N-30D 1 d12755.txt FIXED INCOME [LOGO] LOOMIS SAYLES FUNDS Loomis Sayles Bond Fund Loomis Sayles Global Bond Fund Loomis Sayles Investment Grade Bond Fund Loomis Sayles U.S. Government Securities Fund [Photo] [LOGO] LOOMIS SAYLES INVESTMENT TRUST Loomis Sayles Benchmark Core Bond Fund Loomis Sayles Core Plus Fixed Income Fund Loomis Sayles Fixed Income Fund Loomis Sayles Institutional High Income Fund Loomis Sayles Intermediate Duration Fixed Income Fund Loomis Sayles Investment Grade Fixed Income Fund SEMI-ANNUAL REPORT MARCH 31, 2003 (Unaudited) CORPORATE OVERVIEW LOOMIS SAYLES FUNDS AND LOOMIS SAYLES INVESTMENT TRUST The Loomis Sayles Funds and Loomis Sayles Investment Trust are a Boston-based family of predominantly no-load mutual funds advised by Loomis, Sayles & Company, L.P. The Loomis Sayles Funds and the Loomis Sayles Benchmark Core Bond Fund, a series of the Loomis Sayles Investment Trust, generally have investment minimums and a pricing structure, including multiple classes, that may make them an appropriate investment for certain individual investors and retirement plan participants. The Loomis Sayles Investment Trust series generally have higher investment minimums and a pricing structure that may make them an appropriate investment for small institutions, including endowments and foundations and high net worth individuals. Both Loomis Sayles Funds and Loomis Sayles Investment Trust offer a range of equity and fixed income investments to fit the goals of the most demanding investor. PHONE 800-633-3330 FOR THE FOLLOWING FUND INFORMATION: To request any of the following, press the number 1 Speak to a customer service representative regarding new or existing accounts for the Loomis Sayles Investment Trust 2 Automated account balances, last transaction, and distribution information 3 Speak to a customer service representative regarding new or existing accounts for the Loomis Sayles Funds 4 Net asset values and yields 5 Speak to a marketing representative TABLE OF CONTENTS Letter from the President 1 Economic and Market Overview 2 Average Annual Total Returns vs. Lipper Category Average and Lipper Category Index 4 LOOMIS SAYLES FUNDS Fund and Manager Reviews 5 Portfolio of Investments 10 Statements of Assets and Liabilities 36 Statements of Operations 37 Statements of Changes in Net Assets 38 Financial Highlights 40 LOOMIS SAYLES INVESTMENT TRUST Fund and Manager Reviews 44 Portfolio of Investments 52 Statements of Assets and Liabilities 88 Statements of Operations 90 Statements of Changes in Net Assets 92 Financial Highlights 96 Notes to Financial Statements 100 As always, we are interested in your comments and answering any questions. For more complete information about any of the Loomis Sayles Funds or the Loomis Sayles Investment Trust, including charges and expenses, please call Loomis Sayles Distributors, L.P. for a free prospectus at 800-633-3330 Monday through Friday, 8:45 a.m. to 4:45 p.m. EST or visit www.loomissayles.com. Read the prospectus carefully before you invest or send money. LOOMIS SAYLES FIXED INCOME FUNDS LETTER FROM THE PRESIDENT [Photo] Robert J. Blanding President Dear Shareholders, A variety of factors challenged investors during the six-month period ended March 31, 2003, from continued sluggish economic growth to heightened terrorism alerts to war with Iraq. But, as is typical of the American spirit, optimism prevailed. In the end, a swift and successful resolution to the conflict in Iraq boosted investor confidence and removed a great deal of uncertainty that had been hanging over the financial markets for several months. Despite the unrest these factors created for the financial markets, we maintained the same strategies that have guided us through previous periods of market turmoil. We always have believed we can overcome the most turbulent market climates by focusing on our disciplined, research-focused investment philosophy. Our unwavering commitment to and reliance upon stringent research helps us identify undervalued, out-of-favor and under-followed securities with the potential to reap significant rewards over time. It's an approach that has steered us through market rallies and retreats, proving along the way that diversified, actively managed stock and bond funds often excel after periods of market instability and uncertainty, such as we are experiencing now. We believe that active managers, supported by a powerful research effort, can exploit market volatility and inefficiencies unlike passive managers. For long-term investors, the ability to take advantage of such market opportunities may prove extremely rewarding. We encourage you to keep in mind the importance of discipline, diversification and your time horizon in structuring your portfolio and evaluating investment returns. The financial markets may remain somewhat volatile in the months ahead, as investors respond to a slow economic recovery and a changing geopolitical climate. Nevertheless, we continue to believe that focused, patient investors will be rewarded over time. As always, we appreciate your ongoing confidence in Loomis Sayles Funds and Loomis Sayles Investment Trust. We look forward to helping you reach your investment goals. Sincerely, Robert J. Blanding President Loomis Sayles Funds Loomis Sayles Investment Trust 1 ECONOMIC AND MARKET OVERVIEW Semi-Annual Report for the Six Months Ended March 31, 2003 Economic Review The U.S. economy continued growing during the six-month period ended March 31, 2003, albeit at a snail's-pace average growth rate of 1.5 percent. Inflation remained tame, and it appears that the unemployment rate may have leveled off at 5.8 percent. Once again, consumer spending gets the credit for keeping the economy in positive-growth territory. Despite concerns surrounding sluggish growth, the war with Iraq, the unemployment rate and the extended bear market in stocks, coupled with waning confidence, consumers continued to spend. The impetus was low mortgage rates, which created a refinancing explosion that helped put more cash in consumers' pockets. Nevertheless, it seems unlikely that consumers alone will be able to sustain a growing economy. Although consumer spending has not abated dramatically, to expect it to move higher would be unrealistic. For the economy to really strengthen, corporate spending must resume. Corporate America's unwillingness or inability to spend is one of the key reasons the economy has remained weak for so long. The catalyst for a resumption of business spending may be a post-war replenishment of the inventory pipeline, which has become particularly lean in technology product lines. Key to our outlook is the expectation that business confidence also will rebound quickly as the clouds clear, so CEOs can once again plan, invest and hire with confidence. A strengthening labor market should support consumer spending, even as the refinancing boom fades. Our outlook also assumes that Congress will enact a fiscal package by mid-year, complete with tax cuts and rebate checks. This should provide another stimulus to consumer spending, particularly if energy prices decline sharply, as our analysts have forecast. Stock Market Review After posting positive results during the fourth quarter of 2002, stocks retreated during the first quarter of 2003, as war with Iraq, tensions with North Korea, terrorism alerts and even bad weather took their toll on nervous investors. For the six-month period ended March 31, 2003, the stock market, as measured by the Standard & Poor's ("S&P") 500 Index, posted a total return of 5.02 percent. We remain confident that the stock market still offers attractive opportunities for long-term investors. Stock price multiples, on a trailing and forward- earnings-estimate basis, remain well within historical levels, and many quality companies are selling well below the market multiple. Of course, market volatility most likely will continue in the near term, as stocks remain locked in a trading range. But, as bottom-up stock pickers, we believe we can use these volatile markets to purchase good companies at bargain prices. Although overshadowed by the many non-business related concerns, corporate profits improved notably in the fourth quarter of 2002. As companies began to reap some of the benefits of cost reductions, earnings increased more than 4 percent from the previous quarter, representing the largest quarterly gain in three years. We acknowledge that corporations cannot continue to cut their way to sustainable profit growth, but we do believe such cost-cutting efforts represent positive news going forward. Many companies should be better positioned to spend aggressively on new equipment and new employees once it becomes more certain that the economy is on the mend. The signs of improving profitability also indicate that companies may be deferring capital spending more so because of uncertainty rather than financial considerations. Nevertheless, we do believe that first quarter 2003 earnings reports most likely will be mixed for a multitude of reasons, most notably the war, rising fuel costs and one of the harshest winters on record. Looking beyond these effects, we anticipate earnings will accelerate in the second half of 2003. As difficult as it can be to look beyond the geopolitical factors, we see a number of key stimuli for economic recovery in the fiscal and monetary policies being pursued in Washington, D.C. In particular, low interest rates and proposed tax cuts should help get the economy back on a proper growth trajectory. The mid-March pre-war market levels mark yet another step in determining the market's bottom point for this cycle. Although we expect the equity markets to remain volatile and possibly re-test previous lows, it is unlikely they will break the market lows of last fall. Longer term and as the war winds down, we anticipate the economy should improve slowly, led by a rebound in capital expenditures in late 2003, early 2004. Among international stock markets, the emerging markets continue to present excellent opportunities, with single-digit earnings multiples and expected growth rates of 20 percent. Although the markets in Asia and Europe offer lower valuations than the U.S. market, they also contain lower growth rates. Looking ahead, we anticipate a stock picker's market, in which company fundamentals rule, and overall trends remain a secondary influence on stock prices. LOOMIS SAYLES FIXED INCOME FUNDS Bond Market Review The six-month period ended March 31, 2003, began on a sour note for bond investors, as corporate bonds faced one of their worst years in history. Investors worried about the lack of strength in the economy as well as the threat of terrorism and the ongoing conflict with Iraq. Also, a variety of corporate accounting scandals that had surfaced earlier in 2002 had rocked confidence and sent investors fleeing to the safety of Treasuries and mortgage-backed securities. But the Federal Reserve Board's 50-basis-point interest rate cut in early November 2002 on the heels of Republican victories in the mid-term elections caused investors to reassess the landscape. Valuations on corporate bonds started to look particularly appealing. Credit spreads narrowed, and corporate bonds, particularly high-yield issues, posted stellar performance for the fourth quarter of 2002. (Narrowing spreads refer to smaller yield differences between U.S. Treasuries and non-U.S. Treasury securities of comparable maturity. When spreads tighten, prices on the non-U.S. Treasury securities increase; when spreads widen, prices on the non-U.S. Treasury securities decline.) This trend continued into the first quarter of 2003. Despite concerns surrounding the impending war with Iraq and the economic consequences of war, investors continued to invest in corporate securities. Low yields on government securities drove investors into higher-yielding alternatives. Funds flowed into high-yield mutual funds at a record pace, and formerly out-of-favor sectors that had been priced at distressed levels saw robust demand. This led to strong performance by utilities, telecommunication and technology bonds. We believe yields may trend higher throughout the remainder of the year, based on our forecast for stronger economic growth, diminishing geopolitical risk and increasing U.S. Treasury borrowing needs. As the market begins to anticipate a tightening move by the Federal Reserve Board, yields should start to rise. But they may come under upward pressure before then, if the flight-to-quality trade reverses with the end of the war and as the growing federal budget deficit causes the U.S. Treasury to flood the market with new offerings. The scenario is not a friendly one for U.S. Treasury returns, where yields are so low they offer little protection against principal losses in a rising rate environment. We believe international government securities may perform better than U.S. government securities, given the higher yields and/or more sluggish economic growth abroad. The mortgage market may see dampened performance as interest rates increase. Overall, we believe conditions favor the corporate markets. Corporate securities may be poised to benefit from an improving economy, strong demand for yield, a reversal in the flight-to-quality play, and yield advantages compared to U.S. Treasuries, which should cushion returns in a rising rate environment. ---------- The views expressed in this report reflect those of the firm only through the end of the period of the report as stated on the cover and do not necessarily represent the views of any particular person in the organization. Any such views are subject to change at any time based upon market or other conditions and the firm disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund. 3 INSTITUTIONAL CLASS AVERAGE ANNUAL TOTAL RETURNS VS. LIPPER CATEGORY AVERAGE AND LIPPER CATEGORY INDEX(1) FOR THE PERIODS ENDED MARCH 31, 2003 (Unaudited)
Since Since 6 Months* 1 Year 5 Years 10 Years Registration(2)(4) Inception(3)(4) -------------------------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES FUNDS Loomis Sayles Bond Fund 15.64% 19.54% 6.45% 9.75% 10.84% 10.84% Lipper BBB Rated Funds Average 5.11% 10.00% 5.40% 6.76% 7.93% 7.93% Rank NA 1/165 24/83 1/29 1/22 1/22 Percentile NA 1 29 3 5 5 Lipper BBB Rated Funds Index 5.67% 10.24% 5.58% 6.55% 7.64% 7.64% Loomis Sayles Global Bond Fund 12.76% 25.75% 8.11% 8.26% 8.83% 8.83% Lipper Global Income Funds Average 7.81% 15.34% 4.52% 5.92% 5.92% 5.92% Rank NA 7/87 3/64 3/24 1/12 1/12 Percentile NA 8 5 13 8 8 Lipper Global Income Funds Index 7.39% 15.72% 4.51% 5.75% 6.36% 6.36% Loomis Sayles Investment Grade Bond Fund 10.07% 16.64% 7.37% NA 8.61% 8.61% Lipper BBB Rated Funds Average 5.11% 10.00% 5.40% NA 6.24% 6.24% Rank NA 9/165 3/83 NA 2/64 2/64 Percentile NA 5 4 NA 3 3 Lipper BBB Rated Funds Index 5.67% 10.24% 5.58% NA 6.38% 6.38% Loomis Sayles U.S. Government Securities Fund 2.07% 16.29% 8.07% 7.97% 9.24% 9.24% Lipper General U.S. Government Funds Average 1.44% 10.87% 6.44% 6.18% 7.07% 7.07% Rank NA 9/171 7/129 2/59 1/43 1/43 Percentile NA 5 5 3 2 2 Lipper General U.S. Government Funds Index 1.51% 11.04% 6.51% 6.08% 6.87% 6.87% LOOMIS SAYLES INVESTMENT TRUST Loomis Sayles Benchmark Core Bond Fund 2.76% 10.09% 6.43% NA 7.00% 6.91% Lipper Intermediate Investment Grade Average 3.25% 9.97% 6.36% NA 6.81% 6.93% Rank NA 210/385 102/207 NA 73/168 NA Percentile NA 55 49 NA 43 NA Lipper Intermediate Investment Grade Index 3.92% 10.27% 6.76% NA 7.17% 7.25% Loomis Sayles Core Plus Fixed Income Fund 4.86% 5.63% NA NA 4.32% 4.32% Lipper Intermediate Investment Grade Average 3.25% 9.97% NA NA 7.94% 7.94% Rank NA 368/385 NA NA 324/340 324/340 Percentile NA 96 NA NA 95 95 Lipper Intermediate Investment Grade Index 3.92% 10.27% NA NA 8.37% 8.37% Loomis Sayles Fixed Income Fund 14.70% 17.05% 6.04% NA 7.51% 10.11% Lipper BBB Rated Funds Average 5.11% 10.00% 5.40% NA 6.28% 7.68% Rank NA 6/165 34/83 NA 14/67 NA Percentile NA 4 41 NA 21 NA Lipper BBB Rated Funds Index 5.67% 10.24% 5.58% NA 6.41% 7.57% Loomis Sayles Institutional High Income Fund 23.32% 9.25% 0.62% NA 3.13% 3.79% Lipper High Yield Bond Funds Average 11.95% 2.71% -1.02% NA 1.39% 2.71% Rank NA 11/379 72/209 NA 41/147 NA Percentile NA 3 34 NA 28 NA Lipper High Yield Bond Funds Index 12.66% 3.18% -1.47% NA 1.09% 2.57% Loomis Sayles Intermediate Duration Fixed Income Fund 5.74% 7.58% 6.22% NA 6.17% 6.17% Lipper Intermediate Investment Grade Average 3.25% 9.97% 6.36% NA 6.20% 6.20% Rank NA 350/385 124/207 NA 117/203 117/203 Percentile NA 91 60 NA 58 58 Lipper Intermediate Investment Grade Index 3.92% 10.27% 6.76% NA 6.58% 6.58% Loomis Sayles Investment Grade Fixed Income Fund 9.75% 17.10% 7.71% NA 8.50% 10.39% Lipper BBB Rated Funds Average 5.11% 10.00% 5.40% NA 6.28% 7.24% Rank NA 5/165 2/83 NA 3/67 N/A Percentile NA 3 2 NA 4 N/A Lipper BBB Rated Funds Index 5.67% 10.24% 5.58% NA 6.41% 7.32%
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (1) Lipper Category Average total return represents the average total return for all funds in each fund's corresponding investment category as determined by Lipper, Inc. The Lipper Category Index total return represents the average annual total return of 30 funds in each fund's corresponding investment category as determined by Lipper, Inc. Rankings are based on the total return of each fund for the period relative to the total return of all funds in that fund's corresponding investment category. It is not possible to invest directly in an index. Source: Lipper, Inc. (2) Shares of the Loomis Sayles Funds registration dates are the same as their respective inception dates. Shares of the Loomis Sayles Investment Trust Funds (with the exception of the Loomis Sayles Core Plus Fixed Income and the Intermediate Duration Fixed Income Funds, which were registered for sale on 6/18/01 and 1/28/98, respectively) were registered for offer and sale under the Securities Act of 1933 on March 7, 1997. In accordance with SEC regulations, performance information is provided for the period beginning on such dates ("Registration"). (3) Actual Inception Dates: Bond Fund: May 16, 1991; Global Bond Fund: May 10, 1991; Investment Grade Bond Fund: December 31, 1996; U.S. Government Securities Fund: May 21, 1991; Benchmark Core Bond Fund: April 24, 1996; Core Plus Fixed Income Fund: June 18, 2001; Fixed Income Fund: January 17, 1995; Institutional High Income Fund: June 5, 1996; Intermediate Duration Fixed Income Fund: January 28, 1998; Investment Grade Fixed Income Fund: July 1, 1994. (4) Index performance and Lipper data is reported as of month end. For each Fund with an inception or registration date other than at month end, Lipper index and average data is presented as of the month end closest to the Fund's inception or registration date as referenced. Lipper ranking data is reported as of the month-end following the fund's inception or registration date. Rankings are not available for periods prior to a Fund's registration date. *Not annualized. FUND AND MANAGER REVIEW Loomis Sayles Bond Fund PORTFOLIO REVIEW | Our focus on corporate bonds (investment grade and high yield) and sovereign debt helped the Fund significantly outperform its benchmark, the Lehman Brothers Government/Credit Index, for the six-month period ended March 31, 2003. The bull market in U.S. Treasuries ended, as investors turned their attention to higher-yielding securities. Spreads on corporate bonds tightened, and the sector rebounded from last summer's lows. (Spreads refer to the difference in yield between non-U.S. Treasury securities and comparable-maturity U.S. Treasury bonds. When spreads tighten, prices on non-U.S. Treasury bonds increase.) Investors also poured money into the high yield market once they were convinced that issuers were focusing on debt reduction and free cash flow. In addition, the default rate continued to improve. Within the sovereign debt sector, the Fund continued to benefit from growth opportunities internationally. In particular, the governments of Brazil, South Africa and Peru gained significantly during the period. The yield curve remained steep, and we positioned our portfolios to take advantage of the higher yields available from longer-term bonds. At the end of the six-month period, the Fund's average maturity was approximately 12 years. We expect the short end of the yield curve to steepen somewhat throughout the next few months, assuming an economic recovery and continued success in Iraq. At this point, we expect to maintain the Fund's average maturity while maintaining a neutral exposure to interest rate risk. OUTLOOK | We believe high yield bonds offer significant excess return potential versus U.S. Treasuries and investment grade corporate securities. Although valuations on investment grade corporate bonds remain attractive, high yield valuations remain even more compelling. We also may gain exposure to mortgage-backed bonds, as long as the economy improves and interest rates rise. In this event, we would look to take advantage of the higher coupon rates of mortgage-backed securities. In addition, we expect to continue investing in Canadian dollar-denominated bonds, because the Canadian dollar still looks attractive compared to its historical levels. We also will watch for opportunities to take advantage of euro bonds, due to expectations for weak economic growth, declining inflation and falling interest rates abroad. In terms of sovereign debt, we believe Uruguay appears undervalued, so we will look for opportunities to increase portfolio exposure to this country. Key Fund Facts Objective | High total investment return Strategy | Invests in investment grade fixed income securities, although up to 35% of assets may be in lower rated fixed income securities and up to 20% in preferred stock Fund Inception Date | 5/16/91 Commencement of Operations of Class | Institutional: 5/16/91; Retail: 1/2/97; Admin: 1/2/98 Expense Ratio | Institutional: 0.75%; Retail: 1.00%; Admin: 1.25% Total Net Assets (all classes) | $1,590.4 million [Photo] Daniel Fuss [Photo] Kathleen Gaffney AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years 10 Years Inception(a) ----------------------------------------------------------------------------------------- Loomis Sayles Bond Fund: Institutional 15.64% 19.54% 6.45% 9.75% 10.84% Retail(b) 15.43 19.18 6.17 9.48 10.57 Admin(b) 15.35 18.83 5.90 8.92 9.99 Lipper BBB Rated Funds Index(c) 5.67 10.24 5.58 6.55 7.64 Lehman Brothers Government/Credit Index(c) 3.40 13.40 7.65 7.30 8.18
CUMULATIVE PERFORMANCE(d) Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
5/16/91 3/92 3/93 3/94 3/95 3/96 3/97 3/98 3/99 3/00 3/01 3/02 3/03 Lipper BBB Rated Funds Index 10,000 11,025 12,671 13,130 13,580 15,261 16,131 18,224 18,943 19,120 20,924 21,688 23,907 Loomis Sayles Bond Fund 10,000 11,250 13,392 14,980 15,663 19,063 21,181 24,842 25,953 27,293 27,441 28,409 33,960 Lehman Brothers Government 10,000 10,960 12,528 12,875 13,464 14,935 15,601 17,534 18,683 19,000 21,358 22,349 25,341 /Credit Index
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Inception date of the Institutional, Retail and Admin Classes of shares are May 16,1991, December 31, 1996 and January 2,1998, respectively. (b) Performance shown for periods prior to the inception date of the Retail Class (December 31, 1996) and the Admin Class (January 2, 1998) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective classes of shares. (c) Please see page 9 for a description of the indexes and important risk disclosure. Since index performance data is not available coincident with the Fund's inception date, the beginning value of the index is the value as of the month end closest to the Fund's inception date (May 31, 1991). (d) Cumulative performance is shown for the Institutional Class of shares. Cumulative performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. *Not annualized. LOOMIS SAYLES FIXED INCOME FUNDS 5 FUND AND MANAGER REVIEW Loomis Sayles Global Bond Fund PORTFOLIO REVIEW | Several key strategies helped the Fund generate strong performance and outperform its benchmark, the Lehman Brothers Global Aggregate Index, during the six-month period ended March 31, 2003. In particular, our overweight in non-dollar debt was effective in an environment of U.S. dollar weakness. We also overweighted the credit sectors, including investment grade corporates, select below investment grade issues, emerging market bonds and "busted" convertibles (the convertibles of companies whose stock prices have fallen low enough to make the conversion feature worthless). Each of these sectors rallied during the period. In addition, we invested in short- and medium-term euro-denominated issues of U.S. corporate securities, which offered the positive features of euro exposure, U.S. corporate earnings improvement and spread compression. (Spreads refer to the difference in yield between non-U.S. Treasury securities and comparable-maturity U.S. Treasury bonds. When spreads tighten, prices on non-U.S. Treasury bonds increase.) Additionally, our zero-weight in Japanese securities enhanced the Fund's relative performance, as yen performance was not as strong as the performance of other currencies. Some of the Fund's high-quality, U.S. dollar-pay debt, such as Treasury and agency paper and 10-year, A-rated corporate bonds, recorded negative returns. In retrospect, we could have better used this portfolio space for non-dollar debt or below-investment grade issues. U.S. credit quality showed signs of improvement, European credit quality was mixed, with deterioration among some countries in recession, such as Germany. Japanese corporate quality also was mixed. Some Japanese corporations reported rising operating earnings, but many stagnant companies remain. Also, bankruptcies among many small- and mid-sized companies were high. OUTLOOK | We continue to favor non-U.S. dollar bonds, because we believe additional declines in the U.S. dollar seem likely, given the massive external funding requirements of the U.S. budget deficit. Nevertheless, we still like U.S. corporate debt, particularly bonds rated BBB and BB. Short- to intermediate-term corporate debt issued in Australian and Canadian dollars also is appealing, due to yield advantages, currency appreciation and strong economic growth in these countries. We remain cautious toward Japan, where economic data is mixed and the direction of momentum is difficult to determine. Key Fund Facts Objective | High total investment return Strategy | Invests primarily in investment grade fixed income securities worldwide, although up to 20% of assets may be in lower rated fixed income securities Fund Inception Date | 5/10/91 Commencement of Operations of Class | Institutional: 5/10/91; Retail: 1/2/97 Expense Ratio | Institutional: 0.90%; Retail: 1.15% Total Net Assets (all classes) | $89.8 million [Photo] Ken Buntrock [Photo] David Rolley AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years 10 Years Inception(a) ---------------------------------------------------------------------------------------------------------- Loomis Sayles Global Bond Fund: Institutional 12.76% 25.75% 8.11% 8.26% 8.83% Retail(a) 12.59 25.41 7.84 8.09 8.68 Lipper Global Income Funds Index(b) 7.39 15.72 4.51 5.75 6.36 Lehman Brothers Global Aggregate Index(b) 6.82 20.65 5.96 6.50 7.51
CUMULATIVE PERFORMANCE(c) Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
5/10/91 3/92 3/93 3/94 3/95 3/96 3/97 3/98 3/99 3/00 Lipper Global Income Funds Index 10,000 10,797 11,911 12,465 12,714 14,295 15,492 16,715 17,144 17,002 Loomis Sayles Global Bond Fund 10,000 11,112 12,357 13,007 11,967 15,400 17,488 18,511 20,655 20,463 Lehman Brothers Global Aggregate Index 10,000 11,150 12,623 13,250 14,621 15,925 16,469 17,838 19,389 19,012 3/01 3/02 3/03 Lipper Global Income Funds Index 17,596 18,011 20,841 Loomis Sayles Global Bond Fund 20,382 21,740 27,337 Lehman Brothers Global Aggregate Index 19,325 19,747 23,822
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Retail Class (December 31, 1996) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective classes of shares. (b) Please see page 9 for a description of the indexes and important risk disclosure. Since index performance data is not available coincident with the Fund's inception date, the beginning value of the index is the value as of the month end closest to the Fund's inception date (April 30, 1991). (c) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail Class of shares would, due to the higher fees paid by the Retail Class of shares, be lower. *Not annualized. FUND AND MANAGER REVIEW Loomis Sayles Investment Grade Bond Fund PORTFOLIO REVIEW | Corporate bonds generated the best performance within the bond market during the six-month period ended March 31, 2003, as investors' risk-aversion subsided, overall corporate credit quality improved and the substantial yield advantage of corporate bonds attracted buyer interest. In particular, the Fund benefited from a strong performance rebound in the wireless telecommunication industry. Additionally, the Fund's wire-line telecommunication sector performed well, as bond prices rebounded from oversold levels and the entertainment sector enjoyed strong performance. Together, results from these key sectors helped the Fund outperform its benchmark, the Lehman Brothers Government/Credit Index, for the six-month period. The Fund's airline and transportation services bonds generated the worst relative performance for the period. The airline and air cargo industries continued to experience the worst operating environment in history. Continued weakness in the global economy, lingering fears of terrorism and steep fuel prices have left major industry players in fragile financial condition. In addition, insurance companies also felt the effects of the weak economy, as premium growth rates were low and incidence and benefit ratios were high. This combination of negative forces had a detrimental impact on the industry's operating performance and, ultimately, its bonds. OUTLOOK | We believe corporate America's extensive balance-sheet-rehabilitation process may enhance the corporate sector's total return potential. This emphasis on debt reduction is evident in improving leverage ratios and better overall corporate credit quality. In addition, the widely anticipated recovery in economic activity should promote stronger operating results and earnings growth, which, in turn, should enhance corporate credit quality and corporate bond performance. We are less optimistic regarding the prospects for the government market, though, as sustained economic growth likely will force interest rates higher. We believe the Fund is positioned to benefit from the expected outperformance of corporate bonds, particularly considering the corporate sector's strong yield advantages. The Fund also should benefit from the continued weakening of the U.S. dollar. The Fund maintains a substantial exposure to a variety of foreign currencies that should benefit if the value of the U.S. dollar declines. Key Fund Facts Objective | High total investment return Strategy | Invests in investment grade fixed income securities, although up to 10% of assets may be in lower rated fixed income securities and up to 10% in preferred stock Fund Inception Date | 12/31/96 Commencement of Operations of Class | Institutional: 1/2/97; Retail: 1/2/97; Admin: 1/31/02; J: 5/24/99 Expense Ratio | Institutional: 0.55%; Retail: 0.80%; Admin: 1.05%; J: 1.30% Total Net Assets (all classes) | $244.8 million [Photo] Daniel Fuss [Photo] Steven Kaseta AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years Inception(a) Loomis Sayles Investment Grade Bond Fund: Institutional 10.07% 16.64% 7.37% 8.61% Retail (b) 9.92 16.33 7.12 8.36 Admin (c) 9.69 15.95 6.84 8.07 J Class (c) 5.83 11.72 6.31 7.19 Lipper BBB Rated Funds Index(d) 5.67 10.24 5.58 6.38 Lehman Brothers Government/ Credit Index(d) 3.40 13.40 7.65 7.92
CUMULATIVE PERFORMANCE(e) Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
12/31/96 3/97 3/98 3/99 3/00 3/01 3/02 3/03 Lipper BBB Rated Funds Index 10,000 9,933 11,222 11,665 11,774 12,885 13,355 14,721 Loomis Sayles Investment Grade Bond Fund 10,000 9,940 11,743 12,148 12,864 13,822 14,366 16,755 Lehman Brothers Government/Credit Index 10,000 9,914 11,142 11,872 12,074 13,571 14,201 16,103
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Inception date of the Institutional and Retail Classes of shares is December 31, 1996. Inception dates of the Admin and J Classes are January 31, 2002 and May 24, 1999, respectively. The Retail Class closed on December 18, 2000 and recommenced operations on January 31, 2002. (b) Performance shown for the period from December 18, 2000 to January 30, 2002 represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective Class of shares. (c) Performance shown for J Class shares include the effect of the maximum 3.50% front end sales charge. Performance shown for periods prior to the inception date of the Admin Class (January 31, 2002) and J Class (May 24, 1999) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective classes of shares. (d) Please see page 9 for a description of the indexes and important risk disclosure. (e) Cumulative performance is shown for the Institutional Class of shares. Cumulative performance of the Retail, Admin and J Classes of shares would, due to the higher fees paid by the Retail, Admin and J Classes of shares and the sales charge of J Class, be lower. J Class of shares are not offered for sale in the United States and are not eligible for sale to U.S. investors. *Not annualized. LOOMIS SAYLES FIXED INCOME FUNDS 7 FUND AND MANAGER REVIEW Loomis Sayles U.S. Government Securities Fund PORTFOLIO REVIEW | The Fund outperformed its benchmark, the Lehman Brothers U.S. Government Index, during the six-month period ended March 31, 2003, primarily due to the portfolio's overweighting in U.S. Treasury Inflation-Protected Securities (TIPS) and mortgage-backed securities. TIPS and mortgage-backed securities provided the best performance, while nominal U.S. Treasuries generated the worst relative performance. Longer-term interest rates increased during the period, which caused prices on nominal U.S. Treasuries to suffer. But among TIPS, price increases due to Consumer Price Index advances somewhat offset the effects of rising interest rates. Strong demand for TIPS also contributed to good performance. Mortgage-backed securities provided good returns, as their higher yields offset some price depreciation. And given the interest rate environment, government bond investors favored the higher-yielding sectors. Due to the uncertainty surrounding economic growth and the geopolitical climate, we did not significantly alter the Fund's maturity or duration (interest rate risk) during the six-month period ended March 31, 2003. OUTLOOK | Because interest rates remain at historic lows, we believe U.S. Treasuries represent the greatest risk in the government securities market. In addition, yield spreads on government agencies remain narrow, thus limiting their relative attractiveness. (Spreads refer to the difference in yield between U.S. Treasury securities and comparable maturity non-U.S. Treasury bonds. When spreads are wide and likely to tighten, the non-U.S. Treasury securities offer good price appreciation potential. When spreads are narrow, there's little price appreciation potential for the non-U.S. Treasury securities.) In our view, TIPS and mortgages represent the best value in the government market. If inflation increases, which is likely in an improving economy, TIPS should continue to perform well. Additionally, the higher yields available from mortgages should cushion the impact of rising interest rates, and mortgages should continue to generate good results. The yield curve is nearing historically steep levels. Once the market rids itself of the risk premium associated with the war with Iraq and/or the economy improves, we expect the yield curve to flatten. In this scenario, we expect to lower the Fund's duration and implement a barbell maturity structure, investing in shorter-term securities for liquidity and longer-term securities to capture yield advantages. Key Fund Facts Objective | High total investment return Strategy | Invests primarily in securities and in certificates representing undivided interests in the interest or principal of U.S. Treasury securities Fund Inception Date | 5/21/91 Expense Ratio | Institutional: 0.50% Total Net Assets | $11.1 million [Photo] John Hyll John has served as portfolio manager since January 2, 2003 [Photo] Cliff Rowe Cliff has served as portfolio manager since January 2, 2003 AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since(a) 6 Months* 1 Year 5 Years 10 Years Inception Loomis Sayles U.S. Government Securities Fund 2.07% 16.29% 8.07% 7.97% 9.24% Lipper General U.S. Government Funds Index(b) 1.51 11.04 6.51 6.08 6.87 Lehman Brothers U.S. Government Index(b) 1.80 13.4 7.68 7.2 8.04
