N-CSR 1 d263919dncsr.htm LOOMIS SAYLES FUNDS I Loomis Sayles Funds I
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08282

 

 

Loomis Sayles Funds I

(Exact name of Registrant as specified in charter)

 

 

 

399 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)

 

 

Russell L. Kane, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

 

 

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

Date of fiscal year end: September 30

Date of reporting period: September 30, 2016

 

 

 

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Item 1. Reports to Stockholders.

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

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LOGO

 

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Annual Report

September 30, 2016

TABLE OF CONTENTS  
Portfolio Review     1   
Portfolio of Investments     22   
Financial Statements     41   
Notes to Financial Statements     53   

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LOOMIS SAYLES SMALL CAP GROWTH FUND

 

Managers   Symbols   
Mark F. Burns, CFA®   Institutional Class    LSSIX
John J. Slavik, CFA®   Retail Class    LCGRX
  Class N    LSSNX

 

 

Investment Objective

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

 

 

Market Conditions

Overall, U.S. equity markets were generally strong for the 12-month period, benefiting from the robust performance off the market bottom in February 2016 and following the two-day Brexit vote-inspired selloff in June. Within the small-cap segment of the market, the smallest companies and the lowest-quality companies (as measured by return on equity) were the strongest performers in the February market rebound. The third quarter of 2016 was a particularly challenging market environment for the fund, as the highest beta (high risk/high reward potential) names significantly outperformed the lowest beta names. Among small-cap stocks, value stocks significantly outperformed growth stocks.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Small Cap Growth Fund returned 6.92%. The fund underperformed its benchmark, the Russell 2000® Growth Index, which returned 12.12%.

Explanation of Fund Performance

Stock selection in the information technology, industrials and healthcare sectors primarily accounted for the fund’s underperformance. Given the fund’s strategy, the market environment during the third quarter of 2016 created a significant headwind.

In terms of individual holdings, the top contributor to fund performance was financials company MarketAxess Holdings. The company continued to steadily gain market share in electronic bond trading, and its earnings grew. In addition, the company remains significantly underpenetrated in the fixed-income market, its biggest market opportunity. In 2016, MarketAxess launched electronic trading for municipal bonds, a market no other firm has been able to penetrate electronically. Following two years of increased investments, MarketAxess is now leveraging those efforts and generating robust incremental margins.

Wix.com, a website development company for small and medium businesses, also was a top-performing holding. The company demonstrated consistently strong revenue growth by converting free users to paid subscribers and retaining their business. The mid-year release of its Artificial Design Intelligence (ADI) platform generated a lot of excitement as an even easier and more intuitive way to create a website, and it’s positioned to aid

 

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conversion in the future. Another top contributor was technology company Intersil, which announced it was being acquired by Rensas, a Japanese semiconductor company.

A position in Demandware, a software service provider that powers e-commerce for large brands and retailers, was a main detractor. The company was a multi-year holding for the fund, but in late 2015 it experienced slowing revenue due to lower same-store sales growth among existing customers. A sharp selloff in software-as-a-service companies in February 2016 triggered our stop loss, and we sold the position.

In addition, a position in Advisory Board Company, a research and software tools company serving the healthcare and education markets, was a primary detractor. A deceleration of growth in the healthcare segment and a delay in the integration of an education acquisition caused the stock to decline, triggering our stop-loss, and we sold the position.

A position in Restoration Hardware Holdings, a rapidly growing home furnishings retail chain, also weighed on fund performance. The company reported disappointing fourth-quarter 2015 earnings due to elevated promotions and supply chain issues. Furthermore, the company changed its pricing strategy, which created uncertainty about future demand trends. The stock price downturn triggered our stop-loss, and we exited the position.

Outlook

As we look forward, we continue to be focused on the underlying business trends of our existing holdings and potential new additions to ensure revenue and earnings growth trends can remain intact, if not improve.

Slow growth continues to be the name of the game for the U.S. economy. U.S. stocks, particularly small-caps, have had quite a strong run since the market bottom in February, and they may need to take a pause in the near term. Volatility remains subdued; however, macro events that lie ahead, including the U.S. election and the Federal Reserve’s actions, may lead to increasing levels of volatility. Earnings growth may continue to be elusive, with potential for positive trends not all that far off. While the outlook may not be terribly clear, we will not attempt to alter our process.

 

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LOOMIS SAYLES SMALL CAP GROWTH FUND

 

Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 20162

 

LOGO

Top Ten Holdings as of September 30, 2016

 

      Security Name    % of
Net Assets		  
1    Ultimate Software Group, Inc. (The)      1.63%   
2    Guidewire Software, Inc.      1.56%   
3    MarketAxess Holdings, Inc.      1.53%   
4    Bright Horizons Family Solutions, Inc.      1.47%   
5    Euronet Worldwide, Inc.      1.44%   
6    MKS Instruments, Inc.      1.42%   
7    Monolithic Power Systems, Inc.      1.40%   
8    WageWorks, Inc.      1.39%   
9    Granite Construction, Inc.      1.34%   
10    Cynosure, Inc., Class A      1.32%   

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.

 

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Average Annual Total Returns — September 30, 20162

 

           
                             Expense Ratios3  
     1 year     5 years     10 years    

Life of

Class N

     Gross     Net  
     
Institutional Class
(Inception 12/31/96)		     6.92 %      14.33 %      9.38 %      — %      0.94 %      0.94 % 
     
Retail Class
(Inception 12/31/96)		     6.61        13.99        9.09        —        1.19        1.19   
     
Class N
(Inception 2/1/13)		     7.05        —        —        10.88        0.83        0.83   
   
Comparative Performance              
Russell 2000® Growth Index1     12.12        16.15        8.29        11.53                   

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

 

1   

Russell 2000® Growth Index is an unmanaged index that measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and forecasted growth values.

 

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

 

3    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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LOOMIS SAYLES SMALL CAP VALUE FUND

 

Managers   Symbols   
Joseph R. Gatz, CFA®   Institutional Class    LSSCX
Jeffrey Schwartz, CFA®   Retail Class    LSCRX
  Admin Class    LSVAX
  Class N    LSCNX

 

 

Investment Objective

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

 

 

Market Conditions

Stocks generally experienced a sharp downturn from early December through mid-February due to weaker global economic trends, a sharp downturn in oil prices and fears of a premature rate hike from the Federal Reserve (the Fed). Markets recovered steadily off their mid-February lows as global economic fears abated, the Fed delayed further interest rate increases and commodity prices rebounded. Overall, there were significant changes in market leadership during the 12-month period. Growth stock and price momentum leadership in late 2015 gave way to outperformance from higher dividend-yielding utilities and REITs in early 2016. In the final three months of the period, investors showed greater risk tolerance, and small-cap stocks advanced well ahead of large-caps. Technology, healthcare and commodity-sensitive materials stocks outperformed during the final three months, while utilities and REITs lagged. Overall, small-cap stocks generally outperformed large-cap stocks for the entire 12-month period, and small-cap value stocks outperformed small-cap growth stocks.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Small Cap Value Fund returned 16.75%. The fund underperformed its benchmark, the Russell 2000® Value Index, which returned 18.81%.

Explanation of Fund Performance

Portfolio strategy was consistent with our long-standing approach, employing our broad resources and rigorous research to identify individual companies and securities we believe are inefficiently priced. The fund’s relative performance was strong during the first half of the 12-month period, largely due to stock selection in the consumer discretionary, real estate investment trust (REIT), healthcare and consumer staples sectors. As markets accelerated higher during the second half of the period, fund returns were strong but lagged the index. Stock selection metrics deteriorated as markets strengthened and investors favored higher risk positions. Selection was weakest in market-leading sectors such as technology and materials, and among REITs.

 

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The fund’s industrials and information technology sectors made the largest positive absolute contributions to performance for the 12-month period. The industrials sector outperformed the benchmark, and our overweight allocation and security selection within the sector led to outperformance relative to the benchmark’s industrial holdings. Information technology was among the strongest-performing sectors in the benchmark for the year, contributing to our favorable absolute return.

The top individual stock contributor was John Bean Technologies, a leading provider of food processing equipment and airport-related equipment. The company reported strong earnings and raised guidance throughout the year, as global demand for food processing equipment remained strong, profit margins steadily improved, and strategic acquisitions expanded the company’s addressable market.

U.S. Silica Holdings also was a main contributor. Our initial investment in the company, which is a leading provider of silica used in energy, industrial and specialty markets, was well timed, near the bottom point of the energy sector selloff in early 2016. We believe the company is well positioned for further recovery in the oilfield services industry. We also believe two recent acquisitions further strengthen the company’s market position and reach.

Littelfuse, a manufacturer of components and circuit protection devices for use in the automotive, electronics and general industrial markets, was a leading contributor. The company reported improving revenue, margin expansion and solid earnings growth throughout the period. The company announced two larger product line acquisitions, which we believe should contribute positively to future results.

All portfolio sectors generated a positive return during the period, but the contributions from materials and utilities were small, and had smaller weightings within the portfolio.

Although technology sector performance was strong in the benchmark, our technology holdings lagged the sector, contributing to the fund’s relative underperformance. In particular, VeriFone Systems and Zebra Technologies generated disappointing performance, offsetting a strong contribution from Advanced Energy Industries.

The materials sector was the strongest-performing sector in the benchmark, rebounding substantially off the February market bottom. Many of the most commodity-sensitive, highly levered materials companies led the rebound, and our stock selection in the sector lagged.

Sector allocation detracted from relative performance. While modest overweights in the outperforming technology and industrials sectors aided fund performance, underweights in utilities and REITs, both of which outperformed the benchmark, detracted from fund performance. Given the highly regulated nature of utilities and the tax-advantaged mandate for REITs to return nearly all free cash flow to shareholders via dividends, we typically find fewer opportunities within these sectors that meet our specific strategy and investment criteria. An overweight allocation in the consumer discretionary sector also detracted from fund performance.

 

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LOOMIS SAYLES SMALL CAP VALUE FUND

 

In terms of individual holdings, Libbey Inc. and Metaldyne Performance Group were the primary detractors for the period. Libbey, a manufacturer of glass tableware for the restaurant and retail industries, generates about 40% of revenues outside the U.S. and was hurt by the translation effect of a stronger U.S. dollar relative to other local currencies where its products are sold. The company also experienced increased competition in certain markets during the third quarter of 2015. The company lowered financial guidance as a result of these two factors. During the second quarter of 2016, we eliminated the holding on a thesis break; Libbey’s new CEO, hired in January, announced his intention to redefine Libbey as a consumer products company rather than an industrial manufacturer.

Metaldyne Performance Group is an automotive supplier focused on casting and forging complex metal parts primarily used for power-train and safety-critical components of the vehicle. We reduced our position in the stock near its all-time high during the quarter ending December 31, 2015. In January, we were surprised when management issued a cautious outlook for 2016 despite broader strength in the automotive markets, and we eliminated the position.

Outlook

With major U.S. equity indices at or very close to record highs, the bull market remains intact. However, it is now the second-longest bull market since the 1930s. Bull markets do not die of old age; typically, they struggle when intervening macroeconomic events such as rising inflation cause central banks to tighten monetary policy for an extended period. Currently, we believe the Fed may raise interest rates by 25 basis points by year-end, but all signs point to a very slow, deliberate tightening cycle. These measured expectations have helped prolong the business cycle and hence the rally in stock prices. If we are right that equity earnings are poised to move back to a growth mode later this year and in 2017, we think balanced equity performance across the market cap spectrum and across growth and value styles could result.

 

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Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 20163

 

LOGO

See notes to chart on page 9.

Top Ten Holdings as of September 30, 2016

 

      Security Name    % of
Net
Assets		  
1    Littelfuse, Inc.      1.54%   
2    Retail Opportunity Investments Corp.      1.35%   
3    Cathay General Bancorp      1.34%   
4    Post Holdings, Inc.      1.30%   
5    KAR Auction Services, Inc.      1.25%   
6    Wintrust Financial Corp.      1.22%   
7    ALLETE, Inc.      1.16%   
8    First Financial Bancorp      1.14%   
9    Signature Bank      1.14%   
10    IBERIABANK Corp.      1.13%   

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.

 

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LOOMIS SAYLES SMALL CAP VALUE FUND

 

Average Annual Total Returns — September 30, 20163

 

           
                                Expense Ratios4  
     1 year     5 years      10 years     

Life of

Class N

     

Gross

     

Net

  
     
Institutional Class (Inception 5/13/91)     16.75 %      16.29 %       8.14 %       — %       0.99 %       0.97 % 
Retail Class
(Inception 12/31/96)		     16.47        15.99         7.87         —         1.24         1.22   
Admin Class
(Inception 1/2/98)		     16.19        15.71         7.59         —         1.47         1.45   
Class N
(Inception 2/1/13)		     16.84        —         —         11.04         0.90         0.90   
   
Comparative Performance           
Russell 2000® Value Index1     18.81        15.45         5.78         9.63           
Russell 2000® Index2     15.47        15.82         7.07         10.60                     

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

 

1   

Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.

 

2   

Russell 2000® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe.

 

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

 

4    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

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

 

 

Investment Objective

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

 

 

Market Conditions

U.S. equity markets were generally strong for the 12-month period, benefitting from the robust performance off the market bottom in February 2016 and following the two-day Brexit vote-inspired selloff in June. Within the small/mid-cap segment of the market, the smallest companies and the lowest-quality companies (as measured by return on equity) were the strongest performers in the February market rebound. The third quarter of 2016 was a particularly challenging market environment for the fund, as the highest beta (high risk/high reward potential) names significantly outperformed the lowest beta names. Among small/mid-cap stocks, value stocks significantly outperformed growth stocks.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Small/Mid Cap Growth Fund returned 7.51%. The Fund underperformed its benchmark, the Russell 2500™ Growth Index, which returned 11.02%.

Explanation of Fund Performance

Stock selection in the information technology and consumer discretionary sectors and an underweight position in the materials sector primarily accounted for the fund’s underperformance. Given the fund’s strategy, the market environment during the third quarter of 2016 created a significant headwind.

In terms of individual holdings, the top contributor to fund performance was financials company MarketAxess Holdings. The company continued to steadily gain market share in electronic bond trading, and its earnings grew. In addition, the company remains significantly underpenetrated in the fixed-income trading market, its biggest market opportunity. In 2016, MarketAxess launched electronic trading for municipal bonds, a market no other firm has been able to penetrate electronically. Following two years of increased investments, MarketAxess is now leveraging those efforts and generating robust incremental margins.

In addition, a position in Parsley Energy, an energy exploration company with a compelling acreage position in the Permian Basin, was a top contributor. The company’s prudent management team has kept leverage low and effectively managed the business through the commodity price downturn in 2015. We believe valuation remains reasonable

 

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

relative to current production. The business continues to generate positive cash, and we believe it is well positioned to continue to expand its asset base and production levels for the foreseeable future, all while generating positive cash flow and maintaining low leverage.

Drew Industries, a leading provider of components to the RV industry, also was a main contributor. The stock advanced due to several factors, including favorable industry trends, growing revenues, diversification of the business and strong incremental margin performance given the high fixed-cost nature of the business.

A position in Virtusa, an information technology services and consulting company, was a main detractor. After several years of demonstrating above-industry growth and improving margins, the company acquired another technology services company with low growth and poor profitability. Despite the potential value of the combined entity, results have been disappointing, and we exited the position.

SPS Commerce, a provider of cloud-based supply chain management software, was a primary detractor. The stock declined after SPS reported its sales force contracted in the fourth quarter of 2015 due to a competitive hiring environment and a poorly structured compensation plan. The selloff was brief, and the stock recovered quickly, but the decline triggered our stop-loss and we did not benefit during the recovery. We repurchased the stock.

Palo Alto Networks, a networking security company, also detracted from performance. After a strong upward move in the stock during 2014 and the first half of 2015, elevated expectations and difficult comparisons created concerns about slowing revenue growth. These concerns were exacerbated by industry data showing a firewall spending surge in 2015 that was unlikely to repeat in 2016. The elevated valuation and high share turnover led us to sell the stock, especially given the volatile market conditions at the time of the sale in late January 2016.

Outlook

As we look forward, we continue to be focused on the underlying business trends of our existing holdings and potential new additions to ensure that revenue and earnings growth trends can remain intact, if not improve.

Slow growth continues to be the name of the game for the U.S. economy. U.S. stocks, particularly small-caps, have had quite a strong run since the market bottom in February, and they may need to take a pause in the near term. Volatility remains subdued; however, macro events that lie ahead, including the U.S. election and the Fed’s actions, may lead to increasing levels of volatility. Earnings growth may continue to be elusive, with potential for positive trends not all that far off. While the outlook may not be terribly clear, we will not attempt to alter our process.

 

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Hypothetical Growth of $100,000 Investment in Institutional Class Shares

June 30, 2015 (inception) through September 30, 20162

 

LOGO

See notes to chart on page 13.

Top Ten Holdings as of September 30, 2016

 

      Security Name    % of
Net
Assets		  
1    WellCare Health Plans, Inc.      1.98%   
2    TransDigm Group, Inc.      1.91%   
3    Ultimate Software Group, Inc. (The)      1.73%   
4    Acuity Brands, Inc.      1.72%   
5    Guidewire Software, Inc.      1.65%   
6    Nord Anglia Education, Inc.      1.59%   
7    B/E Aerospace, Inc.      1.57%   
8    Vail Resorts, Inc.      1.53%   
9    Blackbaud, Inc.      1.51%   
10    Cantel Medical Corp.      1.51%   

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.

 

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

 

Average Annual Total Returns — September 30, 20162

 

       
                 Expense Ratios3  
     1 year     Life of
Fund		     Gross     Net  
     
Institutional Class (Inception 6/30/15)     7.51 %      -2.16 %      2.84 %      0.85 % 
   
Comparative Performance          
Russell 2500TM Growth Index1     11.02        -0.99                   

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

 

1   

Russell 2500TM Growth Index is an unmanaged index that measures the performance of the small-to-mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500TM companies with higher price-to-book ratios and higher forecasted growth values.

 

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

 

3    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

1623917.2.1

 

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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

Additional Index Information

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

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

Proxy Voting Information

A description of the Funds’ proxy voting policies and procedures is available without charge upon request, by calling Loomis Sayles at 800-633-3330; on the Funds’ website, at www.loomissayles.com, and on the Securities and Exchange Commission’s (SEC’s) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

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

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

 

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The first line in the table of each Fund shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 2016. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

Loomis Sayles Small Cap Growth Fund

 

Institutional Class    Beginning
Account Value
4/1/2016		      Ending
Account Value
9/30/2016		      Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

      $1,000.00         $1,085.80         $4.90   

Hypothetical (5% return before expenses)

      $1,000.00         $1,020.30         $4.75   

Retail Class

                     

Actual

      $1,000.00         $1,084.20         $6.20   

Hypothetical (5% return before expenses)

      $1,000.00         $1,019.05         $6.01   

Class N

                     

Actual

      $1,000.00         $1,086.00         $4.33   

Hypothetical (5% return before expenses)

      $1,000.00         $1,020.85         $4.19   

*   Expenses are equal to the Fund’s annualized expense ratio: 0.94%, 1.19% and 0.83% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

         

 

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Loomis Sayles Small Cap Value Fund

 

Institutional Class

    Beginning
Account Value
4/1/2016		      Ending
Account Value
9/30/2016		      Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

      $1,000.00         $1,095.30         $4.71   

Hypothetical (5% return before expenses)

      $1,000.00         $1,020.50         $4.55   

Retail Class

                     

Actual

      $1,000.00         $1,094.20         $6.02   

Hypothetical (5% return before expenses)

      $1,000.00         $1,019.25         $5.81   

Admin Class

                     

Actual

      $1,000.00         $1,092.70         $7.32   

Hypothetical (5% return before expenses)

      $1,000.00         $1,018.00         $7.06   

Class N

                     

Actual

      $1,000.00         $1,095.90         $4.35   

Hypothetical (5% return before expenses)

      $1,000.00         $1,020.85         $4.19   

*   Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.83% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

         

Loomis Sayles Small/Mid Cap Growth Fund

 

Institutional Class

    Beginning
Account Value
4/1/2016		      Ending
Account Value
9/30/2016		      Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

      $1,000.00         $1,072.80         $4.40   

Hypothetical (5% return before expenses)

      $1,000.00         $1,020.75         $4.29   

*   Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.85%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

        

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements. The Loomis Sayles Small/Mid Cap Growth Fund was not included in the most recent annual review as the Fund’s initial board-approved advisory agreement is in effect until July 1, 2017.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) the Adviser’s financial results and/or financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory

 

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and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreements at its meeting held in June 2016. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds. For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund. In the case

 

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of the Loomis Sayles Small Cap Value Fund, the performance of which lagged that of a relevant peer group median and/or category median of funds for certain (although not necessarily all) periods , the Board concluded that other factors relevant to performance supported renewal of the relevant Agreement. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies ; (2) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups; and (3) that the Fund’s long-term performance was competitive when compared to relevant performance benchmarks or peer groups.

The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Funds grow in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that both of the Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for the Loomis Sayles Small Cap Value Fund. The Trustees also considered that the Loomis Sayles Small Cap Growth Fund’s current expenses are below the cap.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser and its

 

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affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, and whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fee charged to each of the Funds was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that although neither Fund’s management fee was subject to breakpoints, each Fund’s management fee and overall net expense ratio was at or below the median fee for a peer group of funds and that each Fund was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

 

•  

the effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

 

•  

whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Funds.

 

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•  

the nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services.

 

•  

so-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

•  

the Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2017.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund

 

Shares     Description   Value (†)  
  Common Stocks – 96.8% of Net Assets   
  Aerospace & Defense – 1.0%   
  262,976      Hexcel Corp.   $ 11,649,837   
   

 

 

  
  Auto Components – 1.7%   
  176,397      Dorman Products, Inc.(b)     11,271,768   
  82,866      Drew Industries, Inc.     8,122,526   
   

 

 

  
      19,394,294   
   

 

 

  
  Banks – 4.2%  
  238,013      Chemical Financial Corp.     10,503,514   
  234,695      Pinnacle Financial Partners, Inc.     12,692,305   
  291,177      PrivateBancorp, Inc.     13,370,848   
  314,876      Renasant Corp.     10,589,280   
   

 

 

  
      47,155,947   
   

 

 

  
  Biotechnology – 2.5%  
  311,716      Genomic Health, Inc.(b)     9,014,827   
  632,176      Ironwood Pharmaceuticals, Inc.(b)     10,038,955   
  492,458      Lexicon Pharmaceuticals, Inc.(b)     8,898,716   
   

 

 

  
      27,952,498   
   

 

 

  
  Building Products – 2.2%  
  278,380      Apogee Enterprises, Inc.     12,440,802   
  216,763      Trex Co., Inc.(b)     12,728,324   
   

 

 

  
      25,169,126   
   

 

 

  
  Capital Markets – 2.5%  
  362,036      Financial Engines, Inc.     10,756,090   
  104,116      MarketAxess Holdings, Inc.     17,240,568   
   

 

 

  
      27,996,658   
   

 

 

  
  Commercial Services & Supplies – 1.5%  
  372,069      Healthcare Services Group, Inc.     14,726,491   
  47,349      Team, Inc.(b)     1,548,786   
   

 

 

  
      16,275,277   
   

 

 

  
  Construction & Engineering – 2.2%  
  303,105      Granite Construction, Inc.     15,076,443   
  475,474      Primoris Services Corp.     9,794,764   
   

 

 

  
      24,871,207   
   

 

 

  
  Distributors – 1.3%  
  149,143      Pool Corp.     14,096,996   
   

 

 

  
  Diversified Consumer Services – 3.7%   
  247,256      Bright Horizons Family Solutions, Inc.(b)     16,538,954   
  292,362      Grand Canyon Education, Inc.(b)     11,808,501   
  602,657      Nord Anglia Education, Inc.(b)     13,125,869   
   

 

 

  
      41,473,324   
   

 

 

  

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Diversified Telecommunication Services – 2.3%  
  342,998      Cogent Communications Holdings, Inc.   $ 12,625,756   
  1,245,759      ORBCOMM, Inc.(b)     12,769,030   
   

 

 

  
      25,394,786   
   

 

 

  
  Electrical Equipment – 1.0%  
  307,766      Generac Holdings, Inc.(b)     11,171,906   
   

 

 

  
  Electronic Equipment, Instruments & Components – 1.8%  
  131,843      IPG Photonics Corp.(b)     10,857,271   
  316,456      Orbotech Ltd.(b)     9,370,262   
   

 

 

  
      20,227,533   
   

 

 

  
  Energy Equipment & Services – 0.7%  
  145,035      Dril-Quip, Inc.(b)     8,084,251   
   

 

 

  
  Food Products – 2.0%  
  713,013      Amplify Snack Brands, Inc.(b)     11,550,810   
  327,515      Snyder’s-Lance, Inc.     10,997,954   
   

 

 

  
      22,548,764   
   

 

 

  
  Health Care Equipment & Supplies – 8.2%  
  292,046      Cynosure, Inc., Class A(b)     14,876,823   
  225,532      Inogen, Inc.(b)     13,509,367   
  338,574      Insulet Corp.(b)     13,861,220   
  168,892      Integra LifeSciences Holdings Corp.(b)     13,942,035   
  83,557      Merit Medical Systems, Inc.(b)     2,029,599   
  215,262      Neogen Corp.(b)     12,041,756   
  91,601      Nevro Corp.(b)     9,562,228   
  512,681      Wright Medical Group NV(b)     12,576,065   
   

 

 

  
      92,399,093   
   

 

 

  
  Health Care Providers & Services – 4.6%  
  193,934      Acadia Healthcare Co., Inc.(b)     9,609,430   
  358,086      AMN Healthcare Services, Inc.(b)     11,412,201   
  151,750      Amsurg Corp.(b)     10,174,837   
  413,304      Ensign Group, Inc. (The)     8,319,810   
  317,404      HealthEquity, Inc.(b)     12,013,741   
   

 

 

  
      51,530,019   
   

 

 

  
  Health Care Technology – 3.0%  
  320,168      Evolent Health, Inc., Class A(b)     7,882,536   
  257,841      Medidata Solutions, Inc.(b)     14,377,214   
  280,118      Press Ganey Holdings, Inc.(b)     11,316,767   
   

 

 

  
      33,576,517   
   

 

 

  
  Hotels, Restaurants & Leisure – 3.6%  
  348,528      Chuy’s Holdings, Inc.(b)     9,737,872   

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Hotels, Restaurants & Leisure – continued  
  157,359      Popeyes Louisiana Kitchen, Inc.(b)   $ 8,362,057   
  206,889      Texas Roadhouse, Inc.     8,074,878   
  93,451      Vail Resorts, Inc.     14,660,593   
   

 

 

  
      40,835,400   
   

 

 

  
  Household Durables – 2.4%  
  209,575      Installed Building Products, Inc.(b)     7,517,455   
  221,898      iRobot Corp.(b)     9,759,074   
  131,843      Universal Electronics, Inc.(b)     9,817,030   
   

 

 

  
      27,093,559   
   

 

 

  
  Internet & Direct Marketing Retail – 0.6%  
  178,292      Wayfair, Inc., Class A(b)     7,019,356   
   

 

 

  
  Internet Software & Services – 7.1%   
  287,859      2U, Inc.(b)     11,022,121   
  210,523      Benefitfocus, Inc.(b)     8,404,078   
  293,468      Criteo S.A., Sponsored ADR(b)     10,303,661   
  146,773      Envestnet, Inc.(b)     5,349,876   
  147,563      LogMeIn, Inc.     13,338,220   
  448,852      Q2 Holdings, Inc.(b)     12,864,098   
  426,752      Quotient Technology, Inc.(b)     5,680,069   
  309,346      Wix.com Ltd.(b)     13,434,897   
   

 

 

  
      80,397,020   
   

 

 

  
  IT Services – 4.3%  
  128,762      EPAM Systems, Inc.(b)     8,924,494   
  198,831      Euronet Worldwide, Inc.(b)     16,270,341   
  208,785      ExlService Holdings, Inc.(b)     10,405,844   
  368,514      InterXion Holding NV(b)     13,347,577   
   

 

 

  
      48,948,256   
   

 

 

  
  Life Sciences Tools & Services – 2.8%  
  318,668      Accelerate Diagnostics, Inc.(b)     8,686,890   
  234,221      INC Research Holdings, Inc., Class A(b)     10,441,572   
  227,823      PRA Health Sciences, Inc.(b)     12,874,278   
   

 

 

  
      32,002,740   
   

 

 

  
  Machinery – 3.0%  
  177,266      Astec Industries, Inc.     10,612,915   
  98,191      Middleby Corp. (The)(b)     12,138,372   
  146,536      RBC Bearings, Inc.(b)     11,207,073   
   

 

 

  
      33,958,360   
   

 

 

  
  Oil, Gas & Consumable Fuels – 2.1%  
  132,870      Diamondback Energy, Inc.(b)     12,827,270   

 

See accompanying notes to financial statements.

 

|  24

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Oil, Gas & Consumable Fuels – continued  
  160,676      PDC Energy, Inc.(b)   $ 10,774,932   
   

 

 

  
      23,602,202   
   

 

 

  
  Pharmaceuticals – 2.8%  
  199,147      Dermira, Inc.(b)     6,735,152   
  193,697      Medicines Co. (The)(b)     7,310,125   
  424,996      Nektar Therapeutics(b)     7,301,431   
  414,963      Supernus Pharmaceuticals, Inc.(b)     10,262,035   
   

 

 

  
      31,608,743   
   

 

 

  
  Professional Services – 1.4%  
  257,525      WageWorks, Inc.(b)     15,685,848   
   

 

 

  
  Real Estate Management & Development – 0.5%   
  212,814      HFF, Inc., Class A     5,892,820   
   

 

 

  
  Semiconductors & Semiconductor Equipment – 6.3%   
  324,987      Inphi Corp.(b)     14,140,184   
  511,733      Intersil Corp.     11,222,305   
  322,459      MKS Instruments, Inc.     16,035,886   
  196,698      Monolithic Power Systems, Inc.     15,834,189   
  230,667      Silicon Laboratories, Inc.(b)     13,563,220   
   

 

 

  
      70,795,784   
   

 

 

  
  Software – 7.5%  
  207,679      Blackbaud, Inc.     13,777,425   
  604,947      Callidus Software, Inc.(b)     11,100,778   
  190,695      FleetMatics Group PLC(b)     11,437,886   
  293,784      Guidewire Software, Inc.(b)     17,621,164   
  508,731      RingCentral, Inc., Class A(b)     12,036,576   
  89,896      Ultimate Software Group, Inc. (The)(b)     18,373,843   
   

 

 

  
      84,347,672   
   

 

 

  
  Specialty Retail – 1.7%   
  149,775      Monro Muffler Brake, Inc.     9,161,737   
  624,854      Tile Shop Holdings, Inc.(b)     10,341,333   
   

 

 

  
      19,503,070   
   

 

 

  
  Textiles, Apparel & Luxury Goods – 1.7%   
  163,678      Columbia Sportswear Co.     9,287,090   
  297,339      Steven Madden Ltd.(b)     10,276,036   
   

 

 

  
      19,563,126   
   

 

 

  
  Thrifts & Mortgage Finance – 1.0%   
  435,344      Essent Group Ltd.(b)     11,584,504   
   

 

 

  
  Trading Companies & Distributors – 1.6%   
  230,983      Beacon Roofing Supply, Inc.(b)     9,717,455   

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Trading Companies & Distributors – continued   
  227,823      SiteOne Landscape Supply, Inc.(b)   $ 8,185,680   
   

 

 

  
      17,903,135   
   

 

 

  
  Total Common Stocks
(Identified Cost $879,197,130)		     1,091,709,628   
   

 

 

  
 
 		 Principal
Amount		  
  		            
  Short-Term Investments – 3.0%   
$ 34,249,644      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $34,249,730 on 10/03/2016 collateralized by $34,550,000 U.S. Treasury Note, 1.500% due 3/31/2023 valued at $34,938,688 including accrued interest (Note 2 of Notes to Financial Statements)(Identified Cost $34,249,644)     34,249,644   
   

 

 

  
  Total Investments – 99.8%
(Identified Cost $913,446,774)(a)		     1,125,959,272   
 

Other assets less liabilities—0.2%

     1,826,692   
   

 

 

  
  Net Assets – 100.0%   $ 1,127,785,964   
   

 

 

  
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information:   
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $913,910,875 for federal income tax purposes was as follows:    
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 225,493,195   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (13,444,798 ) 
   

 

 

  
  Net unrealized appreciation   $ 212,048,397   
   

 

 

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

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued

 

Industry Summary at September 30, 2016

 

Health Care Equipment & Supplies

     8.2 % 

Software

     7.5   

Internet Software & Services

     7.1   

Semiconductors & Semiconductor Equipment

     6.3   

Health Care Providers & Services

     4.6   

IT Services

     4.3   

Banks

     4.2   

Diversified Consumer Services

     3.7   

Hotels, Restaurants & Leisure

     3.6   

Machinery

     3.0   

Health Care Technology

     3.0   

Life Sciences Tools & Services

     2.8   

Pharmaceuticals

     2.8   

Capital Markets

     2.5   

Biotechnology

     2.5   

Household Durables

     2.4   

Diversified Telecommunication Services

     2.3   

Building Products

     2.2   

Construction & Engineering

     2.2   

Oil, Gas & Consumable Fuels

     2.1   

Food Products

     2.0   

Other Investments, less than 2% each

     17.5   

Short-Term Investments

     3.0   
 

 

 

  

Total Investments

     99.8   

Other assets less liabilities

     0.2   
 

 

 

  

Net Assets

     100.0 % 
 

 

 

  

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund

 

Shares     Description   Value (†)  
  Common Stocks – 98.2% of Net Assets   
  Aerospace & Defense – 2.1%   
  258,206      Aerojet Rocketdyne Holdings, Inc.(b)   $ 4,539,261   
  257,814      BWX Technologies, Inc.     9,892,323   
  272,965      DigitalGlobe, Inc.(b)     7,506,538   
   

 

 

  
      21,938,122   
   

 

 

  
  Auto Components – 1.9%   
  136,200      Cooper Tire & Rubber Co.     5,178,324   
  183,745      Fox Factory Holding Corp.(b)     4,220,623   
  311,349      Horizon Global Corp.(b)     6,205,185   
  63,951      Tenneco, Inc.(b)     3,726,425   
   

 

 

  
      19,330,557   
   

 

 

  
  Banks – 17.1%   
  420,939      BancorpSouth, Inc.     9,765,785   
  160,341      Bank of the Ozarks, Inc.     6,157,094   
  258,326      Bryn Mawr Bank Corp.     8,263,849   
  450,864      Cathay General Bancorp     13,877,594   
  217,763      Chemical Financial Corp.     9,609,881   
  533,038      CVB Financial Corp.     9,386,799   
  541,604      First Financial Bancorp     11,828,631   
  193,155      First Financial Bankshares, Inc.     7,038,568   
  411,049      Home BancShares, Inc.     8,553,930   
  173,656      IBERIABANK Corp.     11,655,791   
  168,106      LegacyTexas Financial Group, Inc.     5,317,193   
  247,775      PacWest Bancorp     10,632,025   
  177,536      Pinnacle Financial Partners, Inc.     9,601,147   
  284,947      Popular, Inc.     10,890,674   
  156,062      Prosperity Bancshares, Inc.     8,566,243   
  99,750      Signature Bank(b)     11,815,387   
  123,418      Texas Capital Bancshares, Inc.(b)     6,778,117   
  255,353      Triumph Bancorp, Inc.(b)     5,066,204   
  226,625      Wintrust Financial Corp.     12,593,551   
   

 

 

  
      177,398,463   
   

 

 

  
  Beverages – 0.9%   
  664,437      Cott Corp.     9,468,227   
   

 

 

  
  Building Products – 2.4%   
  87,946      Apogee Enterprises, Inc.     3,930,307   
  153,765      Armstrong World Industries, Inc.(b)     6,353,570   
  70,344      Gibraltar Industries, Inc.(b)     2,613,279   
  111,434      Masonite International Corp.(b)     6,927,852   
  74,254      Patrick Industries, Inc.(b)     4,597,808   
   

 

 

  
      24,422,816   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Capital Markets – 1.0%   
  20,114      MarketAxess Holdings, Inc.   $ 3,330,677   
  191,907      Stifel Financial Corp.(b)     7,378,824   
   

 

 

  
      10,709,501   
   

 

 

  
  Chemicals – 1.4%   
  120,054      Cabot Corp.     6,292,030   
  118,130      Minerals Technologies, Inc.     8,350,610   
   

 

 

  
      14,642,640   
   

 

 

  
  Commercial Services & Supplies – 4.3%   
  94,019      Clean Harbors, Inc.(b)     4,511,032   
  300,147      KAR Auction Services, Inc.     12,954,345   
  294,782      Kimball International, Inc.     3,814,479   
  102,095      Knoll, Inc.     2,332,871   
  327,274      R.R. Donnelley & Sons Co.     5,144,747   
  238,745      Viad Corp.     8,802,528   
  290,843      West Corp.     6,421,813   
   

 

 

  
      43,981,815   
   

 

 

  
  Communications Equipment – 1.8%   
  243,219      ARRIS International PLC(b)     6,890,394   
  337,076      Calix, Inc.(b)     2,477,509   
  343,605      Digi International, Inc.(b)     3,917,097   
  709,626      Viavi Solutions, Inc.(b)     5,244,136   
   

 

 

  
      18,529,136   
   

 

 

  
  Construction & Engineering – 1.6%   
  110,895      Argan, Inc.     6,563,875   
  170,800      MYR Group, Inc.(b)     5,141,080   
  183,611      Quanta Services, Inc.(b)     5,139,272   
   

 

 

  
      16,844,227   
   

 

 

  
  Construction Materials – 0.8%   
  221,752      Summit Materials, Inc., Class A(b)     4,113,500   
  94,184      U.S. Concrete, Inc.(b)     4,338,586   
   

 

 

  
      8,452,086   
   

 

 

  
  Consumer Finance – 0.5%   
  145,279      PRA Group, Inc.(b)     5,017,937   
   

 

 

  
  Distributors – 0.8%   
  219,700      Core-Mark Holding Co., Inc.     7,865,260   
   

 

 

  
  Diversified Consumer Services – 0.4%   
  277,662      Houghton Mifflin Harcourt Co.(b)     3,723,447   
   

 

 

  
  Diversified Financial Services – 0.7%   
  577,201      FNFV Group(b)     7,203,468   
   

 

 

  

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Electric Utilities – 1.2%   
  200,898      ALLETE, Inc.   $ 11,977,539   
   

 

 

  
  Electrical Equipment – 1.1%   
  45,465      AZZ, Inc.     2,967,501   
  341,965      Babcock & Wilcox Enterprises, Inc.(b)     5,642,422   
  34,846      EnerSys     2,410,995   
   

 

 

  
      11,020,918   
   

 

 

  
  Electronic Equipment, Instruments & Components – 5.0%   
  107,123      Belden, Inc.     7,390,416   
  260,384      II-VI, Inc.(b)     6,335,143   
  83,204      Kimball Electronics, Inc.(b)     1,153,207   
  123,871      Littelfuse, Inc.     15,955,823   
  213,702      Methode Electronics, Inc.     7,473,159   
  110,650      Rogers Corp.(b)     6,758,502   
  146,249      VeriFone Systems, Inc.(b)     2,301,959   
  312,576      Vishay Intertechnology, Inc.     4,404,196   
   

 

 

  
      51,772,405   
   

 

 

  
  Energy Equipment & Services – 2.4%   
  150,461      Bristow Group, Inc.     2,109,463   
  240,094      Natural Gas Services Group, Inc.(b)     5,903,912   
  326,184      RPC, Inc.(b)     5,479,891   
  240,166      U.S. Silica Holdings, Inc.     11,182,129   
   

 

 

  
      24,675,395   
   

 

 

  
  Food & Staples Retailing – 0.8%   
  276,400      SpartanNash Co.     7,993,488   
   

 

 

  
  Food Products – 2.0%   
  311,985      Darling Ingredients, Inc.(b)     4,214,917   
  27,071      J&J Snack Foods Corp.     3,224,697   
  173,768      Post Holdings, Inc.(b)     13,409,677   
   

 

 

  
      20,849,291   
   

 

 

  
  Health Care Equipment & Supplies – 1.8%   
  71,870      Cynosure, Inc., Class A(b)     3,661,058   
  210,698      Halyard Health, Inc.(b)     7,302,793   
  162,457      SurModics, Inc.(b)     4,888,331   
  14,621      Teleflex, Inc.     2,457,059   
   

 

 

  
      18,309,241   
   

 

 

  
  Health Care Providers & Services – 1.2%   
  263,440      PharMerica Corp.(b)     7,394,761   
  44,442      WellCare Health Plans, Inc.(b)     5,203,714   
   

 

 

  
      12,598,475   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Hotels, Restaurants & Leisure – 3.9%   
  328,250      Carrols Restaurant Group, Inc.(b)   $ 4,336,182   
  76,273      Churchill Downs, Inc.     11,162,554   
  24,829      Cracker Barrel Old Country Store, Inc.     3,282,890   
  84,048      Del Frisco’s Restaurant Group, Inc.(b)     1,132,127   
  142,945      J. Alexander’s Holdings, Inc.(b)     1,448,033   
  130,415      Marriott Vacations Worldwide Corp.     9,562,028   
  175,805      Six Flags Entertainment Corp.     9,424,906   
   

 

 

  
      40,348,720   
   

 

 

  
  Household Durables – 0.7%   
  88,268      Helen of Troy Ltd.(b)     7,606,054   
   

 

 

  
  Household Products – 0.4%   
  295,958      HRG Group, Inc.(b)     4,646,541   
   

 

 

  
  Industrial Conglomerates – 0.7%   
  318,788      Raven Industries, Inc.     7,341,688   
   

 

 

  
  Insurance – 3.6%   
  125,076      Atlas Financial Holdings, Inc.(b)     1,972,448   
  371,538      Employers Holdings, Inc.     11,082,979   
  123,428      First American Financial Corp.     4,848,252   
  172,223      ProAssurance Corp.     9,038,263   
  96,732      Reinsurance Group of America, Inc., Class A     10,441,252   
   

 

 

  
      37,383,194   
   

 

 

  
  Internet & Direct Marketing Retail – 1.5%   
  519,741      1-800-Flowers.com, Inc., Class A(b)     4,766,025   
  81,135      HSN, Inc.     3,229,173   
  201,375      Liberty Ventures, Series A(b)     8,028,821   
   

 

 

  
      16,024,019   
   

 

 

  
  Internet Software & Services – 0.9%   
  20,137      CommerceHub, Inc., Series A(b)     318,164   
  176,033      CommerceHub, Inc., Series C(b)     2,800,685   
  92,993      IAC/InterActiveCorp     5,809,273   
   

 

 

  
      8,928,122   
   

 

 

  
  IT Services – 5.1%   
  305,516      Booz Allen Hamilton Holding Corp.     9,657,361   
  118,302      CSG Systems International, Inc.     4,889,421   
  90,390      DST Systems, Inc.     10,658,789   
  136,906      Euronet Worldwide, Inc.(b)     11,203,018   
  323,807      Perficient, Inc.(b)     6,524,711   
  94,412      WEX, Inc.(b)     10,204,993   
   

 

 

  
      53,138,293   
   

 

 

  

 

See accompanying notes to financial statements.

 

31  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Life Sciences Tools & Services – 1.4%   
  336,621      Albany Molecular Research, Inc.(b)   $ 5,557,612   
  308,530      VWR Corp.(b)     8,749,911   
   

 

 

  
      14,307,523   
   

 

 

  
  Machinery – 3.7%   
  72,415      Alamo Group, Inc.     4,771,424   
  170,875      Albany International Corp., Class A     7,241,683   
  90,233      Altra Industrial Motion Corp.     2,614,050   
  143,397      John Bean Technologies Corp.     10,116,658   
  136,715      RBC Bearings, Inc.(b)     10,455,963   
  30,804      Standex International Corp.     2,860,768   
   

 

 

  
      38,060,546   
   

 

 

  
  Marine – 0.5%   
  78,077      Kirby Corp.(b)     4,853,266   
   

 

 

  
  Media – 2.7%   
  482,936      E.W. Scripps Co. (The), Class A(b)     7,678,683   
  133,851      John Wiley & Sons, Inc., Class A     6,908,050   
  522,374      National CineMedia, Inc.     7,689,345   
  348,210      New Media Investment Group, Inc.     5,397,255   
   

 

 

  
      27,673,333   
   

 

 

  
  Metals & Mining – 0.9%   
  507,316      Ferroglobe PLC     4,581,063   
  135,487      Haynes International, Inc.     5,027,923   
   

 

 

  
      9,608,986   
   

 

 

  
  Multi-Utilities – 1.0%   
  180,993      NorthWestern Corp.     10,412,527   
   

 

 

  
  Oil, Gas & Consumable Fuels – 1.3%   
  340,418      QEP Resources, Inc.     6,648,364   
  997,011      Synergy Resources Corp.(b)     6,909,286   
   

 

 

  
      13,557,650   
   

 

 

  
  Pharmaceuticals – 0.9%   
  139,559      Akorn, Inc.(b)     3,804,378   
  208,513      Catalent, Inc.(b)     5,387,976   
   

 

 

  
      9,192,354   
   

 

 

  
  Professional Services – 1.3%   
  112,479      FTI Consulting, Inc.(b)     5,012,064   
  57,421      Insperity, Inc.     4,171,062   
  204,386      Korn/Ferry International     4,292,106   
   

 

 

  
      13,475,232   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  REITs – Apartments – 1.9%   
  179,360      American Campus Communities, Inc.   $ 9,124,043   
  114,710      Mid-America Apartment Communities, Inc.     10,781,593   
   

 

 

  
      19,905,636   
   

 

 

  
  REITs – Health Care – 0.4%   
  171,646      Sabra Healthcare REIT, Inc.     4,322,046   
   

 

 

  
  REITs – Hotels – 0.5%   
  283,562      Hersha Hospitality Trust     5,109,787   
   

 

 

  
  REITs – Shopping Centers – 1.3%   
  634,041      Retail Opportunity Investments Corp.     13,923,540   
   

 

 

  
  REITs – Single Tenant – 0.8%   
  159,592      National Retail Properties, Inc.     8,115,253   
   

 

 

  
  REITs – Storage – 1.5%   
  351,530      CubeSmart     9,582,708   
  72,288      Life Storage, Inc.     6,429,295   
   

 

 

  
      16,012,003   
   

 

 

  
  Road & Rail – 1.7%   
  104,752      Avis Budget Group, Inc.(b)     3,583,566   
  94,380      Genesee & Wyoming, Inc., Class A(b)     6,507,501   
  108,812      Old Dominion Freight Line, Inc.(b)     7,465,591   
   

 

 

  
      17,556,658   
   

 

 

  
  Semiconductors & Semiconductor Equipment – 2.0%   
  192,205      Advanced Energy Industries, Inc.(b)     9,095,141   
  132,532      Semtech Corp.(b)     3,675,112   
  367,420      Teradyne, Inc.     7,928,924   
   

 

 

  
      20,699,177   
   

 

 

  
  Software – 1.4%   
  219,255      Synchronoss Technologies, Inc.(b)     9,028,921   
  146,376      Verint Systems, Inc.(b)     5,508,129   
   

 

 

  
      14,537,050   
   

 

 

  
  Specialty Retail – 1.8%   
  270,309      Barnes & Noble, Inc.     3,054,492   
  145,400      Genesco, Inc.(b)     7,918,484   
  857,886      Office Depot, Inc.     3,062,653   
  161,351      Sally Beauty Holdings, Inc.(b)     4,143,493   
   

 

 

  
      18,179,122   
   

 

 

  
  Thrifts & Mortgage Finance – 0.5%   
  131,644      Federal Agricultural Mortgage Corp., Class C     5,199,938   
   

 

 

  

 

See accompanying notes to financial statements.

 

33  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Transportation Infrastructure – 0.7%   
  83,303      Macquarie Infrastructure Corp.   $ 6,934,142   
   

 

 

  
  Total Common Stocks
(Identified Cost $716,953,373)		     1,015,776,854   
   

 

 

  
  Closed-End Investment Companies – 0.6%   
  462,007      Hercules Capital, Inc.
(Identified Cost $6,009,463)		     6,264,815   
   

 

 

  
 
 		 Principal
Amount		  
  		            
  Short-Term Investments – 1.5%   
$ 16,131,843      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $16,131,883 on 10/03/2016 collateralized by $15,255,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $16,456,331 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $16,131,843)     16,131,843   
   

 

 

  
  Total Investments – 100.3%
(Identified Cost $739,094,679)(a)		     1,038,173,512   
 

Other assets less liabilities—(0.3)%

     (3,431,431 ) 
   

 

 

  
  Net Assets – 100.0%   $ 1,034,742,081   
   

 

 

  
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information:   
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $736,517,809 for federal income tax purposes was as follows:    
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 329,934,005   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (28,278,302 ) 
   

 

 

  
  Net unrealized appreciation   $ 301,655,703   
   

 

 

  
  (b)      Non-income producing security.   
  REITs      Real Estate Investment Trusts   

 

See accompanying notes to financial statements.

 

|  34

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued

 

Industry Summary at September 30, 2016

 

Banks

     17.1 % 

IT Services

     5.1   

Electronic Equipment, Instruments & Components

     5.0   

Commercial Services & Supplies

     4.3   

Hotels, Restaurants & Leisure

     3.9   

Machinery

     3.7   

Insurance

     3.6   

Media

     2.7   

Energy Equipment & Services

     2.4   

Building Products

     2.4   

Aerospace & Defense

     2.1   

Food Products

     2.0   

Semiconductors & Semiconductor Equipment

     2.0   

Other Investments, less than 2% each

     42.5   

Short-Term Investments

     1.5   
 

 

 

  

Total Investments

     100.3   

Other assets less liabilities

     (0.3 ) 
 

 

 

  

Net Assets

     100.0 % 
 

 

 

  

 

See accompanying notes to financial statements.

 

35  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund

 

Shares     Description   Value (†)  
  Common Stocks – 97.2% of Net Assets   
  Aerospace & Defense – 4.7%   
  3,649      B/E Aerospace, Inc.   $ 188,508   
  3,327      Hexcel Corp.     147,386   
  793      TransDigm Group, Inc.(b)     229,272   
   

 

 

  
      565,166   
   

 

 

  
  Air Freight & Logistics – 1.0%   
  3,282      XPO Logistics, Inc.(b)     120,351   
   

 

 

  
  Auto Components – 1.0%   
  1,189      Drew Industries, Inc.     116,546   
   

 

 

  
  Banks – 4.5%   
  3,807      Columbia Banking System, Inc.     124,565   
  2,259      First Republic Bank     174,192   
  4,149      Home BancShares, Inc.     86,341   
  4,147      Western Alliance Bancorp(b)     155,678   
   

 

 

  
      540,776   
   

 

 

  
  Biotechnology – 2.2%   
  10,554      Ironwood Pharmaceuticals, Inc.(b)     167,597   
  1,845      Neurocrine Biosciences, Inc.(b)     93,431   
   

 

 

  
      261,028   
   

 

 

  
  Capital Markets – 4.9%   
  2,267      CBOE Holdings, Inc.     147,015   
  1,074      MarketAxess Holdings, Inc.     177,844   
  1,565      MSCI, Inc.     131,366   
  2,815      SEI Investments Co.     128,392   
   

 

 

  
      584,617   
   

 

 

  
  Commercial Services & Supplies – 4.2%   
  4,363      Healthcare Services Group, Inc.     172,688   
  3,797      KAR Auction Services, Inc.     163,878   
  4,878      Ritchie Bros. Auctioneers, Inc.     171,071   
   

 

 

  
      507,637   
   

 

 

  
  Construction Materials – 0.8%   
  5,686      Headwaters, Inc.(b)     96,207   
   

 

 

  
  Diversified Consumer Services – 4.4%   
  2,692      Bright Horizons Family Solutions, Inc.(b)     180,068   
  3,718      Grand Canyon Education, Inc.(b)     150,170   
  8,723      Nord Anglia Education, Inc.(b)     189,987   
   

 

 

  
      520,225   
   

 

 

  
  Diversified Telecommunication Services – 1.4%   
  4,636      Cogent Communications Holdings, Inc.     170,651   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  36

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Electrical Equipment – 3.8%   
  780      Acuity Brands, Inc.   $ 206,388   
  4,141      Generac Holdings, Inc.(b)     150,319   
  2,467      Sensata Technologies Holding NV(b)     95,670   
   

 

 

  
      452,377   
   

 

 

  
  Electronic Equipment, Instruments & Components – 4.1%   
  1,463      Coherent, Inc.(b)     161,720   
  5,421      National Instruments Corp.     153,956   
  6,069      Trimble Navigation Ltd.(b)     173,331   
   

 

 

  
      489,007   
   

 

 

  
  Energy Equipment & Services – 0.8%   
  1,789      Dril-Quip, Inc.(b)     99,719   
   

 

 

  
  Food & Staples Retailing – 1.2%   
  1,158      Casey’s General Stores, Inc.     139,134   
   

 

 

  
  Health Care Equipment & Supplies – 7.6%   
  1,878      Align Technology, Inc.(b)     176,062   
  2,314      Cantel Medical Corp.     180,446   
  1,713      DexCom, Inc.(b)     150,162   
  1,789      STERIS PLC     130,776   
  1,747      West Pharmaceutical Services, Inc.     130,151   
  5,907      Wright Medical Group NV(b)     144,899   
   

 

 

  
      912,496   
   

 

 

  
  Health Care Providers & Services – 6.9%   
  2,329      Acadia Healthcare Co., Inc.(b)     115,402   
  2,203      MEDNAX, Inc.(b)     145,949   
  3,263      Surgical Care Affiliates, Inc.(b)     159,104   
  2,423      VCA, Inc.(b)     169,561   
  2,025      WellCare Health Plans, Inc.(b)     237,107   
   

 

 

  
      827,123   
   

 

 

  
  Health Care Technology – 2.4%   
  1,151      athenahealth, Inc.(b)     145,164   
  5,179      HealthStream, Inc.(b)     142,940   
   

 

 

  
      288,104   
   

 

 

  
  Hotels, Restaurants & Leisure – 4.7%   
  1,875      Dunkin’ Brands Group, Inc.     97,650   
  469      Panera Bread Co., Class A(b)     91,324   
  2,050      Six Flags Entertainment Corp.     109,901   
  2,001      Texas Roadhouse, Inc.     78,099   
  1,164      Vail Resorts, Inc.     182,608   
   

 

 

  
      559,582   
   

 

 

  

 

See accompanying notes to financial statements.

 

37  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Internet Software & Services – 4.4%   
  812      CoStar Group, Inc.(b)   $ 175,822   
  4,449      GTT Communications, Inc.(b)     104,685   
  1,375      j2 Global, Inc.     91,589   
  2,173      SPS Commerce, Inc.(b)     159,520   
   

 

 

  
      531,616   
   

 

 

  
  IT Services – 5.8%   
  2,360      Black Knight Financial Services, Inc., Class A(b)     96,524   
  5,230      Booz Allen Hamilton Holding Corp.     165,320   
  1,972      Broadridge Financial Solutions, Inc.     133,682   
  2,911      ExlService Holdings, Inc.(b)     145,084   
  1,748      Gartner, Inc.(b)     154,611   
   

 

 

  
      695,221   
   

 

 

  
  Leisure Products – 1.0%   
  2,553      Brunswick Corp.     124,535   
   

 

 

  
  Life Sciences Tools & Services – 1.4%   
  2,189      ICON PLC(b)     169,363   
   

 

 

  
  Machinery – 3.4%   
  1,331      Middleby Corp. (The)(b)     164,538   
  3,190      Sun Hydraulics Corp.     102,941   
  2,902      Toro Co. (The)     135,930   
   

 

 

  
      403,409   
   

 

 

  
  Oil, Gas & Consumable Fuels – 2.4%   
  1,524      Diamondback Energy, Inc.(b)     147,127   
  4,121      Parsley Energy, Inc., Class A(b)     138,095   
   

 

 

  
      285,222   
   

 

 

  
  Pharmaceuticals – 1.7%   
  915      Jazz Pharmaceuticals PLC(b)     111,154   
  5,572      Nektar Therapeutics(b)     95,727   
   

 

 

  
      206,881   
   

 

 

  
  Professional Services – 1.3%   
  4,389      TransUnion(b)     151,420   
   

 

 

  
  Real Estate Management & Development – 1.1%   
  2,792      First Service Corp.     130,331   
   

 

 

  
  Semiconductors & Semiconductor Equipment – 3.8%   
  2,957      Advanced Energy Industries, Inc.(b)     139,925   
  3,555      MACOM Technology Solutions Holdings, Inc.(b)     150,519   
  2,804      Silicon Laboratories, Inc.(b)     164,875   
   

 

 

  
      455,319   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  38

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Shares     Description   Value (†)  
  Common Stocks – continued   
  Software – 8.5%   
  2,733      Blackbaud, Inc.   $ 181,307   
  8,299      Callidus Software, Inc.(b)     152,287   
  3,288      Guidewire Software, Inc.(b)     197,214   
  2,163      HubSpot, Inc.(b)     124,632   
  3,573      Paylocity Holding Corp.(b)     158,856   
  1,014      Ultimate Software Group, Inc. (The)(b)     207,251   
   

 

 

  
      1,021,547   
   

 

 

  
  Textiles, Apparel & Luxury Goods – 1.8%   
  1,023      Carter’s, Inc.     88,705   
  2,245      Columbia Sportswear Co.     127,381   
   

 

 

  
      216,086   
   

 

 

  
  Total Common Stocks
(Identified Cost $10,581,090)		     11,641,696   
   

 

 

  
 
 		 Principal
Amount		  
  		            
  Short-Term Investments – 3.2%   
$ 377,396      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $377,397 on 10/03/2016 collateralized by $360,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $388,350 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $377,396)		     377,396   
   

 

 

  
  Total Investments – 100.4%
(Identified Cost $10,958,486)(a)		     12,019,092   
 

Other assets less liabilities—(0.4)%

     (44,669 ) 
   

 

 

  
  Net Assets – 100.0%   $ 11,974,423   
   

 

 

  
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information:   
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $10,969,667 for federal income tax purposes was as follows:    
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 1,342,238   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (292,813 ) 
   

 

 

  
  Net unrealized appreciation   $ 1,049,425   
   

 

 

  
  (b)      Non-income producing security.   

 

See accompanying notes to financial statements.

 

39  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund – continued

 

Industry Summary at September 30, 2016

 

Software

     8.5 % 

Health Care Equipment & Supplies

     7.6   

Health Care Providers & Services

     6.9   

IT Services

     5.8   

Capital Markets

     4.9   

Aerospace & Defense

     4.7   

Hotels, Restaurants & Leisure

     4.7   

Banks

     4.5   

Internet Software & Services

     4.4   

Diversified Consumer Services

     4.4   

Commercial Services & Supplies

     4.2   

Electronic Equipment, Instruments & Components

     4.1   

Semiconductors & Semiconductor Equipment

     3.8   

Electrical Equipment

     3.8   

Machinery

     3.4   

Health Care Technology

     2.4   

Oil, Gas & Consumable Fuels

     2.4   

Biotechnology

     2.2   

Other Investments, less than 2% each

     14.5   

Short-Term Investments

     3.2   
 

 

 

  

Total Investments

     100.4   

Other assets less liabilities

     (0.4 ) 
 

 

 

  

Net Assets

     100.0 % 
 

 

 

  

 

See accompanying notes to financial statements.

 

|  40

Table of Contents

Statements of Assets and Liabilities

September 30, 2016

 

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

ASSETS

  

Investments at cost

   $ 913,446,774      $ 739,094,679      $ 10,958,486   

Net unrealized appreciation

     212,512,498        299,078,833        1,060,606   
 

 

 

    

 

 

    

 

 

  

Investments at value

     1,125,959,272        1,038,173,512        12,019,092   

Receivable for Fund shares sold

     724,010        797,729        —   

Receivable for securities sold

     11,619,181        1,604,528        165,957   

Dividends and interest receivable

     147,145        867,040        2,710   

Prepaid expenses (Note 7)

     4,579        4,305        46   
 

 

 

    

 

 

    

 

 

  

TOTAL ASSETS

     1,138,454,187        1,041,447,114        12,187,805   
 

 

 

    

 

 

    

 

 

  

LIABILITIES

  

Payable for securities purchased

     9,298,708        5,151,716        156,270   

Payable for Fund shares redeemed

     377,481        587,391        —   

Management fees payable (Note 5)

     715,707        627,098        2,077   

Deferred Trustees’ fees (Note 5)

     130,620        188,569        10,813   

Administrative fees payable (Note 5)

     41,030        38,375        420   

Payable to distributor (Note 5d)

     12,612        9,121        2   

Other accounts payable and accrued expenses

     92,065        102,763        43,800   
 

 

 

    

 

 

    

 

 

  

TOTAL LIABILITIES

     10,668,223        6,705,033        213,382   
 

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 1,127,785,964      $ 1,034,742,081      $ 11,974,423   
 

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF:

  

Paid-in capital

   $ 926,304,494      $ 660,464,310      $ 12,045,001   

Accumulated net investment loss/Undistributed net investment income

     (3,237,689 )      1,498,395        (18,730 ) 

Accumulated net realized gain (loss) on investments

     (7,793,339 )      73,700,543        (1,112,454 ) 

Net unrealized appreciation on investments

     212,512,498        299,078,833        1,060,606   
 

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 1,127,785,964      $ 1,034,742,081      $ 11,974,423   
 

 

 

    

 

 

    

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

  

Institutional Class:

  

Net assets

   $ 812,383,250      $ 654,501,090      $ 11,974,423   
 

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     36,871,468        19,376,303        1,230,336   
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 22.03      $ 33.78      $ 9.73   
 

 

 

    

 

 

    

 

 

  

Retail Class:

  

Net assets

   $ 118,669,524      $ 267,935,621      $ —   
 

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     5,758,957        8,039,271        —   
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 20.61      $ 33.33      $ —   
 

 

 

    

 

 

    

 

 

  

Admin Class shares:

  

Net assets

   $ —      $ 43,973,326      $ —   
 

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     —        1,360,994        —   
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ —      $ 32.31      $ —   
 

 

 

    

 

 

    

 

 

  

Class N shares:

  

Net assets

   $ 196,733,190      $ 68,332,044      $ —   
 

 

 

    

 

 

    

 

 

  

Shares of beneficial interest

     8,897,292        2,021,274        —   
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 22.11      $ 33.81      $ —   
 

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

41  |

Table of Contents

Statements of Operations

For the Year Ended September 30, 2016

 

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

INVESTMENT INCOME

  

Dividends

   $ 5,917,987      $ 14,895,029      $ 67,845   

Interest

     13,581        3,844        116   

Less net foreign taxes withheld

     —        (45,206 )      (462 ) 
 

 

 

    

 

 

    

 

 

  
    5,931,568        14,853,667        67,499   
 

 

 

    

 

 

    

 

 

  

Expenses

      

Management fees (Note 5)

     8,333,969        7,820,966        80,170   

Service and distribution fees (Note 5)

     345,619        911,866        —   

Administrative fees (Note 5)

     489,740        459,609        4,714   

Trustees’ fees and expenses (Note 5)

     47,185        49,153        18,656   

Transfer agent fees and expenses (Notes 5 and 6)

     1,133,186        1,019,882        1,559   

Audit and tax services fees

     41,061        41,937        42,280   

Custodian fees and expenses

     40,491        29,392        6,353   

Legal fees

     18,635        17,055        183   

Registration fees

     97,416        84,402        18,777   

Shareholder reporting expenses

     71,115        76,323        1,215   

Miscellaneous expenses (Note 7)

     36,182        35,811        12,910   
 

 

 

    

 

 

    

 

 

  

Total expenses

     10,654,599        10,546,396        186,817   

Less waiver and/or expense reimbursement (Note 5)

     —        (283,441 )      (95,958 ) 
 

 

 

    

 

 

    

 

 

  

Net expenses

     10,654,599        10,262,955        90,859   
 

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     (4,723,031 )      4,590,712        (23,360 ) 
 

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

      

Net realized gain (loss) on:

      

Investments

     (7,969,145 )      95,614,322        (943,201 ) 

Net change in unrealized appreciation (depreciation) on:

      

Investments

     88,312,376        60,726,807        1,835,053   
 

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain on investments

     80,343,231        156,341,129        891,852   
 

 

 

    

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 75,620,200      $ 160,931,841      $ 868,492   
 

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

|  42

Table of Contents

Statements of Changes in Net Assets

 

     Small Cap Growth Fund     Small Cap Value Fund  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		  

FROM OPERATIONS:

  

Net investment income (loss)

   $ (4,723,031 )    $ (6,768,383 )    $ 4,590,712      $ 7,744,624   

Net realized gain (loss) on investments

     (7,969,145 )      96,389,671        95,614,322        106,149,654   

Net change in unrealized appreciation (depreciation) on investments

     88,312,376        (39,045,091 )      60,726,807        (93,246,609 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

     75,620,200        50,576,197        160,931,841        20,647,669   
 

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

        

Net investment income

        

Institutional Class

     —        —        (4,437,216 )      (4,236,276 ) 

Retail Class

     —        —        (1,004,613 )      (1,054,845 ) 

Admin Class

     —        —        (29,796 )      (1,677 ) 

Class N

     —        —        (305,471 )      (44,634 ) 

Net realized capital gains

        

Institutional Class

     (60,491,317 )      (121,284,863 )      (64,722,294 )      (93,076,570 ) 

Retail Class

     (11,886,045 )      (25,100,168 )      (27,186,960 )      (45,284,938 ) 

Admin Class

     —        —        (4,490,438 )      (7,970,136 ) 

Class N

     (13,284,984 )      (2,724,416 )      (3,940,507 )      (870,050 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     (85,662,346 )      (149,109,447 )      (106,117,295 )      (152,539,126 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

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

     11,449,327        182,307,468        (76,857,263 )      34,718,995   
 

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets

     1,407,181        83,774,218        (22,042,717 )      (97,172,462 ) 

NET ASSETS

  

Beginning of the year

     1,126,378,783        1,042,604,565        1,056,784,798        1,153,957,260   
 

 

 

    

 

 

    

 

 

    

 

 

  

End of the year

   $ 1,127,785,964      $ 1,126,378,783      $ 1,034,742,081      $ 1,056,784,798   
 

 

 

    

 

 

    

 

 

    

 

 

  

ACCUMULATED NET INVESTMENT LOSS/UNDISTRIBUTED NET INVESTMENT INCOME

   $ (3,237,689 )    $ (5,262,820 )    $ 1,498,395      $ 3,993,205   
 

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

43  |

Table of Contents

Statements of Changes in Net Assets – continued

 

     Small/Mid Cap Growth Fund  
     Year Ended
September 30,
2016		     Period Ended
September 30,
2015(a)		  

FROM OPERATIONS:

  

Net investment loss

   $ (23,360 )    $ (13,202 ) 

Net realized loss on investments

     (943,201 )      (169,253 ) 

Net change in unrealized appreciation (depreciation) on investments

     1,835,053        (774,447 ) 
 

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     868,492        (956,902 ) 
 

 

 

    

 

 

  

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

     1,863,761        10,199,072   
 

 

 

    

 

 

  

Net increase in net assets

     2,732,253        9,242,170   

NET ASSETS

  

Beginning of the year

     9,242,170        —   
 

 

 

    

 

 

  

End of the year

   $ 11,974,423      $ 9,242,170   
 

 

 

    

 

 

  

ACCUMULATED NET INVESTMENT LOSS

   $ (18,730 )    $ (1,922 ) 
 

 

 

    

 

 

  

 

(a) From commencement of operations on June 30, 2015 through September 30, 2015.

 

See accompanying notes to financial statements.

 

|  44

Table of Contents

Financial Highlights

For a share outstanding throughout each period.

 

     Small Cap Growth Fund—Institutional Class         
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		         

Net asset value, beginning of the period

   $ 22.22      $ 24.27      $ 26.35      $ 19.17      $ 15.06     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment loss(a)

     (0.09 )      (0.14 )      (0.16 )(b)      (0.15 )(c)      (0.14 )   

Net realized and unrealized gain (loss)

     1.59        1.63        (0.09 )      7.33        4.25     
 

 

 

  

Total from Investment Operations

     1.50        1.49        (0.25 )      7.18        4.11     
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —        —        —        —        —     

Net realized capital gains

     (1.69 )      (3.54 )      (1.83 )      —        —     
 

 

 

  

Total Distributions

     (1.69 )      (3.54 )      (1.83 )      —        —     
 

 

 

  

Net asset value, end of the period

   $ 22.03      $ 22.22      $ 24.27      $ 26.35      $ 19.17     
 

 

 

  

Total return

     6.92 %      5.78 %      (1.31 )%(b)      37.45 %(c)      27.29 %   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 812,383      $ 800,883      $ 852,131      $ 914,000      $ 599,469     

Net expenses

     0.95 %      0.94 %      0.94 %      0.94 %      0.95 %   

Gross expenses

     0.95 %      0.94 %      0.94 %      0.94 %      0.95 %   

Net investment loss

     (0.41 )%      (0.57 )%      (0.63 )%(b)      (0.70 )%(c)      (0.79 )%   

Portfolio turnover rate

     56 %      78 %      63 %      56 %      77 %   

 

(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.17), total return would have been (1.35)% and the ratio of net investment loss to average net assets would have been (0.66)%.
(c) Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.16), total return would have been 37.40% and the ratio of net investment loss to average net assets would have been (0.75)%.

 

See accompanying notes to financial statements.

 

45  |

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Growth Fund—Retail Class  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		         

Net asset value, beginning of the period

   $ 20.93      $ 23.10      $ 25.23      $ 18.41      $ 14.52     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment loss(a)

     (0.13 )      (0.19 )      (0.22 )(b)      (0.20 )(c)      (0.19 )   

Net realized and unrealized gain (loss)

     1.50        1.56        (0.08 )      7.02        4.08     
 

 

 

  

Total from Investment Operations

     1.37        1.37        (0.30 )      6.82        3.89     
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —        —        —        —        —     

Net realized capital gains

     (1.69 )      (3.54 )      (1.83 )      —        —     
 

 

 

  

Total Distributions

     (1.69 )      (3.54 )      (1.83 )      —        —     
 

 

 

  

Net asset value, end of the period

   $ 20.61      $ 20.93      $ 23.10      $ 25.23      $ 18.41     
 

 

 

  

Total return

     6.61 %      5.58 %      (1.58 )%(b)      37.05 %(c)      26.79 %(d)   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 118,670      $ 162,906      $ 175,393      $ 211,724      $ 229,822     

Net expenses

     1.20 %      1.19 %      1.21 %      1.25 %(e)      1.25 %(f)   

Gross expenses

     1.20 %      1.19 %      1.21 %      1.25 %(e)      1.28 %   

Net investment loss

     (0.66 )%      (0.82 )%      (0.90 )%(b)      (0.99 )%(c)      (1.09 )%   

Portfolio turnover rate

     56 %      78 %      63 %      56 %      77 %   

 

(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.23), total return would have been (1.58)% and the ratio of net investment loss to average net assets would have been (0.93)%.
(c) Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.21), total return would have been 36.99% and the ratio of net investment loss to average net assets would have been (1.05)%.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Includes fee/expense recovery of 0.01%.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

|  46

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Growth Fund—Class N  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Period Ended
September 30,
2013*		         

Net asset value, beginning of the period

   $ 22.27      $ 24.29      $ 26.36      $ 20.22     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment loss(a)

     (0.06 )      (0.12 )      (0.14 )(b)      (0.11 )   

Net realized and unrealized gain (loss)

     1.59        1.64        (0.10 )      6.25     
 

 

 

  

Total from Investment Operations

     1.53        1.52        (0.24 )      6.14     
 

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     —        —        —        —     

Net realized capital gains

     (1.69 )      (3.54 )      (1.83 )      —     
 

 

 

  

Total Distributions

     (1.69 )      (3.54 )      (1.83 )      —     
 

 

 

  

Net asset value, end of the period

   $ 22.11      $ 22.27      $ 24.29      $ 26.36     
 

 

 

  

Total return

     7.05 %      5.92 %      (1.27 )%(b)      30.37 %(c)   

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 196,733      $ 162,591      $ 15,080      $ 7,580     

Net expenses

     0.83 %      0.83 %      0.83 %      0.83 %(d)   

Gross expenses

     0.83 %      0.83 %      0.83 %      0.83 %(d)   

Net investment loss

     (0.29 )%      (0.51 )%      (0.53 )%(b)      (0.63 )%(d)   

Portfolio turnover rate

     56 %      78 %      63 %      56 %   

 

* From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.14), total return would have been (1.31)% and the ratio of net investment loss to average net assets would have been (0.56)%.
(c) Periods less than one year are not annualized.
(d) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

47  |

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund—Institutional Class         
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		         

Net asset value, beginning of the period

   $ 32.19      $ 36.40      $ 37.42      $ 29.14      $ 22.36     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.17        0.27        0.20        0.20        0.21     

Net realized and unrealized gain (loss)

     4.82        0.49        2.18        8.41        6.62     
 

 

 

  

Total from Investment Operations

     4.99        0.76        2.38        8.61        6.83     
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.22 )      (0.22 )      (0.10 )      (0.30 )      (0.05 )   

Net realized capital gains

     (3.18 )      (4.75 )      (3.30 )      (0.03 )      —     
 

 

 

  

Total Distributions

     (3.40 )      (4.97 )      (3.40 )      (0.33 )      (0.05 )   
 

 

 

  

Net asset value, end of the period

   $ 33.78      $ 32.19      $ 36.40      $ 37.42      $ 29.14     
 

 

 

  

Total return

     16.75 %(b)      1.20 %(b)      6.17 %(b)      29.82 %(b)      30.59 %   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 654,501      $ 666,107      $ 730,901      $ 733,512      $ 572,776     

Net expenses

     0.90 %(c)      0.90 %(c)      0.90 %(c)      0.90 %(c)      0.90 %(d)   

Gross expenses

     0.93 %      0.92 %      0.91 %      0.91 %      0.90 %(d)   

Net investment income

     0.52 %      0.75 %      0.53 %      0.61 %      0.76 %   

Portfolio turnover rate

     22 %      22 %      23 %      22 %      19 %   

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(d) Includes fee/expense recovery of less than 0.01%.

 

See accompanying notes to financial statements.

 

|  48

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund—Retail Class         
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		         

Net asset value, beginning of the period

   $ 31.78      $ 35.98      $ 37.03      $ 28.84      $ 22.14     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.08        0.18        0.10        0.12        0.13     

Net realized and unrealized gain (loss)

     4.77        0.48        2.16        8.32        6.57     
 

 

 

  

Total from Investment Operations

     4.85        0.66        2.26        8.44        6.70     
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.12 )      (0.11 )      (0.01 )      (0.22 )      —     

Net realized capital gains

     (3.18 )      (4.75 )      (3.30 )      (0.03 )      —     
 

 

 

  

Total Distributions

     (3.30 )      (4.86 )      (3.31 )      (0.25 )      —     
 

 

 

  

Net asset value, end of the period

   $ 33.33      $ 31.78      $ 35.98      $ 37.03      $ 28.84     
 

 

 

  

Total return(b)

     16.47 %      0.94 %      5.90 %      29.48 %      30.26 %   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 267,936      $ 306,360      $ 358,698      $ 403,475      $ 343,480     

Net expenses(c)

     1.15 %      1.15 %      1.15 %      1.15 %      1.15 %   

Gross expenses

     1.18 %      1.17 %      1.20 %      1.22 %      1.22 %   

Net investment income

     0.27 %      0.50 %      0.28 %      0.37 %      0.49 %   

Portfolio turnover rate

     22 %      22 %      23 %      22 %      19 %   
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

49  |

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund—Admin Class  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		         

Net asset value, beginning of the period

   $ 30.88      $ 35.06      $ 36.24      $ 28.22      $ 21.72     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.01        0.09        0.01        0.04        0.06     

Net realized and unrealized gain (loss)

     4.62        0.48        2.11        8.15        6.44     
 

 

 

  

Total from Investment Operations

     4.63        0.57        2.12        8.19        6.50     
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.02 )      (0.00 )(b)      —        (0.14 )      —     

Net realized capital gains

     (3.18 )      (4.75 )      (3.30 )      (0.03 )      —     
 

 

 

  

Total Distributions

     (3.20 )      (4.75 )      (3.30 )      (0.17 )      —     
 

 

 

  

Net asset value, end of the period

   $ 32.31      $ 30.88      $ 35.06      $ 36.24      $ 28.22     
 

 

 

  

Total return(c)

     16.19 %      0.71 %      5.63 %      29.17 %      29.93 %   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 43,973      $ 45,762      $ 61,791      $ 74,892      $ 67,853     

Net expenses(d)

     1.39 %(e)      1.38 %(f)      1.40 %      1.40 %      1.40 %   

Gross expenses

     1.42 %(e)      1.40 %(f)      1.51 %      1.52 %      1.52 %   

Net investment income

     0.03 %      0.28 %      0.02 %      0.11 %      0.24 %   

Portfolio turnover rate

     22 %      22 %      23 %      22 %      19 %   

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Includes refund of prior year service fee of 0.01%. See Note 5b of Notes to Financial Statements.
(f) Includes refund of prior year service fee of 0.02%.

 

See accompanying notes to financial statements.

 

|  50

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small Cap Value Fund—Class N  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Period Ended
September 30,
2013*		         

Net asset value, beginning of the period

   $ 32.22      $ 36.44      $ 37.44      $ 32.08     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.19        0.27        0.23        0.06     

Net realized and unrealized gain (loss)

     4.83        0.50        2.18        5.30     
 

 

 

  

Total from Investment Operations

     5.02        0.77        2.41        5.36     
 

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.25 )      (0.24 )      (0.11 )      —     

Net realized capital gains

     (3.18 )      (4.75 )      (3.30 )      —     
 

 

 

  

Total Distributions

     (3.43 )      (4.99 )      (3.41 )      —     
 

 

 

  

Net asset value, end of the period

   $ 33.81      $ 32.22      $ 36.44      $ 37.44     
 

 

 

  

Total return

     16.84 %      1.25 %      6.25 %(b)      16.71 %(b)(c)   

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 68,332      $ 38,555      $ 2,568      $ 1     

Net expenses

     0.83 %      0.83 %(d)      0.85 %(e)      0.85 %(e)(f)   

Gross expenses

     0.83 %      0.83 %(d)      0.89 %      14.45 %(f)   

Net investment income

     0.61 %      0.76 %      0.60 %      0.27 %(f)   

Portfolio turnover rate

     22 %      22 %      23 %      22 %   

 

* From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) Includes fee/expense recovery of less than 0.01%.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

51  |

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Small/Mid Cap Growth Fund—
Institutional Class		  
     Year Ended
September 30,
2016		     Period Ended
September 30,
2015*		         

Net asset value, beginning of the period

   $ 9.05      $ 10.00     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment loss(a)

     (0.02 )      (0.01 )   

Net realized and unrealized gain (loss)

     0.70        (0.94 )   
 

 

 

  

Total from Investment Operations

     0.68        (0.95 )   
 

 

 

  

LESS DISTRIBUTIONS FROM:

      

Net investment income

     —        —     

Net realized capital gains

     —        —     
 

 

 

  

Total Distributions

     —        —     
 

 

 

  

Net asset value, end of the period

   $ 9.73      $ 9.05     
 

 

 

  

Total return(b)

     7.51 %      (9.50 )%(c)   

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

   $ 11,974      $ 9,242     

Net expenses(d)

     0.85 %      0.85 %(e)   

Gross expenses

     1.75 %      2.65 %(e)   

Net investment loss

     (0.22 )%      (0.53 )%(e)   

Portfolio turnover rate

     53 %      14 %   

 

* From commencement of operations on June 30, 2015 through September 30, 2015.
(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  52

Table of Contents

Notes to Financial Statements

September 30, 2016

 

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

Loomis Sayles Funds I:

Loomis Sayles Small Cap Value Fund (the “Small Cap Value Fund”)

Loomis Sayles Funds II:

Loomis Sayles Small Cap Growth Fund (the “Small Cap Growth Fund”)

Loomis Sayles Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”)

Each Fund is a diversified investment company.

Small Cap Growth Fund and Small Cap Value Fund were closed to new investors effective September 14, 2012 and September 15, 2008, respectively. Small Cap Growth Fund and Small Cap Value Fund continue to offer Institutional Class, Retail Class and Class N shares to existing investors and Small Cap Value Fund continues to offer Admin Class shares to existing investors.

Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-1 fee. Class N shares are offered with no initial minimum investment to certain retirement plans held in an omnibus fashion and fund of funds that are distributed by NGAM Distribution, L.P. (“NGAM Distribution”) and with an initial minimum investment of $1,000,000 to other categories of investors. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Small Cap Growth Fund and Small Cap Value Fund and $1,000,000 for Small/Mid Cap Growth Fund, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus. Admin Class shares are offered exclusively through intermediaries.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Retail Class and Admin Class), and transfer agent fees for Small Cap Value Fund and Small Cap Growth Fund are borne collectively for Institutional Class, Retail Class and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of

 

53  |

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

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

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to

 

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

b.  Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

 

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Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

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

d.  Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2016 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

 

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are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

e.  Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as capital gain and return of capital distributions received, distribution re-designations, redemptions-in-kind and net operating losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to return of capital distributions received, deferred Trustees’ fees and wash sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2016 and 2015 were as follows:

 

    2016 Distributions Paid From:     2015 Distributions Paid From:  

Fund

   Ordinary
Income		     Long-Term
Capital Gains		     Total     Ordinary
Income		     Long-Term
Capital Gains		     Total  

Small Cap Growth Fund

   $ —      $ 85,662,346      $ 85,662,346      $ —      $ 149,109,447      $ 149,109,447   

Small Cap Value Fund

     7,118,205        98,999,090        106,117,295        10,451,269        142,087,857        152,539,126   

Small/Mid Cap Growth Fund

     —        —        —        —        —        —   

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

 

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As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:

 

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

Undistributed ordinary income

   $ —      $ 1,686,964      $ —   

Undistributed long-term capital gains

     —        71,123,673        —   
 

 

 

    

 

 

    

 

 

  

Total undistributed earnings

     —        72,810,637        —   
 

 

 

    

 

 

    

 

 

  

Capital loss carryforward:

      

Short-term:

  

No expiration date

     (7,329,238 )      —        (1,072,253 ) 

Long-term:

  

No expiration date

     —        —        (29,020 ) 
 

 

 

    

 

 

    

 

 

  

Total capital loss carryforward

     (7,329,238 )      —        (1,101,273 ) 
 

 

 

    

 

 

    

 

 

  

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

     (3,107,069 )      —        (7,917 ) 
 

 

 

    

 

 

    

 

 

  

Unrealized appreciation

     212,048,397        301,655,703        1,049,425   
 

 

 

    

 

 

    

 

 

  

Total accumulated earnings (losses)

   $ 201,612,090      $ 374,466,340      $ (59,765 ) 
 

 

 

    

 

 

    

 

 

  

* Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year.

f.  Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2016, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

g.  Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt;

 

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at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 2016, none of the Funds had loaned securities under this agreement.

