35 |
$28.68 |
| Total return |
20.26 %(b)(c) |
20.80 %(b) |
(16.16 )% |
55.15 % |
(15.28 )% |
(4.07 )% |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$97,068 |
$65,720 |
$75,168 |
$112,310 |
$92,818 |
$141,821 |
| Net expenses |
0.85
%(d)(e) |
0.85
%(d) |
0.84 % |
0.85 % |
0.85 % |
0.83 % |
| Gross expenses |
0.90
%(e) |
0.87 % |
0.84 % |
0.85 % |
0.85 % |
0.83 % |
| Net investment income |
0.50
%(e) |
0.40 % |
0.53 % |
0.17 % |
0.53 % |
0.43 % |
| Portfolio turnover rate |
14 % |
26 % |
28 % |
23 % |
23 % |
24 % |
| (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.
25 |
Financial
Highlights (continued)
For a share outstanding throughout each period.
| |
Small/Mid Cap
Growth Fund – Institutional Class | |||||
| |
Six Months Ended
March 31, 2024
(Unaudited) |
Year Ended September 30, 2023 |
Year Ended September 30, 2022 |
Year Ended September 30, 2021 |
Year Ended September 30, 2020 |
Year Ended September 30, 2019 |
| Net asset value, beginning of the period |
$10.76 |
$10.34 |
$15.25 |
$11.81 |
$10.03 |
$15.49 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
|
| Net investment loss(a) |
(0.01 ) |
(0.04 ) |
(0.06 ) |
(0.02 )(b) |
(0.04 ) |
(0.04 ) |
| Net realized and unrealized gain (loss) |
1.90 |
0.46 |
(3.37 ) |
3.56 |
2.06 |
(1.55
)(c) |
| Total from Investment Operations |
1.89 |
0.42 |
(3.43 ) |
3.54 |
2.02 |
(1.59 ) |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
|
| Net realized capital gains |
— |
— |
(1.48 ) |
(0.10 ) |
(0.24 ) |
(3.87 ) |
| Net asset value, end of the period |
$12.65 |
$10.76 |
$10.34 |
$15.25 |
$11.81 |
$10.03 |
| Total return(d)
|
17.57 %(e) |
4.06 % |
(25.43 )% |
30.00 %(b) |
20.38 % |
(3.27 )% |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
| Net assets, end of the period (000's) |
$119,395 |
$118,499 |
$106,566 |
$70,526 |
$52,170 |
$34,312 |
| Net expenses(f)
|
0.85
%(g) |
0.85 % |
0.84
%(h) |
0.84
%(h) |
0.84 % |
0.85 % |
| Gross expenses |
0.94
%(g) |
0.93 % |
0.91 % |
0.99 % |
1.21 % |
1.30 % |
| Net investment loss |
(0.25 )%(g) |
(0.37 )% |
(0.45 )% |
(0.14 )%(b) |
(0.34 )% |
(0.35 )% |
| Portfolio turnover rate |
26 % |
63 % |
50 % |
50 % |
60 % |
67 % |
| (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 $(0.08), total return would have been 29.49% and the ratio of
net investment loss to average net assets would have been
(0.52%). |
| (c) |
The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing
of sales and redemptions of fund shares in relation to fluctuating market
values of investments of the Fund. |
| (d) |
Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (e) |
Periods less than one year are not annualized. |
| (f) |
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement,
expenses would have been higher. |
| (g) |
Computed on an annualized basis for periods less than one year. |
| (h) |
Includes additional voluntary waiver of advisory fee of 0.01%. |
See accompanying notes to financial statements.
| 26
Financial
Highlights (continued)
For a share outstanding throughout each period.