CUMULATIVE PERFORMANCE Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
5/21/91 3/92 3/93 3/94 3/95 3/96 3/97 3/98 3/99 Lipper General U.S. Government Funds Index 10,000 10,875 12,164 12,329 12,670 13,839 14,372 16,012 16,856 Loomis Sayles U.S. Government Securities Fund 10,000 11,143 13,258 13,751 14,369 15,948 16,535 19,366 20,475 Lehman Brothers U.S. Government Index 10,000 10,926 12,464 12,799 13,350 14,748 15,381 17,250 18,402 3/00 3/01 3/02 3/03 Lipper General U.S. Government Funds Index 17,000 18,999 19,769 21,952 Loomis Sayles U.S. Government Securities Fund 21,102 23,794 24,548 28,547 Lehman Brothers U.S. Government Index 18,862 21,188 22,022 24,974
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Inception date of the Fund is May 21, 1991. (b) Since index performance data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (May 31, 1991). Please see page 9 for a description of the indexes and important risk disclosure. *Not annualized. DISCLOSURE Loomis Sayles Bond Fund, Loomis Sayles Global Bond Fund, Loomis Sayles Investment Grade Bond Fund High yield securities are subject to a high degree of market and credit risk. In addition, the secondary market for these securities may lack liquidity which, in turn, may adversely affect the value of these securities and that of the fund. Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the Fund. Index Definitions Lipper BBB Rated Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the corporate debt funds BBB-rated investment objective. Lipper Global Income Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the global income funds investment objective. Lipper General U.S. Government Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the general U.S. government funds investment objective. Lipper Averages consist of all mutual funds in a stated category. Source: Lipper, Inc. Lehman Brothers Government/Credit Index includes treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government) as well as other publicly issued investment grade corporate and non-corporate debentures that meet specified maturity, liquidity, and quality requirements. Lehman Brothers Global Aggregate Index covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The liquidity constraint for all securities in the index is $300 million. The index is calculated on a total return basis, which includes reinvestment of gross dividends before deduction of withholding taxes. Lehman Brothers U.S. Government Index includes treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). Returns are adjusted for the reinvestment of capital gains distributions and income dividends. The Index returns have not been reduced for ongoing management and operating expenses applicable to mutual fund investments. Indexes are unmanaged and it is not possible to invest directly in an index. LOOMIS SAYLES FIXED INCOME FUNDS 9 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Bond Fund
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--93.0% of net assets NON-CONVERTIBLE BONDS--79.3% Airlines--0.6% American Airlines, Inc., 6.978%, 4/01/11 USD 3,298,001 $ 2,869,549 American Airlines, Inc., Series 1999-1, 7.024%, 4/15/11 1,000,000 793,981 Continental Airlines, Inc., Series 2001-1, 6.703%, 6/15/21 1,862,313 1,522,085 Delta Air Lines, Inc., 8.300%, 12/15/29 6,590,000 2,998,450 US Airways, 6.850%, 1/30/18 1,776,863 1,439,259 ------------- 9,623,324 ------------- Air Transport--0.1% Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/19 653,896 425,032 Atlas Air, Inc., Series 1999-1C, 8.770%, 1/02/11 249,713 49,943 Atlas Air, Inc., Series A, 7.380%, 1/02/18 907,876 634,215 ------------- 1,109,190 ------------- Auto & Related--0.6% Cummins Engine Co., Inc., 7.125%, 3/01/28 3,000,000 2,475,000 Dana Corp., 7.000%, 3/01/29 2,400,000 1,836,000 Dana Corp., 9.000%, 8/15/11 EUR 3,200,000 3,348,215 Ford Motor Co., 6.375%, 2/01/29 USD 1,000,000 675,133 Ford Motor Co., 6.625%, 10/01/28 1,500,000 1,049,120 General Motors Corp., 6.750%, 5/01/28 500,000 422,399 ------------- 9,805,867 ------------- Banking & Finance--0.4% Bangko Sentral Pilipinas, 8.600%, 6/15/27** 7,300,000 5,840,000 ------------- Banks/Savings & Loans--1.6% Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A** 18,380,000 19,768,738 Keycorp Capital II, 6.875%, 3/17/29 6,500,000 6,359,002 ------------- 26,127,740 ------------- Cable--0.6% Charter Communications Holdings, 0.000%, 4/01/11 (step to 9.920% on 4/04/04)# 325,000 131,625 Charter Communications Holdings LLC, 9.625%, 11/15/09 1,000,000 435,000 Comcast Corp., 5.500%, 3/15/11 3,000,000 3,005,064 CSC Holdings, Inc., 7.875%, 2/15/18 1,550,000 1,522,875 Rogers Cablesystems Ltd., 9.650%, 1/15/14 CAD 6,080,000 4,097,481 ------------- 9,192,045 ------------- Canadian--19.2% Canadian Government, 3.500%, 6/01/04 32,350,000 21,993,816 Canadian Government, 4.500%, 9/01/07 40,725,000 27,812,486 Canadian Government, 6.000%, 9/01/05 104,590,000 74,545,828 Milit-Air, Inc., 5.750%, 6/30/19 6,385,597 4,393,977 New Brunswick FM Project, 0.000%, 11/30/27 (step to 6.470% on 5/30/03) # 10,000,000 6,987,747 Ontario Hydro, Zero Coupon Bond, 11/27/20 1,507,000 342,117 Ontario Hydro, Zero Coupon Bond, 10/15/21 49,565,000 10,804,765 Province of Alberta, 5.930%, 9/16/16 26,488,040 18,723,745 Province of British Columbia, Zero Coupon Bond, 6/09/14 10,000,000 3,542,682
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Canadian--continued Province of British Columbia, Zero Coupon Bond, 9/05/20 CAD 39,000,000 $ 8,855,044 Province of British Columbia, Zero Coupon Bond, 6/09/22 48,708,000 9,914,018 Province of British Columbia, Zero Coupon Bond, 8/19/22 20,387,000 4,095,442 Province of British Columbia, Zero Coupon Bond, 8/23/24 37,100,000 6,559,048 Province of British Columbia, Zero Coupon Bond, 11/19/27 6,300,000 916,909 Province of Manitoba, Zero Coupon Bond, 3/05/31 41,929,000 5,308,913 Province of Manitoba, 6.500%, 9/22/17 34,300,000 25,169,289 Province of Manitoba, 7.750%, 12/22/25 39,245,000 32,450,192 Province of Manitoba (Certificate of Deposit), Zero Coupon Bond, 7/22/13 2,500,000 939,449 Province of Newfoundland, 6.150%, 4/17/28 2,500,000 1,701,225 Province of Ontario, Zero Coupon Bond, 7/13/22 94,725,000 19,358,978 Province of Ontario, Zero Coupon Bond, 6/02/27 4,480,000 705,760 Province of Ontario, Zero Coupon Bond, 3/08/29 18,600,000 2,646,670 Province of Ontario, 5.900%, 3/08/06 475,000 338,450 Province of Ontario (Certificate of Deposit), Zero Coupon Bond, 12/02/25 7,650,000 1,288,210 Province of Saskatchewan, Zero Coupon Bond, 4/10/14 27,000,000 9,660,449 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 2/04/22 2,350,000 484,078 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 5/30/25 36,780,000 6,117,147 ------------- 305,656,434 ------------- Chemicals--1.2% IMC Global, Inc., 6.875%, 7/15/07 USD 5,385,000 5,034,975 IMC Global, Inc., 7.300%, 1/15/28 5,480,000 4,274,400 IMC Global, Inc., 7.375%, 8/01/18 7,225,000 5,780,000 IMC Global, Inc., 7.625%, 11/01/05 775,000 782,750 Methanex Corp., 7.750%, 8/15/05 2,660,000 2,726,500 Solutia, Inc., 7.375%, 10/15/27 525,000 236,250 ------------- 18,834,875 ------------- Consumer Products--0.7% Bausch & Lomb, Inc., 7.125%, 8/01/28 10,700,000 9,737,000 Remington Arms Co., Inc., 10.500%, 2/01/11 144A 2,000,000 2,140,000 ------------- 11,877,000 ------------- Diversified Operations--0.4% Corning Glass, 7.000%, 3/15/07 2,275,000 2,149,875 Corning Glass, 8.875%, 3/15/16 325,000 282,750 Corning, Inc., 6.250%, 2/18/10 144A EUR 1,500,000 1,325,626 Corning, Inc., 6.750%, 9/15/13 USD 2,100,000 1,785,000 Corning, Inc., 6.850%, 3/01/29 800,000 656,000 ------------- 6,199,251 -------------
LOOMIS SAYLES FIXED INCOME FUNDS 11 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Bond Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Electronic Components--0.1% Arrow Electronics, Inc., 6.875%, 6/01/18 USD 250,000 $ 230,779 Pioneer Standard Electronics, Inc., 9.500%, 8/01/06 1,000,000 1,025,927 ------------- 1,256,706 ------------- Electronic Components--Semiconductors--0.3% Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A** 5,400,000 5,364,673 ------------- Entertainment--2.5% Time Warner Entertainment Co., 6.950%, 1/15/28 33,900,000 33,159,082 Time Warner, Inc., 6.625%, 5/15/29 7,500,000 7,046,520 ------------- 40,205,602 ------------- Financial Services--1.9% Capital One Bank, 6.700%, 5/15/08 1,050,000 1,039,411 Cerro Negro Finance Ltd., 7.330%, 12/01/09 144A** 1,232,000 983,234 Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A** 11,000,000 7,535,000 CIT Group, Inc., 4.125%, 2/21/06 75,000 75,094 CIT Group, Inc., 5.500%, 5/16/05 2,875,000 3,183,821 CIT Group, Inc., 6.500%, 2/07/06 425,000 452,931 Ford Motor Credit Co., 5.800%, 1/12/09 4,825,000 4,317,733 Ford Motor Credit Co., 6.500%, 1/25/07 500,000 481,944 Ford Motor Credit Co., 6.875%, 2/01/06 750,000 737,013 Ford Motor Credit Co., 7.250%, 2/22/05 GBP 5,250,000 8,109,858 Ford Motor Credit Co., 7.250%, 10/25/11 USD 500,000 458,872 General Motors Acceptance Corp., 6.875%, 8/28/12 200,000 197,338 Petrozuata Finance, Inc., 8.220%, 4/01/17 144A** 585,000 403,650 Petrozuata Finance, Inc., Series A, 7.630%, 4/01/09 144A** 3,620,000 2,932,200 ------------- 30,908,099 ------------- Food--0.4% Borden, Inc., 7.875%, 2/15/23 8,282,000 4,969,200 Borden, Inc., 9.250%, 6/15/19 1,325,000 836,168 ------------- 5,805,368 ------------- Foreign Government/Agency--9.0% Escom, 11.000%, 6/01/08 ZAR 28,900,000 3,676,457 Government of Sweden, 5.250%, 3/15/11 SEK 10,000,000 1,239,618 Kingdom of Norway, 6.750%, 1/15/07 NOK 242,785,000 35,237,103 PEMEX Project Funding Master Trust, 8.625%, 2/01/22 144A USD 1,580,000 1,666,900 Petroleos Mexicanos, 8.625%, 12/01/23 144A 6,485,000 6,809,250 Republic of Argentina, 8.875%, 3/01/29^ 1,000,000 167,500 Republic of Brazil, 8.875%, 4/15/24 33,525,000 21,707,437 Republic of Brazil, 10.125%, 5/15/27 6,181,000 4,403,963 Republic of Brazil C Bond, 8.000%, 4/15/14 47,347,573 37,522,952 Republic of Dominican, 9.040%, 1/23/13 144A 2,170,000 2,137,450 Republic of Peru, 4.500%, 3/07/17 (step to 5.000% on 3/07/05)# 3,075,000 2,448,623 Republic of South Africa, 12.500%, 12/21/06 ZAR 5,690,000 756,383 Republic of South Africa, 13.000%, 8/31/10 5,060,000 735,988 Republic of South Africa, 13.500%, 9/15/15 83,470,000 13,285,388 Republic of Uruguay, 7.625%, 1/20/12 USD 1,435,000 667,275 Republic of Venezuela, 9.250%, 9/15/27 14,585,000 8,772,877 United Mexican States, 8.375%, 1/14/11 1,000,000 1,152,500 ------------- 142,387,664 -------------
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Forest & Paper Products--1.8% Abitibi-Consolidated, Inc., 7.500%, 4/01/28** USD 1,500,000 $ 1,390,611 Boise Cascade Corp., 7.350%, 2/01/16 1,475,000 1,430,828 Fort James Corp., 4.750%, 6/29/04 EUR 500,000 520,158 Fort James Corp., 7.750%, 11/15/23 USD 2,500,000 2,125,000 Georgia-Pacific Corp. (Timber Group), 7.250%, 6/01/28 5,165,000 3,873,750 Georgia-Pacific Group, 7.375%, 12/01/25 14,885,000 11,387,025 Georgia-Pacific Group, 7.750%, 11/15/29 9,570,000 7,560,300 ------------- 28,287,672 ------------- Government Agencies--9.5% Federal Home Loan Mortgage Corp., 4.625%, 2/15/07 EUR 32,500,000 37,273,863 Federal Home Loan Mortgage Corp., 5.250%, 1/15/06 USD 2,175,000 2,358,877 Federal National Mortgage Association, Zero Coupon Bond, 10/29/07 NZD 103,925,000 44,333,621 Federal National Mortgage Association, 5.000%, 1/15/07 USD 14,700,000 15,980,429 Federal National Mortgage Association, 5.250%, 6/15/06 21,000,000 22,902,978 Federal National Mortgage Association, 5.250%, 1/15/09 9,000,000 9,900,189 Federal National Mortgage Association, 5.500%, 3/15/11 5,000,000 5,521,955 Federal National Mortgage Association, 6.375%, 8/15/07 AUD 21,000,000 13,300,537 ------------- 151,572,449 ------------- Healthcare--Services--1.6% Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 USD 6,500,000 6,350,754 Columbia/HCA Healthcare Corp., 7.190%, 11/15/15 4,500,000 4,816,224 Columbia/HCA Healthcare Corp., 7.500%, 12/15/23 1,965,000 2,008,430 Columbia/HCA Healthcare Corp., 7.580%, 9/15/25 1,300,000 1,331,109 Columbia/HCA Healthcare Corp., 7.690%, 6/15/25 5,000,000 5,223,195 Columbia/HCA Healthcare Corp., 7.750%, 7/15/36 1,000,000 1,033,832 HCA, Inc., 6.250%, 2/15/13 2,000,000 2,051,582 HCA, Inc., 6.300%, 10/01/12 2,500,000 2,568,235 ------------- 25,383,361 ------------- Home Builders--0.4% Pulte Corp., 7.300%, 10/24/05 1,000,000 1,065,533 Pulte Corp., 7.625%, 10/15/17 3,100,000 3,478,253 Pulte Homes, Inc., 7.875%, 6/15/32 1,900,000 2,033,304 ------------- 6,577,090 ------------- Insurance--0.4% Aon Corp., 7.375%, 12/14/12 144A 2,500,000 2,746,687 Provident Companies, Inc., 7.000%, 7/15/18 500,000 425,000 Provident Companies, Inc., 7.250%, 3/15/28 1,000,000 840,000 UnumProvident Corp., 6.750%, 12/15/28 2,000,000 1,660,000 UnumProvident Corp., 7.375%, 6/15/32 1,000,000 850,000 ------------- 6,521,687 ------------- Lodging & Hotel--0.6% Host Marriott Corp., Series B, 7.875%, 8/01/08 1,575,000 1,480,500 ITT Corp., 7.375%, 11/15/15 2,500,000 2,312,500 Meditrust Corp., 7.000%, 8/15/07 5,500,000 5,238,750 ------------- 9,031,750 -------------
LOOMIS SAYLES FIXED INCOME FUNDS 13 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Bond Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Mortgage Related--0.1% Federal Home Loan Mortgage Corp., 5.000%, 12/01/31 USD 941,046 $ 942,081 ------------- Natural Gas--2.4% Coastal Corp., 6.950%, 6/01/28 1,000,000 700,000 El Paso Corp., 5.750%, 3/14/06 10,345,000 9,029,533 El Paso Corp., 7.000%, 5/15/11 200,000 158,000 KN Capital Trust, 7.630%, 4/15/28 15,750,000 16,458,466 Southern Natural Gas Co., 7.350%, 2/15/31 1,500,000 1,380,000 Tennessee Gas Pipeline Co., 7.000%, 10/15/28 10,225,000 8,486,750 Tennessee Gas Pipeline Co., 7.500%, 4/01/17 1,700,000 1,547,000 ------------- 37,759,749 ------------- Office Equipment--0.6% Xerox Capital (Europe) Plc, 5.250%, 12/03/04** EUR 2,750,000 2,850,369 Xerox Capital (Europe) Plc, 5.875%, 5/15/04** USD 310,000 306,900 Xerox Capital Trust I, 8.000%, 2/01/27 5,150,000 3,811,000 Xerox Corp., 3.500%, 2/04/04 EUR 2,625,000 2,749,447 ------------- 9,717,716 ------------- Oil & Gas Exploration--0.2% Pioneer Natural Resources Co., 7.200%, 1/15/28 USD 3,250,000 3,191,334 Swift Energy Co., 9.375%, 5/01/12 500,000 508,750 ------------- 3,700,084 ------------- Oil & Gas Refining--0.1% CITGO Petroleum Corp., 11.375%, 2/01/11 144A 1,750,000 1,833,125 ------------- Oil & Gas--Major Integrated--0.6% PDVSA Finance Ltd., 7.400%, 8/15/16** 3,000,000 2,040,000 PDVSA Finance Ltd., 7.500%, 11/15/28** 1,000,000 660,000 PDVSA Finance Ltd., 9.375%, 11/15/07** 2,504,000 2,128,400 Pecom Energia SA, 8.125%, 7/15/10 144A** 3,410,000 2,625,700 Phillips 66 Capital Trust II, 8.000%, 1/15/37 1,000,000 1,074,202 YPF Sociedad Anonima, 9.125%, 2/24/09** 500,000 480,000 ------------- 9,008,302 ------------- Rail--Transport--0.7% Missouri Pacific Railroad Co., 5.000%, 1/01/45 7,335,000 4,922,863 TFM SA de CV, 11.750%, 6/15/09** 7,450,000 6,854,000 ------------- 11,776,863 ------------- Real Estate Investment Trusts--3.1% AMB Property Corp., 7.500%, 6/30/18 7,500,000 8,343,232 First Industrial LP, 7.500%, 12/01/17 8,400,000 9,451,647 First Industrial LP, 7.600%, 7/15/28 15,250,000 16,139,700 Health Care Property Investors, Inc., 6.000%, 3/01/15 500,000 493,035 Highwoods Realty LP, 7.500%, 4/15/18 3,750,000 3,643,054 La Quinta Properties, Inc., 8.875%, 3/15/11 144A 750,000 752,812 Security Capital Industrial Trust, 7.625%, 7/01/17 3,375,000 3,722,770 Spieker Properties, Inc., 7.500%, 10/01/27 2,098,000 2,217,475 TriNet Corporate Realty Trust, Inc., 7.700%, 7/15/17 5,000,000 4,794,290 ------------- 49,558,015 ------------- Retail--General--1.8% Dillard's, Inc., 6.625%, 1/15/18 360,000 316,800 Dillard's, Inc., 7.000%, 12/01/28 570,000 495,900 J.C. Penney Co., Inc., 6.875%, 10/15/15 720,000 662,400 J.C. Penney Co., Inc., 7.050%, 5/23/05 1,125,000 1,141,875
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Retail--General--continued J.C. Penney Co., Inc., 7.125%, 11/15/23 USD 7,825,000 $ 7,042,500 J.C. Penney Co., Inc., 7.650%, 8/15/16 2,620,000 2,515,200 J.C. Penney Co., Inc., 7.950%, 4/01/17 3,500,000 3,360,000 J.C. Penney Co., Inc., 8.125%, 4/01/27 1,950,000 1,828,125 J.C. Penney Co., Inc., 8.250%, 8/15/22 1,875,000 1,781,250 J.C. Penney Co., Inc., 9.750%, 6/15/21 1,069,000 1,106,415 Sears Roebuck Acceptance Corp., 6.500%, 12/01/28 2,500,000 2,261,227 Sears Roebuck Acceptance Corp., 6.700%, 4/15/12 525,000 537,253 Sears Roebuck Acceptance Corp., 7.000%, 6/01/32 830,000 780,085 Woolworth Corp., 8.500%, 1/15/22 4,475,000 4,457,422 ------------- 28,286,452 ------------- Shipping--0.3% American President Cos. Ltd., 8.000%, 1/15/24 5,509,000 3,298,514 Transportacion Maritima Mexicana SA de CV, 10.250%, 11/15/06** 1,250,000 687,500 ------------- 3,986,014 ------------- Supranational--5.6% Eurofima, 6.500%, 8/22/11 AUD 2,000,000 1,284,468 European Bank for Reconstruction & Development, Zero Coupon Bond, 2/10/28 41,000,000 6,083,086 International Bank for Reconstruction & Development, Zero Coupon Bond, 8/20/07 NZD 152,375,000 65,342,720 International Bank for Reconstruction & Development, 5.500%, 11/03/08 9,500,000 5,161,463 International Bank for Reconstruction & Development, 8.000%, 5/23/07 19,000,000 11,276,218 ------------- 89,147,955 ------------- Taxable Municipal--0.2% Orange County, California Pension Obligation, Zero Coupon Bond, 9/01/16 USD 5,000,000 2,352,250 ------------- Telecommunications--3.8% AT&T Corp., 6.500%, 11/21/06 EUR 3,750,000 4,132,353 Colt Telecom Group Plc, 12.000%, 12/15/06** USD 1,520,000 1,140,000 Deutsche Telekom International Finance BV, 7.125%, 7/11/11** EUR 3,000,000 3,480,669 Philippine Long Distance Telephone Co., 8.350%, 3/06/17** USD 11,479,000 8,081,905 Philippine Long Distance Telephone Co., 11.375%, 5/15/12** 925,000 898,640 Qwest Capital Funding, Inc., 7.000%, 8/03/09 1,000,000 760,000 Qwest Capital Funding, Inc., 7.750%, 8/15/06 500,000 407,500 Qwest Capital Funding, Inc., 7.750%, 2/15/31 3,175,000 2,222,500 Qwest Capital Funding, Inc., 7.900%, 8/15/10 2,000,000 1,540,000 Qwest Corp., 5.625%, 11/15/08 750,000 682,500 Qwest Corp., 6.625%, 9/15/05 6,525,000 6,361,875 Qwest Corp., 6.875%, 9/15/33 1,025,000 866,125 Qwest Corp., 7.250%, 9/15/25 250,000 218,750 Qwest Corp., 7.500%, 6/15/23 2,000,000 1,760,000 Qwest Corp., 8.875%, 6/01/31 1,750,000 1,732,500 Sprint Capital Corp., 6.125%, 11/15/08 250,000 247,500 Sprint Capital Corp., 6.875%, 11/15/28 11,075,000 9,690,625 Sprint Capital Corp., 7.900%, 3/15/05 1,100,000 1,155,000 Telekom Malaysia Berhad, 7.875%, 8/01/25 144A** 500,000 517,877
LOOMIS SAYLES FIXED INCOME FUNDS 15 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Bond Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Telecommunications--continued US West Capital Funding, Inc., 6.500%, 11/15/18 USD 3,000,000 $ 2,077,500 US West Capital Funding, Inc., 6.875%, 7/15/28 18,550,000 12,985,000 ------------- 60,958,819 ------------- Telecommunications Equipment--1.3% Lucent Technologies, Inc., 6.450%, 3/15/29 18,720,000 11,980,800 Lucent Technologies, Inc., 6.500%, 1/15/28 500,000 320,000 Motorola, Inc., 5.800%, 10/15/08 450,000 452,250 Motorola, Inc., 6.500%, 11/15/28 2,750,000 2,488,750 Motorola, Inc., 7.625%, 11/15/10 600,000 645,000 Motorola, Inc., 8.000%, 11/01/11 1,000,000 1,095,000 Nortel Networks Ltd., 6.125%, 2/15/06** 3,420,000 3,120,750 Northern Telecom Capital Corp., 7.875%, 6/15/26 1,050,000 819,000 ------------- 20,921,550 ------------- Telecommunications--Wireless--0.9% Nextel Communications, Inc., 9.375%, 11/15/09 3,465,000 3,638,250 Nextel Communications, Inc., 9.500%, 2/01/11 500,000 528,750 Nextel Communications, Inc., 9.750%, 10/31/07 8,540,000 8,838,900 PTC International Finance BV, 10.750%, 7/01/07 249,000 258,960 Rogers Wireless Communications, Inc., 8.800%, 10/01/07 1,625,000 1,616,875 ------------- 14,881,735 ------------- Textile & Apparel--0.2% Kellwood Co., 7.625%, 10/15/17 2,500,000 2,300,000 Phillips Van Heusen Corp., 7.750%, 11/15/23 1,000,000 840,000 ------------- 3,140,000 ------------- Utilities--Electric--3.5% AES Corp., 8.875%, 2/15/11 315,000 258,300 AES Corp., 8.875%, 11/01/27 5,000,000 2,800,000 American Electric Power, Inc., 5.375%, 3/15/10 1,975,000 2,005,004 Commonwealth Edison Co., 4.750%, 12/01/11 673,000 689,983 Edison Mission Energy, 7.730%, 6/15/09 135,000 97,200 Empresa Nacional de Electricidad SA (Endesa), 7.875%, 2/01/27** 3,675,000 2,735,927 Enersis SA, 6.600%, 12/01/26** 3,480,000 3,171,682 Enersis SA, 6.900%, 12/01/06** 13,700,000 11,072,614 Enersis SA, 7.400%, 12/01/16** 1,980,000 1,381,076 Panda Funding Corp., 11.625%, 8/20/12 1,367,545 991,470 Quezon Power Philippines Co., 8.860%, 6/15/17** 7,599,375 5,585,541 Salton Sea Funding Corp., 7.840%, 5/30/10 3,500,000 3,426,395 Salton Sea Funding Corp., Series E, 8.300%, 5/30/11 2,280,468 2,258,347 Salton Sea Funding Corp., Series F, 7.475%, 11/30/18 455,935 418,913 Southern California Edison Co., 6.375%, 1/15/06 4,645,000 4,552,100 Southern California Edison Co., 6.650%, 4/01/29 3,850,000 3,253,250 Southern California Edison Co., 7.125%, 7/15/25 1,000,000 960,000 Southern California Edison Co., 7.250%, 3/01/26 500,000 480,000 Southern California Edison Co., 7.625%, 1/15/10 2,000,000 1,980,000 Tenaga Nasional Berhad, 7.500%, 11/01/25 144A** 6,415,000 6,386,780 Texas-New Mexico Power Co., 6.250%, 1/15/09 1,000,000 1,017,500 ------------- 55,522,082 ------------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $1,203,686,197) 1,261,060,639 -------------
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued CONVERTIBLE BONDS--13.7% Auto & Related--0.0% MascoTech, Inc., 4.500%, 12/15/03 USD 727,000 $ 687,015 ------------- Biomedical--0.1% Genzyme Corp., 3.000%, 5/15/21 1,335,000 1,301,625 ------------- Cable--0.3% Rogers Communications, Inc., 2.000%, 11/26/05** 5,525,000 4,392,375 ------------- Computer Hardware--0.3% Maxtor Corp., 5.750%, 3/01/12 6,767,000 4,466,220 Quantum Corp., 7.000%, 8/01/04 596,000 563,220 ------------- 5,029,440 ------------- Diversified Operations--0.7% Corning, Inc., Zero Coupon Bond, 11/08/15 4,400,000 2,981,000 Corning, Inc., 3.500%, 11/01/08 6,100,000 5,993,250 Corning, Inc., 5.625%, 2/18/05 EUR 2,104,000 2,043,057 ------------- 11,017,307 ------------- Electronic Components--0.2% Celestica, Inc., Zero Coupon Bond, 8/01/20 USD 3,775,000 1,868,625 Sanmina-SCI Corp., Zero Coupon Bond, 9/12/20 1,000,000 447,500 Sanmina-SCI Corp., 4.250%, 5/01/04 180,000 173,925 ------------- 2,490,050 ------------- Electronic Components--Semiconductors--3.4% Amkor Technology, Inc., 5.000%, 3/15/07 1,150,000 794,938 Analog Devices, Inc., 4.750%, 10/01/05 42,935,000 43,364,350 Analog Devices, Inc., 4.750%, 10/01/05 144A 1,000,000 1,010,000 Infineon Tech, 4.250%, 2/06/07 EUR 6,400,000 5,377,583 Kulicke and Soffa Industries, Inc., 4.750%, 12/15/06 USD 1,675,000 1,103,406 Lam Research Corp., 4.000%, 6/01/06 2,210,000 1,997,288 LSI Logic Corp., 4.000%, 2/15/05 300,000 276,375 LSI Logic Corp., 4.000%, 11/01/06 285,000 244,031 Richardson Electronics Ltd., 7.250%, 12/15/06 450,000 382,500 ------------- 54,550,471 ------------- Electronic Measuring Instruments--0.2% Agilent Technologies, Inc., 3.000%, 12/01/21 2,425,000 2,212,813 Thermedics, Inc., Zero Coupon Bond, 6/01/03 950,000 937,073 ------------- 3,149,886 ------------- Office Equipment--1.0% Xerox Corp., 0.570%, 4/21/18 24,500,000 15,802,500 ------------- Oil & Gas Drilling Equipment--0.0% Parker Drilling Co., 5.500%, 8/01/04 500,000 473,750 ------------- Oil & Gas Exploration--0.3% Devon Energy Corp., 4.900%, 8/15/08 1,400,000 1,428,000 Devon Energy Corp., 4.950%, 8/15/08 2,600,000 2,658,500 ------------- 4,086,500 ------------- Pharmaceutical--1.0% Affymetrix, Inc., 4.750%, 2/15/07 200,000 177,500 Affymetrix, Inc., 4.750%, 2/15/07 144A 1,000,000 887,500 Human Genome Sciences, Inc., 3.750%, 3/15/07 7,225,000 5,445,844
LOOMIS SAYLES FIXED INCOME FUNDS 17 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Bond Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Pharmaceutical--continued Human Genome Sciences, Inc., 3.750%, 3/15/07 144A USD 7,250,000 $ 5,464,687 IVAX Corp., 4.500%, 5/15/08 4,330,000 3,799,575 ------------- 15,775,106 ------------- Telecommunications--1.2% Colt Telecom Group Plc, 2.000%, 3/29/06** EUR 1,000,000 610,988 Colt Telecom Group Plc, 2.000%, 12/16/06** 8,225,000 4,756,161 Colt Telecom Group Plc, 2.000%, 4/03/07** 3,975,000 2,276,886 Koninklijke (Royal) KPN NV, 3.500%, 11/24/05** 11,330,000 11,928,944 ------------- 19,572,979 ------------- Telecommunications Equipment--0.2% Juniper Networks, Inc., 4.750%, 3/15/07 USD 2,250,000 1,912,500 Nortel Networks Corp., 4.250%, 9/01/08 2,460,000 1,808,100 ------------- 3,720,600 ------------- Telecommunications--Wireless--0.3% Nextel Communications, Inc., 5.250%, 1/15/10 4,855,000 4,169,231 Nextel Communications, Inc., 6.000%, 6/01/11 450,000 440,438 ------------- 4,609,669 ------------- Textile & Apparel--0.0% Dixie Yarns, Inc., 7.000%, 5/15/12 214,000 119,840 ------------- Tobacco--4.5% Loews Corp., 3.125%, 9/15/07 77,600,000 71,198,000 ------------- Trucking & Freight--0.0% Builders Transportation, Inc., 8.000%, 8/15/05^ 1,000,000 1,250 Preston Corp., 7.000%, 5/01/11 750,000 630,000 ------------- 631,250 ------------- TOTAL CONVERTIBLE BONDS (Identified Cost $208,012,586) 218,608,363 ------------- TOTAL BONDS AND NOTES (Identified Cost $1,411,698,783) 1,479,669,002 ------------- Shares -------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--0.3% of net assets Auto Components--0.1% Magna International, Inc. Class A 16,965 886,930 ------------- Energy Equipment & Services--0.2% Diamond Offshore Drilling, Inc. 127,777 2,480,152 ------------- Telecommunication Services--Diversified--0.0% Loxley Public Co. Ltd.* 3,054,316 702,346 ------------- TOTAL COMMON STOCKS (Identified Cost $6,679,640) 4,069,428 -------------
Shares Value + -------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--4.1% of net assets NON-CONVERTIBLE PREFERRED STOCKS--0.9% Real Estate--0.0% La Quinta Properties, Inc., Series A, 9.000% 19,770 $ 417,147 ------------- Real Estate Investment Trusts--0.3% First Industrial Realty Trust, Inc., Series D, 7.950% 10,250 255,533 First Industrial Realty Trust, Inc., Series E, 7.900% 88,100 2,189,285 Highwoods Properties, Inc., Series B, 8.000% 60,500 1,412,675 Highwoods Properties, Inc., Series D, 8.000% 12,000 280,680 ------------- 4,138,173 ------------- Telecommunications--Wireless--0.1% Nextel Communications, Inc., 11.125% PIK 2,147 2,275,820 ------------- Utilities--Electric--0.5% Central Maine Power Co., 3.500% 2,230 111,291 Connecticut Light & Power Co., $1.90 2,925 81,900 Entergy Arkansas, Inc 4.32% 100 5,472 Entergy Louisiana, Inc., 4.160% 2,600 139,750 Entergy Mississippi, Inc., 4.360% 5,000 282,500 Entergy New Orleans, Inc., 4.360% 665 37,198 Entergy New Orleans, Inc., 4.750% 200 11,940 MDU Resources Group, Inc., 5.100% 3,100 313,100 Pacific Gas & Electric Co., Series D, 5.000%^ 75,000 1,296,000 Pacific Gas & Electric Co., Series H, 4.500%^ 45,000 765,000 PECO Energy Co., $3.80 300 19,125 Public Service Co., 4.000% 360 21,454 Southern California Edison Co., 4.320% 50,700 712,335 Southern California Edison Co., 7.230% 35,262 3,488,734 Xcel Energy, Inc., $3.60 1,100 54,725 ------------- 7,340,524 ------------- TOTAL NON-CONVERTIBLE PREFERRED STOCKS (Identified Cost $11,841,988) 14,171,664 ------------- CONVERTIBLE PREFERRED STOCKS--3.2% Auto & Related--0.1% Cummins Capital Trust I, 7.000% 38,500 1,674,750 ------------- Building Materials--0.0% Owens Corning, 6.500%^ 133,000 0 ------------- Financial Services--0.1% Newell Financial Trust I, 5.250% 55,000 2,550,625 ------------- Forest & Paper Products--1.2% International Paper Capital Trust, 5.250% 384,825 18,471,600 ------------- Metals & Mining--0.0% Bethlehem Steel Corp., $3.50^ 109,050 0 ------------- Natural Gas--0.1% Western Gas Resources, Inc., $2.625 25,000 1,250,000 ------------- Oil & Gas Exploration--0.1% Chesapeake Energy Corp., 6.750% 32,600 2,073,686 ------------- Rail--Transport--0.6% Union Pacific Capital Trust, 6.250% 197,000 10,047,000 -------------
LOOMIS SAYLES FIXED INCOME FUNDS 19 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Bond Fund--continued
Shares Value + -------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--continued Real Estate Investment Trusts--0.4% Equity Residential Properties Trust, 7.250% 151,200 $ 3,778,488 Host Marriott Financial Trust, 6.750% 60,500 2,040,121 ------------- 5,818,609 ------------- Telecommunication Services--Diversified--0.6% Philippine Long Distance Telephone Co., $3.50 GDS** 362,575 9,245,662 ------------- TOTAL CONVERTIBLE PREFERRED STOCKS (Identified Cost $61,776,360) 51,131,932 ------------- TOTAL PREFERRED STOCKS (Identified Cost $73,618,348) 65,303,596 ------------- Face Amount -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--1.1% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $16,795,233 on 4/01/03 collateralized by $14,850,000 U.S. Treasury Bond, 6.000% due 2/15/26 with a value of $17,132,430 USD 16,795,000 16,795,000 -------------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $16,795,000) 16,795,000 -------------- TOTAL INVESTMENTS--98.5% (Identified Cost $1,508,791,771)@ 1,565,837,026 Cash and Other Assets, Less Liabilities--1.5% 24,608,153 -------------- NET ASSETS--100% $1,590,445,179 ==============
+ See Note 1. ** Foreign issued security 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. ^ Security in default * Non-income producing security PIK All or a portion of income may be received as additional securities. @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $1,509,752,551 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $103,672,775 and $47,588,300, respectively, resulting in net unrealized appreciation of $56,084,475. Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; EUR: Euro; GBP: Great British Pound; GDS: Global Depository Shares; NOK: Norwegian Krone; NZD: New Zealand Dollar; SEK: Swedish Krona; USD: United States Dollar; ZAR: South African Rand See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Global Bond Fund
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--91.6% of net assets NON-CONVERTIBLE BONDS--89.3% Australia--3.5% New South Wales Trust, 6.500%, 5/01/06 AUD 1,000,000 $ 632,453 Queensland Treasury, 8.000%, 9/14/07 3,720,000 2,516,840 -------------- 3,149,293 -------------- Austria--3.8% Republic of Austria, 5.000%, 7/15/12 EUR 2,920,000 3,414,931 -------------- Belgium--0.8% Kingdom of Belgium, 3.750%, 3/28/09 630,000 696,910 -------------- Brazil--0.3% Republic of Brazil C Bond, 8.000%, 4/15/14 USD 307,853 243,973 -------------- Canada--9.7% Abitibi Consolidated, Inc., 8.500%, 8/01/29 500,000 505,811 Alcan, Inc., 5.500%, 5/02/06 EUR 900,000 1,036,229 Alliance Pipeline LP, 7.877%, 12/31/25 144A USD 150,000 169,509 Brascan Corp., 8.125%, 12/15/08 240,000 274,841 Canadian Government, 5.500%, 6/01/10 CAD 1,265,000 892,682 Falconbridge Ltd., 7.350%, 6/05/12 USD 400,000 428,212 Ford Motor Credit Co., 7.163%, 4/23/07 CAD 250,000 162,444 Inco Ltd., 7.200%, 9/15/32 USD 225,000 229,435 Noranda, Inc., 7.250%, 7/15/12 200,000 197,019 Province of Ontario, 5.700%, 12/01/08 CAD 3,395,000 2,410,404 Province of Ontario, 5.900%, 3/08/06 800,000 570,020 Province of Ontario, 6.250%, 12/03/08 NZD 510,000 285,606 Province of Saskatchewan, 5.750%, 3/05/29 CAD 1,425,000 936,406 Rogers Cablesystems Ltd., 9.650%, 1/15/14 150,000 101,089 Teck Cominco Ltd., 7.000%, 9/15/12 USD 200,000 199,675 Tembec Industries, Inc., 8.500%, 2/01/11 CAD 300,000 307,125 -------------- 8,706,507 -------------- Cayman Island--0.5% Enersis SA, 7.400%, 12/01/16 USD 400,000 279,005 PDVSA Finance Ltd., 7.400%, 8/15/16 230,000 156,400 -------------- 435,405 -------------- Chile--0.3% Empresa Nacional de Electricidad SA (Endesa), 7.875%, 2/01/27 350,000 260,565 -------------- Costa Rica--0.4% Republic of Costa Rica, 8.050%, 1/31/13 144A 350,000 361,812 -------------- Denmark--4.5% Kingdom of Denmark, 4.000%, 8/15/08 DKK 15,315,000 2,290,808 Kingdom of Denmark, 5.000%, 8/15/05 2,120,000 326,362 ommunekredit, 5.000%, 6/07/06 NOK 4,820,000 655,440 Rohm & Haas Denmark A/S, 6.000%, 3/09/07 EUR 650,000 763,007 -------------- 4,035,617 -------------- Dominican Republic--0.5% Republic of Dominican, 9.040%, 1/23/13 144A USD 450,000 443,250 -------------- Finland--2.6% Republic of Finland, 5.000%, 7/04/07 EUR 2,000,000 2,345,481 --------------
LOOMIS SAYLES FIXED INCOME FUNDS 21 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Global Bond Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Germany--3.7% Allgemeine HypothekenBank AG, 4.250%, 1/20/14 EUR 150,000 $ 162,012 Kreditanstalt Wiederauf, 5.250%, 1/04/10 665,000 791,150 Muenchener Hypothekenbank eG, 5.000%, 1/16/12 2,040,000 2,364,084 -------------- 3,317,246 -------------- Hong Kong--0.4% Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A USD 300,000 322,667 -------------- Ireland--2.8% Republic of Ireland, 4.600%, 4/18/16 EUR 2,300,000 2,554,083 -------------- Italy--1.1% Republic of Italy, 4.500%, 3/01/07 860,000 988,918 -------------- Luxembourg--0.1% PTC International Finance II, 11.250%, 12/01/09 75,000 90,728 -------------- Malaysia--1.3% Telekom Malaysia Berhad, 7.875%, 8/01/25 144A USD 200,000 207,151 Tenaga Nasional Berhad, 7.500%, 11/01/25 144A 1,000,000 995,601 -------------- 1,202,752 -------------- Mexico--3.4% Gruma SA de CV, 7.625%, 10/15/07 400,000 404,000 Petroleos Mexicanos, 8.625%, 12/01/23 144A 900,000 945,000 Petroleos Mexicanos, 9.500%, 9/15/27 500,000 572,500 TFM SA de CV, 11.750%, 6/15/09 250,000 230,000 United Mexican States, 8.375%, 1/14/11 750,000 864,375 -------------- 3,015,875 -------------- Netherlands--6.0% Deutsche Telekom AG, 5.250%, 5/20/08 EUR 200,000 219,956 GMAC International Finance BV, 8.000%, 3/14/07 NZD 1,125,000 606,735 Kingdom of Netherlands, 5.000%, 7/15/11 EUR 3,530,000 4,153,928 PTC International Finance BV, 10.750%, 7/01/07 USD 95,000 98,800 Repsol International Finance BV, 5.750%, 12/04/06 EUR 300,000 343,026 -------------- 5,422,445 -------------- Norway--1.6% Kingdom of Norway, 5.500%, 5/15/09 NOK 5,970,000 835,174 Kingdom of Norway, 6.750%, 1/15/07 4,425,000 642,231 -------------- 1,477,405 -------------- Philippines--0.7% Bangko Sentral Pilipinas, 8.600%, 6/15/27 USD 515,000 412,000 Philippine Long Distance Telephone Co., 11.375%, 5/15/12 225,000 218,588 -------------- 630,588 -------------- Singapore--0.2% Flextronics International Ltd., 9.750%, 7/01/10 EUR 150,000 171,840 -------------- South Africa--1.9% Republic of South Africa, 8.500%, 6/23/17 USD 1,400,000 1,666,000 -------------- South Korea--0.9% Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A 850,000 844,439 -------------- Spain--4.3% Government of Spain, 5.400%, 7/30/11 EUR 3,200,000 3,854,463 --------------
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Supranational--2.3% Eurofima, 6.500%, 8/22/11 AUD 1,600,000 $ 1,027,574 European Investment Bank, 6.000%, 11/26/04 GBP 180,000 295,147 Nordic Investment Bank, 5.250%, 4/20/06 SEK 6,000,000 732,465 -------------- 2,055,186 -------------- Sweden--2.5% Government of Sweden, 5.250%, 3/15/11 SEK 11,700,000 1,450,353 Kingdom of Sweden, 6.500%, 5/05/08 6,100,000 799,427 -------------- 2,249,780 -------------- Thailand--0.7% Thai Farmers Bank Plc, 8.250%, 8/21/16 144A USD 555,000 600,972 -------------- Trinidad and Tobago--1.0% Republic of Trinidad & Tobago, 9.750%, 7/01/20 144A 765,000 934,475 -------------- United Kingdom--4.8% Permanent Finance Plc, 5.100%, 6/10/09 EUR 700,000 811,835 United Kingdom Treasury, 5.000%, 3/07/12 GBP 1,020,000 1,695,939 United Kingdom Treasury, 6.250%, 11/25/10 985,000 1,766,224 -------------- 4,273,998 -------------- United States--22.7% Allied Waste North America Inc., 8.500%, 12/01/08 USD 300,000 315,375 American Standard, Inc., 8.250%, 6/01/09 GBP 175,000 282,226 AT&T Corp., 6.500%, 11/21/06 EUR 150,000 165,294 CIT Group, Inc., 5.500%, 5/16/05 USD 225,000 249,169 CITGO Petroleum Corp., 11.375%, 2/01/11 144A 250,000 261,875 Citi Credit Card Issuance Trust, 5.375%, 4/10/13 EUR 375,000 439,462 Columbia/HCA Healthcare Corp., 7.500%, 12/15/23 USD 250,000 255,526 Corning Glass, 7.000%, 3/15/07 100,000 94,500 D.R. Horton, Inc., 7.875%, 8/15/11 500,000 518,750 Dana Corp., 9.000%, 8/15/11 200,000 209,264 Dean Foods Co., 6.625%, 5/15/09 250,000 255,000 Equistar Chemicals, L. P., 6.500%, 2/15/06 250,000 225,000 Federal Home Loan Mortgage Corp., 5.125%, 1/15/12 EUR 1,770,000 2,064,038 Federal Home Loan Mortgage Corp., 6.000%, 1/01/33 USD 780,445 809,417 Federal National Mortgage Association, 5.000%, 3/01/18 995,909 1,024,596 Federal National Mortgage Association, 5.500%, 12/01/17 2,336,374 2,427,083 Federal National Mortgage Association, 5.500%, 2/01/18 593,394 616,432 Federal National Mortgage Association, 6.000%, 2/01/33 688,775 714,991 Federal National Mortgage Association, 6.375%, 8/15/07 AUD 275,000 174,173 First Industrial LP, 7.600%, 7/15/28 USD 550,000 582,088 Ford Motor Credit Co., 7.250%, 2/22/05 GBP 150,000 231,710 Fort James Corp., 4.750%, 6/29/04 EUR 500,000 520,158 Hasbro, Inc., 6.600%, 7/15/28 400,000 362,000 Household Finance Corp., 5.125%, 6/24/09 EUR 900,000 1,012,386 IMC Global, Inc., Series B, 10.875%, 6/01/08 USD 225,000 245,250 iStar Financial, Inc., 7.000%, 3/15/08 555,000 564,798 iStar Financial, Inc., 8.750%, 8/15/08 200,000 214,678 KB Home, 7.750%, 2/01/10 320,000 326,400 Lear Corp., 8.125%, 4/01/08 EUR 200,000 225,847 MGM Mirage, 8.375%, 2/01/11 USD 375,000 401,250 Moore North America Finance, Inc., 7.875%, 1/15/11 400,000 414,000 Motorola, Inc., 8.000%, 11/01/11 230,000 251,850 National Rural Utilities Cooperative Finance Corp., 4.125%, 2/24/06 EUR 625,000 684,711