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

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

 

  •  

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

 

  •  

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

 

  •  

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

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

 

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The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2016, at value:

Small Cap Growth Fund

Asset Valuation Inputs

 

Description

   Level 1     Level 2     Level 3     Total  

Common Stocks(a)

   $ 1,091,709,628      $ —      $     —      $ 1,091,709,628   

Short-Term Investments

     —        34,249,644        —        34,249,644   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,091,709,628      $ 34,249,644      $ —      $ 1,125,959,272   
 

 

 

    

 

 

    

 

 

    

 

 

  

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

For the year ended September 30, 2016, there were no transfers among Levels 1, 2 and 3.

Small Cap Value Fund

Asset Valuation Inputs

 

Description

   Level 1     Level 2     Level 3     Total  

Common Stocks(a)

   $ 1,015,776,854      $ —      $     —      $ 1,015,776,854   

Closed-End Investment Companies

     6,264,815        —        —        6,264,815   

Short-Term Investments

     —        16,131,843        —        16,131,843   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,022,041,669      $ 16,131,843      $ —      $ 1,038,173,512   
 

 

 

    

 

 

    

 

 

    

 

 

  

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

For the year ended September 30, 2016, there were no transfers among Levels 1, 2 and 3

Small/Mid Cap Growth Fund

Asset Valuation Inputs

 

Description

   Level 1     Level 2     Level 3     Total  

Common Stocks(a)

   $ 11,641,696      $ —      $     —      $ 11,641,696   

Short-Term Investments

     —        377,396        —        377,396   
 

 

 

  

Total

   $ 11,641,696      $ 377,396      $ —      $ 12,019,092   
 

 

 

  

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

For the year ended September 30, 2016, there were no transfers among Levels 1, 2 and 3

4.  Purchases and Sales of Securities. For the year ended September 30, 2016, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

   Purchases     Sales  

Small Cap Growth Fund

   $ 610,941,721      $ 689,757,477   

Small Cap Value Fund

     223,175,132        344,150,766   

Small/Mid Cap Growth Fund

     7,418,989        5,506,452   

 

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5.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

Fund

   Percentage of
Average Daily Net  Assets

Small Cap Growth Fund

   0.75%

Small Cap Value Fund

   0.75%

Small/Mid Cap Growth Fund

   0.75%

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2017, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended September 30, 2016, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

    Expense Limit as a Percentage of
Average Daily Net Assets

Fund

   Institutional Class   Retail Class   Admin Class   Class N

Small Cap Growth Fund

   1.00%   1.25%   —   0.95%

Small Cap Value Fund

   0.90%   1.15%   1.40%   0.85%

Small/Mid Cap Growth Fund

   0.85%   —   —   —

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

 

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For the year ended September 30, 2016, the management fees for each Fund were as follows:

 

Fund

   Gross
Management
Fees 		    Waivers  of
Management
Fees1 		    Net
Management
Fees 		    Percentage of
Average Daily Net Assets
        Gross   Net

Small Cap Growth Fund

   $ 8,333,969      $ —      $ 8,333,969      0.75%   0.75%

Small Cap Value Fund

     7,820,966        —        7,820,966      0.75%   0.75%

Small/Mid Cap Growth Fund

     80,170        80,170        —      0.75%   —

For the year ended September 30, 2016, class-specific expenses have been reimbursed as follows:

 

    Reimbursement1  

Fund

   Institutional
Class		     Retail
Class		     Admin
Class		     Class N      Total  

Small Cap Value Fund

   $ 192,869      $ 77,883      $ 12,689      $     —       $ 283,441   

In addition, the investment adviser reimbursed expenses of Small/Mid Cap Growth Fund in the amount of $15,788 for the year ended September 30, 20161.

1 Waivers/expense reimbursements are subject to possible recovery until September 30, 2017.

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

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

Pursuant to Rule 12b-1 under the 1940 Act, Small Cap Growth Fund and Small Cap Value Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”) and Small Cap Value Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Retail Class Plans, each Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Retail Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Retail Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

 

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Under the Admin Class Plan, Small Cap Value Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Admin Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

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

For the year ended September 30, 2016, the service and distribution fees for each Fund were as follows:

 

    Service Fees     Distribution Fees  

Fund

   Admin Class     Retail Class     Admin Class  

Small Cap Growth Fund

   $ —      $ 345,619      $ —   

Small Cap Value Fund

     109,390        690,696        111,780   

For the year ended September 30, 2016, NGAM Distribution refunded Small Cap Value Fund $2,389 of prior year Admin Class service fees paid to NGAM Distribution in excess of amounts subsequently paid to securities dealers or financial intermediaries. Service and distribution fees on the Statements of Operations have been reduced by this amount.

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

 

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For the year ended September 30, 2016, the administrative fees for each Fund were as follows:

 

Fund

   Administrative
Fees		  

Small Cap Growth Fund

   $ 489,740   

Small Cap Value Fund

     459,609   

Small/Mid Cap Growth Fund

     4,714   

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

For the year ended September 30, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   Sub-Transfer
Agent Fees		  

Small Cap Growth Fund

   $ 1,109,571   

Small Cap Value Fund

     982,142   

Small/Mid Cap Growth Fund

     143   

As of September 30, 2016, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   Reimbursements
of Sub-Transfer
Agent Fees		  

Small Cap Growth Fund

   $ 12,612   

Small Cap Value Fund

     9,121   

Small/Mid Cap Growth Fund

     2   

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

 

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

Prior to January 1, 2016, the Chairperson of the Board received a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $130,000. The chairperson of the Governance Committee received an additional retainer fee at the annual rate of $5,000. All other Trustee fees remained unchanged.

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

 

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f.  Affiliated Ownership. As of September 30, 2016, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”), Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”), and Natixis US held shares of the Funds representing the following percentages of the Fund’s net assets:

 

Fund

   Pension Plan   Retirement
Plan		   Natixis US   Total Affiliated
Ownership

Small Cap Growth Fund

   0.94%   1.32%   —     2.26%

Small Cap Value Fund

   1.72%   2.59%   —     4.31%

Small/Mid Cap Growth

   —   8.91%   81.26%   90.17%

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

6.  Class-Specific Transfer Agent Fees and Expenses. For the year ended September 30, 2016, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

    Transfer Agent Fees and Expenses  

Fund

   Institutional
Class		     Retail
Class		     Admin
Class		     Class N  

Small Cap Growth Fund

   $ 963,724      $ 168,639      $ —      $ 823   

Small Cap Value Fund

     690,093        283,417        45,896        476   

Small/Mid Cap Growth Fund

     1,559        —        —        —   

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

7.  Line of Credit. Effective April 14, 2016, the Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time) subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed

 

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September 30, 2016

 

unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). Interest was charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended September 30, 2016, none of the Funds had borrowings under these agreements.

8.  Brokerage Commission Recapture. Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended September 30, 2016, amounts rebated under these agreements were as follows:

 

Fund

   Rebates  

Small Cap Growth Fund

   $ 75,395   

Small Cap Value Fund

     49,751   

Small/Mid Cap Growth Fund

     629   

9.  Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   Number of 5%
Non-Affiliated
Account Holders		   Percentage of
Non-Affiliated
Ownership		   Percentage of
Affiliated Ownership
(Note 5)		   Total
Percentage of
Ownership

Small Cap Growth Fund

   2   31.74%   —   31.74%

Small Cap Value Fund

   2   19.29%   —   19.29%

Small/Mid Cap Growth

   —     —   90.17%   90.17%

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

 

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

 

    Small Cap Growth Fund  
    Year Ended
September 30, 2016		     Year Ended
September 30, 2015		  
Institutional Class   Shares     Amount     Shares     Amount  

Issued from the sale of shares

     7,447,055      $ 155,701,856        7,265,268      $ 175,813,770   

Issued in connection with the reinvestment of distributions

     2,716,857        58,412,420        5,134,319        117,062,465   

Redeemed

     (9,612,542 )      (201,629,117 )      (11,470,816 )      (274,541,353 ) 

Subscription in-kind (Note 11)

     277,161        5,698,438        —        —   
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     828,531      $ 18,183,597        928,771      $ 18,334,882   
 

 

 

    

 

 

    

 

 

    

 

 

  
Retail Class                        

Issued from the sale of shares

     935,456      $ 18,282,313        1,423,680      $ 32,677,891   

Issued in connection with the reinvestment of distributions

     588,964        11,867,620        1,163,810        25,045,197   

Redeemed

     (3,547,121 )      (71,211,754 )      (2,397,388 )      (53,969,398 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (2,022,701 )    $ (41,061,821 )      190,102      $ 3,753,690   
 

 

 

    

 

 

    

 

 

    

 

 

  
Class N                        

Issued from the sale of shares

     3,494,879      $ 74,656,476        6,907,906      $ 165,784,056   

Issued in connection with the reinvestment of distributions

     616,186        13,284,984        119,335        2,724,416   

Redeemed

     (2,515,389 )      (53,613,909 )      (346,462 )      (8,289,576 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     1,595,676      $ 34,327,551        6,680,779      $ 160,218,896   
 

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

     401,506      $ 11,449,327        7,799,652      $ 182,307,468   
 

 

 

    

 

 

    

 

 

    

 

 

  
    Small Cap Value Fund  
    Year Ended
September 30, 2016		     Year Ended
September 30, 2015		  
Institutional Class   Shares     Amount     Shares     Amount  

Issued from the sale of shares

     3,109,829      $ 98,123,134        3,379,231      $ 118,476,722   

Issued in connection with the reinvestment of distributions

     2,210,358        66,708,596        2,730,775        93,993,275   

Redeemed

     (5,042,901 )      (158,011,519 )      (5,495,573 )      (195,820,490 ) 

Redeemed in-kind (Note 11)

     (1,595,784 )      (52,325,759 )      —        —   
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (1,318,498 )    $ (45,505,548 )      614,433      $ 16,649,507   
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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September 30, 2016

 

10.  Capital Shares – continued.

 

    Small Cap Value Fund – continued  
    Year Ended
September 30, 2016		     Year Ended
September 30, 2015		  
Retail Class   Shares     Amount     Shares     Amount  

Issued from the sale of shares

     609,197      $ 18,890,158        931,124      $ 32,655,794   

Issued in connection with the reinvestment of distributions

     943,438        28,142,755        1,357,910        46,236,825   

Redeemed

     (3,153,621 )      (100,205,101 )      (2,618,373 )      (91,431,051 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (1,600,986 )    $ (53,172,188 )      (329,339 )    $ (12,538,432 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
Admin Class                        

Issued from the sale of shares

     341,303      $ 10,091,067        314,600      $ 10,633,628   

Issued in connection with the reinvestment of distributions

     111,997        3,244,570        179,802        5,960,432   

Redeemed

     (574,173 )      (17,370,719 )      (774,906 )      (26,217,314 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (120,873 )    $ (4,035,082 )      (280,504 )    $ (9,623,254 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
Class N                        

Issued from the sale of shares

     945,571      $ 29,754,154        1,179,383      $ 42,095,614   

Issued in connection with the reinvestment of distributions

     140,642        4,245,978        26,566        914,684   

Redeemed

     (261,689 )      (8,144,577 )      (79,684 )      (2,779,124 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     824,524      $ 25,855,555        1,126,265      $ 40,231,174   
 

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

     (2,215,833 )    $ (76,857,263 )      1,130,855      $ 34,718,995   
 

 

 

    

 

 

    

 

 

    

 

 

  
       
    Small/Mid Cap Growth Fund  
    Year Ended
September 30, 2016		     Period Ended
September 30, 2015(a)		  
Institutional Class   Shares     Amount     Shares     Amount  

Issued from the sale of shares

     214,933      $ 1,914,485        1,020,804      $ 10,199,072   

Redeemed

     (5,401 )      (50,724 )      —        —   
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     209,532      $ 1,863,761        1,020,804      $ 10,199,072   
 

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

     209,532      $ 1,863,761        1,020,804      $ 10,199,072   
 

 

 

    

 

 

    

 

 

    

 

 

  

(a) From commencement of operations on June 30, 2015 through September 30, 2015.

11.  Redemption/Subscription In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of

 

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September 30, 2016

 

redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. Small Cap Value Fund realized a gain of $16,627,849 on redemptions in-kind during the the year ended September 30, 2016. This amount is included in realized gain (loss) on the Statements of Operations. A Fund may also receive securities in lieu of cash as payment for Fund shares. During the year ended September 30, 2016, Small Cap Growth Fund received equity securities valued at $5,698,438 as payment for Fund shares.

 

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Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds Trust I and Loomis Sayles Funds Trust II and Shareholders of Loomis Sayles Small Cap Growth Fund, Loomis Sayles Small Cap Value Fund and Loomis Sayles Small/Mid Cap Growth Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Small Cap Growth Fund, a series of Loomis Sayles Funds Trust II, Loomis Sayles Small Cap Value Fund, a series of Loomis Sayles Funds Trust I, and Loomis Sayles Small/Mid Cap Growth Fund, a series of Loomis Sayles Funds Trust II (collectively, the “Funds”) at September 30, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

 

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2016 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2016, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:

 

Fund

    Qualifying Percentage  
Small Cap Value      100.00%   

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2016, unless subsequently determined to be different.

 

Fund

    Amount  

Small Cap Growth

    $ 85,662,346   

Small Cap Value

      98,999,090   

Qualified Dividend Income. For the fiscal year ended September 30, 2016, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2016, complete information will be reported in conjunction with Form 1099-DIV.

 

Fund

Small Cap Value

 

|  72

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statement(s) of Additional Information include additional information about the trustees of the Trusts and are available by calling 800-633-3330.

 

Name and Year of Birth   Position(s) Held
with the Trust(s),
Length of Time
Served and
Term  of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES      

Kenneth A. Drucker

(1945)

  

Trustee since 2008

Chairperson of the Audit Committee

and Governance Committee Member

   Retired  

44

None

   Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)
Edmond J. English
(1953)		  

Trustee since 2013

Audit Committee Member

   Chief Executive Officer of Bob’s Discount Furniture (retail)  

44

Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)

   Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia

(1951)

  

Trustee since 2015

Audit Committee Member

   Retired; formerly Vice President and Treasurer of Raytheon Company (defense)  

44

None

   Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

 

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held
with the Trust(s),
Length of Time
Served and
Term  of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES – continued    

Wendell J. Knox

(1948)

  

Trustee since 2009

Contract Review Committee

Member

and Governance Committee Member

   Director of Abt Associates Inc. (research and consulting)  

44

Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)

   Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)
Martin T. Meehan
(1956)		  

Trustee since 2012

Contract Review Committee Member

   President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell  

44

None

   Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

 

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held
with the Trust(s),
Length of Time
Served and
Term  of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES – continued    

Sandra O. Moose

(1942)

  

Chairperson of the Board of Trustees since November 2005

Trustee since 2003

Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee

   President, Strategic Advisory Services (management consulting)  

44

Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)

   Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo

(1955)

  

Trustee since 2016

Contract Review Committee Member

   Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation  

44

None

   Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri

(1958)

  

Trustee since 2009

Audit Committee

Member

   Professor of Finance at Babson College  

44

None

   Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

 

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held
with the Trust(s),
Length of Time
Served and
Term  of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES – continued    

Peter J. Smail

(1952)

  

Trustee since 2009

Chairperson of the Contract Review Committee

and Governance Committee Member

   Retired  

44

None

   Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker

(1956)

  

Trustee since 2005

Chairperson of the Governance Committee and Contract Review Committee Member

   Deputy Dean for Finance and Administration, Yale University School of Medicine  

44

None

   Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)
INTERESTED TRUSTEES    

Kevin P. Charleston3

(1965)

One Financial Center

Boston, MA 02111

  

Trustee since 2015

President and Chief Executive Officer of Loomis Sayles Funds I since 2015

   President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.  

44

None

   Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.

David L. Giunta4

(1965)

  

Trustee since 2011

President since 2008 and Chief Executive Officer since 2015 of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008

   President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

 

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held
with the Trust(s),
Length of Time
Served and
Term  of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INTERESTED TRUSTEES – continued    

John T. Hailer5

(1960)

   Trustee since 2003   President and Chief Executive Officer –U.S. and Asia, Natixis Global Asset Management, L.P.  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

 

1 

Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

 

2 

The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”) and Natixis ETF Trust (collectively, the “Fund Complex”).

 

3 

Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

 

4 

Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

 

5

Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

 

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held with
the Trust(s)		   Term of Office1 and
Length of Time Served		   Principal Occupation(s)
During Past 5 Years2
OFFICERS OF THE TRUST    

Daniel J. Fuss

(1933)

One Financial Center

Boston, MA 02111

   Executive Vice President   Since June 2003   Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane

(1969)

   Secretary, Clerk and Chief Legal Officer   Since July 2016   Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok

(1959)

   Treasurer, Principal Financial and Accounting Officer   Since October 2004   Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux

(1976)

   Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer   Since July 2016   Mutual Funds Chief Compliance Officer, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

 

1 

Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

 

2 

Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Mr. Fuss is not an officer of the Natixis Funds Trusts or the Natixis ETF Trust. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

 

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LOGO

 

Loomis Sayles Fixed Income Fund

Loomis Sayles Global Bond Fund

Loomis Sayles Inflation Protected Securities Fund

Loomis Sayles Institutional High Income Fund

Loomis Sayles Investment Grade Fixed Income Fund

Annual Report

September 30, 2016

TABLE OF CONTENTS  
Portfolio Review     1   
Portfolio of Investments     18   
Financial Statements     57   
Notes to Financial Statements     68   

Table of Contents

LOOMIS SAYLES FIXED INCOME FUND

 

Managers   Symbol   
Matthew J. Eagan, CFA®   Institutional Class    LSFIX
Daniel J. Fuss, CFA®, CIC     
Brian P. Kennedy     
Elaine M. Stokes     

 

 

Investment Objective

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

 

 

Market Conditions

In the beginning of the period, the Federal Reserve (Fed) raised interest rates for the first time since June 2006. This led to modest losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets and riskier assets rebounded strongly. Volatility spiked temporarily in June following the U.K. referendum vote to leave the European Union (EU), but conditions were generally calm for the remainder of the period. Fixed-income markets finished the period on a positive note and added to full-year gains.

After declining through mid-February, U.S. high yield became a sought-after asset. The sector rewarded investors by producing strong and steady gains with minimal volatility. Spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) are trading inside the long-term average, but remain above the lows of 2014. Lower-quality credits and cyclical sectors outperformed during the period as the search for yield presses onward.

Investment-grade corporate bonds also performed well during the one-year period, bouncing back from the lows experienced during the fourth quarter of 2015. The sector’s longer duration (price sensitivity to interest rate changes) was a positive tailwind as longer-maturity yields declined. Overall returns were positive across all sectors, with cyclical sectors and energy performing well during the second half of the period.

For roughly the first half of the period, the U.S. dollar continued to strengthen against most major global currencies. But the Fed struck a more dovish tone early in 2016, and this contributed to a pause in the dollar bull market. A more stable dollar supported currencies – particularly those in the emerging markets – that suffered during the dollar’s ascent. The recovery in oil prices also helped ease the strain on commodity-related currencies.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Fixed Income Fund returned 9.72%. The fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned 5.86%.

Explanation of Fund Performance

In general, our out-of-benchmark allocation to high yield credit drove the fund’s outperformance. In particular, a significant allocation to high yield industrials contributed to results. The stabilization and recovery of oil prices in the second half of the period led to strong returns for the sector, and our selected basic industry and capital goods names drove fund performance. We also held an out-of-benchmark position in common stocks, where name-specific exposure to the technology sector aided absolute and relative performance. Elsewhere, convertible securities were notable contributors to relative performance, particularly our selections within the technology sector. In addition, an allocation to non-U.S.-dollar-denominated securities added value. New Zealand dollar-denominated holdings were the largest contributors in the space. Though non-USD positions contributed positively to performance overall, U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-USD holdings during the period. During the period the amount of income available to be distributed by the fund was reduced to reflect the realization of currency losses from certain bond sales and maturities.

Meanwhile, our shorter-than-benchmark duration detracted from results as interest rates declined over the period. Our cash and reserve positions lagged other sectors and hindered relative performance. Within the investment-grade corporate sector, strong results in financials largely offset weak performance from utility and industrial names. Among high yield corporate securities, a small position in utilities detracted from performance as investors favored riskier high yield sectors.

Outlook

Our outlook for the U.S. and global economies remains positive, with expectations for better growth momentum through the end of the year. In the U.S., we expect steady gains in employment, increased bank lending and stronger consumer confidence to support GDP growth. The global economy is facing more headwinds but should experience modestly stronger growth next year, led by a healthier U.S. economy and still-accommodative global central bank policies.

Inflation expectations remain low. However, U.S. inflation is showing signs of acceleration and recent economic data have been favorable. We think the Fed is likely to raise rates in December if market conditions remain stable.

 

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Table of Contents

Oil prices are likely to be range-bound over the short term as elevated supply should be countered by OPEC’s expected production cut in November. We remain constructive on intermediate- to longer-term oil prices and expect that supply and demand will adjust.

We expect low global yields to continue supporting flows into U.S. credit, but at a more modest pace. In this environment, we intend to maintain a yield cushion in our portfolios through exposure to corporate bonds. Credit fundamentals have been stable, reflecting a slowly improving U.S. economy. However, downside risks – including slowing profit growth, rising leverage and free cash flow approaching peak levels – are increasing as we move further into the late stage of the credit cycle.1 Despite these risks, we believe the current phase of the credit cycle can continue for some time, and we do not expect a significant increase in corporate defaults in 2017.

Within credit, we favor the investment-grade financials, technology and energy sectors. We are also biased to higher-quality high yield. Convertible bonds continue to look attractive, and our focus has shifted from equity-sensitive convertibles to more balanced and credit-sensitive issues. We believe these securities offer yield and upside potential with more limited downside risk.

The Fed’s slow and cautious approach has helped keep the U.S. dollar range-bound against major currencies. Over the long term, improving global growth and further stability in commodities could support non-U.S.-dollar-denominated bonds. We are beginning to see more divergence in emerging market country fundamentals and political backdrops, which could expand potential relative value opportunities. We intend to maintain our current positions, which we believe represent long-term value, but are cautious on further exposure until we get better clarity on some of these evolving macro trends.

Risks include growing geopolitical risks, a prolonged period of low economic growth, declining corporate profit expectations and a shift to downturn in the U.S. credit cycle. Looking ahead, we remain focused on careful security selection using fundamental credit analysis. We intend to build on our key investment themes of yield and diversification, using our reserve allocation during periods of extreme short-term market dislocation to potentially add long-term value.

Since early 2015, ordinary income distributions for certain Loomis Sayles-managed fixed-income funds have been reduced, primarily due to the impact of foreign currency losses. Fund officers have analyzed the fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2017. Based on this analysis, fund officers believe that realized currency losses may have a less significant impact on this fund’s distributions in the 2017 fiscal year. As a result, the distribution amount may improve going forward. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates and the net asset level of the fund. Changes to these assumptions could impact the analysis and the amounts of future fund distributions.

 

1    A credit cycle is a cyclical pattern that follows credit availability and corporate health.

 

 

Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 20162

 

LOGO

See notes to chart on page 3.

 

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Table of Contents

LOOMIS SAYLES FIXED INCOME FUND

 

Average Annual Total Returns — September 30, 20162

 

         
                           Expense Ratios3  
      1 year      5 years      10 years      Gross      Net  
     
Institutional Class (Inception 1/17/95)      9.72 %       6.71 %       7.08 %       0.57 %       0.57 % 
   
Comparative Performance                 
Bloomberg Barclays U.S. Government/Credit Bond Index1      5.86         3.24         4.86                     

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

 

1    Bloomberg Barclays U.S. Government/Credit Bond Index is an unmanaged index that includes U.S. Treasuries, government-related issues, and investment-grade U.S. corporate securities.

 

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

 

3    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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Table of Contents

LOOMIS SAYLES GLOBAL BOND FUND

 

Managers   Symbols   
Kenneth M. Buntrock, CFA®, CIC   Institutional Class    LSGBX
David W. Rolley, CFA®   Retail Class    LSGLX
Lynda L. Schweitzer, CFA®   Class N    LSGNX
Scott M. Service, CFA®     

 

 

Investment Objective

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

 

 

Market Conditions

Commodity prices and investor sentiment bottomed in February 2016, after falling since the middle of 2015. Central bank policy generally helped fuel a global fixed-income and credit market rally from there, subject only to temporary bouts of volatility. After widening briefly after the late-June Brexit vote in the U.K., credit spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) tightened through the rest of the summer. As investors sought higher-yielding assets, credit generally outperformed government bonds, and high yield bonds outperformed their investment-grade counterparts. The Bank of England’s (BoE’s) announcement that it was expanding its quantitative easing (QE) program to include corporate bond purchases beginning in September provided additional support to credit markets.

Major central banks remained accommodative, which supported market sentiment. The BoE, European Central Bank (ECB) and Bank of Japan (BoJ) announced continued QE. The Federal Reserve (the Fed) cautiously looked for another opportunity to hike rates after a 25 basis point move in December 2015, all while maintaining support for the U.S. market.

Government bond yields ended the period lower due to central bank policies and muted inflation outlooks. A flight to quality in early 2016 sent yields lower, and another bout of risk aversion emerged in the weeks surrounding the Brexit referendum. Major government benchmark yields bottomed in July – August 2016 and traded higher or flat through the end of September.

The U.S. dollar bull market that persisted in 2014 and 2015 subsided over the reporting period. Certain idiosyncratic events put pressure on the British pound and the euro during the second half of the period. Meanwhile, the Japanese yen was a beneficiary of periodic risk aversion and global yield convergence and was among the stronger currencies versus the U.S. dollar. The yen also strengthened on mounting evidence that the BoJ may be increasingly limited in its ability to expand monetary policy further.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Global Bond Fund returned 9.80%. The fund outperformed its benchmark, the Bloomberg Barclays Global Aggregate Bond Index, which returned 8.83%.

Explanation of Fund Performance

An overweight position in corporate credit drove the fund’s positive relative performance for the period. We used market weakness in late 2015 and early 2016 to selectively add to beaten-down yet reasonably sound credits. This strategy helped provide an additional boost to returns when market sentiment improved in February 2016, leading to solid outperformance from corporate bonds compared with government issues.

Within the corporate credit sector, holdings from the energy, communications, capital goods and consumer sectors performed well. Our credit exposure included modest positions in high yield issuers that posted strong relative returns versus their higher-quality peers. In addition, select hard currency quasi-government issues from emerging markets, particularly in Latin America, rebounded during the second half of the period to add value. Meanwhile, our exposure to the banking sector aided performance. Global banks have been forced to navigate a challenging business environment stemming from low interest rates, regulatory and Brexit uncertainty and an upcoming referendum in Italy. For the most part, we believe these are factors for equity investors to consider, because weak growth and soft earnings in the near term are not expected to reverse past improvements in capitalization and liquidity at the largest and strongest banks we favor. Our banking sector performance benefited from issuer and capital structure selection, including among recovering U.K. banks.

U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-U.S.-dollar-denominated holdings during the period. During the period the Fund’s distributions were reduced to reflect the realization of currency losses from certain bond sales and maturities. An underweight allocation to the Japanese yen weighed on fund performance, as the yen appreciated versus the U.S. dollar for most of the year. The yen was the strongest developed market currency by a wide margin, but overall we found little value in Japanese yields and maintained an underweight to the local bond market. An overweight position in the Mexican peso also hindered relative performance. Despite the currency’s attractive valuation and the recovery in oil prices, geopolitical and trade balance concerns persisted. Elsewhere, modest positions in car loans and other asset-backed securities weighed on results, as these positions did not keep pace with longer duration (greater price sensitivity to interest rate changes) securities or higher-risk segments of the market.

Outlook

We expect central banks in the Eurozone, England and Japan to continue their expansionary monetary policies to spur growth, even though the benefits may be waning. Fiscal policy responses may be the next step. We believe the U.S. economy remains on sure footing, and we expect the Fed to raise rates in December 2016. The Fed is likely to take a moderate approach to rate hikes heading into 2017, as growth and inflation forecasts remain benign.

 

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LOOMIS SAYLES GLOBAL BOND FUND

 

Since early 2015, monthly or quarterly ordinary income distributions for certain Loomis Sayles-managed fixed-income funds have been below historic averages. This is primarily due to the impact of foreign currency losses. Fund officers have analyzed the fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2017. Based on this analysis, fund officers believe that realized currency losses may have a less significant impact on this fund’s distributions in the 2017 fiscal year. As a result, the distribution amount may improve going forward. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates and the net asset level of the fund. Changes to these assumptions could impact the analysis and the amounts of future fund distributions.

The U.S. presidential election in November may add to global uncertainty and trigger volatility heading into year-end. Europe is also facing challenges, with the migrant crisis fraying EU cohesion and the risk of political instability and EU referendum contagion spreading across the Eurozone. The upcoming Italy reform referendum could lead to risk aversion and broad selloffs in peripheral government debt and bank corporate bonds.

As investors search for yield in an extremely low-yielding environment, we believe corporate bonds – including lower-quality bonds – can continue to attract significant inflows.

OPEC has indicated it may cut oil production at its November meeting, which may cause oil prices to appreciate modestly. However, we believe there is a ceiling to oil price appreciation, because rising prices may attract additional production to the market. Ultimately, we anticipate prices will remain fairly range bound at approximately $45 to $50 per barrel into 2017.

 

 

Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 20162

 

LOGO

Average Annual Total Returns — September 30, 20162

 

           
                           Life of
Class N		      Expense Ratios3  
      1 year      5 years      10 years         Gross      Net  
Institutional Class (Inception 5/10/91)      9.80 %       2.49 %       4.52 %       — %       0.78 %       0.75 % 
     
Retail Class (Inception 12/31/96)      9.51         2.24         4.23         —         1.03         1.00   
     
Class N (Inception 2/1/13)      9.93         —         —         1.04         0.63         0.63   
   
Comparative Performance                    
Bloomberg Barclays Global Aggregate Bond Index1      8.83         1.74         4.26         1.42                     

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

 

1    Bloomberg Barclays Global Aggregate Bond Index is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-rate debt markets.

 

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

 

3    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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Table of Contents

LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

 

Managers   Symbols   
Elaine Kan, CFA®   Institutional Class    LSGSX
Kevin P. Kearns   Retail Class    LIPRX
Maura T. Murphy, CFA®     

 

 

Investment Objective

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

 

 

Market Conditions

Growth in headline inflation remained low, largely due to the continued strength of the U.S. dollar, which translated to lower import prices. Also, the energy component of the Consumer Price Index (CPI) continued to significantly drag down 12-month inflation.

In December 2015, the Federal Reserve (the Fed) raised interest rates for the first time since June 2006. This led to modest short-term losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets, and riskier assets rebounded strongly. Volatility spiked temporarily in June, following the UK referendum vote to leave the European Union (Brexit), but conditions were generally calm for the remainder of the period. Fixed-income markets ended September with gains for the 12-month period.

In early 2016, the Federal Reserve projected it would implement four rate hikes during the year. Yet, as of September 30, the Fed made no rate hikes, and financial markets anticipated only one 25 basis point hike before year-end. The Fed consistently lowered its economic projections throughout 2016, which removed some of the upward pressure on U.S. Treasury yields.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Inflation Protected Securities Fund returned 6.00%. The fund underperformed its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index, which returned 6.58%.

Explanation of Fund Performance

We used swaptions (options on interest rate swaps) to neutralize the duration (price sensitivity to interest rate changes) effect from our longer-maturity TIPS positions, which detracted from performance. In addition, we used futures to manage the portfolio’s duration, which had a negative impact on relative performance.

Overall, breakeven inflation rates (the yield difference between nominal Treasuries and TIPS of the same maturity) advanced during the period, which benefited TIPS. The fund’s TIPS allocation was the largest contributor to absolute and relative performance. Specifically, within the TIPS allocation, our exposure to longer-dated securities contributed to performance on an absolute basis. Overall, the portfolio’s yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) positioning within the sector aided results. A flattening yield curve and a slightly longer duration versus the benchmark had a positive effect on fund performance.

Outlook

We believe the U.S. economy will continue to grow in 2016. In particular, we expect low interest rates and energy prices, solid payroll growth, falling unemployment, rising home prices, improving mortgage delinquency rates and declining housing vacancy rates to support growth. Given this constructive view on the U.S. economy, we expect the U.S. dollar to remain relatively strong versus other currencies. However, we expect the pace of the dollar’s appreciation to slow. We also expect the Fed to gradually tighten monetary policy. Geopolitical risks and slowing global growth may counterbalance any positive U.S. economic developments, resulting in a flight-to-quality rally for U.S. Treasuries.

We believe inflation in the U.S. will gradually normalize in 2017. Factors such as wages, medical costs and housing are already beginning to rise. Relatively low energy prices have kept inflation tame, but recent upward moves in oil prices have started to change investor outlooks. Globally, we still expect deflation fears to persist due to broader growth challenges.

 

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LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

 

Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 20163

 

LOGO

Average Annual Total Returns — September 30, 20163

 

         
                           Expense Ratios4  
      1 year      5 years      10 years      Gross      Net  
Institutional Class (Inception 5/20/91)      6.00 %       1.54 %       4.11 %       0.80 %       0.40 % 
     
Retail Class (Inception 5/28/10)1      5.47         1.23         3.81         1.03         0.65   
Comparative Performance                 
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index2      6.58         1.93         4.48                     

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

 

1    Prior to inception of Retail Class (5/28/10), performance is that of Institutional Class, restated to reflect the higher net expenses of Retail Class.

 

2    Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index is an unmanaged index that tracks inflation protected securities issued by the U.S. Treasury.

 

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

 

4    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

 

Managers   Symbol   
Matthew J. Eagan, CFA®   Institutional Class    LSHIX
Daniel J. Fuss, CFA®, CIC     
Elaine M. Stokes     

 

 

Investment Objective

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

 

 

Market Conditions

In the beginning of the period, the Federal Reserve (Fed) raised interest rates for the first time since June 2006. This led to modest losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets and riskier assets rebounded strongly. Volatility spiked temporarily in June following the U.K. referendum vote to leave the European Union (EU), but conditions were generally calm for the remainder of the period. Fixed-income markets finished the period on a positive note and added to full-year gains.

After declining through mid-February, U.S. high yield became a sought-after asset. The sector rewarded investors by producing strong and steady gains with minimal volatility. Spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) are trading inside the long-term average, but remain above the lows of 2014. Lower-quality credits and cyclical sectors outperformed during the period as the search for yield presses onward.

Investment-grade corporate bonds also performed well during the one-year period, bouncing back from the lows experienced during the fourth quarter of 2015. The sector’s longer duration (price sensitivity to interest rate changes) was a positive tailwind as longer-maturity yields declined. Overall returns were positive across all sectors, with cyclical sectors and energy performing well during the second half of the period.

For roughly the first half of the period, the U.S. dollar continued to strengthen against most major global currencies. But the Fed struck a more dovish tone early in 2016, and this contributed to a pause in the dollar bull market. A more stable dollar supported currencies – particularly those in the emerging markets – that suffered during the dollar’s ascent. The recovery in oil prices also helped ease the strain on commodity-related currencies.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Institutional High Income Fund returned 12.53%. The fund underperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 12.73%.

Explanation of Fund Performance

Industrial securities in the high yield and investment-grade corporate sectors were top contributors to the fund’s relative return, largely due to security selection among energy holdings. High yield utilities and financials also aided relative return. Elsewhere, out-of-benchmark positions in common stocks and convertibles contributed to the fund’s performance. Common stocks benefited from positioning in the technology sector, while technology and communication names in the convertible space aided performance. In addition, Yankee (U.S.-dollar-denominated bonds issued by a non-U.S. entity) government-related securities lifted results.

Out-of-benchmark exposure to non-U.S.-dollar-denominated holdings weighed on relative performance. In particular, securities denominated in the Mexican peso detracted, as the peso hit an all-time low versus the U.S. dollar in mid-September. U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-USD holdings during the period. During the period the amount of income available to be distributed by the fund was reduced to reflect the realization of currency losses from certain bond sales and maturities. In addition, a selected communication name in the fund’s convertible allocation posted positive absolute performance but weighed on relative results. Our allocation to U.S. Treasuries also detracted from performance. We continued to hold short-maturity Treasuries for cash reserve purposes.

Outlook

Our outlook for the U.S. and global economies remains positive, with expectations for better growth momentum through the end of the year. In the U.S., we expect steady gains in employment, increased bank lending and stronger consumer confidence to support GDP growth. The global economy is facing more headwinds but should experience modestly stronger growth next year, led by a healthier U.S. economy and still-accommodative global central bank policies.

Inflation expectations remain low. However, U.S. inflation is showing signs of acceleration and recent economic data have been favorable. We think the Fed is likely to raise rates in December if market conditions remain stable.

Oil prices are likely to be range-bound over the short term as elevated supply should be countered by OPEC’s expected production cut in November. We remain constructive on intermediate- to longer-term oil prices and expect that supply and demand will adjust.

 

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LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

 

We expect low global yields to continue supporting flows into U.S. credit, but at a more modest pace. In this environment, we intend to maintain a yield cushion in our portfolios through exposure to corporate bonds. Credit fundamentals have been stable, reflecting a slowly improving U.S. economy. However, downside risks – including slowing profit growth, rising leverage and free cash flow approaching peak levels – are increasing as we move further into the late stage of the credit cycle.1 Despite these risks, we believe the current phase of the credit cycle can continue for some time, and we do not expect a significant increase in corporate defaults in 2017.

Within credit, we favor the investment-grade financials, technology and energy sectors. We are also biased to higher-quality high yield. Convertible bonds continue to look attractive, and our focus has shifted from equity-sensitive convertibles to more balanced and credit-sensitive issues. We believe these securities offer yield and upside potential with more limited downside risk.

The Fed’s slow and cautious approach has helped keep the U.S. dollar range-bound against major currencies. Over the long term, improving global growth and further stability in commodities could support non-U.S.-dollar-denominated bonds. We are beginning to see more divergence in emerging market country fundamentals and political backdrops, which could expand potential relative value opportunities. We intend to maintain our current positions, which we believe represent long-term value, but are cautious on further exposure until we get better clarity on some of these evolving macro trends.

Risks include growing geopolitical risks, a prolonged period of low economic growth, declining corporate profit expectations and a shift to downturn in the U.S. credit cycle. Looking ahead, we remain focused on careful security selection using fundamental credit analysis. We intend to build on our key investment themes of yield and diversification, using our reserve allocation during periods of extreme short-term market dislocation to potentially add long-term value.

Since early 2015, ordinary income distributions for certain Loomis Sayles-managed fixed-income funds have been reduced, primarily due to the impact of foreign currency losses. Fund officers have analyzed the fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2017. Based on this analysis, fund officers believe that realized currency losses may have a less significant impact on this fund’s distributions in the 2017 fiscal year. As a result, the distribution amount may improve going forward. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates and the net asset level of the fund. Changes to these assumptions could impact the analysis and the amounts of future fund distributions.

 

1    A credit cycle is a cyclical pattern that follows credit availability and corporate health.

 

 

Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 20162

 

LOGO

 

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Average Annual Total Returns — September 30, 20162

 

         
                           Expense Ratios3  
      1 year      5 years      10 years      Gross      Net  
     
Institutional Class (Inception 6/5/96)      12.53 %       9.14 %       7.87 %       0.68 %       0.68 % 
   
Comparative Performance                 
Bloomberg Barclays U.S. Corporate High-Yield Bond Index1      12.73         8.34         7.71                     

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

 

1    Bloomberg Barclays U.S. Corporate High-Yield Bond Index is an unmanaged index that covers the U.S.-dollar denominated, non-investment grade, fixed-rate, taxable corporate bond market.

 

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

 

3    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND

 

Managers   Symbols   
Matthew J. Eagan, CFA®   Institutional Class    LSIGX
Daniel J. Fuss, CFA®, CIC     
Brian P. Kennedy     
Elaine M. Stokes     

 

 

Investment Objective

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

 

 

Market Conditions

In the beginning of the period, the Federal Reserve (Fed) raised interest rates for the first time since June 2006. This led to modest losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets and riskier assets rebounded strongly. Volatility spiked temporarily in June following the U.K. referendum vote to leave the European Union (EU), but conditions were generally calm for the remainder of the period. Fixed-income markets finished the period on a positive note and added to full-year gains.

After declining through mid-February, U.S. high yield became a sought-after asset. The sector rewarded investors by producing strong and steady gains with minimal volatility. Spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) are trading inside the long-term average, but remain above the lows of 2014. Lower-quality credits and cyclical sectors outperformed during the period as the search for yield presses onward.

Investment-grade corporate bonds also performed well during the one-year period, bouncing back from the lows experienced during the fourth quarter of 2015. The sector’s longer duration (price sensitivity to interest rate changes) was a positive tailwind as longer-maturity yields declined. Overall returns were positive across all sectors, with cyclical sectors and energy performing well during the second half of the period.

For roughly the first half of the period, the U.S. dollar continued to strengthen against most major global currencies. But the Fed struck a more dovish tone early in 2016, and this contributed to a pause in the dollar bull market. A more stable dollar supported currencies – particularly those in the emerging markets – that suffered during the dollar’s ascent. The recovery in oil prices also helped ease the strain on commodity-related currencies.

Performance Results

For the 12 months ended September 30, 2016, the Loomis Sayles Investment Grade Fixed Income Fund returned 8.27%. The fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned 5.86%.

Explanation of Fund Performance

The fund’s outperformance was primarily due to out-of-benchmark allocations. In particular, convertible and equity holdings generated positive absolute and relative returns, driven by name-specific exposure in the technology sector. In addition, exposure to high yield industrials and financials helped buoy performance. Within the high yield industrials allocation, securities in the metals and mining and energy industries were among the largest contributors, appreciating in value along with commodity prices. Selected high yield finance companies also benefited results. The financial and industrial sectors were also top contributors in the investment-grade corporate allocation, as banking, energy, automotive and communications issues bolstered relative return.

The fund’s shorter-than-benchmark duration weighed on results as rates declined during the period. Overall, non-U.S.-dollar-denominated securities detracted from performance, as uneven economic outlooks and divergent monetary policies across the globe pressured most developed and emerging market currencies versus the U.S. dollar. In particular, fund holdings denominated in the Mexican peso lagged. In the wake of the U.K. Brexit vote in late June, growth expectations slowed in the U.K. and Europe, causing holdings denominated in the British pound and euro to depreciate in value and detract from performance. Our positioning in Canadian-dollar-denominated securities also weighed on results. During the period the Fund’s distributions were reduced to reflect the realization of currency losses from certain bond sales and maturities.

Outlook

Our outlook for the U.S. and global economies remains positive, with expectations for better growth momentum through the end of the year. In the U.S., we expect steady gains in employment, increased bank lending and stronger consumer confidence to support GDP growth. The global economy is facing more headwinds but should experience modestly stronger growth next year, led by a healthier U.S. economy and still-accommodative global central bank policies.

Inflation expectations remain low. However, U.S. inflation is showing signs of acceleration and recent economic data have been favorable. We think the Fed is likely to raise rates in December if market conditions remain stable.

Oil prices are likely to be range-bound over the short term as elevated supply should be countered by OPEC’s expected production cut in November. We remain constructive on intermediate- to longer-term oil prices and expect that supply and demand will adjust.

We expect low global yields to continue supporting flows into U.S. credit, but at a more modest pace. In this environment, we intend to maintain a yield cushion in our portfolios through exposure to corporate bonds. Credit fundamentals have been stable, reflecting a slowly improving U.S. economy. However, downside risks – including slowing profit growth, rising leverage and free cash flow approaching peak levels – are increasing as we move further into the late stage of the credit cycle.1 Despite these risks, we believe the current phase of the credit cycle can continue for some time, and we do not expect a significant increase in corporate defaults in 2017.

 

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Within credit, we favor the investment-grade financials, technology and energy sectors. We are also biased to higher-quality high yield. Convertible bonds continue to look attractive, and our focus has shifted from equity-sensitive convertibles to more balanced and credit-sensitive issues. We believe these securities offer yield and upside potential with more limited downside risk.

The Fed’s slow and cautious approach has helped keep the U.S. dollar range-bound against major currencies. Over the long term, improving global growth and further stability in commodities could support non-U.S.-dollar-denominated bonds. We are beginning to see more divergence in emerging market country fundamentals and political backdrops, which could expand potential relative value opportunities. We intend to maintain our current positions, which we believe represent long-term value, but are cautious on further exposure until we get better clarity on some of these evolving macro trends.

Risks include growing geopolitical risks, a prolonged period of low economic growth, declining corporate profit expectations and a shift to downturn in the U.S. credit cycle. Looking ahead, we remain focused on careful security selection using fundamental credit analysis. We intend to build on our key investment themes of yield and diversification, using our reserve allocation during periods of extreme short-term market dislocation to potentially add long-term value.

Since early 2015, monthly or quarterly ordinary income distributions for certain Loomis Sayles-managed fixed-income funds have been below historic averages. This is primarily due to the impact of foreign currency losses. Fund officers have analyzed the fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2017. Based on this analysis, fund officers believe that realized currency losses may have a less significant impact on this fund’s distributions in the 2017 fiscal year. As a result, the distribution amount may improve going forward. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates and the net asset level of the fund. Changes to these assumptions could impact the analysis and the amounts of future fund distributions.

 

1    A credit cycle is a cyclical pattern that follows credit availability and corporate health.

 

 

Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares

September 30, 2016 through September 30, 20162

 

LOGO

Average Annual Total Returns — September 30, 20162

 

         
                           Expense Ratios3  
      1 year      5 years      10 years      Gross      Net  
     
Institutional Class (Inception 7/1/94)      8.27 %       4.81 %       6.41 %       0.48 %       0.48 % 
   
Comparative Performance                 
Bloomberg Barclays U.S. Government/Credit Bond Index1      5.86         3.24         4.86                     

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

 

1    Bloomberg Barclays U.S. Government/Credit Bond Index is an unmanaged index that includes U.S. Treasuries, government-related issues, and investment grade U.S. corporate securities.

 

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

 

3    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

1637689.1.1

 

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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

Additional Index Information

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

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

Proxy Voting Information

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Loomis Sayles at 800-633-3330; on the Funds’ website at www.loomissayles.com, and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

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

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in each Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of Fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 2016. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

Loomis Sayles Fixed Income Fund

 

Institutional Class

    Beginning
Account Value
4/1/2016		        Ending
Account Value
9/30/2016		        Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

      $1,000.00           $1,073.00           $2.95   

Hypothetical (5% return before expenses)

      $1,000.00           $1,022.15           $2.88   

*   Expenses are equal to the Fund’s annualized expense ratio of 0.57%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

       

 

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Loomis Sayles Global Bond Fund

 

Institutional Class

    Beginning
Account Value
4/1/2016		        Ending
Account Value
9/30/2016		        Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

      $1,000.00           $1,053.70           $3.85   

Hypothetical (5% return before expenses)

      $1,000.00           $1,021.25           $3.79   

Retail Class

                         

Actual

      $1,000.00           $1,052.50           $5.13   

Hypothetical (5% return before expenses)

      $1,000.00           $1,020.00           $5.05   

Class N

                         

Actual

      $1,000.00           $1,054.30           $3.44   

Hypothetical (5% return before expenses)

      $1,000.00           $1,021.65           $3.39   

*   Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.75%, 1.00% and 0.67% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

        

Loomis Sayles Inflation Protected Securities Fund

 

Institutional Class

    Beginning
Account Value
4/1/2016		        Ending
Account Value
9/30/2016		        Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

      $1,000.00           $1,024.00           $2.02   

Hypothetical (5% return before expenses)

      $1,000.00           $1,023.00           $2.02   

Retail Class

                         

Actual

      $1,000.00           $1,021.30           $3.28   

Hypothetical (5% return before expenses)

      $1,000.00           $1,021.75           $3.29   

*   Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.40% and 0.65% for Institutional and Retail Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

        

Loomis Sayles Institutional High Income Fund

 

Institutional Class

    Beginning
Account Value
4/1/2016		        Ending
Account Value
9/30/2016		        Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

      $1,000.00           $1,135.00           $3.63   

Hypothetical (5% return before expenses)

      $1,000.00           $1,021.60           $3.44   

*   Expenses are equal to the Fund’s annualized expense ratio of 0.68%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

       

Loomis Sayles Investment Grade Fixed Income Fund

 

Institutional Class

    Beginning
Account Value
4/1/2016		        Ending
Account Value
9/30/2016		        Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

      $1,000.00           $1,043.30           $2.45   

Hypothetical (5% return before expenses)

      $1,000.00           $1,022.60           $2.43   

*   Expenses are equal to the Fund’s annualized expense ratio of 0.48%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

       

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) the Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreements at its meeting held in June 2016. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.

 

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With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group median and/or category median for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreement. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks and/or peer groups; (3) that the Fund’s performance, although lagging in certain periods, was stronger over the long term; or (4) that the Fund’s performance, although lagging the performance of its category for certain periods, was competitive when compared to relevant benchmarks or peer groups.

The Trustees also considered the Adviser’s performance and reputation generally, the Funds’ performance as a fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Funds grow in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that all of the Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser under these caps. The Trustees also considered that some Funds’ current expenses are below the cap. The Trustees noted that the Loomis Sayles Institutional High Income Fund’s advisory fee was above the median of a peer group of funds. The Trustees considered the factors which management believed justified such relatively higher fees. These factors included: (1) that the Fund’s net expense ratio was below the median for its peer group; and (2) that the Fund’s investment discipline was capacity constrained.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser and its affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of the Adviser compared to other investment managers.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fee charged to each of the Funds was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that each of the Funds was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

 

|  16

Table of Contents

The Trustees also considered other factors, which included but were not limited to the following:

 

•  

the effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

 

•  

whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Funds.

 

•  

the nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services.

 

•  

so-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

•  

the Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2017.

 

17  |

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – 85.7% of Net Assets   
  Non-Convertible Bonds – 77.7%   
  ABS Other – 0.1%  
$ 1,038,440      GCA2014 Holdings Ltd.,
Series 2014-1, Class C,
6.000%, 1/05/2030, 144A(b)(c)		   $ 651,102   
  404,747      GCA2014 Holdings Ltd.,
Series 2014-1, Class D,
7.500%, 1/05/2030, 144A(b)(c)		     116,648   
  1,855,000      GCA2014 Holdings Ltd.,
Series 2014-1, Class E, Zero Coupon,
1/05/2030, 144A(b)(c)(d)		     25,970   
  855,918      Global Container Assets Ltd.,
Series 2015-1A, Class B,
4.500%, 2/05/2030, 144A(c)(e)		     837,035   
   

 

 

  
      1,630,755   
   

 

 

  
  Aerospace & Defense – 2.3%   
  11,120,000      Bombardier, Inc.,
6.000%, 10/15/2022, 144A		     10,063,600   
  175,000      Bombardier, Inc.,
7.450%, 5/01/2034, 144A		     149,844   
  600,000      Meccanica Holdings USA, Inc.,
6.250%, 7/15/2019, 144A		     654,000   
  1,900,000      Meccanica Holdings USA, Inc.,
6.250%, 1/15/2040, 144A		     1,862,000   
  1,700,000      Meccanica Holdings USA, Inc.,
7.375%, 7/15/2039, 144A		     1,861,500   
  245,000      Textron, Inc., 5.600%, 12/01/2017     256,035   
  6,855,000      Textron, Inc., 5.950%, 9/21/2021     7,852,114   
  1,290,000      Textron, Inc., 7.250%, 10/01/2019     1,477,998   
  1,468,000      TransDigm, Inc., 6.500%, 7/15/2024     1,545,070   
  1,375,000      TransDigm, Inc., 6.500%, 5/15/2025     1,431,719   
   

 

 

  
      27,153,880   
   

 

 

  
  Airlines – 3.7%  
  5,550,000      Air Canada,
7.625%, 10/01/2019, 144A, (CAD)		     4,391,647   
  634,230      Air Canada Pass Through Trust,
Series 2013-1, Class B,
5.375%, 11/15/2022, 144A		     653,257   
  13,360,000      American Airlines Group, Inc.,
5.500%, 10/01/2019, 144A		     13,911,100   
  11,478,132      American Airlines Pass Through Certificates, Series 2016-1, Class B,
5.250%, 7/15/2025		     12,037,691   
  1,020,586      American Airlines Pass Through Trust, Series 2013-1, Class A,
4.000%, 1/15/2027		     1,085,465   
  332,066      American Airlines Pass Through Trust, Series 2013-1, Class B,
5.625%, 1/15/2021, 144A		     346,547   
  779,483      American Airlines Pass Through Trust, Series 2013-2, Class C,
6.000%, 1/15/2017, 144A		     786,685   
  196,515      Continental Airlines Pass Through Certificates, Series 2012-2, Class B,
5.500%, 4/29/2022		     205,450   
  1,745,000      Continental Airlines Pass Through Certificates, Series 2012-3, Class C,
6.125%, 4/29/2018		     1,823,525   
  Airlines – continued  
$ 8,020      Continental Airlines Pass Through Trust, Series 2000-2, Class B,
8.307%, 10/02/2019		   $ 8,339   
  191,384      Continental Airlines Pass Through Trust, Series 2012-1, Class B,
6.250%, 10/11/2021		     205,259   
  185,375      Delta Air Lines Pass Through Trust, Series 2009-1, Series B,
9.750%, 6/17/2018		     189,931   
  733,111      UAL Pass Through Trust,
Series 2007-1, Class A,
6.636%, 1/02/2024		     780,764   
  1,593,212      United Airlines Pass Through Trust,
Series 2014-1, Class A,
4.000%, 10/11/2027		     1,708,720   
  1,196,840      US Airways Pass Through Trust,
Series 2011-1, Class A,
7.125%, 4/22/2025		     1,427,232   
  807,439      US Airways Pass Through Trust,
Series 2012-1A, Class A,
5.900%, 4/01/2026		     928,555   
  429,060      US Airways Pass Through Trust,
Series 2012-1B, Class B,
8.000%, 4/01/2021		     475,185   
  1,974,733      US Airways Pass Through Trust,
Series 2012-2A, Class A,
4.625%, 12/03/2026		     2,152,459   
  299,129      Virgin Australia Pass Through Trust,
Series 2013-1B,
6.000%, 4/23/2022, 144A		     303,616   
  448,044      Virgin Australia Pass Through Trust,
Series 2013-1C,
7.125%, 10/23/2018, 144A		     453,644   
   

 

 

  
      43,875,071   
   

 

 

  
  Automotive – 3.4%  
  1,550,000      Ford Motor Co., 6.375%, 2/01/2029     1,899,592   
  1,030,000      Ford Motor Co., 6.500%, 8/01/2018     1,121,628   
  165,000      Ford Motor Co., 6.625%, 2/15/2028     197,708   
  4,230,000      Ford Motor Co., 6.625%, 10/01/2028     5,313,950   
  690,000      Ford Motor Co., 7.125%, 11/15/2025     860,639   
  2,245,000      Ford Motor Co., 7.400%, 11/01/2046     3,241,773   
  4,955,000      Ford Motor Co., 7.450%, 7/16/2031     6,553,959   
  1,645,000      Ford Motor Co., 7.500%, 8/01/2026     2,102,799   
  600,000      Ford Motor Credit Co. LLC,
5.000%, 5/15/2018		     629,792   
  9,685,000      Ford Motor Credit Co. LLC, GMTN,
4.389%, 1/08/2026		     10,332,413   
  495,000      General Motors Co., 5.200%, 4/01/2045     514,889   
  830,000      General Motors Co., 6.750%, 4/01/2046     1,040,551   
  2,175,000      General Motors Financial Co., Inc.,
4.375%, 9/25/2021		     2,323,009   
  2,865,000      General Motors Financial Co., Inc.,
5.250%, 3/01/2026		     3,146,584   
  375,000      Goodyear Tire & Rubber Co. (The),
7.000%, 3/15/2028		     409,687   
  515,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc.,
7.875%, 10/01/2022, 144A		     524,012   
   

 

 

  
      40,212,985   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  18

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Banking – 11.4%  
$ 6,735,000      Ally Financial, Inc., 5.125%, 9/30/2024   $ 7,139,100   
  1,146,000      Ally Financial, Inc., 8.000%, 11/01/2031     1,412,445   
  1,900,000      Bank of America Corp., 5.490%, 3/15/2019     2,052,842   
  1,060,000      Bank of America Corp., 5.650%, 5/01/2018     1,124,413   
  5,600,000      Bank of America Corp., 6.110%, 1/29/2037     6,844,303   
  1,000,000      Bank of America Corp., EMTN,
4.625%, 9/14/2018, (EUR)		     1,217,729   
  1,700,000      Bank of America Corp., MTN,
3.300%, 1/11/2023		     1,759,786   
  2,247,000      Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019     2,578,677   
  14,790,000      Bank of Nova Scotia,
2.462%, 3/14/2019, (CAD)		     11,576,547   
  1,300,000      BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(f)     1,781,881   
  2,150,000      BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(f)     2,463,505   
  1,000,000      BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter),
7.195%, 144A(f)		     1,125,000   
  3,340,000      Citigroup, Inc.,
5.130%, 11/12/2019, (NZD)		     2,550,447   
  14,170,000      Citigroup, Inc.,
6.250%, 6/29/2017, (NZD)		     10,548,421   
  200,000      Citigroup, Inc., EMTN,
0.972%, 11/30/2017, (EUR)(g)		     224,686   
  6,560,000      Goldman Sachs Group, Inc. (The),
3.550%, 2/12/2021, (CAD)		     5,291,502   
  4,145,000      Goldman Sachs Group, Inc. (The),
6.750%, 10/01/2037		     5,277,870   
  1,955,000      Goldman Sachs Group, Inc.
(The), GMTN,
5.375%, 3/15/2020		     2,164,846   
  6,100,000      HBOS PLC, GMTN,
6.750%, 5/21/2018, 144A		     6,519,637   
  3,605,000      JPMorgan Chase & Co.,
4.250%, 11/02/2018, (NZD)		     2,680,946   
  8,450,000      Lloyds Banking Group PLC,
5.300%, 12/01/2045, 144A		     9,096,341   
  50,000      Merrill Lynch & Co., Inc., EMTN,
0.247%, 9/14/2018, (EUR)(g)		     55,972   
  300,000      Merrill Lynch & Co., Inc.,
Series C, MTN,
6.050%, 6/01/2034		     353,625   
  5,125,000      Morgan Stanley, 2.125%, 4/25/2018     5,168,076   
  1,360,000      Morgan Stanley, 2.500%, 1/24/2019     1,385,784   
  2,120,000      Morgan Stanley, 3.750%, 2/25/2023     2,251,635   
  300,000      Morgan Stanley, 4.350%, 9/08/2026     320,281   
  2,780,000      Morgan Stanley,
4.750%, 11/16/2018, (AUD)		     2,211,531   
  3,115,000      Morgan Stanley, 5.750%, 1/25/2021     3,550,898   
  4,900,000      Morgan Stanley,
8.000%, 5/09/2017, (AUD)		     3,866,943   
  Banking – continued  
  50,000      Morgan Stanley, EMTN,
5.750%, 2/14/2017, (GBP)		   65,930   
  13,040,000      Morgan Stanley, MTN,
4.100%, 5/22/2023		     13,786,683   
  900,000      Morgan Stanley, Series F, MTN,
1.129%, 10/18/2016(g)		     900,123   
  3,950,000      Morgan Stanley, Series MPLE,
3.125%, 8/05/2021, (CAD)		     3,144,434   
  185,000      Royal Bank of Scotland Group PLC,
5.250%, (EUR)(f)		     196,597   
  2,500,000      Royal Bank of Scotland Group PLC,
5.500%, (EUR)(f)		     2,665,848   
  1,920,000      Royal Bank of Scotland Group PLC,
6.000%, 12/19/2023		     2,001,059   
  2,300,000      Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(f)     2,231,000   
  50,000      Royal Bank of Scotland PLC
(The), EMTN,
4.350%, 1/23/2017, (EUR)		     56,773   
  650,000      Royal Bank of Scotland PLC
(The), EMTN,
6.934%, 4/09/2018, (EUR)		     792,368   
  1,225,000      Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter),
5.922%, 144A(f)		     1,235,964   
  5,000,000      Societe Generale S.A., MTN,
5.200%, 4/15/2021, 144A		     5,695,035   
   

 

 

  
      137,367,483   
   

 

 

  
  Brokerage – 1.4%  
  549,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A     510,570   
  2,890,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A     2,810,525   
  1,245,000      Jefferies Group LLC, 5.125%, 4/13/2018     1,299,798   
  3,225,000      Jefferies Group LLC, 5.125%, 1/20/2023     3,435,889   
  3,055,000      Jefferies Group LLC, 6.250%, 1/15/2036     3,184,156   
  1,805,000      Jefferies Group LLC, 6.450%, 6/08/2027     2,043,441   
  2,530,000      Jefferies Group LLC, 6.875%, 4/15/2021     2,951,700   
   

 

 

  
      16,236,079   
   

 

 

  
  Building Materials – 0.8%  
  4,135,000      Atrium Windows & Doors, Inc.,
7.750%, 5/01/2019, 144A		     3,716,331   
  800,000      Masco Corp., 6.500%, 8/15/2032     880,000   
  1,410,000      Masco Corp., 7.125%, 3/15/2020     1,621,500   
  815,000      Masco Corp., 7.750%, 8/01/2029     973,925   
  2,050,000      Owens Corning, 7.000%, 12/01/2036     2,587,883   
   

 

 

  
      9,779,639   
   

 

 

  
  Cable Satellite – 1.0%  
  665,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024     706,563   
  3,035,000      DISH DBS Corp., 5.000%, 3/15/2023     2,951,537   
  715,000      DISH DBS Corp., 5.875%, 11/15/2024     706,063   

 

See accompanying notes to financial statements.

 

19  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Cable Satellite – continued  
$ 375,000      Time Warner Cable LLC, 4.500%, 9/15/2042   $ 357,847   
  1,500,000      Time Warner Cable LLC, 6.550%, 5/01/2037     1,778,446   
  3,400,000      UPC Holding BV,
6.375%, 9/15/2022, 144A, (EUR)		     4,048,551   
  800,000      Virgin Media Finance PLC,
6.000%, 10/15/2024, 144A		     828,008   
   

 

 

  
      11,377,015   
   

 

 

  
  Chemicals – 2.4%  
  3,845,000      Chemours Co. (The), 6.625%, 5/15/2023     3,748,875   
  710,000      Chemours Co. (The), 7.000%, 5/15/2025     697,575   
  9,550,000      Consolidated Energy Finance S.A.,
6.750%, 10/15/2019, 144A		     9,430,625   
  5,240,000      Hexion, Inc.,
7.875%, 2/15/2023(b)(c)		     1,886,400   
  275,000      Hexion, Inc., 8.875%, 2/01/2018     261,938   
  905,000      Hexion, Inc.,
9.200%, 3/15/2021(b)(c)		     352,950   
  7,395,000      Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020     5,352,131   
  6,830,000      INVISTA Finance LLC,
4.250%, 10/15/2019, 144A		     6,796,396   
  620,000      Methanex Corp., 5.250%, 3/01/2022     640,387   
   

 

 

  
      29,167,277   
   

 

 

  
  Construction Machinery – 0.2%   
  965,000      Toro Co., 6.625%, 5/01/2037(c)(e)     1,156,511   
  1,155,000      United Rentals North America, Inc.,
7.625%, 4/15/2022		     1,230,075   
   

 

 

  
      2,386,586   
   

 

 

  
  Consumer Products – 0.1%  
  880,000      Avon Products, Inc.,
8.950%, 3/15/2043		     719,400   
   

 

 

  
  Diversified Manufacturing – 0.2%   
  45,000      General Electric Co., GMTN,
3.100%, 1/09/2023		     47,806   
  2,390,000      General Electric Co., Series A, GMTN,
5.500%, 2/01/2017, (NZD)		     1,753,850   
   

 

 

  
      1,801,656   
   

 

 

  
  Electric – 3.6%  
  2,385,000      AES Corp. (The), 4.875%, 5/15/2023     2,420,775   
  180,000      AES Corp. (The), 5.500%, 4/15/2025     185,175   
  2,240,831      Alta Wind Holdings LLC,
7.000%, 6/30/2035, 144A		     2,292,626   
  2,957,287      Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(c)(e)     1,505,791   
  2,850,000      DPL, Inc., 6.750%, 10/01/2019     2,956,875   
  4,120,000      EDP Finance BV,
4.125%, 1/15/2020, 144A		     4,270,380   
  7,305,000      EDP Finance BV,
4.900%, 10/01/2019, 144A		     7,763,827   
  5,455,000      EDP Finance BV,
6.000%, 2/02/2018, 144A		     5,702,439   
  Electric – continued  
  1,200,000      EDP Finance BV, EMTN,
8.625%, 1/04/2024, (GBP)		   $ 2,123,055   
  1,589,000      Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027     1,974,549   
  3,800,000      Enel Finance International NV,
6.000%, 10/07/2039, 144A		     4,595,386   
  100,000      Enel Finance International NV,
6.800%, 9/15/2037, 144A		     132,094   
  750,000      Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)     1,357,947   
  4,000,000      Enersis Americas S.A., 7.400%, 12/01/2016     4,028,832   
  1,730,712      Mackinaw Power LLC,
6.296%, 10/31/2023, 144A(c)(e)		     1,920,866   
   

 

 

  
      43,230,617   
   

 

 

  
  Finance Companies – 4.6%  
  300,000      AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter),
6.000%, 1/15/2067, 144A		     150,000   
  1,680,000      International Lease Finance Corp.,
4.625%, 4/15/2021		     1,759,800   
  3,045,000      International Lease Finance Corp.,
5.875%, 8/15/2022		     3,376,144   
  4,695,000      International Lease Finance Corp.,
6.250%, 5/15/2019		     5,088,206   
  4,905,000      International Lease Finance Corp.,
7.125%, 9/01/2018, 144A		     5,352,581   
  945,000      iStar, Inc., 4.875%, 7/01/2018     949,725   
  225,000      iStar, Inc., 5.850%, 3/15/2017     227,687   
  935,000      iStar, Inc., 7.125%, 2/15/2018     974,738   
  1,525,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017     1,536,437   
  3,903,000      Navient Corp., 5.875%, 10/25/2024     3,551,730   
  5,900,000      Navient Corp., MTN, 6.125%, 3/25/2024     5,494,375   
  2,167,000      Navient LLC, 4.875%, 6/17/2019     2,158,874   
  4,668,000      Navient LLC, 5.500%, 1/25/2023     4,282,890   
  31,725(††)      Navient LLC, 6.000%, 12/15/2043     728,882   
  726,000      Navient LLC, MTN, 5.500%, 1/15/2019     736,890   
  145,000      Navient LLC, Series A, MTN,
5.000%, 6/15/2018		     145,000   
  5,185,000      Navient LLC, Series A, MTN,
5.625%, 8/01/2033(c)(e)		     4,122,075   
  2,681,000      Navient LLC, Series A, MTN,
8.450%, 6/15/2018		     2,882,075   
  1,950,000      Quicken Loans, Inc.,
5.750%, 5/01/2025, 144A		     1,935,375   
  1,225,000      Springleaf Finance Corp.,
5.250%, 12/15/2019		     1,251,031   
  3,770,000      Springleaf Finance Corp., 6.000%, 6/01/2020     3,859,537   
  1,805,000      Springleaf Finance Corp., 7.750%, 10/01/2021     1,892,994   
  725,000      Springleaf Finance Corp., 8.250%, 10/01/2023     761,250   
  2,100,000      Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017     2,173,500   
   

 

 

  
      55,391,796   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  20

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Food & Beverage – 0.4%  
$ 2,445,000      Constellation Brands, Inc., 4.750%, 11/15/2024   $ 2,646,712   
  1,995,000      DS Services of America, Inc.,
10.000%, 9/01/2021, 144A		     2,224,425   
   

 

 

  
      4,871,137   
   

 

 

  
  Government Owned – No Guarantee – 0.3%   
  1,715,000      Pertamina Persero PT,
6.450%, 5/30/2044, 144A		     1,986,654   
  1,605,000      Petrobras Global Finance BV,
4.375%, 5/20/2023		     1,435,673   
  965,000      Petrobras Global Finance BV,
5.625%, 5/20/2043		     728,575   
   

 

 

  
      4,150,902   
   

 

 

  
  Healthcare – 2.7%  
  650,000      BioScrip, Inc., 8.875%, 2/15/2021     607,750   
  425,000      Boston Scientific Corp., 5.125%, 1/12/2017     429,444   
  610,000      HCA, Inc., 5.875%, 3/15/2022     672,525   
  4,960,000      HCA, Inc., 5.875%, 5/01/2023     5,282,400   
  2,932,000      HCA, Inc., 7.050%, 12/01/2027     3,118,915   
  1,475,000      HCA, Inc., 7.500%, 12/15/2023     1,635,406   
  1,440,000      HCA, Inc., 7.500%, 11/06/2033     1,560,600   
  2,660,000      HCA, Inc., 7.690%, 6/15/2025     2,989,601   
  2,220,000      HCA, Inc., 8.360%, 4/15/2024     2,577,598   
  2,930,000      HCA, Inc., MTN, 7.580%, 9/15/2025     3,303,575   
  430,000      HCA, Inc., MTN, 7.750%, 7/15/2036     466,013   
  1,425,000      Tenet Healthcare Corp., 4.375%, 10/01/2021     1,417,875   
  2,245,000      Tenet Healthcare Corp., 4.500%, 4/01/2021     2,259,031   
  3,685,000      Tenet Healthcare Corp., 5.000%, 3/01/2019     3,602,087   
  1,285,000      Tenet Healthcare Corp., 6.750%, 6/15/2023     1,195,050   
  1,775,000      Tenet Healthcare Corp., 6.875%, 11/15/2031     1,459,937   
   

 

 

  
      32,577,807   
   

 

 

  
  Home Construction – 0.9%  
  550,000      Beazer Homes USA, Inc., 7.250%, 2/01/2023     547,250   
  270,000      K. Hovnanian Enterprises, Inc.,
5.000%, 11/01/2021(c)(e)		     189,000   
  4,276,000      K. Hovnanian Enterprises, Inc.,
8.000%, 11/01/2019, 144A		     2,586,980   
  835,000      KB Home, 8.000%, 3/15/2020     929,981   
  3,920,000      PulteGroup, Inc., 6.000%, 2/15/2035     3,959,200   
  3,020,000      PulteGroup, Inc., 6.375%, 5/15/2033     3,145,835   
  15,000      TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024     15,600   
   

 

 

  
      11,373,846   
   

 

 

  
  Independent Energy – 1.5%  
  242,000      Anadarko Petroleum Corp.,
6.375%, 9/15/2017		     252,295   
  644,000      California Resources Corp.,
5.500%, 9/15/2021		     341,320   
  Independent Energy – continued  
86,000      California Resources Corp.,
6.000%, 11/15/2024		   41,065   
  3,105,000      Chesapeake Energy Corp., 4.875%, 4/15/2022     2,615,962   
  335,000      Chesapeake Energy Corp., 5.750%, 3/15/2023     284,750   
  1,135,000      Chesapeake Energy Corp., 6.125%, 2/15/2021     1,041,363   
  720,000      Chesapeake Energy Corp., 6.625%, 8/15/2020     677,700   
  995,000      Chesapeake Energy Corp.,
6.875%, 11/15/2020		     930,325   
  550,000      Chesapeake Energy Corp.,
7.250%, 12/15/2018		     558,250   
  980,000      Continental Resources, Inc.,
3.800%, 6/01/2024		     896,700   
  185,000      Continental Resources, Inc.,
4.500%, 4/15/2023		     177,600   
  5,955,000      Newfield Exploration Co., 5.625%, 7/01/2024     6,103,875   
  345,000      QEP Resources, Inc., 5.250%, 5/01/2023     339,825   
  690,000      Rice Energy, Inc., 6.250%, 5/01/2022     712,425   
  1,600,000      RSP Permian, Inc., 6.625%, 10/01/2022     1,676,000   
  1,221,000      SM Energy Co., 6.125%, 11/15/2022     1,221,000   
  155,000      Whiting Petroleum Corp.,
6.250%, 4/01/2023		     141,438   
   

 

 

  
      18,011,893   
   

 

 

  
  Industrial Other – 0.2%  
  385,000      AECOM, 5.750%, 10/15/2022     404,369   
  405,000      AECOM, 5.875%, 10/15/2024     432,338   
  660,000      Broadspectrum Ltd.,
8.375%, 5/15/2020, 144A		     702,900   
  1,150,000      Cleaver-Brooks, Inc.,
8.750%, 12/15/2019, 144A		     1,204,625   
   

 

 

  
      2,744,232   
   

 

 

  
  Life Insurance – 1.6%  
  160,000      American International Group, Inc.,
4.125%, 2/15/2024		     172,403   
  130,000      American International Group, Inc.,
4.875%, 6/01/2022		     146,269   
  3,700,000      AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(f)     4,031,446   
  200,000      AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)     250,727   
  4,345,000      Forethought Financial Group, Inc.,
8.625%, 4/15/2021, 144A(c)(e)		     4,995,707   
  790,000      Genworth Holdings, Inc., 4.800%, 2/15/2024     649,775   
  1,940,000      Genworth Holdings, Inc., 4.900%, 8/15/2023     1,615,050   
  840,000      Genworth Holdings, Inc., 6.500%, 6/15/2034     684,600   
  2,270,000      MetLife Capital Trust X,
9.250%, 4/08/2068, 144A		     3,265,849   
  1,115,000      MetLife, Inc., 10.750%, 8/01/2069     1,786,899   

 

See accompanying notes to financial statements.

 

21  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Life Insurance – continued  
$ 1,165,000      Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A   $ 1,400,623   
   

 

 

  
      18,999,348   
   

 

 

  
  Local Authorities – 2.3%  
  830,000      New South Wales Treasury Corp.,
3.500%, 3/20/2019, (AUD)		     662,790   
  9,640,000      New South Wales Treasury Corp.,
6.000%, 2/01/2018, (AUD)		     7,793,803   
  4,280,000      New South Wales Treasury Corp.,
Series 17RG,
5.500%, 3/01/2017, (AUD)		     3,325,848   
  19,825,000      Province of Ontario Canada,
4.200%, 3/08/2018, (CAD)		     15,858,640   
   

 

 

  
      27,641,081   
   

 

 

  
  Media Entertainment – 0.7%   
  24,000,000      Grupo Televisa SAB, EMTN,
7.250%, 5/14/2043, (MXN)		     1,073,025   
  3,805,000      iHeartCommunications, Inc.,
9.000%, 9/15/2022		     2,768,137   
  500,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022     520,000   
  1,250,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025     1,312,500   
  2,475,000      R.R. Donnelley & Sons Co.,
6.000%, 4/01/2024		     2,456,438   
  120,000      R.R. Donnelley & Sons Co.,
6.500%, 11/15/2023		     120,900   
  306,000      R.R. Donnelley & Sons Co.,
7.000%, 2/15/2022		     317,475   
  295,000      R.R. Donnelley & Sons Co.,
7.875%, 3/15/2021		     322,288   
   

 

 

  
      8,890,763   
   

 

 

  
  Metals & Mining – 1.7%  
  2,602,232      1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(c)(h)(i)     1,041   
  1,400,000      Alcoa, Inc., 5.870%, 2/23/2022     1,505,000   
  400,000      Alcoa, Inc., 5.900%, 2/01/2027     428,000   
  6,630,000      ArcelorMittal, 7.750%, 3/01/2041     6,911,775   
  3,300,000      ArcelorMittal, 8.000%, 10/15/2039     3,564,000   
  1,659,000      Cliffs Natural Resources, Inc.,
8.000%, 9/30/2020, 144A		     1,625,820   
  2,015,000      Essar Steel Algoma, Inc.,
9.500%, 11/15/2019, 144A(c)(e)(h)		     272,025   
  2,525,000      First Quantum Minerals Ltd.,
7.250%, 5/15/2022, 144A		     2,234,625   
  1,400,000      Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A     1,365,000   
  1,580,000      United States Steel Corp., 6.650%, 6/01/2037     1,264,000   
  1,760,000      United States Steel Corp., 7.500%, 3/15/2022     1,733,600   
   

 

 

  
      20,904,886   
   

 

 

  
  Midstream – 2.0%  
575,000      DCP Midstream LLC,
6.450%, 11/03/2036, 144A		   559,188   
  250,000      El Paso Corp., GMTN, 7.800%, 8/01/2031     304,670   
  3,000,000      Enbridge Energy Partners LP,
5.875%, 10/15/2025		     3,448,938   
  2,860,000      Enbridge Energy Partners LP,
7.375%, 10/15/2045		     3,616,441   
  1,410,000      Enterprise Products Operating LLC,
6.300%, 9/15/2017		     1,473,351   
  300,000      Florida Gas Transmission Co.,
7.900%, 5/15/2019, 144A		     340,301   
  1,300,000      IFM U.S. Colonial Pipeline 2 LLC,
6.450%, 5/01/2021, 144A		     1,467,680   
  95,000      NGPL PipeCo LLC,
7.768%, 12/15/2037, 144A		     103,075   
  375,000      ONEOK Partners LP, 4.900%, 3/15/2025     403,398   
  115,000      ONEOK Partners LP, 6.200%, 9/15/2043     127,049   
  1,785,000      Plains All American Pipeline LP,
6.125%, 1/15/2017		     1,806,349   
  7,195,000      Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026, 144A     9,314,942   
  1,280,000      Western Refining Logistics LP/WNRL Finance Corp.,
7.500%, 2/15/2023		     1,312,000   
   

 

 

  
      24,277,382   
   

 

 

  
  Non-Agency Commercial Mortgage-Backed Securities – 0.4%    
  530,000      GS Mortgage Securities Trust, Series 2007-GG10, Class AM,
5.988%, 8/10/2045(g)		     510,139   
  926,171      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)     700,373   
  1,000,000      Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4,
5.485%, 3/12/2051(g)		     1,010,042   
  2,151,191      Motel 6 Trust,
Series 2015-M6MZ, Class M,
8.230%, 2/05/2020, 144A(c)(e)		     2,165,308   
   

 

 

  
      4,385,862   
   

 

 

  
  Oil Field Services – 0.3%  
  6,230,000      FTS International, Inc., 6.250%, 5/01/2022     2,382,975   
  3,050,000      Paragon Offshore PLC,
6.750%, 7/15/2022, 144A(h)		     846,375   
  1,317,000      Paragon Offshore PLC,
7.250%, 8/15/2024, 144A(h)		     365,467   
  775,000      Sidewinder Drilling, Inc.,
9.750%, 11/15/2019, 144A		     50,375   
  400,000      Transocean, Inc., 5.050%, 10/15/2022     313,500   
   

 

 

  
      3,958,692   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Packaging – 1.5%  
$ 3,550,000      Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc.,
5.625%, 12/15/2016, 144A		   $ 3,541,480   
  11,450,000      Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A     11,908,000   
  1,910,000      Sealed Air Corp.,
5.500%, 9/15/2025, 144A		     2,048,475   
   

 

 

  
      17,497,955   
   

 

 

  
  Paper – 1.1%  
  2,894,000      Georgia-Pacific LLC, 7.375%, 12/01/2025     3,857,340   
  5,492,000      Georgia-Pacific LLC, 7.750%, 11/15/2029     7,859,299   
  350,000      WestRock MWV LLC, 7.950%, 2/15/2031     471,903   
  1,035,000      WestRock MWV LLC, 8.200%, 1/15/2030     1,411,281   
   

 

 

  
      13,599,823   
   

 

 

  
  Property & Casualty Insurance – 0.8%   
  1,630,000      MBIA Insurance Corp.,
11.940%, 1/15/2033, 144A(d)(g)		     652,000   
  3,275,000      Old Republic International Corp.,
4.875%, 10/01/2024		     3,541,218   
  2,140,000      Sirius International Group,
6.375%, 3/20/2017, 144A		     2,173,904   
  1,430,000      XLIT Ltd., 6.250%, 5/15/2027     1,727,008   
  1,135,000      XLIT Ltd., 6.375%, 11/15/2024     1,352,429   
   

 

 

  
      9,446,559   
   

 

 

  
  Railroads – 0.0%  
  500,000      Missouri Pacific Railroad Co.,
5.000%, 1/01/2045(c)(e)		     488,897   
   

 

 

  
  REITs – Apartments – 0.1%  
  1,495,000      Camden Property Trust,
5.700%, 5/15/2017		     1,533,022   
   

 

 

  
  REITs – Office Property – 0.3%  
  475,000      Highwoods Properties, Inc.,
7.500%, 4/15/2018		     513,586   
  3,485,000      Highwoods Realty LP,
5.850%, 3/15/2017		     3,547,629   
   

 

 

  
      4,061,215   
   

 

 

  
  REITs – Single Tenant – 0.1%   
  275,000      Realty Income Corp., 5.750%, 1/15/2021     313,500   
  725,000      Realty Income Corp., 6.750%, 8/15/2019     824,249   
   

 

 

  
      1,137,749   
   

 

 

  
  Restaurants – 0.1%  
  450,000      Wagamama Finance PLC,
7.875%, 2/01/2020, 144A, (GBP)		     613,160   
   

 

 

  
  Retailers – 0.6%  
  1,025,000      Dillard’s, Inc., 7.750%, 7/15/2026     1,180,083   
  1,100,000      Foot Locker, Inc., 8.500%, 1/15/2022     1,298,000   
  Retailers – continued  
440,000      GameStop Corp., 5.500%, 10/01/2019, 144A   449,350   
  155,000      J.C. Penney Corp., Inc., 5.650%, 6/01/2020     155,369   
  793,000      J.C. Penney Corp., Inc., 6.375%, 10/15/2036     681,980   
  1,525,000      J.C. Penney Corp., Inc., 8.125%, 10/01/2019     1,662,250   
  2,121,000      TRU Taj LLC/TRU Taj Finance, Inc.,
12.000%, 8/15/2021, 144A		     2,136,907   
   

 

 

  
      7,563,939   
   

 

 

  
  Sovereigns – 0.4%  
  4,485,000      Portugal Government International Bond, 5.125%, 10/15/2024, 144A     4,467,383   
   

 

 

  
  Supermarkets – 1.4%  
  760,000      Albertson’s Cos. LLC/Safeway,
Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024, 144A		     790,400   
  7,670,000      New Albertson’s, Inc., 7.450%, 8/01/2029     7,516,600   
  2,445,000      New Albertson’s, Inc., 7.750%, 6/15/2026     2,435,831   
  3,780,000      New Albertson’s, Inc., 8.000%, 5/01/2031     3,728,025   
  560,000      New Albertson’s, Inc., 8.700%, 5/01/2030     568,400   
  2,105,000      New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028     1,936,600   
   

 

 

  
      16,975,856   
   

 

 

  
  Supranational – 1.2%  
  19,735,000      Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)     14,971,905   
   

 

 

  
  Technology – 1.5%  
  860,000      Advanced Micro Devices, Inc.,
7.000%, 7/01/2024		     844,950   
  2,415,000      Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029     2,671,594   
  80,000      Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028     87,200   
  2,950,000      Amkor Technology, Inc., 6.375%, 10/01/2022     3,045,875   
  1,175,000      Corning, Inc., 7.250%, 8/15/2036     1,456,464   
  2,095,000      Hewlett Packard Enterprise Co.,
6.350%, 10/15/2045, 144A		     2,161,920   
  166,000      Motorola Solutions, Inc.,
6.625%, 11/15/2037		     171,958   
  694,800      Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A		     886,455   
  5,585,000      Western Digital Corp.,
7.375%, 4/01/2023, 144A		     6,143,500   
   

 

 

  
      17,469,916   
   

 

 

  
  Transportation Services – 0.2%   
  2,500,000      APL Ltd., 8.000%, 1/15/2024(c)(e)     1,650,000   
  241,523      Atlas Air Pass Through Trust, Series 1998-1, Class B,
7.680%, 1/02/2018(b)		     245,749   

 

See accompanying notes to financial statements.