| |
Small/Mid Cap
Growth Fund– Class N | ||||
| |
Six Months Ended
March
31, 2024
(Unaudited) |
Year Ended September 30,
2023 |
Year Ended September 30,
2022 |
Year Ended September 30,
2021 |
Period Ended September 30,
2020*
|
| Net asset value, beginning of the period |
$10.77 |
$10.35 |
$15.26 |
$11.81 |
$9.89 |
| INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
|
|
|
|
|
| Net investment loss(a) |
(0.01 ) |
(0.04 ) |
(0.05 ) |
(0.01 )(b) |
(0.04 ) |
| Net realized and unrealized gain (loss) |
1.90 |
0.46 |
(3.38 ) |
3.56 |
2.20 |
| Total from Investment Operations |
1.89 |
0.42 |
(3.43 ) |
3.55 |
2.16 |
| LESS DISTRIBUTIONS FROM: |
|
|
|
|
|
| Net realized capital gains |
— |
— |
(1.48 ) |
(0.10 ) |
(0.24 ) |
| Net asset value, end of the period |
$12.66 |
$10.77 |
$10.35 |
$15.26 |
$11.81 |
| Total return(c)
|
17.55 %(d) |
4.06 % |
(25.41 )% |
30.08 %(b) |
22.08 %(d) |
| RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
| Net assets, end of the period (000's) |
$15,846 |
$25,035 |
$46,814 |
$9,260 |
$1 |
| Net expenses(e)
|
0.83
%(f) |
0.83 % |
0.83 % |
0.83 % |
0.83
%(f) |
| Gross expenses |
0.92
%(f) |
0.92 % |
0.91 % |
1.00 % |
107.49 %(f) |
| Net investment loss |
(0.22 )%(f) |
(0.37 )% |
(0.44 )% |
(0.08 )%(b) |
(0.34 )%(f) |
| Portfolio turnover rate |
26 % |
63 % |
50 % |
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.
27 |
Notes to Financial Statements
March
31, 2024 (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 (“Small Cap Value Fund”)
Loomis Sayles Funds
II:
Loomis Sayles Small Cap Growth Fund (“Small Cap Growth Fund”)
Loomis Sayles Small/Mid Cap Growth Fund (“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.
a. Valuation.
Registered investment companies are required to value portfolio investments
using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for
which readily
available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of open-end investment companies are valued at net asset value ("NAV") per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair 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 fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.
The Funds may also
fair value investments 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
| 28
Notes to Financial Statements (continued)
March 31, 2024 (Unaudited)
markets in general (such as market
disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among
other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or
information that occurred after the close of the foreign market but before the time the Fund’s NAV is calculated. Fair valuation by the Fund(s) valuation designee
may require subjective determinations about the value of the investment, 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 investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments 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.
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 in the Funds’ books and records and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates.
The
values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and
unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which
arise due to changes in market prices of investment securities.
The Funds may use foreign currency
exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the
counterparties do not perform under the contracts’ terms.
d. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to
meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2024 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts 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.
29 |
Notes to Financial Statements (continued)
March 31, 2024 (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, redemptions in-kind and net operating losses. Permanent book and tax basis differences
relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences
between book and tax distributable earnings are primarily due to deferred Trustees’ fees, return of capital distributions received 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, 2023 was as follows:
| |
2023 Distributions | ||
| Fund |
Ordinary Income |
Long-Term
Capital
Gains |
Total |
| Small Cap Growth Fund |
$ —
|
$61,669,247
|
$61,669,247
|
| Small Cap Value Fund |
2,223,346 |
48,590,022 |
50,813,368 |
| Small/Mid Cap Growth Fund |
— |
— |
— |
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,
2023, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:
| |
Small Cap Growth Fund |
Small Cap Value Fund |
Small/Mid Cap Growth Fund |
| Capital loss carryforward: |
|
|
|
| Short-term: |
|
|
|
| No expiration date |
$ — |
$ — |
$(23,696,151 ) |
| Late-year ordinary and post-October capital loss deferrals* |
$(7,358,605 ) |
$ — |
$(392,335 ) |
| * |
Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt
instruments after October 31 or December 31, as applicable, may be deferred and
treated as occurring on the first day of the following taxable year. Small Cap Growth Fund and Small/Mid Cap Growth Fund are deferring net operating losses. |
As of March 31, 2024, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax
basis were as follows:
| |
Small Cap Growth Fund |
Small Cap Value Fund |
Small/Mid Cap Growth Fund |
| Federal tax cost |
$1,788,035,343 |
$267,798,124 |
$111,892,292 |
| Gross tax appreciation |
$582,209,966 |
$142,569,744
|
$25,103,836
|
| Gross tax depreciation |
(48,767,401 ) |
(6,136,533 ) |
(2,251,670 ) |
| Net tax appreciation |
$533,442,565 |
$136,433,211 |
$22,852,166 |
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
| 30
Notes to Financial Statements (continued)
March 31, 2024 (Unaudited)
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, 2024, 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. 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.