LOOMIS SAYLES FIXED INCOME FUNDS 23 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Global Bond Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued United States--continued News America Holdings, Inc., 8.625%, 2/07/14 AUD 1,240,000 $ 738,426 Park Place Entertainment Corp., 7.875%, 3/15/10 USD 100,000 101,750 PerkinElmer, Inc., 8.875%, 1/15/13 144A 210,000 219,450 Pioneer Natural Resources Co., 6.500%, 1/15/08 150,000 155,510 Pioneer Natural Resources Co., 7.200%, 1/15/28 125,000 122,744 Qwest Capital Funding, Inc., 7.250%, 2/15/11 130,000 98,800 Raytheon Co., 6.400%, 12/15/18 250,000 260,014 Sprint Capital Corp., 6.875%, 11/15/28 380,000 332,500 Starwood Hotels & Resorts Worldwide, Inc., 8.375%, 5/01/12 144A 250,000 249,063 TriNet Corporate Realty Trust, Inc., 7.700%, 7/15/17 65,000 62,326 UnumProvident Corp., 6.750%, 12/15/28 250,000 207,500 US West Capital Funding, Inc., 6.875%, 7/15/28 500,000 350,000 Yum! Brands, Inc., 7.700%, 7/01/12 350,000 378,000 -------------- 20,415,380 -------------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $74,011,472) 80,182,984 -------------- CONVERTIBLE BONDS--2.3% Canada--0.3% Celestica, Inc., Zero Coupon Bond, 8/01/20 200,000 99,000 Nortel Networks Corp., 4.250%, 9/01/08 290,000 213,150 -------------- 312,150 -------------- Netherlands--0.4% Koninklijke (Royal) KPN NV, 3.500%, 11/24/05 EUR 350,000 368,502 -------------- United States--1.6% Corning, Inc., 3.500%, 11/01/08 USD 125,000 122,813 Genzyme Corp., 3.000%, 5/15/21 300,000 292,500 Lam Research Corp., 4.000%, 6/01/06 200,000 180,750 LSI Logic Corp., 4.000%, 2/15/05 100,000 92,125 LSI Logic Corp., 4.000%, 11/01/06 320,000 274,000 Nextel Communications, Inc., 5.250%, 1/15/10 290,000 249,037 Sanmina-SCI Corp., 4.250%, 5/01/04 225,000 217,406 -------------- 1,428,631 -------------- TOTAL CONVERTIBLE BONDS (Identified Cost $1,944,185) 2,109,283 -------------- TOTAL BONDS AND NOTES (Identified Cost $75,955,657) 82,292,267 -------------- SHORT-TERM INVESTMENT--3.2% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $2,828,039 on 4/01/03 collateralized by $2,505,000 U.S. Treasury Bond, 6.000% due 2/15/26 with a value of $2,890,016 2,828,000 2,828,000 -------------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $2,828,000) 2,828,000 --------------
Value + -------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS--94.8% (Identified Cost $78,783,657)@ $ 85,120,267 Cash and Other Assets, Less Liabilities--5.2% 4,709,642 ------------ NET ASSETS--100% $ 89,829,909 ============
+ See Note 1. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $78,868,381 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $7,031,024 and $779,138, respectively, resulting in net unrealized appreciation of $6,251,886. Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; DKK: Danish Krone; EUR: Euro; GBP: Great British Pound; NOK: Norwegian Krone; NZD: New Zealand Dollar; SEK: Swedish Krona; USD: United States Dollar Ten Largest Sector Holdings at March 31, 2003 as a Percentage of Net Assets Foreign Government/Agency 47.7% Mortgage Related 6.2 Financial Services 3.7 Banks/Savings & Loans 3.7 Government Agencies 2.5 Utilities--Electric 2.5 Banking & Finance 2.4 Telecommunications 2.2 Metals & Mining 1.6 Real Estate Investment Trusts 1.6 See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS 25 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Investment Grade Bond Fund
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--88.1% of net assets NON-CONVERTIBLE BONDS--82.2% Aerospace/Defense--2.5% Raytheon Co., 6.400%, 12/15/18 USD 5,500,000 $ 5,720,308 Raytheon Co., 7.200%, 8/15/27 250,000 273,179 Raytheon Co., 7.375%, 7/15/25 145,000 155,520 -------------- 6,149,007 -------------- Airlines--0.8% American Airlines, Inc., Class B, 8.608%, 4/01/11 1,000,000 550,000 Continental Airlines, Inc., Series 2001-1, 6.703%, 6/15/21 465,578 380,521 Delta Air Lines, Inc., 8.300%, 12/15/29 650,000 295,750 US Airways, 6.850%, 1/30/18 888,431 719,630 -------------- 1,945,901 -------------- Air Transport--0.3% Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/19 510,857 332,057 Atlas Air, Inc., Series A, 7.380%, 1/02/18 635,513 443,950 -------------- 776,007 -------------- Asset-Backed Securities--1.3% Community Program Loan Trust, 4.500%, 10/01/18 1,636,519 1,673,885 Community Program Loan Trust, 4.500%, 4/01/29 1,700,000 1,541,395 -------------- 3,215,280 -------------- Auto & Related--2.3% Cummins Engine Co., Inc., 7.125%, 3/01/28 375,000 309,375 Delphi Automotive Systems Corp., 7.125%, 5/01/29 3,150,000 3,036,213 Ford Motor Co., 6.375%, 2/01/29 2,500,000 1,687,832 General Motors Corp., 6.750%, 5/01/28 700,000 591,359 -------------- 5,624,779 -------------- Banks/Savings & Loans--0.2% Key Bank NA, 6.950%, 2/01/28 100,000 111,616 Keycorp Capital III, 7.750%, 7/15/29 250,000 275,644 -------------- 387,260 -------------- Cable--1.9% Cox Communications, Inc. Class A, 6.750%, 3/15/11 3,750,000 4,150,511 Cox Communications, Inc. Class A, 6.800%, 8/01/28 500,000 521,636 -------------- 4,672,147 -------------- Canadian--12.1% Alberta Municipal Funding Corp., 5.700%, 9/01/11 CAD 220,000 154,096 Canadian Government, 3.500%, 6/01/04 3,925,000 2,668,492 Canadian Government, 4.500%, 9/01/07 3,975,000 2,714,663 Canadian Government, 6.000%, 9/01/05 2,825,000 2,013,500 New Brunswick FM Project, 0.000%, 11/30/27 (step to 6.470% on 5/30/03)# 75,000 52,408 Ontario Hydro (Certificate of Deposit), Zero Coupon Bond, 5/26/25 10,250,000 1,744,175 Province of Alberta, 5.930%, 9/16/16 40,101 28,346 Province of British Columbia, Zero Coupon Bond, 6/09/14 6,600,000 2,338,170 Province of British Columbia, Zero Coupon Bond, 9/05/20 2,250,000 510,868 Province of British Columbia, Zero Coupon Bond, 8/19/22 605,000 121,536 Province of British Columbia, Zero Coupon Bond, 11/19/27 725,000 105,517 Province of British Columbia, Zero Coupon Bond, 6/18/29 15,550,000 2,083,001 Province of Manitoba, Zero Coupon Bond, 3/05/31 25,100,000 3,178,080 Province of Manitoba, 6.500%, 9/22/17 25,000 18,345
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Canadian--continued Province of Manitoba, 7.750%, 12/22/25 CAD 55,000 $ 45,478 Province of Manitoba (Certificate of Deposit), Zero Coupon Bond, 7/22/13 5,000,000 1,878,897 Province of Nova Scotia, 6.600%, 6/01/27 500,000 359,677 Province of Ontario, Zero Coupon Bond, 7/13/22 2,000,000 408,741 Province of Ontario, Zero Coupon Bond, 6/02/27 1,780,000 280,413 Province of Ontario, 5.900%, 3/08/06 1,265,000 901,345 Province of Saskatchewan, Zero Coupon Bond, 4/10/14 6,600,000 2,361,443 Province of Saskatchewan, 4.750%, 12/01/06 7,500,000 5,171,528 Province of Saskatchewan, 5.750%, 3/05/29 350,000 229,995 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 2/04/22 650,000 133,894 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 5/30/25 215,000 35,758 -------------- 29,538,366 -------------- Chemicals--0.2% IMC Global, Inc., 7.300%, 1/15/28 USD 500,000 390,000 -------------- Consumer Products--0.0% Bausch & Lomb, Inc., 7.125%, 8/01/28 150,000 136,500 -------------- Electronic Components--Semiconductors--1.3% Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A** 3,115,000 3,094,622 -------------- Entertainment--1.5% Time Warner, Inc., 6.625%, 5/15/29 3,840,000 3,607,818 -------------- Financial Services--6.5% Capital One Bank, 6.700%, 5/15/08 1,000,000 989,915 Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A** 50,000 34,250 CIT Group Inc., 4.125%, 2/21/06 110,000 110,137 CIT Group, Inc., 5.500%, 5/16/05 1,350,000 1,495,012 CIT Group, Inc., 5.625%, 5/17/04 250,000 258,457 CIT Group, Inc., 6.500%, 2/07/06 640,000 682,061 CIT Group, Inc., 7.750%, 4/02/12 2,000,000 2,237,650 ERAC USA Finance Co., 6.800%, 2/15/08 144A 1,000,000 1,105,134 Ford Motor Credit Co., 5.800%, 1/12/09 1,000,000 894,867 Ford Motor Credit Co., 6.500%, 1/25/07 700,000 674,721 Ford Motor Credit Co., 7.250%, 2/22/05 GBP 600,000 926,841 General Motors Acceptance Corp., 6.875%, 9/15/11 USD 1,500,000 1,482,203 General Motors Acceptance Corp., 7.500%, 12/01/06 NZD 3,050,000 1,698,691 GMAC International Finance BV, 8.000%, 3/14/07 950,000 512,354 Kommunekredit, 5.000%, 6/07/06 NOK 19,100,000 2,597,283 Petrozuata Finance, Inc., 8.220%, 4/01/17 144A** USD 200,000 138,000 -------------- 15,837,576 -------------- Foreign Government/Agency--10.6% Government of New Zealand, 6.000%, 11/15/11 NZD 5,150,000 2,860,870 Government of Sweden, 5.250%, 3/15/11 SEK 41,000,000 5,082,432 Kingdom of Norway, 6.750%, 1/15/07 NOK 54,650,000 7,931,741 Petroleos Mexicanos, 8.625%, 12/01/23 144A USD 3,670,000 3,853,500 Republic of Brazil, 10.125%, 5/15/27 10,000 7,125 Republic of Brazil, 11.000%, 8/17/40 250,000 188,750 Republic of Brazil C Bond, 8.000%, 4/15/14 1,847,113 1,463,837 Republic of Peru, 4.500%, 3/07/17 (step to 5.000% on 3/07/05)# 250,000 199,075
LOOMIS SAYLES FIXED INCOME FUNDS 27 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Investment Grade Bond Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Foreign Government/Agency--continued Republic of South Africa, 8.500%, 6/23/17 USD 200,000 $ 238,000 Republic of South Africa, 12.500%, 12/21/06 ZAR 150,000 19,939 Republic of South Africa, 13.000%, 8/31/10 1,725,000 250,905 Republic of Venezuela, 9.250%, 9/15/27 USD 100,000 60,150 South Australia Government Finance Authority, Zero Coupon Bond, 12/21/15 AUD 1,000,000 303,384 United Mexican States, 7.500%, 1/14/12 USD 1,500,000 1,637,250 United Mexican States, 8.300%, 8/15/31 750,000 806,250 United Mexican States, 8.375%, 1/14/11 900,000 1,037,250 -------------- 25,940,458 -------------- Forest & Paper Products--3.1% Boise Cascade Corp., 7.350%, 2/01/16 500,000 485,027 Fort James Corp., 4.750%, 6/29/04 EUR 965,000 1,003,905 Georgia-Pacific Group, 7.375%, 12/01/25 USD 2,225,000 1,702,125 Georgia-Pacific Group, 7.750%, 11/15/29 1,325,000 1,046,750 Westvaco Corp., 7.000%, 8/15/23 200,000 201,908 Weyerhaeuser Co., 6.750%, 3/15/12 400,000 438,520 Weyerhaeuser Co., 6.950%, 10/01/27 500,000 518,316 Weyerhaeuser Co., 7.125%, 7/15/23 1,000,000 1,058,913 Weyerhaeuser Co., 7.375%, 3/15/32 1,000,000 1,092,619 -------------- 7,548,083 -------------- Government Agencies--8.3% Federal Home Loan Mortgage Corp., 4.625%, 2/15/07 EUR 9,300,000 10,666,059 Federal Home Loan Mortgage Corp., 5.250%, 1/15/06 USD 500,000 542,271 Federal Home Loan Mortgage Corp., 5.500%, 9/15/11 250,000 275,882 Federal National Mortgage Association, Zero Coupon Bond, 10/29/07 NZD 700,000 298,615 Federal National Mortgage Association, 4.250%, 7/15/07 USD 1,000,000 1,059,765 Federal National Mortgage Association, 5.000%, 1/15/07 3,000,000 3,261,312 Federal National Mortgage Association, 5.250%, 6/15/06 500,000 545,309 Federal National Mortgage Association, 5.375%, 11/15/11 1,850,000 2,018,139 Federal National Mortgage Association, 6.375%, 8/15/07 AUD 2,500,000 1,583,397 -------------- 20,250,749 -------------- Healthcare--Services--3.0% Anthem, Inc., 6.800%, 8/01/12 USD 2,000,000 2,257,546 Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 775,000 757,205 Columbia/HCA Healthcare Corp., 7.500%, 12/15/23 250,000 255,525 Columbia/HCA Healthcare Corp., 7.580%, 9/15/25 120,000 122,872 HCA, Inc., 6.250%, 2/15/13 500,000 512,896 HCA, Inc., 6.300%, 10/01/12 3,250,000 3,338,705 -------------- 7,244,749 -------------- Home Builders--0.1% Lennar Corp., 7.625%, 3/01/09 250,000 285,255 Pulte Corp., 7.625%, 10/15/17 25,000 28,051 -------------- 313,306 -------------- Insurance--1.3% Aon Corp., 7.375%, 12/14/12 144A 1,000,000 1,098,675 UnumProvident Corp., 6.750%, 12/15/28 2,175,000 1,805,250 UnumProvident Corp., 7.375%, 6/15/32 200,000 170,000 -------------- 3,073,925 --------------
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Media & Entertainment--0.4% Clear Channel Communications, Inc., 5.750%, 1/15/13 USD 1,000,000 $ 1,033,686 -------------- Metals & Mining--0.6% Teck Cominco Ltd., 7.000%, 9/15/12 1,500,000 1,497,565 -------------- Mortgage Related--1.6% Bank of America Commercial Mortgage, Inc., 5.460%, 4/11/37 3,000,000 3,208,283 Federal Home Loan Mortgage Corp., 5.000%, 12/01/31 470,523 471,040 Federal National Mortgage Association, 6.000%, 7/01/29 259,819 269,980 -------------- 3,949,303 -------------- Natural Gas--3.2% Coastal Corp., 6.950%, 6/01/28 2,425,000 1,697,500 El Paso Corp., 5.750%, 3/14/06 2,200,000 1,920,248 El Paso Corp., 7.000%, 5/15/11 375,000 296,250 El Paso Energy Corp., 6.750%, 5/15/09 1,150,000 925,750 KN Capital Trust, 7.630%, 4/15/28 1,000,000 1,044,982 Southern Natural Gas Co., 7.350%, 2/15/31 750,000 690,000 Tennessee Gas Pipeline Co., 7.000%, 10/15/28 700,000 581,000 Tennessee Gas Pipeline Co., 7.500%, 4/01/17 815,000 741,650 -------------- 7,897,380 -------------- Oil & Gas Drilling Equipment--1.0% Ensco International, Inc., 6.750%, 11/15/07 250,000 279,030 Ensco International, Inc., 7.200%, 11/15/27 250,000 269,449 Global Marine, Inc., 7.000%, 6/01/28 250,000 273,931 Transocean Sedco Forex, Inc., 7.375%, 4/15/18 600,000 716,610 Transocean Sedco Forex, Inc., 7.500%, 4/15/31 750,000 881,084 -------------- 2,420,104 -------------- Oil & Gas Exploration--0.3% Devon Financing Corp. LLC, 7.875%, 9/30/31 500,000 596,834 Pioneer Natural Resources Co., 7.200%, 1/15/28 40,000 39,278 Transgas De Occidente SA, 9.790%, 11/01/10 144A** 85,633 77,070 -------------- 713,182 -------------- Oil & Gas Refining--0.0% Merey Sweeny LP, 8.850%, 12/18/19 144A 100,000 112,193 -------------- Oil & Gas--Major Integrated--0.5% PDVSA Finance Ltd., 7.400%, 8/15/16** 100,000 68,000 PDVSA Finance Ltd., 7.500%, 11/15/28** 200,000 132,000 Pecom Energia SA, 8.125%, 7/15/10 144A** 665,000 512,050 Repsol International Finance BV, 5.750%, 12/04/06** EUR 400,000 457,368 -------------- 1,169,418 -------------- Rail--Transport--0.1% Louisville & Nashville Railroad Co., 2.875%, 4/01/03 USD 4,000 4,000 Louisville & Nashville Railroad Co., 3.375%, 4/01/03 12,000 12,000 Missouri Pacific Railroad Co., 4.250%, 1/01/05 39,000 40,098 Missouri Pacific Railroad Co., 4.750%, 1/01/20 156,000 112,658 Missouri Pacific Railroad Co., 4.750%, 1/01/30 86,000 61,361 Missouri Pacific Railroad Co., 5.000%, 1/01/45 50,000 33,557 -------------- 263,674 -------------- Real Estate Investment Trusts--2.2% EOP Operating LP, 6.750%, 2/15/12 1,000,000 1,101,334 First Industrial LP, 7.500%, 12/01/17 100,000 112,520
LOOMIS SAYLES FIXED INCOME FUNDS 29 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Investment Grade Bond Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Real Estate Investment Trusts -continued First Industrial LP, 7.600%, 7/15/28 USD 150,000 $ 158,751 Highwoods Realty LP, 7.500%, 4/15/18 150,000 145,722 New Plan Excel Realty Trust, 5.875%, 6/15/07 2,370,000 2,499,878 Security Capital Industrial Trust, 7.625%, 7/01/17 75,000 82,728 Spieker Properties, Inc., 7.350%, 12/01/17 1,000,000 1,117,778 TriNet Corporate Realty Trust, Inc., 7.700%, 7/15/17 200,000 191,772 -------------- 5,410,483 -------------- Retail--General--1.9% J.C. Penney Co., Inc., 6.875%, 10/15/15 250,000 230,000 J.C. Penney Co., Inc., 7.650%, 8/15/16 150,000 144,000 J.C. Penney Co., Inc., 7.950%, 4/01/17 650,000 624,000 J.C. Penney Co., Inc., 8.250%, 8/15/22 250,000 237,500 Lowe's Cos., Inc., 6.500%, 3/15/29 500,000 536,826 Sears Roebuck Acceptance Corp., 6.500%, 12/01/28 2,250,000 2,035,105 Sears Roebuck Acceptance Corp., 6.700%, 4/15/12 95,000 97,217 Sears Roebuck Acceptance Corp., 6.750%, 8/15/11 740,000 756,263 -------------- 4,660,911 -------------- Supranational--1.2% European Bank for Reconstruction & Development, Zero Coupon Bond, 2/10/28 AUD 8,280,000 1,228,487 International Bank for Reconstruction & Development, Zero Coupon Bond, 8/20/07 NZD 2,585,000 1,108,521 International Bank for Reconstruction & Development, 5.500%, 11/03/08 1,000,000 543,312 International Bank for Reconstruction & Development, 8.000%, 5/23/07 45,000 26,707 -------------- 2,907,027 -------------- Telecommunications--4.6% AT&T Corp., 6.500%, 11/21/06 EUR 3,220,000 3,548,314 Philippine Long Distance Telephone Co., 8.350%, 3/06/17** USD 1,400,000 985,684 Sprint Capital Corp., 6.125%, 11/15/08 1,045,000 1,034,550 Sprint Capital Corp., 6.875%, 11/15/28 3,400,000 2,975,000 Sprint Capital Corp., 6.900%, 5/01/19 500,000 457,500 Telekom Malaysia Berhad, 7.875%, 8/01/25 144A** 1,000,000 1,035,755 US West Capital Funding, Inc., 6.500%, 11/15/18 250,000 173,125 US West Capital Funding, Inc., 6.875%, 7/15/28 1,650,000 1,155,000 -------------- 11,364,928 -------------- Telecommunications Equipment--1.6% Motorola, Inc., 5.800%, 10/15/08 500,000 502,500 Motorola, Inc., 6.500%, 11/15/28 900,000 814,500 Motorola, Inc., 6.750%, 2/01/06 250,000 263,750 Motorola, Inc., 7.625%, 11/15/10 625,000 671,875 Motorola, Inc., 8.000%, 11/01/11 1,625,000 1,779,375 -------------- 4,032,000 -------------- Telecommunications--Wireless--1.5% AT&T Wireless Services, Inc., 8.125%, 5/01/12 1,025,000 1,160,105 INTELSAT, 7.625%, 4/15/12 2,000,000 2,039,718 Nextel Communications, Inc., 9.375%, 11/15/09 450,000 472,500 -------------- 3,672,323 --------------
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Textile & Apparel--0.0% Kellwood Co., 7.625%, 10/15/17 USD 25,000 $ 23,000 -------------- Tobacco--0.1% Loews Corp., 7.000%, 10/15/23 375,000 377,178 -------------- Utilities--Electric--4.1% Constellation Energy Group, Inc., 6.125%, 9/01/09 500,000 544,223 Constellation Energy Group, Inc., 7.000%, 4/01/12 2,250,000 2,529,414 Empresa Nacional de Electricidad SA (Endesa), 7.875%, 2/01/27** 2,150,000 1,600,610 Enersis SA, 6.900%, 12/01/06** 500,000 404,110 Enersis SA, 7.400%, 12/01/16** 2,775,000 1,935,599 MidAmerican Energy Holdings Co., 5.875%, 10/01/12 1,500,000 1,555,718 Quezon Power Philippines Co., 8.860%, 6/15/17** 48,250 35,464 Tenaga Nasional Berhad, 7.500%, 11/01/25 144A** 1,400,000 1,393,841 -------------- 9,998,979 -------------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $187,350,634) 201,249,867 -------------- CONVERTIBLE BONDS--5.9% Auto & Related--0.0% MascoTech, Inc., 4.500%, 12/15/03 23,000 21,735 -------------- Electronic Components--Semiconductors--2.3% Analog Devices, Inc., 4.750%, 10/01/05 5,650,000 5,706,500 -------------- Electronic Measuring Instruments--0.1% Thermedics, Inc., Zero Coupon Bond, 6/01/03 100,000 98,639 -------------- Office Equipment--0.3% Xerox Corp., 0.570%, 4/21/18 1,200,000 774,000 -------------- Oil & Gas Exploration--1.0% Devon Energy Corp., 4.900%, 8/15/08 500,000 510,000 Devon Energy Corp., 4.950%, 8/15/08 1,750,000 1,789,375 -------------- 2,299,375 -------------- Telecommunications--0.3% Koninklijke (Royal) KPN NV, 3.500%, 11/24/05** EUR 750,000 789,648 -------------- Tobacco--1.9% Loews Corp., 3.125%, 9/15/07 USD 5,045,000 4,628,788 -------------- TOTAL CONVERTIBLE BONDS (Identified Cost $13,652,685) 14,318,685 -------------- TOTAL BONDS AND NOTES (Identified Cost $201,003,319) 215,568,552 --------------
LOOMIS SAYLES FIXED INCOME FUNDS 31 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Investment Grade Bond Fund--continued
Shares Value + -------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--0.0% of net assets Auto Components--0.0% Magna International, Inc. Class A 2,019 $ 105,553 -------------- Energy Equipment & Services--0.0% Diamond Offshore Drilling, Inc. 1,234 23,952 -------------- TOTAL COMMON STOCKS (Identified Cost $192,115) 129,505 -------------- PREFERRED STOCKS--2.2% of net assets NON-CONVERTIBLE PREFERRED STOCKS--0.1% Natural Gas--0.0% Pacific Enterprises, $4.36 200 14,300 -------------- Real Estate Investment Trusts--0.0% First Industrial Realty Trust, Inc., Series D, 7.950% 2,050 51,107 First Industrial Realty Trust, Inc., Series E, 7.900% 1,800 44,730 -------------- 95,837 -------------- Utilities--Electric--0.1% Duquesne Light Co., 4.000% 2,220 58,497 Duquesne Light Co., 4.100% 2,300 64,929 Duquesne Light Co., 4.150% 330 9,570 New York State Electric & Gas Corp., 3.750% 100 5,000 Northern Indiana Public Service Co., 4.250% 100 6,400 Pacific Gas & Electric Co., Series C, 5.000%^ 100 1,735 Pacific Gas & Electric Co., Series H, 4.500%^ 100 1,700 Southern California Edison Co., 4.240% 500 7,375 Southern California Edison Co., 4.320% 200 2,810 Union Electric Co., $3.50 200 12,700 Union Electric Co., $4.50 300 22,200 Wisconsin Power & Light Co., 4.500% 110 8,360 Xcel Energy, Inc., $3.60 400 19,900 -------------- 221,176 -------------- TOTAL NON-CONVERTIBLE PREFERRED STOCKS (Identified Cost $298,149) 331,313 --------------
Shares Value + -------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--continued CONVERTIBLE PREFERRED STOCKS--2.1% Financial Services--0.2% Newell Financial Trust I, 5.250% 10,000 $ 463,750 -------------- Forest & Paper Products--1.0% International Paper Capital Trust, 5.250% 52,500 2,520,000 -------------- Oil & Gas Drilling Equipment--0.3% EVI, Inc., 5.000% 14,000 705,250 -------------- Real Estate Investment Trusts--0.4% Equity Residential Properties Trust, 7.250% 36,050 900,889 -------------- Telecommunication Services--Diversified--0.2% Philippine Long Distance Telephone Co., $3.50 GDS** 19,550 498,525 -------------- TOTAL CONVERTIBLE PREFERRED STOCKS (Identified Cost $4,811,514) 5,088,414 -------------- TOTAL PREFERRED STOCKS (Identified Cost $5,109,663) 5,419,727 -------------- Face Amount -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--6.9% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchase at $16,877,234 on 4/01/03 collateralized by $14,250,000 U.S. Treasury Bond, 6.375% due 8/15/27 with a value of $17,217,092 USD 16,877,000 16,877,000 -------------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $16,877,000) 16,877,000 -------------- TOTAL INVESTMENTS--97.2% (Identified Cost $223,182,097)@ 237,994,784 Cash and Other Assets, Less Liabilities--2.8% 6,777,734 -------------- NET ASSETS--100% $ 244,772,518 ==============
+ See Note 1. ** Foreign issued security 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. ^ Security in default @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $223,232,226 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $19,006,084 and $4,243,526, respectively, resulting in net unrealized appreciation of $14,762,558. Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; EUR: Euro; GDS: Global Depositary Shares; GBP: Great British Pound; NOK: Norwegian Krone; NZD: New Zealand Dollar; SEK: Swedish Krona; USD: United States Dollar; ZAR: South African Rand See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS 33 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles U.S. Government Securities Fund
Face Amount Value + -------------------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--98.1% of net assets Mortgage Related--27.0% Federal National Mortgage Association, 6.500%, 1/01/31 $ 325,725 $ 340,072 Federal National Mortgage Association, 6.500%, 11/01/31 829,749 866,181 Federal National Mortgage Association, 6.500%, 7/01/32 577,474 602,826 Government National Mortgage Association, 6.500%, 5/15/31 519,900 547,215 Government National Mortgage Association, 7.000%, 1/15/28 300,258 319,252 Government National Mortgage Association, 8.000%, 1/15/31 309,437 335,155 -------------- 3,010,701 -------------- U.S. Government--71.1% U.S. Treasury Bonds, 5.250%, 11/15/28 600,000 625,407 U.S. Treasury Bonds, 7.250%, 5/15/16 2,700,000 3,470,766 U.S. Treasury Notes, 2.875%, 6/30/04 300,000 306,047 U.S. Treasury Notes, 3.500%, 1/15/11 3,131,490 3,516,074 -------------- 7,918,294 -------------- TOTAL BONDS AND NOTES (Identified Cost $10,448,401) 10,928,995 -------------- TOTAL INVESTMENTS--98.1% (Identified Cost $10,448,401)@ 10,928,995 Cash and Other Assets, Less Liabilities--1.9% 207,483 -------------- NET ASSETS--100% $ 11,136,478 ==============
+ See Note 1. @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $10,505,360 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $441,251 and $17,616, respectively, resulting in net unrealized appreciation of $ 423,635. See accompanying notes to financial statements. THIS PAGE INTENTIONALLY LEFT BLANK LOOMIS SAYLES FIXED INCOME FUNDS 35 STATEMENTS OF ASSETS AND LIABILITIES March 31, 2003 (Unaudited)
Global Investment Grade U.S. Government Bond Fund Bond Fund Bond Fund Securities Fund -------------------------------------------------------------------------------------------------------------------- Assets Investments at value $ 1,565,837,026 $ 85,120,267 $237,994,784 $ 10,928,995 Cash 333,320 0 487,188 91,628 Foreign currency at value 758,850 0 461,907 0 Receivable for: Fund shares sold 7,271,189 2,005,786 5,602,352 13,460 Securities sold 4,757,002 1,432,454 0 0 Dividends and interest 22,772,385 1,706,860 3,678,045 127,199 Due from the adviser 91,492 0 12,394 6,182 ------------------------------------------------------------------ 1,601,821,264 90,265,367 248,236,670 11,167,464 ------------------------------------------------------------------ Liabilities Payable for: Securities purchased 9,561,745 113,694 2,382,782 0 Fund shares redeemed 592,929 62,186 791,871 3,072 Foreign taxes 55,986 0 3,019 0 Due to custodian 0 180,073 0 0 Accrued expenses: Management fees 812,160 47,899 79,303 3,077 Trustees' fees 987 987 987 987 Administrative fees 47,497 2,874 6,942 378 12b-1 fees 21,995 5,071 143,520 0 Other 282,786 22,674 55,728 23,472 ------------------------------------------------------------------ 11,376,085 435,458 3,464,152 30,986 ------------------------------------------------------------------ Net Assets $ 1,590,445,179 $ 89,829,909 $244,772,518 $ 11,136,478 ================================================================== Net Assets consist of: Capital paid in $ 1,756,058,135 $ 82,644,166 $226,776,682 $ 10,630,431 Undistributed net investment income (loss) (1,699,297) 439,999 849,472 (85,436) Accumulated net realized gain (loss) (221,110,488) 365,349 2,304,296 110,889 Unrealized appreciation (depreciation) on: Investments 57,045,255 6,336,610 14,812,687 480,594 Foreign currency translations 151,574 43,785 29,381 0 ------------------------------------------------------------------ Net Assets $ 1,590,445,179 $ 89,829,909 $244,772,518 $ 11,136,478 ================================================================== Institutional Class Net assets $ 1,493,716,380 $ 62,262,917 $ 7,937,273 $ 11,136,478 Shares of beneficial interest outstanding, no par value 129,454,799 4,565,278 726,983 966,420 Net asset value and redemption price $ 11.54 $ 13.64 $ 10.92 $ 11.52 Retail Class Net assets $ 87,566,819 $ 27,566,992 $ 82,136 -- Shares of beneficial interest outstanding, no par value 7,592,780 2,032,678 7,524 -- Net asset value and redemption price $ 11.53 $ 13.56 $ 10.92 -- Admin Class Net assets $ 9,161,980 -- $ 11,603 -- Shares of beneficial interest outstanding, no par value 795,014 -- 1,063 -- Net asset value and redemption price $ 11.52 -- $ 10.91 -- J Class Net assets -- -- $236,741,506 -- Shares of beneficial interest outstanding, no par value -- -- 21,710,100 -- Net asset value and redemption price -- -- $ 10.90 -- Maximum offering price per share (nav/96.50%) $ 11.30 -- Identified cost of investments $ 1,508,791,771 $ 78,783,657 $223,182,097 $ 10,448,401 Cost of foreign currency $ 753,617 $ 0 $ 452,933 $ 0
See accompanying notes to financial statements. STATEMENTS OF OPERATIONS For the Six Months Ended March 31, 2003 (Unaudited)
Global Investment Grade U.S. Government Bond Fund Bond Fund Bond Fund Securities Fund -------------------------------------------------------------------------------------------------------------------- Investment Income Dividends* $ 2,021,812 $ 0 $ 140,097 $ 0 Interest 52,781,374 2,015,851 7,332,570 295,714 ------------------------------------------------------------------ Total income 54,803,186 2,015,851 7,472,667 295,714 ------------------------------------------------------------------ Expenses Management fees 4,195,862 204,165 454,860 18,526 12b-1 fees (Retail Class) 89,767 19,533 44 0 12b-1 fees (Admin Class) 9,379 0 14 0 12b-1 fees (J Class) 0 0 548,602 0 Shareholder service fees (Admin Class) 9,379 0 14 0 Shareholder service fees (J Class) 0 0 274,301 0 Trustees' fees and expenses 2,837 2,837 2,837 2,837 Administrative fees (Note 3) 244,759 11,909 39,800 2,161 Custodian and accounting fees 384,898 49,631 94,977 18,816 Transfer Agent fees (Institutional Class) 212,019 12,703 11,058 11,227 Transfer Agent fees (Retail Class) 33,858 8,700 6,509 0 Transfer Agent fees (Admin Class) 8,256 0 6,464 0 Transfer Agent fees (J Class) 0 0 4,763 0 Audit and tax services fees 262,367 22,418 42,486 12,675 Registration fees 45,935 10,445 21,888 5,441 Printing fees 140,715 5,352 61,240 1,289 Legal fees 37,714 1,148 7,452 262 Other expenses 22,776 2,320 3,737 524 ------------------------------------------------------------------ Total expenses 5,700,521 351,161 1,581,046 73,758 Less expenses waived and reimbursed by the investment adviser (347,168) (25,506) (132,640) (42,882) ------------------------------------------------------------------ Net expenses 5,353,353 325,655 1,448,406 30,876 ------------------------------------------------------------------ Net investment income 49,449,833 1,690,196 6,024,261 264,838 ------------------------------------------------------------------ Net Realized Gain (Loss) on: Investments (27,195,432) 1,416,640 2,592,059 111,412 Foreign currency transactions 711,529 57,253 171,635 0 ------------------------------------------------------------------ Total net realized gain (loss) (26,483,903) 1,473,893 2,763,694 111,412 ------------------------------------------------------------------ Change in Unrealized Appreciation (Depreciation) on: Investments 179,451,443 4,187,923 12,490,773 (163,065) Foreign currency translations 104,869 20,210 (2,413) 0 ------------------------------------------------------------------ Total net change in unrealized appreciation (depreciation) 179,556,312 4,208,133 12,488,360 (163,065) ------------------------------------------------------------------ Total net realized gain (loss) and change in unrealized appreciation (depreciation) 153,072,409 5,682,026 15,252,054 (51,653) ------------------------------------------------------------------ Net Increase (Decrease) in Net Assets from Operations $ 202,522,242 $ 7,372,222 $ 21,276,315 $ 213,185 ==================================================================
* Net of foreign withholding taxes of $156,192 and 9,262 for the Bond and Investment Grade Bond Funds, respectively. See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS 37 STATEMENTS OF CHANGES IN NET ASSETS Bond Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ------------------------------------------------------------------------------------------------------------------------------ From Operations Net investment income $ 49,449,833 $ 104,341,481 Net realized gain (loss) (26,483,903) (146,048,600) Change in unrealized appreciation (depreciation) 179,556,312 143,692,851 ---------------------------------------------- Increase (decrease) in net assets from operations 202,522,242 101,985,732 ---------------------------------------------- From Distributions to Shareholders Institutional Class Net investment income (47,739,650) (98,461,624) Retail Class Net investment income (2,594,841) (4,628,185) Admin Class Net investment income (264,163) (430,459) ---------------------------------------------- (50,598,654) (103,520,268) ---------------------------------------------- From Capital Share Transactions (Note 6) Increase (decrease) in net assets from capital share transactions 198,007,157 (224,435,255) ---------------------------------------------- Total increase (decrease) in net assets 349,930,745 (225,969,791) Net Assets Beginning of the period 1,240,514,434 1,466,484,225 ---------------------------------------------- End of the period $ 1,590,445,179 $ 1,240,514,434 ============================================== Undistributed Net Investment Income (Loss) End of the period $ (1,699,297) $ (550,476) ==============================================
Global Bond Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ------------------------------------------------------------------------------------------------------------------------------ From Operations Net investment income $ 1,690,196 $ 2,894,353 Net realized gain (loss) 1,473,893 (472,023) Change in unrealized appreciation (depreciation) 4,208,133 4,370,610 ---------------------------------------------- Increase (decrease) in net assets from operations 7,372,222 6,792,940 ---------------------------------------------- From Distributions to Shareholders Institutional Class Net investment income (2,178,435) 0 Retail Class Net investment income (558,936) 0 ---------------------------------------------- (2,737,371) 0 ---------------------------------------------- From Capital Share Transactions (Note 6) Increase (decrease) in net assets derived from capital share transactions 28,282,201 2,063,850 ---------------------------------------------- Total increase (decrease) in net assets 32,917,052 8,856,790 Net Assets Beginning of the period 56,912,857 48,056,067 ---------------------------------------------- End of the period $ 89,829,909 $ 56,912,857 ============================================== Undistributed Net Investment Income End of the period $ 439,999 $ 1,487,174 ==============================================
See accompanying notes to financial statements. Investment Grade Bond Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ------------------------------------------------------------------------------------------------------------------------------ From Operations Net investment income $ 6,024,261 $ 8,390,429 Net realized gain (loss) 2,763,694 (330,754) Change in unrealized appreciation (depreciation) 12,488,360 2,156,053 ---------------------------------------------- Increase (decrease) in net assets from operations 21,276,315 10,215,728 ---------------------------------------------- From Distributions to Shareholders Institutional Class Net investment income (245,409) (428,470) Net realized gain on investments 0 (17,492) Retail Class Net investment income (923) (385) Admin Class Net investment income (308) (371) J Class Net investment income (5,926,471) (7,046,653) Net realized gain on investments 0 (218,434) ---------------------------------------------- Total distributions (6,173,111) (7,711,805) ---------------------------------------------- From Capital Share Transactions (Note 6) Increase (decrease) in net assets derived from capital share transactions 10,668,812 116,377,819 ---------------------------------------------- Total increase (decrease) in net assets 25,772,016 118,881,742 Net Assets Beginning of the period 219,000,502 100,118,760 ---------------------------------------------- End of the period $ 244,772,518 $ 219,000,502 ============================================== Undistributed Net Investment Income End of the period $ 849,472 $ 998,322 ==============================================
U.S. Government Securities Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ------------------------------------------------------------------------------------------------------------------------------ From Operations Net investment income $ 264,838 $ 664,542 Net realized gain (loss) 111,412 577,663 Change in unrealized appreciation (depreciation) (163,065) 307,022 ---------------------------------------------- Increase (decrease) in net assets from operations 213,185 1,549,227 ---------------------------------------------- From Distributions to Shareholders Institutional Class Net investment income (373,650) (738,717) Net realized gain on investments (326,367) 0 ---------------------------------------------- Total distributions (700,017) (738,717) ---------------------------------------------- From Capital Share Transactions (Note 6) Increase (decrease) in net assets from capital share transactions (1,868,764) (2,336,368) ---------------------------------------------- Total increase (decrease) in net assets (2,355,596) (1,525,858) Net Assets Beginning of the period 13,492,074 15,017,932 ---------------------------------------------- End of the period $ 11,136,478 $ 13,492,074 ============================================== Undistributed Net Investment Income (Loss) End of the period $ (85,436) $ 23,376 ==============================================