 

23  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Transportation Services – continued   
$ 143,070      Atlas Air Pass Through Trust, Series 1999-1, Class B,
7.630%, 1/02/2018(b)		   $ 143,070   
  134,589      Atlas Air Pass Through Trust, Series 2000-1, Class B,
9.057%, 1/02/2018(b)		     136,608   
   

 

 

  
      2,175,427   
   

 

 

  
  Treasuries – 14.9%  
  29,780,000      Canadian Government,
0.250%, 5/01/2017, (CAD)		     22,663,171   
  13,195,000      Canadian Government,
0.750%, 9/01/2020, (CAD)		     10,127,850   
  10,950,000      Canadian Government,
1.250%, 9/01/2018, (CAD)		     8,464,122   
  8,305,000      Canadian Government,
1.750%, 9/01/2019, (CAD)		     6,554,110   
  264,630,000      Iceland Government International Bond, 6.000%, 10/13/2016, (ISK)     1,574,942   
  107,395,000      Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)     706,378   
  271,710,000      Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)     1,743,473   
  414,800(†††)      Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)     2,140,582   
  424,300(†††)      Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)     2,254,478   
  200,000(†††)      Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)     1,166,764   
  595,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)     3,394,502   
  847,500(†††)      Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)     4,913,833   
  150,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)     924,443   
  1,455,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)     9,479,691   
  21,085,000      New Zealand Government Bond,
5.000%, 3/15/2019, (NZD)		     16,480,759   
  10,220,000      Norway Government Bond,
3.750%, 5/25/2021, 144A, (NOK)		     1,443,425   
  63,235,000      Norway Government Bond,
4.250%, 5/19/2017, 144A, (NOK)		     8,091,084   
  14,660,000      Norway Government Bond,
4.500%, 5/22/2019, 144A, (NOK)		     2,013,242   
  10,150,000      Republic of Brazil,
8.500%, 1/05/2024, (BRL)		     2,883,035   
  14,635,000      Republic of Brazil,
10.250%, 1/10/2028, (BRL)		     4,567,601   
  12,000,000      U.S. Treasury Note, 0.750%, 4/30/2018     12,001,404   
  Treasuries – continued  
37,000,000      U.S. Treasury Note, 0.750%, 8/31/2018   36,992,785   
  18,500,000      U.S. Treasury Note, 0.875%, 5/31/2018     18,538,295   
   

 

 

  
      179,119,969   
   

 

 

  
  Wireless – 0.7%  
  72,400,000      America Movil SAB de CV,
6.450%, 12/05/2022, (MXN)		     3,636,849   
  2,627,000      Sprint Capital Corp., 6.875%, 11/15/2028     2,466,096   
  300,000      Sprint Capital Corp., 8.750%, 3/15/2032     306,000   
  898,000      Sprint Communications, Inc.,
6.000%, 12/01/2016		     902,490   
  735,000      Sprint Communications, Inc.,
6.000%, 11/15/2022		     681,713   
  285,000      Sprint Corp., 7.125%, 6/15/2024     277,875   
   

 

 

  
      8,271,023   
   

 

 

  
  Wirelines – 2.6%  
  195,000      Bell Canada, MTN,
6.550%, 5/01/2029, 144A, (CAD)		     191,807   
  690,000      Bell Canada, MTN,
7.300%, 2/23/2032, (CAD)		     732,858   
  210,000      Bell Canada, Series M-17,
6.100%, 3/16/2035, (CAD)		     203,911   
  2,085,000      Cincinnati Bell, Inc.,
7.000%, 7/15/2024, 144A		     2,137,125   
  990,000      Consolidated Communications, Inc., 6.500%, 10/01/2022     960,300   
  200,000      Embarq Corp., 7.995%, 6/01/2036     202,396   
  3,585,000      Level 3 Communications, Inc.,
5.750%, 12/01/2022		     3,746,325   
  55,000      Level 3 Financing, Inc., 5.375%, 8/15/2022     57,475   
  900,000      Portugal Telecom International Finance BV, EMTN,
4.500%, 6/16/2025, (EUR)(d)		     232,533   
  1,700,000      Portugal Telecom International Finance BV, EMTN,
5.000%, 11/04/2019, (EUR)(d)		     439,230   
  7,205,000      Qwest Capital Funding, Inc.,
6.875%, 7/15/2028		     6,808,725   
  350,000      Qwest Capital Funding, Inc.,
7.625%, 8/03/2021		     360,500   
  775,000      Qwest Capital Funding, Inc.,
7.750%, 2/15/2031		     751,750   
  4,484,000      Qwest Corp., 6.875%, 9/15/2033     4,470,091   
  1,220,000      Qwest Corp., 7.250%, 9/15/2025     1,335,080   
  2,290,000      Telecom Italia Capital S.A.,
6.000%, 9/30/2034		     2,267,673   
  1,395,000      Telecom Italia Capital S.A.,
6.375%, 11/15/2033		     1,419,413   
  600,000      Telecom Italia SpA, EMTN,
5.250%, 3/17/2055, (EUR)		     693,533   
  450,000      Telefonica Emisiones SAU,
4.570%, 4/27/2023		     500,463   
  300,000      Telefonica Emisiones SAU, EMTN,
5.289%, 12/09/2022, (GBP)		     473,304   
  1,000,000      Telefonica Emisiones SAU, EMTN,
5.375%, 2/02/2026, (GBP)		     1,660,380   

 

See accompanying notes to financial statements.

 

|  24

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Wirelines – continued  
  800,000      Telefonica Emisiones SAU, EMTN,
5.445%, 10/08/2029, (GBP)		   $ 1,397,799   
   

 

 

  
      31,042,671   
   

 

 

  
  Total Non-Convertible Bonds   
  (Identified Cost $935,716,466)     933,554,539   
   

 

 

  
  Convertible Bonds – 7.4%  
  Building Materials – 0.4%  
  5,140,000      KB Home, 1.375%, 2/01/2019     4,998,650   
   

 

 

  
  Chemicals – 0.0%  
  332,000      RPM International, Inc.,
2.250%, 12/15/2020		     397,777   
   

 

 

  
  Consumer Products – 0.0%  
  270,000      Iconix Brand Group, Inc.,
1.500%, 3/15/2018		     232,875   
   

 

 

  
  Diversified Manufacturing – 0.1%   
  510,000      Trinity Industries, Inc., 3.875%, 6/01/2036     609,450   
   

 

 

  
  Finance Companies – 0.3%  
  2,840,000      Euronet Worldwide, Inc.,
1.500%, 10/01/2044		     3,574,850   
   

 

 

  
  Healthcare – 0.0%  
  210,000      Hologic, Inc., (accretes to principal after 3/01/2018),
2.000%, 3/01/2042(j)		     286,125   
   

 

 

  
  Leisure – 0.2%  
  2,800,000      Rovi Corp., 0.500%, 3/01/2020     2,790,284   
   

 

 

  
  Midstream – 0.2%  
  1,565,000      Chesapeake Energy Corp.,
2.250%, 12/15/2038		     1,457,406   
  463,000      Chesapeake Energy Corp.,
2.500%, 5/15/2037		     460,106   
   

 

 

  
      1,917,512   
   

 

 

  
  Pharmaceuticals – 0.1%  
  205,000      BioMarin Pharmaceutical, Inc.,
0.750%, 10/15/2018		     245,872   
  285,000      BioMarin Pharmaceutical, Inc.,
1.500%, 10/15/2020		     355,359   
   

 

 

  
      601,231   
   

 

 

  
  Property & Casualty Insurance – 1.9%   
  550,000      Jefferies Group LLC, 3.875%, 11/01/2029     557,563   
  18,045,000      Old Republic International Corp.,
3.750%, 3/15/2018		     21,665,278   
   

 

 

  
      22,222,841   
   

 

 

  
  Technology – 4.2%  
  535,000      Brocade Communications Systems, Inc., 1.375%, 1/01/2020     527,978   
  9,090,000      Ciena Corp., 0.875%, 6/15/2017     9,038,869   
  3,455,000      Ciena Corp.,
3.750%, 10/15/2018, 144A		     4,370,575   
  Technology – continued  
7,000,000      Intel Corp., 3.250%, 8/01/2039   12,801,250   
  309,313      Liberty Interactive LLC, 3.500%, 1/15/2031     287,719   
  9,900,000      Micron Technology, Inc., Series G,
3.000%, 11/15/2043		     8,798,625   
  9,404,000      Nuance Communications, Inc.,
1.500%, 11/01/2035		     8,822,128   
  4,095,000      Priceline Group, Inc. (The),
0.900%, 9/15/2021		     4,397,006   
  2,020,000      Viavi Solutions, Inc., 0.625%, 8/15/2033     2,009,900   
   

 

 

  
      51,054,050   
   

 

 

  
  Total Convertible Bonds  
  (Identified Cost $75,049,209)     88,685,645   
   

 

 

  
  Municipals – 0.6%  
  Michigan – 0.2%  
  2,135,000      Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034     2,095,140   
   

 

 

  
  Virginia – 0.4%  
  5,825,000      Virginia Tobacco Settlement Financing Corp., Series A-1,
6.706%, 6/01/2046		     5,002,976   
   

 

 

  
  Total Municipals  
  (Identified Cost $7,941,923)     7,098,116   
   

 

 

  
  Total Bonds and Notes  
  (Identified Cost $1,018,707,598)     1,029,338,300   
   

 

 

  
  Senior Loans – 0.6%  
  Chemicals – 0.1%  
  1,042,689      Emerald Performance Materials LLC, New 1st Lien Term Loan,
4.500%, 8/01/2021(g)		     1,048,559   
  463,910      Emerald Performance Materials LLC, New 2nd Lien Term Loan,
7.750%, 8/01/2022(g)		     462,750   
   

 

 

  
      1,511,309   
   

 

 

  
  Media Entertainment – 0.0%   
  43,685      Dex Media, Inc., Term Loan,
11.000%, 7/29/2021(g)		     41,610   
   

 

 

  
  Other Utility – 0.2%  
  1,188,151      PowerTeam Services LLC, 1st Lien Term Loan,
4.250%, 5/06/2020(g)		     1,183,695   
  790,000      PowerTeam Services LLC, 2nd Lien Term Loan,
8.250%, 11/06/2020(g)		     786,050   
   

 

 

  
      1,969,745   
   

 

 

  
  Supermarkets – 0.2%  
  2,511,735      Supervalu, Inc., Refi Term Loan B,
5.500%, 3/21/2019(g)		     2,514,297   
   

 

 

  

 

See accompanying notes to financial statements.

 

25  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Senior Loans – continued   
  Wirelines – 0.1%  
$ 1,163,162      Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(c)(e)(g)   $ 1,099,188   
   

 

 

  
  Total Senior Loans  
  (Identified Cost $7,242,223)     7,136,149   
   

 

 

  
  Shares               
  Common Stocks – 7.3%  
  Automobiles – 0.3%  
  341,305      Ford Motor Co.     4,119,551   
   

 

 

  
  Chemicals – 0.1%  
  8,917      PPG Industries, Inc.     921,661   
   

 

 

  
  Containers & Packaging – 0.1%  
  35,353      Owens-Illinois, Inc.(d)     650,142   
   

 

 

  
  Diversified Telecommunication Services – 0.2%   
  7,475      Hawaiian Telcom Holdco, Inc.(d)     167,365   
  17,222      Level 3 Communications, Inc.(d)     798,757   
  159,649      Telefonica S.A., Sponsored ADR     1,609,262   
   

 

 

  
      2,575,384   
   

 

 

  
  Electronic Equipment, Instruments & Components – 0.4%    
  205,167      Corning, Inc.     4,852,200   
   

 

 

  
  Energy Equipment & Services – 0.0%   
  170,674      Hercules Offshore, Inc.(d)     295,266   
   

 

 

  
  Household Durables – 0.1%  
  29,797      Newell Brands, Inc.     1,569,110   
   

 

 

  
  Internet Software & Services – 0.0%   
  6,787      Dex Media, Inc.(b)(d)     13,493   
   

 

 

  
  Metals & Mining – 0.2%  
  359,067      ArcelorMittal, (Registered)(d)     2,168,765   
   

 

 

  
  Multi-Utilities – 0.1%  
  20,449      CMS Energy Corp.     859,062   
   

 

 

  
  Oil, Gas & Consumable Fuels – 0.6%   
  54,259      Chesapeake Energy Corp.(d)     340,204   
  43,209      Halcon Resources Corp.(d)     405,300   
  172,008      Repsol YPF S.A., Sponsored ADR     2,347,909   
  70,051      Royal Dutch Shell PLC, Sponsored ADR     3,507,454   
   

 

 

  
      6,600,867   
   

 

 

  
  Pharmaceuticals – 0.7%  
  160,000      Bristol-Myers Squibb Co.     8,627,200   
   

 

 

  
  REITs – Diversified – 0.2%  
  88,343      Weyerhaeuser Co.     2,821,675   
   

 

 

  
  Semiconductors & Semiconductor Equipment – 4.1%  
  1,317,153      Intel Corp.     49,722,526   
   

 

 

  
  Trading Companies & Distributors – 0.2%   
  23,272      United Rentals, Inc.(d)   $ 1,826,619   
   

 

 

  
  Total Common Stocks  
  (Identified Cost $77,208,594)     87,623,521   
   

 

 

  
  Preferred Stocks – 1.4%  
  Convertible Preferred Stocks – 1.3%  
  Banking – 0.3%  
  2,844      Bank of America Corp., Series L, 7.250%     3,472,069   
   

 

 

  
  Communications – 0.0%  
  2,083      Cincinnati Bell, Inc., 6.750%     104,483   
   

 

 

  
  Electric – 0.2%  
  50,764      AES Trust III, 6.750%     2,588,964   
   

 

 

  
  Energy – 0.4%  
  96,065      El Paso Energy Capital Trust I, 4.750%     4,803,250   
   

 

 

  
  Metals & Mining – 0.2%  
  68,395      Alcoa, Inc., Series 1, 5.375%     2,235,833   
   

 

 

  
  Midstream – 0.1%  
  10,213      Chesapeake Energy Corp., 4.500%(d)     464,487   
  12,055      Chesapeake Energy Corp., 5.000%(d)     516,858   
  660      Chesapeake Energy Corp., Series A,
5.750%, 144A(d)		     343,613   
   

 

 

  
      1,324,958   
   

 

 

  
  REITs – Diversified – 0.0%  
  1,667      Crown Castle International Corp., Series A, 4.500%     188,404   
   

 

 

  
  REITs – Health Care – 0.1%  
  7,400      Welltower, Inc., 6.500%     492,470   
   

 

 

  
  REITs – Mortgage – 0.0%  
  3,106      iStar, Inc., Series J, 4.500%     151,977   
   

 

 

  
  Total Convertible Preferred Stocks  
  (Identified Cost $15,000,441)     15,362,408   
   

 

 

  
  Non-Convertible Preferred Stocks – 0.1%  
  Electric – 0.0%  
  90      Entergy New Orleans, Inc., 4.360%     9,354   
  2,876      Entergy New Orleans, Inc., 4.750%     294,161   
  4,670      Union Electric Co., 4.500%     472,137   
   

 

 

  
      775,652   
   

 

 

  
  Finance Companies – 0.1%  
  25,100      SLM Corp., Series A, 6.970%     1,290,391   
   

 

 

  
  Total Non-Convertible Preferred Stocks  
  (Identified Cost $1,514,082)     2,066,043   
   

 

 

  
  Total Preferred Stocks  
  (Identified Cost $16,514,523)     17,428,451   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued

 

    
Shares		     Description   Value (†)  
  Warrants – 0.0%  
  11,737      Halcon Resources Corp.,
Expiration on 9/9/2020 at $14.04(b)(d) (Identified Cost $0)		   $ 17,909   
   

 

 

  
 
 		 Principal
Amount (‡)		   
  		            
  Short-Term Investments – 3.5%  
$ 41,480,034      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $41,480,138 on 10/03/2016 collateralized by $41,840,000 U.S. Treasury Note, 1.500% due 3/31/2023 valued at $42,310,700 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $41,480,034)     41,480,034   
   

 

 

  
  Total Investments – 98.5%  
  (Identified Cost $1,161,152,972)(a)     1,183,024,364   
  Other assets less liabilities—1.5%     18,484,341   
   

 

 

  
  Net Assets – 100.0%   $ 1,201,508,705   
   

 

 

  
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)      See Note 2 of Notes to Financial Statements.   
  (††)      Amount shown represents units. One unit represents a principal amount of 25.    
  (†††)      Amount shown represents units. One unit represents a principal amount of 100.    
  (a)      Federal Tax Information:   
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $1,170,412,238 for federal income tax purposes was as follows:     
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 107,780,339   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (95,168,213 ) 
   

 

 

  
  Net unrealized appreciation   $ 12,612,126   
   

 

 

  
  (b)      Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $3,590,940 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.     
  (c)      Illiquid security. (Unaudited)   
  (d)      Non-income producing security.   
  (e)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $20,402,403 or 1.7% of net assets. See Note 2 of Notes to Financial Statements.      
  (f)      Perpetual bond with no specified maturity date.   
  (g)      Variable rate security. Rate as of September 30, 2016 is disclosed.   
  (h)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.    
  (i)      Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.     
  (j)      Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.    
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $223,894,332 or 18.6% of net assets.       
  ABS      Asset-Backed Securities   
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.      
  EMTN      Euro Medium Term Note  
  GMTN      Global Medium Term Note  
  MTN      Medium Term Note  
  PIK      Payment-in-Kind  
  REITs      Real Estate Investment Trusts  
  AUD      Australian Dollar  
  BRL      Brazilian Real  
  CAD      Canadian Dollar  
  EUR      Euro  
  GBP      British Pound  
  ISK      Icelandic Krona  
  MXN      Mexican Peso  
  NOK      Norwegian Krone  
  NZD      New Zealand Dollar  

Industry Summary at September 30, 2016

 

Treasuries

        14.9 % 

Banking

        11.7   

Technology

        5.7   

Finance Companies

        5.0   

Semiconductors & Semiconductor Equipment

        4.1   

Electric

        3.8   

Airlines

        3.7   

Automotive

        3.4   

Healthcare

        2.7   

Wirelines

        2.7   

Property & Casualty Insurance

        2.7   

Chemicals

        2.6   

Local Authorities

        2.3   

Midstream

        2.3   

Aerospace & Defense

        2.3   

Metals & Mining

        2.1   

Other Investments, less than 2% each

        23.0   

Short-Term Investments

        3.5   
    

 

 

  

Total Investments

        98.5   

Other assets less liabilities

        1.5   
    

 

 

  

Net Assets

        100.0 % 
    

 

 

  

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – 95.3% of Net Assets   
  Australia – 3.5%  
$ 4,695,000      Asciano Finance Ltd.,
4.625%, 9/23/2020, 144A(b)		   $ 4,934,623   
  17,780,000      Australia Government International Bond, Series 142, 4.250%, 4/21/2026, (AUD)(b)     16,372,152   
  25,475,000      Queensland Treasury Corp.,
Series 23, 4.250%, 7/21/2023,
144A, (AUD)(b)		     22,049,249   
   

 

 

  
      43,356,024   
   

 

 

  
  Barbados – 0.3%  
  987,500      Global SC Finance II S.r.l., Series 2013-1A, Class A,
2.980%, 4/17/2028, 144A(b)		     955,562   
  2,859,167      Global SC Finance II S.r.l., Series 2014-1A, Class A1,
3.190%, 7/17/2029, 144A(b)		     2,774,458   
   

 

 

  
      3,730,020   
   

 

 

  
  Belgium – 0.9%  
  2,530,000      Anheuser-Busch InBev Finance, Inc.,
3.650%, 2/01/2026(b)		     2,717,220   
  470,000      Anheuser-Busch InBev Finance, Inc.,
4.700%, 2/01/2036(b)		     540,393   
  3,720,000      Anheuser-Busch InBev Finance, Inc.,
4.900%, 2/01/2046(b)		     4,425,986   
  2,150,000      Solvay Finance (America) LLC,
3.400%, 12/03/2020, 144A(b)		     2,250,147   
  1,120,000      Solvay Finance (America) LLC,
4.450%, 12/03/2025, 144A(b)		     1,220,894   
   

 

 

  
      11,154,640   
   

 

 

  
  Bermuda – 0.6%  
  1,720,000      Cronos Containers Program I Ltd.,
3.270%, 11/18/2029, 144A(b)		     1,672,502   
  5,285,000      Global Container Assets Ltd.,
Series 2013-1A, Class A2,
3.300%, 11/05/2028, 144A		     5,237,654   
   

 

 

  
      6,910,156   
   

 

 

  
  Brazil – 0.8%  
  4,775,000      Embraer Netherlands Finance BV,
5.050%, 6/15/2025(b)		     4,798,875   
  1,275,000      Petrobras Global Finance BV,
4.375%, 5/20/2023		     1,140,487   
  1,910,000      Petrobras Global Finance BV, EMTN, 6.250%, 12/14/2026, (GBP)     2,298,018   
  7,000,000      Republic of Brazil,
8.500%, 1/05/2024, (BRL)		     1,988,300   
   

 

 

  
      10,225,680   
   

 

 

  
  Canada – 2.3%  
  1,985,000      Alimentation Couche-Tard, Inc.,
1.875%, 5/06/2026, (EUR)(b)		     2,389,053   
  7,610,000      Canadian Government,
1.250%, 9/01/2018, (CAD)(b)		     5,882,371   
  4,399,000      Canadian Government,
4.000%, 6/01/2041, (CAD)(b)		     4,937,563   
  Canada – continued  
  3,379,103      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1,
2.003%, 7/12/2047, 144A, (CAD)(b)		   $ 2,555,286   
  7,400,000      Province of British Columbia,
4.300%, 6/18/2042, (CAD)(b)		     7,463,793   
  3,210,000      Province of Manitoba Canada, MTN,
4.400%, 9/05/2025, (CAD)(b)		     2,941,397   
  2,610,000      Province of Ontario Canada,
1.950%, 1/27/2023, (CAD)(b)		     2,047,894   
   

 

 

  
      28,217,357   
   

 

 

  
  Cayman Islands – 0.1%  
  1,418,961      Resource Capital Corp. Ltd.,
Series 2014-CRE2, Class A,
1.580%, 4/15/2032, 144A(b)(c)		     1,403,621   
   

 

 

  
  Chile – 0.6%  
  5,420,000      CODELCO, Inc.,
4.500%, 9/16/2025, 144A(b)		     5,715,558   
  1,375,000      Itau CorpBanca, 3.875%, 9/22/2019, 144A(b)     1,435,156   
   

 

 

  
      7,150,714   
   

 

 

  
  Colombia – 0.3%  
  3,910,000      Colombia Government International Bond, 5.000%, 6/15/2045(b)     4,232,575   
   

 

 

  
  Denmark – 1.0%  
  71,250,000      Denmark Government Bond,
1.750%, 11/15/2025, (DKK)(b)		     12,465,896   
   

 

 

  
  Finland – 0.3%  
  3,010,000      Finland Government Bond,
1.500%, 4/15/2023, 144A, (EUR)(b)		     3,793,014   
   

 

 

  
  France – 2.2%  
  1,490,000      AXA S.A., 7.125%, 12/15/2020, (GBP)(b)     2,368,191   
  2,600,000      AXA S.A., EMTN, (fixed rate to 1/16/2034, variable rate thereafter), 5.625%, 1/16/2054, (GBP)(b)     3,741,112   
  635,000      BNP Paribas S.A.,
4.375%, 9/28/2025, 144A(b)		     650,267   
  4,585,000      BNP Paribas S.A.,
4.375%, 5/12/2026, 144A(b)		     4,739,331   
  885,000      BNP Paribas S.A., (fixed rate to 10/14/2022, variable rate thereafter),
2.625%, 10/14/2027, (EUR)(b)		     1,030,580   
  2,860,000      BNP Paribas S.A., EMTN,
5.750%, 1/24/2022, (GBP)(b)		     4,366,846   
  4,125,000      France Government Bond OAT,
3.000%, 4/25/2022, (EUR)(b)		     5,521,211   
  3,324,000      Pernod Ricard S.A.,
4.450%, 1/15/2022, 144A(b)		     3,666,352   
  200,000      Veolia Environnement S.A., (fixed rate to 4/16/2018, variable rate thereafter), 4.850% , (GBP)(d)     267,346   
   

 

 

  
      26,351,236   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Germany – 3.4%  
  6,500,000      Allianz Finance II BV, EMTN, (fixed rate to 7/08/2021, variable rate thereafter),
5.750%, 7/08/2041, (EUR)(b)		   $ 8,485,067   
  13,425,000      Bundesrepublik Deutschland,
1.000%, 8/15/2025, (EUR)(b)		     16,800,542   
  1,215,000      Bundesrepublik Deutschland,
4.250%, 7/04/2039, (EUR)(b)		     2,547,515   
  800,000      Muenchener Rueckversicherungs AG, EMTN, (fixed rate to 5/26/2021, variable rate thereafter), 6.000%, 5/26/2041, (EUR)(b)     1,071,079   
  1,110,000      Schaeffler Finance BV,
2.500%, 5/15/2020, 144A, (EUR)		     1,271,856   
  1,770,000      Schaeffler Finance BV,
3.250%, 5/15/2025, (EUR)		     2,148,389   
  4,797,000      Unitymedia GmbH,
3.750%, 1/15/2027, (EUR)		     5,152,951   
  800,000      Vonovia Finance BV, EMTN,
1.500%, 6/10/2026, (EUR)		     946,072   
  2,400,000      ZF North America Capital, Inc.,
2.750%, 4/27/2023, (EUR)		     2,868,585   
   

 

 

  
      41,292,056   
   

 

 

  
  Hong Kong – 0.6%  
  3,450,000      AIA Group Ltd.,
3.200%, 3/11/2025, 144A(b)		     3,520,777   
  3,285,000      CK Hutchison International 16 Ltd.,
1.875%, 10/03/2021, 144A		     3,256,190   
   

 

 

  
      6,776,967   
   

 

 

  
  Indonesia – 1.0%  
  160,921,000,000      Indonesia Treasury Bond,
7.875%, 4/15/2019, (IDR)(b)		     12,724,732   
   

 

 

  
  Ireland – 1.9%  
  3,625,000      AIB Mortgage Bank, EMTN,
4.875%, 6/29/2017, (EUR)(b)		     4,223,063   
  6,285,000      Bank of Ireland Mortgage Bank, 1.875%, 5/13/2017, (EUR)(b)     7,147,841   
  8,995,000      Ireland Government Bond,
2.000%, 2/18/2045, (EUR)(b)		     12,156,353   
   

 

 

  
      23,527,257   
   

 

 

  
  Israel – 0.3%  
  3,215,000      Teva Pharmaceutical Finance Netherlands III BV,
2.800%, 7/21/2023(b)		     3,223,250   
   

 

 

  
  Italy – 5.1%  
  3,018,775      Asti RMBS S.r.l., Series 1, Class A, 0.948%, 12/27/2060, (EUR)(b)(c)     3,439,449   
  Italy – continued  
  1,058,330      Berica ABS S.r.l., Series 3, Class A, 0.748%, 6/30/2061, (EUR)(b)(c)   $ 1,205,275   
  1,100,886      Berica Residential S.r.l., Series 8, Class A, 0.066%, 3/31/2048, (EUR)(b)(c)     1,225,359   
  1,210,000      Buzzi Unicem SpA,
2.125%, 4/28/2023, (EUR)		     1,378,704   
  1,424,039      Claris Finance S.r.l., Series 2014-1, Class A1, 0.847%, 12/28/2061, (EUR)(b)(c)     1,615,986   
  3,200,000      Enel Finance International NV,
6.000%, 10/07/2039, 144A(b)		     3,869,798   
  1,660,000      Enel SpA, EMTN,
5.750%, 6/22/2037, (GBP)(b)		     2,999,815   
  650,000      Intesa Sanpaolo SpA,
5.017%, 6/26/2024, 144A		     593,168   
  1,645,000      Intesa Sanpaolo SpA,
5.710%, 1/15/2026, 144A(b)		     1,550,036   
  870,000      Intesa Sanpaolo SpA, EMTN,
3.928%, 9/15/2026, (EUR)		     985,144   
  4,800,000      Italy Buoni Poliennali Del Tesoro, 1.250%, 12/01/2026, (EUR)(b)     5,387,036   
  6,910,000      Italy Buoni Poliennali Del Tesoro, 3.750%, 5/01/2021, (EUR)(b)     8,998,148   
  6,585,000      Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(b)     9,209,287   
  2,000,000      Meccanica Holdings USA, Inc.,
7.375%, 7/15/2039, 144A		     2,190,000   
  4,751,000      Republic of Italy,
6.875%, 9/27/2023(b)		     5,941,145   
  5,486,862      Siviglia SPV S.r.l., Series 2012-1, Class A, 0.203%, 10/25/2055, (EUR)(b)(c)     6,087,986   
  1,280,000      Telecom Italia Capital S.A.,
6.000%, 9/30/2034		     1,267,520   
  1,532,352      Vela Home S.r.l., Series 4, Class A2, 0.044%, 10/25/2042, (EUR)(b)(c)     1,707,171   
  1,838,496      Voba N 3 S.r.l., Series 2011-3, Class A2, 0.702%, 11/23/2047, (EUR)(b)(c)     2,083,720   
   

 

 

  
      61,734,747   
   

 

 

  
  Japan – 12.6%  
  423,074,000      Japan Government CPI Linked Bond, Series 19,
0.100%, 9/10/2024, (JPY)(b)		     4,378,465   
  2,246,839,200      Japan Government CPI Linked Bond, Series 20,
0.100%, 3/10/2025, (JPY)(b)		     23,286,171   
  448,992,693      Japan Government CPI Linked Bond, Series 21,
0.100%, 3/10/2026, (JPY)(b)		     4,669,703   
  917,500,000      Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)(b)     9,606,946   
  2,549,800,000      Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)(b)     26,126,367   

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Japan – continued  
  163,600,000      Japan Government Ten Year Bond, 1.300%, 12/20/2019, (JPY)(b)   $ 1,695,145   
  575,000,000      Japan Government Ten Year Bond, 1.300%, 3/20/2021, (JPY)(b)     6,064,590   
  572,450,000      Japan Government Thirty Year Bond, 1.700%, 12/20/2043, (JPY)     7,471,628   
  1,688,950,000      Japan Government Thirty Year Bond, 2.000%, 12/20/2033, (JPY)(b)     21,661,298   
  1,083,100,000      Japan Government Thirty Year Bond, Series 26,
2.400%, 3/20/2037, (JPY)(b)		     14,929,167   
  715,100,000      Japan Government Twenty Year Bond, 1.500%, 6/20/2034, (JPY)(b)     8,568,507   
  489,000,000      Japan Government Twenty Year Bond, 2.100%, 12/20/2027, (JPY)(b)     5,975,584   
  1,545,300,000      Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)(b)     19,566,739   
   

 

 

  
      154,000,310   
   

 

 

  
  Korea – 0.6%  
  56,100,000      Export-Import Bank of Korea,
3.000%, 5/22/2018, 144A, (NOK)(b)		     7,157,188   
   

 

 

  
  Malaysia – 0.3%  
  16,625,000      Malaysia Government Bond,
3.795%, 9/30/2022, (MYR)(b)		     4,092,391   
   

 

 

  
  Mexico – 3.5%  
  1,835,000      Cemex SAB de CV,
7.750%, 4/16/2026, 144A		     2,035,932   
  5,518,821(††)      Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)     29,323,733   
  933,492(††)      Mexican Fixed Rate Bonds,
Series M-20,
8.000%, 12/07/2023, (MXN)(b)		     5,412,417   
  2,080,000      Mexichem SAB de CV,
5.875%, 9/17/2044, 144A(b)		     1,989,000   
  4,430,000      Sigma Alimentos S.A. de CV,
4.125%, 5/02/2026, 144A(b)		     4,441,075   
   

 

 

  
      43,202,157   
   

 

 

  
  Morocco – 0.3%  
  2,475,000      OCP S.A.,
4.500%, 10/22/2025, 144A		     2,508,214   
  1,015,000      OCP S.A.,
6.875%, 4/25/2044, 144A		     1,149,912   
   

 

 

  
      3,658,126   
   

 

 

  
  Netherlands – 1.4%  
  5,960,000      ABN Amro Bank NV,
4.750%, 7/28/2025, 144A(b)		     6,266,404   
  Netherlands – continued  
$ 3,275,000      AerCap Ireland Capital Ltd./AerCap Global Aviation Trust,
3.950%, 2/01/2022		   $ 3,356,875   
  3,717,000      ING Bank NV, EMTN, (fixed rate to 2/25/2021, variable rate thereafter), 3.625%, 2/25/2026, (EUR)(b)     4,543,517   
  3,295,000      Ziggo Bond Finance BV,
6.000%, 1/15/2027, 144A		     3,278,525   
   

 

 

  
      17,445,321   
   

 

 

  
  Norway – 1.4%  
  130,265,000      Norway Government Bond,
2.000%, 5/24/2023, 144A, (NOK)(b)		     17,307,944   
   

 

 

  
  Poland – 1.2%  
  47,950,000      Poland Government Bond,
3.250%, 7/25/2019, (PLN)(b)		     13,007,279   
  5,195,000      Poland Government International Bond, Series 0421,
2.000%, 4/25/2021, (PLN)(b)		     1,345,447   
   

 

 

  
      14,352,726   
   

 

 

  
  Portugal – 0.7%  
  3,625,000      EDP Finance BV,
4.125%, 1/15/2020, 144A		     3,757,312   
  550,000      EDP Finance BV,
4.900%, 10/01/2019, 144A		     584,546   
  3,885,000      EDP Finance BV, EMTN,
2.000%, 4/22/2025, (EUR)(b)		     4,413,310   
   

 

 

  
      8,755,168   
   

 

 

  
  Romania – 0.1%  
  1,010,000      Romanian Government International Bond,
2.875%, 5/26/2028, 144A, (EUR)		     1,228,231   
   

 

 

  
  Singapore – 0.2%  
  3,630,000      Singapore Government Bond, 2.250%, 6/01/2021, (SGD)(b)     2,774,633   
   

 

 

  
  South Africa – 1.3%  
  2,515,000      Myriad International Holdings BV,
5.500%, 7/21/2025		     2,702,368   
  214,610,000      South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)(b)     13,063,614   
   

 

 

  
      15,765,982   
   

 

 

  
  Spain – 2.1%  
  1,000,000      Banco Bilbao Vizcaya Argentaria S.A., 3.500%, 12/05/2017, (EUR)(b)     1,172,215   
  2,600,000      Santander Issuances SAU,
5.179%, 11/19/2025(b)		     2,649,007   
  5,165,000      Spain Government Bond,
4.200%, 1/31/2037, 144A, (EUR)(b)		     8,363,100   
  9,300,000      Spain Government Bond,
5.850%, 1/31/2022, 144A, (EUR)(b)		     13,621,213   
   

 

 

  
      25,805,535   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Supranationals – 1.2%  
$ 5,370,000      Banque Quest Africaine de Developpement, 5.500%, 5/06/2021, 144A(b)   $ 5,711,962   
  67,150,000      Nordic Investment Bank, GMTN,
1.375%, 7/15/2020, (NOK)(b)		     8,480,810   
   

 

 

  
      14,192,772   
   

 

 

  
  Switzerland – 0.4%  
  4,150,000      Holcim U.S. Finance S.a.r.l. & Cie SCS, 5.150%, 9/12/2023, 144A(b)     4,689,164   
   

 

 

  
  United Arab Emirates – 0.1%  
  1,560,000      DP World Ltd.,
3.250%, 5/18/2020, 144A		     1,608,750   
   

 

 

  
  United Kingdom – 8.4%  
  569,179      Auburn Securities PLC, Series 4, Class A2, 0.673%, 10/01/2041,
(GBP)(b)(c)		     723,596   
  5,440,000      Aviva PLC, EMTN, (fixed rate to 7/05/2023, variable rate thereafter), 6.125%, 7/05/2043, (EUR)(b)     7,102,986   
  900,000      Barclays PLC, 4.375%, 9/11/2024(b)     910,182   
  400,000      Barclays PLC, 5.200%, 5/12/2026(b)     411,979   
  675,000      Barclays PLC, EMTN, (fixed rate to 11/11/2020, variable rate thereafter),
2.625%, 11/11/2025, (EUR)(b)		     735,083   
  730,891      Clavis Securities PLC, Series 2006-1, Class A3B, 0.052%, 12/15/2031, (EUR)(b)(c)     755,355   
  953,000      Co-Operative Bank PLC,
4.750%, 11/11/2021, (GBP)(b)		     1,411,693   
  2,500,000      Delphi Automotive PLC,
1.500%, 3/10/2025, (EUR)(b)		     2,907,649   
  399,183      Eurosail PLC, Series 2007-1X, Class A3C, 0.539%, 3/13/2045,
(GBP)(c)		     498,287   
  193,327      Eurosail PLC, Series 2007-2X, Class A3C, 0.529%, 3/13/2045,
(GBP)(c)		     238,311   
  2,240,000      FCE Bank PLC, EMTN,
1.528%, 11/09/2020, (EUR)(b)		     2,629,033   
  184,827      Great Hall Mortgages PLC, Series 2006-1, Class A2A,
0.529%, 6/18/2038, (GBP)(c)		     228,610   
  460,000      HBOS PLC, EMTN, (fixed rate to 3/18/2025, variable rate thereafter), 4.500%, 3/18/2030, (EUR)(b)     573,372   
  4,750,000      HSBC Holdings PLC,
4.250%, 3/14/2024(b)		     4,899,592   
  855,000      HSBC Holdings PLC,
4.250%, 8/18/2025(b)		     877,761   
  3,190,000      HSBC Holdings PLC, EMTN,
5.750%, 12/20/2027, (GBP)(b)		     4,910,431   
  1,810,000      Imperial Brands Finance PLC,
4.250%, 7/21/2025, 144A(b)		     1,980,142   
  4,105,000      Lloyds Banking Group PLC,
4.650%, 3/24/2026(b)		     4,223,983   
  United Kingdom – continued  
$ 420,000      Noble Holding International Ltd.,
5.250%, 3/15/2042		   $ 237,300   
  200,000      Noble Holding International Ltd.,
6.050%, 3/01/2041		     118,000   
  305,000      Noble Holding International Ltd.,
6.200%, 8/01/2040		     179,950   
  1,004,027      Precise Mortgage Funding,
Series 2014-1, Class A,
1.180%, 9/12/2047, (GBP)(b)(c)		     1,292,092   
  479,506      Precise Mortgage Funding PLC, Series 2015-1, Class A,
1.330%, 3/12/2048, (GBP)(b)(c)		     617,523   
  680,281      Residential Mortgage Securities PLC, Series 20X, Class A2A,
0.641%, 8/10/2038, (GBP)(b)(c)		     814,553   
  577,071      Residential Mortgage Securities PLC, Series 21X, Class A3A,
0.789%, 11/12/2038, (GBP)(b)(c)		     699,158   
  576,460      Residential Mortgage Securities PLC, Series 22X, Class A3A,
0.746%, 11/14/2039, (GBP)(b)(c)		     695,467   
  486,327      Residential Mortgage Securities PLC, Series 28, Class A, 1.532%, 6/15/2046, (GBP)(c)     629,546   
  730,327      RMAC PLC, Series 2005-NS3X, Class A2C, 0.056%, 6/12/2043, (EUR)(b)(c)     761,259   
  2,271,810      RMAC PLC, Series 2005-NS4X, Class A3A, 0.721%, 12/12/2043, (GBP)(b)(c)     2,715,476   
  217,865      RMAC Securities No. 1 PLC,
Series 2007-NS1X, Class A2A,
0.530%, 6/12/2044, (GBP)(c)		     259,597   
  5,830,000      Royal Bank of Scotland Group PLC,
5.125%, 5/28/2024(b)		     5,836,180   
  425,000      Royal Bank of Scotland Group PLC, EMTN, (fixed rate to 3/25/2019, variable rate thereafter),
3.625%, 3/25/2024, (EUR)		     473,214   
  5,458,000      Santander UK Group Holdings PLC,
4.750%, 9/15/2025, 144A(b)		     5,464,135   
  6,490,000      Sky PLC, 3.750%, 9/16/2024, 144A(b)     6,861,812   
  630,000      Sky PLC, EMTN,
2.500%, 9/15/2026, (EUR)		     788,098   
  1,505,000      Standard Chartered PLC, EMTN,
3.125%, 11/19/2024, (EUR)(b)		     1,768,158   
  3,090,000      Standard Chartered PLC, EMTN,
5.125%, 6/06/2034, (GBP)(b)		     3,943,027   
  4,410,000      Tesco PLC, EMTN,
5.000%, 3/24/2023, (GBP)		     6,256,617   
  1,290,000      Towd Point Mortgage Funding PLC, Series 16-GR1A, Class B,
1.923%, 7/20/2046, 144A, (GBP)(b)(c)		     1,663,771   
  975,000      United Kingdom Gilt,
2.000%, 9/07/2025, (GBP)		     1,410,075   
  3,385,000      United Kingdom Gilt,
3.500%, 1/22/2045, (GBP)(b)		     6,402,453   
  1,435,000      United Kingdom Gilt,
4.250%, 6/07/2032, (GBP)(b)		     2,676,075   

 

See accompanying notes to financial statements.

 

31  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  United Kingdom – continued  
  4,030,000      United Kingdom Gilt,
4.500%, 9/07/2034, (GBP)(b)		   $ 7,899,629   
  1,875,000      Virgin Media Finance PLC,
4.500%, 1/15/2025, 144A, (EUR)		     2,080,731   
  1,530,000      Virgin Media Secured Finance PLC,
4.875%, 1/15/2027, 144A, (GBP)		     1,990,545   
  1,245,000      WPP Finance 2010,
5.625%, 11/15/2043(b)		     1,477,153   
   

 

 

  
      102,029,639   
   

 

 

  
  United States – 34.3%  
  67,620      A10 Securitization LLC,
Series 2013-1, Class A,
2.400%, 11/15/2025, 144A		     67,607   
  1,333,258      A10 Securitization LLC,
Series 2013-2, Class A,
2.620%, 11/15/2027, 144A(b)		     1,330,263   
  3,510,000      Aetna, Inc., 3.200%, 6/15/2026(b)     3,568,705   
  1,100,000      Aetna, Inc., 4.375%, 6/15/2046(b)     1,151,862   
  572,000      Ally Financial, Inc.,
4.125%, 3/30/2020		     582,010   
  4,745,000      Ally Financial, Inc.,
4.125%, 2/13/2022		     4,798,381   
  1,260,000      Ally Financial, Inc.,
4.250%, 4/15/2021		     1,283,625   
  2,757,668      Alta Wind Holdings LLC,
7.000%, 6/30/2035, 144A		     2,821,409   
  2,285,000      Anadarko Petroleum Corp.,
3.450%, 7/15/2024(b)		     2,253,929   
  2,745,000      Anadarko Petroleum Corp.,
5.550%, 3/15/2026(b)		     3,101,957   
  2,130,000      AT&T, Inc., 4.300%, 12/15/2042(b)     2,100,915   
  2,350,000      AT&T, Inc., 4.350%, 6/15/2045(b)     2,314,875   
  2,120,000      AT&T, Inc., 4.750%, 5/15/2046(b)     2,218,485   
  295,000      AT&T, Inc., 4.800%, 6/15/2044(b)     309,668   
  3,140,000      Aviation Capital Group Corp.,
4.875%, 10/01/2025, 144A(b)		     3,406,900   
  4,510,000      Bank of America Corp.,
4.100%, 7/24/2023(b)		     4,875,675   
  3,860,000      BLCP Hotel Trust,
Series 2014-CLRN, Class D,
3.024%, 8/15/2029, 144A(c)		     3,797,021   
  2,310,000      BorgWarner, Inc.,
1.800%, 11/07/2022, (EUR)(b)		     2,773,832   
  1,785,000      Brixmor Operating Partnership LP,
3.850%, 2/01/2025		     1,815,140   
  1,660,000      Brixmor Operating Partnership LP,
3.875%, 8/15/2022		     1,740,090   
  1,455,000      Celgene Corp.,
5.000%, 8/15/2045(b)		     1,638,209   
  4,196,176      Centre Point Funding LLC,
Series 2012-2A, Class 1,
2.610%, 8/20/2021, 144A(b)		     4,163,477   
  1,520,000      Citigroup, Inc.,
4.000%, 8/05/2024(b)		     1,593,702   
  2,930,000      Citigroup, Inc., 4.090%, 6/09/2025, (CAD)(b)     2,315,123   
  3,172,338      Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 2.225%, 5/13/2031, 144A(c)(e)(f)     3,151,065   
  United States – continued  
$ 2,570,000      Commercial Mortgage Trust, Series 2013-GAM, Class A2, 3.367%, 2/10/2028, 144A(b)   $ 2,680,775   
  2,800,000      Commercial Mortgage Trust, Series 2014-PAT, Class D, 2.677%, 8/13/2027, 144A(c)     2,756,065   
  4,000,000      Commercial Mortgage Trust, Series 2014-SAVA, Class B, 2.275%, 6/15/2034, 144A(b)(c)     3,966,084   
  5,300,000      Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018     5,538,500   
  98,531      Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019     102,439   
  2,560,000      Continental Resources, Inc.,
3.800%, 6/01/2024		     2,342,400   
  1,702,127      Credit Suisse Mortgage Capital Certificates, Series 2009-13R, Class 3A1, 2.608%, 11/26/2036, 144A(c)     1,670,619   
  1,885,000      Credit Suisse Mortgage Trust,
Series 2010-RR1, Class 2B,
5.695%, 9/15/2040, 144A(b)(c)		     1,905,656   
  3,052,615      Delta Air Lines Pass Through Trust,
Series 2015-1, Class B, 4.250%, 1/30/2025(b)		     3,157,076   
  2,105,000      Devon Energy Corp., 5.850%, 12/15/2025(b)     2,368,923   
  680,000      Diamond Offshore Drilling, Inc.,
4.875%, 11/01/2043(b)		     471,876   
  2,690,000      Discovery Communications LLC,
1.900%, 3/19/2027, (EUR)		     2,973,249   
  2,755,000      Energy Transfer Partners LP,
5.150%, 3/15/2045		     2,551,907   
  1,710,000      Energy Transfer Partners LP,
6.125%, 12/15/2045		     1,785,979   
  5,480,000      FedEx Corp., 1.000%, 1/11/2023, (EUR)(b)     6,341,372   
  1,103,355      FNMA, 4.500%, 11/01/2043(b)     1,219,591   
  21,440,000      FNMA (TBA), 3.000%, 11/01/2046(g)     22,232,540   
  16,230,000      FNMA (TBA), 3.500%, 11/01/2046(g)     17,105,215   
  9,185,000      FNMA (TBA), 4.000%, 11/01/2046(g)     9,853,065   
  3,450,000      Ford Motor Credit Co. LLC,
3.664%, 9/08/2024(b)		     3,555,525   
  6,270,000      Ford Motor Credit Co. LLC,
4.050%, 12/10/2018, (AUD)(b)		     4,918,698   
  5,508,000      Ford Motor Credit Co. LLC,
4.375%, 8/06/2023(b)		     5,921,265   
  185,000      Freeport-McMoRan, Inc.,
5.400%, 11/14/2034		     153,550   
  915,000      Freeport-McMoRan, Inc., 5.450%, 3/15/2043     734,288   
  50,000,000      General Electric Co., EMTN,
4.208%, 12/06/2021, (SEK)(b)		     6,777,230   
  3,925,000      General Motors Co., 5.200%, 4/01/2045     4,082,706   

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  United States – continued  
$ 3,100,000      General Motors Financial Co., Inc.,
3.150%, 1/15/2020(b)		   $ 3,158,785   
  3,900,000      General Motors Financial Co., Inc.,
4.000%, 1/15/2025		     3,936,839   
  2,330,000      Gilead Sciences, Inc.,
4.150%, 3/01/2047		     2,381,470   
  625,000      Gilead Sciences, Inc.,
4.750%, 3/01/2046(b)		     698,470   
  1,234,167      GNMA, 2.243%, 5/20/2064(b)(c)     1,285,255   
  1,572,335      GNMA, 2.534%, 11/20/2064(b)(c)     1,675,414   
  1,652,334      GNMA, 2.615%, 11/20/2064(b)(c)     1,764,369   
  2,787,527      GNMA, 2.779%, 10/20/2063(b)(c)     2,994,566   
  528,003      GNMA, 4.447%, 4/20/2065(b)     594,342   
  1,800,815      GNMA, 4.527%, 1/20/2063(b)     1,936,750   
  716,975      GNMA, 4.548%, 6/20/2062(b)     756,447   
  3,901,629      GNMA, 4.550%, 12/20/2061(b)     4,113,917   
  1,704,771      GNMA, 4.564%, 2/20/2065(b)     1,917,414   
  1,892,949      GNMA, 4.613%, 7/20/2064(b)     2,121,134   
  3,210,316      GNMA, 4.669%, 5/20/2064(b)     3,594,201   
  1,883,489      GNMA, 4.673%, 7/20/2064(b)     2,115,806   
  3,610,000      GNMA (TBA), 3.000%, 11/01/2046(g)     3,774,354   
  3,610,000      GNMA (TBA), 3.500%, 11/01/2046(g)     3,829,984   
  2,030,000      Goldman Sachs Group, Inc. (The), MTN, 3.850%, 7/08/2024(b)     2,155,334   
  2,560,000      HCA Holdings, Inc., 6.250%, 2/15/2021     2,777,600   
  1,795,000      HCA, Inc., 5.375%, 2/01/2025     1,853,338   
  1,350,000      Hewlett Packard Enterprise Co.,
6.350%, 10/15/2045, 144A(b)		     1,393,123   
  1,705,419      Hilton Grand Vacations Trust, Series 2013-A, Class A,
2.280%, 1/25/2026, 144A(b)		     1,698,949   
  3,810,000      INVISTA Finance LLC,
4.250%, 10/15/2019, 144A(b)		     3,791,255   
  3,174,000      JPMorgan Chase & Co., 3.875%, 2/01/2024(b)     3,422,527   
  3,800,000      JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-PHH, Class A,
1.724%, 8/15/2027, 144A(b)(c)		     3,796,873   
  810,706      JPMorgan Resecuritization Trust, Series 2010-4, Class A2,
2.409%, 9/26/2035, 144A(b)(c)		     801,466   
  4,270,000      Kraft Heinz Foods Co., 3.000%, 6/01/2026(b)     4,304,066   
  1,180,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046     1,248,471   
  1,020,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
7.375%, 10/01/2017		     1,027,650   
  5,210,000      Liberty Mutual Group, Inc.,
4.850%, 8/01/2044, 144A(b)		     5,427,028   
  4,562,746      Longtrain Leasing III LLC, Series 2015-1A, Class A1,
2.980%, 1/15/2045, 144A(b)		     4,499,496   
  United States – continued  
$ 1,402,744      Marriott Vacation Club Owner Trust, Series 2012-1A, Class B,
3.500%, 5/20/2030, 144A(b)		   $ 1,427,622   
  1,900,000      Morgan Stanley, 3.950%, 4/23/2027(b)     1,973,433   
  1,400,000      Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B,
5.988%, 8/12/2045, 144A(b)(c)		     1,416,979   
  1,500,000      Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B,
5.988%, 8/15/2045, 144A(b)(c)		     1,520,706   
  1,370,000      MPLX LP, 4.500%, 7/15/2023     1,396,612   
  960,000      MPLX LP, 4.875%, 12/01/2024     992,953   
  1,030,000      MPLX LP, 4.875%, 6/01/2025     1,064,280   
  1,220,000      MPLX LP, 5.500%, 2/15/2023     1,260,378   
  815,000      Newfield Exploration Co.,
5.625%, 7/01/2024		     835,375   
  1,800,000      Noble Energy, Inc.,
5.250%, 11/15/2043		     1,832,224   
  3,540,000      OneMain Financial Issuance Trust, Series 2016-2A, Class A,
4.100%, 3/20/2028, 144A(b)		     3,643,570   
  518,479      Orange Lake Timeshare Trust, Series 2012-AA, Class B,
4.870%, 3/10/2027, 144A		     530,896   
  850,000,000      Procter & Gamble Co. (The),
0.275%, 5/08/2020, (JPY)(b)		     8,467,896   
  2,015,000      Quicken Loans, Inc.,
5.750%, 5/01/2025, 144A		     1,999,887   
  2,670,000      RBSCF Trust, Series 2010-RR4, Class CSCB, 5.695%, 9/16/2040, 144A(b)(c)     2,695,947   
  404,503      RBSSP Resecuritization Trust, Series 2010-3, Class 9A1,
5.500%, 2/26/2035, 144A(b)		     407,698   
  6,272,000      Sirius International Group,
6.375%, 3/20/2017, 144A(b)		     6,371,367   
  925,000      Spectrum Brands, Inc.,
4.000%, 10/01/2026, 144A, (EUR)		     1,056,420   
  3,890,000      Spirit Airlines Pass Through Certificates, Series 2015-1, Class B,
4.450%, 10/01/2025(b)		     3,914,079   
  1,591,479      SpringCastle America Funding LLC, Series 2014-AA, Class A,
2.700%, 5/25/2023, 144A(b)		     1,596,644   
  1,865,000      SpringCastle America Funding LLC, Series 2016-AA, Class A,
3.050%, 4/25/2029, 144A(b)		     1,874,325   
  1,648,333      TAL Advantage V LLC,
Series 2013-2A, Class A,
3.550%, 11/20/2038, 144A(b)		     1,631,968   
  2,955,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
5.000%, 1/15/2018		     3,058,425   
  1,760,000      Tenet Healthcare Corp., 4.375%, 10/01/2021     1,751,200   
  4,415,000      Tenet Healthcare Corp., 4.500%, 4/01/2021     4,442,594   
  2,050,000      Time Warner Cable LLC,
4.500%, 9/15/2042(b)		     1,956,231   

 

See accompanying notes to financial statements.

 

33  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  United States – continued  
$ 575,000      Time Warner Cable LLC,
5.500%, 9/01/2041		   $ 613,758   
  7,822,761      Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A(b)     7,712,920   
  8,825,000      U.S. Treasury Bond,
2.875%, 5/15/2043(b)(h)		     9,826,090   
  1,045,000      U.S. Treasury Bond, 3.125%, 2/15/2042     1,217,057   
  36,455,000      U.S. Treasury Note, 0.750%, 4/30/2018     36,459,265   
  3,640,000      U.S. Treasury Note, 0.875%, 9/15/2019     3,639,858   
  3,675,000      U.S. Treasury Note, 1.125%, 2/28/2021     3,677,297   
  12,300,000      U.S. Treasury Note, 1.125%, 6/30/2021     12,285,584   
  1,110,000      U.S. Treasury Note, 1.375%, 6/30/2023     1,108,049   
  5,740,000      U.S. Treasury Note, 1.625%, 5/15/2026     5,747,623   
  1,377,417      United Airlines Pass Through Trust, Series 2013-1, Class B,
5.375%, 2/15/2023		     1,437,431   
  2,600,000      Verizon Communications, Inc.,
2.625%, 8/15/2026		     2,551,822   
  1,145,000      Verizon Communications, Inc.,
3.850%, 11/01/2042(b)		     1,089,830   
  725,000      Verizon Communications, Inc.,
4.272%, 1/15/2036(b)		     755,381   
  2,150,000      Verizon Communications, Inc.,
4.400%, 11/01/2034(b)		     2,274,997   
  655,000      Virginia Electric & Power Co.,
4.450%, 2/15/2044(b)		     749,634   
  3,150,000      Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043(b)     3,170,100   
  1,255,000      Westlake Chemical Corp.,
3.600%, 8/15/2026, 144A(b)		     1,258,559   
  1,160,000      Westlake Chemical Corp.,
5.000%, 8/15/2046, 144A		     1,164,726   
  4,520,000      Whiting Petroleum Corp.,
5.000%, 3/15/2019		     4,373,100   
  1,030,000      Zimmer Biomet Holdings, Inc.,
3.550%, 4/01/2025(b)		     1,061,566   
   

 

 

  
      418,481,567   
   

 

 

  
  Total Bonds and Notes  
  (Identified Cost $1,163,405,071)     1,164,817,546   
   

 

 

  
  Short-Term Investments – 5.5%  
$ 14,179,276      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $14,179,311 on 10/03/2016 collateralized by $13,410,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $14,466,038 including accrued interest (Note 2 of Notes to Financial Statements)   $ 14,179,276   
  53,000,000      U.S. Treasury Bills,
0.436%, 03/30/2017(i)		     52,885,732   
   

 

 

  
  Total Short-Term Investments  
  (Identified Cost $67,063,736)     67,065,008   
   

 

 

  
  Total Investments – 100.8%  
  (Identified Cost $1,230,468,807)(a)     1,231,882,554   
  Other assets less liabilities—(0.8)%     (10,079,507 ) 
   

 

 

  
  Net Assets – 100.0%   $ 1,221,803,047   
   

 

 

  
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)      See Note 2 of Notes to Financial Statements.   
  (††)      Amount shown represents units. One unit represents a principal amount of 100.    
  (a)      Federal Tax Information:  
  At September 30, 2016, the net unrealized depreciation on investments based on a cost of $1,237,267,284 for federal income tax purposes was as follows:     
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 48,884,252   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (54,268,982 ) 
   

 

 

  
  Net unrealized depreciation   $ (5,384,730 ) 
   

 

 

  
  (b)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.     
  (c)      Variable rate security. Rate as of September 30, 2016 is disclosed.   
  (d)      Perpetual bond with no specified maturity date.   
  (e)      Illiquid security. (Unaudited)   
  (f)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $3,151,065 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.      
  (g)      When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.    
  (h)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.    
  (i)      Interest rate represents discount rate at time of purchase; not a coupon rate.    
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $276,480,472 or 22.6% of net assets.        
  ABS      Asset-Backed Securities  
  EMTN      Euro Medium Term Note  
  FNMA      Federal National Mortgage Association  
  GMTN      Global Medium Term Note  
  GNMA      Government National Mortgage Association  
  MTN      Medium Term Note  

 

See accompanying notes to financial statements.

 

|  34

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued

 

  REMIC      Real Estate Mortgage Investment Conduit  
  TBA      To Be Announced  
  AUD      Australian Dollar  
  BRL      Brazilian Real  
  CAD      Canadian Dollar  
  DKK      Danish Krone  
  EUR      Euro  
  GBP      British Pound  
  IDR      Indonesian Rupiah  
  JPY      Japanese Yen  
  MXN      Mexican Peso  
  MYR      Malaysian Ringgit  
  NOK      Norwegian Krone  
  PLN      Polish Zloty  
  SEK      Swedish Krona  
  SGD      Singapore Dollar  
  ZAR      South African Rand  

At September 30, 2016, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell

      Delivery
Date		     

Currency

      Units
of
Currency		        Notional
Value 		    Unrealized
Appreciation
(Depreciation)		  

Sell1

      12/21/2016      Brazilian Real        6,025,000         $ 1,811,062      $ (64,027 ) 

Sell2

      12/21/2016      Euro        17,250,000           19,447,799        29,935   

Buy3

      12/21/2016      Japanese Yen        7,908,000,000           78,254,452        734,160   

Sell4

      12/21/2016      Mexican Peso        422,590,000           21,607,317        1,195,819   

Sell2

      12/21/2016      South African Rand        168,000,000           12,059,078        (588,761 ) 

Buy3

      12/21/2016      South Korean Won        17,143,469,000           15,559,146        170,727   

Buy3

      12/21/2016      Swiss Franc        8,430,000           8,718,657        (47,161 ) 
                     

 

 

  

Total

  

   $ 1,430,692   
                     

 

 

  

At September 30, 2016, the Fund had the following open forward cross currency contracts:

 

Settlement Date

     

Deliver/Units of Currency

       

Receive/Units of Currency

        Unrealized
Appreciation
(Depreciation)		  

12/21/2016

      Australian Dollar      37,215,000         Euro3      24,769,626           (507,374 ) 

12/21/2016

      British Pound      2,390,000         Euro5      2,804,736           59,281   

12/21/2016

      British Pound      1,215,000         Euro5      1,412,117           14,667   

12/21/2016

      Japanese Yen      3,015,000,000         Euro5      26,355,877           (121,408 ) 

12/21/2016

      Norwegian Krone      56,420,000         Euro3      6,074,940           (209,839 ) 
                    

 

 

  

Total

                      $ (764,673 ) 
                    

 

 

  

1 Counterparty is Deutsche Bank AG

2 Counterparty is Citibank N.A.

3 Counterparty is Credit Suisse International

4 Counterparty is UBS AG

5 Counterparty is Morgan Stanley & Co.

At September 30, 2016, open long futures contracts were as follows:

 

 

  

Financial Futures

      Expiration
Date		        Contracts        Notional
Value 		       Unrealized
Appreciation
(Depreciation)		  

5 Year U.S. Treasury Note

        12/30/2016           922         $ 112,037,406         $ 243,697   

German Euro Bund

        12/08/2016           179           33,318,880           115,744   

Ultra Long U.S. Treasury Bond

        12/20/2016           131           24,087,625           (526,458 ) 
                   

 

 

  

Total

                     $ (167,017 ) 
                   

 

 

  

 

See accompanying notes to financial statements.

 

35  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued

 

At September 30, 2016, open short futures contracts were as follows:

 

Financial Futures

      Expiration
Date		        Contracts        Notional
Value 		       Unrealized
Appreciation
(Depreciation)		  

10 Year U.S. Treasury Note

        12/20/2016           888         $ 116,439,000         $ (119,501 ) 

30 Year U.S. Treasury Bond

        12/20/2016           264           44,393,250           634,714   
                   

 

 

  

Total

                     $ 515,213   
                   

 

 

  

 

Industry Summary at September 30, 2016

 

Treasuries

        38.4 % 

Banking

        8.3   

Mortgage Related

        6.7   

Automotive

        3.2   

Non-Agency Commercial Mortgage-Backed Securities

        2.9   

ABS Other

        2.8   

Local Authorities

        2.8   

ABS Home Equity

        2.7   

Life Insurance

        2.1   

Cable Satellite

        2.0   

Other Investments, less than 2% each

        23.4   

Short-Term Investments

        5.5   
    

 

 

  

Total Investments

        100.8   

Other assets less liabilities (including forward foreign currency contracts and futures contracts)

        (0.8 ) 
    

 

 

  

Net Assets

        100.0 % 
    

 

 

  

Currency Exposure Summary at September 30, 2016

 

United States Dollar

        50.1 % 

Euro

        15.3   

Japanese Yen

        13.3   

British Pound

        5.3   

Australian Dollar

        3.5   

Mexican Peso

        2.8   

Norwegian Krone

        2.7   

Canadian Dollar

        2.3   

Other, less than 2% each

        5.5   
    

 

 

  

Total Investments

        100.8   

Other assets less liabilities (including forward foreign currency contracts and futures contracts)

        (0.8 ) 
    

 

 

  

Net Assets

        100.0 % 
    

 

 

  

 

See accompanying notes to financial statements.

 

|  36

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Inflation Protected Securities Fund

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – 98.6% of Net Assets  
  Treasuries – 98.6%  
$ 1,720,009      U.S. Treasury Inflation Indexed Bond, 0.750%, 2/15/2045(b)   $ 1,772,877   
  695,741      U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2046(b)     769,094   
  2,908,255      U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(b)     4,267,629   
  6,673,689      U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020(b)(c)     6,803,879   
  6,483,393      U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2021(b)     6,618,760   
  1,541,140      U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2026(b)     1,557,986   
  3,911,870      U.S. Treasury Inflation Indexed Note, 0.250%, 1/15/2025(b)     3,984,364   
  3,394,606      U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2025(b)(c)     3,505,746   
  1,380,487      U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2026(b)     1,451,872   
   

 

 

  
  Total Bonds and Notes  
  (Identified Cost $29,814,195)     30,732,207   
   

 

 

  
  Short-Term Investments – 1.3%  
  390,424      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $390,425 on 10/03/2016 collateralized by $370,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $399,138 including accrued interest (Note 2 of Notes to Financial Statements)     390,424   
  20,000      U.S. Treasury Bills,
0.345%, 01/12/2017(d)(e)		     19,985   
   

 

 

  
  Total Short-Term Investments  
  (Identified Cost $410,403)     410,409   
   

 

 

  
  Total Investments – 99.9%  
  (Identified Cost $30,224,598)(a)     31,142,616   
  Other assets less liabilities—0.1%     34,518   
   

 

 

  
  Net Assets – 100.0%   $ 31,177,134   
   

 

 

  
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information:  
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $30,386,840 for federal income tax purposes was as follows:     
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 755,776   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     —   
   

 

 

  
  Net unrealized appreciation   $ 755,776   
   

 

 

  
  (b)      Treasury Inflation Protected Security (TIPS).   
  (c)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.    
  (d)      Interest rate represents discount rate at time of purchase; not a coupon rate.    
  (e)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.    

At September 30, 2016, open long futures contracts were as follows:

 

Financial Futures

      Expiration
Date		        Contracts        Notional
Value		        Unrealized
Appreciation
(Depreciation)		  

Eurodollar

        6/19/2017           60         $ 14,852,250         $ 2,097   
                   

 

 

  

 

See accompanying notes to financial statements.

 

37  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Inflation Protected Securities Fund – continued

 

At September 30, 2016, open short futures contracts were as follows:

 

Financial Futures

      Expiration
Date		        Contracts        Notional
Value		        Unrealized
Appreciation
(Depreciation)		  

2 Year U.S. Treasury Note

        12/30/2016           35         $ 7,646,406         $ (3,158 ) 

Eurodollar

        12/17/2018           60           14,820,750           (4,654 ) 
                   

 

 

  

Total

                     $ (7,812 ) 
                   

 

 

  

Industry Summary at September 30, 2016

 

Treasuries

        98.6 % 

Short-Term Investments

        1.3   
    

 

 

  

Total Investments

        99.9   

Other assets less liabilities (including futures contracts)

        0.1   
    

 

 

  

Net Assets

        100.0 % 
    

 

 

  

 

See accompanying notes to financial statements.

 

|  38

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – 83.5% of Net Assets  
  Non-Convertible Bonds – 69.7%  
  Aerospace & Defense – 1.9%  
$ 345,000      Bombardier, Inc.,
6.125%, 1/15/2023, 144A		   $ 306,188   
  135,000      Bombardier, Inc.,
7.350%, 12/22/2026, 144A, (CAD)		     93,382   
  2,175,000      Bombardier, Inc.,
7.450%, 5/01/2034, 144A		     1,862,344   
  1,165,000      Huntington Ingalls Industries, Inc.,
5.000%, 11/15/2025, 144A		     1,231,987   
  1,900,000      Meccanica Holdings USA, Inc.,
6.250%, 1/15/2040, 144A		     1,862,000   
  5,200,000      Meccanica Holdings USA, Inc.,
7.375%, 7/15/2039, 144A		     5,694,000   
  2,610,000      Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter),
6.000%, 2/15/2067, 144A		     1,856,362   
  625,000      TransDigm, Inc., 6.500%, 5/15/2025     650,781   
   

 

 

  
      13,557,044   
   

 

 

  
  Airlines – 2.5%  
  4,890,000      Air Canada,
7.625%, 10/01/2019, 144A, (CAD)		     3,869,397   
  4,080,000      Air Canada, 7.750%, 4/15/2021, 144A     4,406,400   
  351,452      Air Canada Pass Through Trust, Series 2013-1, Class B,
5.375%, 11/15/2022, 144A		     361,996   
  810,000      Allegiant Travel Co.,
5.500%, 7/15/2019		     838,350   
  423,844      American Airlines Pass Through Trust, Series 2013-2, Class C,
6.000%, 1/15/2017, 144A		     427,760   
  191,754      Continental Airlines Pass Through Trust, Series 2000-2, Class A-1,
7.707%, 10/02/2022		     209,012   
  21,655      Continental Airlines Pass Through Trust, Series 2000-2, Class B,
8.307%, 10/02/2019		     22,514   
  348,974      United Airlines Pass Through Trust, Series 2014-1, Class B,
4.750%, 10/11/2023		     356,589   
  1,150,000      United Continental Holdings, Inc.,
6.375%, 6/01/2018		     1,207,500   
  232,203      US Airways Pass Through Trust, Series 2010-1B, Class B,
8.500%, 10/22/2018		     239,603   
  1,184,774      US Airways Pass Through Trust, Series 2011-1B, Class B,
9.750%, 4/22/2020		     1,312,221   
  246,313      US Airways Pass Through Trust, Series 2012-1B, Class B,
8.000%, 4/01/2021		     272,791   
  2,039,981      US Airways Pass Through Trust, Series 2013-1, Class B,
5.375%, 5/15/2023		     2,121,581   
  1,750,000      Virgin Australia Holdings Ltd.,
8.500%, 11/15/2019, 144A		     1,802,500   
  166,800      Virgin Australia Pass Through Trust, Series 2013-1B,
6.000%, 4/23/2022, 144A		     169,302   
  Airlines – continued  
$ 249,909      Virgin Australia Pass Through Trust, Series 2013-1C,
7.125%, 10/23/2018, 144A		   $ 253,033   
   

 

 

  
      17,870,549   
   

 

 

  
  Automotive – 1.0%  
  1,000,000      American Axle & Manufacturing, Inc.,
6.625%, 10/15/2022		     1,057,500   
  2,090,000      Goodyear Tire & Rubber Co. (The),
7.000%, 3/15/2028		     2,283,325   
  3,505,000      Lear Corp., 5.375%, 3/15/2024     3,763,494   
   

 

 

  
      7,104,319   
   

 

 

  
  Banking – 1.4%  
  915,000      Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(b)     933,300   
  4,520,000      Citigroup, Inc.,
6.250%, 6/29/2017, (NZD)		     3,364,775   
  160,000      RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter),
6.425%(b)		     170,800   
  3,545,000      Royal Bank of Scotland Group PLC,
4.700%, 7/03/2018		     3,641,123   
  105,000      Royal Bank of Scotland Group PLC,
5.250%, (EUR)(b)		     111,582   
  1,545,000      Royal Bank of Scotland Group PLC,
5.500%, (EUR)(b)		     1,647,494   
  85,000      Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(b)     82,450   
   

 

 

  
      9,951,524   
   

 

 

  
  Brokerage – 0.3%  
  350,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A     325,500   
  1,615,000      Jefferies Group LLC, 6.250%, 1/15/2036     1,683,277   
   

 

 

  
      2,008,777   
   

 

 

  
  Building Materials – 1.1%  
  4,325,000      Atrium Windows & Doors, Inc.,
7.750%, 5/01/2019, 144A		     3,887,094   
  670,000      Masco Corp., 6.500%, 8/15/2032     737,000   
  3,245,000      NCI Building Systems, Inc.,
8.250%, 1/15/2023, 144A		     3,528,937   
   

 

 

  
      8,153,031   
   

 

 

  
  Cable Satellite – 1.7%  
  125,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023     130,313   
  60,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
5.125%, 5/01/2023, 144A		     62,625   
  70,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
5.375%, 5/01/2025, 144A		     73,413   
  2,215,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024     2,353,437   
  300,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
5.875%, 5/01/2027, 144A		     319,500   

 

See accompanying notes to financial statements.

 

39  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued  
  Cable Satellite – continued  
$ 3,215,000      CSC Holdings LLC, 5.250%, 6/01/2024   $ 3,054,250   
  1,390,000      DISH DBS Corp., 5.000%, 3/15/2023     1,351,775   
  2,686,000      DISH DBS Corp., 5.875%, 11/15/2024     2,652,425   
  1,720,000      DISH DBS Corp., 7.750%, 7/01/2026, 144A     1,827,500   
  170,000      Time Warner Cable LLC, 4.500%, 9/15/2042     162,224   
   

 

 

  
      11,987,462   
   

 

 

  
  Chemicals – 3.2%  
  1,025,000      Aruba Investments, Inc.,
8.750%, 2/15/2023, 144A		     1,045,500   
  1,060,000      GCP Applied Technologies, Inc.,
9.500%, 2/01/2023, 144A		     1,210,997   
  4,043,000      Hercules, Inc., 6.500%, 6/30/2029     3,638,700   
  2,564,000      Hexion, Inc., 7.875%, 2/15/2023(c)(d)     923,040   
  3,687,000      Hexion, Inc., 8.875%, 2/01/2018     3,511,867   
  2,641,000      Hexion, Inc., 9.200%, 3/15/2021(c)(d)     1,029,990   
  3,190,000      Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020     2,308,763   
  1,405,000      INEOS Group Holdings S.A.,
5.875%, 2/15/2019, 144A		     1,433,100   
  4,680,000      Kraton Polymers LLC/Kraton Polymers Capital Corp.,
10.500%, 4/15/2023, 144A		     5,311,800   
  2,971,000      TPC Group, Inc., 8.750%, 12/15/2020, 144A     2,304,159   
   

 

 

  
      22,717,916   
   

 

 

  
  Construction Machinery – 0.7%  
  1,370,000      United Rentals North America, Inc.,
5.500%, 7/15/2025		     1,397,400   
  2,320,000      United Rentals North America, Inc.,
5.750%, 11/15/2024		     2,407,000   
  1,140,000      United Rentals North America, Inc.,
5.875%, 9/15/2026		     1,174,200   
   

 

 

  
      4,978,600   
   

 

 

  
  Consumer Cyclical Services – 0.3%  
  135,000      ServiceMaster Co. LLC (The),
7.100%, 3/01/2018		     139,219   
  1,902,000      ServiceMaster Co. LLC (The),
7.450%, 8/15/2027		     2,021,826   
   

 

 

  
      2,161,045   
   

 

 

  
  Diversified Manufacturing – 0.1%  
  970,000      General Electric Co., Series A, GMTN,
5.500%, 2/01/2017, (NZD)		     711,813   
   

 

 

  
  Electric – 1.1%  
  455,000      AES Corp. (The), 4.875%, 5/15/2023     461,825   
  200,000      AES Corp. (The), 5.500%, 4/15/2025     205,750   
  1,423,000      DPL, Inc., 6.750%, 10/01/2019     1,476,363   
  340,000      Dynegy, Inc., 5.875%, 6/01/2023     308,550   
  665,000      Dynegy, Inc., 7.625%, 11/01/2024     653,030   
  Electric – continued  
$ 1,100,000      EDP Finance BV, 4.900%, 10/01/2019, 144A   $ 1,169,091   
  1,000,000      EDP Finance BV, 6.000%, 2/02/2018, 144A     1,045,360   
  2,430,000      NRG Energy, Inc., 7.250%, 5/15/2026, 144A     2,472,525   
   

 

 

  
      7,792,494   
   

 

 

  
  Environmental – 0.1%  
  536,000      Advanced Disposal Services, Inc.,
8.250%, 10/01/2020		     562,800   
   

 

 

  
  Finance Companies – 3.3%  
  1,000,000      AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter),
6.000%, 1/15/2067, 144A		     500,000   
  240,000      International Lease Finance Corp.,
4.625%, 4/15/2021		     251,400   
  60,000      International Lease Finance Corp.,
6.250%, 5/15/2019		     65,025   
  300,000      International Lease Finance Corp.,
8.250%, 12/15/2020		     356,250   
  3,980,000      iStar, Inc., 4.875%, 7/01/2018     3,999,900   
  1,190,000      iStar, Inc., 5.000%, 7/01/2019     1,186,882   
  840,000      iStar, Inc., 5.850%, 3/15/2017     850,030   
  1,900,000      iStar, Inc., 6.500%, 7/01/2021     1,928,500   
  1,984,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
5.875%, 8/01/2021, 144A		     1,884,800   
  885,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
7.375%, 10/01/2017		     891,638   
  815,000      Navient Corp., MTN, 6.125%, 3/25/2024     758,969   
  875,000      Navient LLC, MTN, 7.250%, 1/25/2022     892,500   
  115,000      Navient LLC, Series A, MTN,
5.000%, 6/15/2018		     115,000   
  5,550,000      Navient LLC, Series A, MTN,
5.625%, 8/01/2033(c)(e)		     4,412,250   
  1,040,000      Oxford Finance LLC/Oxford Finance Co-Issuer, Inc.,
7.250%, 1/15/2018, 144A		     1,038,700   
  3,205,000      Springleaf Finance Corp., 5.250%, 12/15/2019     3,273,106   
  805,000      Springleaf Finance Corp., 8.250%, 10/01/2023     845,250   
   

 

 

  
      23,250,200   
   

 

 

  
  Food & Beverage – 0.2%  
  1,081,000      Wells Enterprises, Inc.,
6.750%, 2/01/2020, 144A		     1,116,133   
   

 

 

  
  Government Guaranteed – 0.5%  
  4,720,000      Queensland Treasury Corp.,
7.125%, 9/18/2017, 144A, (NZD)		     3,589,621   
   

 

 

  
  Government Owned – No Guarantee – 0.1%   
  900,000      Petrobras Global Finance BV,
5.625%, 5/20/2043		     679,500   
  75,000(††)      Petroleos Mexicanos,
7.650%, 11/24/2021, 144A, (MXN)		     376,359   
   

 

 

  
      1,055,859   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  40

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued  
  Healthcare – 5.2%  
$ 1,080,000      BioScrip, Inc., 8.875%, 2/15/2021   $ 1,009,800   
  2,825,000      HCA, Inc., 5.875%, 5/01/2023     3,008,625   
  1,065,000      HCA, Inc., 7.050%, 12/01/2027     1,132,894   
  4,660,000      HCA, Inc., 7.500%, 11/06/2033     5,050,275   
  1,815,000      HCA, Inc., 7.690%, 6/15/2025     2,039,897   
  375,000      HCA, Inc., 8.360%, 4/15/2024     435,405   
  2,945,000      HCA, Inc., MTN, 7.580%, 9/15/2025     3,320,487   
  3,875,000      HCA, Inc., MTN, 7.750%, 7/15/2036     4,199,531   
  2,475,000      Hologic, Inc.,
5.250%, 7/15/2022, 144A		     2,626,594   
  1,465,000      Kindred Healthcare, Inc., 8.000%, 1/15/2020     1,490,638   
  540,000      Tenet Healthcare Corp., 5.000%, 3/01/2019     527,850   
  1,555,000      Tenet Healthcare Corp., 6.750%, 6/15/2023     1,446,150   
  9,829,000      Tenet Healthcare Corp., 6.875%, 11/15/2031     8,084,352   
  2,554,000      Universal Health Services, Inc., 4.750%, 8/01/2022, 144A     2,637,005   
   

 

 

  
      37,009,503   
   

 

 

  
  Home Construction – 1.5%  
  300,000      Beazer Homes USA, Inc., 7.250%, 2/01/2023     298,500   
  2,205,000      Beazer Homes USA, Inc.,
8.750%, 3/15/2022, 144A		     2,326,275   
  882,000      K. Hovnanian Enterprises, Inc.,
5.000%, 11/01/2021(c)(e)		     617,400   
  595,000      K. Hovnanian Enterprises, Inc.,
8.000%, 11/01/2019, 144A		     359,975   
  3,060,000      Lennar Corp., 4.500%, 6/15/2019     3,205,350   
  400,000      PulteGroup, Inc., 6.000%, 2/15/2035     404,000   
  2,425,000      TRI Pointe Group, Inc., 4.875%, 7/01/2021     2,485,625   
  1,000,000      TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024     1,040,000   
   

 

 

  
      10,737,125   
   

 

 

  
  Independent Energy – 7.6%  
  530,000      Anadarko Petroleum Corp., 3.450%, 7/15/2024     522,793   
  480,000      Anadarko Petroleum Corp., 4.500%, 7/15/2044     440,399   
  4,910,000      Bellatrix Exploration Ltd.,
8.500%, 5/15/2020, 144A		     4,566,300   
  1,050,000      Bonanza Creek Energy, Inc.,
5.750%, 2/01/2023		     477,750   
  220,000      Bonanza Creek Energy, Inc.,
6.750%, 4/15/2021		     100,100   
  647,000      California Resources Corp., 5.500%, 9/15/2021     342,910   
  106,000      California Resources Corp., 6.000%, 11/15/2024     50,615   
  140,000      California Resources Corp.,
8.000%, 12/15/2022, 144A		     93,100   
  1,000,000      Chesapeake Energy Corp., 4.875%, 4/15/2022     842,500   
  150,000      Chesapeake Energy Corp.,
6.250%, 1/15/2017, (EUR)		     166,817   
  Independent Energy – continued  
$ 630,000      Continental Resources, Inc., 3.800%, 6/01/2024   $ 576,450   
  325,000      Continental Resources, Inc., 4.500%, 4/15/2023     312,000   
  2,040,000      Continental Resources, Inc., 5.000%, 9/15/2022     2,034,900   
  6,850,000      Eclipse Resources Corp., 8.875%, 7/15/2023     6,674,469   
  405,000      Jones Energy Holdings LLC/Jones Energy Finance Corp.,
6.750%, 4/01/2022		     344,250   
  1,115,000      MEG Energy Corp., 6.375%, 1/30/2023, 144A     882,244   
  7,815,000      MEG Energy Corp., 7.000%, 3/31/2024, 144A     6,173,850   
  1,680,000      Oasis Petroleum, Inc., 6.875%, 3/15/2022     1,608,600   
  1,075,000      OGX Austria GmbH,
8.375%, 4/01/2022, 144A(c)(d)(f)		     —   
  400,000      OGX Austria GmbH,
8.500%, 6/01/2018, 144A(c)(d)(f)		     —   
  565,000      QEP Resources, Inc., 5.250%, 5/01/2023     556,525   
  340,000      Range Resources Corp.,
5.000%, 8/15/2022, 144A		     338,300   
  5,250,000      Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(g)     2,861,250   
  2,241,000      RSP Permian, Inc., 6.625%, 10/01/2022     2,347,447   
  1,140,000      Sanchez Energy Corp., 6.125%, 1/15/2023     914,850   
  1,270,000      SM Energy Co., 5.000%, 1/15/2024     1,193,800   
  545,000      SM Energy Co., 5.625%, 6/01/2025     512,300   
  572,000      SM Energy Co., 6.125%, 11/15/2022     572,000   
  145,000      SM Energy Co., 6.500%, 11/15/2021     148,263   
  1,000,000      SM Energy Co., 6.500%, 1/01/2023     1,010,000   
  2,495,000      Southwestern Energy Co., 4.100%, 3/15/2022     2,264,212   
  660,000      Southwestern Energy Co., 5.800%, 1/23/2020     658,350   
  5,390,000      Southwestern Energy Co., 6.700%, 1/23/2025     5,390,000   
  690,000      Ultra Petroleum Corp.,
6.125%, 10/01/2024, 144A(f)		     545,100   
  4,526,000      Whiting Petroleum Corp., 5.000%, 3/15/2019     4,378,905   
  2,005,000      Whiting Petroleum Corp., 5.750%, 3/15/2021     1,874,675   
  1,690,000      Whiting Petroleum Corp., 6.250%, 4/01/2023     1,542,125   
  950,000      WPX Energy, Inc., 5.250%, 1/15/2017     957,125   
   

 

 

  
      54,275,274   
   

 

 

  
  Industrial Other – 0.3%  
  1,340,000      Broadspectrum Ltd., 8.375%, 5/15/2020, 144A     1,427,100   
  635,000      Cleaver-Brooks, Inc.,
8.750%, 12/15/2019, 144A		     665,163   
   

 

 

  
      2,092,263   
   

 

 

  

 

See accompanying notes to financial statements.