h. Regulatory
Update. Effective January 24, 2023, the SEC adopted a release (the
“Release”) containing rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual
reports to shareholders that highlight key information deemed important for retail investors to assess and monitor their fund investments. Other information, including
financial statements, will no longer appear in the new tailored shareholder reports but will be available online, delivered free of charge upon request, and filed with the SEC on a semiannual basis on Form N-CSR. In addition to the removal of financial statements from the new tailored shareholder reports, the Release requires mandatory mailing of the reports, unless a shareholder specifically opts out and chooses electronic delivery. The Release also requires that the new tailored shareholder reports be no longer than 2-4 pages, include only a single share class of a single fund, and use a broad-based securities market index for performance comparison purposes. Management is evaluating the impact of the Release on the content of the current shareholder report and newly created tailored shareholder reports and expects to meet the required compliance date of July 24, 2024.
3.Fair Value Measurements. In accordance with accounting standards related to fair value measurements and
disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three
broad levels listed below:
• Level 1 — quoted prices in active markets for identical assets or
liabilities;
• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
The Funds' pricing policies have been approved by the Board of
Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized
are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other
investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued
by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may
determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3
inputs.
The following is a summary of the inputs used to value the Funds' investments as of March
31, 2024, at value:
| Small Cap Growth Fund | ||||
| Asset Valuation Inputs | ||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
| Common Stocks(a) |
$2,270,189,316 |
$ — |
$ — |
$2,270,189,316
|
| Short-Term Investments |
— |
51,288,592 |
— |
51,288,592 |
| Total Investments |
$2,270,189,316 |
$51,288,592 |
$— |
$2,321,477,908 |
| (a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
31 |
Notes to Financial Statements (continued)
March 31, 2024 (Unaudited)
| Small Cap Value Fund | ||||
| Asset Valuation Inputs | ||||
| Description |
Level 1 |
Level 2 |
Level 3 |
Total |
| Common Stocks(a) |
$395,019,557 |
$ — |
$ — |
$395,019,557
|
| Short-Term Investments |
— |
9,211,778 |
— |
9,211,778 |
| Total Investments |
$395,019,557 |
$9,211,778 |
$— |
$404,231,335 |
| (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) |
$130,658,623 |
$ — |
$ — |
$130,658,623
|
| Short-Term Investments |
— |
4,085,835 |
— |
4,085,835 |
| Total Investments |
$130,658,623 |
$4,085,835 |
$— |
$134,744,458 |
| (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, 2024,
purchases and sales of securities (excluding short-term investments) were as follows:
| Fund |
Purchases |
Sales |
| Small Cap Growth Fund |
$426,612,730
|
$595,321,516
|
| Small Cap Value Fund |
48,620,064 |
59,713,505 |
| Small/Mid Cap Growth Fund |
35,581,884 |
66,831,828 |
5.Management
Fees and Other Transactions with Affiliates.
a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as
investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis
Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
Under the terms of the management agreements, each Fund pays a management fee at the following annual rates,
calculated daily and payable monthly, based on each Fund’s average daily net assets:
| Fund |
Percentage of Average Daily Net Assets
|
| Small Cap Growth Fund |
0.75% |
| Small Cap Value Fund |
0.75% |
| Small/Mid Cap Growth Fund |
0.75% |
Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain
expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and
extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2025, 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.