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS 39 FINANCIAL HIGHLIGHTS
Income (Loss) from Investment Operations Less Distributions ------------------------------------------------- ------------------ Net asset Net realized Dividends value, Net and unrealized Total from from beginning investment gain (loss) on investment net investment of period income (loss) investments operations income ----------------------------------------------------------------------------------------------------------------- Bond Fund Institutional Class 3/31/2003(e) $ 10.33 $ 0.39(d) $ 1.21 $ 1.60 $ (0.39) 9/30/2002+ 10.39 0.82(d) (0.06) 0.76 (0.82) 9/30/2001 11.53 0.94(d) (0.91) 0.03 (1.17) 9/30/2000 11.70 0.96 (0.20) 0.76 (0.93) 9/30/1999 12.30 0.98 (0.06) 0.92 (1.00) 9/30/1998(f) 12.83 0.69 (0.78) (0.09) (0.44) 12/31/1997 12.38 0.86 0.67 1.53 (0.86) Retail Class 3/31/2003(e) 10.33 0.38(d) 1.20 1.58 (0.38) 9/30/2002+ 10.39 0.79(d) (0.05) 0.74 (0.80) 9/30/2001 11.52 0.91(d) (0.91) 0.00 (1.13) 9/30/2000 11.69 0.92 (0.19) 0.73 (0.90) 9/30/1999 12.29 0.96 (0.08) 0.88 (0.96) 9/30/1998(f) 12.82 0.66 (0.77) (0.11) (0.42) 12/31/1997* 12.38 0.84(d) 0.65 1.49 (0.83) Admin Class 3/31/2003(e) 10.32 0.36(d) 1.21 1.57 (0.37) 9/30/2002+ 10.38 0.76(d) (0.05) 0.71 (0.77) 9/30/2001 11.52 0.88(d) (0.92) (0.04) (1.10) 9/30/2000 11.69 0.86 (0.16) 0.70 (0.87) 9/30/1999 12.28 0.92(d) (0.06) 0.86 (0.93) 9/30/1998** 12.83 0.47 (0.62) (0.15) (0.40) Global Bond Fund Institutional Class 3/31/2003(e) $ 12.68 $ 0.33(d) $ 1.25 $ 1.58 $ (0.62) 9/30/2002++ 11.08 0.68(d) 0.92 1.60 -- 9/30/2001 10.93 0.72(d) 0.07 0.79 (0.60) 9/30/2000 12.60 0.76(d) (1.33) (0.57) (0.67) 9/30/1999 11.93 0.79 0.87 1.66 (0.70) 9/30/1998(f) 11.83 0.53 (0.43) 0.10 -- 12/31/1997 12.35 0.71 (0.42) 0.29 (0.81) Retail Class 3/31/2003(e) 12.62 0.31(d) 1.24 1.55 (0.61) 9/30/2002++ 11.06 0.65(d) 0.91 1.56 -- 9/30/2001 10.91 0.69(d) 0.07 0.76 (0.57) 9/30/2000 12.57 0.73(d) (1.32) (0.59) (0.64) 9/30/1999 11.91 0.76(d) 0.86 1.62 (0.67) 9/30/1998(f) 11.83 0.44 (0.36) 0.08 -- 12/31/1997* 12.35 0.63(d) (0.37) 0.26 (0.78) Less Distributions ------------------ Distributions Net asset Net assets, from net value, end of realized Total end of Total period capital gains distributions period return(a) (000) ------------------------------------------------------------------------------------------------------------------ Bond Fund Institutional Class 3/31/2003(e) $ -- $ (0.39) $ 11.54 15.6% $ 1,493,716 9/30/2002+ -- (0.82) 10.33 7.5 1,172,286 9/30/2001 -- (1.17) 10.39 0.3 1,383,951 9/30/2000 -- (0.93) 11.53 6.7 1,670,825 9/30/1999 (0.52) (1.52) 11.70 7.6 1,541,834 9/30/1998(f) -- (0.44) 12.30 (0.9) 1,455,312 12/31/1997 (0.22) (1.08) 12.83 12.7 1,261,910 Retail Class 3/31/2003(e) (0.38) 11.53 15.4 87,567 9/30/2002+ -- (0.80) 10.33 7.3 61,845 9/30/2001 -- (1.13) 10.39 0.1 77,035 9/30/2000 -- (0.90) 11.52 6.5 78,039 9/30/1999 (0.52) (1.48) 11.69 7.3 55,490 9/30/1998(f) -- (0.42) 12.29 (1.1) 53,908 12/31/1997* (0.22) (1.05) 12.82 12.4 33,240 Admin Class 3/31/2003(e) -- (0.37) 11.52 15.4 9,162 9/30/2002+ -- (0.77) 10.32 7.0 6,383 9/30/2001 -- (1.10) 10.38 (0.3) 5,498 9/30/2000 -- (0.87) 11.52 6.2 3,736 9/30/1999 (0.52) (1.45) 11.69 7.1 1,548 9/30/1998** -- (0.40) 12.28 (1.3) 630 Global Bond Fund Institutional Class 3/31/2003(e) $ -- $ (0.62) $ 13.64 12.8% $ 62,263 9/30/2002++ -- -- 12.68 14.4 44,810 9/30/2001 (0.04) (0.64) 11.08 7.7 37,681 9/30/2000 (0.43) (1.10) 10.93 (5.0) 37,035 9/30/1999 (0.29) (0.99) 12.60 14.2 34,154 9/30/1998(f) -- -- 11.93 0.9 29,860 12/31/1997 -- (0.81) 11.83 2.3 28,401 Retail Class 3/31/2003(e) -- (0.61) 13.56 12.6 27,567 9/30/2002++ -- -- 12.62 14.1 12,103 9/30/2001 (0.04) (0.61) 11.06 7.4 10,375 9/30/2000 (0.43) (1.07) 10.91 (5.2) 11,721 9/30/1999 (0.29) (0.96) 12.57 13.8 7,106 9/30/1998(f) -- -- 11.91 0.7 6,376 12/31/1997* -- (0.78) 11.83 2.0 4,694 Ratios to Average Net Assets ----------------------------------------------------- Net Portfolio Net Gross investment turnover expenses(b)(c) expenses(c) income (loss)(c) rate --------------------------------------------------------------------------------------------- Bond Fund Institutional Class 3/31/2003(e) 0.75% 0.80% 7.09% 19% 9/30/2002+ 0.75 0.79 7.76 22 9/30/2001 0.75 0.78 8.52 20 9/30/2000 0.75 0.76 8.32 17 9/30/1999 0.75 0.75 8.15 33 9/30/1998(f) 0.75 0.76 7.34 24 12/31/1997 0.75 0.77 7.36 41 Retail Class 3/31/2003(e) 1.00 1.11 6.83 19 9/30/2002+ 1.00 1.14 7.51 22 9/30/2001 1.00 1.13 8.28 20 9/30/2000 1.00 1.08 8.10 17 9/30/1999 1.00 1.04 7.90 33 9/30/1998(f) 1.00 1.06 7.13 24 12/31/1997* 1.00 1.20 7.09 41 Admin Class 3/31/2003(e) 1.25 1.48 6.59 19 9/30/2002+ 1.25 1.68 7.22 22 9/30/2001 1.25 1.71 8.02 20 9/30/2000 1.25 1.98 7.90 17 9/30/1999 1.25 2.38 7.66 33 9/30/1998** 1.25 6.32 7.45 24 Global Bond Fund Institutional Class 3/31/2003(e) 0.90% 0.96% 5.05% 53% 9/30/2002++ 0.90 1.07 5.78 65 9/30/2001 0.90 1.09 6.65 58 9/30/2000 0.90 1.12 6.64 17 9/30/1999 0.90 1.10 6.32 42 9/30/1998(f) 0.90 1.18 6.00 28 12/31/1997 0.90 1.22 5.88 75 Retail Class 3/31/2003(e) 1.15 1.27 4.69 53 9/30/2002++ 1.15 1.47 5.53 65 9/30/2001 1.15 1.47 6.42 58 9/30/2000 1.15 1.51 6.41 17 9/30/1999 1.15 1.61 6.08 42 9/30/1998(f) 1.15 1.78 5.77 28 12/31/1997* 1.15 2.44 5.60 75
+As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities and reclassifying paydown gains and losses to interest income for financial statement purposes only. For the year ended September 30, 2002, the impact to the Institutional, Retail and Admin Classes per share net investment income and net realized and unrealized gain (loss) was less than $0.01. The ratio of net investment income to average net assets for the Institutional, Retail and Admin Classes decreased from 7.77% to 7.76%, 7.53% to 7.51%, 7.24% to 7.22%, respectively, on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. *From commencement of class operations on January 2, 1997 through December 31, 1997. **From commencement of class operations on January 2, 1998 through September 30, 1998. required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities and reclassifying paydown gains and losses to interest income for financial statement purposes only. For the year ended September 30, 2002, the effect of this change to the Institutional and Retail Classes was a decrease to net investment income by $0.01 and $0.01 per share, respectively, an increase to net realized and unrealized gain (loss) on investments by $0.01 and $0.01 per share, respectively and a decrease to the ratio of net investment income to average net assets from 5.89% to 5.78% and 5.63% to 5.53%, respectively, on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. (a)Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b)The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c)Annualized for periods less than one year. (d)Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (e)For the six months ended March 31, 2003 (Unaudited). (f)For the nine months ended September 30, 1998. See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS 41
Income (Loss) from Investment Operations Less Distributions ------------------------------------------------- ------------------ Net asset Net realized Dividends value, Net and unrealized Total from from beginning investment gain (loss) on investment net investment of period income (loss) investments operations income ----------------------------------------------------------------------------------------------------------------- Investment Grade Bond Fund Institutional Class 3/31/2003(f) $ 10.23 $ 0.31(d) $ 0.70 $ 1.01 $ (0.32) 9/30/2002+ 10.09 0.62(d) 0.09 0.71 (0.55) 9/30/2001 9.92 0.65(d) 0.18 0.83 (0.66) 9/30/2000 9.96 0.73(d) (0.05) 0.68 (0.72) 9/30/1999 10.28 0.76 (0.12) 0.64 (0.70) 9/30/1998(g) 10.59 0.52 (0.50) 0.02 (0.33) 12/31/1997* 10.00 0.65 0.77 1.42 (0.71) Retail Class 3/31/2003(f) 10.23 0.30(d) 0.70 1.00 (0.31) 9/30/2002+** 10.18 0.39(d) 0.04 0.43 (0.38) 12/18/2000*** 9.91 0.13(d) 0.24 0.37 (0.14) 9/30/2000 9.95 0.71(d) (0.05) 0.66 (0.70) 9/30/1999 10.27 0.64 (0.03) 0.61 (0.67) 9/30/1998(g) 10.59 0.48 (0.49) (0.01) (0.31) 12/31/1997* 10.00 0.62(d) 0.78 1.40 (0.69) Admin Class 3/31/2003(f) 10.23 0.29(d) 0.68 0.97 (0.29) 9/30/2002 +**** 10.18 0.38(d) 0.04 0.42 (0.37) J Class 3/31/2003(f) 10.22 0.27(d) 0.69 0.96 (0.28) 9/30/2002+ 10.09 0.54(d) 0.09 0.63 (0.48) 9/30/2001 9.91 0.57(d) 0.19 0.76 (0.58) 9/30/2000 9.95 0.65(d) (0.04) 0.61 (0.65) 9/30/1999***** 10.29 0.21 (0.36) (0.15) (0.19) U.S. Government Securities Fund Institutional Class 3/31/2003(f) $ 11.94 $ 0.25(d) $ (0.02) $ 0.23 $ (0.36) 9/30/2002++ 11.19 0.51(d) 0.83 1.34 (0.59) 9/30/2001 10.62 0.62(d) 0.70 1.32 (0.75) 9/30/2000 10.38 0.68 0.22 0.90 (0.66) 9/30/1999 11.41 0.65 (1.03) (0.38) (0.65) 9/30/1998(g) 10.70 0.43 0.58 1.01 (0.30) 12/31/1997 10.08 0.63 0.61 1.24 (0.62) Less Distributions ------------------ Distributions Net asset Net assets, from net value, end of realized Total end of Total period capital gains distributions period return(a) (000) ------------------------------------------------------------------------------------------------------------------ Investment Grade Bond Fund Institutional Class 3/31/2003(f) $ -- $ (0.32) $ 10.92 10.1% $ 7,937 9/30/2002+ (0.02) (0.57) 10.23 7.2 7,874 9/30/2001 -- (0.66) 10.09 8.6 8,549 9/30/2000 -- (0.72) 9.92 7.2 2,905 9/30/1999 (0.26) (0.96) 9.96 6.5 2,427 9/30/1998(g) -- (0.33) 10.28 0.0 2,778 12/31/1997* (0.12) (0.83) 10.59 14.5 2,445 Retail Class 3/31/2003(f) -- (0.31) 10.92 9.9 82 9/30/2002+** -- (0.38) 10.23 4.3 11 12/18/2000*** -- (0.14) 10.14 3.8 2,426 9/30/2000 -- (0.70) 9.91 6.9 2,250 9/30/1999 (0.26) (0.93) 9.95 6.2 2,561 9/30/1998(g) -- (0.31) 10.27 (0.2) 1,743 12/31/1997* (0.12) (0.81) 10.59 14.3 862 Admin Class 3/31/2003(f) -- (0.29) 10.91 9.7 12 9/30/2002 +**** -- (0.37) 10.23 4.2 11 J Class 3/31/2003(f) -- (0.28) 10.90 9.6(e) 236,742 9/30/2002+ (0.02) (0.50) 10.22 6.4(e) 211,105 9/30/2001 -- (0.58) 10.09 7.9(e) 91,569 9/30/2000 -- (0.65) 9.91 6.4(e) 30,264 9/30/1999***** -- (0.19) 9.95 (1.5)(e) 16,307 U.S. Government Securities Fund Institutional Class 3/31/2003(f) $ (0.29) $ (0.65) $ 11.52 2.1% $ 11,136 9/30/2002++ -- (0.59) 11.94 12.4 13,492 9/30/2001 -- (0.75) 11.19 12.9 15,018 9/30/2000 -- (0.66) 10.62 9.1 11,495 9/30/1999 -- (0.65) 10.38 (3.5) 16,141 9/30/1998(g) -- (0.30) 11.41 9.6 29,246 12/31/1997 -- (0.62) 10.70 12.7 17,668 Ratios to Average Net Assets ----------------------------------------------------- Net Portfolio Net Gross investment turnover expenses(b)(c) expenses(c) income (loss)(c) rate --------------------------------------------------------------------------------------------- Investment Grade Bond Fund Institutional Class 3/31/2003(f) 0.55% 0.92% 6.03% 16% 9/30/2002+ 0.55 1.13 6.08 39 9/30/2001 0.55 1.36 6.43 15 9/30/2000 0.55 3.23 7.35 23 9/30/1999 0.55 2.87 6.83 42 9/30/1998(g) 0.55 4.19 6.68 48 12/31/1997* 0.55 7.59 6.74 112 Retail Class 3/31/2003(f) 0.80 37.39 5.75 16 9/30/2002+** 0.80 191.59 5.85 39 12/18/2000*** 0.80 1.91 6.31 1 9/30/2000 0.80 3.01 7.16 23 9/30/1999 0.80 3.20 6.60 42 9/30/1998(g) 0.80 5.25 6.43 48 12/31/1997* 0.80 10.95 6.51 112 Admin Class 3/31/2003(f) 1.05 118.96 5.50 16 9/30/2002 +**** 1.05 192.21 5.62 39 J Class 3/31/2003(f) 1.30 1.40 5.27 16 9/30/2002+ 1.30 1.55 5.33 39 9/30/2001 1.30 1.71 5.65 15 9/30/2000 1.30 2.97 6.59 23 9/30/1999***** 1.30 2.16 6.11 42 U.S. Government Securities Fund Institutional Class 3/31/2003(f) 0.50% 1.19% 4.29% 13% 9/30/2002++ 0.50 1.16 4.58 101 9/30/2001 0.50 1.25 5.63 124 9/30/2000 0.50 1.24 6.17 86 9/30/1999 0.52 1.03 5.75 75 9/30/1998(g) 0.60 0.97 5.61 84 12/31/1997 0.60 1.23 6.29 156
+As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities for financial statement purposes only. For the year ended September 30, 2002, the effect of this change per share to the Institutional, Retail, Admin and J Classes net investment income and net realized and unrealized gain (loss) was less than $0.01. The ratio of net investment income to average net assets for the Institutional, Retail, Admin and J Classes decreased from 6.10 to 6.08%, 5.88% to 5.85%, 5.63% to 5.62%, 5.35% to 5.33%, respectively, on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. ++As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities and reclassifying paydown gains and losses to interest income for financial statement purposes only. For the year ended September 30, 2002, the effect of this change to the Fund was a decrease to net investment income by $0.06 per share and an increase to net realized and unrealized gain (loss) on investments by $0.06 per share. The ratio of net investment income to average net assets for the Fund decreased from 5.12% to 4.58% on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. *From commencement of class operations on January 2, 1997 through December 31, 1997. **From recommencement of class operations on January 31, 2002 through September 30, 2002. ***For the period from October 1, 2000 through December 18, 2000, Retail Class shares of the Loomis Sayles Investment Grade Bond Fund were converted into Institutional Class shares on December 18, 2000. ****From commencement of class operations on January 31, 2002 through September 30, 2002. *****From commencement of class operations on May 24, 1999 through September 30, 1999. (a)Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b)The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c)Annualized for periods less than one year. (d)Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (e)Total Return does not include the effect of any front end sales charges for the J Class. (f)For the six months ended March 31, 2003 (Unaudited). (g)For the nine months ended September 30, 1998. See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS 43 FUND AND MANAGER REVIEW Loomis Sayles Benchmark Core Bond Fund PORTFOLIO REVIEW | Last summer's flight-to-quality subsided during the six-month period ended March 31, 2003, as investors were on a quest for yield. Their pursuit led them to the corporate bond sector, which offered yield advantages. This sentiment helped the Fund's corporate bonds generate the strongest relative performance for the period. Throughout the six months we overweighted corporate bonds in anticipation of future improvements in the sector. Although credit quality continued to deteriorate, it did so at a much slower pace than in previous periods. In addition, managements demonstrated a willingness to improve their balance sheets through cost cutting, cash flow improvements, equity issuance and asset sales. In particular, corporate bonds in the telecommunication, cable and consumer finance industries posted strong results. In the telecommunication industry several depressed names recovered after managements addressed weak operating conditions and shored up their balance sheets. The cable and personal finance industries benefited from consolidation and improving investor sentiment. On the other hand, the Fund's auto industry bonds declined on an anticipated drop in consumer confidence. Bonds in the financials sector showed smaller gains than other corporate sectors due to their lower yields. These contributed to the Fund's six-month performance slightly lagging of the benchmark. The risk of negative returns brought on by potentially higher interest rates caused us to underweight the U.S. government sector. We also slightly underweighted mortgage-backed securities, hoping to avoid the possibility that a fast rise in interest rates would extend the average life of mortgages with lower prepayments. OUTLOOK | Near term, we believe that there will be market fluctuations caused by the day-to-day news out of Iraq and the impact on the U.S. dollar and oil market. Longer term, interest rates may increase, as the outcome of the war is clear and U.S. economic growth resumes. We believe the investment grade corporate bond sector remains most attractive, due to the belief that strengthening economic conditions ahead will lead to improved credit quality. Key Fund Facts Objective | High total return Strategy | Invests primarily in investment grade fixed income securities (including government, corporate, mortgage-backed and asset-backed securities) of any maturity Fund Inception Date | 4/24/96 Fund Registration Date | 3/7/97 Commencement of Operations of Class | Institutional: 4/24/96; Retail: 5/1/02; Admin: 5/1/02 Expense Ratio | Institutional: 0.45%; Retail: 0.70%; Admin: 0.95% Total Net Assets (all classes) | $36.8 million [Photo] Cliff Rowe Cliff has served as portfolio manager since February 28, 2003 [Photo] Kurt Wagner AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since Since 6 Months* 1 Year 5 Years Registration(b) Inception(b) Loomis Sayles Benchmark Core Bond Fund: Institutional 2.76% 10.09% 6.43% 7.00% 6.91% Retail(a) 2.60 9.79 6.16 6.72 6.63 Admin(a) 2.44 9.49 5.89 6.45 6.36 Lipper Intermediate Investment Grade Index(c) 3.92 10.27 6.76 7.17 7.25 Lehman Brothers Aggregate Index(c) 2.99 11.69 7.51 7.93 7.95
CUMULATIVE PERFORMANCE(d) Registration to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
3/7/97 3/98 3/99 3/00 3/01 3/02 3/03 Loomis Sayles Benchmark Core Bond Fund 10,000 11,043 11,720 11,729 13,228 13,699 15,083 Lipper Intermediate Investment Grade Index 10,000 10,987 11,625 11,784 13,180 13,821 15,243 Lehman Brothers Aggregate Index 10,000 11,074 11,792 12,012 13,518 14,241 15,905
CUMULATIVE PERFORMANCE(d) Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
4/24/96 3/97 3/98 3/99 3/00 3/01 3/02 3/03 Loomis Sayles Benchmark Core Bond Fund 10,000 10,438 11,642 12,356 12,365 13,945 14,441 15,900 Lipper Intermediate Investment Grade Index 10,000 10,537 11,702 12,382 12,551 14,038 14,720 16,235 Lehman Brothers Aggregate Index 10,000 10,550 11,815 12,580 12,815 14,422 15,193 16,968
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Performance shown for periods prior to the inception date of the Admin and Retail Classes (May 1, 2002) represents the performance of the Institutional Class of shares during the periods shown, adjusted to reflect the current levels of management and 12b-1 fees payable by the respective classes of shares. (b) Inception date of the Loomis Sayles Benchmark Core Bond Fund is April 24, 1996. Shares of the Fund were registered for offer and sale under the Securities Act of 1933 on March 7, 1997. In accordance with SEC regulations, performance information is provided for the period beginning on March 7, 1997 ("Registration"). Performance from inception is also provided for the convenience of our long term shareholders. (c) Since Index performance data is not available coincident with the Fund's inception and registration dates, comparative performance is presented from the month end closest to the Fund's inception and registration dates (April 30, 1996 and February 28, 1997, respectively). Please see page 50 for a description of the indexes and important risk disclosure. (d) Cumulative performance is shown for the Institutional Class of shares. Performance of the Retail and Admin Classes of shares would, due to the higher fees paid by the Retail and Admin Classes of shares, be lower. *Not annualized. FUND AND MANAGER REVIEW Loomis Sayles Core Plus Fixed Income Fund PORTFOLIO REVIEW | Lower-quality securities and previously out-of-favor sectors performed best during the six-month period ended March 31, 2003, as investors searched for higher-yielding assets. Signs that the economy may be on the mend combined with better market liquidity and stabilizing corporate balance sheets contributed to improved trading levels in much of the credit universe. Stabilizing fundamentals in the telecommunication and electric utilities sectors helped the continuing recovery in these sectors. Optimism toward an economic recovery led to good performance for cyclical industries, such as the chemical and paper industries. Solid operating results and a lack of high-profile credit problems among banks, brokerages and insurance companies led to solid results for the financial services sector. Australian dollar holdings benefited from a weakening U.S. dollar and a significant yield advantage versus comparable maturity investments available in the U.S. Mortgage-backed and agency securities outperformed U.S. Treasuries, given their yield advantages in a range-bound interest rate environment. With an overweight position in credit securities, the Fund performed well for the period, outperforming its benchmark index. In particular, the recovery of out-of-favor sectors, including telecommunications, as well as improved pricing on certain high yield bonds, helped contribute to the Fund's strong performance. Non-dollar exposure also was a positive influence, as the U.S. dollar declined against most other currencies. Concerns regarding the growing U.S. budget and trade deficits and lackluster economic growth fueled the dollar's decline. OUTLOOK | In the near term, we believe Treasury yields will remain range-bound and investors will continue to favor higher-yielding alternatives. Nevertheless, geopolitical and economic concerns may continue to create market volatility. Therefore, we plan at this time to maintain a well-diversified, high-quality (an average quality rating of AA), duration-neutral portfolio (duration refers to a portfolio's exposure to changing interest rates), with a modest bias to BBB- and BB-rated securities. We believe securities in this quality range are well positioned to weather the current challenging environment while providing incremental yield versus the broader market. Key Fund Facts Objective | High total return Strategy | Invests primarily in investment grade fixed income securities, although up to 25% of assets may be in lower-rated securities Fund Inception Date | 6/18/01 Expense Ratio | 0.45% Total Net Assets | $7.5 million [Photo] John Hyll [Photo] Peter Palfrey [Photo] Rick Raczkowski [Photo] Craig Smith AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003 Since 6 Months* 1 Year Inception -------------------------------------------------------------------------------- Loomis Sayles Core Plus Fixed Income Fund 4.86% 5.63% 4.32% Lipper Intermediate Investment Grade Index(a) 3.92 10.27 8.37 Lehman Brothers Aggregate Index(a) 2.99 11.69 9.39 CUMULATIVE PERFORMANCE Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
6/18/01 9/01 12/01 3/02 6/02 9/02 12/02 3/03 Loomis Sayles Core Plus Fixed Income Fund 10,000 10,435 10,447 10,439 10,708 11,077 11,314 11,513 Lipper Intermediate Investment Grade Index 10,000 10,300 10,304 10,210 10,143 10,284 10,535 10,784 Lehman Brothers Aggregate Index 10,000 10,461 10,466 10,476 10,863 11,361 11,540 11,700
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Since Index performance data is not available coincident with the Fund's inception date, comparative performance is presented from the month end closest to the Fund's inception date (June 30, 2001). Please see page 50 for a description of the indexes and important risk disclosure. *Not annualized. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 45 FUND AND MANAGER REVIEW Loomis Sayles Fixed Income Fund PORTFOLIO REVIEW | Our focus on corporate bonds (investment grade and high yield) and sovereign debt helped the Fund significantly outperform its benchmark, the Lehman Brothers Government/Credit Index, for the six-month period ended March 31, 2003. The bull market in U.S. Treasuries ended, as investors turned their attention to higher-yielding securities. Spreads on corporate bonds tightened, and the sector rebounded from last summer's lows. (Spreads refer to the difference in yield between non-U.S. Treasury securities and comparable-maturity U.S. Treasury bonds. When spreads tighten, prices on non-Treasury bonds increase.) Investors also poured money into the high yield market, once they were convinced that issuers were focusing on debt reduction and free cash flow. In addition, the bond default rate continued to improve. Within the sovereign debt sector, the Fund continued to benefit from growth opportunities internationally. In particular, the governments of Brazil, South Africa and Peru gained significantly during the period. The yield curve remained steep, and we positioned our portfolios to take advantage of the higher yields available from longer-term bonds. At the end of the six-month period the Fund's average maturity was approximately 12 years. We expect the short end of the yield curve to steepen somewhat throughout the next few months, assuming an economic recovery and continued success in Iraq. We plan to keep the Fund's average maturity as long as possible while maintaining a neutral exposure to interest rate risk. OUTLOOK | We believe high yield bonds offer significant excess return potential versus U.S. Treasuries and investment grade corporate securities. Although valuations on investment grade corporate bonds remain attractive, valuations on high yield securities remain even more compelling. We also may increase exposure to mortgage-backed bonds, as long as the economy improves and interest rates rise--factors that should make mortgages more appealing. In addition, we expect to continue investing in Canadian dollar-denominated bonds, because the Canadian dollar still looks attractive compared to its historical levels. We also will watch for opportunities to take advantage of Euro bonds, due to expectations for weak economic growth, declining inflation and falling interest rates abroad. In terms of sovereign debt, we believe Uruguay appears undervalued, so we will look for opportunities to increase portfolio exposure to this country. Key Fund Facts Objective | High total investment return Strategy | Invests primarily in fixed income securities, up to 35% of assets may be invested in lower rated fixed income securities and up to 20% in preferred stocks Fund Inception Date | 1/17/95 Fund Registration Date | 3/7/97 Expense Ratio | 0.65% Total Net Assets | $366.3 million [Photo] Daniel Fuss AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since Since 6 Months* 1 Year 5 Years Registration(a) Inception(a) ---------------------------------------------------------------------------------------------------------- Loomis Sayles Fixed Income Fund 14.70% 17.05% 6.04% 7.51% 10.11% Lipper BBB Rated Funds Index(b) 5.67 10.24 5.58 6.41 7.57 Lehman Brothers Government/Credit Index(b) 3.40 13.40 7.65 8.09 8.44
CUMULATIVE PERFORMANCE Registration to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
3/7/97 3/98 3/99 3/00 3/01 3/02 3/03 Loomis Sayles Fixed Income Fund 10,000 11,572 11,927 12,480 12,652 13,254 15,514 Lipper BBB Rated Funds Index 10,000 11,123 11,562 11,670 12,771 13,237 14,592 Lehman Brothers Government/Credit Index 10,000 11,105 11,833 12,034 13,527 14,154 16,049
CUMULATIVE PERFORMANCE Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
1/17/95 3/95 3/96 3/97 3/98 3/99 3/00 3/01 3/02 3/03 Lipper BBB Rated Funds 10,000 10,309 11,585 12,246 13,834 14,380 14,515 15,884 16,464 18,149 Loomis Sayles Fixed Income Fund 10,000 10,500 12,563 14,067 16,427 16,930 17,715 17,959 18,814 22,022 Index Lehman Brothers Government/Credit Index 10,000 10,300 11,426 11,935 13,414 14,293 14,536 16,339 17,097 19,386
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Inception date of the Loomis Sayles Fixed Income Fund is January 17, 1995. Shares of the Fund were registered for offer and sale under the Securities Act of 1933 on March 7, 1997. In accordance with SEC regulations, performance information is provided for the period beginning on March 7, 1997 ("Registration"). Performance from inception is also provided for the convenience of our long term shareholders. (b) Since Index performance data is not available coincident with the Fund's inception and registration dates, comparative performance is presented from the month end closest to the Fund's inception and registration dates (January 31, 1995 and February 28, 1997, respectively). Please see page 50 for a description of the indexes and important risk disclosure. *Not annualized. FUND AND MANAGER REVIEW Loomis Sayles Institutional High Income Fund PORTFOLIO REVIEW | With the perception that corporations were focusing on debt reduction and free cash flow, investors poured money into high yield bonds during the six-month period ended March 31, 2003. Although the default rate has fallen from approximately 10% in mid-2002 to approximately 7% today, it's still twice as high as it was in the late 1990s. Our bottom-up, bond-picker's approach to portfolio management, which capitalizes on our commitment to credit research, helped us in this environment. We were able to avoid many of the hazards in the high yield market. The yield curve remained steep, yet the Fund's average maturity declined from 13.4 years to 12.6 years during the period. We wanted to be as long as possible to take advantage of the higher yields offered by longer maturities. Despite expectations for improving growth, we believe the Federal Reserve Board may be slow to tighten rates, because inflation remains low, and economic activity easily could prove to be much weaker than forecasters estimate it will be. The Fund's strong performance as compared to its benchmark, the Merrill Lynch U.S. High Yield Master Cash Pay Only ("CPO") Index, was the result of good returns in several sectors. For example, communication bonds led the way, as capital-spending cuts sparked an explosion of free cash flow. This allowed the balance sheets of most diversified telecommunications companies to remain healthy. The technology sector also generated solid performance, due to lower capital expenditures and continued margin expansion. In addition, non-corporate bonds performed well, led by strong performance from Brazilian and South African government bonds. OUTLOOK | For the short term, we still expect some spread tightening for corporate bonds. Long-term, our forecast depends on the economy and overall growth. If we see sustained growth, the Federal Reserve Board may raise rates, and Treasury returns will suffer. We believe lower-tier, high yield credits should outperform their higher-quality counterparts, and all corporate sectors should outperform Treasuries. We're currently favoring U.S. corporate securities in depressed, cyclical industries that may benefit from an improving economy. We also look for performance advantages from the survivors of the telecommunication meltdown in the U.S. and Europe. Key Fund Facts Objective | High total investment return Strategy | Invests in primarily lower rated fixed income securities and other securities expected to produce a relatively high level of income including preferred and common stocks Fund Inception Date | 6/5/96 Fund Registration Date | 3/7/97 Expense Ratio | 0.75% Total Net Assets | $69.1 million [Photo] Daniel Fuss AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since Since 6 Months* 1 Year 5 Years Registration(a) Inception(a) Loomis Sayles Institutional High Income Fund 23.32% 9.25% 0.62% 3.13% 3.79% Lipper High Yield Bond Funds Index(b) 12.66 3.18 -1.47 1.09 2.57 Merrill Lynch U.S. High Yield Master CPO Index(b) 14.03 3.65 2.04 3.81 4.98
CUMULATIVE PERFORMANCE Registration to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
3/7/97 3/98 3/99 3/00 3/01 3/02 3/03 Loomis Sayles Institutional High Income Fund 10,000 11,691 10,643 11,913 11,352 11,039 12,059 Lipper High Yield Bond Funds Index 10,000 11,506 11,364 11,365 10,776 10,354 10,684 Merrill Lynch U.S. High Yield Master Cash Pay Only Index 10,000 11,349 11,570 11,416 11,880 12,113 12,550
CUMULATIVE PERFORMANCE Inception to March 31, 2003 [THE FOLLOWING DATA WAS REPRESENTED AS A PERFORMANCE GRAPH IN THE PRINTED MATERIAL]
6/5/96 3/97 3/98 3/99 3/00 3/01 3/02 3/03 Lipper High Yield Bond Funds Index 10,000 10,987 12,852 12,982 12,599 11,842 11,650 11,896 Loomis Sayles Institutional High Income Fund 10,000 10,689 12,462 12,093 12,612 11,895 11,999 12,891 Merrill Lynch U.S. High Yield Master Cash Pay Only Index 10,000 11,102 12,658 13,044 12,677 13,044 13,660 13,931
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Inception date of the Loomis Sayles Institutional High Income Fund is June 5, 1996. Shares of the Fund were registered for offer and sale under the Securities Act of 1933 on March 7, 1997. In accordance with SEC regulations, performance information is provided for the period beginning on March 7, 1997 ("Registration"). Performance from inception is also provided for the convenience of our long term shareholders. (b) Since Index performance data is not available coincident with the Fund's inception and registration dates, comparative performance is presented from the month end closest to the Fund's inception and registration dates (May 31, 1996 and February 28, 1997, respectively). Please see page 50 for a description of the indexes and important risk disclosure. *Not annualized. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 47 FUND AND MANAGER REVIEW Loomis Sayles Intermediate Duration Fixed Income Fund PORTFOLIO REVIEW | The communication and consumer non-cyclical industries generated leading performance for the Fund during the six-month period ended March 31, 2003. In the communication sector, free cash flow in the telecommunication industry exploded due to tremendous capital spending budget cuts. This kept the balance sheets of most diversified telecom companies in solid shape. Technology bonds also experienced good performance due to lower capital expenditures and continued margin expansion. Within the consumer noncyclical sector, companies attached to the healthcare industry benefited from the industry's recession-resistant attributes as well as an aging population. Given their strong yield advantages and our outlook for an eventual economic recovery, we favored lower-quality investment grade bonds and high yield securities during the period. This strategy helped the Fund outperform its benchmark, the Lehman Brothers Government/Credit Intermediate Index, during the six-month period. We believe these securities will continue to offer excess return potential relative to U.S. Treasuries, due to their higher yields, strong technical influences, and modestly improving credit trends. With U.S. Treasury yields at all-time lows and a swift and successful campaign in Iraq, it appears that the bull market in Treasuries may be in its final stage. Furthermore, Treasuries may present the greatest risk going forward. The relatively low yields on Treasuries offer little protection against principal loss in the event of rising interest rates. OUTLOOK | Although geopolitical risk remains the major concern facing the market, we assume it will diminish in coming months. We look for a higher, flatter U.S. yield curve by year-end, which would hurt Treasury returns. There are potentially better opportunities in government markets around the globe, notably in Europe. Mortgage-backed securities returns are less compelling, given extension risk. We anticipate structuring the portfolio with an underweight in Treasuries and a neutral to underweighted bias for mortgage-backed securities. The only sector we are considering overweighting at this time is credit, which represents a reversal of the market's previous flight-to-quality sentiment. Our expectations for a stronger economy along with favorable technical influences and yield advantages suggest that lower-quality sectors may offer the best return potential. Key Fund Facts Objective | Above-average total return Strategy | Invests primarily in investment grade fixed income securities Fund Inception Date | 1/28/98 Expense Ratio | 0.45% Total Net Assets | $35.5 million [Photo] Steven Kaseta AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since 6 Months* 1 Year 5 Years Inception(a) --------------------------------------------------------------------------------------- Loomis Sayles Intermediate Duration Fixed Income Fund 5.74% 7.58% 6.22% 6.17% Lipper Intermediate Investment Grade Index(b) 3.92 10.27 6.76 6.58 Lehman Brothers Government/ Credit Intermediate Index(b) 3.23 11.74 7.47 7.27
CUMULATIVE PERFORMANCE Inception to March 31, 2003 [The following table was depicted as a line graph in the printed material.]