 

41  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued  
  Integrated Energy – 0.0%  
$ 1,075,000      Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(f)   $ 198,875   
  625,000      Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A(f)     115,625   
   

 

 

  
      314,500   
   

 

 

  
  Life Insurance – 0.4%  
  280,000      MetLife Capital Trust X,
9.250%, 4/08/2068, 144A		     402,836   
  1,530,000      MetLife, Inc., 10.750%, 8/01/2069     2,451,978   
   

 

 

  
      2,854,814   
   

 

 

  
  Local Authorities – 0.2%  
  2,095,000      New South Wales Treasury Corp.,
6.000%, 2/01/2018, (AUD)		     1,693,778   
   

 

 

  
  Media Entertainment – 0.4%  
  1,000,000      iHeartCommunications, Inc.,
9.000%, 3/01/2021		     745,000   
  1,890,000      iHeartCommunications, Inc.,
9.000%, 9/15/2022		     1,374,975   
  739,000      R.R. Donnelley & Sons Co.,
7.625%, 6/15/2020		     799,968   
   

 

 

  
      2,919,943   
   

 

 

  
  Metals & Mining – 6.6%  
  4,146,853      1839688 Alberta ULC, PIK,
14.000%, 2/13/2020(c)(d)(f)(h)		     1,659   
  500,000      AK Steel Corp., 7.625%, 10/01/2021     480,000   
  2,210,000      Alcoa, Inc., 5.125%, 10/01/2024     2,350,888   
  650,000      Alcoa, Inc., 5.400%, 4/15/2021     695,500   
  3,155,000      Alcoa, Inc., 5.950%, 2/01/2037     3,172,352   
  3,000,000      ArcelorMittal, 6.250%, 8/05/2020     3,262,500   
  5,685,000      Barminco Finance Pty Ltd.,
9.000%, 6/01/2018, 144A		     5,500,237   
  1,880,000      Barrick Gold Corp., 5.250%, 4/01/2042     2,061,627   
  210,000      Cliffs Natural Resources, Inc.,
8.000%, 9/30/2020, 144A		     205,800   
  945,000      Essar Steel Algoma, Inc.,
9.500%, 11/15/2019, 144A(c)(e)(f)		     127,575   
  290,000      First Quantum Minerals Ltd.,
7.250%, 10/15/2019, 144A		     275,500   
  4,530,000      First Quantum Minerals Ltd.,
7.250%, 5/15/2022, 144A		     4,009,050   
  785,000      Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.,
6.500%, 11/15/2020		     805,606   
  12,000,000      Freeport-McMoRan, Inc., 5.450%, 3/15/2043     9,630,000   
  3,960,000      Hecla Mining Co., 6.875%, 5/01/2021     3,974,850   
  535,000      Lundin Mining Corp.,
7.500%, 11/01/2020, 144A		     568,438   
  1,860,000      Lundin Mining Corp.,
7.875%, 11/01/2022, 144A		     1,980,900   
  800,000      Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A     780,000   
  4,000,000      United States Steel Corp., 6.650%, 6/01/2037     3,200,000   
  Metals & Mining – continued  
750,000      United States Steel Corp., 7.375%, 4/01/2020   746,250   
  3,680,000      United States Steel Corp., 7.500%, 3/15/2022     3,624,800   
   

 

 

  
      47,453,532   
   

 

 

  
  Midstream – 1.3%  
  800,000      Blue Racer Midstream LLC/Blue Racer Finance Corp.,
6.125%, 11/15/2022, 144A		     782,000   
  2,545,000      Gibson Energy, Inc.,
5.375%, 7/15/2022, 144A, (CAD)		     1,886,514   
  5,415,000      Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022     5,715,246   
  764,273      Transportadora de Gas del Sur S.A.,
9.625%, 5/14/2020, 144A		     827,326   
   

 

 

  
      9,211,086   
   

 

 

  
  Non-Agency Commercial Mortgage-Backed Securities – 0.2%    
  320,000      GS Mortgage Securities Trust, Series 2007-GG10, Class AM,
5.988%, 8/10/2045(i)		     308,009   
  1,434,127      Motel 6 Trust, Series 2015-M6MZ, Class M,
8.230%, 2/05/2020, 144A(c)(e)		     1,443,538   
   

 

 

  
      1,751,547   
   

 

 

  
  Oil Field Services – 1.5%  
  1,790,000      Basic Energy Services, Inc.,
7.750%, 10/15/2022		     662,300   
  3,255,000      FTS International, Inc., 6.250%, 5/01/2022     1,245,037   
  1,330,000      Paragon Offshore PLC,
6.750%, 7/15/2022, 144A(f)		     369,075   
  3,072,000      Paragon Offshore PLC,
7.250%, 8/15/2024, 144A(f)		     852,480   
  6,050,000      Pioneer Energy Services Corp.,
6.125%, 3/15/2022		     3,993,000   
  3,006,000      Precision Drilling Corp.,
6.625%, 11/15/2020		     2,788,065   
  4,675,000      Sidewinder Drilling, Inc.,
9.750%, 11/15/2019, 144A		     303,875   
  530,000      Transocean, Inc., 6.800%, 3/15/2038     347,150   
   

 

 

  
      10,560,982   
   

 

 

  
  Packaging – 0.9%  
  335,000      Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.,
6.000%, 6/30/2021, 144A		     344,213   
  4,050,000      Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A.,
8.250%, 2/15/2021		     4,222,125   
  1,830,000      Sealed Air Corp.,
5.500%, 9/15/2025, 144A		     1,962,675   
   

 

 

  
      6,529,013   
   

 

 

  
  Property & Casualty Insurance – 0.6%   
  1,920,000      MBIA Insurance Corp.,
11.940%, 1/15/2033, 144A(i)(j)		     768,000   

 

See accompanying notes to financial statements.

 

|  42

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued  
  Property & Casualty Insurance – continued   
$ 3,245,000      Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter),
7.506%, 144A(b)		   $ 3,265,768   
   

 

 

  
      4,033,768   
   

 

 

  
  Railroads – 0.0%  
  314,000      Missouri Pacific Railroad Co.,
5.000%, 1/01/2045(c)(e)		     307,027   
  30,000      Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)(e)     29,924   
   

 

 

  
      336,951   
   

 

 

  
  REITs – Office Property – 0.1%  
  470,000      Highwoods Realty LP, 5.850%, 3/15/2017     478,446   
   

 

 

  
  Restaurants – 0.1%  
  405,000      Wagamama Finance PLC,
7.875%, 2/01/2020, 144A, (GBP)		     551,844   
   

 

 

  
  Retailers – 1.6%  
  1,679,000      Foot Locker, Inc., 8.500%, 1/15/2022     1,981,220   
  500,000      Group 1 Automotive, Inc., 5.000%, 6/01/2022     501,560   
  1,925,000      J.C. Penney Corp., Inc., 5.650%, 6/01/2020     1,929,582   
  675,000      J.C. Penney Corp., Inc., 5.750%, 2/15/2018     698,625   
  165,000      J.C. Penney Corp., Inc., 6.375%, 10/15/2036     141,900   
  1,265,000      J.C. Penney Corp., Inc., 8.125%, 10/01/2019     1,378,850   
  3,005,000      Nine West Holdings, Inc.,
6.125%, 11/15/2034		     390,650   
  4,499,000      TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A     4,532,742   
   

 

 

  
      11,555,129   
   

 

 

  
  Supermarkets – 3.9%  
  6,060,000      New Albertson’s, Inc., 7.450%, 8/01/2029     5,938,800   
  2,865,000      New Albertson’s, Inc., 7.750%, 6/15/2026     2,854,256   
  10,375,000      New Albertson’s, Inc., 8.000%, 5/01/2031     10,232,344   
  5,625,000      New Albertson’s, Inc., 8.700%, 5/01/2030     5,709,375   
  1,100,000      New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028     1,012,000   
  825,000      Safeway, Inc., 3.950%, 8/15/2020     787,875   
  1,570,000      SUPERVALU, Inc., 7.750%, 11/15/2022     1,499,350   
   

 

 

  
      28,034,000   
   

 

 

  
  Technology – 2.0%  
  874,000      Advanced Micro Devices, Inc.,
7.000%, 7/01/2024		     858,705   
  1,499,000      Alcatel-Lucent USA, Inc.,
6.450%, 3/15/2029		     1,658,269   
  Technology – continued  
4,210,000      Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028   4,588,900   
  3,420,000      Amkor Technology, Inc., 6.375%, 10/01/2022     3,531,150   
  1,000,000      Micron Technology, Inc., 5.500%, 2/01/2025     980,000   
  2,210,000      Microsemi Corp.,
9.125%, 4/15/2023, 144A		     2,519,400   
  12,000      Motorola Solutions, Inc., 6.625%, 11/15/2037     12,430   
   

 

 

  
      14,148,854   
   

 

 

  
  Transportation Services – 0.4%  
  3,285,000      APL Ltd., 8.000%, 1/15/2024(c)(e)     2,168,100   
  355,384      Atlas Air Pass Through Trust, Series 1998-1, Class B,
7.680%, 1/02/2018(d)		     361,603   
  87,732      Atlas Air Pass Through Trust, Series 1998-1, Class C,
8.010%, 7/02/2011(d)(k)		     89,706   
  42,921      Atlas Air Pass Through Trust, Series 1999-1, Class B,
7.630%, 1/02/2018(d)		     42,921   
  191,503      Atlas Air Pass Through Trust, Series 1999-1, Class C,
8.770%, 7/02/2012(d)(k)		     197,248   
   

 

 

  
      2,859,578   
   

 

 

  
  Treasuries – 7.9%  
  2,385,000      Hellenic Republic Government Bond,
3.375%, 7/17/2017, 144A, (EUR)		     2,619,416   
  350,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(g)     287,482   
  270,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(g)     178,651   
  170,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(g)     112,855   
  40,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(g)     26,364   
  490,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(g)     319,698   
  635,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(g)     414,820   
  60,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(g)     39,087   
  1,540,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(g)     1,005,023   

 

See accompanying notes to financial statements.

 

43  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued  
  Treasuries – continued  
  48,865,000      Iceland Government International Bond, 6.000%, 10/13/2016, (ISK)   $ 290,819   
  24,750,000      Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)     162,790   
  50,205,000      Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)     322,149   
  110,000(††)      Mexican Fixed Rate Bonds, Series M,
7.750%, 5/29/2031, (MXN)		     641,720   
  310,000(††)      Mexican Fixed Rate Bonds, Series M-20,
7.500%, 6/03/2027, (MXN)		     1,768,564   
  1,595,000(††)      Mexican Fixed Rate Bonds, Series M-20,
8.000%, 12/07/2023, (MXN)		     9,247,862   
  75,000(††)      Mexican Fixed Rate Bonds, Series M-20,
8.500%, 5/31/2029, (MXN)		     462,221   
  490,000(††)      Mexican Fixed Rate Bonds, Series M-20,
10.000%, 12/05/2024, (MXN)		     3,192,473   
  15,955,000      New Zealand Government Bond,
5.000%, 3/15/2019, (NZD)		     12,470,975   
  1,575,000      Norway Government Bond,
3.750%, 5/25/2021, 144A, (NOK)		     222,446   
  1,590,000      Norway Government Bond,
4.250%, 5/19/2017, 144A, (NOK)		     203,445   
  2,260,000      Norway Government Bond,
4.500%, 5/22/2019, 144A, (NOK)		     310,363   
  4,170,000      Republic of Brazil,
10.250%, 1/10/2028, (BRL)		     1,301,462   
  20,850,000      U.S. Treasury Note,
0.750%, 1/31/2018		     20,857,339   
   

 

 

  
      56,458,024   
   

 

 

  
  Wireless – 1.4%  
  29,970,000      America Movil SAB de CV,
6.450%, 12/05/2022, (MXN)		     1,505,475   
  7,280,000      Sprint Capital Corp., 6.875%, 11/15/2028     6,834,100   
  215,000      Sprint Capital Corp., 8.750%, 3/15/2032     219,300   
  605,000      Sprint Communications, Inc.,
6.000%, 11/15/2022		     561,137   
  760,000      Sprint Corp., 7.125%, 6/15/2024     741,000   
   

 

 

  
      9,861,012   
   

 

 

  
  Wirelines – 6.1%  
  1,350,000      CenturyLink, Inc., 7.650%, 3/15/2042     1,164,375   
  1,495,000      CenturyLink, Inc., Series P,
7.600%, 9/15/2039		     1,300,650   
  385,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028     366,231   
  2,460,000      Cincinnati Bell, Inc.,
7.000%, 7/15/2024, 144A		     2,521,500   
  Wirelines – continued  
2,595,000      Communications Sales & Leasing, Inc./CSL Capital LLC,
8.250%, 10/15/2023		   2,723,427   
  1,539,000      Consolidated Communications, Inc., 6.500%, 10/01/2022     1,492,830   
  1,620,000      FairPoint Communications, Inc.,
8.750%, 8/15/2019, 144A		     1,652,400   
  1,945,000      Frontier Communications Corp.,
6.875%, 1/15/2025		     1,721,325   
  465,000      Frontier Communications Corp.,
7.000%, 11/01/2025		     409,200   
  4,851,000      Frontier Communications Corp.,
7.875%, 1/15/2027		     4,341,645   
  902,000      Frontier Communications Corp.,
8.750%, 4/15/2022		     920,040   
  2,600,000      Frontier Communications Corp.,
9.000%, 8/15/2031		     2,392,000   
  940,000      Frontier Communications Corp.,
11.000%, 9/15/2025		     981,125   
  1,160,000      Level 3 Communications, Inc.,
5.750%, 12/01/2022		     1,212,200   
  200,000      Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(f)     50,250   
  900,000      Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(j)     232,533   
  2,100,000      Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(j)     542,578   
  800,000      Qwest Capital Funding, Inc.,
6.875%, 7/15/2028		     756,000   
  1,385,000      Qwest Capital Funding, Inc.,
7.625%, 8/03/2021		     1,426,550   
  5,332,000      Qwest Capital Funding, Inc.,
7.750%, 2/15/2031		     5,172,040   
  645,000      Qwest Corp., 7.250%, 9/15/2025     705,842   
  1,407,000      Qwest Corp., 7.250%, 10/15/2035     1,392,053   
  2,827,000      Telecom Italia Capital S.A.,
6.000%, 9/30/2034		     2,799,437   
  2,140,000      Telecom Italia Capital S.A.,
6.375%, 11/15/2033		     2,177,450   
  610,000      Windstream Services LLC,
7.500%, 6/01/2022		     585,600   
  4,155,000      Windstream Services LLC,
7.500%, 4/01/2023		     3,968,025   
  260,000      Windstream Services LLC,
7.750%, 10/15/2020		     264,550   
  375,000      Windstream Services LLC,
7.750%, 10/01/2021		     374,062   
   

 

 

  
      43,645,918   
   

 

 

  
  Total Non-Convertible Bonds  
  (Identified Cost $501,236,562)     497,936,071   
   

 

 

  
  Convertible Bonds – 13.3%   
  Automotive – 0.3%  
  2,331,000      Navistar International Corp.,
4.500%, 10/15/2018		     2,205,709   

 

See accompanying notes to financial statements.

 

|  44

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued  
  Automotive – continued  
$ 195,000      Navistar International Corp.,
4.750%, 4/15/2019		   $ 180,984   
   

 

 

  
      2,386,693   
   

 

 

  
  Building Materials – 1.4%  
  3,510,000      CalAtlantic Group, Inc., 0.250%, 6/01/2019     3,251,137   
  2,050,000      CalAtlantic Group, Inc., 1.250%, 8/01/2032     2,135,844   
  770,000      KB Home, 1.375%, 2/01/2019     748,825   
  2,295,000      Lennar Corp., 3.250%, 11/15/2021     4,133,869   
   

 

 

  
      10,269,675   
   

 

 

  
  Cable Satellite – 1.6%  
  10,465,000      Dish Network Corp.,
3.375%, 8/15/2026, 144A		     11,459,175   
   

 

 

  
  Consumer Products – 0.4%  
  3,622,000      Iconix Brand Group, Inc.,
1.500%, 3/15/2018		     3,123,975   
   

 

 

  
  Diversified Manufacturing – 0.4%  
  2,315,000      Trinity Industries, Inc., 3.875%, 6/01/2036     2,766,425   
   

 

 

  
  Finance Companies – 0.1%  
  390,000      Euronet Worldwide, Inc., 1.500%, 10/01/2044     490,912   
   

 

 

  
  Healthcare – 0.3%  
  1,325,000      Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(g)     1,805,312   
   

 

 

  
  Leisure – 0.4%  
  3,000,000      Rovi Corp., 0.500%, 3/01/2020     2,989,590   
   

 

 

  
  Metals & Mining – 0.4%  
  1,895,000      RTI International Metals, Inc.,
1.625%, 10/15/2019		     2,020,544   
  460,000      TimkenSteel Corp., 6.000%, 6/01/2021     505,425   
   

 

 

  
      2,525,969   
   

 

 

  
  Midstream – 1.0%  
  6,200,000      Chesapeake Energy Corp., 2.250%, 12/15/2038     5,773,750   
  572,000      Chesapeake Energy Corp., 2.500%, 5/15/2037     568,425   
  928,000      Whiting Petroleum Corp.,
Series 2, 1.250%, 6/05/2020		     890,880   
   

 

 

  
      7,233,055   
   

 

 

  
  Pharmaceuticals – 0.3%  
  225,000      BioMarin Pharmaceutical, Inc.,
0.750%, 10/15/2018		     269,860   
  310,000      BioMarin Pharmaceutical, Inc.,
1.500%, 10/15/2020		     386,531   
  750,000      Intercept Pharmaceuticals, Inc.,
3.250%, 7/01/2023		     838,594   
  255,000      Ironwood Pharmaceuticals, Inc.,
2.250%, 6/15/2022		     303,928   
   

 

 

  
      1,798,913   
   

 

 

  
  Property & Casualty Insurance – 1.1%   
6,533,000      Old Republic International Corp.,
3.750%, 3/15/2018		   7,843,683   
   

 

 

  
  Technology – 5.6%  
  1,490,000      Brocade Communications Systems, Inc., 1.375%, 1/01/2020     1,470,444   
  7,895,000      Ciena Corp., 0.875%, 6/15/2017     7,850,591   
  4,140,000      Ciena Corp., 3.750%, 10/15/2018, 144A     5,237,100   
  3,595,000      Intel Corp., 3.250%, 8/01/2039     6,574,356   
  42,179      Liberty Interactive LLC, 3.500%, 1/15/2031     39,234   
  9,900,000      Micron Technology, Inc., Series G,
3.000%, 11/15/2043		     8,798,625   
  9,525,000      Nuance Communications, Inc.,
1.000%, 12/15/2035, 144A		     8,286,750   
  989,000      Nuance Communications, Inc.,
1.500%, 11/01/2035		     927,806   
  830,000      Viavi Solutions, Inc.,
0.625%, 8/15/2033		     825,850   
   

 

 

  
      40,010,756   
   

 

 

  
  Total Convertible Bonds  
  (Identified Cost $81,887,720)     94,704,133   
   

 

 

  
  Municipals – 0.5%   
  District of Columbia – 0.1%  
  540,000      Metropolitan Washington Airports Authority, Series D,
8.000%, 10/01/2047		     745,572   
   

 

 

  
  Puerto Rico – 0.4%  
  4,260,000      Commonwealth of Puerto Rico, GO, Refunding, Series A,
8.000%, 7/01/2035(f)		     2,784,975   
   

 

 

  
  Total Municipals  
  (Identified Cost $4,105,940)     3,530,547   
   

 

 

  
  Total Bonds and Notes  
  (Identified Cost $587,230,222)     596,170,751   
   

 

 

  
  Loan Participations – 0.1%   
  ABS Other – 0.1%  
  649,869      Rise Ltd., Series 2014-1, Class B,
6.500%, 2/15/2039(c)(e)(i)
(Identified Cost $654,743)		     642,558   
   

 

 

  
  Senior Loans – 1.1%   
  Chemicals – 0.3%  
  529,423      Emerald Performance Materials LLC, New 1st Lien Term Loan,
4.500%, 8/01/2021(i)		     532,404   
  235,214      Emerald Performance Materials LLC, New 2nd Lien Term Loan,
7.750%, 8/01/2022(i)		     234,626   
  1,610,000      Houghton International, Inc., New 2nd Lien Term Loan,
9.750%, 12/20/2020(i)		     1,585,850   
   

 

 

  
      2,352,880   
   

 

 

  

 

See accompanying notes to financial statements.

 

45  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Senior Loans – continued   
  Diversified Manufacturing – 0.1%  
$ 509,842      Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(i)   $ 285,511   
   

 

 

  
  Financial Other – 0.1%  
  728,900      DBRS Ltd., Term Loan, 6.250%, 3/04/2022(i)     714,781   
   

 

 

  
  Media Entertainment – 0.0%  
  13,864      Dex Media, Inc., Term Loan,
11.000%, 7/29/2021(i)		     13,206   
   

 

 

  
  Oil Field Services – 0.1%  
  436,364      FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(i)     171,491   
  156,778      Petroleum Geo-Services ASA, New Term Loan B, 3.250%, 3/19/2021(i)     103,082   
  95,596      UTEX Industries, Inc., 2nd Lien Term
Loan 2014, 8.250%, 5/22/2022(i)		     45,408   
   

 

 

  
      319,981   
   

 

 

  
  Other Utility – 0.1%  
  408,038      PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(i)     406,508   
  325,000      PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(i)     323,375   
   

 

 

  
      729,883   
   

 

 

  
  Retailers – 0.0%  
  301,886      Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(i)     284,150   
   

 

 

  
  Supermarkets – 0.1%  
  837,246      Supervalu, Inc., Refi Term Loan B,
5.500%, 3/21/2019(i)		     838,100   
   

 

 

  
  Technology – 0.0%  
  128,399      IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(c)(e)(i)     90,521   
   

 

 

  
  Transportation Services – 0.0%  
  145,675      OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(i)     145,129   
   

 

 

  
  Wirelines – 0.3%  
  723,750      Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(i)     723,359   
  718,192      Hawaiian Telcom Communications, Inc., Term Loan B, 5.250%, 6/06/2019(i)     721,603   
  532,532      Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(c)(e)(i)     503,243   
   

 

 

  
      1,948,205   
   

 

 

  
  Total Senior Loans  
  (Identified Cost $8,340,652)     7,722,347   
   

 

 

  
  Shares               
  Common Stocks – 10.8%   
  Airlines – 0.4%  
  52,244      United Continental Holdings, Inc.(j)     2,741,243   
   

 

 

  
  Automobiles – 1.5%  
  876,900      Ford Motor Co.   10,584,183   
   

 

 

  
  Chemicals – 0.1%  
  4,302      PPG Industries, Inc.     444,655   
   

 

 

  
  Containers & Packaging – 0.1%  
  40,621      Owens-Illinois, Inc.(j)     747,020   
   

 

 

  
  Diversified Telecommunication Services – 0.1%   
  78,091      Telefonica S.A., Sponsored ADR     787,157   
   

 

 

  
  Electronic Equipment, Instruments & Components – 3.7%    
  1,119,766      Corning, Inc.     26,482,466   
   

 

 

  
  Energy Equipment & Services – 0.0%   
  142,224      Hercules Offshore, Inc.(j)     246,048   
   

 

 

  
  Household Durables – 0.1%  
  6,775      KB Home     109,213   
  8,126      Newell Brands, Inc.     427,915   
   

 

 

  
      537,128   
   

 

 

  
  Internet Software & Services – 0.0%   
  2,154      Dex Media, Inc.(d)(j)     4,282   
   

 

 

  
  Metals & Mining – 0.2%  
  202,147      ArcelorMittal, (Registered)(j)     1,220,968   
  6,543      Cliffs Natural Resources, Inc.(j)     38,277   
   

 

 

  
      1,259,245   
   

 

 

  
  Multi-Utilities – 0.1%  
  10,224      CMS Energy Corp.     429,510   
   

 

 

  
  Oil, Gas & Consumable Fuels – 0.4%   
  2,846      Chesapeake Energy Corp.(j)     17,844   
  10,741      Halcon Resources Corp.(j)     100,751   
  23,429      OGX Petroleo e Gas S.A., Sponsored ADR     15,698   
  82,985      Repsol YPF S.A., Sponsored ADR     1,132,745   
  78,750      Rex Energy Corp.(j)     45,982   
  33,796      Royal Dutch Shell PLC, Sponsored ADR     1,692,166   
  42,858      Whiting Petroleum Corp.(j)     374,579   
   

 

 

  
      3,379,765   
   

 

 

  
  Pharmaceuticals – 0.5%  
  64,900      Bristol-Myers Squibb Co.     3,499,408   
   

 

 

  
  REITs – Apartments – 0.0%  
  6,185      Apartment Investment & Management Co., Class A     283,953   
   

 

 

  
  REITs – Diversified – 0.2%  
  41,117      Weyerhaeuser Co.     1,313,277   
   

 

 

  
  REITs – Shopping Centers – 0.0%  
  7,868      DDR Corp.     137,139   
   

 

 

  
  Semiconductors & Semiconductor Equipment – 3.2%   
  603,280      Intel Corp.     22,773,820   
   

 

 

  
  Trading Companies & Distributors – 0.2%   
  20,913      United Rentals, Inc.(j)     1,641,461   
   

 

 

  
  Total Common Stocks  
  (Identified Cost $68,342,256)     77,291,760   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  46

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued

 

Shares

     Description   Value (†)  
  Preferred Stocks – 1.8%   
  Convertible Preferred Stocks – 1.5%   
  Banking – 0.0%  
  138      Wells Fargo & Co., Series L, Class A, 7.500%   $ 180,587   
   

 

 

  
  Communications – 0.0%  
  191      Cincinnati Bell, Inc., 6.750%     9,581   
   

 

 

  
  Electric – 0.1%  
  17,119      AES Trust III, 6.750%     873,069   
   

 

 

  
  Energy – 0.7%  
  94,364      El Paso Energy Capital Trust I, 4.750%     4,718,200   
   

 

 

  
  Midstream – 0.3%  
  12,537      Chesapeake Energy Corp., 5.000%(j)     537,524   
  160      Chesapeake Energy Corp.,
Series A, 5.750%, 144A(j)		     83,300   
  3,000      Chesapeake Energy Corp.,
5.750%, 144A(j)		     1,586,250   
  30      Chesapeake Energy Corp., 5.750%(j)     15,862   
   

 

 

  
      2,222,936   
   

 

 

  
  REITs – Diversified – 0.0%  
  15      Crown Castle International Corp., Series A, 4.500%     1,695   
   

 

 

  
  REITs – Mortgage – 0.3%  
  37,475      iStar, Inc., Series J, 4.500%     1,833,652   
   

 

 

  
  Technology – 0.1%  
  10,979      Belden, Inc., 6.750%     1,102,621   
   

 

 

  
  Total Convertible Preferred Stocks  
  (Identified Cost $11,424,334)     10,942,341   
   

 

 

  
  Non-Convertible Preferred Stocks – 0.3%   
  Banking – 0.1%  
  18,000      Bank of America Corp., 6.375%     460,620   
   

 

 

  
  Finance Companies – 0.1%  
  5,300      iStar, Inc., Series F, 7.800%     129,373   
  2,575      iStar, Inc., Series G, 7.650%     61,954   
  12,475      SLM Corp., Series A, 6.970%     641,340   
   

 

 

  
      832,667   
   

 

 

  
  Home Construction – 0.1%  
  96,887      Hovnanian Enterprises, Inc., 7.625%(j)     445,680   
   

 

 

  
  REITs – Warehouse/Industrials – 0.0%   
  3,363      ProLogis, Inc., Series Q, 8.540%     218,175   
   

 

 

  
  Total Non-Convertible Preferred Stocks  
  (Identified Cost $1,818,099)     1,957,142   
   

 

 

  
  Total Preferred Stocks  
  (Identified Cost $13,242,433)     12,899,483   
   

 

 

  
  Warrants – 0.0%   
  34,303      FairPoint Communications, Inc., Expiration on 1/24/2018 at
$48.81(c)(d)(j)		   —   
  2,917      Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(d)(j)     4,451   
   

 

 

  
  Total Warrants  
  (Identified Cost $—)     4,451   
   

 

 

  
 
 		 Principal
Amount (‡)		   
  		            
  Short-Term Investments – 1.3%   
$ 63,967      Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2016 at 0.000% to be repurchased at $63,967 on 10/03/2016 collateralized by $64,300 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $65,249 including accrued interest (Note 2 of Notes to Financial Statements)     63,967   
  9,205,426      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $9,205,449 on 10/03/2016 collateralized by $9,390,000 U.S. Treasury Note, 0.750% due 9/30/2018 valued at $9,390,000 including accrued interest (Note 2 of Notes to Financial Statements)     9,205,426   
   

 

 

  
  Total Short-Term Investments  
  (Identified Cost $9,269,393)     9,269,393   
   

 

 

  
  Total Investments – 98.6%  
  (Identified Cost $687,079,699)(a)     704,000,743   
  Other assets less liabilities—1.4%     10,187,421   
   

 

 

  
  Net Assets – 100.0%   $ 714,188,164   
   

 

 

  
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)      See Note 2 of Notes to Financial Statements.   
  (††)      Amount shown represents units. One unit represents a principal amount of 100.    
  (a)      Federal Tax Information:   
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $696,195,649 for federal income tax purposes was as follows:     
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 76,886,207   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (69,081,113 ) 
   

 

 

  
  Net unrealized appreciation   $ 7,805,094   
   

 

 

  
  (b)      Perpetual bond with no specified maturity date.   
  (c)      Illiquid security. (Unaudited)   

 

See accompanying notes to financial statements.

 

47  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued

 

  (d)      Fair valued security by the Fund’s investment adviser. At September 30, 2016, the value of these securities amounted to $2,654,900 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.
  (e)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $10,342,136 or 1.4% of net assets. See Note 2 of Notes to Financial Statements.
  (f)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
  (g)      Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
  (h)      Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.
  (i)      Variable rate security. Rate as of September 30, 2016 is disclosed.
  (j)      Non-income producing security.
  (k)      Maturity has been extended under the terms of a plan of reorganization.
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $150,167,052 or 21.0% of net assets.
  ABS      Asset-Backed Securities
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
  EMTN      Euro Medium Term Note
  GMTN      Global Medium Term Note
  GO      General Obligation
  MTN      Medium Term Note
  PIK      Payment-in-Kind
  REITs      Real Estate Investment Trusts
  AUD      Australian Dollar
  BRL      Brazilian Real
  CAD      Canadian Dollar
  EUR      Euro
  GBP      British Pound
  ISK      Icelandic Krona
  MXN      Mexican Peso
  NOK      Norwegian Krone
  NZD      New Zealand Dollar

Industry Summary at September 30, 2016

 

Treasuries

        7.9 % 

Technology

        7.7   

Independent Energy

        7.6   

Metals & Mining

        7.2   

Wirelines

        6.4   

Healthcare

        5.5   

Supermarkets

        4.0   

Electronic Equipment, Instruments & Components

        3.7   

Chemicals

        3.6   

Finance Companies

        3.5   

Cable Satellite

        3.3   

Semiconductors & Semiconductor Equipment

        3.2   

Airlines

        2.9   

Midstream

        2.6   

Building Materials

        2.5   

Other Investments, less than 2% each

        25.7   

Short-Term Investments

        1.3   
    

 

 

  

Total Investments

        98.6   

Other assets less liabilities

        1.4   
    

 

 

  

Net Assets

        100.0 % 
    

 

 

  

 

See accompanying notes to financial statements.

 

|  48

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – 91.1% of Net Assets  
  Non-Convertible Bonds – 86.6%  
  ABS Home Equity – 0.0%  
$ 47,636      Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A,
2.690%, 7/25/2035(b)(c)		   $ 43,515   
   

 

 

  
  ABS Other – 3.1%  
  2,834,196      FAN Engine Securitization Ltd., Series 2013-1A, Class 1A,
4.625%, 10/15/2043, 144A(d)(e)		     2,805,089   
  10,053,745      Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A,
4.750%, 10/15/2042, 144A		     9,790,538   
  554,648      Trinity Rail Leasing LP, Series 2009-1A, Class A,
6.657%, 11/16/2039, 144A		     607,988   
  346,741     

Trinity Rail Leasing LP, Series 2012-1A, Class A1,

2.266%, 1/15/2043, 144A

     339,264   
  784,888      Trip Rail Master Funding LLC, Series 2011-1A, Class A1A,
4.370%, 7/15/2041, 144A		     803,920   
   

 

 

  
      14,346,799   
   

 

 

  
  Aerospace & Defense – 0.2%   
  410,000      Textron, Inc., EMTN,
6.625%, 4/07/2020, (GBP)		     604,954   
  340,000      TransDigm, Inc., 6.500%, 5/15/2025     354,025   
   

 

 

  
      958,979   
   

 

 

  
  Airlines – 1.8%   
  307,016      Air Canada Pass Through Trust, Series 2013-1, Class B,
5.375%, 11/15/2022, 144A		     316,226   
  510,293      American Airlines Pass Through Trust, Series 2013-1, Class A,
4.000%, 1/15/2027		     542,733   
  90,936      Continental Airlines Pass Through Certificates, Series 2012-2, Class B,
5.500%, 4/29/2022		     95,071   
  839,000      Continental Airlines Pass Through Certificates, Series 2012-3, Class C,
6.125%, 4/29/2018		     876,755   
  145,663      Continental Airlines Pass Through Trust, Series 2000-2, Class A-1,
7.707%, 10/02/2022		     158,772   
  641,833      Continental Airlines Pass Through Trust, Series 2007-1, Class A,
5.983%, 10/19/2023		     723,667   
  84,209      Continental Airlines Pass Through Trust, Series 2012-1, Class B,
6.250%, 10/11/2021		     90,314   
  783,718      Delta Air Lines Pass Through Trust, Series 2007-1, Class B,
8.021%, 2/10/2024		     892,498   
  1,736,072      Delta Air Lines Pass Through Trust, Series 2009-1, Class A,
7.750%, 6/17/2021		     1,962,456   
  Airlines – continued   
$ 811,520      Delta Air Lines Pass Through Trust, Series 2010-1, Class A,
6.200%, 1/02/2020		   $ 862,241   
  474,097      US Airways Pass Through Trust, Series 2011-1, Class A,
7.125%, 4/22/2025		     565,360   
  900,574      US Airways Pass Through Trust, Series 2012-2A, Class A,
4.625%, 12/03/2026		     981,625   
   

 

 

  
      8,067,718   
   

 

 

  
  Automotive – 2.9%  
  840,000      Cummins, Inc., 5.650%, 3/01/2098     938,843   
  10,935,000      Ford Motor Credit Co. LLC, GMTN,
4.389%, 1/08/2026		     11,665,972   
  200,000      General Motors Co., 5.200%, 4/01/2045     208,036   
  340,000      General Motors Co., 6.750%, 4/01/2046     426,250   
   

 

 

  
      13,239,101   
   

 

 

  
  Banking – 10.9%   
  2,875,000      Ally Financial, Inc., 4.125%, 2/13/2022     2,907,344   
  130,000      Bank of America Corp., 5.420%, 3/15/2017     132,243   
  800,000      Bank of America Corp., 5.490%, 3/15/2019     864,354   
  683,000      Bank of America Corp., MTN,
3.300%, 1/11/2023		     707,020   
  400,000      Bank of America Corp., MTN,
4.250%, 10/22/2026		     424,375   
  750,000      Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019     860,707   
  3,305,000      Capital One NA, 2.400%, 9/05/2019     3,357,269   
  1,045,000      Citigroup, Inc.,
5.130%, 11/12/2019, (NZD)		     797,969   
  3,545,000      Citigroup, Inc.,
6.250%, 6/29/2017, (NZD)		     2,638,966   
  250,000      Cooperatieve Rabobank UA,
1.700%, 3/19/2018		     251,231   
  815,000      Cooperatieve Rabobank UA,
3.875%, 2/08/2022		     891,917   
  4,099,000      Goldman Sachs Group, Inc. (The),
3.375%, 2/01/2018, (CAD)		     3,198,748   
  6,050,000      Goldman Sachs Group, Inc. (The),
3.550%, 2/12/2021, (CAD)		     4,880,120   
  660,000      Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020     730,843   
  4,110,000      JPMorgan Chase & Co.,
4.125%, 12/15/2026		     4,385,399   
  300,000      JPMorgan Chase & Co., EMTN,
0.829%, 5/30/2017, (GBP)(b)		     387,484   
  1,291,000      Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034     1,521,766   
  665,000      Morgan Stanley, 2.500%, 1/24/2019     677,608   
  615,000      Morgan Stanley, 3.750%, 2/25/2023     653,187   
  1,215,000      Morgan Stanley, 4.350%, 9/08/2026     1,297,136   
  840,000      Morgan Stanley, 5.750%, 1/25/2021     957,545   
  1,518,000      Morgan Stanley,
8.000%, 5/09/2017, (AUD)		     1,197,963   

 

See accompanying notes to financial statements.

 

49  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Banking – continued   
$ 5,992,000      Morgan Stanley, MTN, 4.100%, 5/22/2023   $ 6,335,108   
  2,202,000      Morgan Stanley, MTN, 6.250%, 8/09/2026     2,760,786   
  455,000      Morgan Stanley, Series F, MTN,
1.129%, 10/18/2016(b)		     455,062   
  420,000      National City Bank of Indiana,
4.250%, 7/01/2018		     438,449   
  905,000      Royal Bank of Scotland Group PLC,
6.000%, 12/19/2023		     943,207   
  2,695,000      Royal Bank of Scotland Group PLC,
6.125%, 12/15/2022		     2,855,660   
  50,000      Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)     56,773   
  304,000      Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)     370,584   
  100,000      Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)     114,512   
  1,500,000      Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(f)     2,138,647   
   

 

 

  
      50,189,982   
   

 

 

  
  Brokerage – 1.1%   
  3,223,000      Jefferies Group LLC, 5.125%, 1/20/2023     3,433,758   
  934,000      Jefferies Group LLC, 6.250%, 1/15/2036     973,487   
  437,000      Jefferies Group LLC, 6.450%, 6/08/2027     494,728   
  80,000      Jefferies Group LLC, 6.875%, 4/15/2021     93,334   
   

 

 

  
      4,995,307   
   

 

 

  
  Building Materials – 0.8%   
  1,010,000      Masco Corp., 6.500%, 8/15/2032     1,111,000   
  285,000      Masco Corp., 7.750%, 8/01/2029     340,575   
  1,712,000      Owens Corning, 7.000%, 12/01/2036     2,161,198   
   

 

 

  
      3,612,773   
   

 

 

  
  Cable Satellite – 0.0%   
  15,000      Cox Communications, Inc.,
4.800%, 2/01/2035, 144A		     14,864   
  185,000      Time Warner Cable LLC, 5.500%, 9/01/2041     197,470   
   

 

 

  
      212,334   
   

 

 

  
  Chemicals – 0.7%   
  2,995,000      INVISTA Finance LLC,
4.250%, 10/15/2019, 144A		     2,980,265   
  140,000      Methanex Corp., 5.250%, 3/01/2022     144,603   
   

 

 

  
      3,124,868   
   

 

 

  
  Collateralized Mortgage Obligations – 0.1%   
  512,433      Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH,
5.500%, 1/15/2035		     586,337   
  5,423      Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020(c)     5,603   
   

 

 

  
      591,940   
   

 

 

  
  Consumer Products – 0.1%   
$ 459,000      Hasbro, Inc., 6.600%, 7/15/2028   $ 555,531   
   

 

 

  
  Diversified Manufacturing – 2.3%  
  65,000      General Electric Co., GMTN,
3.100%, 1/09/2023		     69,054   
  12,895,000      General Electric Co., GMTN,
4.250%, 1/17/2018, (NZD)		     9,530,396   
  600,000      General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)     440,297   
  592,000      Snap-on, Inc., 6.700%, 3/01/2019     662,087   
   

 

 

  
      10,701,834   
   

 

 

  
  Electric – 2.7%   
  985,000      Allegheny Energy Supply Co. LLC,
6.750%, 10/15/2039, 144A		     765,837   
  818,032      Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(d)(e)     416,526   
  468,000      Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017     477,475   
  1,800,000      EDP Finance BV, 4.125%, 1/15/2020, 144A     1,865,700   
  2,581,000      EDP Finance BV, 4.900%, 10/01/2019, 144A     2,743,113   
  607,000      EDP Finance BV, 6.000%, 2/02/2018, 144A     634,533   
  450,000      EDP Finance BV, EMTN,
8.625%, 1/04/2024, (GBP)		     796,146   
  683,000      Enel Finance International NV,
5.125%, 10/07/2019, 144A		     749,339   
  1,322,000      Enel Finance International NV,
6.000%, 10/07/2039, 144A		     1,598,710   
  531,000      Enel Finance International NV,
6.800%, 9/15/2037, 144A		     701,421   
  875,000      Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)     1,584,272   
   

 

 

  
      12,333,072   
   

 

 

  
  Finance Companies – 4.1%   
  3,826,000      Aviation Capital Group Corp.,
6.750%, 4/06/2021, 144A		     4,495,550   
  286,000      General Electric Co., Series A, MTN,
0.980%, 5/13/2024(b)		     267,939   
  30,000      International Lease Finance Corp.,
3.875%, 4/15/2018		     30,713   
  889,000      International Lease Finance Corp.,
4.625%, 4/15/2021		     931,228   
  19,000      International Lease Finance Corp.,
5.875%, 8/15/2022		     21,066   
  2,080,000      International Lease Finance Corp.,
6.250%, 5/15/2019		     2,254,200   
  490,000      Navient LLC, 4.875%, 6/17/2019     488,163   
  4,297,000      Navient LLC, 5.500%, 1/25/2023     3,942,497   
  129,000      Navient LLC, MTN, 4.625%, 9/25/2017     130,935   
  159,000      Navient LLC, MTN, 5.500%, 1/15/2019     161,385   
  1,382,000      Navient LLC, MTN, 7.250%, 1/25/2022     1,409,640   
  983,000      Navient LLC, Series A, MTN,
5.625%, 8/01/2033(d)(e)		     781,485   
  611,000      Springleaf Finance Corp., 5.250%, 12/15/2019     623,984   

 

See accompanying notes to financial statements.

 

|  50

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Finance Companies – continued   
$ 1,522,000      Springleaf Finance Corp., 7.750%, 10/01/2021   $ 1,596,197   
  611,000      Springleaf Finance Corp., 8.250%, 10/01/2023     641,550   
  987,000      Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017     1,021,545   
   

 

 

  
      18,798,077   
   

 

 

  
  Government Guaranteed – 1.0%   
  5,314,000      Japan Bank for International Cooperation (Japan),
2.300%, 3/19/2018, (CAD)		     4,102,913   
  736,000      Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)     559,737   
   

 

 

  
      4,662,650   
   

 

 

  
  Government Owned – No Guarantee – 0.4%   
  780,000      Pertamina Persero PT,
6.450%, 5/30/2044, 144A		     903,551   
  705,000      Petrobras Global Finance BV,
4.375%, 5/20/2023		     630,623   
  625,000      Petrobras Global Finance BV,
5.625%, 5/20/2043		     471,875   
   

 

 

  
      2,006,049   
   

 

 

  
  Health Insurance – 0.0%   
  15,000      Cigna Corp., 7.875%, 5/15/2027     20,968   
   

 

 

  
  Healthcare – 1.6%  
  649,000      Boston Scientific Corp., 6.000%, 1/15/2020     733,163   
  1,520,000      HCA, Inc., 4.500%, 2/15/2027     1,529,500   
  4,388,000      HCA, Inc., 5.250%, 4/15/2025     4,678,705   
  42,000      HCA, Inc., 5.875%, 3/15/2022     46,305   
  232,000      HCA, Inc., MTN, 7.750%, 7/15/2036     251,430   
   

 

 

  
      7,239,103   
   

 

 

  
  Home Construction – 0.8%   
  2,536,000      PulteGroup, Inc., 6.000%, 2/15/2035     2,561,360   
  1,105,000      PulteGroup, Inc., 6.375%, 5/15/2033     1,151,042   
   

 

 

  
      3,712,402   
   

 

 

  
  Hybrid ARMs – 0.0%   
  25,406      FNMA, 2.423%, 2/01/2037(b)     26,422   
  32,869      FNMA, 3.002%, 9/01/2036(b)     34,812   
   

 

 

  
      61,234   
   

 

 

  
  Independent Energy – 1.5%   
  115,000      Anadarko Petroleum Corp., 6.375%, 9/15/2017     119,892   
  46,000      Chesapeake Energy Corp., 6.625%, 8/15/2020     43,298   
  42,000      Chesapeake Energy Corp.,
6.875%, 11/15/2020		     39,270   
  450,000      Continental Resources, Inc.,
3.800%, 6/01/2024		     411,750   
  80,000      Continental Resources, Inc.,
4.500%, 4/15/2023		     76,800   
  Independent Energy – continued   
$ 2,277,000      EQT Corp., 8.125%, 6/01/2019   $ 2,602,723   
  1,632,000      Equitable Resources, Inc., 6.500%, 4/01/2018     1,710,657   
  1,805,000      Noble Energy, Inc., 3.900%, 11/15/2024     1,840,934   
   

 

 

  
      6,845,324   
   

 

 

  
  Integrated Energy – 0.1%   
  500,000      Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A     563,308   
   

 

 

  
  Life Insurance – 2.2%  
  50,000      American International Group, Inc.,
4.125%, 2/15/2024		     53,876   
  71,000      American International Group, Inc.,
4.875%, 6/01/2022		     79,885   
  1,788,000      Forethought Financial Group, Inc.,
8.625%, 4/15/2021, 144A(d)(e)		     2,055,771   
  1,898,000      National Life Insurance Co.,
10.500%, 9/15/2039, 144A(d)(e)		     2,910,545   
  1,989,000      NLV Financial Corp.,
7.500%, 8/15/2033, 144A(d)(e)		     2,294,304   
  2,190,000      Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A     2,858,519   
   

 

 

  
      10,252,900   
   

 

 

  
  Local Authorities – 1.5%   
  2,407,000      New South Wales Treasury Corp.,
3.500%, 3/20/2019, (AUD)		     1,922,091   
  3,412,400      New South Wales Treasury Corp.,
6.000%, 2/01/2018, (AUD)		     2,758,877   
  3,037,000      New South Wales Treasury Corp., Series 17RG,
5.500%, 3/01/2017, (AUD)		     2,359,954   
   

 

 

  
      7,040,922   
   

 

 

  
  Media Entertainment – 0.5%   
  182,000      21st Century Fox America, Inc.,
8.150%, 10/17/2036		     264,111   
  18,220,000      Grupo Televisa SAB, EMTN,
7.250%, 5/14/2043, (MXN)		     814,605   
  50,000      Viacom, Inc., 4.375%, 3/15/2043     45,903   
  845,000      Viacom, Inc., 5.250%, 4/01/2044     884,666   
  305,000      Viacom, Inc., 5.850%, 9/01/2043     343,993   
   

 

 

  
      2,353,278   
   

 

 

  
  Metals & Mining – 1.5%   
  319,000      ArcelorMittal, 7.250%, 2/25/2022     362,065   
  1,750,000      ArcelorMittal, 7.750%, 3/01/2041     1,824,375   
  387,000      ArcelorMittal, 8.000%, 10/15/2039     417,960   
  1,717,000      Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.,
6.500%, 11/15/2020		     1,762,071   
  1,571,000      United States Steel Corp., 7.500%, 3/15/2022     1,547,435   
  873,000      Worthington Industries, Inc.,
6.500%, 4/15/2020		     970,029   
   

 

 

  
      6,883,935   
   

 

 

  
  Midstream – 3.1%   
  159,000      DCP Midstream LLC,
6.450%, 11/03/2036, 144A		     154,628   

 

See accompanying notes to financial statements.

 

51  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Midstream – continued   
$ 1,330,000      Enbridge Energy Partners LP,
5.875%, 10/15/2025		   $ 1,529,029   
  1,265,000      Enbridge Energy Partners LP,
7.375%, 10/15/2045		     1,599,580   
  152,000      Florida Gas Transmission Co.,
7.900%, 5/15/2019, 144A		     172,419   
  607,000      IFM U.S. Colonial Pipeline 2 LLC,
6.450%, 5/01/2021, 144A		     685,294   
  8,400,000      ONEOK Partners LP, 4.900%, 3/15/2025     9,036,107   
  55,000      ONEOK Partners LP, 6.200%, 9/15/2043     60,762   
  615,000      Southern Natural Gas Co.,
5.900%, 4/01/2017, 144A		     628,090   
  500,000      Williams Partners LP, 3.350%, 8/15/2022     494,945   
   

 

 

  
      14,360,854   
   

 

 

  
  Mortgage Related – 0.0%   
  424      FHLMC, 10.000%, with various maturities in 2018(g)     444   
  1,040      FNMA, 6.000%, 12/01/2018     1,191   
  1,470      GNMA, 10.000%, 5/15/2018     1,477   
   

 

 

  
      3,112   
   

 

 

  
  Natural Gas – 0.4%   
  1,518,000      NiSource Finance Corp.,
6.125%, 3/01/2022		     1,811,287   
   

 

 

  
  Non-Agency Commercial Mortgage-Backed Securities – 2.9%    
  220,215      Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.910%, 6/11/2040(b)     223,633   
  345,390      CD Commercial Mortgage Trust, Series 2007-CD4, Class A4,
5.322%, 12/11/2049		     346,864   
  1,655,000      Commercial Mortgage Trust, Series 2014-FL5, Class SV2,
2.874%, 10/15/2031, 144A(b)(d)(e)		     1,653,798   
  580,000      Commercial Mortgage Trust, Series 2014-FL5, Class SV3,
3.474%, 10/15/2031, 144A(b)(d)(e)		     579,307   
  505,000      Commercial Mortgage Trust, Series 2014-FL5, Class SV4,
4.674%, 10/15/2031, 144A(b)(d)(e)		     505,142   
  1,694,749      Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4,
5.881%, 6/15/2039(b)		     1,712,429   
  999,909      Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4,
6.134%, 9/15/2039(b)		     1,022,619   
  356,657      Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4,
5.695%, 9/15/2040(b)		     364,839   
  897,354      Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049     921,065   
  Non-Agency Commercial Mortgage-Backed Securities – continued    
$ 231,160      GS Mortgage Securities Trust, Series 2007-GG10, Class A4,
5.988%, 8/10/2045(b)		   $ 234,648   
  410,929      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)     310,746   
  778,163      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4,
5.940%, 6/15/2049(b)		     788,872   
  500,340      JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3,
5.420%, 1/15/2049		     504,065   
  189,790      Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4,
5.692%, 4/15/2049(b)		     191,856   
  491,608      Morgan Stanley Capital I Trust, Series 2008-T29, Class A4,
6.477%, 1/11/2043(b)		     514,565   
  3,515,000      Original Wempi, Inc.,
4.309%, 2/13/2024, (CAD)		     2,900,843   
  303,664      Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043     305,602   
  94,890      WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D,
5.813%, 3/15/2044, 144A(b)		     99,520   
   

 

 

  
      13,180,413   
   

 

 

  
  Oil Field Services – 0.2%   
  827,000      Rowan Cos., Inc.,
7.875%, 8/01/2019		     882,822   
   

 

 

  
  Packaging – 0.4%  
  1,660,000      Sealed Air Corp.,
5.500%, 9/15/2025, 144A		     1,780,350   
   

 

 

  
  Paper – 0.3%  
  704,000      Georgia-Pacific LLC, 7.250%, 6/01/2028     952,959   
  175,000      WestRock MWV LLC, 7.550%, 3/01/2047(d)(e)     224,342   
  133,000      WestRock MWV LLC, 8.200%, 1/15/2030     181,353   
   

 

 

  
      1,358,654   
   

 

 

  
  Property & Casualty Insurance – 1.1%   
  87,000      MBIA Insurance Corp., 11.940%, 1/15/2033, 144A(b)(h)     34,800   
  1,640,000      Old Republic International Corp., 4.875%, 10/01/2024     1,773,312   
  167,000      Sirius International Group, 6.375%, 3/20/2017, 144A     169,646   
  1,530,000      XLIT Ltd., 6.250%, 5/15/2027     1,847,778   
  1,211,000      XLIT Ltd., 6.375%, 11/15/2024     1,442,988   
   

 

 

  
      5,268,524   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  52

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Railroads – 0.0%   
$ 144,000      Missouri Pacific Railroad Co., 5.000%, 1/01/2045(d)(e)   $ 140,802   
   

 

 

  
  REITs – Office Property – 0.2%  
  816,000      Highwoods Properties, Inc., 7.500%, 4/15/2018     882,286   
  61,000      Highwoods Realty LP, 5.850%, 3/15/2017     62,096   
   

 

 

  
      944,382   
   

 

 

  
  REITs – Single Tenant – 0.1%  
  109,000      Realty Income Corp., 5.750%, 1/15/2021     124,260   
  270,000      Realty Income Corp., 6.750%, 8/15/2019     306,962   
   

 

 

  
      431,222   
   

 

 

  
  Restaurants – 0.1%  
  463,000      Darden Restaurants, Inc., 6.000%, 8/15/2035     505,062   
   

 

 

  
  Retailers – 0.0%  
  66,000      J.C. Penney Corp., Inc., 6.375%, 10/15/2036     56,760   
   

 

 

  
  Sovereigns – 2.2%  
  2,429,000      Republic of Iceland, 5.875%, 5/11/2022, 144A     2,853,735   
  2,806,000      U.S. Department of Housing and Urban Development, 1.980%, 8/01/2020     2,881,594   
  1,851,000      U.S. Department of Housing and Urban Development, 2.350%, 8/01/2021     1,935,072   
  2,244,000      U.S. Department of Housing and Urban Development, 2.450%, 8/01/2022     2,360,037   
   

 

 

  
      10,030,438   
   

 

 

  
  Supermarkets – 0.6%  
  171,000      Koninklijke Ahold Delhaize NV,
5.700%, 10/01/2040		     206,978   
  272,000      New Albertson’s, Inc., 7.450%, 8/01/2029     266,560   
  230,000      New Albertson’s, Inc., 7.750%, 6/15/2026     229,137   
  1,017,000      New Albertson’s, Inc., 8.000%, 5/01/2031     1,003,016   
  167,000      New Albertson’s, Inc., 8.700%, 5/01/2030     169,505   
  65,000      New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028     59,800   
  1,063,000      SUPERVALU, Inc., 6.750%, 6/01/2021     993,905   
   

 

 

  
      2,928,901   
   

 

 

  
  Supranational – 0.5%  
  3,321,000      Inter-American Development Bank, EMTN,
6.000%, 12/15/2017, (NZD)		     2,519,468   
   

 

 

  
  Technology – 1.9%  
$ 2,706,000      Corning, Inc., 7.250%, 8/15/2036   $ 3,354,206   
  2,695,000      Ingram Micro, Inc., 5.250%, 9/01/2017     2,772,611   
  990,000      KLA-Tencor Corp., 5.650%, 11/01/2034     1,102,208   
  37,000      Motorola Solutions, Inc., 6.625%, 11/15/2037     38,328   
  228,000      Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A		     290,892   
  1,125,000      Western Digital Corp.,
7.375%, 4/01/2023, 144A		     1,237,500   
   

 

 

  
      8,795,745   
   

 

 

  
  Transportation Services – 0.3%  
  76,000      APL Ltd., 8.000%, 1/15/2024(d)(e)     50,160   
  419,145      Atlas Air Pass Through Trust,
Series 1998-1, Class B,
7.680%, 1/02/2018(c)		     426,481   
  717,000      ERAC USA Finance LLC,
6.700%, 6/01/2034, 144A		     951,108   
   

 

 

  
      1,427,749   
   

 

 

  
  Treasuries – 25.1%  
  8,301,000      Canadian Government,
0.250%, 5/01/2017, (CAD)		     6,317,226   
  30,366,000      Canadian Government,
0.750%, 9/01/2020, (CAD)		     23,307,488   
  26,800,000      Canadian Government,
1.750%, 9/01/2019, (CAD)		     21,149,928   
  62,675,000      Iceland Government International Bond, 6.000%, 10/13/2016, (ISK)     373,010   
  51,425,000      Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)     338,242   
  87,450,000      Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)     561,137   
  255,000(††)      Mexican Fixed Rate Bonds,
Series M,
7.750%, 5/29/2031, (MXN)		     1,487,624   
  265,000(††)      Mexican Fixed Rate Bonds, Series M-20,
7.500%, 6/03/2027, (MXN)		     1,511,837   
  737,400(††)      Mexican Fixed Rate Bonds, Series M-20,
8.000%, 12/07/2023, (MXN)		     4,275,469   
  175,000(††)      Mexican Fixed Rate Bonds, Series M-20,
8.500%, 5/31/2029, (MXN)		     1,078,517   
  1,165,000(††)      Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)     7,590,268   
  1,675,000      New Zealand Government Bond,
5.000%, 3/15/2019, (NZD)		     1,309,237   
  10,896,000      Norway Government Bond,
3.750%, 5/25/2021, 144A, (NOK)		     1,538,900   
  28,844,000      Norway Government Bond,
4.250%, 5/19/2017, 144A, (NOK)		     3,690,665   
  15,641,000      Norway Government Bond,
4.500%, 5/22/2019, 144A, (NOK)		     2,147,962   
  3,986,000      Republic of Brazil,
8.500%, 1/05/2024, (BRL)		     1,132,195   
  20,000,000      U.S. Treasury Note, 0.750%, 10/31/2017     20,014,060   

 

See accompanying notes to financial statements.

 

53  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Treasuries – continued  
$ 13,000,000      U.S. Treasury Note, 0.750%, 4/30/2018   $ 13,001,521   
  5,000,000      U.S. Treasury Note, 0.750%, 9/30/2018     4,998,440   
   

 

 

  
      115,823,726   
   

 

 

  
  Wireless – 0.2%  
  10,630,000      America Movil SAB de CV,
6.450%, 12/05/2022, (MXN)		     533,974   
  178,000      Sprint Capital Corp., 6.875%, 11/15/2028     167,097   
  66,000      Sprint Communications, Inc.,
6.000%, 11/15/2022		     61,215   
  25,000      Sprint Corp., 7.125%, 6/15/2024     24,375   
   

 

 

  
      786,661   
   

 

 

  
  Wirelines – 5.1%  
  1,985,000      AT&T, Inc., 2.625%, 12/01/2022     2,000,737   
  1,585,000      AT&T, Inc., 3.000%, 2/15/2022     1,636,566   
  1,860,000      AT&T, Inc., 3.950%, 1/15/2025     1,974,403   
  1,518,000      BellSouth Telecommunications LLC, 5.850%, 11/15/2045     1,568,216   
  186,000      CenturyLink, Inc., Series G,
6.875%, 1/15/2028		     179,258   
  1,719,000      CenturyLink, Inc., Series P,
7.600%, 9/15/2039		     1,495,530   
  926,000      Embarq Corp., 7.995%, 6/01/2036     937,094   
  228,000      Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(h)     58,908   
  100,000      Portugal Telecom International Finance BV, EMTN,
5.000%, 11/04/2019, (EUR)(h)		     25,837   
  380,000      Qwest Capital Funding, Inc.,
6.500%, 11/15/2018		     401,850   
  1,856,000      Qwest Corp., 6.875%, 9/15/2033     1,850,243   
  1,427,000      Telecom Italia Capital S.A.,
6.000%, 9/30/2034		     1,413,087   
  150,000      Telefonica Emisiones SAU,
4.570%, 4/27/2023		     166,821   
  300,000      Telefonica Emisiones SAU, EMTN,
5.289%, 12/09/2022, (GBP)		     473,304   
  1,000,000      Telefonica Emisiones SAU, EMTN,
5.375%, 2/02/2026, (GBP)		     1,660,380   
  400,000      Telefonica Emisiones SAU, EMTN,
5.445%, 10/08/2029, (GBP)		     698,899   
  6,725,000      Verizon Communications, Inc.,
2.450%, 11/01/2022		     6,829,910   
   

 

 

  
      23,371,043   
   

 

 

  
  Total Non-Convertible Bonds  
  (Identified Cost $396,241,005)     399,821,878   
   

 

 

  
  Convertible Bonds – 4.0%   
  Midstream – 0.0%  
  170,000     

Chesapeake Energy Corp.,

2.500%, 5/15/2037

     168,938   
   

 

 

  
  Property & Casualty Insurance – 1.8%   
$ 6,829,000      Old Republic International Corp.,
3.750%, 3/15/2018		   $ 8,199,068   
   

 

 

  
  Technology – 2.2%  
  3,568,000      Intel Corp., 3.250%, 8/01/2039     6,524,980   
  402,000      Lam Research Corp., Series B,
1.250%, 5/15/2018		     639,934   
  2,615,000      Priceline Group, Inc. (The),
0.900%, 9/15/2021		     2,807,856   
   

 

 

  
      9,972,770   
   

 

 

  
  Total Convertible Bonds  
  (Identified Cost $13,440,120)     18,340,776   
   

 

 

  
  Municipals – 0.5%   
  Illinois – 0.1%  
  315,000      State of Illinois, 5.100%, 6/01/2033     303,660   
   

 

 

  
  Michigan – 0.1%  
  715,000      Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034     701,651   
   

 

 

  
  Virginia – 0.3%  
  1,595,000      Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046     1,369,913   
   

 

 

  
  Total Municipals  
  (Identified Cost $2,548,668)     2,375,224   
   

 

 

  
  Total Bonds and Notes  
  (Identified Cost $412,229,793)     420,537,878   
   

 

 

  
  Senior Loans – 0.4%   
  Finance Companies – 0.4%  
  1,878,922      Flying Fortress, Inc., New Term Loan, 3.588%, 4/30/2020 (b) (Identified Cost $1,877,230)     1,889,256   
   

 

 

  
  Shares               
  Common Stocks – 4.6%   
  Automobiles – 0.2%  
  91,715      Ford Motor Co.     1,107,000   
   

 

 

  
  Chemicals – 0.1%  
  3,363      PPG Industries, Inc.     347,599   
   

 

 

  
  Electronic Equipment, Instruments & Components – 3.7%    
  721,200      Corning, Inc.     17,056,380   
   

 

 

  
  Metals & Mining – 0.1%  
  84,025      ArcelorMittal, (Registered)(h)     507,511   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  54

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

Shares

     Description   Value (†)  
  Common Stocks – continued   
  Oil, Gas & Consumable Fuels – 0.5%   
  64,896      Repsol YPF S.A., Sponsored ADR   $ 885,831   
  26,419      Royal Dutch Shell PLC, Sponsored ADR     1,322,799   
   

 

 

  
      2,208,630   
   

 

 

  
  Total Common Stocks  
  (Identified Cost $14,367,967)     21,227,120   
   

 

 

  
  Preferred Stocks – 0.7%   
  Convertible Preferred Stocks – 0.6%   
  Banking – 0.2%  
  714      Bank of America Corp., Series L, 7.250%     871,680   
   

 

 

  
  Energy – 0.2%  
  15,775      El Paso Energy Capital Trust I, 4.750%     788,750   
   

 

 

  
  Metals & Mining – 0.2%  
  31,440      Alcoa, Inc., Series 1, 5.375%     1,027,773   
   

 

 

  
  Midstream – 0.0%  
  4,353      Chesapeake Energy Corp., 5.000%(h)     186,635   
   

 

 

  
  Total Convertible Preferred Stocks  
  (Identified Cost $3,134,105)     2,874,838   
   

 

 

  
  Non-Convertible Preferred Stocks – 0.1%   
  Electric – 0.1%  
  213      Connecticut Light & Power Co., 2.200%     11,063   
  2,360      Union Electric Co., 4.500%     238,596   
   

 

 

  
      249,659   
   

 

 

  
  Total Non-Convertible Preferred Stocks   
  (Identified Cost $131,140)     249,659   
   

 

 

  
  Total Preferred Stocks  
  (Identified Cost $3,265,245)     3,124,497   
   

 

 

  
Principal
Amount (‡)		     Description   Value (†)  
  Short-Term Investments – 3.4%   
$ 15,542,796      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $15,542,835 on 10/03/2016 collateralized by $15,680,000 U.S.Treasury Note, 1.500% due 3/31/2023 valued at $15,856,400 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $15,542,796)   $ 15,542,796   
   

 

 

  
  Total Investments – 100.2%  
  (Identified Cost $447,283,031)(a)     462,321,547   
  Other assets less liabilities—(0.2)%     (892,763 ) 
   

 

 

  
  Net Assets – 100.0%   $ 461,428,784   
   

 

 

  
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)      See Note 2 of Notes to Financial Statements.   
  (††)      Amount shown represents units. One unit represents a principal amount of 100.    
  (a)      Federal Tax Information:  
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $450,585,021 for federal income tax purposes was as follows:     
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 38,263,642   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (26,527,116 ) 
   

 

 

  
  Net unrealized appreciation   $ 11,736,526   
   

 

 

  
  (b)      Variable rate security. Rate as of September 30, 2016 is disclosed.   
  (c)      Fair valued by the Fund’s adviser. At September 30, 2016, the value of this security amounted to $475,599 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.     
  (d)      Illiquid security. (Unaudited)   
  (e)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $14,417,271 or 3.1% of net assets. See Note 2 of Notes to Financial Statements.      
  (f)      Perpetual bond with no specified maturity date.   
  (g)      The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.       
  (h)      Non-income producing security.   
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $62,842,594 or 13.6% of net assets.        
  ABS      Asset-Backed Securities   
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.       
  ARMs      Adjustable Rate Mortgages   
  EMTN      Euro Medium Term Note   
  FHLMC      Federal Home Loan Mortgage Corp.   

 

See accompanying notes to financial statements.

 

55  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued

 

  FNMA      Federal National Mortgage Association
  GMTN      Global Medium Term Note
  GNMA      Government National Mortgage Association
  MTN      Medium Term Note
  REITs      Real Estate Investment Trusts
  REMIC      Real Estate Mortgage Investment Conduit
  AUD      Australian Dollar
  BRL      Brazilian Real
  CAD      Canadian Dollar
  EUR      Euro
  GBP      British Pound
  ISK      Icelandic Krona
  MXN      Mexican Peso
  NOK      Norwegian Krone
  NZD      New Zealand Dollar

Industry Summary at September 30, 2016

 

Treasuries

        25.1 % 

Banking

        11.1   

Wirelines

        5.1   

Finance Companies

        4.5   

Technology

        4.1   

Electronic Equipment, Instruments & Components

        3.7   

Midstream

        3.1   

ABS Other

        3.1   

Property & Casualty Insurance

        2.9   

Automotive

        2.9   

Non-Agency Commercial Mortgage-Backed Securities

        2.9   

Electric

        2.8   

Diversified Manufacturing

        2.3   

Life Insurance

        2.2   

Sovereigns

        2.2   

Other Investments, less than 2% each

        18.8   

Short-Term Investments

        3.4   
    

 

 

  

Total Investments

        100.2   

Other assets less liabilities

        (0.2 ) 
    

 

 

  

Net Assets

        100.0 % 
    

 

 

  

Currency Exposure Summary at September 30, 2016

 

United States Dollar

        72.3 % 

Canadian Dollar

        14.5   

New Zealand Dollar

        3.9   

Mexican Peso

        3.5   

Other, less than 2% each

        6.0   
    

 

 

  

Total Investments

        100.2   

Other assets less liabilities

        (0.2 ) 
    

 

 

  

Net Assets

        100.0 % 
    

 

 

  

 

 

See accompanying notes to financial statements.

 

|  56

Table of Contents

Statements of Assets and Liabilities

September 30, 2016

 

 

        Fixed Income
Fund		      Global Bond
Fund		      Inflation
Protected
Securities Fund		  

ASSETS

           

Investments at cost

      $ 1,161,152,972       $ 1,230,468,807       $ 30,224,598   

Net unrealized appreciation

        21,871,392         1,413,747         918,018   
    

 

 

     

 

 

     

 

 

  

Investments at value

        1,183,024,364         1,231,882,554         31,142,616   

Cash

        4,119,210         —         —   

Due from brokers (Note 2)

        —         1,319,827         45,000   

Foreign currency at value (identified cost $168,225, $13,455,397 and $0, respectively)

        168,502         13,432,385         —   

Receivable for Fund shares sold

        —         3,261,982         132,160   

Receivable for securities sold

        49,627         27,088,704         —   

Receivable for when-issued/delayed delivery securities sold (Note 2)

        —         70,882,464         —   

Collateral received for delayed delivery securities or forward foreign currency contracts (Notes 2 and 4)

        —         1,810,000         —   

Dividends and interest receivable

        14,911,588         9,627,989         62,461   

Unrealized appreciation on forward foreign currency contracts (Note 2)

        —         2,204,589         —   

Tax reclaims receivable

        22,309         4,082         —   

Receivable for variation margin on futures contracts (Note 2)

        —         285,378         7,031   

Prepaid expenses (Note 8)

        5,144         6,497         112   
    

 

 

     

 

 

     

 

 

  

TOTAL ASSETS

        1,202,300,744         1,361,806,451         31,389,380   
    

 

 

     

 

 

     

 

 

  
LIABILITIES           

Payable for securities purchased

        —         6,746,848         —   

Payable for when-issued/delayed delivery securities purchased (Note 2)

        —         127,494,744         —   

Payable for Fund shares redeemed

        —         1,343,829         10,639   

Unrealized depreciation on forward foreign currency contracts (Note 2)

        —         1,538,570         —   

Foreign taxes payable (Note 2)

        —         18,165         —   

Due to brokers (Note 2)

        —         1,810,000         —   

Distributions payable

        —         —         42,299   

Management fees payable (Note 6)

        505,587         547,409         16,695   

Deferred Trustees’ fees (Note 6)

        168,353         261,171         87,480   

Administrative fees payable (Note 6)

        43,895         44,185         1,121   

Payable to distributor (Note 6d)

        —         22,267         266   

Other accounts payable and accrued expenses

        74,204         176,216         53,746   
    

 

 

     

 

 

     

 

 

  

TOTAL LIABILITIES

        792,039         140,003,404         212,246   
    

 

 

     

 

 

     

 

 

  

NET ASSETS

      $ 1,201,508,705       $ 1,221,803,047       $ 31,177,134   
    

 

 

     

 

 

     

 

 

  

NET ASSETS CONSIST OF:

           

Paid-in capital

      $ 1,164,076,419       $ 1,226,233,659       $ 32,775,269   

Undistributed (Distributions in excess of) net investment income/Accumulated net investment loss

        19,210,462         (1,709,790 )       (129,717 ) 

Accumulated net realized loss on investments, futures contracts, swaptions written and foreign currency transactions

        (3,613,138 )       (5,064,619 )       (2,380,721 ) 

Net unrealized appreciation on investments, futures contracts, swaptions written and foreign currency translations

        21,834,962         2,343,797         912,303   
    

 

 

     

 

 

     

 

 

  

NET ASSETS

      $ 1,201,508,705       $ 1,221,803,047       $ 31,177,134   
    

 

 

     

 

 

     

 

 

  
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:           

Institutional Class:

           

Net assets

      $ 1,201,508,705       $ 822,992,767       $ 29,655,271   
    

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

        88,861,821         49,973,715         2,788,136   
    

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

      $ 13.52       $ 16.47       $ 10.64   
    

 

 

     

 

 

     

 

 

  

Retail Class:

           

Net assets

      $ —       $ 350,915,125       $ 1,521,863   
    

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

        —         21,621,524         143,270   
    

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

      $ —       $ 16.23       $ 10.62   
    

 

 

     

 

 

     

 

 

  

Class N shares:

           

Net assets

      $ —       $ 47,895,155       $ —   
    

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

        —         2,902,975         —   
    

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

      $ —       $ 16.50       $ —   
    

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

57  |

Table of Contents

Statements of Assets and Liabilities – continued

September 30, 2016

 

        Institutional
High Income
Fund		      Investment
Grade Fixed
Income Fund		  

ASSETS

        

Investments at cost

      $ 687,079,699       $ 447,283,031   

Net unrealized appreciation

        16,921,044         15,038,516   
    

 

 

     

 

 

  

Investments at value

        704,000,743         462,321,547   

Cash

        273,524         16,806   

Foreign currency at value (identified cost $11 and $85,505, respectively)

        11         85,645   

Receivable for Fund shares sold

        500,000         —   

Receivable for securities sold

        145,795         —   

Dividends and interest receivable

        9,834,756         4,363,181   

Tax reclaims receivable

        5,882         6,146   

Prepaid expenses (Note 8)

        2,717         2,061   
    

 

 

     

 

 

  

TOTAL ASSETS

        714,763,428         466,795,386   
    

 

 

     

 

 

  
LIABILITIES        

Payable for securities purchased

        —         4,999,137   

Management fees payable (Note 6)

        362,230         160,809   

Deferred Trustees’ fees (Note 6)

        120,502         125,379   

Administrative fees payable (Note 6)

        25,923         16,802   

Payable to distributor (Note 6d)

        78         —   

Other accounts payable and accrued expenses

        66,531         64,475   
    

 

 

     

 

 

  

TOTAL LIABILITIES

        575,264         5,366,602   
    

 

 

     

 

 

  

NET ASSETS

      $ 714,188,164       $ 461,428,784   
    

 

 

     

 

 

  

NET ASSETS CONSIST OF:

        

Paid-in capital

      $ 679,551,990       $ 442,720,790   

Undistributed (Distributions in excess of) net investment income

        20,278,507         (1,030,169 ) 

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

        (2,549,720 )       4,718,612   

Net unrealized appreciation on investments and foreign currency translations

        16,907,387         15,019,551   
    

 

 

     

 

 

  

NET ASSETS

      $ 714,188,164       $ 461,428,784   
    

 

 

     

 

 

  
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:        

Institutional Class:

        

Net assets

      $ 714,188,164       $ 461,428,784   
    

 

 

     

 

 

  

Shares of beneficial interest

        104,916,981         37,144,461   
    

 

 

     

 

 

  

Net asset value, offering and redemption price per share

      $ 6.81       $ 12.42   
    

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  58

Table of Contents

Statements of Operations

For the Year Ended September 30, 2016

 

 

        Fixed Income
Fund		      Global Bond
Fund		      Inflation
Protected
Securities Fund		  

INVESTMENT INCOME

           

Interest

      $ 57,209,616       $ 43,365,363       $ 394,103   

Dividends

        3,943,478         239,344         —   

Less net foreign taxes withheld

        (98,981 )       (127,229 )       —   
    

 

 

     

 

 

     

 

 

  
       61,054,113         43,477,478         394,103   
    

 

 

     

 

 

     

 

 

  

Expenses

           

Management fees (Note 6)

        6,044,882         8,556,500         73,113   

Distribution fees (Note 6)

        —         967,737         11,452   

Administrative fees (Note 6)

        532,869         665,846         12,892   

Trustees’ fees and expenses (Note 6)

        51,220         61,425         23,167   

Transfer agent fees and expenses (Notes 6 and 7)

        5,213         2,476,264         31,633   

Audit and tax services fees

        57,299         55,233         46,848   

Custodian fees and expenses

        73,461         177,931         7,187   

Legal fees

        20,099         25,954         516   

Registration fees

        30,998         82,443         40,201   

Shareholder reporting expenses

        4,230         212,831         5,195   

Miscellaneous expenses (Note 8)

        40,133         95,492         9,705   
    

 

 

     

 

 

     

 

 

  

Total expenses

        6,860,404         13,377,656         261,909   

Less waiver and/or expense reimbursement (Note 6)

        —         (1,067,719 )       (133,392 ) 
    

 

 

     

 

 

     

 

 

  

Net expenses

        6,860,404         12,309,937         128,517   
    

 

 

     

 

 

     

 

 

  

Net investment income

        54,193,709         31,167,541         265,586   
    

 

 

     

 

 

     

 

 

  
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS           

Net realized gain (loss) on:

           

Investments

        (14,889,348 )       (71,747,471 )       (358,607 ) 

Futures contracts

        —         (3,819,963 )       (15,889 ) 

Swaptions written

        —         —         34,250   

Foreign currency transactions

        156,209         4,027,388         —   

Net change in unrealized appreciation (depreciation) on:

           

Investments

        71,275,756         175,697,358         1,907,677   

Futures contracts

        —         1,625,312         (5,715 ) 

Swaptions written

        —         —         (15,958 ) 

Foreign currency translations

        75,294         (3,065,368 )       —   
    

 

 

     

 

 

     

 

 

  

Net realized and unrealized gain on investments, futures contracts, swaptions written and foreign currency transactions

        56,617,911         102,717,256         1,545,758   
    

 

 

     

 

 

     

 

 

  
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS      $ 110,811,620       $ 133,884,797       $ 1,811,344   
    

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

59  |

Table of Contents

Statements of Operations – continued

For the Year Ended September 30, 2016

 

 

        Institutional
High Income
Fund		      Investment
Grade Fixed
Income Fund		  

INVESTMENT INCOME

        

Interest

      $ 39,738,327       $ 20,151,640   

Dividends

        2,820,087         826,516   

Less net foreign taxes withheld

        (47,973 )       (25,850 ) 
    

 

 

     

 

 

  
       42,510,441         20,952,306   
    

 

 

     

 

 

  

Expenses

        

Management fees (Note 6)

        3,896,072         1,995,995   

Administrative fees (Note 6)

        286,319         219,840   

Trustees’ fees and expenses (Note 6)

        37,659         34,427   

Transfer agent fees and expenses (Notes 6 and 7)

        13,042         2,617   

Audit and tax services fees

        53,104         56,720   

Custodian fees and expenses

        59,889         34,441   

Legal fees

        10,590         8,262   

Registration fees

        23,473         27,373   

Shareholder reporting expenses

        3,030         2,282   

Miscellaneous expenses (Note 8)

        25,441         23,383   
    

 

 

     

 

 

  

Total expenses

        4,408,619         2,405,340   
    

 

 

     

 

 

  

Net investment income

        38,101,822         18,546,966   
    

 

 

     

 

 

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

Net realized gain (loss) on:

        

Investments

        1,187,433         (1,434,270 ) 

Foreign currency transactions

        (66,101 )       (60,960 ) 

Net change in unrealized appreciation (depreciation) on:

        

Investments

        43,629,819         19,781,126   

Foreign currency translations

        10,793         31,405   
    

 

 

     

 

 

  

Net realized and unrealized gain on investments and foreign currency transactions

        44,761,944         18,317,301   
    

 

 

     

 

 

  
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS      $ 82,863,766       $ 36,864,267   
    

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  60

Table of Contents

Statements of Changes in Net Assets

 

 

 

      Fixed Income Fund     Global Bond Fund  
      Year Ended
September 30, 2016		     Year Ended
September 30, 2015		     Year Ended
September 30, 2016		     Year Ended
September 30, 2015		  
FROM OPERATIONS:         

Net investment income

    $ 54,193,709      $ 60,526,080      $ 31,167,541      $ 41,044,407   

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

      (14,733,139 )      16,668,733        (71,540,046 )      (50,222,329 ) 

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

      71,351,050        (161,324,372 )      174,257,302        (104,977,581 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      110,811,620        (84,129,559 )      133,884,797        (114,155,503 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
FROM DISTRIBUTIONS TO SHAREHOLDERS:         

Net investment income

         

Institutional Class

      (55,935,164 )      (62,823,544 )      —        (13,369,024 ) 

Retail Class

      —        —        —        (5,236,847 ) 

Class N

      —        —        —        (249,121 ) 

Net realized capital gains

         

Institutional Class

      (20,555,156 )      (52,933,321 )      —        (14,810,093 ) 

Retail Class

      —        —        —        (6,158,675 ) 

Class N

      —        —        —        (266,282 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      (76,490,320 )      (115,756,865 )      —        (40,090,042 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)      (103,275,850 )      66,423,160        (681,545,914 )      (340,547,779 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net decrease in net assets

      (68,954,550 )      (133,463,264 )      (547,661,117 )      (494,793,324 ) 
NET ASSETS         

Beginning of the year

      1,270,463,255        1,403,926,519        1,769,464,164        2,264,257,488   
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the year

    $ 1,201,508,705      $ 1,270,463,255      $ 1,221,803,047      $ 1,769,464,164   
  

 

 

    

 

 

    

 

 

    

 

 

  
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS    $ 19,210,462      $ 35,400,813      $ (1,709,790 )    $ (21,063,941 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

61  |

Table of Contents

Statements of Changes in Net Assets – continued

 

      Inflation Protected Securities Fund     Institutional High Income Fund  
      Year Ended
September 30, 2016		     Year Ended
September 30, 2015		     Year Ended
September 30, 2016		     Year Ended
September 30, 2015		  
FROM OPERATIONS:         

Net investment income

    $ 265,586      $ 218,436      $ 38,101,822      $ 35,878,007   

Net realized gain (loss) on investments, futures contracts, swaptions written and foreign currency transactions

      (340,246 )      (532,097 )      1,121,332        18,138,284   

Net change in unrealized appreciation (depreciation) on investments, futures contracts, swaptions written and foreign currency translations

      1,886,004        (289,533 )      43,640,612        (110,679,582 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      1,811,344        (603,194 )      82,863,766        (56,663,291 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
FROM DISTRIBUTIONS TO SHAREHOLDERS:         

Net investment income

         

Institutional Class

      (347,784 )      (150,516 )      (38,822,138 )      (35,993,409 ) 

Retail Class

      (16,091 )      (93,557 )      —        —   

Net realized capital gains

         

Institutional Class

      —        —        (20,172,827 )      (30,161,602 ) 

Paid-in capital

         

Institutional Class

      (21,528 )      —        —        —   

Retail Class

      (575 )      —        —        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      (385,978 )      (244,073 )      (58,994,965 )      (66,155,011 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)      (13,146,542 )      13,565,630        59,897,205        59,907,686   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets

      (11,721,176 )      12,718,363        83,766,006        (62,910,616 ) 
NET ASSETS         

Beginning of the year

      42,898,310        30,179,947        630,422,158        693,332,774   
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the year

    $ 31,177,134      $ 42,898,310      $ 714,188,164      $ 630,422,158   
  

 

 

    

 

 

    

 

 

    

 

 

  
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME    $ (129,717 )    $ (33,820 )    $ 20,278,507      $ 21,352,219   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

|  62

Table of Contents

Statements of Changes in Net Assets – continued

 

     Investment Grade Fixed Income Fund  
     Year Ended
September 30, 2016		     Year Ended
September 30, 2015		  
FROM OPERATIONS:    

Net investment income

   $ 18,546,966      $ 20,815,759   

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

     (1,495,230 )      3,141,130   

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

     19,812,531        (46,423,266 ) 
 

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     36,864,267        (22,466,377 ) 
 

 

 

    

 

 

  
FROM DISTRIBUTIONS TO SHAREHOLDERS:    

Net investment income

    

Institutional Class

     (9,226,102 )      (22,346,530 ) 

Net realized capital gains

    

Institutional Class

     (5,935,580 )      (5,521,716 ) 
 

 

 

    

 

 

  

Total distributions

     (15,161,682 )      (27,868,246 ) 
 

 

 

    

 

 

  
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)     (121,681,227 )      135,152   
 

 

 

    

 

 

  

Net decrease in net assets

     (99,978,642 )      (50,199,471 ) 
NET ASSETS    

Beginning of the year

     561,407,426        611,606,897   
 

 

 

    

 

 

  

End of the year

   $ 461,428,784      $ 561,407,426   
 

 

 

    

 

 

  
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME   $ (1,030,169 )    $ (1,673,007 ) 
 

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

63  |

Table of Contents

Financial Highlights

For a share outstanding throughout each period.