| 32
Notes to Financial Statements (continued)
March 31, 2024 (Unaudited)
For the six months ended March 31, 2024
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 |
0.95 % |
1.20 % |
— % |
0.90 % |
| 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, 2024, the management fees for each Fund were as
follows:
| |
Gross
Management
Fees |
Contractual
Waivers of
Management
Fees1 |
Net
Management
Fees |
Percentage of Average Daily Net Assets | |
| Fund |
Gross |
Net | |||
| Small Cap Growth Fund |
$8,244,463 |
$ — |
$8,244,463 |
0.75 % |
0.75 % |
| Small Cap Value Fund |
1,352,911 |
142,114 |
1,210,797 |
0.75 % |
0.67 % |
| Small/Mid Cap Growth Fund |
530,262 |
61,922 |
468,340 |
0.75 % |
0.66 % |
| 1 |
Waiver/expense reimbursements are subject to possible recovery until September 30, 2025. |
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, 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, 2024, 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 |
$ — |
|
$76,862 |
$ —
|
| Small Cap Value Fund |
6,360 |
|
89,884 |
6,360 |
33 |
Notes to Financial Statements (continued)
March 31, 2024 (Unaudited)
c. Administrative Fees. Natixis Advisors, LLC (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“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.
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, 2024, the administrative fees for each Fund were as follows:
| Fund |
Administrative Fees |
| Small Cap Growth Fund |
$504,682
|
| Small Cap Value Fund |
82,800 |
| Small/Mid Cap Growth Fund |
32,486 |
d. Sub-Transfer
Agent Fees. Natixis Distribution has entered into agreements, which
include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the
intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the six months ended March 31, 2024, 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 |
$576,171
|
| Small Cap Value Fund |
114,958 |
| Small/Mid Cap Growth Fund |
12,828 |
As of March 31, 2024, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent
fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
| Fund |
Reimbursements of Sub-Transfer Agent Fees
|
| Small Cap Growth Fund |
$14,460
|
| Small Cap Value Fund |
3,100 |
| Small/Mid Cap Growth Fund |
354 |
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 $400,000. 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 $225,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the Chairperson of the Contract Review Committee and the Chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $25,000. The Chairperson of the Governance Committee receives 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
| 34
Notes to Financial Statements (continued)
March 31, 2024 (Unaudited)
for each Committee meeting that he or
she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Governance Committee member is compensated $2,500 for each Committee meeting
that he or she attends. 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, 2024, the Chairperson of the Board of Trustees received a retainer fee
at the annual rate of $369,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $210,000. Each
Independent Trustee received a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attended in person. The Chairperson of the Contract Review Committee and the Chairperson of the Audit Committee each received an additional retainer fee at the annual rate of $20,000. All other Trustees fees remained unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. 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. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.
f. Affiliated
Ownership. As of March 31, 2024, 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 |
0.12% |
1.18% |
—% |
1.30% |
| Small Cap Value Fund |
0.72% |
7.19% |
8.48% |
16.39% |
Investment activities of affiliated shareholders could have material impacts on the Funds.
g. Reimbursement
of Transfer Agent Fees and Expenses. Natixis Advisors has given a
binding contractual undertaking to Small/Mid Cap Growth Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in
effect through January 31, 2025 and is not subject to recovery under the expense limitation agreement described above.
For the six months ended March 31, 2024, Natixis Advisors reimbursed Small/Mid Cap Growth Fund $1,068 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, 2024 the Funds incurred the following class-specific transfer agent fees and expenses (net of expense offsets and 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 |
$560,142 |
$35,811 |
$ — |
$14,814
|
| Small Cap Value Fund |
90,722 |
32,486 |
2,308 |
1,743 |
| Small/Mid Cap Growth Fund |
14,882 |
— |
— |
1,068 |
7.Expense
Offset Arrangements. The Funds have entered into an agreement with
the transfer agent whereby certain transfer agent fees and expenses may be paid indirectly by credits earned on the Funds' cash balances. Transfer agent fees and expenses
are presented in the Statements of Operations gross of such credits, and the credits are presented as offsets to expenses.
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 syndicated, revolving, committed, unsecured line of credit with State Street Bank as
administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long
as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 limit at any time), subject to each Fund’s investment
35 |
Notes to Financial Statements (continued)
March 31, 2024 (Unaudited)
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, 2024, Small Cap Value Fund had an average daily balance on the line of credit
(for those days on which there were borrowings) of $2,500,000 at a weighted average interest rate of 6.43%. Interest expense incurred on the line of credit was
$447.