1/28/1998 03/31/98 03/31/99 3/31/2000 3/31/2001 3/31/2002 3/31/2003 Loomis Sayles Intermediate Duration Fixed Income Fund 10,000 10,080 10,460 10,830 12,086 12,669 13,628 Lipper Intermediate Investment Grade Index(b) 10,000 10,022 10,604 10,750 12,023 12,607 13,904 Lehman Brothers Government/ Credit Intermediate Index(b) 10,000 10,024 10,683 10,906 12,233 12,863 14,372
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Inception date of the Loomis Sayles Intermediate Duration Fixed Income Fund is January 28, 1998. (b) Since Index performance data is not available coincident with the Fund's inception and registration dates, comparative performance is presented from the month end closest to the Fund's inception and registration dates (January 31, 1998). Please see page 50 for a description of the indexes and important risk disclosure. *Not annualized. FUND AND MANAGER REVIEW Loomis Sayles Investment Grade Fixed Income Fund PORTFOLIO REVIEW | Corporate bonds generated the best performance within the bond market during the six-month period ended March 31, 2003, as investors' risk-aversion subsided, overall corporate credit quality improved and the substantial yield advantage of corporate bonds attracted buyer interest. In particular, the Fund benefited from a strong performance rebound in the wireless telecommunication industry. Additionally, the Fund's wire-line telecommunication sector performed well, as bond prices rebounded from oversold levels and the entertainment sector enjoyed strong performance. Together, results from these key sectors helped the Fund outperform its benchmark, the Lehman Brothers Government/Credit Index, for the six-month period. The Fund's airline- and transportation services bonds generated the worst relative performance for the period. The airline and air cargo industries continued to experience the worst operating environment in history. Continued weakness in the global economy, lingering fears of terrorism, and steep fuel prices have left major industry players in fragile financial condition. In addition, insurance companies also felt the effects of the weak economy, as premium growth rates were low and incidence and benefit ratios were high. This combination of negative forces had a detrimental impact on the industry's operating performance and, ultimately, its bonds. OUTLOOK | We believe corporate America's extensive balance-sheet rehabilitation process may enhance the corporate sector's total return potential. Emphasis on debt reduction is evident in improving leverage ratios and better overall corporate credit quality. Also the widely anticipated recovery in economic activity should promote stronger operating results and earnings growth, which, in turn, should enhance corporate credit quality and corporate bond performance. We are less optimistic regarding the prospects for the government market, though, as sustained economic growth likely will force interest rates higher. We believe the Fund is positioned to benefit from the expected outperformance of corporate bonds relative to Treasuries, particularly considering the corporate sector's strong yield advantages. The Fund also should benefit from the continued weakening of the U.S. dollar. The Fund maintains a substantial exposure to a variety of foreign currencies that should benefit if the value of the U.S. dollar declines further. Key Fund Facts Objective | Above-average total investment return Strategy | Invests in primarily investment grade fixed income securities, although up to 10% of assets may be in lower rated fixed income securities and up to 10% in preferred stock Fund Inception Date | 7/1/94 Fund Registration Date | 3/7/97 Expense Ratio | 0.55% Total Net Assets | $132.2 million [Photo] Daniel Fuss [Photo] Steven Kaseta AVERAGE ANNUAL TOTAL RETURNS Periods Ended March 31, 2003
Since Since 6 Months* 1 Year 5 Years Registration(a) Inception(a) ------------------------------------------------------------------------------------------------- Loomis Sayles Investment Grade Fixed Income Fund 9.75% 17.10% 7.71% 8.50% 10.39% Lipper BBB Rated Funds Index(b) 5.67 10.24 5.58 6.41 7.32 Lehman Brothers Government/ Credit Index(b) 3.40 13.40 7.65 8.09 8.20
[The following tables were depicted as line graphs in the printed material.] CUMULATIVE PERFORMANCE Registration to March 31, 2003
03/7/1997 03/31/98 03/31/99 3/31/2000 3/31/2001 3/31/2002 3/31/2003 Loomis Sayles Investment Grade Fixed Income Fund 10,000 11,317 11,711 12,175 13,010 14,012 16,409 Lipper BBB Rated Funds Index 10,000 11,123 11,562 11,670 12,771 13,237 14,592 Lehman Brothers Government/Credit Index 10,000 11,105 11,833 12,034 13,527 14,154 16,049
CUMULATIVE PERFORMANCE Inception to March 31, 2003
7/1/1994 03/31/95 03/31/96 03/31/97 03/31/98 03/31/99 3/31/2000 3/31/2001 3/31/2002 3/31/2003 Loomis Sayles Investment Grade Fixed Income Fund 10,000 10,753 12,909 14,233 16,372 16,942 17,613 18,822 20,272 23,739 Lipper BBB Rated Funds Index 10,000 10,539 11,844 12,520 14,144 14,702 14,839 16,239 16,832 18,555 Lehman Brothers Government/Credit Index 10,000 10,589 11,746 12,270 13,790 14,693 14,943 16,797 17,576 19,929
Past performance is no guarantee of future performance. Average total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Performance data reflects certain fee waivers and reimbursements. Without such waivers, performance and rankings would be lower. (a) Inception date of the Loomis Sayles Investment Grade Fixed Income Fund is July 1, 1994. Shares of the Fund were registered for offer and sale under the Securities Act of 1933 on March 7, 1997. In accordance with SEC regulations, performance information is provided for the period beginning on March 7, 1997 ("Registration"). Performance from inception is also provided for the convenience of our long term shareholders. (b) Since Index performance data is not available coincident with the Fund's inception and registration dates, comparative performance is presented from the month end closest to the Fund's inception and registration dates (June 30, 1994 and February 28, 1997, respectively). Please see page 50 for a description of the indexes and important risk disclosure. *Not annualized. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 49 DISCLOSURE Loomis Sayles Benchmark Core Fund, Loomis Sayles Core Plus Fixed Income Fund, Loomis Sayles Fixed Income Fund, Loomis Sayles Institutional High Income Fund, Loomis Sayles Investment Grade Fixed Income Fund High yield securities are subject to a high degree of market and credit risk. In addition, the secondary market for these securities may lack liquidity which, in turn, may adversely affect the value of these securities and that of the fund. Loomis Sayles Benchmark Core Fund, Loomis Sayles Core Plus Fixed Income Fund, Loomis Sayles Fixed Income Fund, Loomis Sayles Institutional High Income Fund, Loomis Sayles Intermediate Duration Fixed Income Fund, Loomis Sayles Investment Grade Fixed Income Fund Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the Fund. Index Definitions Lipper Intermediate Investment Grade Index is an equally weighted unmanaged index of typically the 30 largest mutual funds with the intermediate investment grade debt funds investment objective. Lipper BBB Rated Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the corporate debt funds BBB-rated investment objective. Lipper High Yield Bond Funds Index is an equally weighted unmanaged index of typically the 30 largest mutual funds within the high current yield funds investment objective. Lipper Averages consist of all mutual funds in a stated category. Source: Lipper Inc. Lehman Brothers Aggregate Index covers the U.S. investment grade fixed-rate bond market, including government and credit securities, agency mortgage pass-through securities, asset-backed securities and commercial mortgage-based securities. Lehman Brothers Government/Credit Index includes treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government) as well as other publicly issued investment grade corporate and non-corporate debentures that meet specified maturity, liquidity, and quality requirements. Merrill Lynch U.S. High Yield Master Cash Pay Only Index is an unmanaged index consisting of fixed-rate, coupon-bearing bonds with an outstanding par which is greater than or equal to $50 million, a maturity range greater than or equal to one year and must be less than BBB/Baa3 rated but not in default. Lehman Brothers Government/Credit Intermediate Index includes securities which have a remaining maturity of 5-10 years and includes treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government), as well as other publicly issued investment grade corporate and non-corporate debentures that meet specified maturity, liquidity, and quality requirements. The Index returns have not been reduced for ongoing management and operating expenses applicable to mutual fund investments. Returns are adjusted for the reinvestment of capital gains distributions and income dividends. It is not possible to invest directly in an index. THIS PAGE INTENTIONALLY LEFT BLANK LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 51 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Benchmark Core Bond Fund Face Amount Value + -------------------------------------------------------------------------------- BONDS AND NOTES--95.5% of net assets Asset-Backed Securities--3.4% Chase Manhattan Auto Owner Trust, Series 2000-A, Class A4, 6.260%, 6/15/07 $ 220,000 $ 228,875 Chase Manhattan Auto Owner Trust, Series 2002-B, Class A3, 3.580%, 5/15/06 175,000 179,403 Comed Transitional Funding Trust, Class A, 5.630%, 6/25/09 540,000 590,946 Residential Funding Mortgage Securities, Series 2002-HI3, Class A5, 5.420%, 2/25/16 175,000 185,027 Residential Funding Mortgage, Inc., 6.750%, 12/25/14 76,306 78,109 ---------- 1,262,360 ---------- Auto & Related--0.8% Ford Motor Co., 6.375%, 2/01/29 100,000 67,513 General Motors Corp., 7.200%, 1/15/11 225,000 224,709 ---------- 292,222 ---------- Banking & Finance--2.7% Bank of America Corp., 7.400%, 1/15/11 280,000 333,589 J.P. Morgan Chase & Co., 6.750%, 2/01/11 225,000 249,197 U.S. Bancorp, 5.100%, 7/15/07 385,000 415,346 ---------- 998,132 ---------- Banks/Savings & Loans--2.1% Wachovia Corp., 4.950%, 11/01/06 340,000 365,395 Washington Mutual, Inc., 4.375%, 1/15/08 190,000 196,010 Wells Fargo & Co., 3.500%, 4/04/08 195,000 196,173 ---------- 757,578 ---------- Cable--0.7% Comcast Cable Communications, 6.750%, 1/30/11 225,000 242,622 ---------- Chemicals--0.7% Dow Chemical Co., 5.750%, 11/15/09 75,000 77,037 Rohm & Haas Co., 7.850%, 7/15/29 133,000 162,666 ---------- 239,703 ---------- Computers--0.9% International Business Machines Corp., 4.750%, 11/29/12 305,000 313,307 ---------- Entertainment--0.7% Time Warner, Inc., 8.180%, 8/15/07 225,000 251,792 ---------- Financial Services--6.1% Aristar, Inc., 6.875%, 5/15/11 150,000 170,899 Capital One Bank, 6.500%, 7/30/04 225,000 226,047 CIT Group, Inc., 6.500%, 2/07/06 225,000 239,787 Countrywide Home Loans, Inc., 5.500%, 2/01/07 395,000 422,400 General Electric Capital Corp., 6.750%, 3/15/32 395,000 444,905 Household Finance Corp., 7.200%, 7/15/06 100,000 111,854 International Lease Finance Corp., 6.375%, 3/15/09 180,000 193,998 John Deere Capital Corp., 5.100%, 1/15/13 215,000 219,737 John Deere Capital Corp., 7.000%, 3/15/12 170,000 196,779 ---------- 2,226,406 ---------- Food--1.2% ConAgra Foods, Inc., 6.750%, 9/15/11 115,000 129,403 Kellogg Co., Series B, 6.600%, 4/01/11 280,000 319,115 ---------- 448,518 ---------- Face Amount Value + -------------------------------------------------------------------------------- BONDS AND NOTES--continued Forest & Paper Products--1.1% Boise Cascade Corp., 9.800%, 4/15/03 $ 200,000 $ 200,314 International Paper Co., 6.750%, 9/01/11 100,000 112,109 Weyerhaeuser Co., 5.950%, 11/01/08 100,000 107,836 ---------- 420,259 ---------- Government Agencies--12.4% Federal Farm Credit Bank, 3.875%, 12/15/04 450,000 466,927 Federal Home Loan Mortgage Corp., 3.250%, 11/15/04 1,300,000 1,337,123 Federal Home Loan Mortgage Corp., 5.875%, 3/21/11 340,000 375,016 Federal Home Loan Mortgage Corp., 6.250%, 7/15/32 735,000 834,613 Federal National Mortgage Association, 5.500%, 5/02/06 340,000 369,869 Federal National Mortgage Association, 5.625%, 5/14/04 615,000 644,762 Federal National Mortgage Association, 7.125%, 6/15/10 450,000 544,752 ---------- 4,573,062 ---------- Investment Banking--2.3% Goldman Sachs Group, Inc., 7.350%, 10/01/09 225,000 263,159 Lehman Brothers Holdings, Inc., 7.375%, 1/15/07 305,000 348,183 Morgan Stanley Group, Inc., 6.875%, 3/01/07 225,000 253,237 ---------- 864,579 ---------- Machinery--1.0% Caterpillar Financial Services Corp., 4.875%, 6/15/07 340,000 362,993 ---------- Metals--1.2% Alcoa, Inc., 6.000%, 1/15/12 395,000 429,498 ---------- Mortgage Related--35.1% Federal Home Loan Mortgage Corp., 6.500%, 12/15/14 150,000 158,321 Federal Home Loan Mortgage Corp., 6.500%, 1/01/27 34,668 36,245 Federal Home Loan Mortgage Corp., 8.000%, 7/01/25 5,724 6,231 Federal Home Loan Mortgage Corp., 8.000%, 12/01/26 13,881 15,087 Federal Home Loan Mortgage Corporation, 6.000%, 5/01/16 575,057 601,036 Federal Home Loan Mortgage Corporation, 6.000%, 12/01/32 568,318 589,415 Federal Home Loan Mortgage Corporation, 6.500%, 5/01/32 605,512 631,707 Federal Home Loan Mortgage Corporation, 7.500%, 9/01/08 461,673 492,200 Federal National Mortgage Association, 5.500%, 1/01/18 573,670 595,943 Federal National Mortgage Association, 6.000%, 4/01/16 233,240 244,204 Federal National Mortgage Association, 6.000%, 5/01/16 305,110 319,385 Federal National Mortgage Association, 6.000%, 9/01/16 242,512 253,857 Federal National Mortgage Association, 6.000%, 11/01/16 279,651 292,734 Federal National Mortgage Association, 6.000%, 10/01/17 898,056 939,731 Federal National Mortgage Association, 6.000%, 11/01/17 559,548 585,515 Federal National Mortgage Association, 6.000%, 6/01/32 288,151 299,119 Federal National Mortgage Association, 6.500%, 11/25/14 170,000 179,122 Federal National Mortgage Association, 6.500%, 10/01/31 327,566 341,948 Federal National Mortgage Association, 6.500%, 12/01/31 304,833 318,218 Federal National Mortgage Association, 6.500%, 6/01/32 1,184,561 1,236,567 Federal National Mortgage Association, 6.500%, 7/01/32 70,626 73,727 Federal National Mortgage Association, 6.500%, 8/01/32 615,564 642,589 Federal National Mortgage Association, 6.500%, 9/01/32 260,342 271,771 Federal National Mortgage Association, 7.000%, 4/01/16 311,175 332,173 Federal National Mortgage Association, 7.500%, 1/01/27 26,378 28,197 Federal National Mortgage Association, 7.500%, 12/01/30 112,052 119,437 Federal National Mortgage Association, 7.500%, 6/01/31 75,768 80,762 Federal National Mortgage Association, 7.500%, 3/01/32 203,992 217,349 Federal National Mortgage Association, 7.500%, 5/01/32 533,742 568,693 LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 53 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Benchmark Core Bond Fund--continued
Face Amount Value + ------------------------------------------------------------------------------------ BONDS AND NOTES--continued Mortgage Related--continued Federal National Mortgage Association, 8.000%, 6/01/15 $ 173,909 $ 186,772 Government National Mortgage Association, 6.000%, 1/15/33 574,215 600,134 Government National Mortgage Association, 6.500%, 4/15/26 44,626 47,055 Government National Mortgage Association, 6.500%, 5/15/32 430,172 452,275 Government National Mortgage Association, 6.500%, 10/15/32 509,356 535,528 Government National Mortgage Association, 7.000%, 4/15/31 123,031 130,565 Government National Mortgage Association, 7.000%, 7/15/31 148,168 157,241 Government National Mortgage Association, 8.500%, 4/15/23 19,668 21,732 Government National Mortgage Association, 8.500%, 4/15/30 91,686 99,713 Government National Mortgage Association, 9.500%, 9/15/20 28,662 32,368 Residential Asset Securitization Trust, Series 2002-A5, Class A2, 5.820%, 1/25/27 175,000 176,770 ----------- 12,911,436 ----------- Natural Gas--0.3% Columbia Gas Systems, Inc., 7.050%, 11/28/07 90,000 98,402 ----------- Oil & Gas Drilling Equipment--1.0% Ensco International, Inc., 6.750%, 11/15/07 100,000 111,611 Transocean Sedco Forex, Inc., 6.750%, 4/15/05 100,000 108,537 Transocean Sedco Forex, Inc., 6.950%, 4/15/08 125,000 142,491 ----------- 362,639 ----------- Oil & Gas Exploration--1.6% Devon Financing Corp., 6.875%, 9/30/11 170,000 193,474 Union Oil Co., 7.500%, 2/15/29 360,000 412,455 ----------- 605,929 ----------- Oil & Gas--Major Integrated--0.4% Conoco Funding Co., 6.350%, 10/15/11 145,000 163,941 ----------- Rail--Transport--0.7% Norfolk Southern Corp., 6.750%, 2/15/11 225,000 254,868 ----------- Real Estate Investment Trusts--0.7% Simon Property Group LP, 6.375%, 11/15/07 225,000 244,458 ----------- Retail--General--0.9% Target Corp, 3.375%, 3/01/08 350,000 348,927 ----------- Supermarkets--0.3% Kroger Co., 5.500%, 2/01/13 115,000 117,264 ----------- Telecommunications--1.4% British Telecommunications Plc, 8.875%, 12/15/30 160,000 205,304 Sprint Capital Corp., 6.125%, 11/15/08 35,000 34,650 Sprint Capital Corp., 7.125%, 1/30/06 50,000 52,000 Verizon New Jersey, Inc., 5.875%, 1/17/12 106,000 114,534 Verizon Pennsylvania, Inc., Series A, 5.650%, 11/15/11 99,000 105,573 ----------- 512,061 ----------- Telecommunications--Wireless--0.2% AT&T Wireless Services, Inc., 7.875%, 3/01/11 80,000 89,476 U.S. Government--13.1% U.S. Treasury Bonds, 5.375%, 2/15/31 300,000 324,516 U.S. Treasury Bonds, 6.000%, 2/15/26 1,340,000 1,535,347 U.S. Treasury Bonds, 7.125%, 2/15/23 690,000 888,887 U.S. Treasury Bonds, 7.500%, 11/15/16 395,000 518,792 U.S. Treasury Notes, 1.875%, 9/30/04 775,000 781,327
Face Amount Value + ---------------------------------------------------------------------------------- BONDS AND NOTES--continued U.S. Government--continued U.S. Treasury Notes, 3.500%, 11/15/06 $ 115,000 $ 119,842 U.S. Treasury Notes, 4.625%, 5/15/06 600,000 646,594 ----------- 4,815,305 ----------- Utilities--Electric--2.5% Consolidated Edison Company of New York, 5.625%, 7/01/12 100,000 107,875 Dominion Resources, Inc., 5.700%, 9/17/12 180,000 188,664 Dominion Resources, Inc., Series B, 6.250%, 6/30/12 15,000 16,208 Exelon Corp., 6.750%, 5/01/11 100,000 112,406 MidAmerican Energy Holdings Co., 6.375%, 6/15/06 200,000 221,155 Progress Energy, Inc., 6.750%, 3/01/06 260,000 284,383 ----------- 930,691 ----------- TOTAL BONDS AND NOTES (Identified Cost $34,474,803) 35,138,428 ----------- SHORT-TERM INVESTMENT--3.6% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $1,334,019 on 4/01/03 collateralized by $925,000 U.S. Treasury Bond, 8.875% due 8/15/17 with a value of $1,367,271 1,334,000 1,334,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,334,000) 1,334,000 ----------- TOTAL INVESTMENTS--99.1% (Identified Cost $35,808,803)@ 36,472,428 Cash and Other Assets, Less Liabilities--0.9% 314,261 ----------- NET ASSETS--100% $36,786,689 ===========
+ See Note 1. @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $35,872,689 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $702,592 and $102,853, respectively, resulting in net unrealized appreciation of $599,739. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 55 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Core Plus Fixed Income Fund Face Amount Value + -------------------------------------------------------------------------------- BONDS AND NOTES--95.9% of net assets Aerospace/Defense--1.1% Raytheon Co., 8.200%, 3/01/06 USD 70,000 $ 79,001 -------- Airlines--0.4% Delta Air Lines, Inc., 7.700%, 12/15/05 50,000 29,500 -------- Auto & Related--0.4% Navistar International Corp., Series B, 8.000%, 2/01/08 30,000 27,450 -------- Banking & Finance--0.8% J.P. Morgan Chase & Co., 5.750%, 1/02/13 60,000 62,861 -------- Banks/Savings & Loans--1.3% Washington Mutual, Inc., 4.375%, 1/15/08 95,000 98,005 -------- Cable--1.5% Comcast Cable Communications, 6.750%, 1/30/11 65,000 70,091 CSC Holdings, Inc., 7.250%, 7/15/08 45,000 44,325 -------- 114,416 -------- Chemicals--1.9% Dow Chemical Co., 5.750%, 11/15/09 45,000 46,222 IMC Global, Inc., 7.625%, 11/01/05 50,000 50,500 Lyondell Chemical Co., 10.875%, 5/01/09 50,000 46,500 -------- 143,222 -------- Commercial Services--0.6% Aramark Services, Inc., 6.375%, 2/15/08 40,000 42,100 -------- Entertainment--1.3% AOL Time Warner, Inc., 6.150%, 5/01/07 95,000 100,736 -------- Environmental Services--1.7% Allied Waste North America, Inc., Series B, 10.000%, 8/01/09 50,000 51,875 Waste Management, Inc., 7.000%, 10/01/04 70,000 73,913 -------- 125,788 -------- Financial Services--7.7% CIT Group, Inc., 7.750%, 4/02/12 110,000 123,070 Ford Motor Credit Co., 7.375%, 2/01/11 70,000 65,225 General Electric Capital Corp., 5.450%, 1/15/13 80,000 83,768 General Motors Acceptance Corp., 6.750%, 1/15/06 65,000 67,667 Household Finance Corp., 5.750%, 1/30/07 70,000 75,353 International Lease Finance Corp., 5.625%, 6/01/07 155,000 162,579 -------- 577,662 -------- Food--0.6% Dean Foods Co., 6.900%, 10/15/17 25,000 23,125 Dean Foods Co., 8.150%, 8/01/07 20,000 21,400 -------- 44,525 -------- Foreign Government/Agency--1.8% PEMEX Project Funding Master Trust, 7.875%, 2/01/09 144A 120,000 132,150 -------- Forest & Paper Products--0.7% Abitibi-Consolidated, Inc., 8.550%, 8/01/10** CAD 10,000 10,981 Georgia-Pacific Corp., 7.500%, 5/15/06 USD 45,000 43,425 -------- 54,406 -------- Face Amount Value + -------------------------------------------------------------------------------- BONDS AND NOTES--continued Government Agencies--3.5% Federal National Mortgage Association, 4.375%, 10/15/06 USD 250,000 $ 266,299 ---------- Healthcare--Services--1.2% HCA, Inc., 6.950%, 5/01/12 85,000 91,075 ---------- Insurance--1.9% Safeco Capital Trust I, 8.072%, 7/15/37 90,000 94,706 UnumProvident Corp., 7.625%, 3/01/11 50,000 48,250 ---------- 142,956 ---------- Investment Banking--1.3% Goldman Sachs Group, Inc., 6.600%, 1/15/12 85,000 94,930 ---------- Machinery--0.3% Case Corp., 7.250%, 8/01/05 10,000 9,450 Case Corp., Series B, 6.250%, 12/01/03 10,000 9,950 ---------- 19,400 ---------- Mortgage Related--24.8% Federal Home Loan Mortgage Corp., 6.500%, 7/01/29 56,329 58,787 Federal National Mortgage Association, 6.000%, 12/01/16 269,279 281,877 Federal National Mortgage Association, 6.000%, 8/01/31 312,973 324,882 Federal National Mortgage Association, 6.500%, 7/01/14 36,879 39,080 Federal National Mortgage Association, 6.500%, 6/01/31 182,033 190,025 Federal National Mortgage Association, 6.500%, 12/01/31 195,004 203,566 Federal National Mortgage Association, 6.500%, 4/01/32 86,674 90,480 Federal National Mortgage Association, 7.500%, 4/01/17 271,141 290,836 Federal National Mortgage Association, 7.500%, 3/01/32 72,442 77,216 Government National Mortgage Association, 6.000%, 3/15/31 60,677 63,416 Government National Mortgage Association, 6.500%, 10/15/28 40,192 42,332 Government National Mortgage Association, 6.500%, 9/15/32 97,985 103,019 Government National Mortgage Association, 7.000%, 9/15/29 72,065 76,558 Government National Mortgage Association, 8.000%, 9/15/26 20,119 21,953 ---------- 1,864,027 ---------- Natural Gas--1.0% Kinder Morgan Energy Partners, LP, 7.125%, 3/15/12 65,000 74,513 ---------- Rail--Transport--0.3% CSX Corp., 4.875%, 11/01/09 25,000 25,808 ---------- Retail--Food & Drug--1.7% Delhaize America, Inc., 8.125%, 4/15/11 80,000 81,200 Southland Corp., 4.500%, 6/15/04 50,000 49,250 ---------- 130,450 ---------- LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 57 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Core Plus Fixed Income Fund--continued
Face Amount Value + ----------------------------------------------------------------------------------------- BONDS AND NOTES--continued Supranational--2.5% International Bank for Reconstruction & Development, 5.500%, 5/14/03 AUD 305,000 $ 184,446 ----------- Telecommunications--2.6% AT&T Corp., 8.500%, 11/15/31 USD 30,000 32,249 AT&T Wireless Services, Inc., 8.750%, 3/01/31 45,000 51,604 Citizens Communications Co., 9.250%, 5/15/11 30,000 37,680 Sprint Capital Corp., 7.125%, 1/30/06 10,000 10,400 Sprint Capital Corp., 7.625%, 1/30/11 40,000 41,000 Telus Corp., 8.000%, 6/01/11 20,000 21,200 ----------- 194,133 ----------- U.S. Government--33.0% U.S. Treasury Bonds, 5.000%, 2/15/11 600,000 659,297 U.S. Treasury Bonds, 5.375%, 2/15/31 325,000 351,559 U.S. Treasury Bonds, 8.125%, 8/15/19 205,000 286,095 U.S. Treasury Notes, 6.125%, 8/15/07 250,000 286,494 U.S. Treasury Notes, 7.500%, 2/15/05 800,000 889,187 ----------- 2,472,632 ----------- TOTAL BONDS AND NOTES (Identified Cost $6,975,721) 7,192,491 ----------- SHORT-TERM INVESTMENT--23.2% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $1,742,024 on 4/01/03 collateralized by $1,545,000 U.S. Treasury Bond, 6.000% due 2/15/26 with a value of $1,782,465 1,742,000 1,742,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,742,000) 1,742,000 ----------- TOTAL INVESTMENTS--119.1% (Identified Cost $8,717,721)@ 8,934,491 Liabilities, Less Cash and Other Assets--(19.1%) (1,432,262) ----------- NET ASSETS--100% $ 7,502,229 ===========
+ See Note 1. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ** Foreign issued security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $8,727,089 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $241,127 and $33,725, respectively, resulting in net unrealized appreciation of $207,402. Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; USD: United States Dollar See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Fixed Income Fund
Face Amount Value + ---------------------------------------------------------------------------------------- BONDS AND NOTES--94.0% of net assets NON-CONVERTIBLE BONDS--84.9% Aerospace/Defense--0.1% Raytheon Co., 6.750%, 3/15/18 USD 250,000 $ 269,915 ---------- Airlines--1.9% American Airlines, Inc., 6.978%, 4/01/11 856,624 745,337 Continental Airlines, Inc., 8.000%, 12/15/05 750,000 353,438 Delta Air Lines, Inc., 7.700%, 12/15/05 480,000 283,200 Delta Air Lines, Inc., 8.300%, 12/15/29 6,597,000 3,001,635 Delta Air Lines, Inc., 9.750%, 5/15/21 200,000 95,000 Northwest Airlines Corp., 7.625%, 3/15/05 250,000 140,000 Northwest Airlines Corp., 7.875%, 3/15/08 325,000 159,250 Northwest Airlines Corp., 9.875%, 3/15/07 250,000 128,750 US Airways, 6.850%, 1/30/18 2,665,294 2,158,888 ---------- 7,065,498 ---------- Asset-Backed Securities--0.2% Community Program Loan Trust, 4.500%, 4/01/29 725,000 657,360 ---------- Auto & Related--1.7% Cummins Engine Co., Inc., 7.125%, 3/01/28 2,350,000 1,938,750 Dana Corp., 7.000%, 3/15/28 850,000 650,250 Dana Corp., 9.000%, 8/15/11 600,000 606,329 Ford Motor Co., 6.375%, 2/01/29 1,000,000 675,133 Ford Motor Co., 6.625%, 10/01/28 3,650,000 2,552,858 ---------- 6,423,320 ---------- Banking & Finance--0.5% Bangko Sentral Pilipinas, 8.600%, 6/15/27** 2,130,000 1,704,000 ---------- Banks/Savings & Loans--2.2% Keycorp Capital II, 6.875%, 3/17/29 5,250,000 5,136,117 Keycorp Capital III, 7.750%, 7/15/29 2,500,000 2,756,437 ---------- 7,892,554 ---------- Cable--0.7% Charter Communications Holdings, 0.000%, 4/01/11 (step to 9.920% on 4/04/04)# 1,390,000 562,950 Charter Communications Holdings LLC, 9.625%, 11/15/09 250,000 108,750 Comcast Cable Communications, 6.750%, 1/30/11 300,000 323,497 Comcast Corp., 5.500%, 3/15/11 1,000,000 1,001,688 TCI Communications, Inc., 7.875%, 2/15/26 550,000 605,091 ---------- 2,601,976 ---------- Canadian--17.0% Canadian Government, 3.500%, 6/01/04 CAD CAD 7,675,000 5,218,007 Canadian Government, 4.500%, 9/01/07 9,770,000 6,672,265 Canadian Government, 6.000%, 9/01/05 6,235,000 4,443,955 New Brunswick FM Project, 0.000%, 11/30/27 (step to 6.470% on 5/30/03)# 1,250,000 873,468 Ontario Hydro, Zero Coupon Bond, 8/06/21 15,000,000 3,255,174 Ontario Hydro, Zero Coupon Bond, 10/15/21 6,500,000 1,416,947 Province of Alberta, 5.930%, 9/16/16 1,335,278 943,875 Province of British Columbia, Zero Coupon Bond, 8/23/13 11,700,000 4,371,053 Province of British Columbia, Zero Coupon Bond, 5/15/21 4,500,000 982,678 Province of British Columbia, Zero Coupon Bond, 8/19/22 7,365,000 1,479,518 Province of British Columbia, Zero Coupon Bond, 8/23/24 5,575,000 985,625
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 59 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Fixed Income Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Canadian--continued Province of British Columbia, Zero Coupon Bond, 11/19/27 CAD 1,550,000 $ 225,589 Province of British Columbia, Zero Coupon Bond, 6/18/29 31,650,000 4,239,678 Province of British Columbia, 5.700%, 6/18/29 4,300,000 2,821,081 Province of Manitoba, Zero Coupon Bond, 3/05/31 10,000,000 1,266,168 Province of Manitoba, 6.500%, 9/22/17 5,075,000 3,724,027 Province of Manitoba, 7.750%, 12/22/25 5,295,000 4,378,233 Province of Newfoundland, 6.150%, 4/17/28 1,000,000 680,490 Province of Ontario, Zero Coupon Bond, 7/13/22 36,700,000 7,500,391 Province of Ontario, Zero Coupon Bond, 6/02/27 7,530,000 1,186,244 Province of Saskatchewan, 5.750%, 3/05/29 3,460,000 2,273,661 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 2/04/22 13,500,000 2,780,871 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 5/30/25 4,375,000 727,638 ----------- 62,446,636 ----------- Chemicals--1.4% IMC Global, Inc., 6.550%, 1/15/05 USD 1,250,000 1,237,500 IMC Global, Inc., 6.875%, 7/15/07 1,575,000 1,472,625 IMC Global, Inc., 7.625%, 11/01/05 2,400,000 2,424,000 Solutia, Inc., 7.375%, 10/15/27 215,000 96,750 ----------- 5,230,875 ----------- Consumer Products--0.3% Bausch & Lomb, Inc., 7.125%, 8/01/28 1,250,000 1,137,500 Hasbro, Inc., 6.600%, 7/15/28 75,000 67,875 ----------- 1,205,375 ----------- Diversified Operations--0.1% Corning Glass, 7.000%, 3/15/07 250,000 236,250 Corning, Inc., 6.850%, 3/01/29 250,000 205,000 ----------- 441,250 ----------- Electronic Components--Semiconductors--0.3% Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A** 1,158,000 1,150,424 ----------- Entertainment--0.4% Time Warner, Inc., 6.625%, 5/15/29 1,460,000 1,371,723 ----------- Financial Services--1.2% Cerro Negro Finance Ltd., 7.330%, 12/01/09 144A** 110,000 87,789 Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A** 1,000,000 685,000 CIT Group Inc., 4.125%, 2/21/06 75,000 75,093 CIT Group, Inc., 6.500%, 2/07/06 425,000 452,931 Ford Motor Credit Co., 5.800%, 1/12/09 735,000 657,727 Ford Motor Credit Co., 7.250%, 2/22/05 GBP 1,000,000 1,544,735 General Motors Acceptance Corp., 6.875%, 8/28/12 USD 200,000 197,338 Petrozuata Finance, Inc., 8.220%, 4/01/17 144A** 725,000 500,250 Petrozuata Finance, Inc., Series A, 7.630%, 4/01/09 144A** 250,000 202,500 ----------- 4,403,363 ----------- Food--0.5% Borden, Inc., 7.875%, 2/15/23 1,950,000 1,170,000 Borden, Inc., 9.200%, 3/15/21 750,000 450,000 Borden, Inc., 9.250%, 6/15/19 362,000 228,447 ----------- 1,848,447 -----------
Face Amount Value + --------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Foreign Government/Agency--10.0% Escom, 11.000%, 6/01/08 ZAR 8,500,000 $ 1,081,311 Government of Sweden, 5.250%, 3/15/11 SEK 10,000,000 1,239,618 Kingdom of Norway, 6.750%, 1/15/07 NOK 76,825,000 11,150,155 PEMEX Project Funding Master Trust, 8.625%, 2/01/22 144A USD 250,000 263,750 Petroleos Mexicanos, 8.625%, 12/01/23 144A 1,400,000 1,470,000 Petroleos Mexicanos, 9.250%, 3/30/18 400,000 448,000 Petroleos Mexicanos, 9.500%, 9/15/27 1,450,000 1,660,250 Republic of Argentina, 8.875%, 3/01/29^ 1,500,000 251,250 Republic of Brazil, 10.125%, 5/15/27 5,777,000 4,116,112 Republic of Brazil, 11.000%, 8/17/40 1,875,000 1,415,625 Republic of Brazil C Bond, 8.000%, 4/15/14 12,775,857 10,124,867 Republic of Peru, 4.500%, 3/07/17 (step to 5.000% on 3/07/05)# 500,000 398,150 Republic of South Africa, 12.500%, 12/21/06 ZAR 3,020,000 401,455 Republic of Venezuela, 9.250%, 9/15/27 USD 4,250,000 2,556,375 ----------- 36,576,918 ----------- Forest & Paper Products--3.0% Fort James Corp., 4.750%, 6/29/04 1,567,000 1,630,176 Georgia-Pacific Corp. (Timber Group), 7.250%, 6/01/28 2,000,000 1,500,000 Georgia-Pacific Group, 7.375%, 12/01/25 6,000,000 4,590,000 Georgia-Pacific Group, 7.750%, 11/15/29 4,225,000 3,337,750 Mead Corp., 6.840%, 3/01/37 100,000 110,332 ----------- 11,168,258 ----------- Government Agencies--5.7% Federal Home Loan Mortgage Corp., 4.625%, 2/15/07 EUR 9,175,000 10,522,699 Federal Home Loan Mortgage Corp., 6.000%, 6/15/11 USD 750,000 854,465 Federal National Mortgage Association, Zero Coupon Bond, 10/29/07 NZD 11,450,000 4,884,483 Federal National Mortgage Association, 5.250%, 6/15/06 USD 500,000 545,309 Federal National Mortgage Association, 5.250%, 4/15/07 2,000,000 2,195,716 Federal National Mortgage Association, 6.375%, 8/15/07 AUD 3,000,000 1,900,077 20,902,749 ----------- Healthcare--Services--1.9% Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 USD 2,750,000 2,686,857 Columbia/HCA Healthcare Corp., 7.580%, 9/15/25 2,100,000 2,150,253 Columbia/HCA Healthcare Corp., 7.690%, 6/15/25 1,000,000 1,044,639 HCA, Inc., 6.250%, 2/15/13 1,000,000 1,025,791 ----------- 6,907,540 ----------- Home Builders--0.7% D.R. Horton, Inc., 7.875%, 8/15/11 610,000 632,875 Pulte Corp., 7.300%, 10/24/05 700,000 745,873 Pulte Corp., 7.625%, 10/15/17 1,000,000 1,122,017 ----------- 2,500,765 ----------- Insurance--0.4% Aon Corp., 7.375%, 12/14/12 144A 750,000 824,006 UnumProvident Corp., 6.750%, 12/15/28 600,000 498,000 ----------- 1,322,006 ----------- Lodging & Hotel--0.6% Felcor Lodging LP, 8.500%, 6/01/11 375,000 327,188 Host Marriott Corp., Series B, 7.875%, 8/01/08 700,000 658,000 La Quinta Inns, Inc., 7.400%, 9/15/05 750,000 742,500 Meditrust Corp., 7.000%, 8/15/07 375,000 357,187 ----------- 2,084,875 -----------
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 61 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Fixed Income Fund--continued Face Amount Value + -------------------------------------------------------------------------------- BONDS AND NOTES--continued Machinery--0.0% Case Corp., 7.250%, 8/01/05 USD 55,000 $ 51,975 ----------- Media & Entertainment--0.3% News America Holdings, Inc., 7.700%, 10/30/25 700,000 774,510 News America Holdings, Inc., 7.750%, 1/20/24 400,000 445,259 ----------- 1,219,769 ----------- Mortgage Related--0.1% Federal Home Loan Mortgage Corp., 5.000%, 12/01/31 470,523 471,040 ----------- Natural Gas--3.6% Coastal Corp., 6.500%, 6/01/08 500,000 402,500 El Paso Corp., 5.750%, 3/14/06 2,345,000 2,046,810 El Paso Corp., 7.000%, 5/15/11 750,000 592,500 KN Capital Trust, 7.630%, 4/15/28 1,000,000 1,044,982 KN Energy, Inc., 7.250%, 3/01/28 3,850,000 4,134,658 Southern Natural Gas Co., 7.350%, 2/15/31 3,250,000 2,990,000 Tennessee Gas Pipeline Co., 7.000%, 10/15/28 1,750,000 1,452,500 Tennessee Gas Pipeline Co., 7.500%, 4/01/17 750,000 682,500 ----------- 13,346,450 ----------- Office Equipment--0.6% Xerox Capital (Europe) Plc, 5.875%, 5/15/04** 375,000 371,250 Xerox Corp., 3.500%, 2/04/04 EUR 1,585,000 1,660,142 Xerox Corp., 5.500%, 11/15/03 USD 50,000 49,750 ----------- 2,081,142 ----------- Oil & Gas Drilling Equipment--0.4% Global Marine, Inc., 7.000%, 6/01/28 1,000,000 1,095,724 Parker Drilling Co., Series B, 10.125%, 11/15/09 150,000 157,500 Trico Marine Services, Inc., 8.875%, 5/15/12 100,000 93,000 ----------- 1,346,224 ----------- Oil & Gas Exploration--1.2% Chesapeake Energy Corp., 7.500%, 9/15/13 144A 150,000 153,375 Chesapeake Energy Corp., 8.125%, 4/01/11 345,000 363,975 Chesapeake Energy Corp., 8.375%, 11/01/08 250,000 264,375 Chesapeake Energy Corp., 8.500%, 3/15/12 550,000 580,250 Pioneer Natural Resources Co., 6.500%, 1/15/08 1,450,000 1,503,267 Pioneer Natural Resources Co., 7.200%, 1/15/28 1,000,000 981,949 Transgas De Occidente SA, 9.790%, 11/01/10 144A** 556,660 500,994 ----------- 4,348,185 ----------- Oil & Gas Refining--0.3% Merey Sweeny LP, 8.850%, 12/18/19 144A 875,000 981,689 ----------- Oil & Gas--Major Integrated--0.8% Pecom Energia SA, 8.125%, 7/15/10 144A** 1,472,000 1,133,440 Phillips 66 Capital Trust II, 8.000%, 1/15/37 1,300,000 1,396,463 YPF Sociedad Anonima, 9.125%, 2/24/09** 350,000 336,000 ----------- 2,865,903 ----------- Rail--Transport--0.2% Missouri Pacific Railroad Co., 5.000%, 1/01/45 500,000 335,574 TFM SA de CV, 11.750%, 6/15/09** 250,000 230,000 ----------- 565,574 -----------