 

      Fixed Income Fund – Institutional Class  
      Year Ended
September 30,
2016		      Year Ended
September 30,
2015		      Year Ended
September 30,
2014		      Year Ended
September 30,
2013		      Year Ended
September 30,
2012		  

Net asset value, beginning of the period

    $ 13.16       $ 15.22       $ 14.97       $ 14.83       $ 13.69   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

               

Net investment income(a)

      0.58         0.60         0.65         0.69         0.72   

Net realized and unrealized gain (loss)

      0.61         (1.46 )       0.57         0.27         1.31   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      1.19         (0.86 )       1.22         0.96         2.03   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

               

Net investment income

      (0.61 )       (0.65 )       (0.76 )       (0.74 )       (0.84 ) 

Net realized capital gains

      (0.22 )       (0.55 )       (0.21 )       (0.08 )       (0.05 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total Distributions

      (0.83 )       (1.20 )       (0.97 )       (0.82 )       (0.89 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 13.52       $ 13.16       $ 15.22       $ 14.97       $ 14.83   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total return

      9.72 %       (5.96 )%       8.51 %       6.71 %       15.79 % 

RATIOS TO AVERAGE NET ASSETS:

               

Net assets, end of the period (000’s)

    $ 1,201,509       $ 1,270,463       $ 1,403,927       $ 1,192,028       $ 1,134,935   

Net expenses

      0.57 %       0.57 %       0.57 %       0.57 %       0.57 % 

Gross expenses

      0.57 %       0.57 %       0.57 %       0.57 %       0.57 % 

Net investment income

      4.48 %       4.29 %       4.31 %       4.64 %       5.10 % 

Portfolio turnover rate

      14 %       15 %       26 %       18 %       17 % 

 

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

 

      Global Bond Fund – Institutional Class  
      Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

    $ 15.00      $ 16.13      $ 16.56      $ 17.36      $ 16.52   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

      0.33        0.32        0.34        0.33        0.44   

Net realized and unrealized gain (loss)

      1.14        (1.16 )      (0.08 )      (0.70 )      1.05   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      1.47        (0.84 )      0.26        (0.37 )      1.49   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

           

Net investment income

      —        (0.14 )      (0.51 )      (0.43 )      (0.65 ) 

Net realized capital gains

      —        (0.15 )      (0.18 )      —        —   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

      —        (0.29 )      (0.69 )      (0.43 )      (0.65 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 16.47      $ 15.00      $ 16.13      $ 16.56      $ 17.36   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

      9.80 %(b)      (5.31 )%(b)      1.57 %(b)      (2.14 )%(b)      9.45 % 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

    $ 822,993      $ 1,289,885      $ 1,553,641      $ 1,669,103      $ 1,629,719   

Net expenses

      0.75 %(c)      0.75 %(c)      0.75 %(c)      0.75 %(c)      0.72 % 

Gross expenses

      0.83 %      0.78 %      0.77 %      0.78 %      0.72 % 

Net investment income

      2.13 %      2.07 %      2.03 %      1.96 %      2.64 % 

Portfolio turnover rate

      120 %      117 %      143 %      185 %(d)      102 % 

 

(a)   Per share net investment income has been calculated using the average shares outstanding during the period.  
(b)   Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.  
(c)   The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.  
(d)   The variation in the Fund’s turnover rate from 2012 to 2013 is due to an increase in TBA transactions. See Note 2 of Notes to Financial Statements.  

 

 

See accompanying notes to financial statements.

 

|  64

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

      Global Bond Fund – Retail Class  
      Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		      Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

    $ 14.82      $ 15.97      $ 16.40       $ 17.20      $ 16.37   
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

      0.29        0.28        0.29         0.29        0.40   

Net realized and unrealized gain (loss)

      1.12        (1.15 )      (0.07 )       (0.70 )      1.04   
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total from Investment Operations

      1.41        (0.87 )      0.22         (0.41 )      1.44   
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

      —        (0.13 )      (0.47 )       (0.39 )      (0.61 ) 

Net realized capital gains

      —        (0.15 )      (0.18 )       —        —   
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total Distributions

      —        (0.28 )      (0.65 )       (0.39 )      (0.61 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net asset value, end of the period

    $ 16.23      $ 14.82      $ 15.97       $ 16.40      $ 17.20   
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Total return

      9.51 %(b)      (5.56 )%(b)      1.35 %       (2.39 )%      9.20 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

    $ 350,915      $ 447,304      $ 682,624       $ 798,335      $ 995,211   

Net expenses

      1.00 %(c)      1.00 %(c)      0.98 %       0.98 %      0.97 % 

Gross expenses

      1.08 %      1.03 %      0.98 %       0.98 %      0.97 % 

Net investment income

      1.87 %      1.81 %      1.80 %       1.72 %      2.43 % 

Portfolio turnover rate

      120 %      117 %      143 %       185 %(d)      102 % 

 

(a)   Per share net investment income has been calculated using the average shares outstanding during the period.  
(b)   Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.  
(c)   The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.  
(d)   The variation in the Fund’s turnover rate from 2012 to 2013 is due to an increase in TBA transactions. See Note 2 of Notes to Financial Statements.  

 

      Global Bond Fund – Class N  
      Year Ended
September 30,
2016
      Year Ended
September 30,
2015
     Year Ended
September 30,
2014
     Period Ended
September 30,
2013*
  

Net asset value, beginning of the period

    $ 15.01       $ 16.13      $ 16.56      $ 17.18   
  

 

 

     

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

      0.34         0.34        0.36        0.22   

Net realized and unrealized gain (loss)

      1.15         (1.17 )      (0.08 )      (0.56 ) 
  

 

 

     

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      1.49         (0.83 )      0.28        (0.34 ) 
  

 

 

     

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

      —         (0.14 )      (0.53 )      (0.28 ) 

Net realized capital gains

      —         (0.15 )      (0.18 )      —   
  

 

 

     

 

 

    

 

 

    

 

 

  

Total Distributions

      —         (0.29 )      (0.71 )      (0.28 ) 
  

 

 

     

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 16.50       $ 15.01      $ 16.13      $ 16.56   
  

 

 

     

 

 

    

 

 

    

 

 

  

Total return

      9.93 %       (5.22 )%      1.70 %      (1.97 )%(b)(c) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

    $ 47,895       $ 32,275      $ 27,993      $ 550   

Net expenses

      0.66 %       0.63 %      0.63 %(d)      0.70 %(e)(f) 

Gross expenses

      0.66 %       0.63 %      0.63 %(d)      0.83 %(f) 

Net investment income

      2.19 %       2.20 %      2.16 %      2.01 %(f) 

Portfolio turnover rate

      120 %       117 %      143 %      185 % 

 

*   From commencement of Class operations on February 1, 2013 through September 30, 2013.  
(a)   Per share net investment income has been calculated using the average shares outstanding during the period.  
(b)   Periods less than one year are not annualized.  
(c)   Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.  
(d)   Includes fee/expense recovery of 0.01%.  
(e)   The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.  
(f)   Computed on an annualized basis for periods less than one year.  

 

 

See accompanying notes to financial statements.

 

65  |

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

      Inflation Protected Securities Fund – Institutional Class  
      Year Ended
September 30,
2016		      Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

    $ 10.17       $ 10.33      $ 10.64      $ 12.18      $ 11.58   
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

      0.12         0.06        0.15        0.09        0.11   

Net realized and unrealized gain (loss)

      0.49         (0.15 )      (0.16 )      (0.74 )      0.92   
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      0.61         (0.09 )      (0.01 )      (0.65 )      1.03   
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

      (0.13 )       (0.07 )      (0.20 )      (0.19 )      (0.28 ) 

Net realized capital gains

      —         —        (0.10 )      (0.70 )      (0.15 ) 

Paid-in capital

      (0.01 )       —        —        —        —   
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

      (0.14 )       (0.07 )      (0.30 )      (0.89 )      (0.43 ) 
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.64       $ 10.17      $ 10.33      $ 10.64      $ 12.18   
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

      6.00 %       (0.92 )%      (0.02 )%      (5.70 )%      9.01 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

    $ 29,655       $ 23,696      $ 24,480      $ 18,434      $ 23,771   

Net expenses(c)

      0.40 %       0.40 %      0.40 %      0.40 %      0.40 % 

Gross expenses

      0.86 %       0.80 %      0.91 %      0.91 %      0.85 % 

Net investment income

      1.16 %       0.62 %      1.41 %      0.75 %      0.95 % 

Portfolio turnover rate

      61 %       135 %      206 %(d)      56 %      166 % 

 

(a)   Per share net investment income has been calculated using the average shares outstanding during the period.  
(b)   Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.  
(c)   The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.  
(d)   The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to portfolio repositioning, as well as fluctuation in the level of fund assets due to shareholder flows.  

 

      Inflation Protected Securities Fund – Retail Class  
      Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

    $ 10.14      $ 10.31      $ 10.61      $ 12.15      $ 11.56   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income (loss)(a)

      (0.05 )      0.08        0.14        (0.05 )      0.04   

Net realized and unrealized gain (loss)

      0.60        (0.20 )      (0.16 )      (0.64 )      0.96   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

      0.55        (0.12 )      (0.02 )      (0.69 )      1.00   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

           

Net investment income

      (0.07 )      (0.05 )      (0.18 )      (0.15 )      (0.26 ) 

Net realized capital gains

      —        —        (0.10 )      (0.70 )      (0.15 ) 

Paid-in capital

      (0.00 )(e)      —        —        —        —   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

      (0.07 )      (0.05 )      (0.28 )      (0.85 )      (0.41 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

    $ 10.62      $ 10.14      $ 10.31      $ 10.61      $ 12.15   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

      5.47 %      (1.17 )%      (0.15 )%      (6.04 )%      8.71 % 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

    $ 1,522      $ 19,203      $ 5,700      $ 3,499      $ 3,169   

Net expenses(c)

      0.65 %      0.65 %      0.65 %      0.65 %      0.65 % 

Gross expenses

      1.07 %      1.03 %      1.19 %      1.23 %      1.23 % 

Net investment income (loss)

      (0.47 )%      0.75 %      1.36 %      (0.44 )%      0.35 % 

Portfolio turnover rate

      61 %      135 %      206 %(d)      56 %      166 % 

 

(a)   Per share net investment income (loss) has been calculated using the average shares outstanding during the period.  
(b)   Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.  
(c)   The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.  
(d)   The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to portfolio repositioning, as well as fluctuation in the level of fund assets due to shareholder flows.  
(e)   Amount rounds to less than $0.01 per share.  

 

See accompanying notes to financial statements.

 

|  66

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

      Institutional High Income Fund – Institutional Class  
      Year Ended
September 30,
2016		      Year Ended
September 30,
2015		     Year Ended
September 30,
2014		      Year Ended
September 30,
2013		      Year Ended
September 30,
2012		  

Net asset value, beginning of the period

    $ 6.72       $ 8.15      $ 8.24       $ 7.74       $ 7.15   
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

      0.37         0.40        0.42         0.46         0.46   

Net realized and unrealized gain (loss)

      0.36         (1.04 )      0.43         0.57         0.75   
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      0.73         (0.64 )      0.85         1.03         1.21   
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

      (0.42 )       (0.43 )      (0.52 )       (0.50 )       (0.45 ) 

Net realized capital gains

      (0.22 )       (0.36 )      (0.42 )       (0.03 )       (0.17 ) 
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Distributions

      (0.64 )       (0.79 )      (0.94 )       (0.53 )       (0.62 ) 
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 6.81       $ 6.72      $ 8.15       $ 8.24       $ 7.74   
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total return

      12.53 %       (8.38 )%      11.14 %       14.17 %       18.37 % 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

    $ 714,188       $ 630,422      $ 693,333       $ 664,866       $ 652,767   

Net expenses

      0.68 %       0.68 %      0.68 %       0.68 %       0.68 % 

Gross expenses

      0.68 %       0.68 %      0.68 %       0.68 %       0.68 % 

Net investment income

      5.87 %       5.45 %      5.16 %       5.76 %       6.30 % 

Portfolio turnover rate

      17 %       19 %      29 %       28 %       21 % 

 

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

 

      Investment Grade Fixed Income Fund – Institutional Class  
      Year Ended
September 30,
2016		      Year Ended
September 30,
2015		     Year Ended
September 30,
2014		      Year Ended
September 30,
2013		      Year Ended
September 30,
2012		  

Net asset value, beginning of the period

    $ 11.81       $ 12.82      $ 12.82       $ 13.21       $ 12.52   
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

      0.45         0.42        0.46         0.49         0.56   

Net realized and unrealized gain (loss)

      0.50         (0.88 )      0.21         (0.21 )       0.97   
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total from Investment Operations

      0.95         (0.46 )      0.67         0.28         1.53   
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

      (0.22 )       (0.44 )      (0.51 )       (0.54 )       (0.66 ) 

Net realized capital gains

      (0.12 )       (0.11 )      (0.16 )       (0.13 )       (0.18 ) 
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Distributions

      (0.34 )       (0.55 )      (0.67 )       (0.67 )       (0.84 ) 
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of the period

    $ 12.42       $ 11.81      $ 12.82       $ 12.82       $ 13.21   
  

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total return

      8.27 %       (3.74 )%      5.36 %       2.14 %       12.78 % 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

    $ 461,429       $ 561,407      $ 611,607       $ 739,886       $ 690,693   

Net expenses

      0.48 %       0.48 %      0.48 %       0.47 %       0.48 % 

Gross expenses

      0.48 %       0.48 %      0.48 %       0.47 %       0.48 % 

Net investment income

      3.72 %       3.34 %      3.52 %       3.72 %       4.44 % 

Portfolio turnover rate

      23 %       26 %      23 %       25 %       19 % 

 

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

 

See accompanying notes to financial statements.

 

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Table of Contents

Notes to Financial Statements

September 30, 2016

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

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

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

Loomis Sayles Inflation Protected Securities Fund (the “Inflation Protected Securities Fund”)

Loomis Sayles Institutional High Income Fund (the “Institutional High Income Fund”)

Loomis Sayles Investment Grade Fixed Income Fund (the “Investment Grade Fixed Income Fund”)

Each Fund is a diversified investment company.

Each Fund offers Institutional Class shares. Global Bond Fund and Inflation Protected Securities Fund also offer Retail Class shares. In addition, Global Bond Fund offers Class N shares.

Each share class is sold without a sales charge. Retail Class shares pay a Rule 12b-1 fee. Class N shares are offered with no initial minimum investment to certain retirement plans held in an omnibus fashion and fund of funds that are distributed by NGAM Distribution, L.P. (“NGAM Distribution”) and with an initial minimum investment of $1,000,000 to other categories of investors. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Global Bond Fund and Inflation Protected Securities Fund and $3,000,000 for Fixed Income Fund, Institutional High Income Fund and Investment Grade Fixed Income Fund, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

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

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

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

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

 

|  68

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other swaptions not priced through an independent pricing service are valued based on quotations obtained from broker-dealers. Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

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

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

As of September 30, 2016, securities held by the funds were fair valued as follows:

 

Fund

    Securities
classified as fair
valued		        Percentage of
Net Assets		        Securities fair
valued by the
Fund’s adviser		        Percentage of
Net Assets		  

Fixed Income Fund

    $ 20,402,403           1.7%         $ 3,590,940           0.3%   

Global Bond Fund

      3,151,065           0.3%           —           —       

Institutional High Income Fund

      10,342,136           1.4%           2,654,900           0.4%   

Investment Grade Fixed Income Fund

      14,417,271           3.1%           475,599           0.1%   

b.  Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class-specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

 

69  |

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Notes to Financial Statements – continued

September 30, 2016

 

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

For the year ended September 30, 2016, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:

 

Fixed Income Fund

    $ 18,023,413   

Global Bond Fund

    $ 96,088,776   

Inflation Protected Securities Fund

    $ —   

Institutional High Income Fund

    $ 2,192,867   

Investment Grade Fixed Income Fund

    $ 11,035,082   

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

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

e.  Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f.  Swaptions. Certain Funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

 

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When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

g.  Swap Agreements. The Funds may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

For the year ended September 30, 2016, no swap agreements were held by the Funds.

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

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

 

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for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

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

i.  Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2016 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2016 and 2015 was as follows:

 

    2016 Distributions Paid From:     2015 Distributions Paid From:  

Fund

   Ordinary
Income		     Long-Term
Capital Gains		     Return of
Capital		     Total     Ordinary
Income		     Long-Term
Capital Gains		     Total  

Fixed Income Fund

   $ 57,108,952      $ 19,381,368      $ —      $ 76,490,320      $ 68,550,473      $ 47,206,392      $ 115,756,865   

Global Bond Fund

     —        —        —        —        29,469,272        10,620,770        40,090,042   

Inflation Protected Securities Fund

     363,875        —        22,103        385,978        244,073        —        244,073   

Institutional High Income Fund

     39,304,593        19,690,372        —        58,994,965        40,546,892        25,608,119        66,155,011   

Investment Grade Fixed Income Fund

     9,885,081        5,276,601        —        15,161,682        22,367,076        5,501,170        27,868,246   

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

 

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As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:

 

     Fixed Income
Fund		     Global
Bond Fund		      Inflation Protected
Securities Fund		      Institutional High
Income Fund		     Investment Grade
Fixed Income Fund		  

Undistributed ordinary income

    $ 26,807,212      $ —       $ —       $ 29,545,848      $ 949,223   

Undistributed long-term capital gains

      —        1,500,912         —         —        6,083,088   
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

  

Total undistributed earnings

      26,807,212        1,500,912         —         29,545,848        7,032,311   
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

  

Capital loss carryforward:

             

Short-term:

             

No expiration date

      —        —         (760,777 )       —        —   

Long-term:

             

No expiration date

      —        —         (1,463,356 )       —        —   
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

  

Total capital loss carryforward

      —        —         (2,224,133 )       —        —   
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

  

Late-year ordinary and post-October capital loss deferrals

      (558,312 )*      —         —         (710,982 )*      —   
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

  

Unrealized appreciation (depreciation)

      12,922,744        (5,670,353 )       755,777         8,073,232        11,852,746   
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

  

Total accumulated earnings (losses)

    $ 39,171,644      $ (4,169,441 )     $ (1,468,356 )     $ 36,908,098      $ 18,885,057   
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

  

* Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year.

As of September 30, 2016, unrealized appreciation (depreciation) on a tax basis was as follows:

 

     Fixed Income
Fund		      Global
Bond Fund		      Inflation Protected
Securities Fund		      Institutional High
Income Fund		      Investment Grade
Fixed Income Fund		  

Unrealized appreciation (depreciation)

               

Investments

    $ 49,973,516       $ 24,088,283       $ 755,777       $ 21,875,872       $ 32,314,992   

Foreign currency translations

      (37,050,772 )       (29,758,636 )       —         (13,802,640 )       (20,462,246 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total unrealized appreciation (depreciation)

    $ 12,922,744       $ (5,670,353 )     $ 755,777       $ 8,073,232       $ 11,852,746   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

k.  Loan Participations. Each Fund may invest in loans to corporate, governmental or other borrowers. The Funds’ investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan agreements and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

l.  Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2016, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

m.  Due to/from Brokers. Transactions and positions in certain forward foreign currency contracts and delayed delivery commitments are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between a Fund and the various broker/dealers. The due to brokers balance in the Statements of Assets and Liabilities for Global Bond Fund represents cash received as collateral for forward foreign currency contracts or delayed delivery securities. The due from brokers balance in the Statements of Assets and Liabilities for Global Bond Fund represents cash pledged as collateral for forward foreign currency contracts and as initial margin for futures contracts. The due

 

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from brokers balance in the Statements of Assets and Liabilities for Inflation Protected Securities Fund represents cash pledged as initial margin for futures contracts. In certain circumstances a Fund’s use of cash and/or securities held at brokers is restricted by regulation or broker mandated limits.

n.  Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 2016, none of the Funds had loaned securities under this agreement.

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

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

 

  •  

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

 

  •  

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

 

  •  

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

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

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

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2016, at value:

Fixed Income Fund

Asset Valuation Inputs

 

Description

    Level 1        Level 2        Level 3     Total  

Bonds and Notes

               

Non-Convertible Bonds

               

ABS Other

    $           —         $ 837,035         $ 793,720 (b)    $ 1,630,755   

Chemicals

      —           26,927,927           2,239,350 (c)      29,167,277   

 

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Fixed Income Fund – continued

Asset Valuation Inputs – continued

 

Description

    Level 1        Level 2        Level 3     Total  

Finance Companies

    $ 728,882         $ 54,662,914         $ —      $ 55,391,796   

Metals & Mining

      —           20,903,845           1,041 (c)      20,904,886   

Transportation Services

      —           1,650,000           525,427 (c)      2,175,427   

All Other Non-Convertible Bonds(a)

      —           824,284,398           —        824,284,398   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Non-Convertible Bonds

      728,882           929,266,119           3,559,538        933,554,539   
  

 

 

       

 

 

       

 

 

    

 

 

  

Convertible Bonds(a)

      —           88,685,645           —        88,685,645   

Municipals(a)

      —           7,098,116           —        7,098,116   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Bonds and Notes

      728,882           1,025,049,880           3,559,538        1,029,338,300   
  

 

 

       

 

 

       

 

 

    

 

 

  

Senior Loans

               

Wirelines

      —           —           1,099,188 (d)      1,099,188   

All Other Senior Loans(a)

      —           6,036,961           —        6,036,961   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Senior Loans

      —           6,036,961           1,099,188        7,136,149   
  

 

 

       

 

 

       

 

 

    

 

 

  

Common Stocks

               

Internet Software & Services

      —           —           13,493 (c)      13,493   

All Other Common Stocks(a)

      87,610,028           —           —        87,610,028   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Common Stocks

      87,610,028           —           13,493        87,623,521   
  

 

 

       

 

 

       

 

 

    

 

 

  

Preferred Stocks

               

Convertible Preferred Stocks

               

Midstream

      464,487           860,471           —        1,324,958   

REITs—Mortgage

      —           151,977           —        151,977   

All Other Convertible Preferred Stocks(a)

      13,885,473           —           —        13,885,473   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Convertible Preferred Stocks

      14,349,960           1,012,448           —        15,362,408   
  

 

 

       

 

 

       

 

 

    

 

 

  

Non-Convertible Preferred Stocks

               

Electric

      —           775,652           —        775,652   

All Other Non-Convertible Preferred Stocks(a)

      1,290,391           —           —        1,290,391   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Non-Convertible Preferred Stocks

      1,290,391           775,652           —        2,066,043   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Preferred Stocks

      15,640,351           1,788,100           —        17,428,451   
  

 

 

       

 

 

       

 

 

    

 

 

  

Warrants

      —           —           17,909 (c)      17,909   

Short-Term Investments

      —           41,480,034           —        41,480,034   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total

    $ 103,979,261         $ 1,074,354,975         $ 4,690,128      $ 1,183,024,364   
  

 

 

       

 

 

       

 

 

    

 

 

  

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

(b) Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

(c) Fair valued by the Fund’s adviser.

(d) Valued using broker-dealer bid prices.

Global Bond Fund

Asset Valuation Inputs

 

Description

    Level 1        Level 2        Level 3     Total  

Bonds and Notes

               

United States

    $ —         $ 416,607,242         $ 1,874,325 (b)    $ 418,481,567   

All Other Bonds and Notes(a)

      —           746,335,979           —        746,335,979   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Bonds and Notes

      —           1,162,943,221           1,874,325        1,164,817,546   
  

 

 

       

 

 

       

 

 

    

 

 

  

Short-Term Investments

      —           67,065,008           —        67,065,008   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Investments

      —           1,230,008,229           1,874,325        1,231,882,554   
  

 

 

       

 

 

       

 

 

    

 

 

  

Forward Foreign Currency Contracts (unrealized appreciation)

      —           2,204,589           —        2,204,589   

Futures Contracts (unrealized appreciation)

      994,155           —           —        994,155   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total

    $        994,155         $ 1,232,212,818         $ 1,874,325      $ 1,235,081,298   
  

 

 

       

 

 

       

 

 

    

 

 

  

 

75  |

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

Global Bond Fund – continued

Liability Valuation Inputs

 

Description

    Level 1      Level 2      Level 3        Total  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —       $ (1,538,570 )     $              —         $ (1,538,570 ) 

Futures Contracts (unrealized depreciation)

      (645,959 )       —         —           (645,959 ) 
  

 

 

     

 

 

     

 

 

       

 

 

  

Total

    $    (645,959 )     $    (1,538,570 )     $ —         $   (2,184,529 ) 
  

 

 

     

 

 

     

 

 

       

 

 

  

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

(b) Valued using broker-dealer bid prices.

For the year ended September 30, 2016, there were no transfers among Levels 1, 2 and 3.

Inflation Protected Securities Fund

Asset Valuation Inputs

 

Description

    Level 1      Level 2        Level 3        Total  

Bonds and Notes(a)

    $               —       $ 30,732,207         $             —         $ 30,732,207   

Short-Term Investments

      —         410,409           —           410,409   
  

 

 

     

 

 

       

 

 

       

 

 

  

Total Investments

      —         31,142,616           —           31,142,616   
  

 

 

     

 

 

       

 

 

       

 

 

  

Futures Contracts (unrealized appreciation)

      2,097         —           —           2,097   
  

 

 

     

 

 

       

 

 

       

 

 

  

Total

    $ 2,097       $   31,142,616         $ —         $   31,144,713   
  

 

 

     

 

 

       

 

 

       

 

 

  
Liability Valuation Inputs  

Description

    Level 1      Level 2        Level 3        Total  

Futures Contracts (unrealized depreciation)

    $ (7,812 )     $ —         $ —         $ (7,812 ) 
  

 

 

     

 

 

       

 

 

       

 

 

  

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

For the year ended September 30, 2016, there were no transfers among Levels 1, 2 and 3.

Institutional High Income Fund

Asset Valuation Inputs

 

Description

    Level 1        Level 2        Level 3     Total  

Bonds and Notes

               

Non-Convertible Bonds

               

Chemicals

    $ —         $ 20,764,886         $ 1,953,030 (c)    $ 22,717,916   

Independent Energy

      —           —           — (d)      —   

Metals & Mining

      —           47,451,873           1,659 (c)      47,453,532   

Transportation Services

      —           2,168,100           691,478 (c)      2,859,578   

All Other Non-Convertible Bonds(a)

      —           424,905,045           —        424,905,045   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Non-Convertible Bonds

      —           495,289,904           2,646,167        497,936,071   
  

 

 

       

 

 

       

 

 

    

 

 

  

Convertible Bonds(a)

      —           94,704,133           —        94,704,133   

Municipals(a)

      —           3,530,547           —        3,530,547   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Bonds and Notes

      —           593,524,584           2,646,167        596,170,751   
  

 

 

       

 

 

       

 

 

    

 

 

  

Loan Participations

               

ABS Other

      —           —           642,558 (b)      642,558   

Senior Loans

               

Wirelines

      —           1,444,962           503,243 (b)      1,948,205   

All Other Senior Loans(a)

      —           5,774,142           —        5,774,142   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Senior Loans

      —           7,219,104           503,243        7,722,347   
  

 

 

       

 

 

       

 

 

    

 

 

  

Common Stocks

               

Internet Software & Services

      —           —           4,282 (c)      4,282   

All Other Common Stocks(a)

      77,287,478           —           —        77,287,478   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Common Stocks

      77,287,478           —           4,282        77,291,760   
  

 

 

       

 

 

       

 

 

    

 

 

  

 

|  76

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

Institutional High Income Fund – continued

Asset Valuation Inputs – continued

 

Description

    Level 1        Level 2        Level 3     Total  

Preferred Stocks

               

Convertible Preferred Stocks

               

Midstream

    $ —         $ 2,222,936         $ —      $ 2,222,936   

REITs—Mortgage

      —           1,833,652           —        1,833,652   

All Other Convertible Preferred Stocks(a)

      6,885,753           —           —        6,885,753   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Convertible Preferred Stocks

      6,885,753           4,056,588           —        10,942,341   
  

 

 

       

 

 

       

 

 

    

 

 

  

Non-Convertible Preferred Stocks(a)

      1,738,967           218,175           —        1,957,142   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Preferred Stocks

      8,624,720           4,274,763           —        12,899,483   
  

 

 

       

 

 

       

 

 

    

 

 

  

Warrants(d)

      —           —           4,451 (c)      4,451   

Short-Term Investments

      —           9,269,393           —        9,269,393   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total

    $ 85,912,198         $ 614,287,844         $ 3,800,701      $ 704,000,743   
  

 

 

       

 

 

       

 

 

    

 

 

  

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

(b) Valued using broker-dealer bid prices.

(c) Fair valued by the Fund’s adviser.

(d) Includes securities fair valued at zero using Level 2 inputs.

Investment Grade Fixed Income Fund

Asset Valuation Inputs

 

Description

    Level 1        Level 2        Level 3     Total  

Bonds and Notes

               

Non-Convertible Bonds

               

ABS Home Equity

    $ —         $ —         $ 43,515 (c)    $ 43,515   

ABS Other

      —           10,933,722           3,413,077 (b)      14,346,799   

Collateralized Mortgage Obligations

      —           586,337           5,603 (c)      591,940   

Non-Agency Commercial Mortgage-Backed Securities

      —           10,442,166           2,738,247 (b)      13,180,413   

Transportation Services

      —           1,001,268           426,481 (c)      1,427,749   

All Other Non-Convertible Bonds(a)

      —           370,231,462           —        370,231,462   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Non-Convertible Bonds

      —           393,194,955           6,626,923        399,821,878   
  

 

 

       

 

 

       

 

 

    

 

 

  

Convertible Bonds(a)

      —           18,340,776           —        18,340,776   

Municipals(a)

      —           2,375,224           —        2,375,224   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Bonds and Notes

      —           413,910,955           6,626,923        420,537,878   
  

 

 

       

 

 

       

 

 

    

 

 

  

Senior Loans(a)

      —           1,889,256           —        1,889,256   

Common Stocks(a)

      21,227,120           —           —        21,227,120   

Preferred Stocks

               

Convertible Preferred Stocks

               

Midstream

      —           186,635           —        186,635   

All Other Convertible Preferred Stocks(a)

      2,688,203           —           —        2,688,203   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Convertible Preferred Stocks

      2,688,203           186,635           —        2,874,838   
  

 

 

       

 

 

       

 

 

    

 

 

  

Non-Convertible Preferred Stocks

               

Electric

      —           249,659           —        249,659   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Non-Convertible Preferred Stocks

      —           249,659           —        249,659   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Preferred Stocks

      2,688,203           436,294           —        3,124,497   
  

 

 

       

 

 

       

 

 

    

 

 

  

Short-Term Investments

      —           15,542,796           —        15,542,796   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total

    $ 23,915,323         $ 431,779,301         $ 6,626,923      $ 462,321,547   
  

 

 

       

 

 

       

 

 

    

 

 

  

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

(b) Valued using broker-dealer bid prices.

(c) Fair valued by the Fund’s adviser.

 

77  |

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2015 and/or September 30, 2016:

Fixed Income Fund

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
September 30,
2015		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers
into
Level 3		     Transfers
out of
Level 3		     Balance as of
September 30,
2016		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016		  

Bonds and Notes

                    

Non-Convertible Bonds

                    

ABS Other

   $ 2,620,751      $ —      $ —      $ (1,639,845 )    $ 27,233      $ (214,419 )    $ —      $ —      $ 793,720      $ (1,709,504 ) 

Chemicals

     —        55,013        —        (1,178,851 )      —        —        3,363,188        —        2,239,350        (1,178,851 ) 

Metals & Mining

     832,714        14,761        —        (846,434 )      —        —        —        —        1,041        (846,434 ) 

Non-Agency Commercial Mortgage-Backed Securities

     2,177,712        —        —        —        —        —        —        (2,177,712 )      —        —   

Oil Field Services

     317,750        —        —        —        —        —        —        (317,750 )      —        —   

Retailers

     1,207,488        —        —        —        —        —        —        (1,207,488 )      —        —   

Transportation Services

     532,735        —        817        (4,613 )      —        (3,512 )      —        —        525,427        (4,613 ) 

Senior Loans

                    

Wirelines

     —        956        —        (56,694 )      —        —        1,154,926        —        1,099,188        (56,695 ) 

Common Stocks

                    

Internet Software & Services

     —        —        —        (19,569 )      33,062        —        —        —        13,493        (19,569 ) 

Warrants

     —        —        —        17,909        —        —        —        —        17,909        17,909   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 7,689,150      $ 70,730      $ 817      $ (3,728,097 )    $ 60,295      $ (217,931 )    $ 4,518,114      $ (3,702,950 )    $ 4,690,128      $ (3,797,757 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Debt securities valued at $3,363,188 were transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

A debt security valued at $2,177,712 was transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At September 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $1,525,238 were transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the securities. At September 30, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $1,154,926 was transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

All transfers are recognized as of the beginning of the reporting period.

 

|  78

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

Global Bond Fund

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
September 30,
2015		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers
into
Level 3		     Transfers
out of
Level 3		     Balance as of
September 30,
2016		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016		  

Bonds and Notes

                    

Canada

   $ 3,432,506      $             —      $ (220,902 )    $ 335,360      $ —      $ (3,546,964 )    $         —      $         —      $ —      $ —   

United States

     5,708,550        —        60,514        (59,668 )      1,864,929        (5,700,000 )      —        —        1,874,325        9,396   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 9,141,056      $ —      $ (160,388 )    $ 275,692      $ 1,864,929      $ (9,246,964 )    $ —      $ —      $ 1,874,325      $ 9,396   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Institutional High Income Fund

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
September 30,
2015		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers
into
Level  3		     Transfers
out of
Level 3		     Balance as of
September 30,
2016		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016		  

Bonds and Notes

                    

Non-Convertible Bonds

                    

Airlines

   $ 1,492,764      $ —      $ —      $ —      $ —      $ —      $ —      $ (1,492,764 )    $ —      $ —   

Chemicals

     —        99,261        —        (1,215,199 )      —        —        3,068,968        —        1,953,030        (1,215,199 ) 

Independent Energy

     —        70,798        —        (70,888 )      —        —        90        —        — (a)      —   

Metals & Mining

     1,326,993        26,164        —        (1,351,498 )      —        —        —        —        1,659        (1,351,498 ) 

Non-Agency Commercial Mortgage-Backed Securities

     1,451,808        —        —        —        —        —        —        (1,451,808 )      —        —   

Oil Field Services

     1,916,750        —        —        —        —        —        —        (1,916,750 )      —        —   

Retailers

     1,843,065        —        —        —        —        —        —        (1,843,065 )      —        —   

Transportation Services

     786,339        —        16,905        (26,300 )      —        (85,466 )      —        —        691,478        (6,606 ) 

Loan Participations

                     —     

ABS Other

     701,799        —        (363 )      (10,439 )      —        (48,439 )      —        —        642,558        (10,561 ) 

Senior Loans

                     —     

Wirelines

     —        432        —        (25,951 )      —        —        528,762        —        503,243        (25,951 ) 

Common Stocks

                    

Internet Software & Services

     —        —        —        (6,211 )      10,493        —        —        —        4,282        (6,211 ) 

Warrants

     —        —        —        4,451        —        —        —        —        4,451 (a)      4,451   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 9,519,518      $ 196,655      $ 16,542      $ (2,702,035 )    $ 10,493      $ (133,905 )    $ 3,597,820      $ (6,704,387 )    $ 3,800,701      $ (2,611,575 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a) Includes securities fair valued at zero using Level 3 inputs.

Debt securities valued at $2,944,572 were transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At September 30, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $3,069,058 were transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

Debt securities valued at $3,759,815 were transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the securities. At September 30, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

 

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A debt security valued at $528,762 was transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

All transfers are recognized as of the beginning of the reporting period.

Investment Grade Fixed Income Fund

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
September 30,
2015		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers
into
Level 3		     Transfers
out of
Level 3		     Balance as of
September 30,
2016		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016		  

Bonds and Notes

                    

Non-Convertible Bonds

                    

ABS Home Equity

   $ 71,159      $             —      $ (7,562 )    $ 1,000      $         —      $ (21,082 )    $ —      $ —      $ 43,515      $ (609 ) 

ABS Other

     3,983,601        —        1,227        (52,151 )      —        (107,264 )      —        (412,336 )      3,413,077        (47,719 ) 

Collateralized Mortgage Obligations

     —        —        (55 )      (320 )      —        (1,954 )      7,932        —        5,603        (320 ) 

Non-Agency Commercial Mortgage-Backed Securities

     2,735,916        —        —        2,331        —        —        —        —        2,738,247        2,331   

Transportation Services

     432,977        —        —        (6,496 )      —        —        —        —        426,481        (6,496 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 7,223,653      $ —      $ (6,390 )    $ (55,636 )    $ —      $ (130,300 )    $ 7,932      $ (412,336 )    $ 6,626,923      $ (52,813 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

A debt security valued at $412,336 was transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At September 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $7,932 was transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.

All transfers are recognized as of the beginning of the reporting period.

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

Inflation Protected Securities Fund may use interest rate swaptions to gain exposure, such as to enter into a contract to benefit from a rise or fall in interest rates. During the year ended September 30, 2016, the Fund engaged in interest rate swaptions for this purpose.

Global Bond Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the year ended September 30, 2016, Global Bond Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

Global Bond Fund and Inflation Protected Securities Fund are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the year ended September 30, 2016, Global Bond Fund used futures contracts and Inflation Protected Securities Fund used interest rate swaptions to manage duration. Inflation Protected Securities Fund also used futures and interest rate swaptions to hedge against changes in interest rates.

 

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The following is a summary of derivative instruments for Global Bond Fund as of September 30, 2016, as reflected within the Statements of Assets and Liabilities:

 

Assets

    Unrealized
appreciation on
forward foreign
currency contracts		      Unrealized
appreciation
on futures
contracts1
  

Over-the-counter asset derivatives

      

Foreign exchange contracts

    $ 2,204,589       $ —   

Exchange-traded/cleared asset derivatives

      

Interest rate contracts

      —         994,155   
  

 

 

     

 

 

  

Total asset derivatives

    $ 2,204,589       $ 994,155   
  

 

 

     

 

 

  

Liabilities

    Unrealized
depreciation on
forward foreign
currency contracts		      Unrealized
depreciation
on futures
contracts1		  

Over-the-counter liability derivatives

      

Foreign exchange contracts

    $ (1,538,570 )     $ —   

Exchange-traded/cleared liability derivatives

      

Interest rate contracts

      —         (645,959 ) 
  

 

 

     

 

 

  

Total liability derivatives

    $ (1,538,570 )     $ (645,959 ) 
  

 

 

     

 

 

  

1 Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Global Bond Fund during the year ended September 30, 2016, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

    Futures
contracts		      Foreign currency
transactions2		  

Interest rate contracts

    $ (3,819,963 )     $ —   

Foreign exchange contracts

      —         4,219,387   
  

 

 

     

 

 

  

Total

    $ (3,819,963 )     $ 4,219,387   
  

 

 

     

 

 

  

Net Change in Unrealized
Appreciation (Depreciation) on:

    Futures
contracts		      Foreign currency
translations2		  

Interest rate contracts

    $ 1,625,312       $ —   

Foreign exchange contracts

      —         (3,603,759 ) 
  

 

 

     

 

 

  

Total

    $ 1,625,312       $ (3,603,759 ) 
  

 

 

     

 

 

  

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

The following is a summary of derivative instruments for Inflation Protected Securities Fund as of September 30, 2016, as reflected within the Statements of Assets and Liabilities:

 

Assets

    Investments
at value1		  

Exchange-traded/cleared asset derivatives

   

Interest rate contracts

    $ 2,097   

Liabilities

    Unrealized
depreciation
on futures
contracts1		  

Exchange-traded/cleared liability derivatives

   

Interest rate contracts

    $ (7,812 ) 

1 Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

 

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Transactions in derivative instruments for Inflation Protected Securities Fund during the year ended September 30, 2016, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

    Investments2      Futures
contracts		      Swaptions
written		  

Interest rate contracts

    $ (77,000 )     $ (15,889 )     $ 34,250   

Net Change in Unrealized
Appreciation (Depreciation) on:

    Investments2      Futures
contracts		      Swaptions
written		  

Interest rate contracts

    $ 29,951       $ (5,715 )     $ (15,958 ) 

2 Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased swaptions during the period.

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets for Global Bond Fund and Inflation Protected Securities Fund based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2016:

 

Global Bond Fund

    Forwards        Futures  

Average Notional Amount Outstanding

      35.40%           22.98%   

Highest Notional Amount Outstanding

      56.66%           29.66%   

Lowest Notional Amount Outstanding

      24.28%           19.23%   

Notional Amount Outstanding as of September 30, 2016

      24.28%           27.03%   

 

Inflation Protected Fund

    Futures  

Average Notional Amount Outstanding

      17.67%   

Highest Notional Amount Outstanding

      119.70%   

Lowest Notional Amount Outstanding

      0.00%   

Notional Amount Outstanding as of September 30, 2016

      119.70%   

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

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

The volume of interest rate swaption activity, as a percentage of net assets, for Inflation Protected Securities Fund, based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2016:

 

Inflation Protected Securities Fund

    Interest
Rate
Call Swaptions
Purchased		        Interest
Rate
Call Swaptions
Written		  

Average Premium Paid/Received

      0.24%           0.11%   

Highest Premium Paid/Received

      0.29%           0.13%   

Lowest Premium Paid/Received

      0.00%           0.00%   

Premium Paid/Received as of September 30, 2016

      0.00%           0.00%   

Swaptions outstanding at the end of the prior period are included in the average premium paid/received.

The following is a summary of Inflation Protected Securities Fund’s written interest rate swaption activity:

 

     Notional
Amount		      Premiums  

Outstanding at September 30, 2015

    $ 2,500,000       $ 34,250   

Swaptions written

      —         —   

Swaptions expired

      (2,500,000 )       (34,250 ) 
  

 

 

     

 

 

  

Outstanding at September 30, 2016

    $ —       $ —   
  

 

 

     

 

 

  

Over-the-counter derivatives, including forward foreign currency contracts and interest rate swaptions, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA

 

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agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of September 30, 2016, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Global Bond Fund

 

Counterparty

    Gross Amounts of
Assets		      Offset
Amount		      Net Asset
Balance		      Collateral
(Received)/
Pledged		      Net
Amount		  

Citibank N.A.

    $ 29,935       $ (29,935 )     $ —       $ —       $ —   

Credit Suisse International

      904,887         (764,374 )       140,513         (80,000 )       60,513   

Morgan Stanley & Co.

      73,948         (73,948 )       —         —         —   

UBS AG

      1,195,819         —         1,195,819         (1,195,819 )       —   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 2,204,589       $ (868,257 )     $ 1,336,332       $ (1,275,819 )     $ 60,513   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Counterparty

    Gross Amounts of
Liabilities		      Offset
Amount		      Net Liability
Balance		      Collateral
(Received)/
Pledged		      Net
Amount		  

Citibank N.A.

    $ (588,761 )     $ 29,935       $ (558,826 )     $ 558,826       $ —   

Credit Suisse International

      (764,374 )       764,374         —         —         —   

Deutsche Bank AG

      (64,027 )       —         (64,027 )       —         (64,027 ) 

Morgan Stanley & Co.

      (121,408 )       73,948         (47,460 )       47,460         —   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ (1,538,570 )     $ 868,257       $ (670,313 )     $ 606,286       $ (64,027 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

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

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2016:

 

Fund

    Maximum Amount
of Loss - Gross		        Maximum Amount
of Loss - Net		  

Global Bond Fund

    $ 9,376,984         $ 6,626,622   

Inflation Protected Securities Fund

      72,016           72,016   

 

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These amounts include cash received as collateral for Global Bond Fund of $1,480,000.

5.  Purchases and Sales of Securities. For the year ended September 30, 2016, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:

 

       U.S. Government/Agency Securities        Other Securities  

Fund

      Purchases        Sales        Purchases        Sales  

Fixed Income Fund

      $ 72,481,445         $ 133,003,947         $ 90,881,079         $ 181,684,061   

Global Bond Fund

        1,224,664,211           1,208,165,511           538,131,260           1,233,392,347   

Inflation Protected Securities Fund

        17,664,095           30,174,657           —           —   

Institutional High Income Fund

        25,013,672           19,445,699           133,035,094           86,557,898   

Investment Grade Fixed Income Fund

        49,937,891           96,947,221           59,459,010           115,148,761   

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Separate management agreements for each Fund in effect for the year ended September 30, 2016, provided for fees at the following annual percentage rates of each Fund’s average daily net assets:

 

     Percentage of Average Daily Net Assets  

Fund

    First
$1 Billion		        Next
$1 Billion		        Next
$3 Billion		        Next
$5 Billion		        Over
$10 Billion		  

Fixed Income Fund

      0.50%           0.50%           0.50%           0.50%           0.50%   

Global Bond Fund

      0.60%           0.50%           0.48%           0.45%           0.40%   

Inflation Protected Securities Fund

      0.25%           0.25%           0.25%           0.25%           0.25%   

Institutional High Income Fund

      0.60%           0.60%           0.60%           0.60%           0.60%   

Investment Grade Fixed Income Fund

      0.40%           0.40%           0.40%           0.40%           0.40%   

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2017, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended September 30, 2016, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

    Institutional
Class		        Retail
Class		        Class N  

Fixed Income Fund

      0.65%           —           —   

Global Bond Fund

      0.75%           1.00%           0.70%   

Inflation Protected Securities Fund

      0.40%           0.65%           —   

Institutional High Income Fund

      0.75%           —           —   

Investment Grade Fixed Income Fund

      0.55%           —           —   

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

 

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For the year ended September 30, 2016, the management fees and waivers of management fees for each Fund were as follows:

 

Fund

    Gross
Management
Fees		        Waivers of
Management
Fees1 		       Net
Management
Fees		        Percentage of
Average
Daily Net Assets		  
                  Gross        Net  

Fixed Income Fund

    $ 6,044,882         $ —         $ 6,044,882           0.50%           0.50%   

Global Bond Fund

      8,556,500           —           8,556,500           0.57%           0.57%   

Inflation Protected Securities Fund

      73,113           73,113           —           0.25%           —       

Institutional High Income Fund

      3,896,072           —           3,896,072           0.60%           0.60%   

Investment Grade Fixed Income Fund

      1,995,995           —           1,995,995           0.40%           0.40%   

1 Management fee waivers are subject to possible recovery until September 30, 2017.

For the year ended September 30, 2016, class-specific expenses have been reimbursed as follows:

 

     Reimbursement2  

Fund

    Institutional
Class		        Retail
Class		        Class N        Total  

Global Bond Fund

    $ 787,178         $ 280,541         $ —         $ 1,067,719   

In addition, the investment adviser reimbursed non-class-specific expenses of Inflation Protected Securities Fund in the amount of $60,279 for the year ended September 30, 20162.

2 Expense reimbursements are subject to possible recovery until September 30, 2017.

No expenses were recovered for any of the Funds during the year ended September 30, 2016 under the terms of the expense limitation agreements.

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

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

Pursuant to Rule 12b-1 under the 1940 Act, Global Bond Fund and Inflation Protected Securities Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”).

Under the Retail Class Plans, each Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Retail Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Retail Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

For the year ended September 30, 2016, the distribution fees for each Fund were as follows:

 

Fund

    Retail Class  

Global Bond Fund

    $ 967,737   

Inflation Protected Securities Fund

      11,452   

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

 

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For the year ended September 30, 2016, the administrative fees for each Fund were as follows:

 

Fund

    Administrative
Fees		  

Fixed Income Fund

    $ 532,869   

Global Bond Fund

      665,846   

Inflation Protected Securities Fund

      12,892   

Institutional High Income Fund

      286,319   

Investment Grade Fixed Income Fund

      219,840   

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

For the year ended September 30, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

    Sub-Transfer
Agent Fees		  

Global Bond Fund

    $ 2,419,724   

Inflation Protected Securities Fund

      19,633   

Institutional High Income Fund

      6,249   

As of September 30, 2016, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

    Reimbursements of
Sub-Transfer  Agent Fees		  

Global Bond Fund

    $ 22,267   

Inflation Protected Securities Fund

      266   

Institutional High Income Fund

      78   

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

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

Prior to January 1, 2016, the Chairperson of the Board received a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $130,000. The chairperson of the Governance Committee received an additional retainer fee at the annual rate of $5,000. All other Trustee fees remained unchanged.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical

 

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Notes to Financial Statements – continued

September 30, 2016

 

investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts and Loomis Sayles Funds Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

f.  Affiliated Ownership. As of September 30, 2016, Loomis Sayles owned shares equating to 5.08% of Inflation Protected Securities Fund and Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of the Fund’s net assets:

 

Fund

    Retirement Plan  

Global Bond Fund

      0.56%   

Inflation Protected Securities Fund

      13.99%   

Institutional High Income Fund

      2.28%   

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

g.  Payment by Affiliates. For the year ended September 30, 2016, Loomis Sayles reimbursed Fixed Income Fund $4,383 and Investment Grade Fixed Income Fund $1,265 in connection with a trading error.

7.  Class-Specific Transfer Agent Fees and Expenses. For the year ended September 30, 2016, Global Bond Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     Institutional
Class		        Retail
Class		        Class N  

Transfer Agent Fees and Expenses

    $ 1,829,790         $ 645,899         $ 575   

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

All other Funds in this report allocate transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

8.  Line of Credit. Effective April 14, 2016, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). Interest was charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended September 30, 2016, Global Bond Fund had an average daily balance on the line of credit with State Street Bank (for those days on which there were borrowings) of $42,365,797 at a weighted average interest rate of 1.64%. Interest expense incurred (which is reflected in miscellaneous expenses in the Statements of Operations) was $3,860.

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

10.  Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling

 

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Notes to Financial Statements – continued

September 30, 2016

 

ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

    Number of 5%
Non-Affiliated
Account Holders		        Percentage of
Non-Affiliated
Ownership		        Percentage of
Affiliated Ownership
(Note 6)		        Total
Percentage of
Ownership		  

Fixed Income Fund

      2           17.72%           —               17.72%   

Global Bond Fund

      1           17.63%           —               17.63%   

Inflation Protected Securities Fund

      2           25.63%           19.07%           44.70%   

Institutional High Income Fund

      2           12.34%           —               12.34%   

Investment Grade Fixed Income Fund

      3           29.48%           —               29.48%   

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

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

 

       Fixed Income Fund  
       Year Ended September 30, 2016        Year Ended September 30, 2015  
Institutional Class      Shares        Amount        Shares        Amount  

Issued from the sale of shares

        4,891,553         $ 62,806,285           7,578,053         $ 110,559,437   

Issued in connection with the reinvestment of distributions

        5,631,834           68,539,429           7,657,868           105,448,844   

Redeemed

        (18,212,948 )         (234,621,564 )         (10,927,998 )         (149,585,121 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Increase (decrease) from capital share transactions

        (7,689,561 )       $ (103,275,850 )         4,307,923         $ 66,423,160   
    

 

 

       

 

 

       

 

 

       

 

 

  
       Global Bond Fund  
       Year Ended September 30, 2016        Year Ended September 30, 2015  
Institutional Class      Shares        Amount        Shares        Amount  

Issued from the sale of shares

        12,012,824         $ 185,937,871           26,388,877         $ 413,652,643   

Issued in connection with the reinvestment of distributions

        —           —           1,664,577           26,297,178   

Redeemed

        (48,030,491 )         (748,675,574 )         (38,370,302 )         (595,400,327 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Net change

        (36,017,667 )       $ (562,737,703 )         (10,316,848 )       $ (155,450,506 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  
Retail Class                                    

Issued from the sale of shares

        3,051,116         $ 46,513,165           5,417,060         $ 83,284,513   

Issued in connection with the reinvestment of distributions

        —           —           713,900           11,162,875   

Redeemed

        (11,614,502 )         (176,898,846 )         (18,692,966 )         (285,905,721 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Net change

        (8,563,386 )       $ (130,385,681 )         (12,562,006 )       $ (191,458,333 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  
Class N                                    

Issued from the sale of shares

        919,910         $ 14,173,535           404,297         $ 6,188,648   

Issued in connection with the reinvestment of distributions

        —           —           32,616           515,369   

Redeemed

        (166,839 )         (2,596,065 )         (22,359 )         (342,957 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Net change

        753,071         $ 11,577,470           414,554         $ 6,361,060   
    

 

 

       

 

 

       

 

 

       

 

 

  

Increase (decrease) from capital share transactions

        (43,827,982 )       $ (681,545,914 )         (22,464,300 )       $ (340,547,779 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

 

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Notes to Financial Statements – continued

September 30, 2016

 

11.  Capital Shares – continued

 

       Inflation Protected Securities Fund  
       Year Ended September 30, 2016        Year Ended September 30, 2015  
Institutional Class      Shares        Amount        Shares        Amount  

Issued from the sale of shares

        1,087,435         $ 11,405,849           1,045,091         $ 10,909,078   

Issued in connection with the reinvestment of distributions

        27,761           292,974           14,391           146,404   

Redeemed

        (656,052 )         (6,793,970 )         (1,099,553 )         (11,391,665 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Net change

        459,144         $ 4,904,853           (40,071 )       $ (336,183 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  
Retail Class                                    

Issued from the sale of shares

        475,636         $ 4,848,867           2,403,561         $ 24,961,328   

Issued in connection with the reinvestment of distributions

        1,606           16,580           9,224           93,439   

Redeemed

        (2,228,362 )         (22,916,842 )         (1,071,383 )         (11,152,954 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Net change

        (1,751,120 )       $ (18,051,395 )         1,341,402         $ 13,901,813   
    

 

 

       

 

 

       

 

 

       

 

 

  

Increase (decrease) from capital share transactions

        (1,291,976 )       $ (13,146,542 )         1,301,331         $ 13,565,630   
    

 

 

       

 

 

       

 

 

       

 

 

  
       Institutional High Income Fund  
       Year Ended September 30, 2016        Year Ended September 30, 2015  
Institutional Class      Shares        Amount        Shares        Amount  

Issued from the sale of shares

        16,969,729         $ 103,359,817           13,671,170         $ 97,738,097   

Issued in connection with the reinvestment of distributions

        9,032,268           52,567,796           8,207,097           58,434,535   

Redeemed

        (14,850,839 )         (96,030,408 )         (13,146,041 )         (96,264,946 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Increase (decrease) from capital share transactions

        11,151,158         $ 59,897,205           8,732,226         $ 59,907,686   
    

 

 

       

 

 

       

 

 

       

 

 

  
       Investment Grade Fixed Income Fund  
       Year Ended September 30, 2016        Year Ended September 30, 2015  
Institutional Class      Shares        Amount        Shares        Amount  

Issued from the sale of shares

        4,197,598         $ 50,532,659           7,899,784         $ 100,220,843   

Issued in connection with the reinvestment of distributions

        1,199,344           14,138,073           2,051,654           25,569,037   

Redeemed

        (15,778,562 )         (186,351,959 )         (10,127,811 )         (125,654,728 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Increase (decrease) from capital share transactions

        (10,381,620 )       $ (121,681,227 )         (176,373 )       $ 135,152   
    

 

 

       

 

 

       

 

 

       

 

 

  

 

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Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds Trust I and Shareholders of Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, Loomis Sayles Inflation Protected Securities Fund, Loomis Sayles Institutional High Income Fund and Loomis Sayles Investment Grade Fixed Income Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, Loomis Sayles Inflation Protected Securities Fund, Loomis Sayles Institutional High Income Fund, and Loomis Sayles Investment Grade Fixed Income Fund, each a series of Loomis Sayles Funds Trust I (collectively, the “Funds”) at September 30, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

 

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2016 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2016, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

 

Fund

    Qualifying Percentage  

Fixed Income

      5.98%   

Inflation Protected Securities

      0.45%   

Institutional High Income

      6.67%   

Investment Grade Fixed Income

      9.64%   

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2016, unless subsequently determined to be different.

 

Fund

    Amount  

Fixed Income

    $ 19,381,368   

Institutional High Income

      19,690,372   

Investment Grade Fixed Income

      5,276,601   

Qualified Dividend Income. For the fiscal year ended September 30, 2016, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2016, complete information will be reported in conjunction with Form 1099-DIV.

 

Fund

Fixed Income

Institutional High Income

Investment Grade Fixed Income

Foreign Tax Credit. For the year ended September 30, 2016, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:

 

Fund

    Foreign Tax Credit
Pass-Through		        Foreign  Source
Income		  

Global Bond

    $ 127,229         $ 34,113,932   

 

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statement(s) of Additional Information include additional information about the trustees of the Trust and are available by calling Loomis Sayles Funds at 800-633-3330.

 

Name and Year of Birth   Position(s)
Held with
the Trust, Length
of Time Served and
Term of Office1		   Principal Occupation(s)
During Past 5 Years		  

Number of Portfolios in
Fund Complex Overseen2

and Other Directorships
Held During
Past 5 Years

   Experience,
Qualifications,
Attributes, Skills
for Board
Membership

Independent Trustees

        

Kenneth A. Drucker

(1945)

   Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member   Retired  

44

None

   Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English

(1953)

   Trustee since 2013 Audit Committee Member   Chief Executive Officer of Bob’s Discount Furniture (retail)  

44

Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)

   Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia

(1951)

   Trustee since 2015 Audit Committee Member   Retired; formerly Vice President and Treasurer of Raytheon Company (defense)  

44

None

   Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox

(1948)

   Trustee since 2009 Contract Review Committee Member and Governance Committee Member   Director of Abt Associates Inc. (research and consulting)  

44

Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)

   Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan

(1956)

   Trustee since 2012 Contract Review Committee Member   President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell  

44

None

   Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

 

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Name and Year of Birth   Position(s)
Held with
the Trust, Length
of Time Served and
Term of Office1		   Principal Occupation(s)
During Past 5 Years		  

Number of Portfolios in
Fund Complex Overseen2

and Other Directorships
Held During
Past 5 Years

   Experience,
Qualifications,
Attributes, Skills
for Board
Membership

Sandra O. Moose

(1942)

  

Chairperson of the Board of Trustees since November 2005

Trustee since 2003

Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee

   President, Strategic Advisory Services (management consulting)  

44

Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)

   Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo

(1955)

   Trustee since 2016 Contract Review Committee Member   Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation  

44

None

   Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri

(1958)

  

Trustee since 2009

Audit Committee

Member

   Professor of Finance at Babson College  

44

None

   Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail

(1952)

  

Trustee since 2009

Chairperson of the Contract Review Committee

and Governance Committee Member

   Retired  

44

None

   Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker

(1956)

  

Trustee since 2005

Chairperson of the Governance Committee and Contract Review Committee Member

   Deputy Dean for Finance and Administration, Yale University School of Medicine  

44

None

   Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

 

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Name and Year of Birth   Position(s)
Held with
the Trust, Length
of Time Served and
Term of Office1		   Principal Occupation(s)
During Past 5 Years		  

Number of Portfolios in
Fund Complex Overseen2

and Other Directorships
Held During
Past 5 Years

   Experience,
Qualifications,
Attributes, Skills
for Board
Membership

Interested Trustees

        

Kevin P. Charleston3

(1965)

One Financial Center

Boston, MA 02111

  

Trustee since 2015

President and Chief Executive Officer since 2015

   President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.  

44

None

   Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.

David L. Giunta4

(1965)

  

Trustee since 2011

Executive Vice President since 2008

   President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

John T. Hailer5

(1960)

   Trustee since 2003   President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

 

1 

Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

 

2 

The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”) and Natixis ETF Trust (collectively, the “Fund Complex”).

 

3 

Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

 

4 

Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

 

5

Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer — U.S. and Asia, Natixis Global Asset Management, L.P.

 

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Name and Year of Birth   Position(s)
Held with
the Trust(s)		   Term of Office1
and Length of
Time Served		   Principal Occupation(s)
During Past 5 Years2

Officers of the Trust

      

Daniel J. Fuss

(1933)

One Financial Center

Boston, MA 02111

   Executive Vice President   Since June 2003   Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane

(1969)

   Secretary, Clerk and Chief Legal Officer   Since July 2016   Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok

(1959)

   Treasurer, Principal Financial and Accounting Officer   Since October 2004   Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux

(1976)

   Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer   Since July 2016   Mutual Funds Chief Compliance Officer, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

 

1 

Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

 

2 

Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Mr. Fuss is not an officer of the Natixis Funds Trusts or the Natixis ETF Trust. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

 

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LOGO

 

Loomis Sayles High Income Opportunities Fund

Loomis Sayles Securitized Asset Fund

Annual Report

September 30, 2016

TABLE OF CONTENTS  
Portfolio Review     1   
Portfolio of Investments     9   
Financial Statements     30   
Notes to Financial Statements     34   

Table of Contents

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND

 

Managers   Symbol   
Matthew J. Eagan, CFA®   Institutional Class    LSIOX
Daniel J. Fuss, CFA®, CIC     
Elaine M. Stokes     

 

 

Investment Objective

The Fund’s investment objective is high current income. Capital appreciation is the Fund’s secondary objective.

 

 

Market Conditions

In the beginning of the period, the Federal Reserve (Fed) raised interest rates for the first time since June 2006. This led to modest losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets and riskier assets rebounded strongly. Volatility spiked temporarily in June following the U.K. referendum vote to leave the European Union, but conditions were generally calm for the remainder of the period. Fixed-income markets finished the period on a positive note and added to full-year gains.

After declining through mid-February, U.S. high yield became a sought-after asset. The sector rewarded investors by producing strong and steady gains with minimal volatility. Spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) are trading inside the long-term average, but remain above the lows of 2014. Lower-quality credits and cyclical sectors outperformed during the period as the search for yield presses onward.

Investment-grade corporate bonds also performed well during the one-year period, bouncing back from the lows experienced during the fourth quarter of 2015. The sector’s longer duration (price sensitivity to interest rate changes) was a positive tailwind as longer-maturity yields declined. Overall returns were positive across all sectors, with cyclical sectors and energy performing well during the second half of the period.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles High Income Opportunities Fund returned 12.65%. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 12.73%.

Explanation of Fund Performance

High yield industrial securities were top contributors to the fund’s relative performance due to industry and security selection. In particular, technology and basic industry holdings outperformed. High yield utilities also aided relative performance and outperformed duration-matched Treasuries (Treasuries with similar duration, or price sensitivity to interest rate changes). In addition, out-of-benchmark exposure to Yankee (U.S. dollar-denominated bonds issued by a non-U.S. entity) government-related securities lifted performance.

Meanwhile, our cash and reserve positions lagged the strongly rising high yield market in the second half of the period and hindered results. Our position in convertible securities also detracted. Despite generating a positive absolute return, the allocation lagged on a relative basis due to a selected holding in the transportation industry. Similarly, our high yield financials generated a positive absolute return, but weighed on relative performance. An underweight allocation to the lowest-quality high yield bonds also detracted from performance.

Outlook

Our outlook for the U.S. and global economies remains positive, with expectations for better growth momentum through the end of the year. In the United States, we expect steady gains in employment, increased bank lending and stronger consumer confidence to support GDP growth. The global economy is facing more headwinds but should experience modestly stronger growth next year, led by a healthier U.S. economy and still-accommodative global central bank policies.

Inflation expectations remain low. However, U.S. inflation is showing signs of acceleration and recent economic data have been favorable. We think the Fed is likely to raise rates in December if market conditions remain stable.

Oil prices are likely to be range bound over the short term as elevated supply should be countered by OPEC’s expected production cut in November. We remain constructive on intermediate- to longer-term oil prices and expect that supply and demand will adjust.

We expect low global yields to continue supporting flows into U.S. credit, but at a more modest pace. In this environment, we intend to maintain a yield cushion in our portfolios through exposure to corporate bonds. Credit fundamentals have been stable, reflecting a slowly improving U.S. economy. However, downside risks – including slowing profit growth, rising leverage and free cash flow approaching peak levels – are increasing as we move further into the late stage of the credit cycle.1 Despite these risks, we believe the current phase of the credit cycle can continue for some time, and we do not expect a significant increase in corporate defaults in 2017.

 

1    A credit cycle is a cyclical pattern that follows credit availability and corporate health.

 

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Within credit, we favor the investment-grade financials, technology and energy sectors. We are also biased to higher-quality high yield. Convertible bonds continue to look attractive, and our focus has shifted from equity-sensitive convertibles to more balanced and credit-sensitive issues. We believe these securities offer yield and upside potential with more limited downside risk.

Risks include growing geopolitical risks, a prolonged period of low economic growth, declining corporate profit expectations and a shift to downturn in the U.S. credit cycle. Looking ahead, we remain focused on careful security selection using fundamental credit analysis. We intend to build on our key investment themes of yield and diversification, using our reserve allocation during periods of extreme short-term market dislocation to potentially add long-term value.

 

 

Hypothetical Growth of $10,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016

 

LOGO

Average Annual Total Returns — September 30, 2016

 

         
                          Expense Ratios2  
      1 Year     5 Years      10 Years      Gross      Net  
     
Institutional Class (Inception 4/12/04)      12.65 %3      9.46 %       8.14 %       0.00 %       0.00 % 
   
Comparative Performance                
Bloomberg Barclays U.S. Corporate High-Yield Bond Index1      12.73        8.34         7.71                     

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

 

1    Bloomberg Barclays U.S. Corporate High-Yield Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, non-investment-grade, fixed-rate, taxable corporate bond market.

 

2    The amount shown under Gross and Net Expense Ratio is 0.00% to reflect the fact that the Fund does not pay any advisory, administration or distribution and service fees, and that Loomis Sayles has agreed to pay certain expenses of the Fund. All fees are paid by investors indirectly through separately negotiated advisory relationships with the Fund’s Adviser or through “wrap fee” programs sponsored by broker dealers and investment advisers that may be affiliated or unaffiliated with the Fund, Loomis Sayles or NGAM Advisors, L.P.

 

3   

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns reflected above are different from the total returns reported in the financial highlights. The returns presented in the table above are what an investor would have actually experienced.

 

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LOOMIS SAYLES SECURITIZED ASSET FUND

 

Managers   Symbol   
Ian Anderson   Institutional Class    LSSAX
Alessandro Pagani, CFA®     
Clifton V. Rowe, CFA®     

 

 

Investment Objective

The Fund’s investment objective is to seek a high level of current income consistent with capital preservation.

 

 

Market Conditions

In the beginning of the period, the Federal Reserve (Fed) raised interest rates for the first time since June 2006. This led to modest losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets and riskier assets rebounded strongly. Volatility spiked temporarily in June following the U.K. referendum vote to leave the European Union (EU), but conditions were generally calm for the remainder of the period. Fixed-income markets finished the period on a positive note and added to full-year gains.

At the start of the first quarter, the Fed projected four rate hikes during 2016. Yet as of September 30, there had been no increases and markets anticipated only one 25 basis point hike before year-end. The Fed consistently lowered economic projections throughout 2016, which removed some of the upward pressure on U.S. Treasury yields.

Yields on securitized assets generally followed U.S. Treasury yields lower, resulting in a positive total return for the sector. The Fed still owns $1.7 trillion worth of mortgage-backed securities (MBS) and remains a powerful force in that market as principal payments from matured securities are reinvested.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of the Loomis Sayles Securitized Asset Fund returned 4.27%. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Securitized Bond Index, which returned 3.68%.

Explanation of Fund Performance

The fund’s outperformance primarily was due to allocation differences between the fund and the benchmark. The fund generally favors various spread (non-government) sectors relative to the benchmark, which is almost entirely composed of U.S. agency-backed securities. In particular, the fund’s exposure to residential mortgage-backed securities (RMBS) helped boost relative performance, as the sector outperformed Treasuries on a duration-adjusted basis, which considers a security’s return relative to Treasuries with similar duration (price sensitivity to interest rate changes). The fund’s allocation to asset-backed securities (ABS) was especially helpful to absolute return, as selected student loan names performed well. In addition, the fund’s yield-curve (a curve that shows the relationship among bond yields across the maturity spectrum) positioning and longer-than-benchmark duration also contributed to performance. Specifically, the yield curve flattened over the period, and our overweight position to the long end of the curve proved to be beneficial. Despite posting a positive absolute return, the fund’s allocation to U.S. securitized agency credit weighed on relative performance.

Outlook

Agency MBS spreads (the difference in yield between agency MBS and Treasuries of similar maturity) remain narrow relative to history. Additionally, refinancing risk is beginning to increase, as mortgages issued in recent years are of relatively high quality compared with those issued in earlier years. Therefore, we prefer to underweight recently issued 30-year MBS, favoring sectors with less refinance risk, such as low-loan balance mortgages and home equity conversion mortgages. Within the commercial real estate sector, top-tier assets and markets have generally recovered and are at or above prior peak levels. We believe investment-grade commercial mortgage-backed securities (CMBS) remain attractive. We also believe ABS currently offer an attractive combination of strong credit quality and enhanced yield. We favor buying higher-yielding securities, such as subordinated bonds, and bonds of less-frequent issuers. Our analysis indicates the credit risk of these securities is inefficiently priced, and they offer attractive opportunities for additional yield.

 

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Hypothetical Growth of $10,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016

 

LOGO

Average Annual Total Returns — September 30, 2016

 

         
                           Expense Ratios2  
      1 Year      5 Years      10 Years      Gross      Net  
     
Institutional Class (Inception 3/2/06)      4.27 %       4.72 %       6.21 %       0.00 %       0.00 % 
   
Comparative Performance                 
Bloomberg Barclays U.S. Securitized Bond Index1      3.68         2.76         4.60                     

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

 

1    Bloomberg Barclays U.S. Securitized Bond Index is an unmanaged index of asset-backed securities, collateralized mortgage-backed securities (ERISA eligible), and fixed-rate mortgage-backed securities.

 

2    The amount shown under Gross and Net Expense Ratio is 0.00% to reflect the fact that the Fund does not pay any advisory, administration or distribution and service fees, and that Loomis Sayles has agreed to pay certain expenses of the Fund. All fees are paid by investors indirectly through separately negotiated advisory relationships with the Fund’s Adviser or through “wrap fee” programs sponsored by broker dealers and investment advisers that may be affiliated or unaffiliated with the Fund, Loomis Sayles or NGAM Advisors, L.P.

 

1623920.1.1

 

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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

Additional Index Information

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

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

Proxy Voting Information

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request by calling Loomis Sayles at 800-633-3330; on the Funds’ website at www.loomissayles.com, and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

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

 

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UNDERSTANDING FUND EXPENSES

Typically, mutual fund shareholders incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. However, the Funds are unlike other mutual funds; they do not charge any fees or expenses.

You should be aware that shares in the Funds are available only to institutional investment advisory clients of Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and NGAM Advisors, L.P. (“NGAM Advisors”) and to participants in “wrap fee” programs sponsored by broker-dealers and investment advisers that may be affiliated or unaffiliated with the Funds, Loomis Sayles or NGAM Advisors. The institutional investment advisory clients of Loomis Sayles and NGAM Advisors pay Loomis Sayles or NGAM Advisors a fee for their investment advisory services, while participants in “wrap fee” programs pay a “wrap fee” to the program’s sponsor. The “wrap fee” program sponsors, in turn, pay a fee to NGAM Advisors. “Wrap fee” program participants should read carefully the wrap fee brochure provided to them by their program’s sponsor and the fees paid by such sponsor to NGAM Advisors. Shareholders pay no additional fees or expenses to purchase shares of the Funds. However, shareholders will indirectly pay a proportionate share of those costs, such as brokerage commissions, taxes and extraordinary expenses, that are borne by the Funds through a reduction in each Fund’s net asset value.

The first line in each Fund’s table shows the actual amount of Fund expenses ($0) you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 2016.

The second line in each Fund’s table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio (0%) and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Funds to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

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

Loomis Sayles High Income Opportunities Fund

 

Institutional Class

   Beginning
Account Value
4/1/2016		      Ending
Account Value
9/30/2016		      Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

     $1,000.00         $1,115.20         $0.00   

Hypothetical (5% return before expenses)

     $1,000.00         $1,025.00         $0.00   

*   Expenses are equal to the Fund’s annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

       

Loomis Sayles Securitized Asset Fund

 

Institutional Class

   Beginning
Account Value
4/1/2016		      Ending
Account Value
9/30/2016		      Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

     $1,000.00         $1,027.70         $0.00   

Hypothetical (5% return before expenses)

     $1,000.00         $1,025.00         $0.00   

*   Expenses are equal to the Fund’s annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

       

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) the Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreements at its meeting held in June 2016. The Agreements were continued for a one-year period for both Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds. The Trustees also considered that the Funds are generally only available to institutional clients of Loomis Sayles and participants in certain “wrap programs.”

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis. With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund.

The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

 

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After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. Under the terms of the Agreements, the Adviser does not charge the Funds an investment advisory fee or any other fee for services. The Adviser also bears most of the Funds’ expenses. The Trustees considered that, although the Funds do not compensate the Adviser directly for services under the Agreements, the Adviser will typically receive an advisory fee from its advisory clients who have invested in the Funds or from the sponsors of “wrap programs,” who in turn charge the programs’ participants. Because the Funds do not charge an advisory fee, the Trustees did not consider the profitability of the Adviser’s relationship to the Funds.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements and in light of the structure of the advisory arrangements, that each Fund’s advisory fee of 0% was fair and reasonable and supported the renewal of the Agreements.

Economies of Scale. The Trustees noted that because the Adviser has borne most of the Funds’ expenses, economies of scale were not relevant to these Funds.

The Trustees also considered other factors, which included but were not limited to the following:

 

•  

The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

 

•  

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Funds.

 

•  

The nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services.

 

•  

So-called “fallout benefits” to the Adviser, such as the financial and other benefits to the Adviser from being able to offer the Funds to its advisory clients and investors in certain “wrap” programs and engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

•  

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2017.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – 91.0% of Net Assets  
  Non-Convertible Bonds – 87.8%  
  ABS Home Equity – 2.1%  
$ 165,000      American Homes 4 Rent,
Series 2014-SFR1, Class E,
3.031%, 6/17/2031, 144A(b)		   $ 161,989   
  175,000      American Homes 4 Rent,
Series 2014-SFR2, Class D,
5.149%, 10/17/2036, 144A		     193,631   
  57,625      Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1,
5.500%, 10/25/2033		     58,752   
  291,778      Banc of America Alternative Loan Trust, Series 2004-9, Class 2CB1, 6.000%, 10/25/2034     297,545   
  70,492      Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034     69,828   
  66,785      Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035     68,423   
  100,000      CAM Mortgage Trust LLC,
Series 2015-1, Class M,
4.750%, 7/15/2064, 144A(b)		     98,357   
  91,995     

Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1,

0.735%, 5/25/2035(b)

     76,312   
  63,053      Countrywide Asset-Backed Certificates,
Series 2004-13, Class AF5B,
4.903%, 5/25/2035(b)		     64,431   
  221,228      DSLA Mortgage Loan,
Series 2005-AR5, Class 2A1A,
0.861%, 9/19/2045(b)		     162,867   
  320,000      Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2,
4.775%, 11/25/2023(b)		     338,836   
  270,000      Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3,
3.825%, 10/25/2027(b)		     280,775   
  77,562      GMAC Mortgage Corp. Loan Trust,
Series 2005-AR4, Class 3A1,
3.558%, 7/19/2035(b)		     69,871   
  64,758      GSR Mortgage Loan Trust,
Series 2004-14, Class 5A1,
3.189%, 12/25/2034(b)		     64,203   
  117,302      IndyMac Index Mortgage Loan Trust,
Series 2005-16IP, Class A1,
1.165%, 7/25/2045(b)		     98,028   
  97,455      Lehman Mortgage Trust,
Series 2005-3, Class 1A6,
1.025%, 1/25/2036(b)		     63,271   
  295,573      MASTR Adjustable Rate Mortgages Trust,
Series 2005-2, Class 4A1,
2.920%, 3/25/2035(b)		     229,031   
  76,151      Structured Asset Securities Corp. Mortgage Pass Through Certificates,
Series 2004-20, Class 8A7,
5.750%, 11/25/2034		     77,164   
  175,000      Vericrest Opportunity Loan Transferee,
Series 2015-NP14, Class A2,
4.875%, 11/27/2045, 144A(b)		     168,377   
  ABS Home Equity – continued  
$ 115,145      WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A,
2.193%, 9/25/2046(b)		   $ 108,375   
  180,021     

WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A,

1.943%, 1/25/2047(b)

     160,959   
   

 

 

  
      2,911,025   
   

 

 

  
  ABS Other – 0.2%  
  221,726      AIM Aviation Finance Ltd.,
Series 2015-1A, Class B1,
5.072%, 2/15/2040, 144A(b)		     213,429   
  31,438      Sierra Receivables Funding Co. LLC,
Series 2011-3A, Class C,
9.310%, 7/20/2028, 144A		     31,658   
   

 

 

  
      245,087   
   

 

 

  
  Aerospace & Defense – 2.9%   
  90,000      Embraer Netherlands Finance BV,
5.050%, 6/15/2025		     90,450   
  75,000      Engility Corp.,
8.875%, 9/01/2024, 144A		     75,938   
  90,000      Huntington Ingalls Industries, Inc.,
5.000%, 11/15/2025, 144A		     95,175   
  690,000      KLX, Inc., 5.875%, 12/01/2022, 144A     714,150   
  1,425,000      Meccanica Holdings USA, Inc.,
6.250%, 1/15/2040, 144A		     1,396,500   
  400,000      Meccanica Holdings USA, Inc.,
7.375%, 7/15/2039, 144A		     438,000   
  350,000      Oshkosh Corp., 5.375%, 3/01/2025     366,187   
  265,000      TransDigm, Inc., 6.000%, 7/15/2022     279,575   
  225,000      TransDigm, Inc., 6.500%, 7/15/2024     236,813   
  185,000      TransDigm, Inc., 6.500%, 5/15/2025     192,631   
   

 

 

  
      3,885,419   
   

 

 

  
  Airlines – 2.1%   
  1,162,230      American Airlines Pass Through Trust,
Series 2013-1, Class B,
5.625%, 1/15/2021, 144A		     1,212,915   
  325,142      Delta Air Lines Pass Through Trust,
Series 2007-1, Class B, 8.021%, 2/10/2024		     370,271   
  1,217,293      Latam Airlines Pass Through Trust,
Series 2015-1, Class B, 4.500%, 8/15/2025		     1,171,644   
  54,761      Virgin Australia Pass Through Trust,
Series 2013-1C,
7.125%, 10/23/2018, 144A		     55,446   
   

 

 

  
      2,810,276   
   

 

 

  
  Automotive – 2.1%   
  150,000      Allison Transmission, Inc.,
5.000%, 10/01/2024, 144A		     153,750   
  975,000      General Motors Financial Co., Inc.,
5.250%, 3/01/2026		     1,070,827   
  65,000      Goodyear Tire & Rubber Co. (The),
5.000%, 5/31/2026		     66,869   
  60,000      Goodyear Tire & Rubber Co. (The),
5.125%, 11/15/2023		     62,550   
  320,000      Goodyear Tire & Rubber Co. (The),
7.000%, 3/15/2028		     349,600   

 

See accompanying notes to financial statements.