For the six months ended March 31, 2024, Small/Mid Cap Growth Fund had an average daily
balance on the line of credit (for those days on which there were borrowings) of $6,700,000 at a weighted average interest rate of 6.68%. Interest expense incurred on the
line of credit was $1,243.
9.Risk. Geopolitical events (such as trading halts, sanctions or wars) could increase
volatility and uncertainty in the financial markets and adversely affect regional and global economies. These, and other related events, could significantly impact a
Fund's performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to issuers in the country or countries
involved.
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, 2024, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:
| Fund |
Number of 5% Non-Affiliated Account Holders |
Percentage of Non-Affiliated Ownership |
Percentage of Affiliated
Ownership
(Note 5f) |
Total Percentage of
Ownership |
| Small Cap Value Fund |
4 |
25.00 % |
16.39 % |
41.39 % |
| Small/Mid Cap Growth Fund |
6 |
64.11 % |
— |
64.11 % |
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, 2024 |
Year
Ended September 30, 2023 | ||
| Small Cap Growth Fund |
Shares |
Amount |
Shares |
Amount |
| Institutional Class |
|
|
|
|
| Issued from the sale of shares |
2,792,865 |
$71,596,252 |
10,078,079 |
$253,544,183
|
| Issued in connection with the reinvestment of distributions |
792,963 |
21,005,595 |
1,053,561 |
25,137,956 |
| Redeemed |
(8,124,673 ) |
(209,585,627 ) |
(10,430,137 ) |
(261,851,616 ) |
| Net change |
(4,538,845 ) |
$(116,983,780 ) |
701,503 |
$16,830,523 |
| Retail Class |
|
|
|
|
| Issued from the sale of shares |
96,214 |
$2,146,427 |
441,299 |
$9,585,279
|
| Issued in connection with the reinvestment of distributions |
73,575 |
1,682,653 |
106,298 |
2,203,548 |
| Redeemed |
(518,252 ) |
(11,554,540 ) |
(767,180 ) |
(16,756,037 ) |
| Net change |
(348,463 ) |
$(7,725,460 ) |
(219,583 ) |
$(4,967,210 ) |
| Class N |
|
|
|
|
| Issued from the sale of shares |
5,083,228 |
$134,895,379 |
9,639,101 |
$247,068,462
|
| Issued in connection with the reinvestment of distributions |
987,983 |
26,636,020 |
1,325,324 |
32,139,099 |
| Redeemed |
(6,037,415 ) |
(155,963,336 ) |
(9,524,898 ) |
(245,579,845 ) |
| Net change |
33,796 |
$5,568,063 |
1,439,527 |
$33,627,716 |
| Increase (decrease) from capital share transactions |
(4,853,512 ) |
$(119,141,177 ) |
1,921,447 |
$45,491,029 |
| 36
Notes to Financial Statements (continued)
March 31, 2024 (Unaudited)
11.Capital Shares (continued).
| | ||||
| |
Six
Months Ended March 31, 2024 |
Year
Ended September 30, 2023 | ||
| Small Cap Value Fund |
Shares |
Amount |
Shares |
Amount |
| Institutional Class |
|
|
|
|
| Issued from the sale of shares |
1,333,883 |
$31,057,863 |
1,324,531 |
$31,971,280
|
| Issued in connection with the reinvestment of distributions |
1,537,741 |
34,614,545 |
1,479,594 |
33,157,704 |
| Redeemed |
(2,051,676 ) |
(47,746,171 ) |
(6,693,582 ) |
(160,024,024 ) |
| Net change |
819,948 |
$17,926,237 |
(3,889,457 ) |
$(94,895,040 ) |
| Retail Class |
|
|
|
|
| Issued from the sale of shares |
505,721 |
$11,618,898 |
142,091 |
$3,321,439
|
| Issued in connection with the reinvestment of distributions |
626,606 |
13,609,887 |
360,879 |
7,859,942 |
| Redeemed |
(651,778 ) |
(14,124,659 ) |
(463,598 ) |
(10,809,533 ) |
| Net change |
480,549 |
$11,104,126 |
39,372 |
$371,848 |
| Admin Class |
|
|
|
|
| Issued from the sale of shares |
2,699 |
$55,607 |
18,912 |
$402,032
|
| Issued in connection with the reinvestment of distributions |
49,832 |
971,716 |
44,560 |
890,318 |
| Redeemed |
(62,707 ) |
(1,337,701 ) |
(126,310 ) |
(2,691,370 ) |
| Net change |
(10,176 ) |
$(310,378 ) |
(62,838 ) |
$(1,399,020 ) |
| Class N |
|
|
|
|
| Issued from the sale of shares |
881,974 |