Face Amount Value + ------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Real Estate Investment Trusts--4.2% AMB Property Corp., 7.500%, 6/30/18 USD 1,500,000 $ 1,668,647 EOP Operating LP, 7.250%, 2/15/18 2,000,000 2,207,438 First Industrial LP, 7.500%, 12/01/17 3,000,000 3,375,588 First Industrial LP, 7.600%, 7/15/28 6,400,000 6,773,382 iStar Financial, Inc., 8.750%, 8/15/08 325,000 348,851 Spieker Properties, Inc., 7.350%, 12/01/17 500,000 558,889 TriNet Corporate Realty Trust, Inc., 7.700%, 7/15/17 650,000 623,258 ----------- 15,556,053 ----------- Retail--General--2.6% J.C. Penney Co., Inc., 6.500%, 12/15/07 500,000 497,500 J.C. Penney Co., Inc., 6.875%, 10/15/15 325,000 299,000 J.C. Penney Co., Inc., 7.050%, 5/23/05 1,000,000 1,015,000 J.C. Penney Co., Inc., 7.125%, 11/15/23 1,100,000 990,000 J.C. Penney Co., Inc., 7.375%, 8/15/08 650,000 656,500 J.C. Penney Co., Inc., 7.600%, 4/01/07 2,050,000 2,101,250 J.C. Penney Co., Inc., 7.650%, 8/15/16 1,000,000 960,000 J.C. Penney Co., Inc., 7.950%, 4/01/17 850,000 816,000 Sears Roebuck Acceptance Corp., 6.500%, 12/01/28 200,000 180,898 Sears Roebuck Acceptance Corp., 6.750%, 1/15/28 100,000 92,440 Woolworth Corp., 8.500%, 1/15/22 1,855,000 1,847,713 ----------- 9,456,301 ----------- Shipping--0.8% American President Cos. Ltd., 7.125%, 11/15/03 1,250,000 1,181,250 American President Cos. Ltd., 8.000%, 1/15/24 1,200,000 718,500 Transportacion Maritima Mexicana SA de CV, 10.250%, 11/15/06** 2,000,000 1,100,000 ----------- 2,999,750 ----------- Supranational--6.4% European Bank for Reconstruction & Development, Zero Coupon Bond, 2/10/28 AUD 2,500,000 370,920 International Bank for Reconstruction & Development, Zero Coupon Bond, 8/20/07 NZD 40,850,000 17,517,638 International Bank for Reconstruction & Development, 5.500%, 11/03/08 9,250,000 5,025,636 International Bank for Reconstruction & Development, 8.000%, 5/23/07 1,000,000 593,485 ----------- 23,507,679 ----------- Taxable Municipal--0.3% Orange County, California Pension Obligation, Zero Coupon Bond, 9/01/16 USD 2,000,000 940,900 ----------- Telecommunications--5.4% AT&T Corp., 6.500%, 11/21/06 EUR 2,400,000 2,644,706 Colt Telecom Group Plc, 12.000%, 12/15/06** USD 545,000 408,750 Philippine Long Distance Telephone Co., 8.350%, 3/06/17** 3,414,000 2,403,661 Qwest Capital Funding, Inc., 5.875%, 8/03/04 300,000 271,500 Qwest Capital Funding, Inc., 7.000%, 8/03/09 825,000 627,000 Qwest Capital Funding, Inc., 7.750%, 8/15/06 200,000 163,000 Qwest Capital Funding, Inc., 7.750%, 2/15/31 275,000 192,500 Qwest Capital Funding, Inc., 7.900%, 8/15/10 50,000 38,500 Qwest Communications International, Inc., Series B, 7.250%, 11/01/08 200,000 170,000
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 63 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Fixed Income Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Telecommunications--continued Qwest Corp., 5.625%, 11/15/08 USD 250,000 $ 227,500 Sprint Capital Corp., 6.125%, 11/15/08 300,000 297,000 Sprint Capital Corp., 6.875%, 11/15/28 5,835,000 5,105,625 Sprint Capital Corp., 6.900%, 5/01/19 1,550,000 1,418,250 Sprint Capital Corp., 7.900%, 3/15/05 800,000 840,000 Telekom Malaysia Berhad, 7.875%, 8/01/25 144A** 100,000 103,576 US West Capital Funding, Inc., 6.500%, 11/15/18 2,325,000 1,610,062 US West Capital Funding, Inc., 6.875%, 7/15/28 4,495,000 3,146,500 ----------- 19,668,130 ----------- Telecommunications Equipment--1.2% Lucent Technologies, Inc., 5.500%, 11/15/08 210,000 158,550 Lucent Technologies, Inc., 6.450%, 3/15/29 2,470,000 1,580,800 Lucent Technologies, Inc., 6.500%, 1/15/28 200,000 128,000 Lucent Technologies, Inc., 7.250%, 7/15/06 305,000 268,400 Motorola, Inc., 5.800%, 10/15/08 645,000 648,225 Motorola, Inc., 6.500%, 11/15/28 1,325,000 1,199,125 Motorola, Inc., 7.625%, 11/15/10 350,000 376,250 Nortel Networks Ltd., 6.125%, 2/15/06** 150,000 136,875 ----------- 4,496,225 ----------- Telecommunications--Wireless--1.6% AT&T Wireless Services, Inc., 7.350%, 3/01/06 250,000 275,018 AT&T Wireless Services, Inc., 7.500%, 5/01/07 250,000 277,732 Nextel Communications, Inc., 9.375%, 11/15/09 500,000 525,000 Nextel Communications, Inc., 9.500%, 2/01/11 650,000 687,375 Nextel Communications, Inc., 9.750%, 10/31/07 2,000,000 2,070,000 Nextel Communications, Inc., 9.950%, 2/15/08 1,725,000 1,798,312 Rogers Wireless Communications, Inc., 8.800%, 10/01/07 250,000 248,750 ----------- 5,882,187 ----------- Textile & Apparel--0.8% Kellwood Co., 7.625%, 10/15/17 2,500,000 2,300,000 Phillips Van Heusen Corp., 7.750%, 11/15/23 630,000 529,200 ----------- 2,829,200 ----------- U.S. Government--0.0% U.S. Treasury Strips, Zero Coupon Bond, 2/15/11 171,000 126,655 ----------- Utilities--Electric--3.3% AES Corp., 8.875%, 11/01/27 1,300,000 728,000 AES Corp., 9.375%, 9/15/10 100,000 84,000 American Electric Power, Inc., 5.375%, 3/15/10 500,000 507,596 Calpine Corp., 8.500%, 2/15/11 150,000 84,000 Edison Mission Energy, 7.730%, 6/15/09 95,000 68,400 Empresa Nacional de Electricidad SA (Endesa), 7.875%, 2/01/27** 950,000 707,247 Enersis SA, 7.400%, 12/01/16** 3,575,000 2,493,609 ESI Tractebel Acquisition Corp., Series B, 7.990%, 12/30/11 768,000 754,575 National Rural Utilities Cooperative Finance Corp., 6.200%, 2/01/08 50,000 55,772 Panda Funding Corp., 11.625%, 8/20/12 455,850 330,491 Quezon Power Philippines Co., 8.860%, 6/15/17** 1,756,300 1,290,880 Salton Sea Funding Corp., 7.840%, 5/30/10 750,000 734,228 Salton Sea Funding Corp., Series E, 8.300%, 5/30/11 267,242 264,650
Face Amount Value + -------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Utilities--Electric--continued Southern California Edison Co., 6.375%, 1/15/06 USD 200,000 $ 196,000 Southern California Edison Co., 6.650%, 4/01/29 550,000 464,750 Southern California Edison Co., 7.250%, 3/01/26 500,000 480,000 Southern California Edison Co., 7.625%, 1/15/10 500,000 495,000 Tenaga Nasional Berhad, 7.500%, 11/01/25 144A 1,040,000 1,035,425 Texas-New Mexico Power Co., 6.250%, 1/15/09 1,000,000 1,017,500 Tiverton Power Associates Ltd., 9.000%, 7/15/18 144A 655,000 425,750 ------------ 12,217,873 ------------ TOTAL NON-CONVERTIBLE BONDS (Identified Cost $302,274,596) 311,134,731 ------------ CONVERTIBLE BONDS--9.1% of net assets Auto & Related--0.0% MascoTech, Inc., 4.500%, 12/15/03 153,000 144,585 ------------ Biomedical--0.2% Genzyme Corp., 3.000%, 5/15/21 875,000 853,125 ------------ Cable--0.1% Rogers Communications, Inc., 2.000%, 11/26/05** 500,000 397,500 ------------ Computer Hardware--0.2% Maxtor Corp., 5.750%, 3/01/12 287,000 189,420 Quantum Corp., 7.000%, 8/01/04 430,000 406,350 ------------ 595,770 ------------ Diversified Operations--0.6% Corning, Inc., Zero Coupon Bond, 11/08/15 250,000 169,375 Corning, Inc., 3.500%, 11/01/08 1,985,000 1,950,262 Corning, Inc., 5.625%, 2/18/05 144A EUR 250,000 242,759 ------------ 2,362,396 ------------ Electronic Components--0.1% Celestica, Inc., Zero Coupon Bond, 8/01/20 USD 500,000 247,500 ------------ Electronic Components--Semiconductors--0.4% Kulicke and Soffa Industries, Inc., 4.750%, 12/15/06 300,000 197,625 Lam Research Corp., 4.000%, 6/01/06 450,000 406,688 LSI Logic Corp., 4.000%, 2/15/05 750,000 690,937 Richardson Electronics Ltd., 7.250%, 12/15/06 300,000 255,000 ------------ 1,550,250 ------------ Lodging & Hotel--0.1% Hilton Hotels Corp., 5.000%, 5/15/06 400,000 383,500 ------------ Office Equipment--1.6% Xerox Corp., 0.570%, 4/21/18 8,834,000 5,697,930 ------------ Oil & Gas Drilling Equipment--0.1% Parker Drilling Co., 5.500%, 8/01/04 300,000 284,250 ------------ Oil & Gas Exploration--1.0% Devon Energy Corp., 4.900%, 8/15/08 1,300,000 1,326,000 Devon Energy Corp., 4.950%, 8/15/08 1,900,000 1,942,750 Pogo Producing Co., 5.500%, 6/15/06 365,000 391,463 ------------ 3,660,213 ------------
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 65 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Fixed Income Fund--continued
Face Amount Value + ---------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Pharmaceutical--1.1% Affymetrix, Inc., 4.750%, 2/15/07 USD 375,000 $ 332,812 Affymetrix, Inc., 4.750%, 2/15/07 144A 500,000 443,750 Human Genome Sciences, Inc., 3.750%, 3/15/07 1,768,000 1,332,630 Human Genome Sciences, Inc., 3.750%, 3/15/07 144A 1,000,000 753,750 IVAX Corp., 4.500%, 5/15/08 1,400,000 1,228,500 ------------ 4,091,442 ------------ Telecommunications--1.4% Colt Telecom Group Plc, 2.000%, 3/29/06** EUR 200,000 122,198 Colt Telecom Group Plc, 2.000%, 12/16/06** 2,050,000 1,185,426 Colt Telecom Group Plc, 2.000%, 4/03/07** 2,000,000 1,145,603 Koninklijke (Royal) KPN NV, 3.500%, 11/24/05** 2,100,000 2,211,013 Verizon Global Funding Corp., Zero Coupon Bond, 5/15/21 USD 500,000 293,125 ------------ 4,957,365 ------------ Telecommunications Equipment--0.1% Juniper Networks, Inc., 4.750%, 3/15/07 500,000 425,000 ------------ Telecommunications--Wireless--0.4% Nextel Communications, Inc., 5.250%, 1/15/10 1,250,000 1,073,438 Nextel Communications, Inc., 6.000%, 6/01/11 200,000 195,750 ------------ 1,269,188 ------------ Textile & Apparel--0.0% Dixie Yarns, Inc., 7.000%, 5/15/12 142,000 79,520 ------------ Tobacco--1.7% Loews Corp., 3.125%, 9/15/07 6,950,000 6,376,625 ------------ TOTAL CONVERTIBLE BONDS (Identified Cost $31,584,185) 33,376,159 ------------ TOTAL BONDS AND NOTES (Identified Cost $333,858,781) 344,510,890 ------------ Shares ---------------------------------------------------------------------------------------------- COMMON STOCKS--0.5% of net assets Auto Components--0.4% Magna International, Inc. Class A 26,928 1,407,796 ------------ Energy Equipment & Services--0.1% Diamond Offshore Drilling, Inc. 12,345 239,616 ------------ Telecommunication Services--Diversified--0.0% Loxley Public Co. Ltd.* 278,383 64,015 ------------ TOTAL COMMON STOCKS (Identified Cost $2,395,332) 1,711,427 ------------
Shares Value + -------------------------------------------------------------------------------- PREFERRED STOCKS--3.6% of net assets NON-CONVERTIBLE PREFERRED STOCKS--1.1% Real Estate--0.0% La Quinta Properties, Inc., Series A, 9.000% 5,045 $ 106,449 ----------- Real Estate Investment Trusts--0.3% First Industrial Realty Trust, Inc., Series D, 7.950% 1,800 44,874 First Industrial Realty Trust, Inc., Series E, 7.900% 9,000 223,650 Highwoods Properties, Inc., Series B, 8.000% 11,300 263,855 Highwoods Properties, Inc., Series D, 8.000% 13,900 325,121 ----------- 857,500 ----------- Utilities--Electric--0.8% Del Marva Power & Light Co., 4.000% 434 25,131 Entergy Louisiana, Inc., 4.440% 830 44,820 Entergy New Orleans, Inc., 4.360% 90 5,035 Entergy New Orleans, Inc., 4.750% 2,876 171,697 MDU Resources Group, Inc., 5.100% 720 72,720 Pacific Gas & Electric Co., 5.000%^ 18,900 326,970 Pacific Gas & Electric Co., 6.570%^ 35,000 918,750 Pacific Gas & Electric Co., Series H, 4.500%^ 10,000 170,000 Public Service Electric & Gas Co., 4.180% 1,950 135,233 Southern California Edison Co., 4.320% 500 7,025 Southern California Edison Co., 7.230% 5,000 494,687 Union Electric Co., $4.50 6,500 481,000 Xcel Energy, Inc., 4.110% 100 5,700 ----------- 2,858,768 ----------- TOTAL NON-CONVERTIBLE PREFERRED STOCKS (Identified Cost $2,923,502) 3,822,717 ----------- CONVERTIBLE PREFERRED STOCKS--2.5% Building Materials--0.0% Owens Corning, 6.500% 144A^ 83,000 0 ----------- Financial Services--0.2% Newell Financial Trust I, 5.250% 12,500 579,688 ----------- Forest & Paper Products--0.8% International Paper Capital Trust, 5.250% 65,000 3,120,000 ----------- Metals & Mining--0.0% Bethlehem Steel Corp., $3.50^ 7,500 0 ----------- Oil & Gas Drilling Equipment--0.6% EVI, Inc., 5.000% 44,760 2,254,785 ----------- Rail--Transport--0.2% Union Pacific Capital Trust, 6.250% 15,000 765,000 ----------- Real Estate Investment Trusts--0.4% Equity Residential Properties Trust, 7.250% 45,000 1,124,550 Host Marriott Financial Trust, 6.750% 5,000 168,605 ----------- 1,293,155 ----------- Telecommunication Services--Diversified--0.3% Philippine Long Distance Telephone Co., $3.50 GDS** 47,750 1,217,625 ----------- TOTAL CONVERTIBLE PREFERRED STOCKS (Identified Cost $11,711,775) 9,230,253 ----------- TOTAL PREFERRED STOCKS (Identified Cost $14,635,277) 13,052,970 ----------- LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 67 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Fixed Income Fund--continued
Face Amount Value + ---------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--1.0% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $ 3,647,051 on 4/01/03 collateralized by $2,615,000 U.S. Treasury Bond, 8.000% due 11/15/21 with a value of $ 3,723,106 USD 3,647,000 $ 3,647,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $3,647,000) 3,647,000 ------------ TOTAL INVESTMENTS--99.1% (Identified Cost $354,536,390)@ 362,922,287 Cash and Other Assets, Less Liabilities--0.9% 3,426,654 ------------ NET ASSETS--100% $366,348,941 ============
+ See Note 1. ** Foreign issued security 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. ^ Security in default * Non-income producing security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $354,644,167 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $29,633,868 and $21,355,748, respectively, resulting in net unrealized appreciation of $8,278,120. Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; EUR: Euro; GBP: Great British Pound; GDS: Global Depository Shares; NOK: Norweigan Krone; NZD: New Zealand Dollar; SEK: Swedish Krona; USD: United States Dollar; ZAR: South African Rand See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Institutional High Income Fund Face Amount Value + -------------------------------------------------------------------------------- BONDS AND NOTES--86.2% of net assets NON-CONVERTIBLE BONDS--65.8% Airlines--1.5% American Airlines, Inc., 6.978%, 4/01/11 USD 149,909 $ 130,434 Continental Airlines, Inc., 8.000%, 12/15/05 150,000 70,688 Continental Airlines, Inc., Series 2000-2, 7.707%, 10/02/22 368,387 301,483 Delta Air Lines, Inc., 8.300%, 12/15/29 1,000,000 455,000 Delta Air Lines, Inc., 10.125%, 5/15/10 200,000 104,000 ---------- 1,061,605 ---------- Air Transport--0.1% Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/19 88,845 57,749 Atlas Air, Inc., Series 1999-1C, 8.770%, 1/02/11 149,828 29,966 ---------- 87,715 ---------- Auto & Related--2.4% Cummins Engine Co., Inc., 7.125%, 3/01/28 250,000 206,250 Dana Corp., 7.000%, 3/15/28 100,000 76,500 Dana Corp., 7.000%, 3/01/29 850,000 650,250 Dana Corp., 9.000%, 8/15/11 550,000 575,475 Ford Motor Co., 6.625%, 10/01/28 250,000 174,853 ---------- 1,683,328 ---------- Cable--1.9% Cablevision SA, 13.750%, 4/30/07^** 275,000 60,500 Charter Communications Holdings, 0.000%, 4/01/11 (step to 9.920% on 4/04/04)# 885,000 358,425 Charter Communications Holdings LLC, 9.625%, 11/15/09 350,000 152,250 CSC Holdings, Inc., 7.250%, 7/15/08 250,000 246,250 CSC Holdings, Inc., 7.625%, 7/15/18 250,000 241,875 CSC Holdings, Inc., 7.875%, 2/15/18 100,000 98,250 CSC Holdings, Inc., Series B, 8.125%, 7/15/09 125,000 127,812 Multicanal SA, 10.500%, 2/01/07^** 125,000 32,813 ---------- 1,318,175 ---------- Chemicals--3.3% Equistar Chemicals, L.P., 6.500%, 2/15/06 250,000 225,000 Huntsman International LLC, 10.125%, 7/01/09 225,000 213,187 Huntsman International LLC, 10.125%, 7/01/09 EUR 200,000 188,752 IMC Global, Inc., 7.300%, 1/15/28 USD 1,025,000 799,500 IMC Global, Inc., 7.375%, 8/01/18 750,000 600,000 IMC Global, Inc., 7.625%, 11/01/05 100,000 101,000 Solutia, Inc., 7.375%, 10/15/27 295,000 132,750 ---------- 2,260,189 ---------- Consumer Products--0.7% Hasbro, Inc., 6.600%, 7/15/28 400,000 362,000 Remington Arms Co., Inc., 10.500%, 2/01/11 144A 100,000 107,000 ---------- 469,000 ---------- Diversified Operations--0.4% Corning, Inc., 6.750%, 9/15/13 300,000 255,000 ---------- Entertainment--0.1% Time Warner, Inc., 6.625%, 5/15/29 100,000 93,954 ---------- Environmental Services--0.2% National Waterworks, Inc., 10.500%, 12/01/12 144A 125,000 135,000 ---------- LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 69 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Institutional High Income Fund--continued
Face Amount Value + ------------------------------------------------------------------------------------------ BONDS AND NOTES--continued Financial Services--1.8% Cerro Negro Finance Ltd., 7.330%, 12/01/09 144A** USD 110,000 $ 87,789 Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A** 200,000 137,000 CIT Group, Inc., 5.500%, 5/16/05 250,000 276,854 Petrozuata Finance, Inc., 8.220%, 4/01/17 144A** 610,000 420,900 Petrozuata Finance, Inc., Series A, 7.630%, 4/01/09 144A** 375,000 303,750 ---------- 1,226,293 ---------- Food--1.8% Borden, Inc., 7.875%, 2/15/23 1,030,000 618,000 Borden, Inc., 9.200%, 3/15/21 350,000 210,000 Borden, Inc., 9.250%, 6/15/19 650,000 410,195 ---------- 1,238,195 ---------- Foreign Government/Agency--7.9% Escom, 11.000%, 6/01/08 ZAR 400,000 50,885 Petroleos Mexicanos, 8.625%, 12/01/23 144A USD 275,000 288,750 Petroleos Mexicanos, 9.250%, 3/30/18 475,000 532,000 Republic of Argentina, 8.875%, 3/01/29^ 700,000 117,250 Republic of Brazil, 10.125%, 5/15/27 675,000 480,937 Republic of Brazil, 11.000%, 8/17/40 250,000 188,750 Republic of Brazil C Bond, 8.000%, 4/15/14 2,370,460 1,878,589 Republic of Dominican, 9.040%, 1/23/13 144A 300,000 295,500 Republic of Peru, 4.500%, 3/07/17 (step to 5.000% on 3/07/05)# 275,000 218,983 Republic of South Africa, 12.500%, 12/21/06 ZAR 455,000 60,484 Republic of South Africa, 13.000%, 8/31/10 1,275,000 185,452 Republic of South Africa, 13.500%, 9/15/15 1,155,000 183,834 Republic of Uruguay, 7.625%, 1/20/12 USD 355,000 165,075 Republic of Venezuela, 9.250%, 9/15/27 1,400,000 842,100 ---------- 5,488,589 ---------- Forest & Paper Products--2.3% Georgia-Pacific Corp. (Timber Group), 7.250%, 6/01/28 925,000 693,750 Georgia-Pacific Group, 7.375%, 12/01/25 650,000 497,250 Georgia-Pacific Group, 7.750%, 11/15/29 250,000 197,500 Pope & Talbot, Inc., 8.375%, 6/01/13 200,000 183,000 ---------- 1,571,500 ---------- Insurance--0.8% Provident Companies, Inc., 7.250%, 3/15/28 250,000 210,000 UnumProvident Corp., 7.375%, 6/15/32 400,000 340,000 ---------- 550,000 ---------- Lodging & Hotel--0.5% Host Marriot LP, Series E, 8.375%, 2/15/06 100,000 97,750 Host Marriott Corp., Series B, 7.875%, 8/01/08 250,000 235,000 ---------- 332,750 ---------- Machinery--0.7% AGCO Corp., 8.500%, 3/15/06 125,000 126,250 Case Corp., 7.250%, 8/01/05 250,000 236,250 United Rentals, Inc., Series B, 9.500%, 6/01/08 100,000 89,000 ---------- 451,500 ----------
Face Amount Value + -------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Natural Gas--1.3% El Paso Corp., 5.750%, 3/14/06 USD 900,000 $ 785,556 Tennessee Gas Pipeline Co., 7.000%, 10/15/28 100,000 83,000 ---------- 868,556 ---------- Office Equipment--2.5% Xerox Capital (Europe) Plc, 5.250%, 12/03/04 EUR 400,000 414,599 Xerox Capital Trust I, 8.000%, 2/01/27 USD 1,375,000 1,017,500 Xerox Corp., 7.150%, 8/01/04 315,000 312,638 ---------- 1,744,737 ---------- Oil & Gas Drilling Equipment--0.1% Trico Marine Services, Inc., 8.875%, 5/15/12 100,000 93,000 ---------- Oil & Gas Exploration--1.1% Chesapeake Energy Corp., 7.500%, 9/15/13 144A 125,000 127,812 Pioneer Natural Resources Co., 7.200%, 1/15/28 650,000 638,267 ---------- 766,079 ---------- Oil & Gas Refining--0.4% CITGO Petroleum Corp., 11.375%, 2/01/11 144A 250,000 261,875 ---------- Oil & Gas--Major Integrated--0.7% PDVSA Finance Ltd., 7.500%, 11/15/28** 200,000 132,000 PDVSA Finance Ltd., 9.375%, 11/15/07 450,000 382,500 ---------- 514,500 ---------- Publishing--0.2% RH Donnelley Finance Corp. I, 10.875%, 12/15/12 144A 100,000 114,250 ---------- Rail--Transport--1.5% Missouri Pacific Railroad Co., 4.750%, 1/01/20 30,000 21,665 Missouri Pacific Railroad Co., 5.000%, 1/01/45 172,000 115,437 TFM SA de CV, 11.750%, 6/15/09** 850,000 782,000 TFM SA de CV, 12.500%, 6/15/12 125,000 120,938 ---------- 1,040,040 ---------- Real Estate Investment Trusts--1.4% Crescent Real Estate Equity, 7.500%, 9/15/07 400,000 398,500 JDN Realty Corp., 6.950%, 8/01/07 200,000 208,000 TriNet Corporate Realty Trust, Inc., 7.700%, 7/15/17 375,000 359,572 ---------- 966,072 ---------- Retail--General--5.2% Dillard's, Inc., 6.625%, 1/15/18 150,000 132,000 Dillard's, Inc., 7.000%, 12/01/28 250,000 217,500 J.C. Penney Co., Inc., 6.500%, 12/15/07 250,000 248,750 J.C. Penney Co., Inc., 6.875%, 10/15/15 550,000 506,000 J.C. Penney Co., Inc., 7.050%, 5/23/05 125,000 126,875 J.C. Penney Co., Inc., 7.125%, 11/15/23 700,000 630,000 J.C. Penney Co., Inc., 7.375%, 8/15/08 450,000 454,500 J.C. Penney Co., Inc., 8.250%, 8/15/22 125,000 118,750 J.C. Penney Co., Inc., 9.750%, 6/15/21 230,000 238,050 Woolworth Corp., 8.500%, 1/15/22 910,000 906,426 ---------- 3,578,851 ---------- Shipping--2.0% American President Cos. Ltd., 7.125%, 11/15/03 250,000 236,250 American President Cos. Ltd., 8.000%, 1/15/24 1,135,000 679,581 Transportacion Maritima Mexicana SA de CV, 10.250%, 11/15/06** 835,000 459,250 ---------- 1,375,081 ----------
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 71 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Institutional High Income Fund--continued
Face Amount Value + -------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Telecommunications--6.1% AT&T Corp., 6.500%, 11/21/06 EUR 820,000 $ 903,608 Colt Telecom Group Plc, 12.000%, 12/15/06** USD 770,000 577,500 Philippine Long Distance Telephone Co., 8.350%, 3/06/17** 975,000 686,458 Qwest Capital Funding, Inc., 7.750%, 8/15/06 125,000 101,875 Qwest Capital Funding, Inc., 7.750%, 2/15/31 700,000 490,000 Qwest Capital Funding, Inc., 7.900%, 8/15/10 500,000 385,000 Qwest Corp., 7.250%, 10/15/35 225,000 193,500 Sprint Capital Corp., 6.125%, 11/15/08 500,000 495,000 Sprint Capital Corp., 6.875%, 11/15/28 100,000 87,500 US West Capital Funding, Inc., 6.875%, 7/15/28 450,000 315,000 ---------- 4,235,441 ---------- Telecommunications Equipment--4.3% Lucent Technologies, Inc., 5.500%, 11/15/08 260,000 196,300 Lucent Technologies, Inc., 6.450%, 3/15/29 1,915,000 1,225,600 Lucent Technologies, Inc., 7.250%, 7/15/06 165,000 145,200 Nortel Networks Ltd., 6.125%, 2/15/06** 1,075,000 980,937 Northern Telecom Capital Corp., 7.875%, 6/15/26 500,000 390,000 ---------- 2,938,037 ---------- Telecommunications--Wireless--6.3% Nextel Communications, Inc., 9.375%, 11/15/09 625,000 656,250 Nextel Communications, Inc., 9.500%, 2/01/11 550,000 581,625 Nextel Communications, Inc., 9.750%, 10/31/07 850,000 879,750 Nextel Communications, Inc., 9.950%, 2/15/08 750,000 781,875 PTC International Finance BV, 10.750%, 7/01/07 200,000 208,000 PTC International Finance II, 11.250%, 12/01/09 EUR 200,000 241,940 Rogers Wireless Communications, Inc., 8.800%, 10/01/07 USD 875,000 870,625 TeleCorp PCS, Inc., 0.000%, 4/15/09 (step to 11.625% on 4/15/04)# 163,000 163,000 ---------- 4,383,065 ---------- Textile & Apparel--0.9% Phillips Van Heusen Corp., 7.750%, 11/15/23 705,000 592,200 ---------- Utilities--Electric--5.4% AES Corp., 8.875%, 2/15/11 125,000 102,500 AES Corp., 8.875%, 11/01/27 350,000 196,000 Calpine Canada Energy Finance, 8.750%, 10/15/07 CAD 250,000 97,005 Calpine Corp., 7.625%, 4/15/06 USD 65,000 39,000 Calpine Corp., 8.500%, 2/15/11 5,000 2,800 Empresa Nacional de Electricidad SA (Endesa), 7.875%, 2/01/27** 125,000 93,059 Enersis SA, 6.600%, 12/01/26** 350,000 318,991 Enersis SA, 6.900%, 12/01/06** 200,000 161,644 Enersis SA, 7.400%, 12/01/16** 125,000 87,189 Panda Funding Corp., 11.625%, 8/20/12 934,489 677,505 Quezon Power Philippines Co., 8.860%, 6/15/17** 482,500 354,637 Salton Sea Funding Corp., 7.840%, 5/30/10 475,000 465,011 Salton Sea Funding Corp., Series E, 8.300%, 5/30/11 356,323 352,867 Southern California Edison Co., 7.625%, 1/15/10 475,000 470,250 Tenaga Nasional Berhad, 7.500%, 11/01/25 144A** 335,000 333,526 ---------- 3,751,984 ----------
Face Amount Value + -------------------------------------------------------------------------------------------- BONDS AND NOTES--continued TOTAL NON-CONVERTIBLE BONDS (Identified Cost $41,634,155) $45,446,561 ----------- CONVERTIBLE BONDS--20.4% of net assets Auto & Related--0.3% MascoTech, Inc., 4.500%, 12/15/03 USD 253,000 239,085 ----------- Biomedical--0.5% Genzyme Corp., 3.000%, 5/15/21 335,000 326,625 ----------- Cable--1.0% Rogers Communications, Inc., 2.000%, 11/26/05** 835,000 663,825 ----------- Computer Hardware--2.1% Maxtor Corp., 5.750%, 3/01/12 1,555,000 1,026,300 Quantum Corp., 7.000%, 8/01/04 450,000 425,250 ----------- 1,451,550 ----------- Diversified Operations--1.1% Corning, Inc., Zero Coupon Bond, 11/08/15 150,000 101,625 Corning, Inc., 3.500%, 11/01/08 675,000 663,188 ----------- 764,813 ----------- Electronic Components--1.6% Celestica, Inc., Zero Coupon Bond, 8/01/20 1,625,000 804,375 Sanmina-SCI Corp., Zero Coupon Bond, 9/12/20 150,000 67,125 Sanmina-SCI Corp., 4.250%, 5/01/04 250,000 241,562 ----------- 1,113,062 ----------- Electronic Components--Semiconductors--4.3% Amkor Technology, Inc., 5.000%, 3/15/07 750,000 518,437 Cypress Semiconductor Corp., 3.750%, 7/01/05 850,000 733,125 Cypress Semiconductor Corp., 4.000%, 2/01/05 100,000 88,875 Infineon Tech, 4.250%, 2/06/07 EUR 500,000 420,124 Kulicke and Soffa Industries, Inc., 4.750%, 12/15/06 USD 500,000 329,375 Lam Research Corp., 4.000%, 6/01/06 225,000 203,344 LSI Logic Corp., 4.000%, 2/15/05 100,000 92,125 LSI Logic Corp., 4.000%, 11/01/06 330,000 282,562 Richardson Electronics Ltd., 7.250%, 12/15/06 150,000 127,500 TriQuint Semiconductor, Inc., 4.000%, 3/01/07 200,000 164,250 ----------- 2,959,717 ----------- Electronic Measuring Instruments--0.1% Agilent Technologies, Inc., 3.000%, 12/01/21 100,000 91,250 ----------- Lodging & Hotel--0.6% Hilton Hotels Corp., 5.000%, 5/15/06 400,000 383,500 ----------- Office Equipment--0.8% Xerox Corp., 0.570%, 4/21/18 850,000 548,250 ----------- Oil & Gas Drilling Equipment--0.3% Parker Drilling Co., 5.500%, 8/01/04 250,000 236,875 ----------- Oil & Gas Exploration--0.3% Pogo Producing Co., 5.500%, 6/15/06 175,000 187,688 ----------- Pharmaceutical--2.7% Affymetrix, Inc., 4.750%, 2/15/07 300,000 266,250 Affymetrix, Inc., 4.750%, 2/15/07 144A 250,000 221,875 -----------
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 73 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Institutional High Income Fund--continued Face Amount Value + -------------------------------------------------------------------------------- BONDS AND NOTES--continued Pharmaceutical--continued Human Genome Sciences, Inc., 3.750%, 3/15/07 USD 800,000 $ 603,000 Human Genome Sciences, Inc., 3.750%, 3/15/07 144A 650,000 489,937 IVAX Corp., 4.500%, 5/15/08 300,000 263,250 ----------- 1,844,312 ----------- Telecommunications--2.4% Colt Telecom Group Plc, 2.000%, 8/06/05** DEM 250,000 84,374 Colt Telecom Group Plc, 2.000%, 3/29/06** EUR 705,000 430,747 Colt Telecom Group Plc, 2.000%, 12/16/06** 900,000 520,431 Colt Telecom Group Plc, 2.000%, 4/03/07** 485,000 277,809 Koninklijke (Royal) KPN NV, 3.500%, 11/24/05** 350,000 368,502 ----------- 1,681,863 ----------- Telecommunications Equipment--2.0% CommScope, Inc., 4.000%, 12/15/06 USD 650,000 558,187 Juniper Networks, Inc., 4.750%, 3/15/07 875,000 743,750 Nortel Networks Corp., 4.250%, 9/01/08 125,000 91,875 ----------- 1,393,812 ----------- Telecommunications--Wireless--0.3% Nextel Communications, Inc., 6.000%, 6/01/11 200,000 195,750 ----------- Textile & Apparel--0.0% Dixie Yarns, Inc., 7.000%, 5/15/12 26,000 14,560 ----------- Trucking & Freight--0.0% Builders Transportation, Inc., 8.000%, 8/15/05^ 75,000 94 ----------- TOTAL CONVERTIBLE BONDS (Identified Cost $ 12,956,344) 14,096,631 ----------- TOTAL BONDS AND NOTES (Identified Cost $ 54,590,499) 59,543,192 ----------- Shares -------------------------------------------------------------------------------- COMMON STOCKS--1.7% of net assets Energy Equipment & Services--0.1% Trico Marine Services, Inc.* 33,866 87,713 ----------- Forest & Paper Products--1.1% Sappi Ltd. ADR** 64,000 763,520 ----------- Real Estate--0.5% Associated Estates Realty Corp. 28,100 154,550 Developers Diversified Realty Corp. 7,125 172,069 ----------- 326,619 ----------- Telecommunication Services--Diversified--0.0% Loxley Public Co. Ltd.* 119,328 27,439 ----------- TOTAL COMMON STOCKS (Identified Cost $ 1,392,443) 1,205,291 ----------- Shares Value + -------------------------------------------------------------------------------- PREFERRED STOCKS--6.9% of net assets NON-CONVERTIBLE PREFERRED STOCKS--2.8% Diversified Financials--0.1% Siam Commercial Bank Public Co. Ltd., 5.250% 144A** 50,000 $ 38,520 ---------- Real Estate--0.9% La Quinta Properties, Inc., Series A, 9.000% 31,100 656,210 ---------- Telecommunications--Wireless--0.2% Nextel Communications, Inc., 11.125% PIK 152 161,120 ---------- Utilities--Electric--1.6% Central Maine Power Co., 3.500% 2,780 138,740 Duquesne Light Co., 4.150% 200 5,800 Entergy Gulf States, Inc., 4.400% 370 24,402 Ohio Edison Co. 4.400% 200 13,606 Pacific Gas & Electric Co., 5.000%^ 10,400 179,920 Pacific Gas & Electric Co., 5.500%^ 200 3,770 Pacific Gas & Electric Co., Series G, 4.800%^ 200 3,390 Southern California Edison Co., 4.320% 1,100 15,455 Southern California Edison Co., 7.230% 7,000 692,562 ---------- 1,077,645 ---------- TOTAL NON-CONVERTIBLE PREFERRED STOCKS (Identified Cost $1,305,180) 1,933,495 ---------- CONVERTIBLE PREFERRED STOCKS--4.1% Auto & Related--0.1% Cummins Capital Trust I, 7.000% 2,000 87,000 ---------- Building Materials--0.0% Owens Corning, 6.500% 144A^ 23,500 0 ---------- Metals & Mining--0.0% Bethlehem Steel Corp., $3.50^ 21,000 0 ---------- Natural Gas--0.5% Western Gas Resources, Inc., $2.625 6,500 325,000 ---------- Oil & Gas Exploration--0.4% Chesapeake Energy Corp., 6.750% 5,000 318,050 ---------- Rail--Transport--0.7% Union Pacific Capital Trust, 6.250% 9,000 459,000 ---------- Real Estate Investment Trusts--0.3% Host Marriott Financial Trust, 6.750% 6,000 202,326 ---------- Telecommunication Services--Diversified--2.1% Philippine Long Distance Telephone Co., $3.50 GDS** 55,950 1,426,725 ---------- TOTAL CONVERTIBLE PREFERRED STOCKS (Identified Cost $3,152,850) 2,818,101 ---------- TOTAL PREFERRED STOCKS (Identified Cost $4,458,030) 4,751,596 ---------- LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 75 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Institutional High Income Fund--continued
Face Amount Value + ----------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS--4.0% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $2,193,030 on 4/01/03 collateralized by $1,855,000 U.S. Treasury Bond, 6.375% due 8/15/27 with a value of $2,241,243 USD 2,193,000 $ 2,193,000 ----------- Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $582,008 on 4/01/03 collateralized by $415,000 U.S. Treasury Bond, 8.125% due 5/15/21 with a value of $596,910 582,000 582,000 ----------- TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,775,000) 2,775,000 ----------- TOTAL INVESTMENTS--98.8% (Identified Cost $63,215,972)@ 68,275,079 Cash and Other Assets, Less Liabilities--1.2% 828,817 ----------- NET ASSETS--100% $69,103,896 ===========
+ See Note 1. ^ Security in default ** Foreign issued security # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. * Non-income producing security PIK All or a portion of income may be received as additional securities. @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $63,238,243 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $8,226,341 and $3,189,505, respectively, resulting in net unrealized appreciation of $5,036,836. Key to Abbreviations: ADR: American Depository Receipts; CAD: Canadian Dollar; DEM: Deutsche Marks; EUR: Euro; GDS: Global Depository Shares; USD: United States Dollar; ZAR: South African Rand See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Intermediate Duration Fixed Income Fund Face Amount Value + -------------------------------------------------------------------------------- BONDS AND NOTES--97.5% of net assets Aerospace/Defense--0.7% Raytheon Co., 6.000%, 12/15/10 $ 100,000 $ 105,020 Raytheon Co., 6.300%, 3/15/05 150,000 160,001 ---------- 265,021 ---------- Asset-Backed Securities--5.6% Asset Securitization Corp., 6.920%, 2/14/29 381,127 408,911 Community Program Loan Trust, 4.500%, 10/01/18 452,965 463,307 Ford Credit Auto Owner Trust, Class B, 4.790%, 11/15/06 450,000 469,525 Vanderbilt Mortgage & Finance, Inc., 6.545%, 4/07/18 600,000 632,354 ---------- 1,974,097 ---------- Auto & Related--2.7% Delphi Automotive Systems Corp., 6.125%, 5/01/04 150,000 154,477 Delphi Automotive Systems Corp., 6.500%, 5/01/09 750,000 799,070 ---------- 953,547 ---------- Banking & Finance--1.3% Bank of America Corp., 7.200%, 4/15/06 50,000 56,105 Citigroup, Inc., 3.500%, 2/01/08 400,000 400,731 ---------- 456,836 ---------- Banks/Savings & Loans--1.1% Wells Fargo & Co., 3.500%, 4/04/08 400,000 402,405 ---------- Cable--3.2% Comcast Cable Communications, 6.200%, 11/15/08 700,000 744,131 Cox Communications, Inc., 6.400%, 8/01/08 250,000 275,892 TCI Communications, Inc., 6.875%, 2/15/06 100,000 108,121 ---------- 1,128,144 ---------- Computers--0.6% Sun Microsystems, Inc., 7.350%, 8/15/04 200,000 207,861 ---------- Consumer Products--0.7% Bausch & Lomb, Inc., 6.500%, 8/01/05 250,000 250,088 ---------- Entertainment--2.7% AOL Time Warner, Inc., 6.125%, 4/15/06 400,000 418,565 AOL Time Warner, Inc., 6.150%, 5/01/07 500,000 530,192 ---------- 948,757 ---------- Financial Services--14.9% Capital One Bank, 6.875%, 2/01/06 225,000 225,980 CIT Group, Inc., 5.500%, 2/15/04 200,000 205,367 CIT Group, Inc., 5.625%, 5/17/04 250,000 258,458 CIT Group, Inc., 7.375%, 4/02/07 250,000 270,891 ERAC USA Finance Co., 6.800%, 2/15/08 144A 200,000 221,027 ERAC USA Finance Co., 7.350%, 6/15/08 144A 200,000 227,182 Ford Motor Credit Co., 5.800%, 1/12/09 650,000 581,664 Ford Motor Credit Co., 7.250%, 10/25/11 250,000 229,436 Ford Motor Credit Co., Class B, 7.370%, 7/15/04 500,000 505,964 General Electric Capital Corp., 6.000%, 6/15/12 500,000 545,245 General Motors Acceptance Corp., 6.150%, 4/05/07 550,000 562,811 Green Tree Financial Corp., 6.080%, 12/01/30 331,292 335,317 Green Tree Financial Corp., 6.160%, 2/01/31 300,000 301,059 Household Finance Corp., 6.375%, 10/15/11 250,000 272,059 LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 77 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Intermediate Duration Fixed Income Fund--continued
Face Amount Value + ---------------------------------------------------------------------------------------- BONDS AND NOTES--continued Financial Services--continued John Deere Capital Corp., 3.900%, 1/15/08 $ 400,000 $ 407,768 Navistar Financial Corp. Owner Trust, 5.590%, 5/15/08 138,132 143,818 ---------- 5,294,046 ---------- Foreign Government/Agency--4.2% PEMEX Project Funding Master Trust, 6.125%, 8/15/08 144A 400,000 411,000 Republic of South Africa, 8.375%, 10/17/06 950,000 1,085,375 ---------- 1,496,375 ---------- Forest & Paper Products--2.9% International Paper Co., 5.850%, 10/30/12 144A 350,000 369,132 MacMillan Bloedel Ltd., 6.750%, 2/15/06** 150,000 161,903 Temple-Inland, Inc., 6.750%, 3/01/09 100,000 108,016 Weyerhaeuser Co., 6.000%, 8/01/06 350,000 378,071 ---------- 1,017,122 ---------- Government Agencies--12.4% Federal Home Loan Mortgage Corp., 2.875%, 9/15/05 1,000,000 1,023,095 Federal Home Loan Mortgage Corp., 4.875%, 3/15/07 1,000,000 1,083,810 Federal Home Loan Mortgage Corp., 5.125%, 10/15/08 500,000 547,442 Federal National Mortgage Association, 5.250%, 4/15/07 1,000,000 1,097,858 Federal National Mortgage Association, 5.500%, 3/15/11 300,000 331,317 Federal National Mortgage Association, 6.000%, 12/15/05 300,000 331,458 ---------- 4,414,980 ---------- Healthcare--Services--1.3% Anthem, Inc., 6.800%, 8/01/12 400,000 451,509 ---------- Insurance--0.8% Provident Cos., Inc., 6.375%, 7/15/05 300,000 291,375 ---------- Investment Banking--2.0% Bear Stearns Co., Inc., 3.000%, 3/30/06 350,000 353,296 Donaldson, Lufkin & Jenrette, Inc., 6.875%, 11/01/05 75,000 82,258 Morgan Stanley Dean Witter & Co., 5.625%, 1/20/04 250,000 258,548 ---------- 694,102 ---------- Machinery--0.7% IDEX Corp., 6.875%, 2/15/08 250,000 265,685 ---------- Media & Entertainment--1.1% Clear Channel Communications, Inc., 4.625%, 1/15/08 125,000 127,159 Clear Channel Communications, Inc., 5.750%, 1/15/13 250,000 258,422 ---------- 385,581 ---------- Mortgage Related--7.2% Federal Home Loan Mortgage Corp., 5.500%, 3/01/13 92,110 96,146 Federal Home Loan Mortgage Corp., 6.000%, 11/01/12 179,587 188,164 Federal National Mortgage Association, 5.500%, 1/01/17 681,098 707,585 Federal National Mortgage Association, 5.500%, 2/01/17 164,302 170,704 Federal National Mortgage Association, 5.500%, 9/01/17 931,398 967,559 Nomura Asset Securities Corp., 6.280%, 3/15/30 276,899 299,779 Prudential Home Mortgage Securities Co., 6.000%, 1/25/09 3,158 3,152 Washington Mutual, Class A6, 5.560%, 4/25/32 108,357 108,224 ---------- 2,541,313 ---------- Natural Gas--0.5% Kinder Morgan, Inc., 6.650%, 3/01/05 165,000 176,108 ----------