 

9  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Automotive – continued   
$ 500,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A   $ 508,750   
  585,000      ZF North America Capital, Inc.,
4.750%, 4/29/2025, 144A		     614,250   
   

 

 

  
      2,826,596   
   

 

 

  
  Banking – 4.6%   
  600,000      Ally Financial, Inc., 3.500%, 1/27/2019     605,250   
  155,000      Ally Financial, Inc., 4.125%, 3/30/2020     157,712   
  20,000      Ally Financial, Inc., 4.125%, 2/13/2022     20,225   
  980,000      Ally Financial, Inc., 5.125%, 9/30/2024     1,038,800   
  1,125,000      Commerzbank AG,
8.125%, 9/19/2023, 144A		     1,294,312   
  1,335,000      Intesa Sanpaolo SpA,
5.017%, 6/26/2024, 144A		     1,218,276   
  405,000      Royal Bank of Scotland Group PLC,
4.700%, 7/03/2018		     415,982   
  265,000      Royal Bank of Scotland Group PLC,
6.000%, 12/19/2023		     276,188   
  1,210,000      Royal Bank of Scotland Group PLC,
6.125%, 12/15/2022		     1,282,133   
   

 

 

  
      6,308,878   
   

 

 

  
  Brokerage – 0.7%   
  200,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A     186,000   
  140,000      Jefferies Group LLC, 6.250%, 1/15/2036     145,919   
  515,000      Jefferies Group LLC, 6.450%, 6/08/2027     583,031   
   

 

 

  
      914,950   
   

 

 

  
  Building Materials – 1.2%   
  670,000      Atrium Windows & Doors, Inc.,
7.750%, 5/01/2019, 144A		     602,162   
  300,000      Cemex SAB de CV,
7.750%, 4/16/2026, 144A		     332,850   
  265,000      HD Supply, Inc.,
5.250%, 12/15/2021, 144A		     280,238   
  15,000      Masco Corp., 7.750%, 8/01/2029     17,925   
  150,000      NCI Building Systems, Inc.,
8.250%, 1/15/2023, 144A		     163,125   
  160,000      U.S. Concrete, Inc., 6.375%, 6/01/2024     166,000   
  100,000      USG Corp., 5.500%, 3/01/2025, 144A     107,250   
   

 

 

  
      1,669,550   
   

 

 

  
  Cable Satellite – 7.7%   
  690,000      Altice Financing S.A.,
6.625%, 2/15/2023, 144A		     708,112   
  150,000      Cablevision S.A.,
6.500%, 6/15/2021, 144A		     156,563   
  400,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023     417,000   
  605,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024     642,812   
  575,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A     612,375   
  540,000      CSC Holdings LLC, 5.250%, 6/01/2024     513,000   
  45,000      CSC Holdings LLC,
6.750%, 11/15/2021		     47,588   
  25,000      CSC Holdings LLC, 7.625%, 7/15/2018     26,938   
  300,000      CSC Holdings LLC,
10.125%, 1/15/2023, 144A		     345,750   
  Cable Satellite – continued   
745,000      CSC Holdings LLC,
10.875%, 10/15/2025, 144A		   872,581   
  625,000      DISH DBS Corp., 5.000%, 3/15/2023     607,812   
  440,000      DISH DBS Corp., 5.125%, 5/01/2020     456,500   
  480,000      DISH DBS Corp., 5.875%, 7/15/2022     493,310   
  500,000      DISH DBS Corp., 5.875%, 11/15/2024     493,750   
  245,000      DISH DBS Corp.,
7.750%, 7/01/2026, 144A		     260,313   
  115,000      Sirius XM Radio, Inc.,
5.750%, 8/01/2021, 144A		     120,405   
  1,320,000      Unitymedia GmbH,
6.125%, 1/15/2025, 144A		     1,384,350   
  875,000      Virgin Media Secured Finance PLC,
5.250%, 1/15/2026, 144A		     888,125   
  200,000      Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A     204,500   
  565,000      Ziggo Bond Finance BV,
5.875%, 1/15/2025, 144A		     565,000   
  660,000      Ziggo Secured Finance BV,
5.500%, 1/15/2027, 144A		     659,175   
   

 

 

  
      10,475,959   
   

 

 

  
  Chemicals – 0.5%   
  805,000      Hercules, Inc., 6.500%, 6/30/2029     724,500   
   

 

 

  
  Construction Machinery – 0.5%   
  115,000      United Rentals North America, Inc.,
4.625%, 7/15/2023		     117,875   
  290,000      United Rentals North America, Inc.,
5.750%, 11/15/2024		     300,875   
  255,000      United Rentals North America, Inc.,
6.125%, 6/15/2023		     267,431   
   

 

 

  
      686,181   
   

 

 

  
  Consumer Cyclical Services – 1.3%   
  330,000      IHS Markit Ltd.,
5.000%, 11/01/2022, 144A		     349,173   
  460,000      Interval Acquisition Corp.,
5.625%, 4/15/2023		     474,950   
  285,000      Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 12/01/2021, 144A     299,872   
  645,000      ServiceMaster Co. LLC (The),
7.450%, 8/15/2027		     685,635   
   

 

 

  
      1,809,630   
   

 

 

  
  Consumer Products – 0.2%   
  225,000      Avon International Operations, Inc.,
7.875%, 8/15/2022, 144A		     232,313   
   

 

 

  
  Diversified Manufacturing – 0.1%   
  75,000      Entegris, Inc., 6.000%, 4/01/2022, 144A     77,625   
   

 

 

  
  Electric – 1.8%   
  300,000      AES Corp. (The), 5.500%, 4/15/2025     308,625   
  220,000      AES Corp. (The), 6.000%, 5/15/2026     232,650   
  315,000      Calpine Corp.,
7.875%, 1/15/2023, 144A		     332,719   
  20,310      CE Generation LLC, 7.416%, 12/15/2018     18,990   
  925,000      Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A     1,081,094   
  155,000      NRG Energy, Inc., 6.250%, 7/15/2022     157,325   
  35,000      NRG Energy, Inc., 6.625%, 3/15/2023     35,350   

 

See accompanying notes to financial statements.

 

|  10

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Electric – continued   
$ 165,000      NRG Energy, Inc.,
7.250%, 5/15/2026, 144A		   $ 167,887   
  67,000      NRG Energy, Inc., 7.875%, 5/15/2021     70,015   
   

 

 

  
      2,404,655   
   

 

 

  
  Environmental – 0.3%   
  195,000      GFL Environmental, Inc.,
7.875%, 4/01/2020, 144A		     205,725   
  175,000     

GFL Environmental, Inc.,

9.875%, 2/01/2021, 144A

     191,625   
   

 

 

  
      397,350   
   

 

 

  
  Finance Companies – 6.2%   
  150,000      AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 3.750%, 5/15/2019     153,187   
  570,000      AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021     596,362   
  220,000      AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.625%, 10/30/2020     231,000   
  375,000      Aircastle Ltd., 5.125%, 3/15/2021     400,781   
  410,000      Aircastle Ltd., 5.500%, 2/15/2022     441,775   
  30,000      Aircastle Ltd., 7.625%, 4/15/2020     34,163   
  220,000      International Lease Finance Corp., 5.875%, 8/15/2022     243,925   
  45,000      International Lease Finance Corp., 6.250%, 5/15/2019     48,769   
  70,000      International Lease Finance Corp., 8.250%, 12/15/2020     83,125   
  255,000      International Lease Finance Corp., 8.625%, 1/15/2022     313,650   
  135,000      iStar, Inc., 4.000%, 11/01/2017     135,337   
  195,000      iStar, Inc., 4.875%, 7/01/2018     195,975   
  585,000      iStar, Inc., 5.000%, 7/01/2019     583,467   
  75,000      iStar, Inc., 5.850%, 3/15/2017     75,896   
  245,000      iStar, Inc., 6.500%, 7/01/2021     248,675   
  55,000      iStar, Inc., 7.125%, 2/15/2018     57,338   
  865,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A     821,750   
  210,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017     211,575   
  30,000      Navient Corp., MTN, 6.125%, 3/25/2024     27,938   
  65,000      Navient LLC, 4.875%, 6/17/2019     64,756   
  185,000      Navient LLC, 5.500%, 1/25/2023     169,737   
  835,000      Navient LLC, MTN, 5.500%, 1/15/2019     847,525   
  145,000      Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A     146,269   
  870,000      Quicken Loans, Inc.,
5.750%, 5/01/2025, 144A		     863,475   
  395,000      Springleaf Finance Corp.,
5.250%, 12/15/2019		     403,394   
  280,000      Springleaf Finance Corp.,
7.750%, 10/01/2021		     293,650   
  110,000      Springleaf Finance Corp.,
8.250%, 10/01/2023		     115,500   
  200,000      Springleaf Finance Corp.,
Series J, MTN, 6.500%, 9/15/2017		     207,000   
  102,000      Stearns Holdings LLC,
9.375%, 8/15/2020, 144A		     98,940   
  320,000      Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A     318,800   
   

 

 

  
      8,433,734   
   

 

 

  
  Financial Other – 1.2%   
450,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019   452,250   
  860,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022     825,600   
  388,000      Rialto Holdings LLC/Rialto Corp.,
7.000%, 12/01/2018, 144A		     393,820   
   

 

 

  
      1,671,670   
   

 

 

  
  Food & Beverage – 1.0%   
  730,000      Cosan Luxembourg S.A.,
7.000%, 1/20/2027, 144A		     761,937   
  195,000      JBS USA LLC/JBS USA Finance, Inc.,
5.750%, 6/15/2025, 144A		     191,588   
  20,000      JBS USA LLC/JBS USA Finance, Inc.,
7.250%, 6/01/2021, 144A		     20,675   
  120,000      TreeHouse Foods, Inc., 4.875%, 3/15/2022     124,200   
  265,000      WhiteWave Foods Co. (The), 5.375%, 10/01/2022     301,106   
   

 

 

  
      1,399,506   
   

 

 

  
  Gaming – 0.9%   
  150,000      Boyd Gaming Corp.,
6.375%, 4/01/2026, 144A		     160,875   
  80,000      GLP Capital LP/GLP Financing II, Inc.,
5.375%, 4/15/2026		     86,000   
  925,000      MGM Resorts International,
6.000%, 3/15/2023		     1,003,625   
   

 

 

  
      1,250,500   
   

 

 

  
  Government Owned – No Guarantee – 1.4%   
  675,000      Petrobras Global Finance BV,
4.875%, 3/17/2020		     676,687   
  610,000      Petrobras Global Finance BV,
5.375%, 1/27/2021		     603,290   
  260,000      Petrobras Global Finance BV,
6.250%, 3/17/2024		     252,850   
  340,000      Petrobras Global Finance BV,
8.375%, 5/23/2021		     371,450   
   

 

 

  
      1,904,277   
   

 

 

  
  Healthcare – 4.3%   
  135,000      Amsurg Corp., 5.625%, 7/15/2022     138,038   
  750,000      CHS/Community Health Systems, Inc.,
6.875%, 2/01/2022		     645,000   
  300,000      HCA Holdings, Inc., 6.250%, 2/15/2021     325,500   
  125,000      HCA, Inc., 4.500%, 2/15/2027     125,781   
  655,000      HCA, Inc., 5.375%, 2/01/2025     676,287   
  430,000      HCA, Inc., 7.050%, 12/01/2027     457,413   
  35,000      HCA, Inc., 7.500%, 12/15/2023     38,806   
  790,000      HCA, Inc., 7.500%, 11/06/2033     856,162   
  40,000      HCA, Inc., 7.690%, 6/15/2025     44,956   
  40,000      HCA, Inc., 8.360%, 4/15/2024     46,443   
  205,000      HCA, Inc., MTN, 7.580%, 9/15/2025     231,138   
  20,000      HCA, Inc., MTN, 7.750%, 7/15/2036     21,675   
  135,000      Hologic, Inc., 5.250%, 7/15/2022, 144A     143,269   
  70,000      Kindred Healthcare, Inc.,
8.000%, 1/15/2020		     71,225   
  190,000      Kindred Healthcare, Inc.,
8.750%, 1/15/2023		     190,000   
  140,000      LifePoint Health, Inc.,
5.500%, 12/01/2021		     145,950   
  50,000      MEDNAX, Inc.,
5.250%, 12/01/2023, 144A		     52,563   

 

See accompanying notes to financial statements.

 

11  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Healthcare – continued   
$ 180,000      Team Health, Inc.,
7.250%, 12/15/2023, 144A		   $ 193,725   
  490,000      Tenet Healthcare Corp.,
6.750%, 6/15/2023		     455,700   
  1,145,000      Tenet Healthcare Corp.,
6.875%, 11/15/2031		     941,762   
   

 

 

  
      5,801,393   
   

 

 

  
  Home Construction – 1.6%   
  20,000      Beazer Homes USA, Inc.,
8.750%, 3/15/2022, 144A		     21,100   
  200,000      Corporacion GEO SAB de CV,
8.875%, 3/27/2022, 144A(c)(d)(e)		     2   
  260,000      K. Hovnanian Enterprises, Inc.,
5.000%, 11/01/2021(e)(f)		     182,000   
  385,000      Lennar Corp., 4.750%, 11/15/2022     397,513   
  720,000      PulteGroup, Inc., 6.000%, 2/15/2035     727,200   
  495,000      PulteGroup, Inc., 6.375%, 5/15/2033     515,625   
  380,000      TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019     390,925   
  200,000      Urbi Desarrollos Urbanos SAB de CV,
9.750%, 2/03/2022, 144A(c)(d)(e)		     2   
   

 

 

  
      2,234,367   
   

 

 

  
  Independent Energy – 8.1%   
  1,035,000      Antero Resources Corp.,
5.125%, 12/01/2022		     1,042,762   
  75,000      Antero Resources Corp.,
5.375%, 11/01/2021		     75,844   
  595,000      Baytex Energy Corp.,
5.625%, 6/01/2024, 144A		     484,925   
  220,000      Bonanza Creek Energy, Inc.,
5.750%, 2/01/2023		     100,100   
  500,000      Bonanza Creek Energy, Inc.,
6.750%, 4/15/2021		     227,500   
  68,000      California Resources Corp.,
5.500%, 9/15/2021		     36,040   
  33,000      California Resources Corp.,
6.000%, 11/15/2024		     15,758   
  110,000      Callon Petroleum Co.,
6.125%, 10/01/2024, 144A		     113,850   
  103,000      Chesapeake Energy Corp.,
4.875%, 4/15/2022		     86,778   
  8,000      Chesapeake Energy Corp.,
5.750%, 3/15/2023		     6,800   
  12,000      Chesapeake Energy Corp.,
6.125%, 2/15/2021		     11,010   
  21,000      Chesapeake Energy Corp.,
6.625%, 8/15/2020		     19,766   
  110,000      Concho Resources, Inc.,
5.500%, 10/01/2022		     114,125   
  300,000      Concho Resources, Inc.,
5.500%, 4/01/2023		     309,375   
  600,000      CONSOL Energy, Inc.,
5.875%, 4/15/2022		     552,000   
  310,000      Continental Resources, Inc.,
3.800%, 6/01/2024		     283,650   
  80,000      Continental Resources, Inc.,
4.500%, 4/15/2023		     76,800   
  630,000      Continental Resources, Inc.,
5.000%, 9/15/2022		     628,425   
  Independent Energy – continued   
445,000      Eclipse Resources Corp.,
8.875%, 7/15/2023		   433,597   
  100,000      Halcon Resources Corp.,
8.625%, 2/01/2020, 144A		     100,500   
  85,000      Matador Resources Co., 6.875%, 4/15/2023     87,975   
  250,000      MEG Energy Corp.,
6.375%, 1/30/2023, 144A		     197,812   
  280,000      MEG Energy Corp.,
6.500%, 3/15/2021, 144A		     228,550   
  465,000      MEG Energy Corp.,
7.000%, 3/31/2024, 144A		     367,350   
  135,000      Newfield Exploration Co.,
5.625%, 7/01/2024		     138,375   
  834,000      Oasis Petroleum, Inc., 6.875%, 3/15/2022     798,555   
  75,000      PDC Energy, Inc.,
6.125%, 9/15/2024, 144A		     77,625   
  580,000      QEP Resources, Inc., 5.250%, 5/01/2023     571,300   
  220,000      QEP Resources, Inc., 5.375%, 10/01/2022     218,350   
  5,000      QEP Resources, Inc., 6.875%, 3/01/2021     5,213   
  380,000      Rex Energy Corp.,
(Step to 8.000% on 10/01/2017),
1.000%, 10/01/2020(g)		     207,100   
  660,000      Rice Energy, Inc., 6.250%, 5/01/2022     681,450   
  370,000      RSP Permian, Inc., 6.625%, 10/01/2022     387,575   
  200,000      Sanchez Energy Corp., 6.125%, 1/15/2023     160,500   
  280,000      SM Energy Co., 5.000%, 1/15/2024     263,200   
  230,000      SM Energy Co., 5.625%, 6/01/2025     216,200   
  170,000      SM Energy Co., 6.125%, 11/15/2022     170,000   
  135,000      SM Energy Co., 6.500%, 11/15/2021     138,037   
  15,000      SM Energy Co., 6.500%, 1/01/2023     15,150   
  100,000      SM Energy Co., 6.750%, 9/15/2026     101,000   
  250,000      Southwestern Energy Co., 6.700%, 1/23/2025     250,000   
  270,000      Whiting Petroleum Corp., 5.000%, 3/15/2019     261,225   
  755,000      Whiting Petroleum Corp., 5.750%, 3/15/2021     705,925   
   

 

 

  
      10,968,072   
   

 

 

  
  Industrial Other – 0.1%   
  130,000      Broadspectrum Ltd.,
8.375%, 5/15/2020, 144A		     138,450   
   

 

 

  
  Life Insurance – 0.3%   
  430,000      CNO Financial Group, Inc.,
5.250%, 5/30/2025		     426,775   
   

 

 

  
  Lodging – 0.4%   
  115,000      Hilton Domestic Operating Co., Inc.,
4.250%, 9/01/2024, 144A		     117,300   
  400,000      Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.,
5.625%, 10/15/2021		     412,000   
   

 

 

  
      529,300   
   

 

 

  
  Media Entertainment – 1.6%   
  660,000      AMC Networks, Inc., 4.750%, 12/15/2022     668,250   
  830,000      Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020     822,737   
  85,000      Clear Channel Worldwide Holdings, Inc.,
Series A, 6.500%, 11/15/2022		     85,638   
  540,000      Clear Channel Worldwide Holdings, Inc.,
Series B, 6.500%, 11/15/2022		     562,275   
  45,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022     46,800   
   

 

 

  
      2,185,700   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  12

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Metals & Mining – 3.3%   
$ 405,000      Alcoa, Inc., 5.125%, 10/01/2024   $ 430,819   
  235,000      Alcoa, Inc., 5.900%, 2/01/2027     251,450   
  50,000      Alcoa, Inc., 6.750%, 1/15/2028     54,625   
  390,000      Anglo American Capital PLC,
4.125%, 9/27/2022, 144A		     386,100   
  395,000      Anglo American Capital PLC,
4.875%, 5/14/2025, 144A		     402,900   
  150,000      ArcelorMittal, 7.750%, 3/01/2041     156,375   
  930,000      ArcelorMittal, 8.000%, 10/15/2039     1,004,400   
  160,000      Essar Steel Algoma, Inc.,
9.500%, 11/15/2019, 144A(d)(e)(f)		     21,600   
  175,000      First Quantum Minerals Ltd.,
7.000%, 2/15/2021, 144A		     156,625   
  355,000      First Quantum Minerals Ltd.,
7.250%, 5/15/2022, 144A		     314,175   
  870,000      Freeport-McMoRan, Inc., 4.550%, 11/14/2024     788,437   
  75,000      Freeport-McMoRan, Inc., 5.450%, 3/15/2043     60,187   
  165,000      Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A     159,384   
  340,000      Lundin Mining Corp., 7.500%, 11/01/2020, 144A     361,250   
   

 

 

  
      4,548,327   
   

 

 

  
  Midstream – 5.2%   
  365,000      Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024     368,910   
  120,000      Gibson Energy, Inc.,
6.750%, 7/15/2021, 144A		     122,700   
  55,000      Kinder Morgan Energy Partners LP,
3.450%, 2/15/2023		     54,827   
  80,000      Kinder Morgan Energy Partners LP,
3.500%, 9/01/2023		     80,125   
  35,000      Kinder Morgan Energy Partners LP,
4.700%, 11/01/2042		     32,286   
  150,000      MPLX LP, 4.500%, 7/15/2023     152,914   
  430,000      MPLX LP, 4.875%, 12/01/2024     444,760   
  340,000      NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019     321,300   
  375,000      NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021     355,312   
  195,000      Regency Energy Partners LP/Regency Energy Finance Corp.,
4.500%, 11/01/2023		     196,313   
  175,000      Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020     190,004   
  130,000      Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022     143,348   
  160,000      Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022     147,200   
  175,000      Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 11/15/2023     159,250   
  825,000      Sabine Pass Liquefaction LLC,
5.625%, 2/01/2021		     871,406   
  160,000      Sabine Pass Liquefaction LLC,
5.625%, 4/15/2023		     170,800   
  335,000      Sabine Pass Liquefaction LLC,
5.625%, 3/01/2025		     360,125   
  195,000      Sabine Pass Liquefaction LLC,
6.250%, 3/15/2022		     213,038   
  Midstream – continued   
985,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019   998,790   
  50,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.250%, 11/15/2023		     48,313   
  670,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
5.250%, 5/01/2023		     678,375   
  105,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
6.375%, 8/01/2022		     108,675   
  15,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
6.875%, 2/01/2021		     15,488   
  80,000      Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019     85,200   
  525,000      Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022     560,437   
  135,000      Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023     138,375   
   

 

 

  
      7,018,271   
   

 

 

  
  Non-Agency Commercial Mortgage-Backed Securities – 1.4%    
  590,000      BXHTL Mortgage Trust,
Series 2015-DRMZ, Class M,
8.717%, 5/15/2020, 144A(b)(e)(f)		     573,514   
  650,000      GS Mortgage Securities Trust,
Series 2007-GG10, Class AM,
5.988%, 8/10/2045(b)		     625,643   
  385,000      Hilton USA Trust,
Series 2013-HLT, Class EFX,
5.609%, 11/05/2030, 144A(b)		     385,594   
  250,000      Morgan Stanley Capital I Trust,
Series 2007-HQ12, Class AM,
5.902%, 4/12/2049(b)		     250,792   
   

 

 

  
      1,835,543   
   

 

 

  
  Oil Field Services – 0.5%   
  60,000      Diamond Offshore Drilling, Inc.,
4.875%, 11/01/2043		     41,636   
  370,000      Ensco PLC, 5.750%, 10/01/2044     225,953   
  20,000      Global Marine, Inc., 7.000%, 6/01/2028     14,000   
  90,000      Noble Holding International Ltd.,
5.250%, 3/15/2042		     50,850   
  185,000      Noble Holding International Ltd.,
6.050%, 3/01/2041		     109,150   
  155,000      Paragon Offshore PLC,
6.750%, 7/15/2022, 144A(d)		     43,013   
  310,000      Paragon Offshore PLC,
7.250%, 8/15/2024, 144A(d)		     86,025   
  15,000      Parker Drilling Co., 6.750%, 7/15/2022     11,625   
  85,000      Rowan Cos., Inc., 5.850%, 1/15/2044     58,438   
   

 

 

  
      640,690   
   

 

 

  
  Packaging – 1.3%   
  330,000      ARD Finance S.A., PIK,
7.125%, 9/15/2023, 144A(h)		     328,350   
  345,000      Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.,
4.625%, 5/15/2023, 144A		     346,725   

 

See accompanying notes to financial statements.

 

13  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Packaging – continued   
$ 350,000      Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.,
7.250%, 5/15/2024, 144A		   $ 372,750   
  325,000      Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021     338,812   
  360,000      Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc.,
6.375%, 5/01/2022, 144A		     364,500   
   

 

 

  
      1,751,137   
   

 

 

  
  Pharmaceuticals – 2.3%   
  200,000      Grifols Worldwide Operations Ltd.,
5.250%, 4/01/2022		     207,000   
  1,065,000      Valeant Pharmaceuticals International,
6.375%, 10/15/2020, 144A		     998,437   
  375,000     

Valeant Pharmaceuticals International,

7.250%, 7/15/2022, 144A

     347,812   
  95,000      Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A     81,225   
  115,000      Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A     102,638   
  1,390,000      Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A     1,198,875   
  15,000      Valeant Pharmaceuticals International, Inc., 6.750%, 8/15/2018, 144A     15,075   
  220,000      VRX Escrow Corp.,
5.375%, 3/15/2020, 144A		     203,500   
   

 

 

  
      3,154,562   
   

 

 

  
  Property & Casualty Insurance – 0.4%   
  555,000      HUB International Ltd.,
7.875%, 10/01/2021, 144A		     566,100   
   

 

 

  
  Refining – 0.3%   
  335,000      Ultrapar International S.A.,
5.250%, 10/06/2026, 144A		     332,487   
  115,000      Western Refining, Inc.,
6.250%, 4/01/2021		     113,563   
   

 

 

  
      446,050   
   

 

 

  
  REITs – Hotels – 0.3%   
  385,000      Felcor Lodging LP, 5.625%, 3/01/2023     395,588   
   

 

 

  
  Retailers – 1.4%   
  480,000      Dillard’s, Inc., 7.000%, 12/01/2028     549,571   
  75,000      Dillard’s, Inc., 7.875%, 1/01/2023     90,094   
  280,000      Foot Locker, Inc., 8.500%, 1/15/2022     330,400   
  160,000      GameStop Corp.,
5.500%, 10/01/2019, 144A		     163,400   
  125,000      Group 1 Automotive, Inc.,
5.000%, 6/01/2022		     125,390   
  535,000      Group 1 Automotive, Inc.,
5.250%, 12/15/2023, 144A		     537,006   
  40,000      J.C. Penney Corp., Inc., 5.750%, 2/15/2018     41,400   
  225,000      Nine West Holdings, Inc., 6.125%, 11/15/2034     29,250   
   

 

 

  
      1,866,511   
   

 

 

  
  Supermarkets – 1.3%   
730,000      Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC,
5.750%, 3/15/2025, 144A		   728,175   
  415,000      KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A     411,888   
  5,000      New Albertson’s, Inc.,
7.450%, 8/01/2029		     4,900   
  10,000      New Albertson’s, Inc.,
8.700%, 5/01/2030		     10,150   
  615,000      New Albertson’s, Inc.,
Series C, MTN, 6.625%, 6/01/2028		     565,800   
   

 

 

  
      1,720,913   
   

 

 

  
  Technology – 8.1%   
  110,000      ACI Worldwide, Inc.,
6.375%, 8/15/2020, 144A		     113,713   
  2,305,000      Alcatel-Lucent USA, Inc.,
6.450%, 3/15/2029		     2,549,906   
  290,000      Alcatel-Lucent USA, Inc.,
6.500%, 1/15/2028		     316,100   
  251,000      Blackboard, Inc.,
7.750%, 11/15/2019, 144A		     247,235   
  135,000      Camelot Finance S.A.,
7.875%, 10/15/2024, 144A		     139,219   
  70,000      CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A     74,638   
  140,000      CommScope, Inc.,
5.000%, 6/15/2021, 144A		     144,900   
  165,000      Diamond 1 Finance Corp./Diamond 2 Finance Corp.,
5.875%, 6/15/2021, 144A		     175,308   
  1,265,000      Diamond 1 Finance Corp./Diamond 2 Finance Corp.,
6.020%, 6/15/2026, 144A		     1,386,823   
  475,000      Diamond 1 Finance Corp./Diamond 2 Finance Corp.,
7.125%, 6/15/2024, 144A		     522,428   
  150,000      Equinix, Inc., 5.375%, 1/01/2022     158,625   
  140,000      Equinix, Inc., 5.375%, 4/01/2023     146,825   
  695,000      First Data Corp.,
7.000%, 12/01/2023, 144A		     734,962   
  330,000      IMS Health, Inc.,
5.000%, 10/15/2026, 144A		     343,200   
  320,000      Micron Technology, Inc.,
5.250%, 1/15/2024, 144A		     307,200   
  175,000      Microsemi Corp.,
9.125%, 4/15/2023, 144A		     199,500   
  190,000      MSCI, Inc., 5.250%, 11/15/2024, 144A     201,144   
  675,000      NXP BV/NXP Funding LLC,
4.625%, 6/15/2022, 144A		     729,000   
  655,000      Open Text Corp.,
5.625%, 1/15/2023, 144A		     668,100   
  20,000      Open Text Corp.,
5.875%, 6/01/2026, 144A		     20,925   
  575,000      Sabre GLBL, Inc.,
5.250%, 11/15/2023, 144A		     585,062   
  235,000      Sabre GLBL, Inc.,
5.375%, 4/15/2023, 144A		     241,462   
  205,000      Western Digital Corp.,
7.375%, 4/01/2023, 144A		     225,500   
  660,000      Western Digital Corp.,
10.500%, 4/01/2024, 144A		     765,600   
   

 

 

  
      10,997,375   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  14

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Transportation Services – 0.3%   
$ 185,000      APL Ltd., 8.000%, 1/15/2024(e)(f)   $ 122,100   
  5,521      Atlas Air Pass Through Trust,
Series 1998-1, Class B, 7.680%, 1/02/2018(c)		     5,617   
  105,279      Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(c)(i)     107,648   
  115,000      Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.125%, 6/01/2022, 144A     115,359   
   

 

 

  
      350,724   
   

 

 

  
  Wireless – 3.4%   
  220,000      Altice Luxembourg S.A.,
7.625%, 2/15/2025, 144A		     225,500   
  970,000      Altice Luxembourg S.A.,
7.750%, 5/15/2022, 144A		     1,035,475   
  690,000      SFR Group S.A.,
6.000%, 5/15/2022, 144A		     703,800   
  496,000     

Sprint Capital Corp.,

6.875%, 11/15/2028

     465,620   
  1,205,000      Sprint Corp., 7.250%, 9/15/2021     1,209,519   
  585,000      T-Mobile USA, Inc., 6.125%, 1/15/2022     621,562   
  395,000      Wind Acquisition Finance S.A.,
4.750%, 7/15/2020, 144A		     397,963   
   

 

 

  
      4,659,439   
   

 

 

  
  Wirelines – 2.9%   
  20,000      CenturyLink, Inc., 5.625%, 4/01/2020     21,150   
  245,000      CenturyLink, Inc., 6.450%, 6/15/2021     262,456   
  25,000      CenturyLink, Inc.,
Series W, 6.750%, 12/01/2023		     26,000   
  220,000      Cincinnati Bell Telephone Co. LLC,
6.300%, 12/01/2028		     209,275   
  15,000      Frontier Communications Corp.,
7.000%, 11/01/2025		     13,200   
  235,000      Frontier Communications Corp.,
7.450%, 7/01/2035		     188,588   
  480,000      Frontier Communications Corp.,
10.500%, 9/15/2022		     508,800   
  640,000      Level 3 Communications, Inc.,
5.750%, 12/01/2022		     668,800   
  95,000      Level 3 Financing, Inc., 5.125%, 5/01/2023     97,850   
  645,000      Level 3 Financing, Inc.,
5.250%, 3/15/2026, 144A		     665,962   
  110,000      Level 3 Financing, Inc., 5.375%, 8/15/2022     114,950   
  35,000      Level 3 Financing, Inc., 5.375%, 5/01/2025     36,488   
  480,000      Qwest Capital Funding, Inc.,
6.875%, 7/15/2028		     453,600   
  5,000      Telecom Italia Capital S.A.,
6.000%, 9/30/2034		     4,951   
  320,000      Telecom Italia Capital S.A.,
7.200%, 7/18/2036		     340,800   
  290,000      Telecom Italia Capital S.A.,
7.721%, 6/04/2038		     317,550   
   

 

 

  
      3,930,420   
   

 

 

  
  Total Non-Convertible Bonds  
  (Identified Cost $115,529,927)     119,205,388   
   

 

 

  
  Convertible Bonds – 3.2%  
  Building Materials – 0.1%   
80,000      CalAtlantic Group, Inc., 0.250%, 6/01/2019   74,100   
   

 

 

  
  Diversified Operations – 0.4%   
  485,000      RWT Holdings, Inc., 5.625%, 11/15/2019     491,062   
   

 

 

  
  Healthcare – 0.3%   
  400,000      Brookdale Senior Living, Inc.,
2.750%, 6/15/2018		     397,250   
   

 

 

  
  Leisure – 0.4%   
  590,000      Rovi Corp., 0.500%, 3/01/2020     587,953   
   

 

 

  
  Media Entertainment – 0.2%   
  205,000      Liberty Media Corp.,
2.250%, 9/30/2046, 144A		     212,816   
   

 

 

  
  Metals & Mining – 0.0%   
  40,000      RTI International Metals, Inc.,
1.625%, 10/15/2019		     42,650   
   

 

 

  
  Midstream – 0.1%   
  170,000      Whiting Petroleum Corp.,
Series 2, 1.250%, 6/05/2020		     163,200   
   

 

 

  
  Pharmaceuticals – 0.8%   
  481,000      BioMarin Pharmaceutical, Inc.,
1.500%, 10/15/2020		     599,747   
  600,000      Ionis Pharmaceuticals, Inc.,
1.000%, 11/15/2021		     558,375   
   

 

 

  
      1,158,122   
   

 

 

  
  Technology – 0.9%   
  20,000      Advanced Micro Devices, Inc.,
2.125%, 9/01/2026		     21,750   
  220,000      Cypress Semiconductor Corp.,
4.500%, 1/15/2022, 144A		     248,737   
  145,000      Micron Technology, Inc., Series G,
3.000%, 11/15/2043		     128,869   
  695,000      Nuance Communications, Inc., 1.000%, 12/15/2035, 144A     604,650   
  165,000      Viavi Solutions, Inc., 0.625%, 8/15/2033     164,175   
   

 

 

  
      1,168,181   
   

 

 

  
  Total Convertible Bonds  
  (Identified Cost $4,144,072)     4,295,334   
   

 

 

  
  Total Bonds and Notes  
  (Identified Cost $119,673,999)     123,500,722   
   

 

 

  
  Senior Loans – 0.4%  
  Chemicals – 0.1%   
  153,036      Chemours Co. (The), Term Loan B,
3.750%, 5/12/2022(b)		     151,410   
   

 

 

  
  Independent Energy – 0.3%   
  407,467      Chesapeake Energy Corp.,
Term Loan, 8/23/2021(j)		     427,458   
   

 

 

  
  Total Senior Loans  
  (Identified Cost $559,887)     578,868   
   

 

 

  

 

See accompanying notes to financial statements.

 

15  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued

 

Shares

     Description   Value (†)  
  Preferred Stocks – 2.2%  
  Food & Beverage – 0.2%   
  3,002      Bunge Ltd., 4.875%   $ 285,512   
   

 

 

  
  Midstream – 0.3%   
  641      Chesapeake Energy Corp., 5.750%(k)     338,929   
  13      Chesapeake Energy Corp., 5.750%, 144A(k)     6,874   
  90      Chesapeake Energy Corp., 5.750%(k)     46,856   
   

 

 

  
      392,659   
   

 

 

  
  Pharmaceuticals – 1.4%   
  1,174      Allergan PLC, Series A, 5.500%     964,594   
  1,131      Teva Pharmaceutical Industries Ltd., 7.000%     915,657   
   

 

 

  
      1,880,251   
   

 

 

  
  Technology – 0.3%   
  3,780      Belden, Inc., 6.750%     379,625   
   

 

 

  
  Total Preferred Stocks  
  (Identified Cost $3,313,335)     2,938,047   
   

 

 

  
  Common Stocks – 0.3%  
  Energy Equipment & Services – 0.0%   
  2,515      Hercules Offshore, Inc.(k)     4,351   
   

 

 

  
  Oil, Gas & Consumable Fuels – 0.1%   
  8,051      Halcon Resources Corp.(k)     75,519   
  5,700      Rex Energy Corp.(k)     3,328   
  7,845      Whiting Petroleum Corp.(k)     68,565   
   

 

 

  
      147,412   
   

 

 

  
  Pharmaceuticals – 0.2%   
  4,298      Bristol-Myers Squibb Co.     231,748   
   

 

 

  
  Total Common Stocks  
  (Identified Cost $1,133,319)     383,511   
   

 

 

  
  Warrants – 0.0%  
  2,186      Halcon Resources Corp., Expiration on
9/9/2020 at $14.04(c)(k)		     3,336   
  1,657      FairPoint Communications, Inc., Expiration on
1/24/2018 at $48.81(c)(e)(k)		     —   
   

 

 

  
  Total Warrants  
  (Identified Cost $—)     3,336   
   

 

 

  
Principal
Amount		     Description   Value (†)  
  Short-Term Investments – 5.4%  
$ 7,290,248      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $7,290,266 on 10/03/2016 collateralized by $7,355,000 U.S. Treasury Note, 1.500% due 3/31/2023 valued at $7,437,744 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,290,248)   $ 7,290,248   
   

 

 

  
  Total Investments – 99.3%  
  (Identified Cost $131,970,788)(a)     134,694,732   
  Other assets less liabilities—0.7%     1,010,956   
   

 

 

  
  Net Assets – 100.0%   $ 135,705,688   
   

 

 

  
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information:   
  At September 30, 2016, the net unrealized appreciation on investments based on a cost of $132,149,831 for federal income tax purposes was as follows:     
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 6,360,115   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (3,815,214 ) 
   

 

 

  
  Net unrealized appreciation   $ 2,544,901   
   

 

 

  
  (b)      Variable rate security. Rate as of September 30, 2016 is disclosed.   
  (c)      Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $116,605 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.     
  (d)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.    
  (e)      Illiquid security. (Unaudited)   
  (f)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $899,214 or 0.7% of net assets. See Note 2 of Notes to Financial Statements.      
  (g)      Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.    
  (h)      Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended September 30, 2016, the issuer has not made any interest payments.      
  (i)      Maturity has been extended under the terms of a plan of reorganization.    
  (j)      Position is unsettled. Contract rate was not determined at September 30, 2016 and does not take effect until settlement date. Maturity date is not finalized until settlement date.     
  (k)      Non-income producing security.   
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $48,201,840 or 35.5% of net assets.        
  ABS      Asset-Backed Securities  
  MTN      Medium Term Note  
  PIK      Payment-in-Kind  
  REITs      Real Estate Investment Trusts  

 

See accompanying notes to financial statements.

 

|  16

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued

 

Industry Summary at September 30, 2016

 

Technology

        9.3 % 

Independent Energy

        8.4   

Cable Satellite

        7.7   

Finance Companies

        6.2   

Midstream

        5.6   

Pharmaceuticals

        4.7   

Banking

        4.6   

Healthcare

        4.6   

Wireless

        3.4   

Metals & Mining

        3.3   

Wirelines

        2.9   

Aerospace & Defense

        2.9   

ABS Home Equity

        2.1   

Automotive

        2.1   

Airlines

        2.1   

Other Investments, less than 2% each

        24.0   

Short-Term Investments

        5.4   
    

 

 

  

Total Investments

        99.3   

Other assets less liabilities

        0.7   
    

 

 

  

Net Assets

        100.0 % 
    

 

 

  

 

See accompanying notes to financial statements.

 

17  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – 121.1% of Net Assets  
  ABS Car Loan – 12.6%  
$ 1,070,000      AmeriCredit Automobile Receivables Trust, Series 2014-2, Class B, 1.600%, 7/08/2019   $ 1,072,108   
  3,700,000      AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C,
2.470%, 11/09/2020(b)		     3,754,745   
  1,840,000      AmeriCredit Automobile Receivables Trust, Series 2015-2, Class C, 2.400%, 1/08/2021     1,862,442   
  1,275,000      AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021     1,300,848   
  1,440,000      AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021     1,477,596   
  645,000      Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B,
2.620%, 9/20/2019, 144A		     645,362   
  2,630,000      Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A,
2.460%, 7/20/2020, 144A(b)		     2,656,672   
  300,000      Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A,
2.500%, 2/20/2021, 144A		     303,054   
  4,395,000      Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A,
2.500%, 7/20/2021, 144A(b)		     4,438,835   
  2,430,000      California Republic Auto Receivables Trust, Series 2016-2, Class B,
2.520%, 5/16/2022		     2,431,192   
  25,923      CarFinance Capital Auto Trust, Series 2014-1A, Class A, 1.460%, 12/17/2018, 144A     25,923   
  3,082,555      CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A(b)     3,078,793   
  1,835,000      CarNow Auto Receivables Trust, Series 2015-1A, Class C, 3.880%, 4/15/2020, 144A     1,845,086   
  2,845,660      Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A     2,823,484   
  109,349      CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A     109,396   
  4,000,000      CPS Auto Receivables Trust, Series 2014-C, Class B, 2.670%, 8/17/2020, 144A(b)     4,044,616   
  2,225,000      CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A     2,253,722   
  1,610,000      CPS Auto Receivables Trust, Series 2015-B, Class C, 4.200%, 5/17/2021, 144A     1,627,068   
  1,745,000      CPS Auto Receivables Trust, Series 2016-A, Class D, 5.000%, 12/15/2021, 144A     1,771,282   
  450,000      Credit Acceptance Auto Loan Trust, Series 2014-1A, Class B, 2.290%, 4/15/2022, 144A     450,866   
  ABS Car Loan – continued  
$ 3,240,000      Credit Acceptance Auto Loan Trust,
Series 2014-2A, Class A,
1.880%, 3/15/2022, 144A(b)		   $ 3,246,242   
  4,000,000      Credit Acceptance Auto Loan Trust,
Series 2015-1A, Class B,
2.610%, 1/17/2023, 144A(b)		     4,022,945   
  6,770,000      Credit Acceptance Auto Loan Trust, Series 2016-2A, Class B, 3.180%, 5/15/2024, 144A     6,883,454   
  5,680,000      Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.760%, 7/15/2021, 144A(b)     5,727,389   
  1,900,000      Drive Auto Receivables Trust, Series 2015-DA, Class C, 3.380%, 11/15/2021, 144A     1,934,981   
  2,010,000      Drive Auto Receivables Trust, Series 2016-AA, Class C, 3.910%, 5/17/2021, 144A     2,060,388   
  1,806,744      DT Auto Owner Trust,
Series 2014-2A, Class C,
2.460%, 1/15/2020, 144A(b)		     1,811,657   
  1,240,000      DT Auto Owner Trust,
Series 2015-2A, Class D,
4.250%, 2/15/2022, 144A		     1,262,905   
  2,340,000      DT Auto Owner Trust,
Series 2015-3A, Class D,
4.530%, 10/17/2022, 144A		     2,395,480   
  5,040,000      DT Auto Owner Trust,
Series 2016-4A, Class C,
2.740%, 10/17/2022, 144A		     5,037,047   
  1,072,420      Exeter Automobile Receivables Trust, Series 2014-1A, Class B,
2.420%, 1/15/2019, 144A		     1,073,114   
  784,648      Exeter Automobile Receivables Trust,
Series 2014-3A, Class A,
1.320%, 1/15/2019, 144A(b)		     783,637   
  4,200,000      Exeter Automobile Receivables Trust, Series 2014-3A, Class B,
2.770%, 11/15/2019, 144A(b)		     4,231,856   
  2,000,000      First Investors Auto Owner Trust,
Series 2014-1A, Class B,
2.260%, 1/15/2020, 144A		     2,008,652   
  1,915,000      First Investors Auto Owner Trust,
Series 2014-2A, Class D,
3.470%, 2/15/2021, 144A		     1,938,234   
  956,042      Flagship Credit Auto Trust,
Series 2013-1, Class B,
2.760%, 9/17/2018, 144A		     956,847   
  5,530,000      Flagship Credit Auto Trust,
Series 2014-2, Class B,
2.840%, 11/16/2020, 144A(b)		     5,582,015   
  1,535,000      Flagship Credit Auto Trust,
Series 2015-2B,
3.080%, 12/15/2021, 144A		     1,563,004   
  710,000      Flagship Credit Auto Trust,
Series 2016-2, Class B,
3.840%, 9/15/2022, 144A		     740,297   
  1,390,000      Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A,
2.260%, 11/15/2025, 144A		     1,417,022   

 

See accompanying notes to financial statements.

 

|  18

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  ABS Car Loan – continued  
$ 3,900,000      Ford Credit Auto Owner Trust/Ford Credit, Series 2014-2, Class A,
2.310%, 4/15/2026, 144A(b)		   $ 3,987,283   
  3,210,000      Hertz Vehicle Financing LLC, Series 2016-3A, Class A, 2.270%, 7/25/2020, 144A(b)     3,212,909   
  8,605,000      NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A,
1.920%, 10/15/2019, 144A(b)		     8,581,822   
  4,415,000      Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A(b)     4,421,808   
  7,120,000      Santander Drive Auto Receivables Trust, Series 2014-5, Class C,
2.460%, 6/15/2020(b)		     7,199,173   
  1,940,000      Santander Drive Auto Receivables Trust, Series 2015-2, Class C, 2.440%, 4/15/2021     1,961,403   
  1,820,000      Santander Drive Auto Receivables Trust, Series 2016-2, Class C, 2.660%, 11/15/2021     1,848,456   
  1,515,000      Westlake Automobile Receivables Trust, Series 2016-1A, Class C,
3.290%, 9/15/2021, 144A		     1,545,553   
  2,795,000      Westlake Automobile Receivables Trust, Series 2016-2A, Class C,
2.830%, 5/17/2021, 144A		     2,830,346   
   

 

 

  
      128,239,009   
   

 

 

  
  ABS Credit Card – 1.8%   
  2,000,000      Barclays Dryrock Issuance Trust,
Series 2015-1, Class A, 2.200%, 12/15/2022		     2,045,259   
  4,975,000      GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020(b)     5,054,725   
  9,215,000      World Financial Network Credit Card Master Trust, Series 2012-A, Class A,
3.140%, 1/17/2023(b)		     9,589,673   
  1,000,000      World Financial Network Credit Card Master Trust, Series 2012-C, Class M,
3.320%, 8/15/2022		     1,029,210   
   

 

 

  
      17,718,867   
   

 

 

  
  ABS Home Equity – 3.4%   
  1,956,028      Bayview Opportunity Master Fund Trust, Series 16-RPL3, Class A1,
3.475%, 7/28/2031, 144A(c)		     1,954,598   
  2,848,031      Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A(b)     2,883,121   
  1,500,000      Colony American Homes,
Series 2014-1A, Class B, 1.881%, 5/17/2031, 144A(c)		     1,494,370   
  131,288      Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1,
4.633%, 7/25/2021(c)(d)		     119,619   
  130,668      Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3,
5.115%, 2/25/2035(c)		     132,574   
Principal
Amount		     Description   Value (†)  
  ABS Home Equity – continued   
$ 507,947      Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035(c)(d)   $ 496,456   
  6,025,000      Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2015-DNA1, Class M2,
2.375%, 10/25/2027(b)(c)		     6,128,913   
  4,098,228      HarborView Mortgage Loan Trust, Series 2004-3, Class 1A,
2.834%, 5/19/2034(b)(c)		     4,055,555   
  2,025,000      Home Partners of America Trust, Series 2016-1, Class D,
3.831%, 3/17/2033, 144A(c)		     2,046,089   
  1,239,115      Mill City Mortgage Trust,
Series 2015-1, Class A1,
2.230%, 6/25/2056, 144A(c)		     1,240,839   
  743,271      Mill City Mortgage Trust,
Series 2016-1, Class A1,
2.500%, 4/25/2057, 144A(c)		     747,431   
  154,966      Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A,
2.690%, 7/25/2035(c)(d)		     141,560   
  1,417,000      Progress Residential Trust,
Series 2015-SFR3,
4.673%, 11/12/2032, 144A		     1,492,058   
  105,373      Residential Accredit Loans, Inc., Trust, Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021(d)     101,457   
  461,128      Residential Accredit Loans, Inc., Trust, Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021(d)     424,157   
  21,049      Residential Accredit Loans, Inc., Trust, Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021(d)     19,905   
  2,913,386      Sequoia Mortgage Trust,
Series 2013-5, Class A1, 2.500%, 5/25/2043, 144A(b)(c)		     2,910,144   
  2,259,105      Towd Point Mortgage Trust,
Series 2015-2, Class 1AE2,
2.750%, 11/25/2060, 144A(b)(c)		     2,286,997   
  2,336,920      Towd Point Mortgage Trust,
Series 2016-3, Class A1,
2.250%, 8/25/2055, 144A(c)		     2,335,859   
  4,121,302      WaMu Mortgage Pass Through Certificates,
Series 2007-HY2, Class 2A2,
2.925%, 11/25/2036(c)		     3,685,331   
   

 

 

  
      34,697,033   
   

 

 

  
  ABS Other – 4.4%   
  1,182,657      CLI Funding V LLC,
Series 2014-1A, Class A,
3.290%, 6/18/2029, 144A		     1,151,954   
  2,122,675      DB Master Finance LLC,
Series 2015-1A, Class A2I,
3.262%, 2/20/2045, 144A		     2,133,713   
  986,022      Diamond Resorts Owner Trust,
Series 2011-1, Class A,
4.000%, 3/20/2023, 144A		     986,728   
  462,709      FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A     453,767   

 

See accompanying notes to financial statements.

 

19  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  ABS Other – continued   
$ 408,781      Global Container Assets Ltd.,
Series 2013-1A, Class A1,
2.200%, 11/05/2028, 144A		   $ 407,999   
  9,265,000      OneMain Financial Issuance Trust, Series 2015-3A, Class A, 3.630%, 11/20/2028, 144A(b)     9,457,491   
  4,160,000      OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A     4,365,752   
  2,620,673      Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A     2,654,112   
  4,359,096      Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(b)     4,244,975   
  240,503      Sierra Timeshare Receivables Funding LLC, Series 2011-3A, Class A,
3.370%, 7/20/2028, 144A		     240,960   
  469,948      Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A,
2.840%, 11/20/2028, 144A		     470,944   
  196,187      Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A,
1.590%, 11/20/2029, 144A		     195,388   
  3,045,000      SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A     3,060,225   
  1,158,006      Springleaf Funding Trust,
Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		     1,159,486   
  973,193      SVO VOI Mortgage LLC,
Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		     962,890   
  1,620,542      TAL Advantage V LLC,
Series 2014-1A, Class A,
3.510%, 2/22/2039, 144A		     1,593,892   
  641,865      TAL Advantage V LLC,
Series 2014-2A, Class A2,
3.330%, 5/20/2039, 144A		     628,802   
  3,977,167      TAL Advantage V LLC,
Series 2014-3A, Class A,
3.270%, 11/21/2039, 144A(b)		     3,876,168   
  3,847,667      Textainer Marine Containers Ltd.,
Series 2014-1A, Class A,
3.270%, 10/20/2039, 144A(b)		     3,744,389   
  2,233,084      Trip Rail Master Funding LLC,
Series 2011-1A, Class A1B,
3.024%, 7/15/2041, 144A(c)		     2,247,210   
  635,000      Verizon Owner Trust,
Series 2016-1A, Class A,
1.420%, 1/20/2021, 144A		     636,461   
   

 

 

  
      44,673,306   
   

 

 

  
  ABS Student Loan – 2.4%   
  2,570,636      Panhandle-Plains Higher Education Authority, Inc.,
Series 2011-1, Class A2,
1.596%, 7/01/2024(b)(c)		     2,567,965   
  136,274      SoFi Professional Loan Program LLC,
Series 2014-A, Class A2,
3.020%, 10/25/2027, 144A		     139,337   
  ABS Student Loan – continued   
657,562      SoFi Professional Loan Program LLC,
Series 2014-B, Class A1, 1.775%, 8/25/2032, 144A(c)		   663,884   
  8,085,000      SoFi Professional Loan Program LLC,
Series 2015-C, Class B,
3.580%, 8/25/2036, 144A(b)		     8,178,915   
  3,220,000      SoFi Professional Loan Program LLC,
Series 2016-B, Class A2B,
2.740%, 10/25/2032, 144A(b)		     3,301,291   
  9,251,805      South Carolina Student Loan Corp.,
Series 2010-1, Class A2,
1.715%, 7/25/2025(b)(c)		     9,290,477   
   

 

 

  
      24,141,869   
   

 

 

  
  Agency Commercial Mortgage-Backed Securities – 5.5%    
  1,663,036      Federal National Mortgage Association,
Series 2015-M17, Class FA,
1.397%, 11/25/2022(c)		     1,668,113   
  411,703,573      FHLMC Multifamily Structured Pass Through Certificates,
Series K028, Class X1,
0.471%, 2/25/2023(b)(c)(e)		     7,348,373   
  6,125,000      FHLMC Multifamily Structured Pass Through Certificates,
Series K029, Class A2,
3.320%, 2/25/2023(b)(c)		     6,685,703   
  87,027,018      FHLMC Multifamily Structured Pass Through Certificates,
Series K031, Class X1,
0.368%, 4/25/2023(b)(c)(e)		     1,204,872   
  34,979,104      FHLMC Multifamily Structured Pass Through Certificates,
Series K036, Class X1,
0.918%, 10/25/2023(c)(e)		     1,564,024   
  12,230,097      FHLMC Multifamily Structured Pass Through Certificates,
Series K038, Class X1,
1.189%, 3/25/2024(c)(e)		     875,557   
  39,823,955      FHLMC Multifamily Structured Pass Through Certificates,
Series K040, Class X1,
0.874%, 9/25/2024(c)(e)		     1,942,441   
  45,961,085      FHLMC Multifamily Structured Pass Through Certificates,
Series K046, Class X1,
0.501%, 3/25/2025(c)(e)		     1,283,436   
  75,036,905      FHLMC Multifamily Structured Pass Through Certificates,
Series K047, Class X1,
0.287%, 5/25/2025(c)(e)		     1,012,473   
  37,633,708      FHLMC Multifamily Structured Pass Through Certificates,
Series K049, Class X1,
0.741%, 7/25/2025(c)(e)		     1,667,407   
  21,780,335      FHLMC Multifamily Structured Pass Through Certificates,
Series K050, Class X1,
0.462%, 8/25/2025(c)(e)		     570,342   

 

See accompanying notes to financial statements.

 

|  20

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Agency Commercial Mortgage-Backed Securities – continued    
$ 23,812,440      FHLMC Multifamily Structured
Pass Through Certificates,
Series K051, Class X1,
0.688%, 9/25/2025(c)(e)		   $ 983,516   
  17,813,118      FHLMC Multifamily Structured
Pass Through Certificates,
Series K052, Class X1,
0.811%, 11/25/2025(c)(e)		     879,674   
  9,793,535      FHLMC Multifamily Structured
Pass Through Certificates,
Series K053, Class X1,
0.894%, 12/25/2025(c)(e)		     664,656   
  17,138,477      FHLMC Multifamily Structured
Pass Through Certificates,
Series K054, Class X1,
1.319%, 1/25/2026(c)(e)		     1,531,753   
  7,737,228      FHLMC Multifamily Structured
Pass Through Certificates,
Series K055, Class X1, 1.503%, 3/25/2026(c)(e)		     804,629   
  8,735,000      FHLMC Multifamily Structured
Pass Through Certificates,
Series K057, Class X1,
1.194%, 7/25/2026(c)(e)		     806,343   
  15,802,521      FHLMC Multifamily Structured
Pass Through Certificates,
Series K152, Class X1,
1.097%, 1/25/2031(c)(e)		     1,495,805   
  3,630,989      FHLMC Multifamily Structured
Pass Through Certificates,
Series KS01, Class X1,
1.571%, 1/25/2023(c)(e)		     217,622   
  52,794,045      FHLMC Multifamily Structured
Pass Through Certificates,
Series KS03, Class X,
0.437%, 8/25/2025(c)(e)		     927,924   
  4,000,000      Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042(b)(c)     5,059,643   
  2,000,000      Government National Mortgage Association, Series 2008-80, Class E, 5.674%, 8/16/2042(c)     2,311,948   
  14,422,477      Government National Mortgage Association,
Series 2014-101, Class IO,
0.898%, 4/16/2056(c)(e)		     900,998   
  21,777,736      Government National Mortgage Association, Series 2014-86, Class IO, 0.867%, 4/16/2056(c)(e)     1,246,529   
  73,672,734      Government National Mortgage Association,
Series 2015-146, Class IB,
0.869%, 7/16/2055(b)(c)(e)		     4,545,991   
  17,949,703      Government National Mortgage Association,
Series 2015-171, Class IO,
0.894%, 11/16/2055(c)(e)		     1,249,321   
Principal
Amount		     Description   Value (†)  
  Agency Commercial Mortgage-Backed Securities – continued    
$ 27,669,384      Government National Mortgage Association,
Series 2015-189, Class IG,
0.934%, 1/16/2057(c)(e)		   $ 1,943,760   
  14,069,459      Government National Mortgage Association, Series 2015-68, Class IO, 0.827%, 7/16/2057(c)(e)     918,472   
  48,469,390      Government National Mortgage Association, Series 2015-70, Class IO, 1.118%, 12/16/2049(b)(c)(e)     3,444,579   
   

 

 

  
      55,755,904   
   

 

 

  
  Collateralized Mortgage Obligations – 22.0%   
  159,139      Federal Home Loan Mortgage Corp., REMIC, Series 1673, Class SE, 8.390%, 2/15/2024(c)(d)     179,412   
  123,754      Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(b)(d)     138,580   
  1,407,392      Federal Home Loan Mortgage Corp., REMIC, Series 2626, Class SQ, 13.689%, 6/15/2023(c)     1,712,538   
  524,753      Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class MH, 5.000%, 7/15/2033     558,795   
  240,935      Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(b)(d)(e)     61,611   
  284,410      Federal Home Loan Mortgage Corp., REMIC, Series 2725, Class SC, 8.290%, 11/15/2033(c)(d)     301,510   
  4,566,024      Federal Home Loan Mortgage Corp., REMIC, Series 2882, Class TF, 0.774%, 10/15/2034(b)(c)     4,577,148   
  7,444,567      Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(b)     8,518,237   
  4,271,444      Federal Home Loan Mortgage Corp., REMIC, Series 3013, Class AS, 17.121%, 5/15/2035(b)(c)     6,135,882   
  9,508,369      Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, 6.676%, 5/15/2036(b)(c)(e)     2,305,619   
  2,696,138      Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class BI, 5.726%, 2/15/2038(c)(d)(e)     496,908   
  1,982,472      Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class WS, 14.753%, 2/15/2038(b)(c)     2,619,449   
  1,906,290      Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.287%, 6/15/2048(b)(c)     1,876,828   
  450,000      Federal Home Loan Mortgage Corp., REMIC, Series 3605, Class NC, 5.500%, 6/15/2037(d)     511,300   
  2,115,227      Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.265%, 12/15/2036(b)(c)     2,226,958   
  1,776,604      Federal Home Loan Mortgage Corp., REMIC, Series 3752, Class KF, 1.024%, 12/15/2037(c)     1,785,263   

 

See accompanying notes to financial statements.

 

21  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Collateralized Mortgage Obligations – continued   
$ 2,122,160      Federal Home Loan Mortgage Corp., REMIC, Series 3785, Class LS, 8.851%, 1/15/2041(b)(c)   $ 2,585,468   
  473,442      Federal Home Loan Mortgage Corp., REMIC, Series 3808, Class SH, 8.154%, 2/15/2041(c)     508,007   
  2,613,860      Federal Home Loan Mortgage Corp., REMIC, Series 3828, Class EF, 0.924%, 5/15/2037(b)(c)     2,623,211   
  1,800,000      Federal Home Loan Mortgage Corp., REMIC, Series 4041, Class ES, 21.379%, 8/15/2040(b)(c)     3,816,218   
  6,692,139      Federal Home Loan Mortgage Corp., REMIC, Series 4097,
5.626%, 8/15/2032(c)		     937,804   
  1,959,097      Federal Home Loan Mortgage Corp., REMIC, Series 4238, Class FD, 0.824%, 2/15/2042(c)     1,955,752   
  21,355,649      Federal Home Loan Mortgage Corp., REMIC, Series 4321, Class BS, 1.838%, 6/15/2039(c)(e)     1,311,696   
  800,000      Federal Home Loan Mortgage Corp., REMIC, Series 4395, Class PE, 2.500%, 4/15/2037     765,474   
  460,133      Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class NT, 6.500%, 8/15/2043(c)     502,525   
  546,865      Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class TN, 5.000%, 8/15/2043(c)     591,581   
  1,399,000      Federal Home Loan Mortgage Corp., REMIC, Series 4480, Class NB, 3.500%, 6/15/2045     1,536,562   
  794,057      Federal Home Loan Mortgage Corp., Series 224, Class IO,
6.000%, 3/01/2033(b)(d)(e)		     139,709   
  1,570,742      Federal Home Loan Mortgage Corp., Series 3792, Class DF,
0.924%, 11/15/2040(c)		     1,569,228   
  339,235      Federal National Mortgage Association, REMIC,
Series 1996-45, Class SC,
6.725%, 1/25/2024(c)(d)(e)		     47,926   
  86,880      Federal National Mortgage Association, REMIC,
Series 2003-26, Class OI,
5.500%, 11/25/2032(b)(d)(e)		     398   
  1,679,506      Federal National Mortgage Association, REMIC,
Series 2005-22, Class DG,
6.810%, 4/25/2035(c)		     1,883,573   
  3,496,587      Federal National Mortgage Association, REMIC,
Series 2006-46, Class SK,
22.274%, 6/25/2036(b)(c)		     5,821,377   
  192,956      Federal National Mortgage Association, REMIC,
Series 2006-69, Class KI,
6.775%, 8/25/2036(c)(d)(e)		     40,942   
  Collateralized Mortgage Obligations – continued   
929,070      Federal National Mortgage Association, REMIC,
Series 2008-15, Class AS,
30.374%, 8/25/2036(c)		   1,832,110   
  1,000,000      Federal National Mortgage Association, REMIC,
Series 2008-35, Class CD,
4.500%, 5/25/2023(b)		     1,035,295   
  2,635,924      Federal National Mortgage Association, REMIC,
Series 2008-86, Class LA,
3.496%, 8/25/2038(b)(c)		     2,817,997   
  651,770      Federal National Mortgage Association, REMIC,
Series 2008-87, Class LD,
4.627%, 11/25/2038(c)		     701,922   
  1,585,857      Federal National Mortgage Association, REMIC,
Series 2009-11, Class VP,
2.929%, 3/25/2039(b)(c)		     1,636,818   
  153,375      Federal National Mortgage Association, REMIC,
Series 2009-71, Class MB,
4.500%, 9/25/2024(d)		     162,709   
  493,984      Federal National Mortgage Association, REMIC,
Series 2010-75, Class MT,
4.364%, 12/25/2039(c)(d)		     496,668   
  5,034,460      Federal National Mortgage Association, REMIC,
Series 2010-95, Class FB,
0.925%, 9/25/2040(b)(c)		     5,042,209   
  458,025      Federal National Mortgage Association, REMIC,
Series 2011-100, Class SH,
7.177%, 11/25/2040(c)		     579,882   
  1,500,000      Federal National Mortgage Association, REMIC,
Series 2013-109, Class US,
10.867%, 7/25/2043(c)		     1,978,710   
  939,818      Federal National Mortgage Association, REMIC,
Series 2013-23, Class TS,
5.365%, 3/25/2043(c)		     942,427   
  770,590      Federal National Mortgage Association, REMIC,
Series 2013-26, Class SJ,
4.832%, 4/25/2033(c)		     770,576   
  6,103,905      Federal National Mortgage Association, REMIC,
Series 2013-34, Class PS,
5.625%, 8/25/2042(b)(c)(e)		     1,231,154   
  239,465      Federal National Mortgage Association, REMIC,
Series 2014-67, Class PT,
6.000%, 10/25/2044(c)		     235,432   
  2,114,135      Federal National Mortgage Association, REMIC,
Series 2015-1, Class SN,
6.000%, 7/25/2043(b)(c)		     2,218,302   

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Collateralized Mortgage Obligations – continued   
$ 687,206      Federal National Mortgage Association, REMIC,
Series 2015-55, Class KT, 5.500%, 5/25/2041(c)		   $ 760,723   
  3,002,994      Federal National Mortgage Association, REMIC,
Series 2016-26, Class KL,
4.500%, 11/25/2042(b)(c)		     3,110,969   
  2,380,113      Federal National Mortgage Association, REMIC,
Series 2016-32, Class TG,
4.500%, 1/25/2043(b)(c)		     2,437,816   
  1,024,854      Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/25/2033(b)(d)(e)     213,295   
  220,337      Federal National Mortgage Association, Series 334, Class 19,
7.000%, 2/25/2033(b)(c)(d)(e)		     47,133   
  1,121,378      Federal National Mortgage Association, Series 339, Class 13,
6.000%, 6/25/2033(b)(d)(e)		     261,596   
  210,117      Federal National Mortgage Association, Series 339, Class 7,
5.500%, 11/25/2033(b)(d)(e)		     39,928   
  2,337,303      Federal National Mortgage Association, Series 356, Class 13,
5.500%, 6/25/2035(b)(d)(e)		     481,735   
  960,157      Federal National Mortgage Association, Series 359, Class 17,
6.000%, 7/25/2035(b)(d)(e)		     194,917   
  589,594      Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/25/2036(b)(d)(e)     120,634   
  1,208,711      Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/25/2036(b)(d)(e)     247,066   
  561,038      Federal National Mortgage Association, Series 374, Class 22,
7.000%, 10/25/2036(b)(d)(e)		     119,634   
  685,555      Federal National Mortgage Association, Series 374, Class 23,
7.000%, 10/25/2036(b)(d)(e)		     156,990   
  814,002      Federal National Mortgage Association, Series 374, Class 24,
7.000%, 6/25/2037(b)(d)(e)		     188,089   
  766,940      Federal National Mortgage Association, Series 381, Class 12,
6.000%, 11/25/2035(b)(d)(e)		     140,909   
  359,676      Federal National Mortgage Association, Series 381, Class 13,
6.000%, 11/25/2035(b)(c)(d)(e)		     57,050   
  526,002      Federal National Mortgage Association, Series 381, Class 18,
7.000%, 3/25/2037(b)(d)(e)		     108,513   
  338,338      Federal National Mortgage Association, Series 381, Class 19,
7.000%, 3/25/2037(b)(c)(d)(e)		     70,050   
  Collateralized Mortgage Obligations – continued   
93,480      Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/25/2038(b)(d)(e)   17,079   
  2,803,410      Federal National Mortgage Association, Series 384, Class 20,
5.500%, 5/25/2036(b)(c)(d)(e)		     487,745   
  923,008      Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(b)(d)(e)     182,021   
  865,267      Federal National Mortgage Association, Series 384, Class 36,
7.000%, 7/25/2037(b)(c)(d)(e)		     188,107   
  811,464      Federal National Mortgage Association, Series 384, Class 4,
4.500%, 9/25/2036(b)(c)(d)(e)		     104,138   
  462,397      Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(b)(d)(e)     88,818   
  75,519      Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(c)(d)(e)     14,017   
  10,959,066      FHLMC Multifamily Structured Pass Through Certificates,
Series K017, Class X1,
1.522%, 12/25/2021(c)(e)		     641,593   
  5,116,182      Government National Mortgage Association, Series 2006-46, Class IO,
0.438%, 4/16/2046(c)(d)(e)		     78,765   
  5,225,191      Government National Mortgage Association, Series 2006-51, Class IO,
0.617%, 8/16/2046(b)(c)(d)(e)		     175,907   
  12,753,846      Government National Mortgage Association,
Series 2009-114, Class IO,
0.015%, 10/16/2049(c)(d)(e)		     135,555   
  244,859      Government National Mortgage Association,
Series 2009-65, Class NZ,
5.500%, 8/20/2039(d)		     308,228   
  11,497,135      Government National Mortgage Association, Series 2010-124, Class X,
0.373%, 12/16/2052(b)(c)(d)(e)		     221,338   
  405,167      Government National Mortgage Association, Series 2010-49, Class IA,
1.510%, 10/16/2052(c)(d)(e)		     25,483   
  773,401      Government National Mortgage Association,
Series 2010-H20, Class AF,
0.824%, 10/20/2060(c)		     766,626   
  13,415,942      Government National Mortgage Association,
Series 2011-119, Class IO,
0.835%, 8/16/2051(c)(e)		     480,534   
  43,416,508      Government National Mortgage Association,
Series 2011-121, Class IO,
0.876%, 6/16/2043(b)(c)(e)		     1,076,386   
  27,715,310      Government National Mortgage Association,
Series 2011-161, Class IO,
0.881%, 4/16/2045(c)(e)		     931,160   

 

See accompanying notes to financial statements.

 

23  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Collateralized Mortgage Obligations – continued   
$ 11,470,495      Government National Mortgage Association, Series 2011-38, Class IO,
0.100%, 4/16/2053(b)(c)(d)(e)		   $ 242,630   
  3,655,827      Government National Mortgage Association, Series 2011-53, Class IO,
0.434%, 5/16/2051(b)(c)(d)(e)		     111,097   
  1,377,164      Government National Mortgage Association,
Series 2011-H01, Class AF,
0.944%, 11/20/2060(c)		     1,371,200   
  658,667      Government National Mortgage Association,
Series 2011-H21, Class FT,
1.230%, 10/20/2061(c)		     659,143   
  17,000,000      Government National Mortgage Association,
Series 2012-100, Class IC,
1.387%, 9/16/2050(c)(e)		     1,329,487   
  12,925,139      Government National Mortgage Association,
Series 2012-111, Class IC,
1.287%, 9/16/2050(c)(d)(e)		     959,365   
  63,957,653      Government National Mortgage Association,
Series 2012-142, Class IO,
1.078%, 4/16/2054(b)(c)(e)		     3,260,069   
  22,554,239      Government National Mortgage Association, Series 2012-23, Class IO,
1.090%, 6/16/2053(b)(c)(d)(e)		     881,436   
  40,852,812      Government National Mortgage Association, Series 2012-55, Class IO,
0.945%, 4/16/2052(b)(c)(e)		     1,435,985   
  23,820,144      Government National Mortgage Association, Series 2012-70, Class IO,
0.588%, 8/16/2052(b)(c)(d)(e)		     758,472   
  20,883,081      Government National Mortgage Association, Series 2012-79, Class IO,
0.857%, 3/16/2053(c)(e)		     1,070,863   
  8,554,612      Government National Mortgage Association,
Series 2012-H08, Class FA,
1.094%, 1/20/2062(b)(c)		     8,565,330   
  2,498,701      Government National Mortgage Association,
Series 2012-H20, Class BA,
1.054%, 9/20/2062(b)(c)		     2,498,287   
  349,572      Government National Mortgage Association,
Series 2012-H24, Class FE,
1.094%, 10/20/2062(c)		     348,262   
  4,806,463      Government National Mortgage Association,
Series 2012-H26, Class BA,
0.844%, 10/20/2062(b)(c)		     4,765,091   
  2,999,984      Government National Mortgage Association,
Series 2012-H30, Class GA,
0.844%, 12/20/2062(b)(c)		     2,974,801   
  6,042,597      Government National Mortgage Association,
Series 2013-175, Class IO,
0.808%, 5/16/2055(c)(d)(e)		     266,049   
  Collateralized Mortgage Obligations – continued   
24,634,074      Government National Mortgage Association,
Series 2013-H16, Class AI,
1.606%, 7/20/2063(c)(e)		   1,678,196   
  16,511,383      Government National Mortgage Association,
Series 2013-H18, Class EI,
1.693%, 7/20/2063(c)(e)		     1,307,041   
  2,897,987      Government National Mortgage Association,
Series 2013-H18, Class JI,
1.370%, 8/20/2063(c)(d)(e)		     160,527   
  325,409      Government National Mortgage Association,
Series 2013-H22, Class FT,
1.180%, 4/20/2063(c)		     328,387   
  45,241,808      Government National Mortgage Association,
Series 2014-130, Class IB,
0.918%, 8/16/2054(b)(c)(e)		     2,611,240   
  357,939      Government National Mortgage Association,
Series 2014-160, Class ST,
6.500%, 10/20/2044(c)		     354,468   
  44,241,849      Government National Mortgage Association, Series 2014-24, Class IX,
0.812%, 1/16/2054(b)(c)(e)		     2,178,610   
  39,665,964      Government National Mortgage Association, Series 2014-70, Class IO,
1.171%, 3/16/2049(b)(c)(e)		     2,361,390   
  15,626,803      Government National Mortgage Association,
Series 2014-H03, Class FS,
1.144%, 2/20/2064(b)(c)		     15,646,763   
  4,673,648      Government National Mortgage Association,
Series 2014-H05, Class FB,
1.094%, 12/20/2063(b)(c)		     4,680,629   
  3,843,584      Government National Mortgage Association,
Series 2014-H06, Class FA,
1.064%, 3/20/2064(b)(c)		     3,844,397   
  7,929,096      Government National Mortgage Association,
Series 2014-H12, Class HZ,
4.605%, 6/20/2064(b)(c)		     9,276,040   
  3,582,360      Government National Mortgage Association,
Series 2014-H14, Class FA,
0.994%, 7/20/2064(b)(c)		     3,561,624   
  2,649,679      Government National Mortgage Association,
Series 2014-H15, Class FA,
0.994%, 7/20/2064(b)(c)		     2,632,596   
  284,133      Government National Mortgage Association,
Series 2015-180, Class HT,
5.000%, 8/20/2045(c)(d)		     280,134   
  2,530,227      Government National Mortgage Association, Series 2015-39, Class SN,
3.620%, 3/20/2045(b)(c)		     2,627,727   

 

See accompanying notes to financial statements.

 

|  24

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Collateralized Mortgage Obligations – continued   
$ 89,398      Government National Mortgage Association, Series 2015-63, Class TB,
5.000%, 5/20/2045(c)(d)		   $ 87,997   
  6,556,571      Government National Mortgage Association,
Series 2015-H10, Class JA,
2.250%, 4/20/2065(b)		     6,562,471   
  2,166,815      Government National Mortgage Association,
Series 2015-H29, Class FA,
1.194%, 10/20/2065(c)		     2,167,789   
  103,893      Government National Mortgage Association,
Series 2015-H29, Class HZ,
4.592%, 9/20/2065(c)(d)		     125,164   
  1,595,700      Government National Mortgage Association,
Series 2015-H30, Class FA,
1.174%, 8/20/2061(c)		     1,594,782   
  1,770,000      Government National Mortgage Association,
Series 2016-17, Class GT,
5.000%, 8/20/2045(c)		     1,885,027   
  54,010      Government National Mortgage Association, Series 2016-9, Class SB,
8.521%, 10/20/2045(c)(d)		     53,300   
  4,758,974      Government National Mortgage Association,
Series 2016-H06, Class FC,
1.414%, 2/20/2066(b)(c)		     4,793,448   
  29,822,752      Government National Mortgage Association,
Series 2016-H09, Class JI,
2.286%, 4/20/2066(b)(c)(e)		     3,718,539   
  5,875,659      Government National Mortgage Association,
Series 2016-H10, Class FJ,
1.123%, 4/20/2066(b)(c)		     5,873,562   
  3,046,377      Government National Mortgage Association,
Series 2016-H13, Class FT,
1.112%, 5/20/2066(b)(c)		     3,047,541   
  505,721      Government National Mortgage Association,
Series 2016-H14, Class JZ,
4.559%, 8/20/2063(c)(d)		     558,851   
  2,880,000      Government National Mortgage Association,
Series 2016-H19, Class FC,
1.021%, 8/20/2066(c)		     2,864,823   
  5,000,000      Government National Mortgage Association,
Series 2016-H19, Class FE,
0.894%, 6/20/2061(c)		     4,984,813   
  3,000,000      Government National Mortgage Association,
Series 2016-H19, Class FJ,
0.924%, 9/20/2063(c)		     2,985,020   
   

 

 

  
      223,336,710   
   

 

 

  
  Hybrid ARMs – 1.6%  
105,554      FHLMC, 2.691%, 1/01/2035(b)(c)   111,678   
  251,715      FHLMC, 2.723%, 1/01/2036(b)(c)     266,846   
  2,133,476      FHLMC, 2.730%, 6/01/2035(b)(c)     2,248,635   
  1,917,760      FHLMC, 3.070%, 2/01/2037(b)(c)     2,048,626   
  643,064      FNMA, 2.423%, 2/01/2037(b)(c)     668,771   
  961,516      FNMA, 2.660%, 9/01/2034(b)(c)     1,011,214   
  237,765      FNMA, 2.670%, 10/01/2035(b)(c)     244,488   
  2,615,228      FNMA, 2.706%, 6/01/2034(b)(c)     2,758,908   
  2,057,238      FNMA, 2.799%, 8/01/2038(b)(c)     2,179,045   
  4,256,282      FNMA, 2.938%, 9/01/2037(b)(c)     4,496,418   
  421,487      FNMA, 3.002%, 9/01/2036(b)(c)     446,409   
   

 

 

  
      16,481,038   
   

 

 

  
  Mortgage Related – 47.3%   
  2,105,751      Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class VS,
16.249%, 2/15/2038(b)(c)		     3,048,417   
  4,371,026      FHLMC, 3.500%, with various maturities from 2042 to 2046(b)(f)     4,614,671   
  877,208      FHLMC, 4.000%, 9/01/2045     940,864   
  78,767      FHLMC, 5.000%, 9/01/2035     87,444   
  4,207,432      FNMA, 4.000%, with various maturities from 2041 to 2052(f)     4,530,588   
  1,866,001      FNMA, 4.500%, 5/01/2045     2,044,041   
  593,345      FNMA, 5.500%, 8/01/2034(b)     684,344   
  7,075      FNMA, 6.000%, 10/01/2034     8,192   
  28,000,000      FNMA (TBA),
2.500%, 11/01/2031(g)		     28,949,720   
  17,200,000      FNMA (TBA),
3.000%, 11/01/2046(g)		     17,835,807   
  74,545,000      FNMA (TBA),
3.500%, 11/01/2046(g)		     78,564,894   
  121,695,000      FNMA (TBA),
4.000%, 11/01/2046(g)		     130,546,413   
  745,316      GNMA, 0.978%, 8/20/2063(c)     745,164   
  468,237      GNMA, 2.184%, 7/20/2060(c)     488,195   
  350,909      GNMA, 2.206%, 9/20/2060(c)     366,705   
  2,004,537      GNMA, 2.208%, 2/20/2061(c)     2,090,080   
  2,795,673      GNMA, 2.470%, 2/20/2063(b)(c)     2,943,741   
  1,268,041      GNMA, 2.818%, 6/20/2065(c)     1,363,206   
  1,765,109      GNMA, 4.430%, 5/20/2063     1,911,953   
  3,892,519      GNMA, 4.432%, 2/20/2063(b)     4,174,010   
  2,111,698      GNMA, 4.482%, 4/20/2063     2,272,831   
  1,659,199      GNMA, 4.485%, 2/20/2062     1,751,196   
  2,096,892      GNMA, 4.489%, 4/20/2063     2,269,052   
  951,768      GNMA, 4.504%, 7/20/2062     1,012,358   
  1,214,150      GNMA, 4.516%, 1/20/2063     1,299,750   
  1,775,746      GNMA, 4.517%, 1/20/2062     1,872,021   
  3,138,340      GNMA, 4.531%, 12/20/2061(b)     3,307,960   
  4,570,022      GNMA, 4.534%, 6/20/2064(b)     5,099,894   
  1,255,734      GNMA, 4.535%, with various
maturities from 2063 to 2064(f)		     1,343,843   
  1,140,847      GNMA, 4.548%, 6/20/2062     1,203,655   
  1,418,699      GNMA, 4.550%, 12/20/2061     1,495,891   
  883,829      GNMA, 4.551%, 9/20/2063     980,475   
  439,668      GNMA, 4.556%, 10/20/2061     460,676   
  3,908,432      GNMA, 4.557%, 12/20/2064(b)     4,374,637   
  434,544      GNMA, 4.558%, 11/20/2061     455,040   
  5,472,171      GNMA, 4.560%, with various
maturities from 2063 to 2066(b)(f)		     5,912,054   
  6,312,344      GNMA, 4.568%, 7/20/2065(b)     7,129,037   
  4,446,308      GNMA, 4.571%, 6/20/2063(b)     4,816,181   

 

See accompanying notes to financial statements.