$20,695,440 |
214,302 |
$5,164,913
|
| Issued in connection with the reinvestment of distributions |
681,065 |
15,330,776 |
375,730 |
8,423,867 |
| Redeemed |
(269,216 ) |
(6,249,060 ) |
(1,201,179 ) |
(29,327,375 ) |
| Net change |
1,293,823 |
$29,777,156 |
(611,147 ) |
$(15,738,595 ) |
| Increase (decrease) from capital share transactions |
2,584,144 |
$58,497,141 |
(4,524,070 ) |
$(111,660,807 ) |
| | ||||
| |
Six
Months Ended March 31, 2024 |
Year
Ended September 30, 2023 | ||
| Small/Mid Cap Growth Fund |
Shares |
Amount |
Shares |
Amount |
| Institutional Class |
|
|
|
|
| Issued from the sale of shares |
1,165,107 |
$13,239,209 |
1,806,894 |
$20,331,352
|
| Redeemed |
(2,741,669 ) |
(32,012,160 ) |
(1,093,292 ) |
(12,121,065 ) |
| Net change |
(1,576,562 ) |
$(18,772,951 ) |
713,602 |
$8,210,287 |
| Class N |
|
|
|
|
| Issued from the sale of shares |
368,918 |
$4,145,053 |
1,539,241 |
$16,805,054
|
| Redeemed |
(1,442,677 ) |
(16,810,066
) |
(281,892 ) |
(3,176,860 ) |
| Redeemed in-kind (Note 12) |
— |
— |
(3,453,242 ) |
(40,126,667 ) |
| Net change |
(1,073,759 ) |
$(12,665,013 ) |
(2,195,893 ) |
$(26,498,473 ) |
| Decrease from capital share transactions |
(2,650,321 ) |
$(31,437,964 ) |
(1,482,291 ) |
$(18,288,186 ) |
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, 2023, Small/Mid Cap Growth Fund participated in a redemption in-kind transaction.
37 |
LOOMIS SAYLES FUNDS
Loomis
Sayles Funds, a Boston-based family of mutual funds advised by Loomis, Sayles & Company, L.P., offers a range of fixed income and equity investments to fit the goals
of the most demanding investor. Investment minimums and a pricing structure that includes multiple share classes make the funds suitable investments for individual
investors, retirement plan participants, high net worth individuals and small institutions, including endowments and foundations.
PHONE 800-633-3330 FOR THE FOLLOWING FUND INFORMATION:
• Net asset
values, yields, distribution information, fund information and fund literature
• Speak to a
customer service representative regarding new or existing accounts
Before
investing, consider the fund’s investment objectives, risks, charges, and expenses. Please visit www.loomissayles.com or call 800-633-3330 for a
prospectus and a summary prospectus, if available, containing this and other information.
If you wish to communicate with the funds’ Board of Trustees, you may do so by writing to:
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
The correspondence must be in writing, signed by the shareholder, including the shareholder’s name and address, and should identify the fund(s), account number, class of shares, and number of shares held in the fund(s) as of a recent date.
or by email at:
secretaryofthefunds@natixis.com
Communications regarding recommendations for Trustee candidates may not be submitted by e-mail. Please note: Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, social security number, PIN, or any other non-public, personal information in an e-mail communication because this information may be viewed by others.
secretaryofthefunds@natixis.com
Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.
Exp. 5/31/25
| (b) | Not applicable. |
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 Registrant’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 were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or are 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. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 14. Exhibits.
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 21, 2024 | |
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 21, 2024 | |
| By: | /s/ Matthew J. Block | |
| Name: | Matthew J. Block | |
| Title: | Treasurer and Principal Financial and Accounting Officer | |
| Date: | May 21, 2024 | |