Face Amount Value + ------------------------------------------------------------------------------------ BONDS AND NOTES--continued Oil & Gas Drilling Equipment--3.3% Halliburton Co., 5.625%, 12/01/08 $ 150,000 $ 150,000 Halliburton Co., 6.000%, 8/01/06 550,000 569,250 Transocean Sedco Forex, Inc., 6.500%, 4/15/03 450,000 450,782 ---------- 1,170,032 ---------- Oil & Gas Exploration--0.6% Pioneer Natural Resources Co., 6.500%, 1/15/08 200,000 207,347 ---------- Oil & Gas--Major Integrated--1.7% Conoco Funding Co., 5.450%, 10/15/06 250,000 272,261 PDVSDA Finance Ltd., 6.800%, 11/15/08** 60,000 45,750 Phillips Petroleum Co., 6.375%, 3/30/09 250,000 283,070 ---------- 601,081 ---------- Rail--Transport--2.3% Burlington Northern Santa Fe Corp., 6.125%, 3/15/09 200,000 223,659 CSX Corp., 6.750%, 3/15/11 100,000 112,137 Union Pacific Corp., 3.875%, 2/15/09 500,000 499,713 ---------- 835,509 ---------- Real Estate Investment Trusts--3.7% American Health Properties, Inc., 7.500%, 1/15/07 275,000 304,595 EOP Operating LP, 7.000%, 7/15/11 200,000 224,097 Excel Realty Trust, Inc., 6.875%, 10/15/04 250,000 263,417 Highwoods Realty LP, 6.750%, 12/01/03 500,000 514,908 ---------- 1,307,017 ---------- Retail--General--1.7% J.C. Penney Co., Inc., 7.600%, 4/01/07 350,000 358,750 Sears Roebuck Acceptance Corp., 6.250%, 5/01/09 70,000 71,340 Sears Roebuck Acceptance Corp., 6.560%, 11/20/03 100,000 101,980 Sears Roebuck Acceptance Corp., 7.125%, 6/30/03 75,000 75,838 ---------- 607,908 ---------- Telecommunications--6.6% AT&T Corp., 7.000%, 11/15/06 800,000 855,252 Qwest Corp., 5.625%, 11/15/08 150,000 136,500 Sprint Capital Corp., 6.000%, 1/15/07 200,000 202,000 Sprint Capital Corp., 6.125%, 11/15/08 500,000 495,000 Sprint Capital Corp., 6.375%, 5/01/09 400,000 398,000 Sprint Capital Corp., 7.900%, 3/15/05 250,000 262,500 ---------- 2,349,252 ---------- Telecommunications Equipment--4.1% Motorola, Inc., 5.800%, 10/15/08 200,000 201,000 Motorola, Inc., 6.750%, 2/01/06 250,000 263,750 Motorola, Inc., 7.625%, 11/15/10 350,000 376,250 Motorola, Inc., 8.000%, 11/01/11 550,000 602,250 ---------- 1,443,250 ---------- Telecommunications--Wireless--2.4% AT&T Wireless Services, Inc., 7.500%, 5/01/07 550,000 611,011 INTELSAT, 7.625%, 4/15/12 250,000 254,965 ---------- 865,976 ---------- U.S. Government--1.5% U.S. Treasury Notes, 3.000%, 7/15/12 505,210 549,732 ----------
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 79 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Intermediate Duration Fixed Income Fund--continued
Face Amount Value + --------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Utilities--Electric--3.0% Constellation Energy Group, Inc., 6.350%, 4/01/07 $ 500,000 $ 546,065 Exelon Generation Co. LLC, 6.950%, 6/15/11 100,000 111,531 Pennsylvania Electric Co., 5.750%, 4/01/04 200,000 205,604 Progress Energy, Inc., 6.750%, 3/01/06 200,000 218,756 ------------ 1,081,956 ------------ TOTAL BONDS AND NOTES (Identified Cost $32,762,619) 34,634,012 ------------ SHORT-TERM INVESTMENT--14.6% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $5,194,072 on 4/01/03 collateralized by $3,585,000 U.S. Treasury Bond, 8.875% due 8/15/17 with a value of $5,299,100 5,194,000 5,194,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $5,194,000) 5,194,000 ------------ TOTAL INVESTMENTS--112.1% (Identified Cost $37,956,619)@ 39,828,012 Liabilities, Less Cash and Other Assets--(12.1%) (4,294,419) ------------ NET ASSETS--100% $ 35,533,593 ============
---------- + See Note 1. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ** Foreign issued security @ At March 31,2003, the net unrealized appreciation on investments based on cost of $38,013,431 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $1,903,165 and $88,584, respectively, resulting in net unrealized appreciation of $1,814,581. See accompanying notes to financial statements. PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Investment Grade Fixed Income Fund
Face Amount Value + --------------------------------------------------------------------------------------------------------------- BONDS AND NOTES--94.4% of net assets NON-CONVERTIBLE BONDS--93.5% Aerospace/Defense--2.0% Raytheon Co., 6.400%, 12/15/18 USD 2,500,000 $ 2,600,140 ----------- Airlines--0.5% US Airways, 6.850%, 1/30/18 888,431 719,629 ----------- Air Transport--0.8% Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/19 216,781 140,908 Atlas Air, Inc., 7.680%, 1/02/14 3,429,237 943,040 ----------- 1,083,948 ----------- Asset-Backed Securities--1.2% Community Program Loan Trust, 4.500%, 4/01/29 1,750,000 1,586,730 ----------- Auto & Related--4.2% Dana Corp., 7.000%, 3/01/29 375,000 286,875 Delphi Automotive Systems Corp., 7.125%, 5/01/29 2,500,000 2,409,692 Ford Motor Co., 6.375%, 2/01/29 3,350,000 2,261,696 General Motors Corp., 6.750%, 5/01/28 700,000 591,359 ----------- 5,549,622 ----------- Banking & Finance--0.4% First Union Institutional Trust, 7.850%, 1/01/27 500,000 539,753 ----------- Banks/Savings & Loans--0.9% Keycorp Capital II, 6.875%, 3/17/29 500,000 489,154 Keycorp Capital III, 7.750%, 7/15/29 650,000 716,674 ----------- 1,205,828 ----------- Canadian--19.9% Canadian Government, 3.500%, 6/01/04 CAD 3,625,000 2,464,531 Canadian Government, 4.500%, 9/01/07 945,000 645,373 Canadian Government, 6.000%, 9/01/05 6,870,000 4,896,547 Milit-Air, Inc., 5.750%, 6/30/19 1,653,824 1,138,009 New Brunswick FM Project, 0.000%, 11/30/27 (step to 6.470% on 5/30/03)# 500,000 349,387 Province of Alberta, 5.000%, 12/16/08 2,000,000 1,377,073 Province of Alberta, 5.930%, 9/16/16 601,475 425,168 Province of British Columbia, Zero Coupon Bond, 8/23/13 5,000,000 1,867,972 Province of British Columbia, Zero Coupon Bond, 6/09/14 1,000,000 354,268 Province of British Columbia, Zero Coupon Bond, 8/19/22 4,195,000 842,712 Province of British Columbia, Zero Coupon Bond, 11/19/27 1,250,000 181,927 Province of British Columbia, 5.700%, 6/18/29 325,000 213,221 Province of Manitoba, 6.500%, 9/22/17 1,825,000 1,339,182 Province of Manitoba, 7.750%, 12/22/25 3,100,000 2,563,272 Province of Newfoundland, 6.150%, 4/17/28 500,000 340,245 Province of Ontario, 5.900%, 3/08/06 3,530,000 2,515,215 Province of Saskatchewan, Zero Coupon Bond, 4/10/14 2,500,000 894,486 Province of Saskatchewan, 5.750%, 3/05/29 5,225,000 3,433,490 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 2/04/22 1,281,000 263,874 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 5/30/25 1,250,000 207,896 ----------- 26,313,848 -----------
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 81 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Investment Grade Fixed Income Fund--continued
Face Amount Value + ------------------------------------------------------------------------------------------------ BONDS AND NOTES--continued Computers--0.4% Dell Computer Corp., 7.100%, 4/15/28 USD 450,000 $ 515,628 ----------- Consumer Products--0.9% Bausch & Lomb, Inc., 7.125%, 8/01/28 1,250,000 1,137,500 ----------- Electronic Components--Semiconductors--0.4% Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A** 500,000 496,729 ----------- Entertainment--3.3% Time Warner Entertainment Co., 6.875%, 6/15/18 410,000 418,566 Time Warner Entertainment Co., 6.950%, 1/15/28 2,250,000 2,200,824 Time Warner, Inc., 6.625%, 5/15/29 1,850,000 1,738,142 ----------- 4,357,532 ----------- Financial Services--2.7% Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A** 500,000 342,500 CIT Group, Inc., 5.500%, 5/16/05 200,000 221,483 CIT Group, Inc., 7.750%, 4/02/12 1,000,000 1,118,825 Ford Motor Credit Co., 6.500%, 1/25/07 150,000 144,583 Ford Motor Credit Co., 7.250%, 2/22/05 GBP 250,000 386,184 General Motors Acceptance Corp., 7.500%, 12/01/06 NZD 1,500,000 835,422 Petrozuata Finance, Inc., 8.220%, 4/01/17 144A** USD 700,000 483,000 ----------- 3,531,997 ----------- Foreign Government/Agency--9.1% Government of Sweden, 5.250%, 3/15/11 SEK 10,000,000 1,239,618 Kingdom of Norway, 6.750%, 1/15/07 NOK 25,250,000 3,664,711 New South Wales Treasury, Zero Coupon Bond, 11/23/20 AUD 6,000,000 1,271,289 PEMEX Project Funding Master Trust, 8.625%, 2/01/22 144A USD 500,000 527,500 Republic of Brazil C Bond, 8.000%, 4/15/14 615,703 487,945 Republic of South Africa, 8.500%, 6/23/17 1,125,000 1,338,750 Republic of South Africa, 12.500%, 12/21/06 ZAR 5,840,000 776,323 Republic of South Africa, 13.000%, 8/31/10 2,475,000 359,994 Republic of South Africa, 13.500%, 9/15/15 1,920,000 305,594 South Australia Government Finance Authority, Zero Coupon Bond, 12/21/15 AUD 900,000 273,045 United Mexican States, 7.500%, 1/14/12 USD 905,000 987,808 United Mexican States, 8.300%, 8/15/31 750,000 806,250 ----------- 12,038,827 ----------- Forest & Paper Products--2.9% Georgia-Pacific Corp. (Timber Group), 7.250%, 6/01/28 1,500,000 1,125,000 Georgia-Pacific Group, 7.750%, 11/15/29 1,775,000 1,402,250 MacMillan Bloedel Ltd., 7.700%, 2/15/26 305,000 327,750 Westvaco Corp., 7.000%, 8/15/23 500,000 504,770 Weyerhaeuser Co., 6.950%, 10/01/27 500,000 518,316 ----------- 3,878,086 ----------- Government Agencies--8.4% Federal Home Loan Mortgage Corp., 4.625%, 2/15/07 EUR 4,100,000 4,702,241 Federal National Mortgage Association, Zero Coupon Bond, 10/29/07 NZD 6,850,000 2,922,158 Federal National Mortgage Association, 5.000%, 1/15/07 USD 1,000,000 1,087,104
Face Amount Value + ---------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Government Agencies--continued Federal National Mortgage Association, 5.250%, 6/15/06 USD 500,000 $ 545,309 Federal National Mortgage Association, 6.375%, 8/15/07 AUD 3,000,000 1,900,077 ----------- 11,156,889 ----------- Healthcare--Services--2.1% Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 USD 100,000 97,704 HCA, Inc., 6.250%, 2/15/13 150,000 153,869 HCA, Inc., 6.300%, 10/01/12 2,450,000 2,516,870 ----------- 2,768,443 ----------- Home Builders--2.4% Pulte Corp., 7.000%, 12/15/03 188,000 191,971 Pulte Corp., 7.300%, 10/24/05 200,000 213,107 Pulte Corp., 7.625%, 10/15/17 2,000,000 2,244,034 Pulte Homes, Inc., 7.875%, 6/15/32 500,000 535,080 ----------- 3,184,192 ----------- Insurance--1.3% Aon Corp., 7.375%, 12/14/12 144A 575,000 631,738 Progressive Corp., 6.625%, 3/01/29 35,000 38,345 UnumProvident Corp., 6.750%, 12/15/28 1,300,000 1,079,000 ----------- 1,749,083 ----------- Media & Entertainment--0.2% Clear Channel Communications, Inc., 5.750%, 1/15/13 250,000 258,421 ----------- Metals & Mining--0.1% Teck Cominco Ltd., 7.000%, 9/15/12 100,000 99,838 ----------- Natural Gas--3.9% Coastal Corp., 6.950%, 6/01/28 350,000 245,000 El Paso Corp., 5.750%, 3/14/06 100,000 87,284 El Paso Corp., 7.000%, 5/15/11 1,125,000 888,750 El Paso Energy Corp., 6.750%, 5/15/09 250,000 201,250 KN Capital Trust, 7.630%, 4/15/28 2,000,000 2,089,964 KN Energy, Inc., 7.250%, 3/01/28 1,000,000 1,073,937 Tennessee Gas Pipeline Co., 7.000%, 10/15/28 500,000 415,000 Tennessee Gas Pipeline Co., 7.500%, 4/01/17 100,000 91,000 ----------- 5,092,185 ----------- Oil & Gas Drilling Equipment--0.2% Global Marine, Inc., 7.000%, 6/01/28 250,000 273,931 ----------- Oil & Gas Exploration--0.3% Transgas De Occidente SA, 9.790%, 11/01/10 144A** 428,167 385,351 Union Oil Co., 7.500%, 2/15/29 45,000 51,557 ----------- 436,908 ----------- Oil & Gas Refining--0.4% Merey Sweeny LP, 8.850%, 12/18/19 144A 500,000 560,965 ----------- Oil & Gas--Major Integrated--2.2% PDVSA Finance Ltd., 7.400%, 8/15/16** 2,000,000 1,360,000 PDVSA Finance Ltd., 7.500%, 11/15/28** 2,000,000 1,320,000 Pecom Energia SA, 8.125%, 7/15/10 144A 332,000 255,640 ----------- 2,935,640 -----------
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 83 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Investment Grade Fixed Income Fund--continued
Face Amount Value + ---------------------------------------------------------------------------------------------- BONDS AND NOTES--continued Rail--Transport--0.1% Missouri Pacific Railroad Co., 5.000%, 1/01/45 USD 175,000 $ 117,451 ---------- Real Estate Investment Trusts--3.8% EOP Operating LP, 6.750%, 2/15/12 250,000 275,333 EOP Operating LP, 7.500%, 4/19/29 2,000,000 2,177,476 First Industrial LP, 7.600%, 7/15/28 1,250,000 1,322,926 Highwoods Realty LP, 7.500%, 4/15/18 1,000,000 971,481 Spieker Properties, Inc., 7.500%, 10/01/27 234,000 247,326 ---------- 4,994,542 ---------- Retail--General--1.3% J.C. Penney Co., Inc., 7.650%, 8/15/16 500,000 480,000 J.C. Penney Co., Inc., 7.950%, 4/01/17 250,000 240,000 Sears Roebuck Acceptance Corp., 6.500%, 12/01/28 500,000 452,245 Sears Roebuck Acceptance Corp., 6.700%, 4/15/12 335,000 342,819 Sears Roebuck Acceptance Corp., 6.750%, 8/15/11 130,000 132,857 Sears Roebuck Acceptance Corp., 6.750%, 1/15/28 100,000 92,440 ---------- 1,740,361 ---------- Shipping--0.4% American President Cos. Ltd., 7.125%, 11/15/03 500,000 472,500 American President Cos. Ltd., 8.000%, 1/15/24 100,000 59,875 ---------- 532,375 ---------- Supranational--4.8% European Bank for Reconstruction & Development, Zero Coupon Bond, 2/10/28 AUD 5,000,000 741,840 International Bank for Reconstruction & Development, Zero Coupon Bond, 8/20/07 NZD 9,650,000 4,138,193 International Bank for Reconstruction & Development, 5.500%, 11/03/08 1,000,000 543,312 International Bank for Reconstruction & Development, 8.000%, 5/23/07 1,505,000 893,195 ---------- 6,316,540 ---------- Taxable Municipal--0.9% Orange County, California Pension Obligation, Zero Coupon Bond, 9/01/16 USD 2,500,000 1,176,125 ---------- Telecommunications--4.9% AT&T Corp., 6.500%, 11/21/06 EUR 250,000 275,490 Sprint Capital Corp., 6.875%, 11/15/28 USD 3,750,000 3,281,250 Sprint Capital Corp., 6.900%, 5/01/19 250,000 228,750 Telekom Malaysia Berhad, 7.875%, 8/01/25 144A** 2,235,000 2,314,913 US West Capital Funding, Inc., 6.500%, 11/15/18 500,000 346,250 ---------- 6,446,653 ---------- Telecommunications Equipment--0.5% Motorola, Inc., 6.500%, 11/15/28 500,000 452,500 Motorola, Inc., 7.625%, 11/15/10 250,000 268,750 ---------- 721,250 ---------- Telecommunications--Wireless--0.4% INTELSAT, 7.625%, 4/15/12 500,000 509,929 ---------- Textile & Apparel--0.7% Kellwood Co., 7.625%, 10/15/17 1,000,000 920,000 ----------
Face Amount Value + ------------------------------------------------------------------------------------------------------------ BONDS AND NOTES--continued Utilities--Electric--4.6% Commonwealth Edison Co., 4.750%, 12/01/11 USD 101,000 $ 103,549 Empresa Nacional de Electricidad SA (Endesa), 7.875%, 2/01/27** 400,000 297,788 Enersis SA, 7.400%, 12/01/16** 3,300,000 2,301,793 Tenaga Nasional Berhad, 7.500%, 11/01/25 144A** 3,390,000 3,375,087 ------------ 6,078,217 ------------ TOTAL NON-CONVERTIBLE BONDS (Identified Cost $120,265,622) 123,625,735 ------------ CONVERTIBLE BONDS--0.9% of net assets Computer Hardware--0.0% Maxtor Corp., 5.750%, 3/01/12 70,000 46,200 ------------ Electronic Components--Semiconductors--0.4% Analog Devices, Inc., 4.750%, 10/01/05 425,000 429,250 Richardson Electronics Ltd., 7.250%, 12/15/06 50,000 42,500 ------------ 471,750 ------------ Oil & Gas Exploration--0.5% Devon Energy Corp., 4.900%, 8/15/08 200,000 204,000 Devon Energy Corp., 4.950%, 8/15/08 500,000 511,250 ------------ 715,250 ------------ Trucking & Freight--0.0% Builders Transportation, Inc., 6.500%, 5/01/11^ 129,000 161 ------------ TOTAL CONVERTIBLE BONDS (Identified Cost $1,267,622) 1,233,361 ------------ TOTAL BONDS AND NOTES (Identified Cost $121,533,244) 124,859,096 ------------ Shares ----------------------------------------------------------------------------------------------------------- COMMON STOCKS--0.5% of net assets Auto Components--0.3% Magna International, Inc. Class A 6,732 351,949 ------------ Energy Equipment & Services--0.1% Diamond Offshore Drilling, Inc. 8,641 167,722 ------------ Telecommunication Services--Diversified--0.1% Loxley Public Co. Ltd.* 457,326 105,163 ------------ TOTAL COMMON STOCKS (Identified Cost $920,680) 624,834 ------------ PREFERRED STOCKS--2.9% of net assets NON-CONVERTIBLE PREFERRED STOCKS--1.2% Real Estate Investment Trusts--0.0% First Industrial Realty Trust, Inc., Series E, 7.900% 850 21,123 ------------
LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 85 PORTFOLIO OF INVESTMENTS--as of March 31, 2003 (Unaudited) Loomis Sayles Investment Grade Fixed Income Fund--continued Shares Value + -------------------------------------------------------------------------------- NON-CONVERTIBLE PREFERRED STOCKS--continued Utilities--Electric--1.2% Central Illinois Light Co., 4.500% 100 $ 6,920 Connecticut Light & Power Co., $2.20 263 8,285 Dayton Power & Light Co., 3.750% 701 44,163 Del Marva Power & Light Co., 4.000% 350 20,267 Duquesne Light Co., 4.000% 300 7,905 MDU Resources Group, Inc., 5.100% 144A 720 72,720 Northern Indiana Public Service Co., 4.250% 2,410 154,240 Pacific Gas & Electric Co., 5.500%^ 100 1,885 Pacific Gas & Electric Co., Series D, 5.000%^ 25,100 433,728 PSI Energy, Inc., 4.320% 200 3,650 Public Service Electric & Gas Co., 4.080% 400 27,600 San Diego Gas & Electric Co., 4.500% 100 1,525 Southern California Edison Co., 4.240% 5,700 84,075 Southern California Edison Co., 4.320% 23,380 328,489 Southern California Edison Co., 4.780% 8,000 120,800 Union Electric Co., $4.50 4,410 326,340 Xcel Energy, Inc., $4.08 50 2,849 Xcel Energy, Inc., $4.10 100 5,850 ---------- 1,651,291 ---------- TOTAL NON-CONVERTIBLE PREFERRED STOCKS (Identified Cost $1,509,773) 1,672,414 ---------- CONVERTIBLE PREFERRED STOCKS--1.7% Building Materials--0.0% Owens Corning, 6.500%^ 2,500 0 ---------- Financial Services--0.5% Newell Financial Trust I, 5.250% 15,000 695,625 ---------- Forest & Paper Products--0.4% International Paper Capital Trust, 5.250% 10,000 480,000 ---------- Oil & Gas Drilling Equipment--0.5% EVI, Inc., 5.000% 13,925 701,472 ---------- Real Estate Investment Trusts--0.3% Equity Residential Properties Trust, 7.250% 14,350 358,606 ---------- TOTAL CONVERTIBLE PREFERRED STOCKS (Identified Cost $1,886,826) 2,235,703 ---------- TOTAL PREFERRED STOCKS (Identified Cost $3,396,599) 3,908,117 ----------
Face Amount Value + --------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT--1.3% of net assets Repurchase Agreement with State Street Corp., dated 3/31/03 at 0.500% to be repurchased at $1,696,024 on 4/01/03 collateralized by $2,615,000 U.S. Treasury Bond, 8.000% due 11/15/21 with a value of $1,736,975 USD 1,696,000 $ 1,696,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $ 1,696,000) 1,696,000 ------------ TOTAL INVESTMENTS--99.1% (Identified Cost $127,546,523)@ 131,088,047 Cash and Other Assets, Less Liabilities--0.9% 1,129,007 ------------ NET ASSETS--100% $132,217,054 ============
---------- + See Note 1. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ** Foreign issued security ^ Security in default * Non-income producing security @ At March 31, 2003, the net unrealized appreciation on investments based on cost of $127,614,344 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $10,543,058 and $7,069,355 respectively, resulting in net unrealized appreciation of $3,473,703. Key to Abbreviations: AUD: Australian Dollar; CAD: Canadian Dollar; EUR: Euro; GBP: Great British Pound; NZD: New Zealand Dollar; NOK: Norwegian Krone; SEK: Swedish Krona; USD: United States Dollar; ZAR: South African Rand See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 87 STATEMENTS OF ASSETS AND LIABILITIES March 31, 2003 (Unaudited)
Intermediate Investment Benchmark Core Plus Institutional Duration Grade Core Fixed Fixed High Fixed Fixed Bond Fund Income Fund Income Fund Income Fund Income Fund Income Fund ------------------------------------------------------------------------------------------------------------------------------------ Assets Investments at value $ 35,138,428 $ 7,192,491 $359,275,287 $ 65,500,079 $ 34,634,012 $129,392,047 Repurchase agreements at value 1,334,000 1,742,000 3,647,000 2,775,000 5,194,000 1,696,000 Cash 100 66 1,011 713 617 487,533 Foreign currency at value 0 0 189,650 12,831 0 152,311 Receivable for: Securities sold 183,423 0 574,018 293,835 0 1,215,366 Dividends and interest 317,864 83,307 5,615,383 1,326,764 531,256 2,216,118 Due from the adviser 0 7,585 13,334 5,630 5,338 7,153 --------------------------------------------------------------------------------------- 36,973,815 9,025,449 369,315,683 69,914,852 40,365,223 135,166,528 --------------------------------------------------------------------------------------- Liabilities Payable for: Securities purchased 0 1,506,095 0 741,814 804,243 1,935,098 Fund shares redeemed 150,000 237 2,710,000 0 4,000,000 925,000 Foreign taxes 0 0 7,373 10,039 0 0 Accrued expenses: Management fees 11,002 1,785 156,585 34,385 10,059 45,270 Trustees' fees 537 537 537 537 537 537 Administrative fees 1,134 0 11,612 2,050 1,204 4,225 Other 24,453 14,566 80,635 22,131 15,587 39,344 --------------------------------------------------------------------------------------- 187,126 1,523,220 2,966,742 810,956 4,831,630 2,949,474 --------------------------------------------------------------------------------------- Net Assets $ 36,786,689 $ 7,502,229 $366,348,941 $ 69,103,896 $ 35,533,593 $132,217,054 ======================================================================================= Net Assets consist of: Capital paid in $ 37,029,413 $ 9,603,705 $390,486,921 $ 83,765,659 $ 34,888,868 $126,808,303 Undistributed net investment income (loss) 234,822 23,029 6,521,423 1,588,180 (18,836) 442,956 Accumulated net realized gain (loss) (1,141,171) (2,341,838) (39,075,395) (21,313,920) (1,207,832) 1,409,236 Unrealized appreciation (depreciation) on:* Investments 663,625 216,770 8,385,897 5,059,107 1,871,393 3,541,524 Foreign currency translations 0 563 30,095 4,870 0 15,035 --------------------------------------------------------------------------------------- Net Assets $ 36,786,689 $ 7,502,229 $366,348,941 $ 69,103,896 $ 35,533,593 $132,217,054 ======================================================================================= Institutional Class Net assets $ 36,756,029 $ 7,502,229 $366,348,941 $ 69,103,896 $ 35,533,593 $132,217,054 Shares of beneficial interest outstanding, no par value 3,510,374 792,466 31,726,658 12,057,882 3,595,200 10,890,917 Net asset value and redemption price $ 10.47 $ 9.47 $ 11.55 $ 5.73 $ 9.88 $ 12.14 Retail Class Net assets $ 19,717 -- -- -- -- -- Shares of beneficial interest outstanding, no par value 1,885 -- -- -- -- -- Net asset value and redemption price $ 10.46 -- -- -- -- -- Admin Class Net assets $ 10,943 -- -- -- -- -- Shares of beneficial interest outstanding, no par value 1,047 -- -- -- -- -- Net asset value and redemption price $ 10.45 -- -- -- -- -- Identified cost of investments $ 35,808,803 $ 8,717,721 $354,536,390 $ 63,215,972 $ 37,956,619 $127,546,523 Cost of foreign currency $ 0 $ 0 $ 187,027 $ 12,382 $ 0 $ 149,500
* Net of capital gain withholding taxes of $1,400 for Institutional High Income Fund. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 88 & 89 STATEMENTS OF OPERATIONS For the Six Months Ended March 31, 2003 (Unaudited)
Core Plus Institutional Intermediate Investment Benchmark Fixed High Duration Grade Core Income Fixed Income Fixed Fixed Bond Fund Fund Income Fund Fund Income Fund Income Fund ------------------------------------------------------------------------------------------------------------------------------- Investment Income Dividends* $ 0 $ 0 $ 395,842 $ 268,169 $ 0 $ 98,797 Interest 515,933 698,839 14,754,589 3,415,016 1,176,586 4,597,524 -------------------------------------------------------------------------- Total Income 515,933 698,839 15,150,431 3,683,185 1,176,586 4,696,321 -------------------------------------------------------------------------- Expenses Management fees 31,110 39,993 916,950 184,436 60,656 265,459 12b-1 fees (Retail Class) 33 0 0 0 0 0 12b-1 fees (Admin Class) 14 0 0 0 0 0 Shareholder service fees (Admin Class) 14 0 0 0 0 0 Trustees' fees and expenses 3,018 3,018 3,018 3,018 3,018 3,018 Administrative fees (Note 3) 3,629 4,000 64,187 10,759 7,077 23,228 Custodian and accounting fees 33,071 24,308 125,111 38,082 28,691 56,882 Transfer Agent fees (Institutional Class) 9,215 9,376 20,646 10,653 9,843 11,828 Transfer Agent fees (Retail Class) 6,553 0 0 0 0 0 Transfer Agent fees (Admin Class) 6,469 0 0 0 0 0 Audit and tax services fees 16,323 18,251 80,964 21,854 16,036 37,686 Registration fees 20,291 4,945 8,479 7,784 7,766 5,643 Printing fees 1,997 3,535 37,798 3,100 2,560 13,438 Legal fees 965 1,126 12,862 900 527 4,328 Other expenses 1,554 1,685 6,205 1,644 1,522 2,866 ========================================================================== Total expenses 134,256 110,237 1,276,220 282,230 137,696 424,376 Less expenses waived and reimbursed by the investment adviser (87,529) (58,817) (84,185) (51,685) (46,712) (59,370) -------------------------------------------------------------------------- Net expenses 46,727 51,420 1,192,035 230,545 90,984 365,006 -------------------------------------------------------------------------- Net investment income 469,206 647,419 13,958,396 3,452,640 1,085,602 4,331,315 -------------------------------------------------------------------------- Net Realized Gain (Loss) on: Investments 162,825 248,326 (7,376,515) (3,864,184) (745,562) 1,836,624 Foreign currency transactions 0 287 158,966 10,969 0 82,950 -------------------------------------------------------------------------- Total net realized gain (loss) 162,825 248,613 (7,217,549) (3,853,215) (745,562) 1,919,574 -------------------------------------------------------------------------- Change in Unrealized Appreciation (Depreciation) on: Investments (215,536) 78,234 43,818,540 13,285,918 1,927,416 5,978,063 Foreign currency translations 0 824 13,889 1,702 0 8,043 -------------------------------------------------------------------------- Total net change in unrealized appreciation (depreciation) (215,536) 79,058 43,832,429 13,287,620 1,927,416 5,986,106 -------------------------------------------------------------------------- Total net realized gain (loss) and change in unrealized appreciation (depreciation) (52,711) 327,671 36,614,880 9,434,405 1,181,854 7,905,680 -------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations $416,495 $975,090 $50,573,276 $12,887,045 $2,267,456 $12,236,995 ==========================================================================
* Net of foreign withholding taxes of $24,866, $23,757 and $687 for the Fixed Income, Institutional High Income and Investment Grade Fixed Income Funds, respectively. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 90 & 91 STATEMENTS OF CHANGES IN NET ASSETS Benchmark Core Bond Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ------------------------------------------------------------------------------------------------------------------------------- From Operations Net investment income $ 469,206 $ 1,007,139 Net realized gain (loss) 162,825 (273,346) Change in unrealized appreciation (depreciation) (215,536) 461,682 ------------------------------------------ Increase (decrease) in net assets from operations 416,495 1,195,475 ------------------------------------------ From Distributions to Shareholders Institutional Class Net investment income (657,294) (1,475,272) Retail Class Net investment income (619) 0 Admin Class Net investment income (377) 0 ------------------------------------------ Total distributions (658,290) (1,475,272) ------------------------------------------ From Capital Share Transactions (Note 6) Increase (decrease) in net assets from capital share transactions 19,410,215 1,421,671 ------------------------------------------ Total increase (decrease) in net assets 19,168,420 1,141,874 Net Assets Beginning of the period 17,618,269 16,476,395 ------------------------------------------ End of the period $ 36,786,689 $ 17,618,269 ========================================== Undistributed Net Investment Income End of the period $ 234,822 $ 423,906 ==========================================
Core Plus Fixed Income Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ----------------------------------------------------------------------------------------------------------------------------- From Operations Net investment income $ 647,419 $ 2,390,717 Net realized gain (loss) 248,613 (2,255,542) Change in unrealized appreciation (depreciation) 79,058 (207,779) ---------------------------------------- Increase (decrease) in net assets from operations 975,090 (72,604) ---------------------------------------- From Distributions to Shareholders Net investment income (924,300) (2,988,027) Net realized gain on investments 0 (307,596) ---------------------------------------- Total distributions (924,300) (3,295,623) ---------------------------------------- From Capital Share Transactions (Note 6) Increase (decrease) in net assets from capital share transactions (25,211,351) (3,483,112) ---------------------------------------- Total increase (decrease) in net assets (25,160,561) (6,851,339) Net Assets Beginning of the period 32,662,790 39,514,129 ---------------------------------------- End of the period $ 7,502,229 $ 32,662,790 ======================================== Undistributed Net Investment Income End of the period $ 23,029 $ 299,910 ========================================
See accompanying notes to financial statements. Fixed Income Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ----------------------------------------------------------------------------------------------------------------------------- From Operations Net investment income $ 13,958,396 $ 30,975,116 Net realized gain (loss) (7,217,549) (24,102,176) Change in unrealized appreciation (depreciation) 43,832,429 18,809,947 ------------------------------------------ Increase (decrease) in net assets from operations 50,573,276 25,682,887 ------------------------------------------ From Distributions to Shareholders Net investment income (29,163,220) (35,540,100) ------------------------------------------ From Capital Share Transactions (Note 6) Increase (decrease) in net assets from capital share transactions (27,202,588) (38,092,395) ------------------------------------------ Total increase (decrease) in net assets (5,792,532) (47,949,608) Net Assets Beginning of the period 372,141,473 420,091,081 ------------------------------------------ End of the period $ 366,348,941 $ 372,141,473 ========================================== Undistributed Net Investment Income End of the period $ 6,521,423 $ 21,726,247 ========================================== Institutional High Income Fund Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ------------------------------------------------------------------------------------------------------------------------------ From Operations Net investment income $ 3,452,640 $ 3,811,122 Net realized gain (loss) (3,853,215) (9,947,180) Change in unrealized appreciation (depreciation) 13,287,620 3,615,699 ---------------------------------------- Increase (decrease) in net assets from operations 12,887,045 (2,520,359) ---------------------------------------- From Distributions to Shareholders Net investment income (2,101,149) (7,295,149) ---------------------------------------- From Capital Share Transactions (Note 6) Increase (decrease) in net assets from capital share transactions 1,263,014 34,898,589 Redemption fees 19 0 ---------------------------------------- Total increase (decrease) in net assets 12,048,929 25,083,081 Net Assets Beginning of the period 57,054,967 31,971,886 ---------------------------------------- End of the period $ 69,103,896 $ 57,054,967 ======================================== Undistributed Net Investment Income End of the period $ 1,588,180 $ 236,689 ========================================
See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 93 STATEMENTS OF CHANGES IN NET ASSETS Intermediate Duration Fixed Income Fund
Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ---------------------------------------------------------------------------------------------------------------------- From Operations Net investment income $ 1,085,602 $ 1,560,821 Net realized gain (loss) (745,562) (447,953) Change in unrealized appreciation (depreciation) 1,927,416 (793,777) ------------------------------------- Increase (decrease) in net assets from operations 2,267,456 319,091 ------------------------------------- From Distributions to Shareholders Net investment income (1,179,669) (1,565,899) Net realized gain on investments 0 (20,901) ------------------------------------- Total distributions (1,179,669) (1,586,800) ------------------------------------- From Capital Share Transactions (Note 6) Increase (decrease) in net assets from capital share transactions (6,288,654) 18,434,323 ------------------------------------- Total increase (decrease) in net assets (5,200,867) 17,166,614 Net Assets Beginning of the period 40,734,460 23,567,846 ------------------------------------- End of the period $ 35,533,593 $ 40,734,460 ===================================== Undistributed Net Investment Income (Loss) End of the period $ (18,836) $ 75,231 ===================================== Investment Grade Fixed Income Fund Six Months Ended Year Ended March 31, 2003 (Unaudited) September 30, 2002 ---------------------------------------------------------------------------------------------------------------------- From Operations Net investment income $ 4,331,315 $ 10,003,151 Net realized gain (loss) 1,919,574 (100,178) Change in unrealized appreciation (depreciation) 5,986,106 4,592,433 --------------------------------------- Increase (decrease) in net assets from operations 12,236,995 14,495,406 --------------------------------------- From Distributions to Shareholders Net investment income (5,356,627) (8,536,793) Net realized gain on investments (510,543) (820,356) --------------------------------------- Total distributions (5,867,170) (9,357,149) --------------------------------------- From Capital Share Transactions (Note 6) Increase (decrease) in net assets from capital share transactions (10,194,447) (17,264,839) --------------------------------------- Total increase (decrease) in net assets (3,824,622) (12,126,582) Net Assets Beginning of the period 136,041,676 148,168,258 --------------------------------------- End of the period $ 132,217,054 $ 136,041,676 ======================================= Undistributed Net Investment Income End of the period $ 442,956 $ 1,468,268 =======================================
See accompanying notes to financial statements. THIS PAGE INTENTIONALLY LEFT BLANK LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 95 FINANCIAL HIGHLIGHTS
Income (Loss) from Investment Operations Less Distributions --------------------------------------------- --------------------------------- Net asset Net realized Dividends Distributions value, Net and unrealized Total from from from net beginning investment gain (loss) on investment net investment realized of period income (loss) investments operations income capital gains ------------------------------------------------------------------------------------------------------------------------------------ Benchmark Core Bond Fund Institutional Class 3/31/2003(f) $10.59 $ 0.23(d) $ 0.06 $ 0.29 $(0.41) $-- 9/30/2002+ 10.80 0.60(d) 0.09 0.69 (0.90) -- 9/30/2001 10.51 0.71(d) 0.47 1.18 (0.89) -- 9/30/2000 10.55 0.69(d) (0.12) 0.57 (0.61) -- 9/30/1999 11.49 0.61 (0.76) (0.15) (0.64) (0.15) 9/30/1998(g) 10.66 0.50 0.33 0.83 -- (0.00(e) 12/31/1997 10.14 0.39 0.55 0.94 (0.39) (0.03) Retail Class 3/31/2003(f) 10.58 0.24(d) 0.03 0.27 (0.39) -- 9/30/2002*+ 10.04 0.20(d) 0.34 0.54 -- -- Admin Class 3/31/2003(f) 10.57 0.22(d) 0.03 0.25 (0.37) -- 9/30/2002*+ 10.04 0.19(d) 0.34 0.53 -- -- Core Plus Fixed Income Fund Institutional Class 3/31/2003(f) $ 9.43 $ 0.27(d) $ 0.18 $ 0.45 $(0.41) $-- 9/30/2002++ 10.30 0.62(d) (0.64) (0.02) (0.77) (0.08) 9/30/2001** 10.00 0.20(d) 0.10 0.30 -- -- Fixed Income Fund Institutional Class 3/31/2003(f) $10.95 $ 0.43(d) $ 1.12 $ 1.55 $(0.95) $-- 9/30/2002+++ 11.23 0.87(d) (0.15) 0.72 (1.00) -- 9/30/2001 11.95 0.96(d) (0.78) 0.18 (0.90) -- 9/30/2000 12.09 0.99(d) (0.30) 0.69 (0.83) -- 9/30/1999 12.47 0.97 (0.27) 0.70 (0.82) (0.26) 9/30/1998(g) 12.59 0.57 (0.62) (0.05) -- (0.07) 12/31/1997 12.08 0.72 0.89 1.61 (0.75) (0.35) Institutional High Income Fund Institutional Class 3/31/2003(f) $ 4.81 $ 0.29(d) $ 0.81 $ 1.10 $(0.18) $-- 9/30/2002++++ 6.50 0.68(d) (0.96) (0.28) (1.41) -- 9/30/2001 8.33 0.91(d) (1.93) (1.02) (0.81) -- 9/30/2000 8.40 0.94(d) (0.11) 0.83 (0.90) -- 9/30/1999 8.41 0.95 0.35 1.30 (1.07) (0.24) 9/30/1998(g) 10.04 0.77 (2.31) (1.54) -- (0.09) 12/31/1997 10.16 0.70 0.20 0.90 (0.71) (0.31)
+As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities and reclassifying paydown gains and losses to interest income for financial statement purposes only. For the year ended September 30, 2002, the effect of this change to the Institutional, Retail and Admin Classes was a decrease to net investment income by $0.03, $0.03 and $0.03 per share, respectively, an increase to net realized and unrealized gain (loss) on investments by $0.03, $0.03 and $0.03 per share, respectively and a decrease to the ratio of net investment income to average net assets from 6.10% to 5.77%, 5.39% to 4.60% and 5.11% to 4.33% respectively, on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. ++As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities and reclassifying paydown gains and losses to interest income for financial statement purposes only. For the year ended September 30, 2002, the effect of this change to the Fund was a decrease to net investment income by $0.03 per share and an increase to net realized and unrealized gain (loss) on investments by $0.03 per share. The ratio of net investment income to average net assets for the Fund decreased from 6.66% to 6.27% on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. +++As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities and reclassifying paydown gains and losses to interest income for financial statement purposes only. For the year ended September 30, 2002, the effect of this change to the Fund's net investment income and net realized See accompanying notes to financial statements.