 

25  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Mortgage Related – continued   
$ 4,386,732      GNMA, 4.583%, 3/20/2062(b)   $ 4,631,918   
  933,090      GNMA, 4.610%, 7/20/2062     995,249   
  1,183,109      GNMA, 4.614%, 6/20/2061     1,237,088   
  903,588      GNMA, 4.623%, 10/20/2061     945,469   
  942,231      GNMA, 4.626%, 6/20/2062     997,675   
  622,118      GNMA, 4.634%, 3/20/2062     657,694   
  1,654,297      GNMA, 4.648%, 8/20/2061     1,729,530   
  858,675      GNMA, 4.651%, 11/20/2063     958,679   
  996,582      GNMA, 4.658%, 3/20/2062     1,051,249   
  14,162,552      GNMA, 4.667%, with various
maturities from 2061 to 2062(b)(f)		     14,939,615   
  1,122,379      GNMA, 4.672%, 10/20/2064     1,265,159   
  10,618,045      GNMA, 4.679%, 12/20/2061(b)     11,216,621   
  1,283,114      GNMA, 4.683%, 8/20/2061     1,333,651   
  1,842,426      GNMA, 4.687%, 5/20/2064     2,083,806   
  619,832      GNMA, 4.688%, 1/20/2062     651,612   
  6,016,898      GNMA, 4.700%, with various maturities in 2061(b)(f)     6,280,687   
  599,018      GNMA, 4.708%, 11/20/2063     633,238   
  3,160,822      GNMA, 4.714%, 7/20/2063(b)     3,336,157   
  597,505      GNMA, 4.718%, 12/20/2063     669,946   
  2,196,458      GNMA, 4.727%, 6/20/2061(b)     2,291,595   
  1,144,046      GNMA, 4.755%, 8/20/2062     1,208,011   
  782,296      GNMA, 4.797%, 5/20/2061     813,437   
  3,752,630      GNMA, 4.807%, 5/20/2061(b)     3,894,430   
  713,760      GNMA, 4.909%, 1/20/2062     762,575   
  170,099      GNMA, 5.500%, with various maturities in 2059(f)     175,079   
  722,095      GNMA, 6.551%, 5/20/2061     753,274   
  15,500,000      GNMA, (TBA),
3.000%, 11/01/2046(g)		     16,205,673   
  15,600,000      GNMA (TBA),
3.500%, 11/01/2046(g)		     16,550,625   
  4,265,770      Government National Mortgage Association,
Series 2012-H11, Class BA,
2.000%, 5/20/2062(b)		     4,286,358   
  2,468,733      Government National Mortgage Association,
Series 2013-H13, Class SI,
1.277%, 6/20/2063(c)(d)(e)		     150,082   
  25,157,487      Government National Mortgage Association,
Series 2014-H24, Class HI,
0.935%, 9/20/2064(c)(e)		     1,179,257   
  12,358,593      Government National Mortgage Association,
Series 2015-H01, Class XZ,
4.631%, 10/20/2064(b)(c)		     14,912,809   
  17,251,957      Government National Mortgage Association,
Series 2015-H04, Class FL,
0.964%, 2/20/2065(b)(c)		     17,127,142   
  5,595,804      Government National Mortgage Association,
Series 2015-H05, Class FA,
0.794%, 4/20/2061(b)(c)		     5,554,365   
  2,598,234      Government National Mortgage Association,
Series 2015-H12, Class FL,
0.724%, 5/20/2065(b)(c)		     2,568,231   
  Mortgage Related – continued   
729,902      Government National Mortgage Association,
Series 2015-H28, Class JZ,
5.020%, 3/20/2065(c)		   825,476   
  21,863,952      Government National Mortgage Association,
Series 2016-H01, Class AI,
1.785%, 1/20/2066(c)(e)		     2,425,532   
   

 

 

  
      480,293,994   
   

 

 

  
  Non-Agency Commercial Mortgage-Backed Securities – 20.1%    
  48,868      A10 Securitization LLC,
Series 2013-1, Class A,
2.400%, 11/15/2025, 144A		     48,859   
  709,357      A10 Securitization LLC,
Series 2014-1, Class A1,
1.720%, 4/15/2033, 144A		     706,198   
  1,257,290      Banc of America Merrill Lynch Commercial Mortgage, Inc.,
Series 2007-5, Class A4,
5.492%, 2/10/2051		     1,286,381   
  660,605      Bear Stearns Commercial Mortgage Securities,
Series 2007-PW15, Class A4,
5.331%, 2/11/2044		     665,521   
  1,798,290      CD Commercial Mortgage Trust,
Series 2007-CD4, Class A4,
5.322%, 12/11/2049(b)		     1,805,967   
  11,529,257      CDGJ Commercial Mortgage Trust Pass Through Certificates,
Series 2014-BXCH,
1.924%, 12/15/2027, 144A(b)(c)		     11,540,091   
  3,076,000      CGBAM Commercial Mortgage Trust, Series 2014-HD, Class B,
1.724%, 2/15/2031, 144A(c)		     3,059,584   
  4,052,123      COBALT CMBS Commercial Mortgage Trust,
Series 2007-C2, Class A3,
5.484%, 4/15/2047(b)(c)		     4,085,260   
  1,325,000      Commercial Mortgage Pass Through Certificates,
Series 2012-CR2, Class A4,
3.147%, 8/15/2045		     1,407,391   
  3,010,000      Commercial Mortgage Pass Through Certificates,
Series 2014-BBG, Class A,
1.325%, 3/15/2029, 144A(b)(c)		     2,980,912   
  1,220,000      Commercial Mortgage Pass Through Certificates,
Series 2014-CR14, Class A2,
3.147%, 2/10/2047		     1,250,313   
  2,670,000      Commercial Mortgage Pass Through Certificates,
Series 2014-CR16, Class ASB, 3.653%, 4/10/2047(b)		     2,872,858   
  2,797,000      Commercial Mortgage Pass Through Certificates,
Series 2014-FL4, Class AR4,
4.275%, 5/13/2031, 144A(c)(h)(i)		     2,729,540   

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Non-Agency Commercial Mortgage-Backed Securities – continued    
$ 5,380,000      Commercial Mortgage Pass Through Certificates,
Series 2014-FL5, Class SV1,
2.374%, 10/15/2031, 144A(c)(h)(i)		   $ 5,374,722   
  8,255,000      Commercial Mortgage Pass Through Certificates,
Series 2016-DC2, Class A5,
3.765%, 2/10/2049(b)		     9,045,120   
  257,937      Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3,
5.542%, 1/15/2049(b)(c)		     257,947   
  4,457,200      Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4,
5.881%, 6/15/2039(b)(c)		     4,503,697   
  1,343,077      Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 6.134%, 9/15/2039(c)     1,373,582   
  7,656,106      Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4,
5.695%, 9/15/2040(b)(c)		     7,831,735   
  4,108,000      Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3,
6.267%, 2/15/2041(b)(c)		     4,226,567   
  2,543,969      GP Portfolio Trust,
Series 2014-GPP, Class A,
1.474%, 2/15/2027, 144A(b)(c)		     2,539,897   
  10,795,913      Greenwich Capital Commercial Funding Corp.,
Series 2007-GG11, Class A4,
5.736%, 12/10/2049(b)		     11,081,174   
  5,320,898      Greenwich Capital Commercial Funding Corp.,
Series 2007-GG9, Class A4,
5.444%, 3/10/2039(b)		     5,328,733   
  5,200,000      GS Mortgage Securities Corp. II,
Series 2013-KING, Class C,
3.550%, 12/10/2027, 144A(b)(c)		     5,268,320   
  5,775,000      GS Mortgage Securities Corp. Trust,
Series 2013-PEMB, Class A,
3.668%, 3/05/2033, 144A(b)(c)		     6,026,876   
  10,874,816      GS Mortgage Securities Trust,
Series 2007-GG10, Class A4,
5.988%, 8/10/2045(b)(c)		     11,038,888   
  3,461,000      GS Mortgage Securities Trust,
Series 2013-GC16, Class B,
5.161%, 11/10/2046(b)(c)		     3,990,683   
  3,205,000      GS Mortgage Securities Trust,
Series 2014-GC20, Class A3,
3.680%, 4/10/2047(b)		     3,405,700   
  6,465,000      JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2014-CBM, Class A,
1.424%, 10/15/2029, 144A(b)(c)		     6,401,135   
  1,923,767      JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2007-CB18, Class A4, 5.440%, 6/12/2047(b)		     1,933,545   
  Non-Agency Commercial Mortgage-Backed Securities – continued    
2,334,062      JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2007-LD11, Class A4, 5.940%, 6/15/2049(c)		   2,366,181   
  562,907      JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		     567,098   
  1,628,000      JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2014-C19, Class ASB, 3.584%, 4/15/2047		     1,751,716   
  3,445,097      JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2014-FL5, Class A,
1.504%, 7/15/2031, 144A(b)(c)		     3,443,587   
  3,025,000      JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2015-SGP, Class D,
5.024%, 7/15/2036, 144A(b)(c)		     3,009,841   
  2,829,604      Merrill Lynch/Countrywide Commercial Mortgage Trust,
Series 2007-5, Class A4,
5.378%, 8/12/2048(b)		     2,843,311   
  7,525,000      Merrill Lynch/Countrywide Commercial Mortgage Trust,
Series 2007-6, Class A4,
5.485%, 3/12/2051(b)(c)		     7,600,566   
  5,881,254      Merrill Lynch/Countrywide Commercial Mortgage Trust,
Series 2007-9, Class A4,
5.700%, 9/12/2049(b)		     6,061,141   
  3,390,000      Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C14, Class A3,
3.669%, 2/15/2047(b)		     3,612,282   
  6,407,192      Morgan Stanley Capital I,
Series 2007-HQ13, Class A3, 5.569%, 12/15/2044(b)		     6,566,053   
  9,130,000      Morgan Stanley Capital I Trust,
Series 2007-IQ14, Class A4,
5.692%, 4/15/2049(b)(c)		     9,229,374   
  1,000,000      Morgan Stanley Capital I Trust,
Series 2011-C2, Class D,
5.646%, 6/15/2044, 144A(c)		     1,052,777   
  3,475,000      RBS Commercial Funding, Inc., Trust, Series 2013-SMV, Class C,
3.704%, 3/11/2031, 144A(c)		     3,488,253   
  680,000      SCG Trust,
Series 2013-SRP1, Class A,
1.924%, 11/15/2026, 144A(c)		     674,852   
  905,000      SCG Trust,
Series 2013-SRP1, Class B,
3.024%, 11/15/2026, 144A(c)		     874,372   
  2,100,000      Starwood Retail Property Trust, Inc.,
1.744%, 11/15/2027, 144A(c)		     2,083,326   
  6,500,000      Starwood Retail Property Trust, Inc.,
2.174%, 11/15/2027, 144A(b)(c)		     6,385,597   
  2,420,000      Wachovia Bank Commercial Mortgage Trust,
Series 2007-C30, Class A5,
5.342%, 12/15/2043(b)		     2,435,442   

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

Principal
Amount		     Description   Value (†)  
  Bonds and Notes – continued  
  Non-Agency Commercial Mortgage-Backed Securities – continued    
$ 6,702,755      Wachovia Bank Commercial Mortgage Trust,
Series 2007-C34, Class A3,
5.678%, 5/15/2046(b)		   $ 6,825,055   
  4,000,000      Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class ASB,
3.400%, 6/15/2048(b)		     4,258,070   
  4,632,000      WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ABS,
3.638%, 5/15/2047(b)		     4,994,482   
   

 

 

  
      204,190,572   
   

 

 

  
  Total Bonds and Notes  
  (Identified Cost $1,232,525,606)     1,229,528,302   
   

 

 

  
  Short-Term Investments – 7.0%  
  25,000,000      Federal Home Loan Bank Discount Notes, 0.390%, 10/03/2016(j)     25,000,000   
  10,000,000      Federal Home Loan Bank Discount Notes, 0.320%, 02/01/2017(j)     9,988,910   
  10,000,000      Federal Home Loan Bank Discount Notes, 0.358%, 02/06/2017(j)     9,988,450   
  26,387,913      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $26,387,979 on 10/03/2016 collateralized by $24,955,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $26,920,206 including accrued interest (Note 2 of Notes to Financial Statements)     26,387,913   
   

 

 

  
  Total Short-Term Investments  
  (Identified Cost $71,361,859)     71,365,273   
   

 

 

  
  Total Investments – 128.1%  
  (Identified Cost $1,303,887,465)(a)     1,300,893,575   
  Other assets less liabilities—(28.1)%     (285,035,032 ) 
   

 

 

  
  Net Assets – 100.0%   $ 1,015,858,543   
   

 

 

  
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Federal Tax Information:  
  At September 30, 2016, the net unrealized depreciation on investments based on a cost of $1,303,887,465 for federal income tax purposes was as follows:     
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 18,570,087   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (21,563,977 ) 
   

 

 

  
  Net unrealized depreciation   $ (2,993,890 ) 
   

 

 

  
  (b)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.
  (c)      Variable rate security. Rate as of September 30, 2016 is disclosed.
  (d)      Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $12,990,671 or 1.3% of net assets. See Note 2 of Notes to Financial Statements.
  (e)      Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
  (f)      The Fund’s investment in mortgage related securities of Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
  (g)      When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
  (h)      Illiquid security. (Unaudited)
  (i)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $8,104,262 or 0.8% of net assets. See Note 2 of Notes to Financial Statements.
  (j)      Interest rate represents discount rate at time of purchase; not a coupon rate.
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $249,368,024 or 24.5% of net assets.
  ABS      Asset-Backed Securities
  ARMs      Adjustable Rate Mortgages
  FHLMC      Federal Home Loan Mortgage Corp.
  FNMA      Federal National Mortgage Association
  GNMA      Government National Mortgage Association
  REMIC      Real Estate Mortgage Investment Conduit
  TBA      To Be Announced

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

 

At September 30, 2016, open long futures contracts were as follows:

 

Financial Futures

      Expiration
Date		        Contracts        Notional
Value		        Unrealized
Appreciation
(Depreciation)		  

10 Year U.S. Treasury Note

        12/20/2016           337         $ 44,189,125         $ 238,919   

30 Year U.S. Treasury Bond

        12/20/2016           61           10,257,531           (43,968 ) 
                   

 

 

  

Total

                     $ 194,951   
                   

 

 

  

At September 30, 2016, open short futures contracts were as follows:

 

Financial Futures

      Expiration
Date		        Contracts        Notional
Value		        Unrealized
Appreciation
(Depreciation)		  

2 Year U.S. Treasury Note

        12/30/2016           273         $ 59,641,969         $ (60,117 ) 

5 Year U.S. Treasury Note

        12/30/2016           551           66,955,109           (150,309 ) 
                   

 

 

  

Total

                     $ (210,426 ) 
                   

 

 

  

Industry Summary at September 30, 2016

 

Mortgage Related

        47.3 % 

Collateralized Mortgage Obligations

        22.0   

Non-Agency Commercial Mortgage-Backed Securities

        20.1   

ABS Car Loan

        12.6   

Agency Commercial Mortgage-Backed Securities

        5.5   

ABS Other

        4.4   

ABS Home Equity

        3.4   

ABS Student Loan

        2.4   

Other Investments, less than 2% each

        3.4   

Short-Term Investments

        7.0   
    

 

 

  

Total Investments

        128.1   

Other assets less liabilities (including futures contracts)

        (28.1 ) 
    

 

 

  

Net Assets

        100.0 % 
    

 

 

  

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

Statements of Assets and Liabilities

September 30, 2016

 

        High Income
Opportunities
Fund		      Securitized
Asset Fund		  

ASSETS

        

Investments at cost

      $ 131,970,788       $ 1,303,887,465   

Net unrealized appreciation (depreciation)

        2,723,944         (2,993,890 ) 
    

 

 

     

 

 

  

Investments at value

        134,694,732         1,300,893,575   

Cash

        3,121         10,033,731   

Due from brokers (Note 2)

        —         910,000   

Receivable for Fund shares sold

        251,216         2,267,799   

Receivable for securities sold

        —         215,259   

Receivable for when-issued/delayed delivery securities sold (Note 2)

        —         288,640,625   

Collateral received for delayed delivery securities (Note 2)

        —         1,024,000   

Dividends and interest receivable

        1,795,550         3,920,604   
    

 

 

     

 

 

  

TOTAL ASSETS

        136,744,619         1,607,905,593   
    

 

 

     

 

 

  
LIABILITIES        

Payable for securities purchased

        1,016,756         14,053,554   

Payable for when-issued/delayed delivery securities purchased (Note 2)

        —         576,513,055   

Payable for Fund shares redeemed

        826         349,534   

Due to brokers (Note 2)

        —         1,024,000   

Payable for variation margin on futures contracts (Note 2)

        —         89,941   

Other accounts payable and accrued expenses

        21,349         16,966   
    

 

 

     

 

 

  

TOTAL LIABILITIES

        1,038,931         592,047,050   
    

 

 

     

 

 

  

NET ASSETS

      $ 135,705,688       $ 1,015,858,543   
    

 

 

     

 

 

  

NET ASSETS CONSIST OF:

        

Paid-in capital

      $ 133,821,168       $ 1,017,293,744   

Undistributed net investment income

        621,993         6,923,736   

Accumulated net realized loss on investments, futures contracts and swap agreements

        (1,461,417 )       (5,349,572 ) 

Net unrealized appreciation (depreciation) on investments, futures contracts and swap agreements

        2,723,944         (3,009,365 ) 
    

 

 

     

 

 

  

NET ASSETS

      $ 135,705,688       $ 1,015,858,543   
    

 

 

     

 

 

  
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:        

Institutional Class:

        

Net assets

      $ 135,705,688       $ 1,015,858,543   
    

 

 

     

 

 

  

Shares of beneficial interest

        12,725,387         96,114,831   
    

 

 

     

 

 

  

Net asset value, offering and redemption price per share

      $ 10.66       $ 10.57   
    

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

Statements of Operations

For the Year Ended September 30, 2016

 

 

        High Income
Opportunities
Fund		      Securitized
Asset Fund		  

INVESTMENT INCOME

        

Interest

      $ 7,752,193       $ 36,937,926   

Dividends

        157,188         —   

Less net foreign taxes withheld

        (2,216 )       —   
    

 

 

     

 

 

  

Investment income

        7,907,165         36,937,926   
    

 

 

     

 

 

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

Net realized gain (loss) on:

        

Investments

        (1,090,036 )       11,898,381   

Futures contracts

        (178,082 )       3,747,980   

Swap agreements

        (12,050 )       —   

Net change in unrealized appreciation (depreciation) on:

        

Investments

        8,707,108         (11,493,063 ) 

Futures contracts

        94,209         (240,516 ) 

Swap agreements

        155,510         —   
    

 

 

     

 

 

  

Net realized and unrealized gain on investments, futures contracts and swap agreements

        7,676,659         3,912,782   
    

 

 

     

 

 

  
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS      $ 15,583,824       $ 40,850,708   
    

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

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Table of Contents

Statements of Changes in Net Assets

 

      High Income Opportunities Fund     Securitized Asset Fund  
      Year Ended
September 30, 2016		     Year Ended
September 30, 2015		     Year Ended
September 30, 2016		     Year Ended
September 30, 2015		  
FROM OPERATIONS:         

Investment income

    $ 7,907,165      $ 5,611,702      $ 36,937,926      $ 31,304,527   

Net realized gain (loss) on investments, futures contracts and swap agreements

      (1,280,168 )      1,281,433        15,646,361        12,737,624   

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

      8,956,827        (9,407,119 )      (11,733,579 )      (8,233,795 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      15,583,824        (2,513,984 )      40,850,708        35,808,356   
  

 

 

    

 

 

    

 

 

    

 

 

  
FROM DISTRIBUTIONS TO SHAREHOLDERS:         

Net investment income

         

Institutional Class

      (8,169,008 )      (5,404,902 )      (44,606,095 )      (45,553,367 ) 

Net realized capital gains

         

Institutional Class

      (452,100 )      —        —        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      (8,621,108 )      (5,404,902 )      (44,606,095 )      (45,553,367 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)      8,574,679        58,743,789        74,405,757        130,545,963   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets

      15,537,395        50,824,903        70,650,370        120,800,952   
NET ASSETS         

Beginning of the year

      120,168,293        69,343,390        945,208,173        824,407,221   
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the year

    $ 135,705,688      $ 120,168,293      $ 1,015,858,543      $ 945,208,173   
  

 

 

    

 

 

    

 

 

    

 

 

  
UNDISTRIBUTED NET INVESTMENT INCOME    $ 621,993      $ 687,851      $ 6,923,736      $ 5,198,597   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

Financial Highlights

For a share outstanding throughout each period.

 

 

      High Income Opportunities Fund – Institutional Class  
      Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		      Year Ended
September 30,
2013		      Year Ended
September 30,
2012		  

Net asset value, beginning of the period

    $ 10.11      $ 10.92      $ 10.53       $ 10.35       $ 9.36   

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

             

Net investment income(a)

      0.60        0.55        0.62         0.67         0.72   

Net realized and unrealized gain (loss)

      0.60        (0.81 )      0.43         0.25         1.01   
  

 

 

  

Total from Investment Operations

      1.20        (0.26)        1.05         0.92         1.73   
  

 

 

  

LESS DISTRIBUTIONS FROM:

             

Net investment income

      (0.62 )      (0.55 )      (0.66 )       (0.74 )       (0.74 ) 

Net realized capital gains

      (0.03 )      —        —         —         —   
  

 

 

  

Total Distributions

      (0.65)        (0.55)        (0.66)         (0.74)         (0.74)   
  

 

 

  

Net asset value, end of the period

    $ 10.66      $ 10.11      $ 10.92       $ 10.53       $ 10.35   
  

 

 

  

Total return

      12.55 %(c)      (2.61 )%      10.01 %       9.19 %       19.24 % 

RATIOS TO AVERAGE NET ASSETS:

             

Net assets, end of the period (000’s)

    $ 135,706      $ 120,168      $ 69,343       $ 78,102       $ 74,121   

Net expenses(b)

      —        —        —         —         —   

Gross expenses(b)

      —        —        —         —         —   

Net investment income

      5.94 %      5.12 %      5.70 %       6.33 %       7.28 % 

Portfolio turnover rate

      36 %      28 %      41 %       41 %       30 % 

 

(a)   Per share net investment income has been calculated using the average shares outstanding during the period.  
(b)   Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.  
(c)   Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total returns based on the adjusted net asset values per share may differ from the total returns reported in the average annual total return table.  

 

      Securitized Asset Fund – Institutional Class  
      Year Ended
September 30,
2016		      Year Ended
September 30,
2015		      Year Ended
September 30,
2014		      Year Ended
September 30,
2013		      Year Ended
September 30,
2012		  

Net asset value, beginning of the period

    $ 10.62       $ 10.73       $ 10.73       $ 11.39       $ 11.13   
  

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

               

Net investment income(a)

      0.40         0.37         0.41         0.41         0.45   

Net realized and unrealized gain (loss)

      0.04         0.06         0.14         (0.33 )       0.55   
  

 

 

  

Total from Investment Operations

      0.44         0.43         0.55         0.08         1.00   
  

 

 

  

LESS DISTRIBUTIONS FROM:

               

Net investment income

      (0.49 )       (0.54 )       (0.55 )       (0.62 )       (0.54 ) 

Net realized capital gains

      —         —         —         (0.12 )       (0.20 ) 
  

 

 

  

Total Distributions

      (0.49)         (0.54)         (0.55)         (0.74)         (0.74)   
  

 

 

  

Net asset value, end of the period

    $ 10.57       $ 10.62       $ 10.73       $ 10.73       $ 11.39   
  

 

 

  

Total return

      4.27 %       4.13 %       5.25 %       0.75 %       9.42 % 

RATIOS TO AVERAGE NET ASSETS:

               

Net assets, end of the period (000’s)

    $ 1,015,859       $ 945,208       $ 824,407       $ 689,196       $ 713,366   

Net expenses(b)

      —         —         —         —         —   

Gross expenses(b)

      —         —         —         —         —   

Net investment income

      3.84 %       3.47 %       3.80 %       3.67 %       4.08 % 

Portfolio turnover rate

      306 %       272 %       260 %       244 %       230 % 

 

(a)   Per share net investment income has been calculated using the average shares outstanding during the period.  
(b)   Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.  

 

See accompanying notes to financial statements.

 

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Table of Contents

Notes to Financial Statements

September 30, 2016

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

Loomis Sayles High Income Opportunities Fund (the “High Income Opportunities Fund”)

Loomis Sayles Securitized Asset Fund (the “Securitized Asset Fund”)

Each Fund is a diversified investment company.

Each Fund offers Institutional Class shares. The Funds’ shares are offered exclusively to investors in “wrap fee” programs approved by NGAM Advisors, L.P. (“NGAM Advisors”) and/or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and to institutional advisory clients of NGAM Advisors or Loomis Sayles that, in each case, meet the Funds’ policies as established by Loomis Sayles.

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

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

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

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

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

 

|  34

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

As of September 30, 2016, securities held by the funds were fair valued as follows:

 

Fund

    Securities
classified as
fair valued		        Percentage of
Net Assets		        Securities fair
valued by the
Fund’s adviser		        Percentage of
Net Assets		  

High Income Opportunities Fund

    $ 899,214           0.7%         $ 116,605           0.1%   

Securitized Asset Fund

      8,104,262           0.8%           12,990,671           1.3%   

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

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations.

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

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

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

No forward foreign currency contracts were held by the Funds during the year ended September 30, 2016.

e.  Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

 

35  |

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f.  Swap Agreements. The Funds may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

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

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

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

 

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September 30, 2016

 

h.  Stripped Securities. Each Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs.

i.  Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2016 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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

The tax characterization of distributions is determined on an annual basis. The tax characterization of distributions paid to shareholders during the years ended September 30, 2016 and 2015 were as follows:

 

     2016 Distributions Paid From:        2015 Distributions Paid From:  

Fund

    Ordinary
Income		      Long-Term
Capital Gains		        Total        Ordinary
Income		      Long-Term
Capital Gains		        Total  

High Income Opportunities Fund

    $ 8,164,479       $ 456,629         $ 8,621,108         $ 5,404,902       $ —         $ 5,404,902   

Securitized Asset Fund

      44,606,095         —           44,606,095           45,553,367         —           45,553,367   

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

 

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September 30, 2016

 

As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:

 

     High Income
Opportunities
Fund		      Securitized Asset
Fund		  

Undistributed ordinary income

    $ 711,892       $ 6,923,736   
  

 

 

     

 

 

  

Capital loss carryforward:

      

Short-term:

      

No expiration date

      (239,774 )       —   

Long-term:

      

No expiration date

      (1,054,802 )       (5,365,047 ) 
  

 

 

     

 

 

  

Total capital loss carryforward

      (1,294,576 )       (5,365,047 ) 
  

 

 

     

 

 

  

Unrealized appreciation (depreciation)

      2,544,901         (2,993,890 ) 
  

 

 

     

 

 

  

Total accumulated earnings (losses)

    $ 1,962,217       $ (1,435,201 ) 
  

 

 

     

 

 

  

Capital loss carryforward utilized in the current year

    $ —       $ 6,012,537   
  

 

 

     

 

 

  

k.  Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2016, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

l.  Due to/from Brokers. Transactions and positions in certain futures contracts and delayed delivery commitments are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due to brokers balance in the Statement of Assets and Liabilities for Securitized Asset Fund represents cash received as collateral for delayed delivery securities. The due from brokers balance in the Statement of Assets and Liabilities for Securitized Asset Fund represents cash pledged as initial margin for futures contracts. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.

m.  Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 2016, neither Fund had loaned securities under this agreement.

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

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

 

  •  

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

 

  •  

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

 

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September 30, 2016

 

 

  •  

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

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

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

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2016, at value:

High Income Opportunities Fund

Asset Valuation Inputs

 

Description

    Level 1        Level 2        Level 3     Total  

Bonds and Notes

               

Non-Convertible Bonds

               

Home Construction

    $ —         $ 2,234,363         $ 4 (b)    $ 2,234,367   

Non-Agency Commercial Mortgage-Backed Securities

      —           1,262,029           573,514 (c)      1,835,543   

Transportation Services

      —           237,459           113,265 (b)      350,724   

All Other Non-Convertible Bonds(a)

      —           114,784,754           —        114,784,754   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Non-Convertible Bonds

      —           118,518,605           686,783        119,205,388   
  

 

 

       

 

 

       

 

 

    

 

 

  

Convertible Bonds(a)

      —           4,295,334           —        4,295,334   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Bonds and Notes

      —           122,813,939           686,783        123,500,722   
  

 

 

       

 

 

       

 

 

    

 

 

  

Senior Loans(a)

      —           578,868           —        578,868   

Preferred Stocks

               

Midstream

      —           392,659           —        392,659   

Pharmaceuticals

      964,594           915,657           —        1,880,251   

All Other Preferred Stocks(a)

      665,137           —           —        665,137   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total Preferred Stocks

      1,629,731           1,308,316           —        2,938,047   
  

 

 

       

 

 

       

 

 

    

 

 

  

Common Stocks(a)

      383,511           —           —        383,511   
  

 

 

       

 

 

       

 

 

    

 

 

  

Warrants(d)

      —           —           3,336 (b)      3,336   

Short-Term Investments

      —           7,290,248           —        7,290,248   
  

 

 

       

 

 

       

 

 

    

 

 

  

Total

    $ 2,013,242         $ 131,991,371         $ 690,119      $ 134,694,732   
  

 

 

       

 

 

       

 

 

    

 

 

  

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

(b) Fair valued by the Fund’s adviser.

(c) Valued using broker-dealer bid prices.

(d) Includes a security fair valued at zero using Level 2 inputs.

 

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September 30, 2016

 

Securitized Asset Fund

Asset Valuation Inputs

 

Description

    Level 1      Level 2        Level 3     Total  

Bonds and Notes

             

ABS Car Loan

    $ —       $ 123,201,962         $ 5,037,047 (b)    $ 128,239,009   

ABS Home Equity

      —         33,393,879           1,303,154 (c)      34,697,033   

ABS Other

      —         40,626,353           4,046,953 (b)      44,673,306   

Collateralized Mortgage Obligations

      —         205,095,499           18,241,211 (d)      223,336,710   

Mortgage Related

      —         476,539,123           3,754,871 (e)      480,293,994   

Non-Agency Commercial Mortgage-Backed Securities

      —         198,815,850           5,374,722 (b)      204,190,572   

All Other Bonds and Notes(a)

      —         114,097,678           —        114,097,678   
  

 

 

     

 

 

       

 

 

    

 

 

  

Total Bonds and Notes

      —         1,191,770,344           37,757,958        1,229,528,302   
  

 

 

     

 

 

       

 

 

    

 

 

  

Short-Term Investments

      —         71,365,273           —        71,365,273   
  

 

 

     

 

 

       

 

 

    

 

 

  

Total Investments

      —         1,263,135,617           37,757,958        1,300,893,575   
  

 

 

     

 

 

       

 

 

    

 

 

  

Futures Contracts (unrealized appreciation)

      238,919         —           —        238,919   
  

 

 

     

 

 

       

 

 

    

 

 

  

Total

    $ 238,919       $ 1,263,135,617         $ 37,757,958      $ 1,301,132,494   
  

 

 

     

 

 

       

 

 

    

 

 

  
Liability Valuation Inputs             

Description

    Level 1      Level 2        Level 3     Total  

Futures Contracts (unrealized depreciation)

    $ (254,394 )     $ —         $ —      $ (254,394 ) 
  

 

 

     

 

 

       

 

 

    

 

 

  

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

(b) Valued using broker-dealer bid prices.

(c) Fair valued by the Fund’s adviser.

(d) Valued using broker-dealer bid prices ($6,703,776) or fair valued by the Fund’s adviser ($11,537,435).

(e) Valued using broker-dealer bid prices ($3,604,789) or fair valued by the Fund’s adviser ($150,082).

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2015 and/or September 30, 2016:

High Income Opportunities Fund

Asset Valuation Inputs

 

Investments in
Securities

   Balance
as of
Septem
ber 30,
2015		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers
into
Level 3		     Transfers
out of
Level 3		     Balance
as of
Septem
ber 30,
2016		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016		  

Bonds and Notes

                    

Non-
Convertible Bonds

                    

ABS Other

   $ 241,176      $ —      $ —      $ —      $ —      $ —      $ —      $ (241,176 )    $ —      $ —   

Home Construction

     —        276        —        (12,292 )      —        —        12,020        —        4        (12,292 ) 

Non-Agency Commercial Mortgage-
Backed Securities

     590,000        —        —        (16,486 )      —        —        —        —        573,514        (16,486 ) 

Retailers

     307,361        —        —        —        —        —        —        (307,361 )      —        —   

Transportation Services

     167,081        —        7,976        (11,150 )      —        (50,642 )      —        —        113,265        (1,402 ) 

Warrants

     —        —        —        3,336        —        —        —        —        3,336 (a)      3,336   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,305,618      $ 276      $ 7,976      $ (36,592 )    $ —      $ (50,642 )    $ 12,020      $ (548,537 )    $ 690,119      $ (26,844 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a) Includes a security fair valued at zero using Level 3 inputs.

A debt security valued at $241,176 was transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At September 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $12,020 were transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

 

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September 30, 2016

 

A debt security valued at $307,361 was transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At September 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

Securitized Asset Fund

Asset Valuation Inputs

 

Investments in
Securities

   Balance
as of
Septem
ber 30,
2015		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers
into
Level 3		     Transfers
out of
Level 3		     Balance
as of
Septem
ber 30,
2016		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016		  

Bonds and Notes

                    

Non-
Convertible Bonds

                    

ABS Car Loan

   $ 1,902,944      $ —      $ —      $ (2,110 )    $ 5,039,157      $ —      $ —      $ (1,902,944 )    $ 5,037,047      $ (2,110 ) 

ABS Home Equity

     1,971,905        —        91,075        (131,793 )      —        (628,033 )      —        —        1,303,154        (13,519 ) 

ABS Other

     10,620,593        —        3,033        (11,757 )      3,044,883        (439,053 )      —        (9,170,746 )      4,046,953        (1,092 ) 

Collateralized Mortgage Obligations

     3,673,400        —        (3,248,887 )      (245,098 )      7,150,586        (3,182,353 )      14,093,563        —        18,241,211        (245,098 ) 

Mortgage Related

     1,477,722        —        (77,010 )      (20,153 )      2,374,312        —        —        —        3,754,871        (20,153 ) 

Non-Agency Commercial Mortgage-Backed Securities

     5,376,412        —        —        (1,690 )      —        —        —        —        5,374,722        (1,689 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 25,022,976      $ —      $ (3,231,789 )    $ (412,601 )    $ 17,608,938      $ (4,249,439 )    $ 14,093,563      $ (11,073,690 )    $ 37,757,958      $ (283,661 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Debt securities valued at $11,073,690 were transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At September 30, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $14,093,563 were transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

All transfers are recognized as of the beginning of the reporting period.

The significant unobservable inputs used for those securities fair valued by the adviser and categorized in Level 3 as of September 30, 2016, were as follows:

 

Description

    Valuation Technique(s)        Unobservable Input        Unobservable
Input Value(s)		        Value  

Bonds and Notes

                  

ABS Home Equity

      Market Discount           Discount Rate1           1.50 – 3.50%         $ 1,303,154   

Collateralized Mortgage Obligations

      Market Discount           Discount Rate1           1.00 – 3.00%           11,537,435   

Mortgage Related

      Market Discount           Discount Rate1           1.25%           150,082   
                 

 

 

  

Total

                   $ 12,990,671   
                 

 

 

  

1 Securities are valued using a discount to the “round lot” price for the same security. The significant unobservable input used in the fair value measurement is the discount rate. A significant change in the discount rate could have a material effect on the fair value measurement. There is an inverse relationship between the discount rate and the fair value measurement, meaning a significant increase in the discount rate would result in a lower fair value measurement, and vice versa.

4.  Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include futures contracts and swap agreements.

The Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts to hedge against

 

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Notes to Financial Statements – continued

September 30, 2016

 

changes in interest rates and to manage their duration without having to buy or sell portfolio securities. During the year ended September 30, 2016, High Income Opportunities Fund used futures contracts to manage duration and Securitized Asset Fund used futures contracts to manage duration and to hedge against changes in interest rates.

High Income Opportunities Fund seeks to achieve high current income. The Fund may use a number of derivative instruments for risk management or as part of their investment strategies. During the year ended September 30, 2016, the Fund used credit default swap agreements (as a protection seller) to gain investment exposure in accordance with its objective.

Transactions in derivative instruments for High Income Opportunities Fund during the year ended September 30, 2016 as reflected in the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

    Futures
contracts		      Swap
agreements		  

Interest rate contracts

    $ (178,082 )     $ —   

Credit contracts

      —         (12,050 ) 

Net Change in Unrealized

Appreciation (Depreciation) on:

    Futures
contracts		      Swap
agreements		  

Interest rate contracts

    $ 94,209       $ —   

Credit contracts

      —         155,510   

The following is a summary of derivative instruments for Securitized Asset Fund as of September 30, 2016, as reflected within the Statements of Assets and Liabilities:

 

Assets

    Unrealized
appreciation
on  futures
contracts1		  

Exchange-traded/cleared asset derivatives
Interest rate contracts

    $ 238,919   

Liabilities

    Unrealized
depreciation
on  futures
contracts1		  

Exchange-traded/cleared liability derivatives
Interest rate contracts

    $ (254,394 ) 

1 Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Securitized Asset Fund during the year ended September 30, 2016 as reflected in the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

    Futures
contracts		  

Interest rate contracts

    $ 3,747,980   

Net Change in Unrealized
Appreciation (Depreciation) on:

    Futures
contracts		  

Interest rate contracts

    $ (240,516 ) 

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2016:

 

High Income Opportunities Fund

    Futures        Credit Default
Swaps		  

Average Notional Amount Outstanding

      1.95%           2.00%   

Highest Notional Amount Outstanding

      6.80%           5.17%   

Lowest Notional Amount Outstanding

      0.00%           0.00%   

Notional Amount Outstanding as of September 30, 2016

      0.00%           0.00%   

 

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Notes to Financial Statements – continued

September 30, 2016

 

Securitized Asset Fund

    Futures           

Average Notional Amount Outstanding

      18.17%        

Highest Notional Amount Outstanding

      20.88%        

Lowest Notional Amount Outstanding

      15.91%        

Notional Amount Outstanding as of September 30, 2016

      17.82%        

Notional amounts outstanding at the end of the prior period, if applicable, are included in the averages above.

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

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund:

 

Fund

    Maximum Amount
of Loss -  Gross		        Maximum Amount
of Loss - Net		  

Securitized Asset Fund

    $ 910,000         $ 910,000   

5.  Purchases and Sales of Securities. For the year ended September 30, 2016, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:

 

       U.S. Government/Agency
Securities		        Other Securities  

Fund

      Purchases        Sales        Purchases        Sales  

High Income Opportunities Fund

      $ —         $ —         $ 58,874,701         $ 44,452,755   

Securitized Asset Fund

        3,510,500,387           3,509,019,208           199,918,496           143,355,683   

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees. Loomis Sayles has agreed to pay, without reimbursement from the Funds or the Trust, the following expenses of the Funds: compensation to Trustees of the Trust who are not “interested persons” (as defined in the 1940 Act) of the Trust; registration, filing and other fees in connection with requirements of regulatory authorities; the charges and expenses of any entity appointed by the Funds for custodial, paying agent, shareholder servicing and plan agent services; charges and expenses of the independent registered public accounting firm retained by the Funds; charges and expenses of any transfer agents and registrars appointed by the Funds; any cost of certificates representing shares of the Funds; legal fees and expenses in connection with the day-to-day affairs of the Funds, including registering and qualifying its shares with Federal and State regulatory authorities; expenses of meetings of shareholders and Trustees of the Trust; the costs of services, including services of counsel, required in connection with the preparation of the Funds’ registration statements and prospectuses, including amendments and revisions thereto, annual, semi-annual and other periodic reports of the Funds, and notices and proxy solicitation material furnished to shareholders of the Funds or regulatory authorities, and any costs of printing or mailing these items; the Funds’ expenses of bookkeeping, accounting and financial reporting, including related clerical expenses and all other expenses incurred; and other operating expenses of the Funds, as applicable.

Loomis Sayles serves as investment adviser to each Fund. Under the terms of each management agreement, Loomis Sayles does not charge the Funds an investment advisory fee, also known as a management fee, or any other fee for those services or for bearing those expenses. Although the Funds do not compensate Loomis Sayles directly for services under the advisory agreement, Loomis Sayles will typically receive an advisory fee from the sponsors of “wrap programs,” who in turn charge the programs’ participants.

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

 

 

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Notes to Financial Statements – continued

September 30, 2016

 

b.  Service and Distribution Fees. NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trust. NGAM Distribution currently is not paid a fee for serving as distributor for the Funds. Loomis Sayles has agreed to reimburse NGAM Distribution to the extent that NGAM Distribution incurs expenses in connection with any redemption of Fund shares.

c.  Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, fees to NGAM Advisors for services to the Funds.

d.  Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $155,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings. Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, Trustees fees and expenses allocable to the Funds.

Prior to January 1, 2016, the Chairperson of the Board received a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $130,000. The chairperson of the Governance Committee received an additional retainer fee at the annual rate of $5,000. All other Trustee fees remained unchanged.

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

7.  Line of Credit. Effective April 14, 2016, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds (applicable allocations to the Funds are paid by Loomis Sayles) based on their average daily unused portion of the line of credit. Loomis Sayles, on behalf of the Funds, paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement.

Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). Interest was charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds (applicable allocations to the Funds were paid by Loomis Sayles) based on their average daily unused portion of the line of credit.

For the year ended September 30, 2016, none of the Funds had borrowings under these agreements.

8.  Concentration of Risk. Securitized Asset Fund’s investments in mortgage-related and asset-backed securities are subject to certain risks not associated with investments in other securities. Mortgage-related and asset-backed securities are subject to the risk that unexpected changes in interest rates will have a direct effect on expected maturity. A shortened maturity may result in the reinvestment of prepaid amounts in securities with lower yields than the original obligations. An extended maturity may result in a reduction of a security’s value.

 

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Notes to Financial Statements – continued

September 30, 2016

 

9.  Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

    Number of 5%
Account Holders		        Percentage of
Ownership		  

High Income Opportunities Fund

      2           19.39%   

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

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

 

       High Income Opportunities Fund  
       Year Ended September 30, 2016        Year Ended September 30, 2015  
Institutional Class      Shares        Amount        Shares        Amount  

Issued from the sale of shares

        3,946,889         $ 39,857,592           6,505,450         $ 69,135,896   

Issued in connection with the reinvestment of distributions

        455,812           4,556,737           289,937           3,110,225   

Redeemed

        (3,569,068 )         (35,839,650 )         (1,254,258 )         (13,502,332 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Increase (decrease) from capital share transactions

        833,633         $ 8,574,679           5,541,129         $ 58,743,789   
    

 

 

       

 

 

       

 

 

       

 

 

  
       Securitized Asset Fund  
       Year Ended September 30, 2016        Year Ended September 30, 2015  
Institutional Class      Shares        Amount        Shares        Amount  

Issued from the sale of shares

        24,907,012         $ 261,801,082           29,900,131         $ 320,342,338   

Issued in connection with the reinvestment of distributions

        657,888           6,909,793           527,702           5,634,046   

Redeemed

        (18,480,008 )         (194,305,118 )         (18,242,201 )         (195,430,421 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Increase (decrease) from capital share transactions

        7,084,892         $ 74,405,757           12,185,632         $ 130,545,963   
    

 

 

       

 

 

       

 

 

       

 

 

  

 

45  |

Table of Contents

Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds Trust I and Shareholders of Loomis Sayles High Income Opportunities Fund and Loomis Sayles Securitized Asset Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles High Income Opportunities Fund and Loomis Sayles Securitized Asset Fund, each a series of Loomis Sayles Funds Trust I (collectively, the “Funds”) at September 30, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

 

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Table of Contents

2016 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2016, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:

 

Fund

    Qualifying Percentage  

High Income Opportunities Fund

      1.27%   

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Fund paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2016, unless subsequently determined to be different.

 

Fund

    Amount  

High Income Opportunities Fund

    $ 456,629   

Qualified Dividend Income. For the fiscal year ended September 30, 2016, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2016, complete information will be reported in conjunction with Form 1099-DIV.

 

Fund

High Income Opportunities Fund

 

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trust and are available by calling 800-633-3330.

 

Name and Year of Birth  

Position(s)

Held with

the Trust, Length

of Time Served and

Term of Office1

  

Principal Occupation(s)

During Past 5 Years

  

Number of Portfolios in

Fund Complex Overseen2

and Other Directorships
Held During

Past 5 Years

  

Experience,

Qualifications,

Attributes, Skills

for Board

Membership

Independent Trustees

        

Kenneth A. Drucker

(1945)

   Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member   Retired  

44

None

   Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English

(1953)

   Trustee since 2013 Audit Committee Member   Chief Executive Officer of Bob’s Discount Furniture (retail)  

44

Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)

   Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia

(1951)

   Trustee since 2015 Audit Committee Member   Retired; formerly Vice President and Treasurer of Raytheon Company (defense)  

44

None

   Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox

(1948)

   Trustee since 2009 Contract Review Committee Member and Governance Committee Member   Director of Abt Associates Inc. (research and consulting)  

44

Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)

   Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan

(1956)

   Trustee since 2012 Contract Review Committee Member   President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell  

44

None

   Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

 

|  48

Table of Contents
Name and Year of Birth  

Position(s)

Held with

the Trust, Length

of Time Served and

Term of Office1

  

Principal Occupation(s)

During Past 5 Years

  

Number of Portfolios in

Fund Complex Overseen2

and Other Directorships
Held During

Past 5 Years

  

Experience,

Qualifications,

Attributes, Skills

for Board

Membership

Sandra O. Moose

(1942)

   Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee   President, Strategic Advisory Services (management consulting)  

44

Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)

   Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo

(1955)

   Trustee since 2016 Contract Review Committee Member   Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation  

44

None

   Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri

(1958)

   Trustee since 2009 Audit Committee Member   Professor of Finance at Babson College  

44

None

   Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail

(1952)

   Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member   Retired  

44

None

   Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker

(1956)

   Trustee since 2005 Chairperson of the Governance Committee and Contract Review Committee Member   Deputy Dean for Finance and Administration, Yale University School of Medicine  

44

None

   Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

Interested Trustees

Kevin P. Charleston3

(1965)

One Financial Center

Boston, MA 02111

   Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015   President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.  

44

None

   Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.

 

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Name and Year of Birth  

Position(s)

Held with

the Trust, Length

of Time Served and

Term of Office1

   Principal Occupation(s)
During Past 5 Years		  

Number of Portfolios in

Fund Complex Overseen2

and Other Directorships
Held During

Past 5 Years

  

Experience,

Qualifications,

Attributes, Skills

for Board

Membership

David L. Giunta4

(1965)

   Trustee since 2011 Executive Vice President since 2008   President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

John T. Hailer5

(1960)

   Trustee since 2003   President and Chief Executive Officer  — 
U.S. and Asia, Natixis Global Asset Management, L.P.		  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer — U.S. and Asia, Natixis Global Asset Management, L.P.

 

1 

Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

 

2 

The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”) and Natixis ETF Trust (collectively, the “Fund Complex”).

 

3 

Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

 

4 

Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

 

5

Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer — U.S. and Asia, Natixis Global Asset Management, L.P.

 

Name and Year of Birth  

Position(s)

Held with

the Trust

  

Term of Office1

and Length of

Time Served

  

Principal Occupation(s)

During Past 5 Years2

Officers of the Trust

Daniel J. Fuss

(1933)

One Financial Center

Boston, MA 02111

   Executive Vice President   Since June 2003   Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane

(1969)

   Secretary, Clerk and Chief Legal Officer   Since July 2016   Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok

(1959)

   Treasurer, Principal Financial and Accounting Officer   Since October 2004   Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux

(1976)

   Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer   Since July 2016   Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

 

1 

Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

 

2 

Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Mr. Fuss is not an officer of the Natixis Funds Trusts. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

 

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LOGO

 

Loomis Sayles Bond Fund

Annual Report

September 30, 2016

TABLE OF CONTENTS  
Portfolio Review     1   
Portfolio of Investments     13   
Financial Statements     35   
Notes to Financial Statements     42   

Table of Contents

LOOMIS SAYLES BOND FUND

 

Managers   Symbols   
Matthew J. Eagan, CFA®   Institutional Class    LSBDX
Daniel J. Fuss, CFA®, CIC   Retail Class    LSBRX
Brian P. Kennedy   Admin Class    LBFAX
Elaine M. Stokes   Class N    LSBNX

 

 

Investment Objective

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

 

 

Market Conditions

In the beginning of the period, the Federal Reserve (Fed) raised interest rates for the first time since June 2006. This led to modest losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets and riskier assets rebounded strongly. Volatility spiked temporarily in June following the U.K. referendum vote to leave the European Union (EU), but conditions were generally calm for the remainder of the period. Fixed-income markets finished the period on a positive note and added to full-year gains.

After declining through mid-February, U.S. high yield became a sought-after asset. The sector rewarded investors by producing strong and steady gains with minimal volatility. Spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) are trading inside the long-term average, but remain above the lows of 2014. Lower-quality credits and cyclical sectors outperformed during the period as the search for yield presses onward.

Investment-grade corporate bonds also performed well during the one-year period, bouncing back from the lows experienced during the fourth quarter of 2015. The sector’s longer duration (price sensitivity to interest rate changes) was a positive tailwind as longer-maturity yields declined. Overall returns were positive across all sectors, with cyclical sectors and energy performing well during the second half of the period.

For roughly the first half of the period, the U.S. dollar continued to strengthen against most major global currencies. But the Fed struck a more dovish tone early in 2016, and this contributed to a pause in the dollar bull market. A more stable dollar supported currencies — particularly those in the emerging markets — that suffered during the dollar’s ascent. The recovery in oil prices also helped ease the strain on commodity-related currencies.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Bond Fund returned 9.17%. The fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned 5.86%.

 

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Explanation of Fund Performance

In general, our out-of-benchmark allocation to high yield credit drove the fund’s outperformance. In particular, a significant allocation to high yield industrials contributed to results. The stabilization and recovery of oil prices led to strong returns for the sector, and our selected basic industry and energy names drove fund performance. Elsewhere, exposure to convertible securities aided performance, largely due to security selection in the technology sector. Similarly, name-specific exposure to technology stocks lifted fund performance. A small allocation to government-related securities also boosted performance, with Yankee bonds (foreign issues denominated in the U.S. dollar) issued in Brazil driving results. Additionally, an allocation to non-U.S.-dollar-denominated securities added value. New Zealand dollar-denominated holdings were key contributors. Though non-USD positions contributed positively to performance overall, U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-USD holdings during the period. During the period the Fund’s distributions were reduced to reflect the realization of currency losses from certain bond sales and maturities.

On the negative side, our shorter-than-benchmark duration detracted from results as interest rates declined over the period. Our cash and reserve positions, which help promote portfolio liquidity, lagged the benchmark and hindered relative performance. Elsewhere, an underweight to the investment-grade corporate sector weighed on relative results. Specifically, industrial and utility names detracted, while financial holdings had a muted influence on performance. A small allocation to high yield utilities also detracted from performance, as the typically defensive holdings struggled given investors’ preference for riskier high yield sectors.

Outlook

Our outlook for the U.S. and global economies remains positive, with expectations for better growth momentum through the end of the year. In the U.S., we expect steady gains in employment, increased bank lending and stronger consumer confidence to support GDP growth. The global economy is facing more headwinds but should experience modestly stronger growth next year, led by a healthier U.S. economy and still-accommodative global central bank policies.

Inflation expectations remain low. However, U.S. inflation is showing signs of acceleration and recent economic data have been favorable. We think the Fed is likely to raise rates in December if market conditions remain stable.

Oil prices are likely to be range-bound over the short term as elevated supply should be countered by OPEC’s expected production cut in November. We remain constructive on intermediate- to longer-term oil prices and expect that supply and demand will adjust.

We expect low global yields to continue supporting flows into U.S. credit, but at a more modest pace. In this environment, we intend to maintain a yield cushion in our portfolios through exposure to corporate bonds. Credit fundamentals have been stable, reflecting a

 

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LOOMIS SAYLES BOND FUND

 

slowly improving U.S. economy. However, downside risks — including slowing profit growth, rising leverage and free cash flow approaching peak levels — are increasing as we move further into the late stage of the credit cycle.1 Despite these risks, we believe the current phase of the credit cycle can continue for some time, and we do not expect a significant increase in corporate defaults in 2017.

Within credit, we favor the investment-grade financials, technology and energy sectors. We are also biased to higher-quality high yield. Convertible bonds continue to look attractive, and our focus has shifted from equity-sensitive convertibles to more balanced and credit-sensitive issues. We believe these securities offer yield and upside potential with more limited downside risk.

The Fed’s slow and cautious approach has helped keep the U.S. dollar range-bound against major currencies. Over the long term, improving global growth and further stability in commodities could support non-U.S.-dollar-denominated bonds. We are beginning to see more divergence in emerging market country fundamentals and political backdrops, which could expand potential relative value opportunities. We intend to maintain our current positions, which we believe represent long-term value, but are cautious on further exposure until we get better clarity on some of these evolving macro trends.

Risks include growing geopolitical risks, a prolonged period of low economic growth, declining corporate profit expectations and a shift to downturn in the U.S. credit cycle. Looking ahead, we remain focused on careful security selection using fundamental credit analysis. We intend to build on our key investment themes of yield and diversification, using our reserve allocation during periods of extreme short-term market dislocation to potentially add long-term value.

Since early 2015, monthly or quarterly ordinary income distributions for certain Loomis Sayles-managed fixed-income funds have been below historic averages. This is primarily due to the impact of foreign currency losses. Fund officers have analyzed the fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2017. Based on this analysis, fund officers believe that realized currency losses may have a less significant impact on this fund’s distributions in the 2017 fiscal year. As a result, the distribution amount may improve going forward. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates and the net asset level of the fund. Changes to these assumptions could impact the analysis and the amounts of future fund distributions.

 

1    A credit cycle is a cyclical pattern that follows credit availability and corporate health.

 

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Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 20162

 

LOGO

See notes to chart on page 5.

 

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LOOMIS SAYLES BOND FUND

 

Average Annual Total Returns — September 30, 20162

 

           
                             Expense Ratio3  
     1 year     5 years     10 years     Life of
Class N		     Gross     Net  
     
Institutional Class
(Inception 5/16/91)		     9.17 %      6.06 %      6.33 %      — %      0.64 %      0.64 % 
Retail Class
(Inception 12/31/96)		     8.86        5.78        6.02        —        0.89        0.89   
Admin Class
(Inception 1/2/98)		     8.64        5.50        5.75        —        1.14        1.14   
Class N
(Inception 2/1/13)		     9.18        —        —        3.11        0.57        0.57   
   
Comparative Performance              

Bloomberg Barclays U.S. Government/

Credit Bond Index1

     5.86        3.24        4.86        3.05                   

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

 

1    Bloomberg Barclays U.S. Government/Credit Bond Index is an unmanaged index that includes U.S. Treasuries, government-related issues, and investment-grade U.S. corporate securities.

 

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

 

3    As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

1639619.1.1

 

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that it will continue to invest in the securities or industries mentioned.

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

Additional Index Information

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

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

Proxy Voting Information

A description of the Fund’s proxy voting policies and procedures is available without charge upon request, by calling Loomis Sayles Funds at 800-633-3330; on the Fund’s website at www.loomissayles.com, and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information about how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website and the SEC’s website.

Quarterly Portfolio Schedules

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

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.

 

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The first line in the table for each class of Fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 2016. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

Loomis Sayles Bond Fund

 

Institutional Class

    Beginning
Account Value
4/1/2016		        Ending
Account Value
9/30/2016		        Expenses Paid
During Period*
4/1/2016 – 9/30/2016		  

Actual

      $1,000.00           $1,070.90           $3.42   

Hypothetical (5% return before expenses)

      $1,000.00           $1,021.70           $3.34   

Retail Class

                         

Actual

      $1,000.00           $1,069.90           $4.71   

Hypothetical (5% return before expenses)

      $1,000.00           $1,020.45           $4.60   

Admin Class

                         

Actual

      $1,000.00           $1,068.20           $6.00   

Hypothetical (5% return before expenses)

      $1,000.00           $1,019.20           $5.86   

Class N

                         

Actual

      $1,000.00           $1,071.30           $3.06   

Hypothetical (5% return before expenses)

      $1,000.00           $1,022.05           $2.98   

*   Expenses are equal to the Fund’s annualized expense ratio: 0.66%, 0.91%, 1.16% and 0.59% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

         

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENT

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on the Fund’s advisory agreement (the “Agreement”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreement to determine whether to recommend that the full Board approve the continuation of the Agreement, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreement.

In connection with these meetings, the Trustees receive materials that the Fund’s investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreement. These materials generally include, among other items, (i) information on the investment performance of the Fund and the performance of a peer group and category of funds and the Fund’s performance benchmarks, (ii) information on the Fund’s advisory fee and other expenses, including information comparing the Fund’s expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of a peer group of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Fund, (iv) information about the profitability of the Agreement to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) the Adviser’s financial results and/or financial condition, (ii) the Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Fund’s shares and the related costs, (iv) the procedures employed to determine the value of the Fund’s assets, (v) the allocation of the Fund’s brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Fund’s investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Fund’s portfolio managers in the Fund or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreement, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Fund’s investment performance and the fees charged to the Fund for advisory and other services. This information generally includes, among other things, an internal performance rating for the Fund based on agreed-upon criteria, graphs showing the Fund’s

 

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performance and fee differentials against the Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing the Fund against similarly categorized funds. The portfolio management team for the Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and if the Fund is identified as presenting possible performance concerns it may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about the Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreement at its meeting held in June 2016. The Agreement was continued for a one-year period for the Fund. In considering whether to approve the continuation of the Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Fund and the resources dedicated to the Fund by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Fund, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Fund.

The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the nature, extent and quality of services provided supported the renewal of the Agreement.

Investment performance of the Fund and the Adviser. As noted above, the Trustees received information about the performance of the Fund over various time periods, including information that compared the performance of the Fund to the performance of a peer group and category of funds and the Fund’s performance benchmark. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Fund using a variety of performance metrics, including metrics that also measured the performance of the Fund on a risk adjusted basis.

The Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement. The Trustees noted that while the Fund had performance that lagged that of its peer group and/or category for certain (although not all) periods, the

 

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Board concluded that other factors relevant to performance supported renewal of the Agreement. These factors included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; and (2) that the Fund’s long-term performance was competitive when compared to relevant performance benchmarks or peer groups.

The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the performance of the Fund and the Adviser supported the renewal of the Agreement.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. The Trustees considered the fees charged to the Fund for advisory services as well as the total expense level of the Fund. This information included comparisons (provided both by management and also by an independent third party) of the Fund’s advisory fee and total expense level to those of its peer group and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating the Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. The Trustees noted that the Fund currently has an expense cap in place, and that the current expenses are below the cap.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Fund. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Fund, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Fund, the expense levels

 

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of the Fund, and whether the Adviser had implemented breakpoints. The Trustees also noted management’s history of proposing additional advisory fee breakpoints as the Fund grew to substantially larger scale.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the advisory fee charged to the Fund was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Fund supported the renewal of the Agreement.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Fund through breakpoints in its investment advisory fee or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that the Fund had breakpoints in its advisory fees and it was subject to an expense cap, and that the current expenses are below the cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Fund, as discussed above.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the extent to which economies of scale were shared with the Fund supported the renewal of the Agreement.

The Trustees also considered other factors, which included but were not limited to the following:

 

•  

The effect of recent market and economic events on the performance, asset levels and expense ratios of the Fund.

 

•  

Whether the Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Fund and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Fund.

 

•  

The nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreement and under a separate agreement covering administrative services.

 

•  

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Fund, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Fund’s securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention

 

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of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

•  

The Trustees’ review and discussion of the Fund’s advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreement should be continued through June 30, 2017.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – 84.3% of Net Assets   
  Non-Convertible Bonds – 75.5%   
  ABS Other – 0.4%  
$ 29,950,364      FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b)(c)   $ 29,642,774   
  17,727,369      GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(d)     11,115,060   
  6,907,090      GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(d)     1,990,623   
  32,585,000      GCA2014 Holdings Ltd., Series 2014-1, Class E,
Zero Coupon, 1/05/2030, 144A(b)(d)(e)		     456,190   
  14,797,680      Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(b)(c)     14,471,213   
   

 

 

  
      57,675,860   
   

 

 

  
  Aerospace & Defense – 1.2%  
  36,735,000      Bombardier, Inc., 6.000%, 10/15/2022, 144A     33,245,175   
  100,000      Bombardier, Inc., 6.125%, 1/15/2023, 144A     88,750   
  1,510,000      Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)     1,044,495   
  13,664,000      Bombardier, Inc., 7.450%, 5/01/2034, 144A     11,699,800   
  275,000      Meccanica Holdings USA, Inc., 6.250%, 7/15/2019     299,750   
  24,903,000      Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A     24,404,940   
  25,480,000      Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A     27,900,600   
  770,000      Meccanica Holdings USA, Inc., 7.375%, 7/15/2039     843,150   
  6,995,000      Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A     4,975,194   
  23,658,000      Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)     34,907,322   
  25,941,000      TransDigm, Inc., 6.500%, 7/15/2024     27,302,902   
  4,585,000      TransDigm, Inc., 6.500%, 5/15/2025     4,774,131   
   

 

 

  
      171,486,209   
   

 

 

  
  Airlines – 1.3%  
  24,305,000      Air Canada, 7.625%, 10/01/2019, 144A, (CAD)     19,232,249   
  54,931,000      American Airlines Group, Inc., 5.500%, 10/01/2019, 144A     57,196,904   
  3,810,842      Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022     3,984,121   
  32,465,000      Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018     33,925,925   
  112,294      Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018     113,698   
  1,207      Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021     1,210   
  940,894      Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022     1,010,285   
  4,116,496      Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021     4,414,942   

 

See accompanying notes to financial statements.

 

13  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Airlines – continued  
$ 356,647      UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018   $ 357,075   
  6,518,972      United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027     6,991,597   
  298,830      US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020     330,975   
  56,320,000      Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A     58,009,600   
  5,408,224      Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A     5,489,348   
  8,100,135      Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A     8,201,387   
   

 

 

  
      199,259,316   
   

 

 

  
  Automotive – 0.5%  
  3,172,000      Cummins, Inc., 6.750%, 2/15/2027     3,995,321   
  2,611,000      Ford Motor Co., 6.500%, 8/01/2018     2,843,272   
  1,560,000      Ford Motor Co., 6.625%, 2/15/2028     1,869,239   
  1,580,000      Ford Motor Co., 7.500%, 8/01/2026     2,019,709   
  37,875,000      General Motors Financial Co., Inc., 4.375%, 9/25/2021     40,452,394   
  6,201,000      Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028     6,774,592   
  9,660,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A     9,829,050   
   

 

 

  
      67,783,577   
   

 

 

  
  Banking – 7.2%  
  59,285,000      Bank of America Corp., MTN, 3.300%, 1/11/2023     61,369,935   
  54,910,000      Bank of Nova Scotia, 2.130%, 6/15/2020, (CAD)     42,846,918   
  16,525,000      Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)     12,934,580   
  27,100,000      BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(f)     37,145,374   
  22,200,000      BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(f)     24,975,000   
  7,340,000      Citigroup, Inc., 4.500%, 1/14/2022     8,106,568   
  52,380,000      Citigroup, Inc., 5.130%, 11/12/2019, (NZD)     39,997,722   
  39,930,000      Citigroup, Inc., 6.250%, 6/29/2017, (NZD)     29,724,662   
  16,780,000      Cooperatieve Rabobank UA, 3.875%, 2/08/2022     18,363,646   
  4,045,000      Cooperatieve Rabobank UA, 3.950%, 11/09/2022     4,240,280   
  27,405,000      Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)     22,105,732   
  4,065,000      Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020     4,501,329   
  26,445,000      Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A     24,132,808   
  69,375,000      JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)     51,592,410   
  1,600,000      Merrill Lynch & Co., Inc., EMTN, 0.247%, 9/14/2018, (EUR)(g)     1,791,108   
  3,600,000      Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034     4,243,500   
  42,630,000      Morgan Stanley, 2.500%, 1/24/2019     43,438,222   
  6,600,000      Morgan Stanley, 3.750%, 2/25/2023     7,009,807   

 

See accompanying notes to financial statements.

 

|  14

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Banking – continued  
$ 47,205,000      Morgan Stanley, 4.350%, 9/08/2026   $ 50,396,152   
  53,595,000      Morgan Stanley, 4.750%, 11/16/2018, (AUD)     42,635,604   
  75,000,000      Morgan Stanley, 5.000%, 9/30/2021, (AUD)     62,092,528   
  152,340,000      Morgan Stanley, 7.600%, 8/08/2017, (NZD)     114,794,962   
  150,195,000      Morgan Stanley, 8.000%, 5/09/2017, (AUD)     118,529,709   
  1,400,000      Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)     1,846,053   
  139,740,000      Morgan Stanley, MTN, 4.100%, 5/22/2023     147,741,652   
  15,000,000      Morgan Stanley, MTN, 6.250%, 8/09/2026     18,806,445   
  68,800,000      Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)     54,768,880   
  2,250,000      National Australia Bank Ltd., 5.000%, 3/11/2024, (AUD)     1,981,720   
  6,000,000      Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(f)     8,554,586   
  2,800,000      Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A     3,189,220   
   

 

 

  
      1,063,857,112   
   

 

 

  
  Brokerage – 1.1%  
  5,996,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A     5,576,280   
  29,995,000      Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A     29,170,137   
  19,787,000      Jefferies Group LLC, 5.125%, 4/13/2018     20,657,905   
  51,270,000      Jefferies Group LLC, 5.125%, 1/20/2023     54,622,648   
  29,470,000      Jefferies Group LLC, 6.250%, 1/15/2036     30,715,903   
  22,428,000      Jefferies Group LLC, 6.450%, 6/08/2027     25,390,739   
   

 

 

  
      166,133,612   
   

 

 

  
  Building Materials – 0.6%  
  15,670,000      Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A     14,083,412   
  15,272,000      Masco Corp., 6.500%, 8/15/2032     16,799,200   
  16,235,000      Masco Corp., 7.125%, 3/15/2020     18,670,250   
  9,733,000      Masco Corp., 7.750%, 8/01/2029     11,630,935   
  21,460,000      Owens Corning, 7.000%, 12/01/2036     27,090,718   
  2,395,000      Titan Global Finance PLC, EMTN, 4.250%, 7/10/2019, (EUR)     2,811,491   
   

 

 

  
      91,086,006   
   

 

 

  
  Cable Satellite – 0.3%  
  965,000      DISH DBS Corp., 5.000%, 3/15/2023     938,463   
  1,105,000      DISH DBS Corp., 5.875%, 11/15/2024     1,091,187   
  37,585,000      Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)     31,437,957   
  6,190,000      Time Warner Cable LLC, 4.500%, 9/15/2042     5,906,863   
  535,000      Time Warner Cable LLC, 5.875%, 11/15/2040     594,111   
  15,800,000      Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)     12,374,328   
   

 

 

  
      52,342,909   
   

 

 

  
  Chemicals – 2.6%  
  123,840,000      Chemours Co. (The), 6.625%, 5/15/2023     120,744,000   
  23,615,000      Chemours Co. (The), 7.000%, 5/15/2025     23,201,737   
  56,305,000      Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A     55,601,187   

 

See accompanying notes to financial statements.

 

15  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Chemicals – continued  
$ 20,000,000      Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A   $ 20,800,000   
  23,289,000      Hercules, Inc., 6.500%, 6/30/2029     20,960,100   
  33,969,000      Hexion, Inc., 7.875%, 2/15/2023(b)(d)     12,228,840   
  4,955,000      Hexion, Inc., 8.875%, 2/01/2018     4,719,638   
  11,305,000      Hexion, Inc., 9.200%, 3/15/2021(b)(d)     4,408,950   
  3,390,000      Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020     2,453,513   
  119,535,000      INVISTA Finance LLC, 4.250%, 10/15/2019, 144A     118,946,888   
  6,795,000      Methanex Corp., 5.250%, 3/01/2022     7,018,433   
  2,305,000      TPC Group, Inc., 8.750%, 12/15/2020, 144A     1,787,643   
   

 

 

  
      392,870,929   
   

 

 

  
  Construction Machinery – 0.2%  
  27,030,000      Toro Co., 6.625%, 5/01/2037(b)(c)     32,394,293   
   

 

 

  
  Consumer Cyclical Services – 0.1%  
  1,000,000      ServiceMaster Co. LLC (The), 7.100%, 3/01/2018     1,031,250   
  8,919,000      ServiceMaster Co. LLC (The), 7.450%, 8/15/2027     9,480,897   
   

 

 

  
      10,512,147   
   

 

 

  
  Consumer Products – 0.1%  
  15,036,000      Avon Products, Inc., 8.950%, 3/15/2043     12,291,930   
   

 

 

  
  Diversified Manufacturing – 0.5%  
  64,245,000      General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)     47,481,991   
  45,800,000      General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)     33,609,338   
   

 

 

  
      81,091,329   
   

 

 

  
  Electric – 1.5%  
  3,075,000      AES Corp. (The), 4.875%, 5/15/2023     3,121,125   
  54,584,477      Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A     55,846,143   
  66,179,285      Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(c)     33,697,168   
  1,801,497      CE Generation LLC, 7.416%, 12/15/2018     1,684,400   
  4,255,000      DPL, Inc., 6.750%, 10/01/2019     4,414,562   
  12,250,000      Dynegy, Inc., 5.875%, 6/01/2023     11,116,875   
  69,835,000      Dynegy, Inc., 7.625%, 11/01/2024     68,577,970   
  38,973,000      EDP Finance BV, 4.125%, 1/15/2020, 144A     40,395,514   
  8,663,000      Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027     10,764,956   
  588,222      Red Oak Power LLC, Series A, 8.540%, 11/30/2019     588,957   
  65,293      Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018     64,636   
   

 

 

  
      230,272,306   
   

 

 

  
  Finance Companies – 4.4%  
  3,100,000      AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A     1,550,000   
  11,695,000      General Electric Co., Series A, MTN, 0.980%, 5/13/2024(g)     10,956,461   

 

See accompanying notes to financial statements.

 

|  16

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Finance Companies – continued  
$ 19,330,000      iStar, Inc., 4.875%, 7/01/2018   $ 19,426,650   
  20,395,000      iStar, Inc., 5.000%, 7/01/2019     20,341,565   
  34,525,000      iStar, Inc., 5.850%, 3/15/2017     34,937,263   
  1,890,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A     1,795,500   
  30,220,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017     30,446,650   
  2,830,000      Navient Corp., 5.875%, 10/25/2024     2,575,300   
  68,000,000      Navient Corp., MTN, 6.125%, 3/25/2024     63,325,000   
  34,415,000      Navient LLC, 4.875%, 6/17/2019     34,285,944   
  27,420,000      Navient LLC, 5.500%, 1/25/2023     25,157,850   
  150,996(††)      Navient LLC, 6.000%, 12/15/2043     3,469,133   
  11,663,000      Navient LLC, MTN, 5.500%, 1/15/2019     11,837,945   
  8,000,000      Navient LLC, MTN, 7.250%, 1/25/2022     8,160,000   
  3,355,000      Navient LLC, MTN, 8.000%, 3/25/2020     3,598,237   
  23,623,000      Navient LLC, Series A, MTN, 5.000%, 6/15/2018     23,623,000   
  51,024,000      Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(c)     40,564,080   
  400,000      Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A     399,500   
  74,340,000      Springleaf Finance Corp., 5.250%, 12/15/2019     75,919,725   
  155,536,000      Springleaf Finance Corp., 7.750%, 10/01/2021     163,118,380   
  77,845,000      Springleaf Finance Corp., 8.250%, 10/01/2023     81,737,250   
   

 

 

  
      657,225,433   
   

 

 

  
  Food & Beverage – 0.0%  
  1,500,000      Fonterra Co-operative Group Ltd., MTN, 4.500%, 6/30/2021, (AUD)     1,218,491   
   

 

 

  
  Government Owned – No Guarantee – 0.5%  
  28,720,000      Pertamina Persero PT, 6.450%, 5/30/2044, 144A     33,269,219   
  31,880,000      Petrobras Global Finance BV, 4.375%, 5/20/2023     28,516,660   
  24,335,000      Petrobras Global Finance BV, 5.625%, 5/20/2043     18,372,925   
   

 

 

  
      80,158,804   
   

 

 

  
  Healthcare – 1.4%  
  3,240,000      BioScrip, Inc., 8.875%, 2/15/2021     3,029,400   
  27,204,000      HCA, Inc., 7.050%, 12/01/2027     28,938,255   
  27,545,000      HCA, Inc., 7.500%, 11/06/2033     29,851,894   
  45,324,000      HCA, Inc., 8.360%, 4/15/2024     52,624,790   
  6,944,000      HCA, Inc., MTN, 7.580%, 9/15/2025     7,829,360   
  12,446,000      HCA, Inc., MTN, 7.750%, 7/15/2036     13,488,352   
  335,000      Kindred Healthcare, Inc., 8.000%, 1/15/2020     340,863   
  915,000      Kindred Healthcare, Inc., 8.750%, 1/15/2023     915,000   
  1,430,000      Tenet Healthcare Corp., 4.375%, 10/01/2021     1,422,850   
  13,068,000      Tenet Healthcare Corp., 5.000%, 3/01/2019     12,773,970   
  37,850,000      Tenet Healthcare Corp., 6.750%, 6/15/2023     35,200,500   

 

See accompanying notes to financial statements.

 

17  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Healthcare – continued  
$ 34,938,000      Tenet Healthcare Corp., 6.875%, 11/15/2031   $ 28,736,505   
  690,000      Universal Health Services, Inc., 4.750%, 8/01/2022, 144A     712,425   
   

 

 

  
      215,864,164   
   

 

 

  
  Home Construction – 0.8%  
  7,385,000      Beazer Homes USA, Inc., 7.250%, 2/01/2023     7,348,075   
  16,729,000      K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(c)     11,710,300   
  45,718,000      K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A     27,659,390   
  52,605,000      PulteGroup, Inc., 6.000%, 2/15/2035     53,131,050   
  13,360,000      TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019     13,744,100   
   

 

 

  
      113,592,915   
   

 

 

  
  Independent Energy – 1.3%  
  1,190,000      Anadarko Petroleum Corp., 3.450%, 7/15/2024     1,173,818   
  2,770,000      Anadarko Petroleum Corp., 4.500%, 7/15/2044     2,541,469   
  7,440,000      Baytex Energy Corp., 5.125%, 6/01/2021, 144A     6,193,800   
  6,507,000      Baytex Energy Corp., 5.625%, 6/01/2024, 144A     5,303,205   
  15,760,000      Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A     14,656,800   
  345,000      Bonanza Creek Energy, Inc., 5.750%, 2/01/2023     156,975   
  140,000      Bonanza Creek Energy, Inc., 6.750%, 4/15/2021     63,700   
  11,379,000      California Resources Corp., 5.500%, 9/15/2021     6,030,870   
  1,709,000      California Resources Corp., 6.000%, 11/15/2024     816,048   
  1,835,000      Chesapeake Energy Corp., 4.875%, 4/15/2022     1,545,988   
  15,000      Chesapeake Energy Corp., 6.625%, 8/15/2020     14,119   
  1,940,000      Chesapeake Energy Corp., 6.875%, 11/15/2020     1,813,900   
  8,471,000      Continental Resources, Inc., 3.800%, 6/01/2024     7,750,965   
  1,597,000      Continental Resources, Inc., 4.500%, 4/15/2023     1,533,120   
  1,775,000      EQT Corp., 8.125%, 6/01/2019     2,028,912   
  145,000      MEG Energy Corp., 6.375%, 1/30/2023, 144A     114,731   
  95,000      MEG Energy Corp., 6.500%, 3/15/2021, 144A     77,544   
  235,000      MEG Energy Corp., 7.000%, 3/31/2024, 144A     185,650   
  370,000      Noble Energy, Inc., 5.625%, 5/01/2021     386,676   
  4,855,000      Oasis Petroleum, Inc., 6.875%, 1/15/2023     4,636,525   
  280,000      Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A     300,300   
  4,270,000      QEP Resources, Inc., 5.250%, 5/01/2023     4,205,950   
  4,335,000      QEP Resources, Inc., 6.875%, 3/01/2021     4,519,237   
  15,445,000      Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)     8,417,525   
  9,500,000      Rice Energy, Inc., 6.250%, 5/01/2022     9,808,750   
  8,579,000      RSP Permian, Inc., 6.625%, 10/01/2022     8,986,502   
  23,125,000      Sanchez Energy Corp., 6.125%, 1/15/2023     18,557,812   
  12,420,000      Sanchez Energy Corp., 7.750%, 6/15/2021     10,929,600   
  90,000      SM Energy Co., 5.000%, 1/15/2024     84,600   
  20,982,000      SM Energy Co., 6.125%, 11/15/2022     20,982,000   
  57,825,000      Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A(i)     45,681,750   

 

See accompanying notes to financial statements.

 

|  18

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Independent Energy – continued  
$ 2,845,000      Whiting Petroleum Corp., 5.750%, 3/15/2021   $ 2,660,075   
  1,965,000      Whiting Petroleum Corp., 6.250%, 4/01/2023     1,793,063   
   

 

 

  
      193,951,979   
   

 

 

  
  Industrial Other – 0.1%  
  8,380,000      Broadspectrum Ltd., 8.375%, 5/15/2020, 144A     8,924,700   
  160,000      Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A     167,600   
   

 

 

  
      9,092,300   
   

 

 

  
  Integrated Energy – 0.0%  
  2,155,000      Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(i)     398,675   
  1,250,000      Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A(i)     231,250   
   

 

 

  
      629,925   
   

 

 

  
  Life Insurance – 2.0%  
  6,212,000      American International Group, Inc., 4.875%, 6/01/2022     6,989,388   
  67,930,000      AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(f)     74,015,169   
  1,185,000      AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(f)     1,639,152   
  15,000,000      Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(c)     17,246,400   
  5,760,000      Genworth Holdings, Inc., 4.800%, 2/15/2024     4,737,600   
  31,605,000      Genworth Holdings, Inc., 4.900%, 8/15/2023     26,311,163   
  2,030,000      MetLife Capital Trust X, 9.250%, 4/08/2068, 144A     2,920,561   
  10,175,000      MetLife, Inc., 10.750%, 8/01/2069     16,306,455   
  57,985,000      Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A     73,986,367   
  38,476,000      National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(c)     59,002,177   
  12,950,000      NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(c)     14,937,773   
   

 

 

  
      298,092,205   
   

 

 

  
  Local Authorities – 1.6%  
  38,490,000      New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)     30,735,894   
  99,500,000      New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)     83,424,323   
  142,855,000      New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)     115,496,230   
  1,507,000      Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)     1,083,841   
  1,490,000      Province of Ontario Canada, 2.100%, 9/08/2018, (CAD)     1,163,993   
   

 

 

  
      231,904,281   
   

 

 

  
  Media Entertainment – 0.7%  
  164,410,000      Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)     7,350,672   
  1,595,000      iHeartCommunications, Inc., 9.000%, 3/01/2021     1,188,275   
  66,650,000      iHeartCommunications, Inc., 9.000%, 9/15/2022     48,487,875   
  34,725,000      R.R. Donnelley & Sons Co., 6.000%, 4/01/2024     34,464,562   
  3,610,000      R.R. Donnelley & Sons Co., 6.500%, 11/15/2023     3,637,075   
  1,976,000      R.R. Donnelley & Sons Co., 7.000%, 2/15/2022     2,050,100   
   

 

 

  
      97,178,559   
   

 

 

  

 

See accompanying notes to financial statements.

 

19  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Metals & Mining – 2.3%  
$ 8,456,540      1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(d)(i)(j)   $ 3,383   
  155,000      AK Steel Corp., 7.625%, 5/15/2020     151,125   
  3,000,000      AK Steel Corp., 7.625%, 10/01/2021     2,880,000   
  13,492,000      Alcoa, Inc., 5.870%, 2/23/2022     14,503,900   
  11,795,000      Alcoa, Inc., 5.900%, 2/01/2027     12,620,650   
  2,050,000      Alcoa, Inc., 5.950%, 2/01/2037     2,061,275   
  6,490,000      Alcoa, Inc., 6.750%, 1/15/2028     7,090,325   
  35,180,000      ArcelorMittal, 7.750%, 3/01/2041     36,675,150   
  3,635,000      ArcelorMittal, 8.000%, 10/15/2039     3,925,800   
  3,950,000      Barrick Gold Corp., 5.800%, 11/15/2034     4,128,741   
  23,735,000      Barrick North America Finance LLC, 5.750%, 5/01/2043     27,832,563   
  28,838,000      Cliffs Natural Resources, Inc., 8.000%, 9/30/2020, 144A     28,261,240   
  34,330,000      Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(b)(c)(i)     4,634,550   
  100,000      First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A     89,500   
  16,650,000      First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A     14,735,250   
  975,000      Hecla Mining Co., 6.875%, 5/01/2021     978,656   
  19,310,000      Lundin Mining Corp., 7.500%, 11/01/2020, 144A     20,516,875   
  66,920,000      Lundin Mining Corp., 7.875%, 11/01/2022, 144A     71,269,800   
  6,500,000      Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A     6,337,500   
  11,965,000      Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)     9,188,412   
  15,555,000      United States Steel Corp., 6.650%, 6/01/2037     12,444,000   
  5,167,000      United States Steel Corp., 6.875%, 4/01/2021     5,115,330   
  2,848,000      United States Steel Corp., 7.375%, 4/01/2020     2,833,760   
  38,460,000      United States Steel Corp., 7.500%, 3/15/2022     37,883,100   
  10,540,000      Worthington Industries, Inc., 6.500%, 4/15/2020     11,711,458   
   

 

 

  
      337,872,343   
   

 

 

  
  Midstream – 0.8%  
  755,000      Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A     738,013   
  9,050,000      DCP Midstream LLC, 6.450%, 11/03/2036, 144A     8,801,125   
  7,500,000      Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A     8,507,520   
  310,000      Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)     229,792   
  31,400,000      IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A     35,450,129   
  205,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A     222,425   
  26,020,000      Plains All American Pipeline LP, 6.125%, 1/15/2017     26,331,199   
  7,325,000      Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023     7,374,334   
  1,455,000      Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022     1,535,675   
  5,556,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019     5,633,784   
  4,258,532      Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A     4,609,860   
  18,753,000      Williams Partners LP, 3.350%, 8/15/2022     18,563,426   
   

 

 

  
      117,997,282   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  20

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Mortgage Related – 0.0%  
$ 54,453      FHLMC, 5.000%, 12/01/2031   $ 61,013   
   

 

 

  
  Natural Gas – 0.2%  
  4,130,000      NiSource Finance Corp., 6.125%, 3/01/2022     4,927,941   
  21,041,000      NiSource Finance Corp., 6.400%, 3/15/2018     22,462,130   
  1,235,000      NiSource Finance Corp., 6.800%, 1/15/2019     1,375,205   
   

 

 

  
      28,765,276   
   

 

 

  
  Non-Agency Commercial Mortgage-Backed Securities – 0.4%  
  11,160,000      GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.988%, 8/10/2045(g)     10,741,801   
  16,001,584      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)     12,100,440   
  38,527,228      Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(b)(c)     38,780,063   
   

 

 

  
      61,622,304   
   

 

 

  
  Oil Field Services – 0.8%  
  485,000      Basic Energy Services, Inc., 7.750%, 10/15/2022     179,450   
  14,585,000      FTS International, Inc., 6.250%, 5/01/2022     5,578,763   
  8,997,000      Global Marine, Inc., 7.000%, 6/01/2028     6,297,900   
  15,000,000      Nabors Industries, Inc., 5.100%, 9/15/2023     14,437,500   
  29,512,000      Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(i)     8,189,580   
  47,072,000      Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(i)     13,062,480   
  10,000      Precision Drilling Corp., 5.250%, 11/15/2024     8,150   
  10,000      Precision Drilling Corp., 6.500%, 12/15/2021     9,050   
  20,000      Precision Drilling Corp., 6.625%, 11/15/2020     18,550   
  23,050,000      Rowan Cos., Inc., 7.875%, 8/01/2019     24,605,875   
  10,432,000      Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A     678,080   
  1,180,000      Sidewinder Drilling, Inc., 9.750%, 11/15/2019     76,700   
  51,710,000      Transocean, Inc., 5.050%, 10/15/2022     40,527,712   
  1,670,000      Transocean, Inc., 6.800%, 3/15/2038     1,093,850   
   

 

 

  
      114,763,640   
   

 

 

  
  Packaging – 0.1%  
  10,351,000      Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021     10,790,917   
  1,705,000      Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A     1,726,313   
   

 

 

  
      12,517,230   
   

 

 

  
  Paper – 0.9%  
  38,882,000      Georgia-Pacific LLC, 7.750%, 11/15/2029     55,641,891   
  9,625,000      International Paper Co., 8.700%, 6/15/2038     14,235,519   
  8,214,000      WestRock MWV LLC, 7.950%, 2/15/2031     11,074,879   
  25,138,000      WestRock MWV LLC, 8.200%, 1/15/2030     34,277,096   

 

See accompanying notes to financial statements.