Less Distributions Ratios to Average Net Assets ------------- ------------------------------------------------ Net asset Net assets, Net value, end of investment Portfolio Total end of Total period Net Gross income turnover distributions period return(a) (000) expenses(b)(c) expenses(c) (loss)(c) rate ------------------------------------------------------------------------------------------------------------------------------------ Benchmark Core Bond Fund Institutional Class 3/31/2003(f) $(0.41) $10.47 2.8% $ 36,756 0.45% 1.17% 4.52% 51% 9/30/2002+ (0.90) 10.59 6.9 17,594 0.45 1.28 5.77 94 9/30/2001 (0.89) 10.80 11.9 16,476 0.47 1.08 6.78 85 9/30/2000 (0.61) 10.51 5.8 16,107 0.53 0.90 6.74 69 9/30/1999 (0.79) 10.55 (1.4) 22,584 0.65 1.15 6.14 29 9/30/1998(g) (0.00)(e) 11.49 7.8 19,341 0.65 1.27 6.08 45 12/31/1997 (0.42) 10.66 9.2 16,110 0.65 1.80 6.34 59 Retail Class 3/31/2003(f) (0.39) 10.46 2.6 20 0.70 49.48 4.57 51 9/30/2002*+ -- 10.58 5.4 13 0.70 214.46 4.60 94 Admin Class 3/31/2003(f) (0.37) 10.45 2.4 11 0.95 122.44 4.26 51 9/30/2002*+ -- 10.57 5.3 11 0.95 217.13 4.33 94 Core Plus Fixed Income Fund Institutional Class 3/31/2003(f) $(0.41) $ 9.47 4.9% $ 7,502 0.45% 0.96% 5.67% 35% 9/30/2002++ (0.85) 9.43 (0.2) 32,663 0.45 0.80 6.27 104 9/30/2001** -- 10.30 3.0 39,514 0.45 1.18 6.80 21 Fixed Income Fund Institutional Class 3/31/2003(f) $(0.95) $11.55 14.7% $366,349 0.65% 0.70% 7.61% 13% 9/30/2002+++ (1.00) 10.95 6.7 372,141 0.65 0.70 7.87 21 9/30/2001 (0.90) 11.23 1.6 420,091 0.65 0.68 8.39 24 9/30/2000 (0.83) 11.95 5.9 427,730 0.63 0.63 8.34 19 9/30/1999 (1.08) 12.09 5.8 298,007 0.64 0.64 8.30 22 9/30/1998(g) (0.07) 12.47 (0.4) 248,329 0.65 0.68 7.37 31 12/31/1997 (1.10) 12.59 13.4 173,048 0.65 0.70 7.56 41 Institutional High Income Fund Institutional Class 3/31/2003(f) $(0.18) $ 5.73 23.3% $ 69,104 0.75% 0.92% 11.23% 20% 9/30/2002++++ (1.41) 4.81 (6.0) 57,055 0.75 1.10 11.61 32 9/30/2001 (0.81) 6.50 (12.6) 31,972 0.75 1.03 12.64 43 9/30/2000 (0.90) 8.33 10.2 39,619 0.75 1.03 11.22 28 9/30/1999 (1.31) 8.40 16.8 25,484 0.75 1.15 12.22 57 9/30/1998(g) (0.09) 8.41 (15.5) 28,742 0.75 1.12 10.69 39 12/31/1997 (1.02) 10.04 8.8 28,872 0.75 1.17 8.82 94
and unrealized gain (loss) was less than $0.01 per share. The ratio of net investment income to average net assets for the Fund remained unchanged. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. ++++As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities and reclassifying paydown gains and losses to interest income for financial statement purposes only. For the year ended September 30, 2002, the effect of this change to the Fund's net investment income and net realized and unrealized gain (loss) was less than $0.01 per share. The ratio of net investment income to average net assets for the Fund increased from 11.60% to 11.61% on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. *From commencement of class operations on May 1, 2002 through September 30, 2002. **From commencement of fund operations on June 18, 2001 through September 30, 2001. (a)Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b)The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c)Annualized for periods less than one year. (d) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (e)Amount is less than $0.01 per share. (f)For the six months ended March 31, 2003 (Unaudited). (g)For the nine months ended September 30, 1998. See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 97 FINANCIAL HIGHLIGHTS
Income (Loss) from Investment Operations Less Distributions ---------------------------------------------- ----------------------------- Net asset Net realized Dividends Distributions value, Net and unrealized Total from from from beginning investment gain (loss) on investment net investment realized of period income (loss) investments operations income capital gains ------------------------------------------------------------------------------------------------------------------------------------ Intermediate Duration Fixed Income Fund Institutional Class 3/31/2003(f) $ 9.62 $ 0.26(d) $ 0.28 $ 0.54 $(0.28) $ -- 9/30/2002+ 10.13 0.60(d) (0.50) 0.10 (0.60) (0.01) 9/30/2001 9.55 0.64(d) 0.57 1.21 (0.63) -- 9/30/2000 9.53 0.62 0.01 0.63 (0.61) -- 9/30/1999 9.87 0.61 (0.26) 0.35 (0.69) -- 9/30/1998* 10.00 0.41 (0.22) 0.19 (0.32) -- Investment Grade Fixed Income Fund Institutional Class 3/31/2003(f) $11.56 $ 0.38(d) $ 0.73 $ 1.11 $(0.48) $(0.05) 9/30/2002++ 11.16 0.77(d) 0.35 1.12 (0.66) (0.06) 9/30/2001 11.00 0.81(d) 0.15 0.96 (0.79) (0.01) 9/30/2000 11.02 0.82 0.00(e) 0.82 (0.79) (0.05) 9/30/1999 11.42 0.81 (0.27) 0.54 (0.82) (0.12) 9/30/1998(g) 12.06 0.61 (0.60) 0.01 (0.63) (0.02) 12/31/1997 11.81 0.83 0.37 1.20 (0.81) (0.14)
+As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities for financial statement purposes only. For the year ended September 30, 2002, the effect of this change to the Fund was a decrease to net investment income by $0.01 per share and an increase to net realized and unrealized gain (loss) on investments by $0.01 per share. The ratio of net investment income to average net assets for the Fund decreased from 6.23% to 6.13% on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. ++As required effective October 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began amortizing premium on debt securities for financial statement purposes only. For the year ended September 30, 2002, the effect of this change to the Fund's net investment income and net realized and unrealized gain (loss) was less than $0.01 per share. The ratio of net investment income to average net assets for the Fund decreased from 6.77% to 6.76% on an annualized basis. Per share ratios and supplemental data for periods prior to October 1, 2001, have not been restated to reflect this change in presentation. *From commnecement of Fund operations on January 28, 1998 through September 30, 1998. (a)Total returns would have been lower had the adviser not reduced its advisory fees and/or borne other operating expenses. Periods less than one year are not annualized. (b)The adviser has agreed to reimburse a portion of the Fund's expenses during the period. Without this reimbursement the Fund's ratio of operating expenses would have been higher. (c)Annualized for periods less than one year. (d)Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period. (e)Amount is less than $0.01 per share. (f)For the six months ended March 31, 2003 (Unaudited). (g)For the nine months ended September 30, 1998. See accompanying notes to financial statements.
Less Distributions Ratios to Average Net Assets ------------- ------------------------------------------- Net asset Net assets, value, end of Net Portfolio Total end of Total period Net Gross investment turnover distributions period return(a) (000) expenses(b)(c) expenses(c) income (loss)(c) rate ----------------------------------------------------------------------------------------------------------------------------------- Intermediate Duration Fixed Income Fund Institutional Class 3/31/2003(f) $(0.28) $ 9.88 5.7% $ 35,534 0.45% 0.68% 5.37% 26% 9/30/2002+ (0.61) 9.62 1.0 40,734 0.45 0.83 6.13 24 9/30/2001 (0.63) 10.13 13.0 23,568 0.48 0.89 6.48 19 9/30/2000 (0.61) 9.55 6.9 20,580 0.55 0.99 6.65 20 9/30/1999 (0.69) 9.53 3.6 14,371 0.55 1.18 6.27 35 9/30/1998* (0.32) 9.87 1.9 11,054 0.55 1.33 6.05 74 Investment Grade Fixed Income Fund Institutional Class 3/31/2003(f) $(0.53) $12.14 9.8% $132,217 0.55% 0.64% 6.53% 15% 9/30/2002++ (0.72) 11.56 10.4 136,042 0.55 0.64 6.76 20 9/30/2001 (0.80) 11.16 9.0 148,168 0.55 0.62 7.25 14 9/30/2000 (0.84) 11.00 7.7 153,412 0.55 0.58 7.45 18 9/30/1999 (0.94) 11.02 4.8 146,757 0.55 0.59 7.15 18 9/30/1998(g) (0.65) 11.42 0.0 119,084 0.55 0.65 6.85 31 12/31/1997 (0.95) 12.06 10.6 82,964 0.55 0.69 6.97 58
See accompanying notes to financial statements. LOOMIS SAYLES INVESTMENT TRUST FIXED INCOME FUNDS 99 NOTES TO FINANCIAL STATEMENTS March 31, 2003 (Unaudited) 1. Loomis Sayles Funds (the "LSF Trust") and Loomis Sayles Investment Trust (the "LSIT Trust") (collectively, the "Trusts") consist predominately of no-load mutual funds. The Trusts are authorized to issue an unlimited number of full and fractional shares of beneficial interest in multiple series. Each Trust is a diversified, open-end management company registered with the Securities and Exchange Commission ("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act") and the interests in each Trust are registered under the Securities Act of 1933 (the "1933 Act"). Shares in the LSIT Trust were first registered under the 1933 Act effective March 7, 1997 (subsequent to its commencement of investment operations.) The LSF Trust and LSIT Trust were organized as Massachusetts business trusts on February 20, 1991 and December 23, 1993, respectively. Information presented in these financial statements pertains only to the Fixed Income Funds set forth below (except for the Loomis Sayles Managed Bond Fund) (each a "Fund," and collectively, the "Funds"). The financial statements for each of the Equity Funds and the Loomis Sayles Managed Bond Fund are presented in separate reports. Each Fund is separately managed and has its own investment objective and policies. Loomis, Sayles & Company, L.P. ("Loomis Sayles") is the investment adviser of each Fund. The Loomis Sayles Funds consists of the following Funds:
Fixed Income Funds Equity Funds Loomis Sayles Bond Fund Loomis Sayles Aggressive Growth Fund Loomis Sayles Global Bond Fund Loomis Sayles Growth Fund Loomis Sayles Investment Grade Bond Fund Loomis Sayles International Equity Fund Loomis Sayles Managed Bond Fund Loomis Sayles Research Fund Loomis Sayles U.S. Government Securities Fund Loomis Sayles Small Cap Growth Fund Loomis Sayles Small Cap Value Fund Loomis Sayles Value Fund Loomis Sayles Worldwide Fund
The Loomis Sayles Bond Fund offers Institutional, Retail, and Admin Class Shares. The Loomis Sayles Global Bond Fund offers Institutional and Retail Class shares. The Loomis Sayles Investment Grade Bond Fund offers Institutional, Retail, Admin and J Class shares. The Loomis Sayles U.S. Government Securities Fund only offers Institutional Class shares. Purchases of the Loomis Sayles Investment Grade Bond Fund J Class shares are only offered to non-U.S. investors and are subject to a maximum sales charge of 3.50%. The Loomis Sayles Investment Trust consists of the following Funds:
Fixed Income Funds Equity Funds Loomis Sayles Benchmark Core Bond Fund Loomis Sayles Mid Cap Growth Fund Loomis Sayles Core Plus Fixed Income Fund Loomis Sayles Provident Fund Loomis Sayles Fixed Income Fund Loomis Sayles Small Company Growth Fund Loomis Sayles Institutional High Income Fund Loomis Sayles Intermediate Duration Fixed Income Fund Loomis Sayles Investment Grade Fixed Income Fund
The LSIT Trust Fixed Income Funds offer Institutional Class shares. The Benchmark Core Bond Fund also offers Retail and Admin Class shares. Shares of each Class represent an equal proportionate interest in the assets of the relevant fund and generally have the same voting privileges. Institutional, Retail, Admin and J Classes differ with respect to distribution and certain other class-specific expenses and expense reductions. The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Funds: A. Security Valuation| Debt securities for which market quotations are readily available are generally valued at market value, as reported by pricing services recommended by the pricing committee and approved by the Board of Trustees. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, at the closing bid price. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term securities with a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value. Securities for which market quotations are not readily available (including restricted securities, if any) are fair valued in good faith using consistently applied procedures under the general supervision of the Board of Trustees. If events occurring after the close of the principal market in which securities are traded (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are valued at fair value taking such events into account. B. Repurchase Agreement| The Funds may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, the Funds take possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Funds to resell, the obligation at an agreed-upon price and time. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the Funds' holding period. The Funds, through their custodian, receive delivery of the underlying securities collateralizing repurchase agreements. It is the Funds' policy that the market value of the collateral held be at least equal to 102% of the repurchase price including accrual interest. These securities are marked-to-market daily. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters into insolvency proceedings, the Funds may be delayed or prevented from recovering the collateral. C. Foreign Currency Translation and Foreign Investments| The books and records of each of the Funds (including those Funds that invest in foreign investments) are maintained in U.S. dollars. The value of investments, currencies and other assets and liabilities denominated in foreign currencies is translated into U.S. dollar amounts based upon foreign exchange rates prevailing at the end of each day. Purchases and sales of investments, income and expenses are translated at prevailing exchange rates on the respective dates of such transactions. The results of operations resulting from changes in foreign exchange rates on investments are not isolated from fluctuations arising from changes in market prices of investments held. All such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net gains and losses from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investments in securities at fiscal year-end, resulting from changes in exchange rates. Certain Funds 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. Each Fund (except the U.S. Government Securities Fund) may purchase investments of foreign issuers. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of appropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government. D. Forward Foreign Currency Exchange Contracts| Each Fund that may invest in foreign investments may enter into forward foreign currency exchange contracts to protect its investments against future changes in foreign exchange rates. A forward foreign currency exchange contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contracts will fluctuate with changes in currency exchange rates. The contracts are marked-to-market daily using the forward currency exchange rates and the changes in market value are recorded as unrealized appreciation (depreciation) on foreign currency translations in the Funds' Statements of Assets and Liabilities. Realized gain or loss is recognized when a contract is closed 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 and recorded as realized gain (loss) on foreign currency transactions in the Funds' Statements of Operations. Forward foreign currency exchange contracts expose the Funds to the risk that the counterparties will be unable or unwilling to meet the terms of their contracts and from unanticipated movements in the value of the foreign currency relative to the U.S. dollar. At March 31, 2003, there were no open forward foreign currency exchange contracts. E. Security Transactions, Related Investment Income and Expenses| Security transactions are accounted for as of the trade date (the date the buy or sell is executed). Dividend income is recorded on the ex-dividend date or, in the case of dividend income on foreign securities, on the ex-dividend date or when the Fund becomes aware of its declaration, net of foreign withholding taxes where applicable. Interest income is recorded on the accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Discounts on zero coupon bonds, original issue discount bonds, step bonds and payment-in-kind bonds are accreted according to the effective interest method and premiums are amortized using the yield-to-maturity method. In determining net gain or loss on securities sold, the cost of securities has been determined on the identified cost basis. NOTES 101 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2003 (Unaudited) Many expenses of the Trusts can be directly attributed to a particular Fund. Expenses which cannot be directly attributed to a particular Fund are apportioned among the Funds based on relative net assets or allocated among the Funds evenly. Investment income, realized and unrealized gains and losses, and the common expenses of each Fund 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. F. Federal Income Taxes| Each Fund is a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code applicable to regulated investment companies, and to distribute to its shareholders all of its net investment income and any net realized capital gains. Accordingly, no provision for federal income tax or excise tax has been made. G. Dividends and Distributions to Shareholders| LSF Trust: The Loomis Sayles Investment Grade Bond Fund declares and pays its net investment income to shareholders monthly. The Loomis Sayles Bond and U.S. Government Securities Funds declare and pay their net investment income quarterly. The Loomis Sayles Global Bond Fund declares and pays its net investment income to shareholders annually. LSIT Trust: The Loomis Sayles Core Plus Fixed Income, Intermediate Duration Fixed Income and Investment Grade Fixed Income Funds declare and pay their net investment income monthly. The Loomis Sayles Benchmark Core Bond, Fixed Income and Institutional High Income Funds declare and pay their net investment income to shareholders annually. Distributions from net realized capital gains are declared and paid on an annual basis by all of the Funds. Income and capital gains distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States. These differences, which may result in reclassifications to a Fund's capital accounts to reflect income and gains available for distribution, are primarily due to differing book and tax treatments for litigation proceeds, foreign currency transactions, capital loss carryforwards, deferred losses due to wash sales, defaulted bond interest, excise tax regulations, securities contributed in-kind, net operating losses and distributions from real estate investment trusts. Some of these classifications may include temporary book and tax basis differences that will reverse in subsequent periods. Dividends from net investment income are determined on a class level. Distributions to shareholders are recorded on the ex-dividend date. 2. Portfolio Security Transactions| The cost of purchases and proceeds from sales and maturities of securities other than short-term investments for each Fund for the six months ended March 31, 2003 were as follows:
Loomis Sayles Funds Purchases Sales U.S. Government Other U.S. Government Other Bond Fund $ 65,040,492 $367,516,584 $ 41,010,138 $223,053,688 Global Bond Fund 13,144,654 43,179,857 8,541,382 26,177,941 Investment Grade Bond Fund 9,265,650 25,738,222 15,487,585 22,485,532 U.S. Government Securities Fund 1,551,566 0 2,344,620 0
Loomis Sayles Investment Trust Purchases Sales U.S. Government Other U.S. Government Other Benchmark Core Bond Fund $23,115,473 $ 8,313,048 $ 9,142,864 $ 2,007,322 Core Plus Fixed Income Fund 5,780,474 1,835,330 14,570,619 15,236,731 Fixed Income Fund 2,730,910 44,315,654 6,910,734 81,159,981 Institutional High Income Fund 0 12,929,334 0 11,688,673 Intermediate Duration Fixed Income Fund 6,357,105 3,429,429 2,212,437 10,842,231 Investment Grade Fixed Income Fund 1,632,920 18,355,639 0 33,963,266
3. Management Fees and Other Transactions with Affiliates| During the six months ended March 31, 2003, the Funds incurred management fees payable to Loomis Sayles. Separate management agreements for each Fund in effect during the six months ended March 31, 2003 provided for fees at the following annual percentage rate of each Fund's average daily net assets indicated below. Loomis Sayles has contractually agreed, until February 1, 2004, to reduce its advisory fees and/or bear other expenses, to the extent necessary to limit the total operating expenses of each Fund, to the following percentage rate of the Fund's average daily net assets:
Maximum Expense Ratios ------------------------------------------------------ Management Institutional Retail Admin J Loomis Sayles Funds Fees Class Class Class Class Bond Fund 0.60% 0.75% 1.00% 1.25% -- Global Bond Fund 0.60% 0.90% 1.15% -- -- Investment Grade Bond Fund 0.40% 0.55% 0.80% 1.05% 1.30% U.S. Government Securities Fund 0.30% 0.50% -- -- --
Maximum Expense Ratios --------------------------------------- Management Institutional Retail Admin Loomis Sayles Investment Trust Fees Class Class Class Benchmark Core Bond Fund 0.30% 0.45% 0.70% 0.95% Core Plus Fixed Income Fund 0.35% 0.45% -- -- Fixed Income Fund 0.50% 0.65% -- -- Institutional High Income Fund 0.60% 0.75% -- -- Intermediate Duration Fixed Income Fund 0.30% 0.45% -- -- Investment Grade Fixed Income Fund 0.40% 0.55% -- --
Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trusts. Loomis Sayles' general partner is indirectly owned by CDC IXIS Asset Management North America, L.P., whose general partner is indirectly owned by CDC IXIS Asset Management SA ("CDC IXIS"). CDC IXIS is part of the Caisse des Depots et Consignations group. Retail and Admin Class shares of the Funds are subject to distribution fees payable to Loomis Sayles Distributors, L.P. (the "Distributor", a subsidiary of Loomis Sayles) at an annual rate of 0.25% of the respective Class' average daily net assets, pursuant to distribution plans adopted in accordance with Rule 12b-1 under the Investment Company Act of 1940 ("Rule 12b-1"). Admin Class shares may pay a shareholder service fee at an annual rate of up to 0.25% of the average daily net assets attributable to Admin Class shares to securities dealers or financial intermediaries for providing personal service and account maintenance for their customers who hold such shares. The J Class shares are subject to a shareholder service fee at an annual rate of 0.25% and a distribution fee payable to the Distributor at an annual rate of 0.50% of the respective Class' average net assets, pursuant to a shareholder service and distribution plan adopted under Rule 12b-1. Retail, Admin and J Class shares have exclusive voting rights with respect to their distribution plans. The LSIT Trust has entered into a distribution agreement with Loomis Sayles Distributors, L.P. Pursuant to this agreement, Loomis Sayles Distributors, L.P. serves as a principal underwriter of the various funds of the LSIT Trust and receives no fee under this agreement, except for the Benchmark Core Bond Fund which pays distribution fees related to its Retail and Admin Class shares. On November 6, 2002, the Board of Trustees approved CDC IXIS Asset Management Services, Inc. ("CIS"), a wholly owned subsidiary of CDC IXIS Asset Management North America, L.P. to act as transfer and shareholder servicing agent for the Funds effective on February 3, 2003. CIS has subcontracted with National Financial Data services ("NFDS") to serve as sub-transfer agent. Each Fund pays CIS service fees for servicing shareholder accounts. Institutional, Retail and Admin Classes pay service fees monthly representing the amount based on the following calculations: Loomis Sayles Funds Each Fund will pay the greater of: $15,000 or 0.026% of average daily net assets, subject however to the minimum aggregate fee set forth as follows: If the aggregate fees for all Loomis Sayles Funds payable do not equal or exceed $54,167 in any single month, the Loomis Sayles Funds will pay the minimum aggregate fee of $54,167 ($650,000 annually). Any such amount required to achieve the minimum aggregate fee will be allocated to all of the Funds based on the percentage of net assets each Fund represents of the total assets. CIS is also reimbursed by the Funds for out-of-pocket expenses. For the period from February 3, 2003 through March 31, 2003, amounts paid to CIS as compensation for its services as transfer agent were as follows: Amount Bond Fund $ 33,083 Global Bond Fund 1,741 Investment Grade Bond Fund 1,265 U.S. Government Securities Fund 1,272 Loomis Sayles Investment Trust Each Fund will pay the greater of: $12,000 or 0.01% of average daily net assets, subject however to the minimum aggregate fee set forth as follows: If the aggregate fees for all Loomis Sayles Investment Trust Funds payable do not equal or exceed $8,334 in any single month, the Loomis Sayles Investment Trust will pay the minimum aggregate fee of $8,334 ($100,000 annually). Any such amount required to achieve the minimum aggregate fee will be allocated to all of the Funds based on the percentage of net assets each Fund represents of the total assets. CIS is also reimbursed by the Funds for out-of-pocket expenses. For the period from February 3, 2003, through March 31, 2003, amounts paid to CIS as compensation for its services as transfer agent were as follows: Amount Benchmark Core Bond Fund $ 1,000 Core Plus Fixed Income Fund 1,000 Fixed Income Fund 2,839 Institutional High Income Fund 1,000 Intermediate Duration Fixed Income Fund 1,000 Investment Grade Fixed Income Fund 1,044 NOTES 103 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2003 (Unaudited) The Institutional and Retail Class shares of the Funds may pay sub-transfer agency fees to brokers and other shareholder representatives with respect to such shares held in omnibus accounts by brokers or representatives for the benefit of their customers. These fees will not exceed the amounts that the Funds would expect to pay to the Transfer Agent if such a transfer agent were to hold their customers' Fund shares directly. As of March 31, 2003, there was no sub-transfer agency fees paid under this arrangement. Loomis Sayles charges the Funds an administrative fee related to Loomis Sayles' performance of certain accounting and administrative services. For the six months ended March 31, 2003, the following amounts were incurred by the Funds: Loomis Sayles Funds Amount Bond Fund $ 244,759 Global Bond Fund 11,909 Investment Grade Bond Fund 39,800 U.S. Government Securities Fund 2,161 Loomis Sayles Investment Trust Amount Benchmark Core Bond Fund $ 3,629 Core Plus Fixed Income Fund 4,000 Fixed Income Fund 64,187 Institutional High Income Fund 10,759 Intermediate Duration Fixed Income Fund 7,077 Investment Grade Fixed Income Fund 23,228 A. Trustees Fees and Expenses| The Trusts do not pay any compensation directly to their officers or trustees who are directors, officers or employees of Loomis Sayles, CDC IXIS Asset Management North America, L.P. or their affiliates. The Trusts pay each independent trustee a $20,000 annual retainer fee and a $5,000 fee per in person meeting. Prior to November 6, 2002, each independent trustee of the LSF Trust was compensated by the LSF Trust on behalf of each Fund at the rate of $1,250 per Fund per year and was reimbursed for travel expenses in connection with attendance at meetings. Prior to November 6, 2002, each independent trustee of the LSIT Trust was compensated by the LSIT Trust at the rate of $10,000 per year and was reimbursed for travel expenses in connection with attendance at meetings. At a special meeting held on May 14, 2003, the shareholders of the Trust approved the nomination of the Trustees of the CDC Nvest Funds as additional Trustees of the Trusts. CDC Nvest Funds is part of the CDC IXIS Asset Managment North America, L.P. family of funds. B. Shareholders| At March 31, 2003, the Distributor held 23,878 shares of the Loomis Sayles U.S. Government Securities Fund. In addition, Loomis, Sayles & Company, L.P. Funded Pension Plan and Trust ("Pension Plan") and the Loomis, Sayles & Company, L.P. Employees' Profit Sharing Retirement Plan and Loomis Sayles Employees' Money Purchase Plan ("Defined Contribution Plans") held shares of beneficial interest in the Funds as follows: Defined Loomis Sayles Funds Pension Plan Contribution Plans Bond Fund 854,179 1,154,958 Global Bond Fund 813,207 231,034 Investment Grade Bond Fund 0 239,386 U.S. Government Securities Fund 0 174,197 Defined Loomis Sayles Investment Trust Pension Plan Contribution Plans Institutional High Income Fund 649,973 979,821 Intermediate Duration Fixed Income Fund 474,115 59,236 As of March 31, 2003, an individual affiliated with the Loomis Sayles Institutional High Income Fund held approximately 7.6% of the Fund's total outstanding shares. 4. Credit Risk | Each of the following Funds may invest in securities rated below BBB/Baa by each recognized rating agency rating the security (and unrated securities determined by Loomis Sayles to be of comparable quality) (or "junk bonds"): Loomis Sayles Funds Bond Fund Global Bond Fund Investment Grade Bond Fund Loomis Sayles Investment Trust Benchmark Core Bond Fund Core Plus Fixed Income Fund Fixed Income Fund Institutional High Income Fund Investment Grade Fixed Income Fund The Institutional High Income Fund invests primarily in high yield securities. These investments are regarded as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligations and will generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield investments may be relatively less liquid than the market for higher-rated investments. 5. Line of Credit| The Loomis Sayles Funds and the Loomis Sayles Benchmark Core Bond Fund have entered into an agreement which enables each Fund to borrow up to $25 million from an unsecured line of credit with State Street Bank and Trust Company. Borrowings will be made solely to temporarily finance the repurchase of shares. Interest is charged to each participating Fund based on its borrowings at a rate per annum equal to the federal funds rate plus 0.50%. In addition, a commitment fee of 0.09% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating Funds based on each Fund's average daily unused portion of the line of credit. During the six months ended March 31, 2003, the Funds had no borrowings under the agreement. 6. Capital Share Transactions| The tables below summarize the transactions in Fund shares for the periods indicated: Loomis Sayles Funds ------------------------------------------
Loomis Sayles Bond Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 34,082,575 $ 381,035,196 36,003,010 $ 379,880,591 Issued in connection with the reinvestment of distributions 3,972,992 44,403,109 8,423,003 87,806,197 Redeemed (22,097,116) (247,473,025) (64,168,525) (677,758,763) ----------------------------------------------------------------------- Net change 15,958,451 $ 177,965,280 (19,742,512) $(210,071,975) ======================================================================= Retail Class Shares Shares Amount Shares Amount Issued from the sale of shares 3,862,602 $ 42,616,873 2,701,626 $ 28,504,517 Issued in connection with the reinvestment of distributions 207,751 2,324,373 407,636 4,248,973 Redeemed (2,466,595) (26,875,784) (4,537,903) (48,040,038) ----------------------------------------------------------------------- Net change 1,603,758 $ 18,065,462 (1,428,641) $ (15,286,548) ======================================================================= Admin Class Shares Shares Amount Shares Amount Issued from the sale of shares 352,685 $ 3,930,498 333,710 $ 3,508,871 Issued in connection with the reinvestment of distributions 11,844 132,464 23,479 244,664 Redeemed (187,865) (2,086,547) (268,442) (2,830,267) ----------------------------------------------------------------------- Net change 176,664 $ 1,976,415 88,747 $ 923,268 ======================================================================= Loomis Sayles Global Bond Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 2,430,249 $ 32,659,201 734,838 $ 8,953,879 Issued in connection with the reinvestment of distributions 167,510 2,149,151 0 0 Redeemed (1,565,446) (20,841,909) (602,272) (7,242,351) ----------------------------------------------------------------------- Net change 1,032,313 $ 13,966,443 132,566 $ 1,711,528 ======================================================================= Retail Class Shares Shares Amount Shares Amount Issued from the sale of shares 1,334,288 $ 17,721,436 479,849 $ 5,795,494 Issued in connection with the reinvestment of distributions 42,406 541,523 0 0 Redeemed (302,731) (3,947,201) (459,459) (5,443,172) ----------------------------------------------------------------------- Net change 1,073,963 $ 14,315,758 20,390 $ 352,322 =======================================================================
NOTES 105 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2003 (Unaudited)
Loomis Sayles Investment Grade Bond Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 131,898 $ 1,376,352 329,810 $ 3,350,200 Issued in connection with the reinvestment of distributions 18,415 192,266 35,162 357,845 Redeemed (192,699) (2,028,488) (442,686) (4,512,810) ----------------------------------------------------------------------- Net change (42,386) $ (459,870) (77,714) $ (804,765) ======================================================================= Retail Class Shares Shares Amount Shares* Amount* Issued from the sale of shares 6,404 $ 68,461 997 $ 10,150 Issued in connection with the reinvestment of distributions 86 921 38 384 Redeemed (1) (15) 0 0 ----------------------------------------------------------------------- Net change 6,489 $ 69,367 1,035 $ 10,534 ======================================================================= Admin Class Shares Shares Amount Shares** Amount** Issued from the sale of shares 0 $ 0 997 $ 10,150 Issued in connection with the reinvestment of distributions 29 308 37 371 Redeemed 0 0 0 0 ----------------------------------------------------------------------- Net change 29 $ 308 1,034 $ 10,521 ======================================================================= J Class Shares Shares Amount Shares Amount Issued from the sale of shares 7,107,300 $ 75,384,540 13,456,100 $ 136,298,059 Issued in connection with the reinvestment of distributions 0 0 0 0 Redeemed (6,049,300) (64,325,533) (1,882,500) (19,136,530) ----------------------------------------------------------------------- Net change 1,058,000 $ 11,059,007 11,573,600 $ 117,161,529 =======================================================================
* The Investment Grade Bond Fund Retail Class recommenced operations on January 31, 2002. ** The Investment Grade Bond Fund Admin Class commenced operations on January 31, 2002.
Loomis Sayles U.S. Government Securities Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 279,929 $ 3,252,117 627,062 $ 7,112,444 Issued in connection with the reinvestment of distributions 51,908 595,319 58,968 654,520 Redeemed (495,699) (5,716,200) (897,492) (10,103,332) ------------------------------------------------------------------- Net change (163,862) $ (1,868,764) (211,462) $ (2,336,368) ===================================================================
Loomis Sayles Investment Trust ------------------------------------------
Loomis Sayles Benchmark Core Bond Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 2,098,413 $ 22,026,333 168,473 $ 1,781,762 Issued in connection with the reinvestment of distributions 63,568 657,289 146,432 1,475,272 Redeemed (313,567) (3,280,394) (179,079) (1,858,163) ------------------------------------------------------------------- Net change 1,848,414 $ 19,403,228 135,826 $ 1,398,871 =================================================================== Retail Class Shares Shares Amount Shares* Amount* Issued from the sale of shares 20,523 $ 214,121 1,248 $ 12,650 Issued in connection with the reinvestment of distributions 47 483 0 0 Redeemed (19,933) (207,990) 0 0 ------------------------------------------------------------------- Net change 637 $ 6,614 1,248 $ 12,650 ===================================================================
Loomis Sayles Benchmark Core Bond Fund (continued) Six Months Ended March 31, 2003 Year Ended September 30, 2002 Admin Class Shares Shares Amount Shares* Amount* Issued from the sale of shares 0 $ 0 1,011 $ 10,150 Issued in connection with the reinvestment of distributions 36 373 0 0 Redeemed 0 0 0 0 ---------------------------------------------------------------- Net change 36 $ 373 1,011 $ 10,150 ================================================================
* The Benchmark Core Bond Fund Retail Class and Admin Class commenced operations on May 1, 2002.
Loomis Sayles Core Plus Fixed Income Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 239,497 $ 2,259,434 154,975 $ 1,532,026 Issued in connection with the reinvestment of distributions 88,746 830,150 318,158 3,084,132 Redeemed (2,999,075) (28,300,935) (846,318) (8,099,270) -------------------------------------------------------------------- Net change (2,670,832) $(25,211,351) (373,185) $ (3,483,112) ====================================================================
Loomis Sayles Fixed Income Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 894 $ 10,637 5,349,548 $ 59,328,835 Issued in connection with the reinvestment of distributions 2,687,854 29,163,210 3,375,128 35,540,100 Redeemed (4,962,887) (56,376,435) (12,140,889) (132,961,330) ---------------------------------------------------------------------- Net change (2,274,139) $ (27,202,588) (3,416,213) $ (38,092,395) ======================================================================
Loomis Sayles Institutional High Income Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 397,158 $ 2,101,799 231,844 $ 1,302,379 Issued from subscriptions-in-kind* 0 0 5,915,673 29,105,109 Issued in connection with the reinvestment of distributions 366,537 1,902,330 1,103,360 6,066,911 Redeemed (572,011) (2,741,115) (302,309) (1,575,810) ------------------------------------------------------------------- Net change 191,684 $ 1,263,014 6,948,568 $ 34,898,589 ===================================================================
* Issued in exchange for portfolio securities distributed in-kind by the Loomis Sayles High Income Fund to shareholders thereof and contributed to the Fund in-kind by such shareholders on September 20, 2002, including $20,174,253 contributed by affiliated persons.
Loomis Sayles Intermediate Duration Fixed Income Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 50,677 $ 501,127 815,269 $ 7,874,760 Issued from subscriptions in-kind* 0 0 977,732 9,454,671 Issued in connection with the reinvestment of distributions 103,598 1,005,127 161,941 1,586,800 Redeemed (792,646) (7,794,908) (48,374) (481,908) ------------------------------------------------------------------- Net change (638,371) $ (6,288,654) 1,906,568 $ 18,434,323 ===================================================================
* Issued in exchange for portfolio securities distributed in-kind by the Loomis Sayles Intermediate Maturity Bond Fund to shareholders thereof and contributed to the Fund in-kind by such shareholders on September 20, 2002, including $8,016,163 contributed by affiliated persons. NOTES 107 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2003 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund Six Months Ended March 31, 2003 Year Ended September 30, 2002 Institutional Class Shares Shares Amount Shares Amount Issued from the sale of shares 366,484 $ 4,309,417 478,569 $ 5,398,229 Issued in connection with the reinvestment of distributions 446,424 5,233,508 735,321 8,313,531 Redeemed (1,688,998) (19,737,372) (2,727,260) (30,976,599) -------------------------------------------------------------------- Net change (876,090) $(10,194,447) (1,513,370) $(17,264,839) ====================================================================
Subsequent Events On February 5, 2003, the Board of Trustees approved the closing of the Admin Class of shares of the Loomis Sayles Benchmark Core Bond Fund and Investment Grade Bond Fund. It is expected that on or about May 21, 2003 the then outstanding Admin Class shares will be automatically converted into Retail Class Shares having the same aggregate net asset value as the shares converted. LOOMIS SAYLES FUNDS LOOMIS SAYLES INVESTMENT TRUST [LOGO] One Financial Center Boston, MA 02111 www.loomissayles.com tel (800) 633-3330