 

21  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Paper – continued  
$ 4,127,000      Weyerhaeuser Co., 6.950%, 10/01/2027   $ 5,130,674   
  14,035,000      Weyerhaeuser Co., 7.375%, 3/15/2032     19,001,299   
   

 

 

  
      139,361,358   
   

 

 

  
  Property & Casualty Insurance – 0.2%  
  2,000,000      Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A     1,710,000   
  13,985,000      MBIA Insurance Corp., 11.940%, 1/15/2033, 144A(e)(g)     5,594,000   
  80,000      MBIA Insurance Corp., 11.940%, 1/15/2033(e)(g)     32,000   
  1,371,000      Old Republic International Corp., 4.875%, 10/01/2024     1,482,446   
  12,080,000      Sirius International Group, 6.375%, 3/20/2017, 144A     12,271,384   
  1,140,000      Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(f)     1,147,296   
  6,575,000      XLIT Ltd., 6.250%, 5/15/2027     7,940,614   
   

 

 

  
      30,177,740   
   

 

 

  
  Railroads – 0.1%  
  7,944,000      Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(c)     7,767,587   
  63,300      Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)(c)     63,140   
   

 

 

  
      7,830,727   
   

 

 

  
  Real Estate Operations/Development – 0.1%  
  7,750,000      First Industrial LP, 5.950%, 5/15/2017     7,947,408   
   

 

 

  
  Restaurants – 0.0%  
  1,325,000      Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)     1,805,415   
   

 

 

  
  Retailers – 0.8%  
  4,680,000      Dillard’s, Inc., 7.000%, 12/01/2028     5,358,319   
  7,182,000      Dillard’s, Inc., 7.750%, 7/15/2026     8,268,637   
  2,250,000      Dillard’s, Inc., 7.750%, 5/15/2027     2,621,250   
  8,524,000      Foot Locker, Inc., 8.500%, 1/15/2022     10,058,320   
  7,675,000      GameStop Corp., 5.500%, 10/01/2019, 144A     7,838,094   
  36,970,000      J.C. Penney Corp., Inc., 6.375%, 10/15/2036     31,794,200   
  3,515,000      J.C. Penney Corp., Inc., 7.625%, 3/01/2097     2,899,875   
  14,133,000      Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027     16,289,328   
  9,245,000      Marks & Spencer PLC, 7.125%, 12/01/2037, 144A     11,527,221   
  815,000      Nine West Holdings, Inc., 6.125%, 11/15/2034     105,950   
  24,302,000      TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A     24,484,265   
   

 

 

  
      121,245,459   
   

 

 

  
  Sovereigns – 0.4%  
  58,860,000      Portugal Government International Bond, 5.125%, 10/15/2024, 144A     58,628,798   
  65,000      Portugal Government International Bond, 5.125%, 10/15/2024, 144A     64,745   
   

 

 

  
      58,693,543   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Supermarkets – 1.5%  
$ 107,435,000      New Albertson’s, Inc., 7.450%, 8/01/2029   $ 105,286,300   
  27,027,000      New Albertson’s, Inc., 7.750%, 6/15/2026     26,925,649   
  23,152,000      New Albertson’s, Inc., 8.000%, 5/01/2031     22,833,660   
  6,955,000      New Albertson’s, Inc., 8.700%, 5/01/2030     7,059,325   
  21,208,000      New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028     19,511,360   
  3,585,000      SUPERVALU, Inc., 6.750%, 6/01/2021     3,351,975   
  35,540,000      SUPERVALU, Inc., 7.750%, 11/15/2022     33,940,700   
   

 

 

  
      218,908,969   
   

 

 

  
  Supranational – 1.3%  
  18,525,000      European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)     16,121,612   
  185,840,000      Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)     140,987,020   
  40,000,000      Inter-American Development Bank, MTN, 6.500%, 8/20/2019, (AUD)     34,496,492   
   

 

 

  
      191,605,124   
   

 

 

  
  Technology – 1.8%  
  238,000      Advanced Micro Devices, Inc., 7.000%, 7/01/2024     233,835   
  75,630,000      Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029     83,665,687   
  57,898,000      Amkor Technology, Inc., 6.375%, 10/01/2022     59,779,685   
  2,630,000      Arrow Electronics, Inc., 6.875%, 6/01/2018     2,840,229   
  5,645,000      Corning, Inc., 7.250%, 8/15/2036     6,997,226   
  73,905,000      KLA-Tencor Corp., 4.650%, 11/01/2024     81,213,983   
  12,970,000      KLA-Tencor Corp., 5.650%, 11/01/2034     14,440,046   
  4,385,000      Motorola Solutions, Inc., 6.625%, 11/15/2037     4,542,378   
  3,036,000      Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A     3,873,456   
  8,080,000      Western Digital Corp., 7.375%, 4/01/2023, 144A     8,888,000   
   

 

 

  
      266,474,525   
   

 

 

  
  Transportation Services – 0.2%  
  20,994,000      APL Ltd., 8.000%, 1/15/2024(b)(c)     13,856,040   
  6,427,401      Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(d)     6,539,880   
  1,986,784      Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(k)     2,031,487   
  1,959,577      Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 1/02/2018(d)     1,959,577   
  7,520,331      Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d)(k)     7,745,941   
  3,160,409      Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 1/02/2018(d)     3,207,815   
   

 

 

  
      35,340,740   
   

 

 

  
  Treasuries – 26.8%  
  597,515,000      Canadian Government, 0.250%, 5/01/2017, (CAD)     454,720,779   
  545,500,000      Canadian Government, 0.750%, 9/01/2020, (CAD)     418,699,680   

 

See accompanying notes to financial statements.

 

23  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Treasuries – continued  
  254,495,000      Canadian Government, 1.250%, 9/01/2018, (CAD)   $ 196,719,330   
  6,575,000      Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)     7,221,240   
  980,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(h)     804,950   
  2,040,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)     1,349,804   
  1,290,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h)     856,372   
  310,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(h)     204,322   
  3,710,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(h)     2,420,574   
  4,825,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(h)     3,151,975   
  465,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(h)     302,920   
  6,200,000      Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)     4,046,195   
  8,742,110,000      Iceland Government International Bond, 6.000%, 10/13/2016, (ISK)     52,028,564   
  2,331,740,000      Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)     15,336,742   
  5,523,835,000      Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)     35,444,608   
  8,357,200(†††)      Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)     43,127,458   
  8,554,600(†††)      Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)     45,454,057   
  4,579,595(†††)      Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)     26,716,530   
  10,160,320(†††)      Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)     57,965,085   
  39,547,655(†††)      Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)     229,298,588   
  3,288,446(†††)      Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)     20,266,535   
  34,470,000(†††)      Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)     224,580,723   
  113,749(†††)      Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)     741,103   
  137,580,000      New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)     107,537,247   
  128,565,000      New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)     110,254,446   
  83,000,000      New Zealand Government Bond, Series 420, 3.000%, 4/15/2020, (NZD)     62,620,642   
  764,599,000      Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)     107,988,395   
  1,317,525,000      Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)     168,580,773   
  1,096,778,000      Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)     150,619,368   
  253,010,000      Republic of Brazil, 8.500%, 1/05/2024, (BRL)     71,865,685   
  97,345,000      Republic of Brazil, 10.250%, 1/10/2028, (BRL)     30,381,494   
  150,000,000      U.S. Treasury Note, 0.500%, 3/31/2017     150,011,700   
  275,000,000      U.S. Treasury Note, 0.500%, 7/31/2017     274,742,050   
  300,000,000      U.S. Treasury Note, 0.625%, 6/30/2018     299,343,600   
  150,000,000      U.S. Treasury Note, 0.750%, 1/31/2018     150,052,800   
  150,000,000      U.S. Treasury Note, 0.750%, 8/31/2018     149,970,750   

 

See accompanying notes to financial statements.

 

|  24

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Treasuries – continued  
$ 300,000,000      U.S. Treasury Note, 0.750%, 9/30/2018   $ 299,906,400   
   

 

 

  
      3,975,333,484   
   

 

 

  
  Wireless – 0.8%  
  281,500,000      America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)     14,140,512   
  143,600,000      America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)     7,329,797   
  44,104,000      Sprint Capital Corp., 6.875%, 11/15/2028     41,402,630   
  8,400,000      Sprint Capital Corp., 8.750%, 3/15/2032     8,568,000   
  27,683,000      Sprint Communications, Inc., 6.000%, 11/15/2022     25,675,982   
  10,853,000      Sprint Corp., 7.125%, 6/15/2024     10,581,675   
  11,346,000      Sprint Corp., 7.250%, 9/15/2021     11,388,548   
   

 

 

  
      119,087,144   
   

 

 

  
  Wirelines – 5.6%  
  75,360,000      AT&T, Inc., 2.625%, 12/01/2022     75,957,454   
  59,951,000      AT&T, Inc., 3.000%, 2/15/2022     61,901,446   
  5,790,000      Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)     5,695,203   
  3,695,000      Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)     3,924,510   
  10,946,000      Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)     10,628,621   
  95,630,000      CenturyLink, Inc., 6.450%, 6/15/2021     102,443,638   
  11,005,000      CenturyLink, Inc., Series G, 6.875%, 1/15/2028     10,606,069   
  7,255,000      CenturyLink, Inc., Series P, 7.600%, 9/15/2039     6,311,850   
  11,795,000      CenturyLink, Inc., Series W, 6.750%, 12/01/2023     12,266,800   
  1,440,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028     1,369,800   
  3,620,000      Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A     3,710,500   
  11,991,000      Consolidated Communications, Inc., 6.500%, 10/01/2022     11,631,270   
  8,735,000      Embarq Corp., 7.995%, 6/01/2036     8,839,645   
  11,505,000      FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A     11,735,100   
  21,745,000      Frontier Communications Corp., 6.250%, 9/15/2021     20,902,381   
  24,305,000      Frontier Communications Corp., 6.875%, 1/15/2025     21,509,925   
  60,000      Frontier Communications Corp., 7.000%, 11/01/2025     52,800   
  4,035,000      Frontier Communications Corp., 7.875%, 1/15/2027     3,611,325   
  1,240,000      Frontier Communications Corp., 9.000%, 8/15/2031     1,140,800   
  1,235,000      Level 3 Financing, Inc., 5.375%, 8/15/2022     1,290,575   
  305,000      Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(i)     76,631   
  24,165,000      Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(e)     6,243,520   
  43,231,000      Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(e)     11,169,609   
  64,382,000      Qwest Capital Funding, Inc., 6.875%, 7/15/2028     60,840,990   
  16,040,000      Qwest Capital Funding, Inc., 7.625%, 8/03/2021     16,521,200   
  41,590,000      Qwest Capital Funding, Inc., 7.750%, 2/15/2031     40,342,300   
  32,321,000      Qwest Corp., 6.875%, 9/15/2033     32,220,740   
  10,785,000      Qwest Corp., 7.250%, 9/15/2025     11,802,327   
  785,000      Qwest Corp., 7.250%, 10/15/2035     776,661   

 

See accompanying notes to financial statements.

 

25  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Wirelines – continued  
$ 63,364,000      Telecom Italia Capital S.A., 6.000%, 9/30/2034   $ 62,746,201   
  32,356,000      Telecom Italia Capital S.A., 6.375%, 11/15/2033     32,922,230   
  4,300,000      Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)     6,504,207   
  1,850,000      Telefonica Emisiones SAU, 5.134%, 4/27/2020     2,039,336   
  2,100,000      Telefonica Emisiones SAU, 5.462%, 2/16/2021     2,384,668   
  4,700,000      Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)     7,415,100   
  18,145,000      Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)     30,127,601   
  45,415,000      Telus Corp., 4.950%, 3/15/2017, (CAD)     35,194,159   
  27,020,000      Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)     22,687,985   
  73,892,000      Verizon Communications, Inc., 2.450%, 11/01/2022     75,044,715   
   

 

 

  
      832,589,892   
   

 

 

  
  Total Non-Convertible Bonds
(Identified Cost $11,813,723,956)		     11,207,967,207   
   

 

 

  
  Convertible Bonds – 7.3%  
  Building Materials – 0.1%  
  1,015,000      CalAtlantic Group, Inc., 0.250%, 6/01/2019     940,144   
  415,000      CalAtlantic Group, Inc., 1.250%, 8/01/2032     432,378   
  14,067,000      KB Home, 1.375%, 2/01/2019     13,680,157   
   

 

 

  
      15,052,679   
   

 

 

  
  Cable Satellite – 1.3%  
  170,470,000      Dish Network Corp., 3.375%, 8/15/2026, 144A     186,664,650   
   

 

 

  
  Chemicals – 0.1%  
  5,934,000      RPM International, Inc., 2.250%, 12/15/2020     7,109,674   
   

 

 

  
  Consumer Products – 0.0%  
  675,000      Iconix Brand Group, Inc., 1.500%, 3/15/2018     582,188   
   

 

 

  
  Diversified Manufacturing – 0.2%  
  25,202,000      Trinity Industries, Inc., 3.875%, 6/01/2036     30,116,390   
   

 

 

  
  Healthcare – 0.3%  
  27,720,000      Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)     37,768,500   
   

 

 

  
  Leisure – 0.2%  
  35,626,000      Rovi Corp., 0.500%, 3/01/2020     35,502,378   
   

 

 

  
  Metals & Mining – 0.0%  
  2,005,000      TimkenSteel Corp., 6.000%, 6/01/2021     2,202,994   
   

 

 

  
  Midstream – 0.3%  
  33,110,000      Chesapeake Energy Corp., 2.250%, 12/15/2038     30,833,688   
  10,327,000      Chesapeake Energy Corp., 2.500%, 5/15/2037     10,262,456   
   

 

 

  
      41,096,144   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Bonds and Notes – continued   
  Pharmaceuticals – 0.0%  
$ 2,107,000      BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018   $ 2,527,083   
  2,929,000      BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020     3,652,097   
   

 

 

  
      6,179,180   
   

 

 

  
  Property & Casualty Insurance – 0.4%  
  47,743,000      Old Republic International Corp., 3.750%, 3/15/2018     57,321,439   
   

 

 

  
  Technology – 4.4%  
  5,410,000      Brocade Communications Systems, Inc., 1.375%, 1/01/2020     5,338,994   
  14,865,000      Ciena Corp., 3.750%, 10/15/2018, 144A     18,804,225   
  316,175,000      Intel Corp., 3.250%, 8/01/2039     578,205,031   
  1,605,000      Lam Research Corp., Series B, 1.250%, 5/15/2018     2,554,959   
  6,962,350      Liberty Interactive LLC, 3.500%, 1/15/2031     6,476,287   
  11,900,000      Nuance Communications, Inc., 1.000%, 12/15/2035, 144A     10,353,000   
  1,231,000      Nuance Communications, Inc., 1.500%, 11/01/2035     1,154,832   
  13,345,000      Priceline Group, Inc. (The), 0.900%, 9/15/2021     14,329,194   
  15,405,000      Viavi Solutions, Inc., 0.625%, 8/15/2033     15,327,975   
   

 

 

  
      652,544,497   
   

 

 

  
  Total Convertible Bonds
(Identified Cost $755,987,319)		     1,072,140,713   
   

 

 

  
  Municipals – 1.5%   
  District of Columbia – 0.1%  
  5,610,000      Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047     7,745,671   
   

 

 

  
  Illinois – 0.1%  
  25,725,000      State of Illinois, 5.100%, 6/01/2033     24,798,900   
   

 

 

  
  Michigan – 0.1%  
  18,050,000      Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034     17,713,006   
   

 

 

  
  Virginia – 0.8%  
  135,045,000      Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046     115,987,450   
   

 

 

  
  Puerto Rico – 0.4%  
  85,210,000      Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(i)     55,706,037   
   

 

 

  
  Total Municipals
(Identified Cost $249,371,922)		     221,951,064   
   

 

 

  
  Total Bonds and Notes
(Identified Cost $12,819,083,197)		     12,502,058,984   
   

 

 

  

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Senior Loans – 1.5%   
  Automotive – 0.1%  
$ 9,352,240      IBC Capital Ltd., 1st Lien Term Loan, 4.985%, 9/09/2021(g)   $ 9,157,433   
  7,744,876      IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(b)(c)(g)     6,989,751   
   

 

 

  
      16,147,184   
   

 

 

  
  Chemicals – 0.4%  
  7,953,832      Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(g)     7,933,947   
  48,235,000      Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(g)     47,511,475   
   

 

 

  
      55,445,422   
   

 

 

  
  Consumer Cyclical Services – 0.5%  
  38,130,062      SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(g)     31,790,939   
  55,750,000      SourceHov LLC, 2014 2nd Lien Term Loan, 11.500%, 4/30/2020(g)     35,680,000   
   

 

 

  
      67,470,939   
   

 

 

  
  Diversified Manufacturing – 0.1%  
  12,644,469      Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(g)     7,080,903   
   

 

 

  
  Financial Other – 0.1%  
  16,730,113      DBRS Ltd., Term Loan, 6.250%, 3/04/2022(g)     16,406,051   
   

 

 

  
  Industrial Other – 0.0%  
  2,819,636      Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(g)     2,802,013   
   

 

 

  
  Media Entertainment – 0.0%  
  3,598,822      Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(g)     3,427,878   
   

 

 

  
  Natural Gas – 0.0%  
  1,829,664      Southcross Holdings Borrower LP, Exit Term Loan B, 3.500%, 4/13/2023(g)     1,527,770   
   

 

 

  
  Oil Field Services – 0.1%  
  3,109,527      FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(g)     1,222,044   
  8,124,988      Paragon Offshore Finance Co., Term Loan B, 5.250%, 7/18/2021(g)(i)     1,960,153   
  3,801,875      Petroleum Geo-Services ASA, New Term Loan B, 3.250%, 3/19/2021(g)     2,499,733   
  3,558,623      UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(g)     1,690,346   
   

 

 

  
      7,372,276   
   

 

 

  
  Other Utility – 0.0%  
  4,525,000      PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(g)     4,502,375   
   

 

 

  
  Retailers – 0.0%  
  4,505,757      Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(g)     4,241,043   
   

 

 

  
  Technology – 0.1%  
  5,596,800      Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(g)     5,488,390   
  7,048,927      IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b)(c)(g)     4,969,494   
   

 

 

  
      10,457,884   
   

 

 

  

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Principal
Amount (‡)		     Description   Value (†)  
  Senior Loans – continued   
  Transportation Services – 0.0%  
$ 4,734,434      OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(g)   $ 4,716,680   
   

 

 

  
  Wireless – 0.0%  
  4,615,385      Asurion LLC, New 2nd Lien Term Loan, 8.500%, 3/03/2021(g)     4,584,600   
   

 

 

  
  Wirelines – 0.1%  
  19,347,093      Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(b)(c)(g)     18,283,003   
  2,548,975      LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(g)     2,548,975   
   

 

 

  
      20,831,978   
   

 

 

  
  Total Senior Loans
(Identified Cost $282,499,160)		     227,014,996   
   

 

 

  
  Shares               
  Common Stocks – 9.3%   
  Airlines – 0.1%  
  213,831      United Continental Holdings, Inc.(e)     11,219,713   
   

 

 

  
  Automobiles – 1.8%  
  21,480,222      Ford Motor Co.     259,266,280   
   

 

 

  
  Containers & Packaging – 0.1%  
  645,508      Owens-Illinois, Inc.(e)     11,870,892   
   

 

 

  
  Diversified Telecommunication Services – 0.3%  
  375,021      Hawaiian Telcom Holdco, Inc.(e)     8,396,720   
  421,481      Level 3 Communications, Inc.(e)     19,548,289   
  1,759,489      Telefonica S.A., Sponsored ADR     17,735,649   
   

 

 

  
      45,680,658   
   

 

 

  
  Energy Equipment & Services – 0.0%  
  486,727      Hercules Offshore, Inc.(e)     842,038   
   

 

 

  
  Household Durables – 0.1%  
  256,311      Newell Brands, Inc.     13,497,337   
   

 

 

  
  Internet Software & Services – 0.0%  
  559,124      Dex Media, Inc.(d)(e)     1,111,539   
   

 

 

  
  Metals & Mining – 0.3%  
  6,559,672      ArcelorMittal, (Registered)(e)     39,620,419   
  324,383      Cliffs Natural Resources, Inc.(e)     1,897,640   
   

 

 

  
      41,518,059   
   

 

 

  
  Multi-Utilities – 0.0%  
  63,091      CMS Energy Corp.     2,650,453   
   

 

 

  

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Shares

     Description   Value (†)  
  Common Stocks – continued   
  Oil, Gas & Consumable Fuels – 0.4%  
  1,033,462      Chesapeake Energy Corp.(e)   $ 6,479,807   
  248,036      Halcon Resources Corp.(e)     2,326,577   
  868,395      Repsol YPF S.A., Sponsored ADR     11,853,592   
  231,675      Rex Energy Corp.(e)     135,275   
  758,315      Royal Dutch Shell PLC, Sponsored ADR     37,968,832   
  2,021      Southcross Holdings Group LLC(d)(e)     —   
  2,021      Southcross Holdings LP, Class A(d)(e)     727,560   
   

 

 

  
      59,491,643   
   

 

 

  
  Pharmaceuticals – 1.2%  
  3,414,069      Bristol-Myers Squibb Co.     184,086,600   
   

 

 

  
  REITs – Diversified – 0.2%  
  226,669      NexPoint Residential Trust, Inc.     4,456,313   
  647,982      Weyerhaeuser Co.     20,696,545   
   

 

 

  
      25,152,858   
   

 

 

  
  Semiconductors & Semiconductor Equipment – 4.7%  
  18,520,348      Intel Corp.     699,143,137   
   

 

 

  
  Trading Companies & Distributors – 0.1%  
  208,780      United Rentals, Inc.(e)     16,387,142   
   

 

 

  
 

Total Common Stocks

(Identified Cost $995,697,565)

     1,371,918,349   
   

 

 

  
  Preferred Stocks – 1.7%   
  Convertible Preferred Stocks – 1.5%   
  Banking – 0.3%  
  25,823      Bank of America Corp., Series L, 7.250%     31,525,751   
  12,483      Wells Fargo & Co., Series L, Class A, 7.500%     16,335,254   
   

 

 

  
      47,861,005   
   

 

 

  
  Communications – 0.0%  
  14,923      Cincinnati Bell, Inc., 6.750%     748,538   
   

 

 

  
  Electric – 0.2%  
  430,351      AES Trust III, 6.750%     21,947,901   
   

 

 

  
  Energy – 0.1%  
  325,710      El Paso Energy Capital Trust I, 4.750%     16,285,500   
   

 

 

  
  Metals & Mining – 0.3%  
  1,182,307      Alcoa, Inc., Series 1, 5.375%     38,649,616   
   

 

 

  
  Midstream – 0.4%  
  257,387      Chesapeake Energy Corp., 4.500%(e)     11,705,961   
  476,844      Chesapeake Energy Corp., 5.000%(e)     20,444,687   

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Shares

     Description   Value (†)  
  Preferred Stocks – continued   
  Midstream – continued  
  39,322      Chesapeake Energy Corp., 5.750%, 144A(e)   $ 20,791,507   
  3,044      Chesapeake Energy Corp., 5.750%(e)     1,609,515   
  16,454      Chesapeake Energy Corp., Series A, 5.750%, 144A(e)     8,566,364   
   

 

 

  
      63,118,034   
   

 

 

  
  REITs – Diversified – 0.0%  
  37,815      Crown Castle International Corp., Series A, 4.500%     4,273,851   
   

 

 

  
  REITs – Health Care – 0.1%  
  172,150      Welltower, Inc., 6.500%     11,456,582   
   

 

 

  
  REITs – Hotels – 0.0%  
  231,450      FelCor Lodging Trust, Inc., Series A, 1.950%     5,788,564   
   

 

 

  
  REITs – Mortgage – 0.0%  
  58,431      iStar, Inc., Series J, 4.500%     2,859,029   
   

 

 

  
  Technology – 0.1%  
  95,290      Belden, Inc., 6.750%     9,569,975   
   

 

 

  
  Total Convertible Preferred Stocks
(Identified Cost $268,728,572)		     222,558,595   
   

 

 

  
  Non-Convertible Preferred Stocks – 0.2%   
  Electric – 0.0%  
  2,925      Connecticut Light & Power Co., 1.900%     127,878   
  100      Entergy Arkansas, Inc., 4.320%     9,853   
  5,000      Entergy Mississippi, Inc., 4.360%     489,844   
  665      Entergy New Orleans, Inc., 4.360%     69,118   
  200      Entergy New Orleans, Inc., 4.750%     20,456   
  50,100      Southern California Edison Co., 4.780%     1,268,532   
   

 

 

  
      1,985,681   
   

 

 

  
  Finance Companies – 0.1%  
  67,611      iStar, Inc., Series E, 7.875%     1,644,976   
  64,123      iStar, Inc., Series F, 7.800%     1,565,242   
  16,004      iStar, Inc., Series G, 7.650%     385,056   
  149,767      SLM Corp., Series A, 6.970%     7,699,522   
   

 

 

  
      11,294,796   
   

 

 

  
  Home Construction – 0.0%  
  52,867      Hovnanian Enterprises, Inc., 7.625%(e)     243,188   
   

 

 

  
  REITs – Office Property – 0.0%  
  2,318      Highwoods Properties, Inc., Series A, 8.625%     2,972,835   
   

 

 

  

 

See accompanying notes to financial statements.

 

31  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Shares

     Description   Value (†)  
  Preferred Stocks – continued   
  REITs – Warehouse/Industrials – 0.1%  
  169,007      ProLogis, Inc., Series Q, 8.540%   $ 10,964,329   
   

 

 

  
  Total Non-Convertible Preferred Stocks
(Identified Cost $21,386,932)		     27,460,829   
   

 

 

  
  Total Preferred Stocks
(Identified Cost $290,115,504)		     250,019,424   
   

 

 

  
  Closed-End Investment Companies – 0.0%   
  170,002      NexPoint Credit Strategies Fund
(Identified Cost $9,807,937)		     3,779,144   
   

 

 

  
  Warrants – 0.0%   
  67,377      Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(d)(e)
(Identified Cost $0)		     102,811   
   

 

 

  
 
 		 Principal
Amount (‡)		   
  		            
  Short-Term Investments – 4.0%  
$ 57,455      Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2016 at 0.000% to be repurchased at $57,455 on 10/03/2016 collateralized by $57,800 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $58,653 including accrued interest (Note 2 of Notes to Financial Statements)     57,455   
  598,750,054      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $598,751,551 on 10/03/2016 collateralized by $3,195,000 U.S. Treasury Note, 1.500% due 3/31/2023 valued at $3,230,944; $100,000,000 U.S. Treasury Note, 1.625% due 5/31/2023 valued at $102,274,000; $425,000,000 U.S. Treasury Note, 1.750% due 5/15/2023 valued at $438,812,500; $58,205,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $62,788,644; $3,285,000 U.S. Treasury Note, 3.500% due 5/15/2020 valued at $3,621,713 including accrued interest (Note 2 of Notes to Financial Statements)     598,750,054   
   

 

 

  
  Total Short-Term Investments
(Identified Cost $598,807,509)		     598,807,509   
   

 

 

  
  Total Investments – 100.8%
(Identified Cost $14,996,010,872)(a)		     14,953,701,217   
 

Other assets less liabilities—(0.8)%

     (113,040,712 ) 
   

 

 

  
  Net Assets – 100.0%   $ 14,840,660,505   
   

 

 

  
  (‡)      Principal Amount stated in U.S. dollars unless otherwise noted.  
  (†)      See Note 2 of Notes to Financial Statements.  
  (††)      Amount shown represents units. One unit represents a principal amount of 25.   

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

  (†††)      Amount shown represents units. One unit represents a principal amount of 100.   
  (a)      Federal Tax Information:  
  At September 30, 2016, the net unrealized depreciation on investments based on a cost of $15,261,082,901 for federal income tax purposes was as follows:    
  Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost   $ 1,404,008,206   
  Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value     (1,711,389,890 ) 
   

 

 

  
  Net unrealized depreciation   $ (307,381,684 ) 
   

 

 

  
  (b)      Illiquid security. (Unaudited)  
  (c)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $349,009,806 or 2.4% of net assets. See Note 2 of Notes to Financial Statements.     
  (d)      Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $53,629,656 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.    
  (e)      Non-income producing security.  
  (f)      Perpetual bond with no specified maturity date.  
  (g)      Variable rate security. Rate as of September 30, 2016 is disclosed.  
  (h)      Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.   
  (i)      The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.    
  (j)      Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.    
  (k)      Maturity has been extended under the terms of a plan of reorganization.  
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $2,242,370,975 or 15.1% of net assets.      
  ABS      Asset-Backed Securities  
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.     
  EMTN      Euro Medium Term Note  
  FHLMC      Federal Home Loan Mortgage Corp.  
  GMTN      Global Medium Term Note  
  GO      General Obligation  
  MTN      Medium Term Note  
  PIK      Payment-in-Kind  
  REITs      Real Estate Investment Trusts  
  AUD      Australian Dollar  
  BRL      Brazilian Real  
  CAD      Canadian Dollar  
  EUR      Euro  
  GBP      British Pound  
  ISK      Icelandic Krona  
  MXN      Mexican Peso  
  NOK      Norwegian Krone  
  NZD      New Zealand Dollar  

 

See accompanying notes to financial statements.

 

33  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

 

Industry Summary at September 30, 2016

 

Treasuries

     26.8 % 

Banking

     7.5   

Technology

     6.4   

Wirelines

     5.7   

Semiconductors & Semiconductor Equipment

     4.7   

Finance Companies

     4.5   

Chemicals

     3.1   

Metals & Mining

     2.9   

Life Insurance

     2.0   

Other Investments, less than 2% each

     33.2   

Short-Term Investments

     4.0   
 

 

 

  

Total Investments

     100.8   

Other assets less liabilities

     (0.8 ) 
 

 

 

  

Net Assets

     100.0 % 
 

 

 

  

Currency Exposure Summary at September 30, 2016

 

United States Dollar

     72.9 % 

Canadian Dollar

     9.3   

New Zealand Dollar

     5.0   

Mexican Peso

     4.6   

Australian Dollar

     3.4   

Norwegian Krone

     2.8   

Other, less than 2% each

     2.8   
 

 

 

  

Total Investments

     100.8   

Other assets less liabilities

     (0.8 ) 
 

 

 

  

Net Assets

     100.0 % 
 

 

 

  

 

See accompanying notes to financial statements.

 

|  34

Table of Contents

Statement of Assets and Liabilities

September 30, 2016

 

ASSETS

  

Investments at cost

   $ 14,996,010,872   

Net unrealized depreciation

     (42,309,655 ) 
 

 

 

  

Investments at value

     14,953,701,217   

Cash

     26,254,117   

Foreign currency at value
(identified cost $2,697,579)

     2,709,060   

Receivable for Fund shares sold

     16,712,682   

Receivable for securities sold

     10,212,773   

Dividends and interest receivable

     168,261,916   

Tax reclaims receivable

     96,383   

Prepaid expenses (Note 7)

     66,969   
 

 

 

  

TOTAL ASSETS

     15,178,015,117   
 

 

 

  

LIABILITIES

  

Payable for securities purchased

     302,784,325   

Payable for Fund shares redeemed

     25,468,916   

Management fees payable (Note 5)

     6,470,760   

Deferred Trustees’ fees (Note 5)

     1,413,395   

Administrative fees payable (Note 5)

     543,913   

Payable to distributor (Note 5d)

     128,669   

Other accounts payable and accrued expenses

     544,634   
 

 

 

  

TOTAL LIABILITIES

     337,354,612   
 

 

 

  

NET ASSETS

   $ 14,840,660,505   
 

 

 

  

NET ASSETS CONSIST OF:

  

Paid-in capital

   $ 14,976,246,948   

Distributions in excess of net investment income

     (133,808,338 ) 

Accumulated net realized gain on investments and foreign currency transactions

     40,775,358   

Net unrealized depreciation on investments and foreign currency translations

     (42,553,463 ) 
 

 

 

  

NET ASSETS

   $ 14,840,660,505   
 

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

  

Institutional Class:

  

Net assets

   $ 10,045,426,848   
 

 

 

  

Shares of beneficial interest

     715,529,831   
 

 

 

  

Net asset value, offering and redemption price per share

   $ 14.04   
 

 

 

  

Retail Class:

  

Net assets

   $ 4,495,996,755   
 

 

 

  

Shares of beneficial interest

     321,828,595   
 

 

 

  

Net asset value, offering and redemption price per share

   $ 13.97   
 

 

 

  

Admin Class shares:

  

Net assets

   $ 185,902,070   
 

 

 

  

Shares of beneficial interest

     13,355,544   
 

 

 

  

Net asset value, offering and redemption price per share

   $ 13.92   
 

 

 

  

Class N shares:

  

Net assets

   $ 113,334,832   
 

 

 

  

Shares of beneficial interest

     8,081,605   
 

 

 

  

Net asset value, offering and redemption price per share

   $ 14.02   
 

 

 

  

 

See accompanying notes to financial statements.

 

35  |

Table of Contents

Statement of Operations

For the Year Ended September 30, 2016

 

INVESTMENT INCOME

  

Interest

   $ 734,750,531   

Dividends

     64,300,905   

Less net foreign taxes withheld

     (875,588 ) 
 

 

 

  
    798,175,848   
 

 

 

  

Expenses

  

Management fees (Note 5)

     84,783,102   

Service and distribution fees (Note 5)

     13,854,414   

Administrative fees (Note 5)

     7,217,873   

Trustees’ fees and expenses (Note 5)

     418,033   

Transfer agent fees and expenses (Notes 5 and 6)

     12,558,694   

Audit and tax services fees

     64,391   

Custodian fees and expenses

     950,872   

Legal fees

     272,747   

Registration fees

     245,265   

Shareholder reporting expenses

     679,498   

Miscellaneous expenses (Note 7)

     473,087   
 

 

 

  

Total expenses

     121,517,976   

Less waiver and/or expense reimbursement (Note 5)

     (896 ) 
 

 

 

  

Net expenses

     121,517,080   
 

 

 

  

Net investment income

     676,658,768   
 

 

 

  

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

  

Net realized gain (loss) on:

  

Investments

     (288,703,491 ) 

Foreign currency transactions

     1,196,997   

Net change in unrealized appreciation (depreciation) on:

  

Investments

     914,032,411   

Foreign currency translations

     1,931,776   
 

 

 

  

Net realized and unrealized gain on investments and foreign currency transactions

     628,457,693   
 

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 1,305,116,461   
 

 

 

  

 

See accompanying notes to financial statements.

 

|  36

Table of Contents

Statement of Changes in Net Assets

 

     Year Ended
September 30, 2016		     Year Ended
September 30, 2015		  

FROM OPERATIONS:

    

Net investment income

   $ 676,658,768      $ 956,689,736   

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

     (287,506,494 )      481,989,097   

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

     915,964,187        (2,911,372,919 ) 
 

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     1,305,116,461        (1,472,694,086 ) 
 

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

    

Net investment income

    

Institutional Class

     (245,533,574 )      (512,255,001 ) 

Retail Class

     (102,678,061 )      (252,624,470 ) 

Admin Class

     (3,770,457 )      (8,089,242 ) 

Class N

     (2,134,874 )      (1,912,703 ) 

Net realized capital gains

    

Institutional Class

     (431,902,062 )      (410,991,876 ) 

Retail Class

     (204,088,780 )      (225,446,461 ) 

Admin Class

     (8,388,507 )      (7,713,407 ) 

Class N

     (3,281,035 )      (1,037,226 ) 
 

 

 

    

 

 

  

Total distributions

     (1,001,777,350 )      (1,420,070,386 ) 
 

 

 

    

 

 

  

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)

     (5,022,677,532 )      (1,987,306,136 ) 
 

 

 

    

 

 

  

Net decrease in net assets

     (4,719,338,421 )      (4,880,070,608 ) 

NET ASSETS

    

Beginning of the year

     19,559,998,926        24,440,069,534   
 

 

 

    

 

 

  

End of the year

   $ 14,840,660,505      $ 19,559,998,926   
 

 

 

    

 

 

  

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME

   $ (133,808,338 )    $ (29,208,524 ) 
 

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

37  |

Table of Contents

Financial Highlights

For a share outstanding throughout each period.

 

     Institutional Class  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		         

Net asset value, beginning of the period

   $ 13.65      $ 15.49      $ 15.09      $ 14.99      $ 13.88     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.56        0.61        0.60        0.69        0.72     

Net realized and unrealized gain (loss)

     0.62        (1.55 )      0.54        0.27        1.24     
 

 

 

  

Total from Investment Operations

     1.18        (0.94 )      1.14        0.96        1.96     
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.29 )      (0.50 )      (0.67 )      (0.86 )      (0.85 )   

Net realized capital gains

     (0.50 )      (0.40 )      (0.07 )      —        —     
 

 

 

  

Total Distributions

     (0.79 )      (0.90 )      (0.74 )      (0.86 )      (0.85 )   
 

 

 

  

Net asset value, end of the period

   $ 14.04      $ 13.65      $ 15.49      $ 15.09      $ 14.99     
 

 

 

  

Total return

     9.17 %      (6.37 )%      7.66 %      6.51 %      14.52 %   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 10,045,427      $ 12,966,991      $ 15,488,726      $ 12,997,813      $ 12,971,639     

Net expenses

     0.66 %      0.64 %      0.63 %      0.63 %      0.63 %   

Gross expenses

     0.66 %      0.64 %      0.63 %      0.63 %      0.63 %   

Net investment income

     4.21 %      4.17 %      3.85 %      4.57 %      4.99 %   

Portfolio turnover rate

     13 %      22 %      26 %      28 %      20 %   

 

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

 

See accompanying notes to financial statements.

 

|  38

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Retail Class  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		         

Net asset value, beginning of the period

   $ 13.59      $ 15.43      $ 15.02      $ 14.93      $ 13.83     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.53        0.57        0.55        0.65        0.68     

Net realized and unrealized gain (loss)

     0.61        (1.55 )      0.56        0.25        1.23     
 

 

 

  

Total from Investment Operations

     1.14        (0.98 )      1.11        0.90        1.91     
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.26 )      (0.46 )      (0.63 )      (0.81 )      (0.81 )   

Net realized capital gains

     (0.50 )      (0.40 )      (0.07 )      —        —     
 

 

 

  

Total Distributions

     (0.76 )      (0.86 )      (0.70 )      (0.81 )      (0.81 )   
 

 

 

  

Net asset value, end of the period

   $ 13.97      $ 13.59      $ 15.43      $ 15.02      $ 14.93     
 

 

 

  

Total return

     8.86 %      (6.58 )%      7.40 %      6.15 %      14.25 %   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 4,495,997      $ 6,268,878      $ 8,627,288      $ 8,282,010      $ 8,651,794     

Net expenses

     0.91 %      0.89 %      0.91 %      0.92 %      0.92 %   

Gross expenses

     0.91 %      0.89 %      0.91 %      0.92 %      0.92 %   

Net investment income

     3.97 %      3.91 %      3.58 %      4.28 %      4.69 %   

Portfolio turnover rate

     13 %      22 %      26 %      28 %      20 %   

 

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

 

See accompanying notes to financial statements.

 

39  |

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Admin Class  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		         

Net asset value, beginning of the period

   $ 13.54      $ 15.38      $ 14.98      $ 14.89      $ 13.80     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.49        0.53        0.51        0.61        0.63     

Net realized and unrealized gain (loss)

     0.62        (1.55 )      0.55        0.25        1.23     
 

 

 

  

Total from Investment Operations

     1.11        (1.02 )      1.06        0.86        1.86     
 

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.23 )      (0.42 )      (0.59 )      (0.77 )      (0.77 )   

Net realized capital gains

     (0.50 )      (0.40 )      (0.07 )      —        —     
 

 

 

  

Total Distributions

     (0.73 )      (0.82 )      (0.66 )      (0.77 )      (0.77 )   
 

 

 

  

Net asset value, end of the period

   $ 13.92      $ 13.54      $ 15.38      $ 14.98      $ 14.89     
 

 

 

  

Total return

     8.64 %      (6.89 )%      7.15 %      5.88 %      13.91 %   

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 185,902      $ 239,088      $ 292,668      $ 272,181      $ 302,018     

Net expenses

     1.16 %      1.14 %      1.17 %      1.18 %      1.20 %   

Gross expenses

     1.16 %      1.14 %      1.17 %      1.18 %      1.20 %   

Net investment income

     3.72 %      3.67 %      3.32 %      4.02 %      4.42 %   

Portfolio turnover rate

     13 %      22 %      26 %      28 %      20 %   

 

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

 

See accompanying notes to financial statements.

 

|  40

Table of Contents

Financial Highlights – continued

For a share outstanding throughout each period.

 

     Class N  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Period Ended
September 30,
2013*		         

Net asset value, beginning of the period

   $ 13.64      $ 15.48      $ 15.07      $ 15.33     
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.57        0.63        0.59        0.47     

Net realized and unrealized gain (loss)

     0.61        (1.56 )      0.57        (0.25 )   
 

 

 

  

Total from Investment Operations

     1.18        (0.93 )      1.16        0.22     
 

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.30 )      (0.51 )      (0.68 )      (0.48 )   

Net realized capital gains

     (0.50 )      (0.40 )      (0.07 )      —     
 

 

 

  

Total Distributions

     (0.80 )      (0.91 )      (0.75 )      (0.48 )   
 

 

 

  

Net asset value, end of the period

   $ 14.02      $ 13.64      $ 15.48      $ 15.07     
 

 

 

  

Total return

     9.18 %      (6.31 )%      7.79 %      1.45 %(b)(c)   

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 113,335      $ 85,042      $ 31,387      $ 241     

Net expenses

     0.58 %      0.57 %      0.58 %(d)      0.65 %(e)(f)   

Gross expenses

     0.58 %      0.57 %      0.58 %(d)      2.14 %(e)   

Net investment income

     4.28 %      4.33 %      3.80 %      4.73 %(e)   

Portfolio turnover rate

     13 %      22 %      26 %      28 %   

 

* From commencement of Class operations on February 1, 2013 through September 30, 2013.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Periods less than one year are not annualized.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Includes fee/expense recovery of 0.01%.
(e) Computed on an annualized basis for periods less than one year.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

41  |

Table of Contents

Notes to Financial Statements

September 30, 2016

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

The Fund is a diversified investment company.

The Fund offers Institutional Class, Retail Class, Admin Class and Class N shares.

Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-1 fee. Admin Class shares are primarily intended for employer-sponsored retirement plans and are offered exclusively through intermediaries. Class N shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with no initial minimum investment to certain retirement plans held in an omnibus fashion and fund of funds that are distributed by NGAM Distribution, L.P. (“NGAM Distribution”) and with an initial minimum investment of $1,000,000 to other categories of investors. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus.

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

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

 

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

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

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

 

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prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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

As of September 30, 2016, securities held by the Fund were fair valued as follows:

 

Securities
classified as
fair valued		   Percentage of
Net Assets		   Securities fair
valued by the
Fund’s adviser		   Percentage of
Net Assets
$349,009,806   2.4%   $53,629,656   0.4%

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

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

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

 

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September 30, 2016

 

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

For the year ended September 30, 2016, the amount of income available to be distributed by the Fund has been reduced by $498,037,452 as a result of losses arising from changes in exchange rates.

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

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

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

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

 

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There were no when-issued or delayed delivery securities held by the Fund as of September 30, 2016.

e.  Federal and Foreign Income Taxes. The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of September 30, 2016 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

f.  Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency transactions, defaulted and/or non-income producing securities, distribution re-designations, basis tracking from corporate actions, contingent payment debt instruments, premium amortization, convertible bonds, paydown gains and losses, return of capital and capital gain distributions received and trust preferred securities. Permanent book and tax basis differences relating to shareholder distributions will result in

 

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September 30, 2016

 

reclassifications to capital accounts reported on the Statement of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, convertible bonds, defaulted and/or non-income producing securities, return of capital distributions received, trust preferred securities, corporate actions and contingent payment debt instruments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Fund’s fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2016 and 2015 were as follows:

 

2016 Distributions Paid From:

  

2015 Distributions Paid From:

Ordinary
Income

  

Long-Term
Capital Gains

  

Total

  

Ordinary
Income

  

Long-Term
Capital Gains

  

Total

$363,139,491   $638,637,859   $1,001,777,350   $776,328,389   $643,741,997   $1,420,070,386

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

As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:

 

Undistributed ordinary income

   $ 35,943,818   

Undistributed long-term capital gains

     139,351,343   
 

 

 

  

Total undistributed earnings

     175,295,161   
 

 

 

  

Unrealized depreciation

     (291,083,978 ) 
 

 

 

  

Total accumulated losses

   $ (115,788,817 ) 
 

 

 

  

As of September 30, 2016, unrealized appreciation (depreciation) on a tax basis was as follows:

 

Unrealized appreciation (depreciation)

  

Investments

   $ 462,174,586   

Foreign currency translations

     (753,258,564 ) 
 

 

 

  

Total unrealized depreciation

   $ (291,083,978 ) 
 

 

 

  

g.  Repurchase Agreements. The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a

 

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segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2016, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statement of Assets and Liabilities for financial reporting purposes.

h.  Securities Lending. The Fund has entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of the collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent.

For the year ended September 30, 2016, the Fund did not loan securities under this agreement.

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

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

 

  •  

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

 

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September 30, 2016

 

 

  •  

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

 

  •  

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

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

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

 

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The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2016, at value:

Asset Valuation Inputs

 

Description

   Level 1     Level 2     Level 3     Total  

Bonds and Notes

        

Non-Convertible Bonds

        

ABS Other

   $ —      $ 14,471,213      $ 43,204,647 (b)    $ 57,675,860   

Airlines

     —        199,144,408        114,908 (c)      199,259,316   

Chemicals

     —        376,233,139        16,637,790 (d)      392,870,929   

Finance Companies

     3,469,133        653,756,300        —        657,225,433   

Metals & Mining

     —        337,868,960        3,383 (d)      337,872,343   

Transportation Services

     —        13,856,040        21,484,700 (d)      35,340,740   

All Other Non-Convertible Bonds(a)

     —        9,527,722,586        —        9,527,722,586   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Non-Convertible Bonds

     3,469,133        11,123,052,646        81,445,428        11,207,967,207   
 

 

 

    

 

 

    

 

 

    

 

 

  

Convertible Bonds(a)

     —        1,072,140,713        —        1,072,140,713   

Municipals(a)

     —        221,951,064        —        221,951,064   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Bonds and Notes

     3,469,133        12,417,144,423        81,445,428        12,502,058,984   
 

 

 

    

 

 

    

 

 

    

 

 

  

Senior Loans

        

Wirelines

     —        2,548,975        18,283,003 (c)      20,831,978   

All Other Senior Loans(a)

     —        206,183,018        —        206,183,018   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Senior Loans

     —        208,731,993        18,283,003        227,014,996   
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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September 30, 2016

 

Asset Valuation Inputs – continued

 

Description

   Level 1     Level 2     Level 3     Total  

Common Stocks

        

Internet Software & Services

   $ —      $ —      $ 1,111,539 (d)    $ 1,111,539   

Oil, Gas & Consumable Fuels(e)

     58,764,083        —        727,560 (d)      59,491,643   

All Other Common Stocks(a)

     1,311,315,167        —        —        1,311,315,167   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Common Stocks

     1,370,079,250        —        1,839,099        1,371,918,349   
 

 

 

    

 

 

    

 

 

    

 

 

  

Preferred Stocks

        

Convertible Preferred Stocks

        

Midstream

     11,705,961        51,412,073        —        63,118,034   

REITs—Mortgage

     —        2,859,029        —        2,859,029   

All Other Convertible Preferred Stocks(a)

     156,581,532        —        —        156,581,532   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Convertible Preferred Stocks

     168,287,493        54,271,102        —        222,558,595   
 

 

 

    

 

 

    

 

 

    

 

 

  

Non-Convertible Preferred Stocks

        

Electric

     1,268,532        717,149        —        1,985,681   

REITs—Office Property

     —        2,972,835        —        2,972,835   

REITs—Warehouse/Industrials

     —        10,964,329        —        10,964,329   

All Other Non-Convertible Preferred Stocks(a)

     11,537,984        —        —        11,537,984   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Non-Convertible Preferred Stocks

     12,806,516        14,654,313        —        27,460,829   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Preferred Stocks

     181,094,009        68,925,415        —        250,019,424   
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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Asset Valuation Inputs – continued

 

Description

   Level 1     Level 2     Level 3     Total  

Closed-End Investment Companies

   $ 3,779,144      $ —      $ —      $ 3,779,144   

Warrants

     —        —        102,811 (d)      102,811   

Short-Term Investments

     —        598,807,509        —        598,807,509   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,558,421,536      $ 13,293,609,340      $ 101,670,341      $ 14,953,701,217   
 

 

 

    

 

 

    

 

 

    

 

 

  

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

(b) Valued using broker-dealer bid prices ($29,642,774) and fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($13,561,873).

(c) Valued using broker-dealer bid prices.

(d) Fair valued by the Fund’s adviser.

(e) Includes a security fair valued at zero using Level 3 inputs.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2015 and/or September 30, 2016:

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
September 30,
2015		     Accrued
Discounts
(Premiums)		     Realized Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Other

   $ 75,947,254      $ —      $ 12,967      $ (28,639,049 )    $ 464,794   

Airlines

     376,513        —        68,740        (87,649 )      —   

Chemicals

     —        419,374        —        (9,105,142 )      —   

Metals & Mining

     2,706,093        109,722        —        (2,812,432 )      —   

Non-Agency Commercial Mortgage-Backed Securities

     39,002,217        —        —        —        —   

Oil Field Services

     4,760,920        —        —        —        —   

Retailers

     15,663,313        —        —        —        —   

Transportation Services

     24,921,569        —        792,707        (999,988 )      —   

Senior Loans

          

Wirelines

     —        15,552        —        (942,665 )      —   

Common Stocks

          

Internet Software & Services

     —        —        —        (1,527,862 )      2,639,401   

Oil, Gas & Consumable Fuels

     —        —        —        (2,223,432 )      2,950,992   

Warrants

     —        —        —        102,811        —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 163,377,879      $ 544,648      $ 874,414      $ (46,235,408 )    $ 6,055,187   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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Notes to Financial Statements – continued

September 30, 2016

 

Asset Valuation Inputs – continued

 

Investments in Securities –
continued

   Sales     Transfers
into
Level 3		     Transfers out
of
Level 3		     Balance as
of September 30,
2016		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held
at September 30,
2016		  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Other

   $ (4,581,319 )    $ —      $ —      $ 43,204,647      $ (29,854,066 ) 

Airlines

     (807,512 )      941,329        (376,513 )      114,908        (87,649 ) 

Chemicals

     —        25,323,558        —        16,637,790        (9,105,142 ) 

Metals & Mining

     —        —        —        3,383        (2,812,432 ) 

Non-Agency Commercial Mortgage-Backed Securities

     —        —        (39,002,217 )      —        —   

Oil Field Services

     —        —        (4,760,920 )      —        —   

Retailers

     —        —        (15,663,313 )      —        —   

Transportation Services

     (3,229,588 )      —        —        21,484,700        (124,460 ) 

Senior Loans

          

Wirelines

     —        19,210,116        —        18,283,003        (942,665 ) 

Common Stocks

          

Internet Software & Services

     —        —        —        1,111,539        (1,527,862 ) 

Oil, Gas & Consumable Fuels

     —        —        —        727,560 (a)     (2,223,432 ) 

Warrants

     —        —        —        102,811        102,811   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (8,618,419 )    $ 45,475,003      $ (59,802,963 )    $ 101,670,341      $ (46,574,897 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

(a) Includes a security fair valued at zero using Level 3 inputs.

Debt securities valued at $941,329 were transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

Debt securities valued at $39,378,730 were transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At September 30, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

 

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Notes to Financial Statements – continued

September 30, 2016

 

Debt securities valued at $25,323,558 were transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

Debt securities valued at $20,424,233 were transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the securities. At September 30, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $19,210,116 was transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

All transfers are recognized as of the beginning of the reporting period.

4.  Purchases and Sales of Securities. For the year ended September 30, 2016, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $873,291,787 and $5,717,233,608, respectively. Purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) were $1,174,440,429 and $1,460,692,728, respectively.

5.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to the Fund. Under the terms of the management agreement, the Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:

 

Percentage of Average Daily Net Assets  
First
$3 billion		     Next
$12 billion		     Next
$10 billion		     Over
$25 billion		  
  0.60%        0.50%        0.49%        0.48%   

Loomis Sayles has given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. This

 

|  54

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

undertaking is in effect until January 31, 2017, may be terminated before then only with the consent of the Fund’s Board of Trustees and is reevaluated on an annual basis. Management fees payable, as reflected on the Statement of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to this undertaking. Waivers/reimbursements that exceed management fees payable are reflected on the Statement of Assets and Liabilities as receivable from investment adviser.

For the year ended September 30, 2016, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:

 

Expense Limit as a Percentage of Average Daily Net Assets  
Institutional
Class		   Retail
Class		     Admin
Class		     Class N  
0.70%     0.95%        1.20%        0.65%   

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

For the year ended September 30, 2016, the management fees for the Fund were $84,783,102 (effective rate of 0.52% of average daily net assets).

No expenses were recovered during the year ended September 30, 2016 under the terms of the expense limitation agreement.

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

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

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted Distribution Plans relating to the Fund’s Retail Class shares (the “Retail Class Plan”) and Admin Class shares (the “Admin Class Plan”).

Under the Retail Class Plan, the Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Retail Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Retail Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions,

 

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Notes to Financial Statements – continued

September 30, 2016

 

asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

Under the Admin Class Plan, the Fund pays NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Admin Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sales of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

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

For the year ended September 30, 2016, the service and distribution fees for the Fund were as follows:

 

Service Fees

   Distribution Fees  
Admin
Class		   Retail
Class		     Admin
Class		  
$533,263     $12,787,888        $533,263   

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

For the year ended September 30, 2016, the administrative fees for the Fund were $7,217,873.

d.  Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Fund and has agreed to compensate the

 

|  56

Table of Contents

Notes to Financial Statements – continued

September 30, 2016

 

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

For the year ended September 30, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $12,131,665.

As of September 30, 2016, the Fund owes NGAM Distribution $128,669 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).

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

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

 

57  |

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Notes to Financial Statements – continued

September 30, 2016

 

Prior to January 1, 2016, the Chairperson of the Board received a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $130,000. The chairperson of the Governance Committee received an additional retainer fee at the annual rate of $5,000. All other Trustee fees remained unchanged.

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

f.   Affiliated Ownership. As of September 30, 2016, Loomis Sayles Funded Pension Plan and Trust and Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of the Fund representing 0.08% and 0.22% of the Fund’s net assets, respectively.

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

g.  Reimbursement of Transfer Agent Fees and Expenses. NGAM Advisors had given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking was in effect through January 31, 2016 and is not subject to recovery under the expense limitation agreement described above.

For the period October 1, 2015 through January 31, 2016, NGAM Advisors reimbursed the Fund $896 for transfer agency expenses related to Class N shares.

6.  Class-Specific Transfer Agent Fees and Expenses. For the year ended September 30, 2016, the Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

Transfer Agent Fees and Expenses  
Institutional
Class		   Retail Class     Admin
Class		     Class N  
$8,447,037     $3,944,114        $164,684        $2,859   

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

 

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Notes to Financial Statements – continued

September 30, 2016

 

7.  Line of Credit. Effective April 14, 2016, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time) subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statement of Operations. The unamortized balance is reflected as prepaid expenses on the Statement of Assets and Liabilities.

Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). Interest was charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended September 30, 2016, the Fund had no borrowings under these agreements.

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

 

59  |

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Notes to Financial Statements – continued

September 30, 2016

 

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

 

    Year Ended
September 30, 2016		     Year Ended
September 30, 2015		  
Institutional Class   Shares     Amount     Shares     Amount  

Issued from the sale of shares

     160,180,222      $ 2,127,904,277        246,690,367      $ 3,644,602,280   

Issued in connection with the reinvestment of distributions

     47,619,624        617,686,160        56,771,737        833,303,917   

Redeemed

     (442,133,934 )      (5,869,449,395 )      (353,219,966 )      (5,125,809,847 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (234,334,088 )    $ (3,123,858,958 )      (49,757,862 )    $ (647,903,650 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
Retail Class                        

Issued from the sale of shares

     42,787,867      $ 566,015,340        104,527,961      $ 1,544,181,465   

Issued in connection with the reinvestment of distributions

     23,387,521        301,525,815        31,828,665        465,533,479   

Redeemed

     (205,716,845 )      (2,732,824,450 )      (234,276,979 )      (3,391,871,683 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (139,541,457 )    $ (1,865,283,295 )      (97,920,353 )    $ (1,382,156,739 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
Admin Class                        

Issued from the sale of shares

     2,197,113      $ 29,050,927        4,705,090      $ 69,390,142   

Issued in connection with the reinvestment of distributions

     903,959        11,602,619        1,038,776        15,140,337   

Redeemed

     (7,399,879 )      (98,569,951 )      (7,121,582 )      (103,449,460 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     (4,298,807 )    $ (57,916,405 )      (1,377,716 )    $ (18,918,981 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
Class N                        

Issued from the sale of shares

     3,139,426      $ 41,893,559        5,127,053      $ 74,872,446   

Issued in connection with the reinvestment of distributions

     413,778        5,369,820        199,677        2,908,708   

Redeemed

     (1,707,652 )      (22,882,253 )      (1,118,321 )      (16,107,920 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change

     1,845,552      $ 24,381,126        4,208,409      $ 61,673,234   
 

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

     (376,328,800 )    $ (5,022,677,532 )      (144,847,522 )    $ (1,987,306,136 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

|  60

Table of Contents

Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds Trust I and Shareholders of Loomis Sayles Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Bond Fund, a series of Loomis Sayles Funds Trust I (the “Fund”) at September 30, 2016, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

 

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2016 U.S. Tax Distribution Information to

Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2016, 18.96% of dividends distributed by Bond Fund qualify for the dividends received deduction for corporate shareholders.

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the Bond Fund designated $638,637,859 as capital gains distributions for the fiscal year ended September 30, 2016, unless subsequently determined to be different.

Qualified Dividend Income. For the fiscal year ended September 30, 2016, the Bond Fund will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2016, complete information will be reported in conjunction with Form 1099-DIV.

 

|  62

Table of Contents

Trustee and Officer Information

As of 9/30/16

 

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Fund’s Statement of Additional Information includes additional information about the trustees of the Trust and are available by calling Loomis Sayles Funds at 800-633-3330.

 

Name and Year of Birth   Position(s) Held
with the Trust,
Length of Time
Served and
Term of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES    

Kenneth A. Drucker

(1945)

  

Trustee since 2008

Chairperson of the Audit Committee

and Governance Committee Member

   Retired  

44

None

   Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)
Edmond J. English (1953)  

Trustee since 2013

Audit Committee Member

   Chief Executive Officer of Bob’s Discount Furniture (retail)  

44

Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)

   Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia

(1951)

  

Trustee since 2015

Audit Committee Member

   Retired; formerly Vice President and Treasurer of Raytheon Company (defense)  

44

None

   Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

 

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held
with the Trust,
Length of Time
Served and
Term of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES – continued    

Wendell J. Knox

(1948)

  

Trustee since 2009

Contract Review Committee

Member

and Governance Committee Member

   Director of Abt Associates Inc. (research and consulting)  

44

Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)

   Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)
Martin T. Meehan (1956)  

Trustee since 2012

Contract Review Committee Member

   President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell  

44

None

   Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

 

|  64

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held
with the Trust,
Length of Time
Served and
Term of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES – continued    

Sandra O. Moose

(1942)

  

Chairperson of the Board of Trustees since November 2005

Trustee since 2003

Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee

   President, Strategic Advisory Services (management consulting)  

44

Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)

   Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo

(1955)

  

Trustee since 2016

Contract Review Committee Member

   Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation  

44

None

   Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri

(1958)

  

Trustee since 2009

Audit Committee

Member

   Professor of Finance at Babson College  

44

None

   Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

 

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held
with the Trust,
Length of Time
Served and
Term of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INDEPENDENT TRUSTEES – continued    

Peter J. Smail

(1952)

  

Trustee since 2009

Chairperson of the Contract Review Committee

and Governance Committee Member

   Retired  

44

None

   Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker

(1956)

  

Trustee since 2005

Chairperson of the Governance Committee and Contract Review Committee Member

   Deputy Dean for Finance and Administration, Yale University School of Medicine  

44

None

   Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)
INTERESTED TRUSTEES    

Kevin P. Charleston3

(1965)

One Financial Center

Boston, MA 02111

  

Trustee since 2015

President and Chief Executive Officer of Loomis Sayles Funds I since 2015

   President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.  

44

None

   Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.
David L. Giunta4
(1965)		  

Trustee since 2011

Executive Vice President since 2008

   President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

 

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held
with the Trust,
Length of Time
Served and
Term of Office1		   Principal
Occupation(s)
During Past 5 Years		   Number of
Portfolios in
Fund Complex
Overseen2 and
Other
Directorships Held
During Past 5 Years		   Experience,
Qualifications,
Attributes, Skills
for Board
Membership
INTERESTED TRUSTEES – continued    

John T. Hailer5

(1960)

   Trustee since 2003   President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

 

1 

Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

 

2 

The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”) and Natixis ETF Trust (collectively, the “Fund Complex”).

 

3 

Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

 

4 

Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

 

5

Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

 

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Trustee and Officer Information – continued

 

Name and Year of Birth   Position(s) Held with
the Trust		   Term of Office1 and
Length of Time Served		   Principal Occupation(s)
During Past 5 Years2
OFFICERS OF THE TRUST  

Daniel J. Fuss

(1933)

One Financial Center

Boston, MA 02111

   Executive Vice President   Since June 2003   Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane

(1969)

   Secretary, Clerk and Chief Legal Officer   Since July 2016   Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok

(1959)

   Treasurer, Principal Financial and Accounting Officer   Since October 2004   Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux

(1976)

   Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer   Since July 2016   Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

 

1 

Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

 

2 

Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Mr. Fuss is not an officer of the Natixis Funds Trusts. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

 

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ANNUAL REPORT

September 30, 2016

LOGO

 

Loomis Sayles High Income Fund

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Limited Term Government

and Agency Fund

 

LOGO

 

 

TABLE OF CONTENTS

Portfolio Review  page 1

Portfolio of Investments  page 20

Financial Statements  page  59

Notes to Financial Statements  page 73

Table of Contents

LOOMIS SAYLES HIGH INCOME FUND

 

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

 

 

Investment Goal

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

 

 

Market Conditions

In the beginning of the period, the Federal Reserve (Fed) raised interest rates for the first time since June 2006. This led to modest losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets and riskier assets rebounded strongly. Volatility spiked temporarily in June following the U.K. referendum vote to leave the European Union (EU), but conditions were generally calm for the remainder of the period. Fixed-income markets finished the period on a positive note and added to full-year gains.

After declining through mid-February, U.S. high yield became a sought-after asset. The sector rewarded investors by producing strong and steady gains with minimal volatility. Spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) are trading inside the long-term average, but remain above the lows of 2014. Lower-quality credits and cyclical sectors outperformed during the period as the search for yield presses onward.

Investment-grade corporate bonds also performed well during the one-year period, bouncing back from the lows experienced during the fourth quarter of 2015. The sector’s longer duration (price sensitivity to interest rate changes) was a positive tailwind as longer-maturity yields declined. Overall returns were positive across all sectors, with cyclical sectors and energy performing well during the second half of the period.

For roughly the first half of the period, the U.S. dollar continued to strengthen against most major global currencies. But the Fed struck a more dovish tone early in 2016, and this contributed to a pause in the dollar bull market. A more stable dollar supported currencies —particularly those in the emerging markets — that suffered during the dollar’s ascent. The recovery in oil prices also helped ease the strain on commodity-related currencies.

Performance Results

For the 12 months ended September 30, 2016, Class A shares of Loomis Sayles High Income Fund returned 10.66%. The fund underperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 12.73%.

Explanation of Fund Performance

High yield industrial securities were top contributors to the fund’s relative performance due to industry and security selection. In particular, basic industry and energy holdings

 

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performed well. High yield utilities also aided relative return and outperformed duration-matched Treasuries (Treasuries with similar duration, or price sensitivity to interest rate changes). In addition, out-of-benchmark exposure to Yankee (U.S. dollar-denominated bonds issued by a non-U.S. entity) government-related securities lifted performance.

Out-of-benchmark exposure to non-U.S.-dollar-denominated holdings weighed on relative performance. In particular, securities denominated in the Mexican peso detracted, as the peso hit an all-time low versus the U.S. dollar in mid-September. U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-U.S.-dollar-denominated holdings during the period. During the period the Fund’s distributions were reduced to reflect the realization of currency losses from certain bond sales and maturities. In addition, our position in convertible securities detracted from results. Despite generating a positive absolute return, the allocation lagged on a relative basis due to a selected holding in the transportation industry. Our cash and reserve positions lagged the strongly rising high yield market in the second half of the period and hindered results. Out-of-benchmark positions in residential mortgage-backed securities (RMBS), asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) posted positive absolute returns but detracted on a relative basis. An underweight allocation to the lowest-quality high yield bonds also detracted from performance.

Outlook

Our outlook for the U.S. and global economies remains positive, with expectations for better growth momentum through the end of the year. In the U.S., we expect steady gains in employment, increased bank lending and stronger consumer confidence to support Gross Domestic Product (GDP) growth. The global economy is facing more headwinds but should experience modestly stronger growth next year, led by a healthier U.S. economy and still-accommodative global central bank policies.

Inflation expectations remain low. However, U.S. inflation is showing signs of acceleration and recent economic data have been favorable. We think the Fed is likely to raise rates in December if market conditions remain stable.

Oil prices are likely to be range-bound over the short term as elevated supply should be countered by OPEC’s expected production cut in November. We remain constructive on intermediate- to longer-term oil prices and expect that supply and demand will adjust.

We expect low global yields to continue supporting flows into U.S. credit, but at a more modest pace. In this environment, we intend to maintain a yield cushion in our portfolios through exposure to corporate bonds. Credit fundamentals have been stable, reflecting a slowly improving U.S. economy. However, downside risks — including slowing profit growth, rising leverage and free cash flow approaching peak levels — are increasing as we move further into the late stage of the credit cycle.1 Despite these risks, we believe the current phase of the credit cycle can continue for some time, and we do not expect a significant increase in corporate defaults in 2017.

Within credit, we favor the investment-grade financials, technology and energy sectors. We are also biased to higher-quality high yield. Convertible bonds continue to look attractive, and our focus has shifted from equity-sensitive convertibles to more balanced and credit-sensitive issues. We believe these securities offer yield and upside potential with more limited downside risk.

 

 

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LOOMIS SAYLES HIGH INCOME FUND

 

The Fed’s slow and cautious approach has helped keep the U.S. dollar range-bound against major currencies. Over the long term, improving global growth and further stability in commodities could support non-U.S.-dollar-denominated bonds. We are beginning to see more divergence in emerging market country fundamentals and political backdrops, which could expand potential relative value opportunities. We intend to maintain our current positions, which we believe represent long-term value, but are cautious on further exposure until we get better clarity on some of these evolving macro trends.

Risks include growing geopolitical risks, a prolonged period of low economic growth, declining corporate profit expectations and a shift to downturn in the U.S. credit cycle. Looking ahead, we remain focused on careful security selection using fundamental credit analysis. We intend to build on our key investment themes of yield and diversification, using our reserve allocation during periods of extreme short-term market dislocation to potentially add long-term value.

Since early 2015, monthly or quarterly ordinary income distributions for certain Loomis Sayles-managed fixed-income funds have been below historic averages. This is primarily due to the impact of foreign currency losses. Fund officers have analyzed the fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2017. Based on this analysis, fund officers believe that realized currency losses may have a less significant impact on this fund’s distributions in the 2017 fiscal year. As a result, the distribution amount may improve going forward. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates and the net asset level of the fund. Changes to these assumptions could impact the analysis and the amounts of future fund distributions.

 

1 

A credit cycle is a cyclical pattern that follows credit availability and corporate health.

 

 

Hypothetical Growth of $10,000 Investment in Class A Shares4

September 30, 2006 through September 30, 2016

 

LOGO

 

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Average Annual Total Returns — September 30, 20164

 

         
                       Expense Ratio5  
     1 Year     5 Years     10 Years     Gross     Net  
     
Class A (Inception 2/22/84)            
NAV     10.66 %      7.98 %      6.37 %      1.13 %      1.10 % 
With 4.25% Maximum Sales Charge     5.88        7.03        5.90         
     
Class C (Inception 3/2/98)            
NAV     9.81        7.16        5.58        1.88 %      1.85 % 
With CDSC2     8.81        7.16        5.58         
     
Class Y (Inception 2/29/08)1            
NAV     10.98        8.22        6.59        0.88 %      0.85 % 
   
Comparative Performance            
Bloomberg Barclays U.S. Corporate High-Yield Bond Index3     12.73        8.34        7.71                   

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

 

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

 

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

 

3 Bloomberg Barclays U.S. Corporate High-Yield Bond Index is an unmanaged index that covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market.

 

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

 

5 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

 

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Table of Contents

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

 

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

 

 

Investment Goal

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

 

 

Market Conditions

Investment-grade corporate bonds performed well during the one-year period, bouncing back from the lows experienced during the fourth quarter of 2015. The sector’s longer duration (greater price sensitivity to interest rate changes) was a positive tailwind, as longer-maturity yields declined. Overall returns were positive across all sectors, with cyclical sectors and energy performing well during the second half of the period.

Yields on securitized assets generally followed U.S. Treasury yields lower, resulting in a positive total return for the sector. The Federal Reserve (the Fed) still owns $1.7 trillion worth of mortgage-backed securities (MBS) and remains a powerful force in that market as principal payments from matured securities are reinvested.

At the start of the first quarter, the Fed projected four rate hikes during 2016. Yet as of September 30, there had been no increases and markets anticipated only one 25 basis point hike before year-end. The Fed consistently lowered economic projections throughout 2016, which removed some of the upward pressure on U.S. Treasury yields.

Performance Results

For the 12 months ended September 30, 2016, Class A shares of Loomis Sayles Intermediate Duration Bond Fund returned 3.64%. The fund outperformed its benchmark, the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index, which returned 3.52%.

Explanation of Fund Performance

Overall, the fund’s investment-grade holdings generated positive absolute and relative return during the period. Within the space, the industrial and financial sectors contributed the most on a relative basis, primarily due to security selection. Specifically, energy and banking names aided results. In addition, the fund’s exposure to non-agency securitized credit contributed to absolute return and had a significant impact on relative performance. In particular, commercial mortgage-backed securities (CMBS) added to returns. We continued to focus on top-tranche, super-senior CMBS, finding opportunities among seasoned and new issues. Asset-backed securities (ABS) also benefited relative results, as we remained focused on low-risk, high-quality issues. Elsewhere, a meaningful underweight to U.S. Treasuries contributed to returns.

Though our overall exposure to investment-grade industrials lifted absolute and relative results, the fund’s underweight position in the sector hampered relative performance.

 

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Similarly, government-related securities contributed to relative performance, but the fund’s underweight position in the sector weighed slightly on results. Elsewhere, security selection among agency collateralized mortgage obligations (CMOs) and agency CMBS detracted modestly from relative performance.

Outlook

We believe one Fed rate hike in the next year is probable, with December being the earliest possibility. However, the Fed may delay the hike until the first half of 2017. We expect global quantitative easing and accommodative monetary policy to anchor yields, which is why we expect to maintain underweight positions in lower-yielding government bonds, favoring spread product (non-Treasury securities) instead.

The fund has a modest overweight position to credit, but we have reduced credit beta (a measure of co-movement of portfolio returns to changes in the market return). We remain focused on security selection, buying new issues with concessions and secondary bonds that offer strong risk-return opportunities. We are also maintaining an overweight to CMBS, particularly senior bonds, and view the sector as an attractive alternative to government markets.

We believe MBS valuations appear full and do not fully compensate for prepayment risk. Accordingly, we are focusing on securities with limited prepayment risk. We also believe the high-quality ABS sector remains attractive relative to government bonds, and we are maintaining our exposure to senior and subordinate debt of prime and subprime issuers.

Overall, we continue to pursue a yield advantage relative to the benchmark. We are monitoring our portfolio and holdings in an effort to avoid undue exposures to macroeconomic events, and we continue to evaluate market events and trading levels for potential opportunities.

 

 

Hypothetical Growth of $10,000 Investment in Class A Shares1,4,5

September 30, 2006 through September 30, 2016

 

LOGO

See notes to chart on page 7.

 

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LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

 

Average Annual Total Returns — September 30, 20164,5

 

         
                       Expense Ratio6  
     1 Year     5 Years     10 Years     Gross     Net  
     
Class A (Inception 1/28/98)1            
NAV     3.64 %      2.84 %      4.71 %      0.71 %      0.65 % 
With 4.25% Maximum Sales Charge     -0.75        1.94        4.25         
     
Class C (Inception 8/31/16)1            
NAV     2.98        2.00        3.75        1.47        1.40   
With CDSC2     1.98        2.00        3.75         
     
Class Y (Inception 5/28/10)1            
NAV     3.90        3.11        4.98        0.47        0.40   
   
Comparative Performance            
Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index3     3.52        2.45        4.17                   

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

 

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

 

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

 

3 Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index is an unmanaged index that includes U.S. Treasuries, government-related issues, and investment grade U.S. corporate securities with remaining maturities of one to ten years.

 

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

 

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

 

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

 

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LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

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

 

 

Investment Goal

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

 

 

Market Conditions

In December 2015, the Federal Reserve (the Fed) raised interest rates for the first time since June 2006. This led to modest short-term losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to the financial markets, and riskier assets rebounded strongly. Volatility spiked temporarily in June, following the U.K. referendum vote to leave the European Union (Brexit), but conditions generally remained calm for the rest of the period. Fixed-income markets ended September with positive 12-month returns.

Early in 2016, the Fed projected it would implement four rate hikes during the year. Yet, as of September 30, the federal funds rate target remained unchanged, and financial markets anticipated only one 25 basis point hike before year-end. The Fed consistently lowered economic projections throughout 2016, which removed some of the upward pressure on U.S. Treasury yields. Yields on securitized assets generally followed U.S. Treasury yields lower, resulting in a positive total return for the sector. The Fed still owns $1.7 trillion worth of mortgage-backed securities (MBS) and remains a powerful force in the mortgage market, reinvesting principal payments from matured securities.

Performance Results

For the 12 months ended September 30, 2016, Class A shares of the Loomis Sayles Limited Term Government and Agency Fund returned 0.93%. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. 1-5 Year Government Bond Index, which returned 1.52%.

Explanation of Fund Performance

Duration (price sensitivity to interest rate changes) and yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) positioning were the largest detractors from relative performance. The yield curve flattened during the period, which weighed on results given the fund’s shorter-than-benchmark duration. Exposure to agency collateralized-mortgage obligations (CMOs) had a muted effect on relative performance, as these securities narrowly lagged duration-matched Treasuries (Treasuries with similar duration, or price sensitivity to interest rate changes). However, agency CMOs contributed to the fund’s absolute return.

 

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LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

 

We maintained a large allocation (in terms of market value) to agency MBS during the period, and these securities were the largest contributors to the fund’s performance. In addition, the fund’s allocation to agency and non-agency commercial mortgage-backed securities (CMBS) also generated positive absolute and relative returns. These bonds considerably outperformed Treasuries on a duration-adjusted basis, which considers a security’s return compared to similar duration Treasuries. Out-of-benchmark exposure to asset-backed securities (ABS) also aided performance, as selected car loans performed particularly well.

Outlook

Agency MBS spreads (the difference in yield between agency MBS and Treasuries of similar maturity) remain narrow relative to history. Additionally, refinancing risk is beginning to increase, as mortgages issued in recent years are of relatively high quality compared with those issued in earlier years. Therefore, we prefer to underweight recently issued 30-year MBS, favoring sectors with less refinance risk, such as low-loan balance mortgages and home equity conversion mortgages. Within the commercial real estate sector, top-tier assets and markets have generally recovered and are at or above prior peak levels. We believe investment grade CMBS remain attractive. We also believe ABS currently offer an attractive combination of strong credit quality and enhanced yield. We favor buying higher-yielding securities and bonds of less-frequent issuers. Our analysis indicates the credit risk of these securities is inefficiently priced, and they offer attractive opportunities for additional yield.

 

 

Hypothetical Growth of $10,000 Investment in Class A Shares3

September 30, 2006 through September 30, 2016

 

LOGO

 

9  |

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Average Annual Total Returns — September 30, 20163

 

         
                       Expense Ratio4  
     1 Year     5 Years     10 Years     Gross     Net  
     
Class A (Inception 1/3/89)            
NAV     0.93 %      1.34 %      3.20 %      0.77 %      0.77 % 
With 2.25% Maximum Sales Charge     -1.37        0.89        2.96         
     
Class C (Inception 12/30/94)            
NAV     0.18        0.59        2.43        1.53        1.53   
With CDSC1     -0.81        0.59        2.43         
     
Class Y (Inception 3/31/94)            
NAV     1.19        1.60        3.47        0.52        0.52   
   
Comparative Performance            
Bloomberg Barclays U.S. 1-5 Year Government Bond Index2     1.52        1.11        2.97                   

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

 

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

 

2 Bloomberg Barclays U.S. 1-5 Year Government Bond Index is an unmanaged index that includes U.S. Treasury and agency securities with remaining maturities of one to five years.

 

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

 

4 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

1623923.1.1

 

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

 

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UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 2016. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

 

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LOOMIS SAYLES HIGH INCOME FUND   BEGINNING
ACCOUNT VALUE
4/1/2016		     ENDING
ACCOUNT VALUE
9/30/2016		     EXPENSES PAID
DURING PERIOD*
4/1/2016 – 9/30/2016		  
Class A        
Actual     $1,000.00        $1,113.30        $5.81   
Hypothetical (5% return before expenses)     $1,000.00        $1,019.50        $5.55   
Class C        
Actual     $1,000.00        $1,108.90        $9.75   
Hypothetical (5% return before expenses)     $1,000.00        $1,015.75        $9.32   
Class Y        
Actual     $1,000.00        $1,115.00        $4.49   
Hypothetical (5% return before expenses)     $1,000.00        $1,020.75        $4.29   

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.10%, 1.85% and 0.85% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

 

LOOMIS SAYLES INTERMEDIATE
DURATION BOND FUND		   BEGINNING
ACCOUNT VALUE
4/1/2016		     ENDING
ACCOUNT VALUE
9/30/2016		     EXPENSES PAID
DURING PERIOD
4/1/2016 – 9/30/2016		  
Class A        
Actual     $1,000.00        $1,023.00        $3.29 1 
Hypothetical (5% return before expenses)     $1,000.00        $1,021.75        $3.29 * 
Class C        
Actual     $1,000.00        $1,000.80        $1.15 2 
Hypothetical (5% return before expenses)     $1,000.00        $1,018.00        $7.06 * 
Class Y        
Actual     $1,000.00        $1,024.30        $2.02 1 
Hypothetical (5% return before expenses)     $1,000.00        $1,023.00        $2.02 * 

 

* Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40% and 0.40% for Class A, C and Y respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

 

1 

Actual expenses for Class A and Y are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65% and 0.40%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

 

2 

Class C commenced operations on August 31, 2016. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.40%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (30), divided by 366 (to reflect the partial period).

 

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LOOMIS SAYLES LIMITED TERM
GOVERNMENT AND AGENCY FUND		   BEGINNING
ACCOUNT VALUE
4/1/2016		     ENDING
ACCOUNT VALUE
9/30/2016		     EXPENSES PAID
DURING PERIOD*
4/1/2016 – 9/30/2016		  
Class A        
Actual     $1,000.00        $1,006.40        $3.91   
Hypothetical (5% return before expenses)     $1,000.00        $1,021.10        $3.94   
Class C        
Actual     $1,000.00        $1,002.60        $7.66   
Hypothetical (5% return before expenses)     $1,000.00        $1,017.35        $7.72   
Class Y        
Actual     $1,000.00        $1,007.60        $2.66   
Hypothetical (5% return before expenses)     $1,000.00        $1,022.35        $2.68   

 

* Expenses are equal to the Fund’s annualized expense ratio: 0.78%, 1.53% and 0.53% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) the Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods,

 

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and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreements at its meeting held in June 2016. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund. In the case of each fund that had performance that lagged that of a relevant peer group median and/or category median for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions by the Adviser that were reasonable and

 

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consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category; (3) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks and/or peer groups; and (4) that the Fund’s performance, although lagging the performance of its category for certain periods, was competitive when compared to relevant benchmarks or peer groups.

The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Funds grow in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for Funds with current expenses above the cap. The Trustees also considered that the Loomis Sayles Limited Term Government and Agency Fund is below the cap.

The Trustees also considered the compensation directly or indirectly received or to be received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about

 

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court cases in which adviser compensation or profitability were issues and the performance of the relevant Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fee charged to each of the Funds was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that each of the Funds was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

 

·  

The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

 

·  

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Funds.

 

·  

The nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services.

 

·  

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

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·  

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2017.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund

 

Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 88.1% of Net Assets   
  Non-Convertible Bonds — 84.9%   
   ABS Home Equity — 1.9%   
$ 300,000       American Homes 4 Rent, Series 2014-SFR1, Class E, 3.031%, 6/17/2031, 144A(b)    $ 294,526   
  124,523       Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033      126,959   
  112,788       Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034      111,724   
  144,445       Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035      147,987   
  216,848       Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.795%, 4/25/2035(b)      170,083   
  111,499       Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 3.068%, 11/20/2035(b)(j)      98,704   
  257,929       DSLA Mortgage Loan, Series 2005-AR5, Class 2A1A, 0.861%, 9/19/2045(b)      189,887   
  250,000       Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 4.775%, 11/25/2023(b)      264,715   
  305,000       Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 3.825%, 10/25/2027(b)      317,172   
  193,906       GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.558%, 7/19/2035(b)      174,679   
  73,490       JPMorgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 2.880%, 3/25/2036(b)      52,178   
  251,332       Lehman Mortgage Trust, Series 2005-3, Class 1A6, 1.025%, 1/25/2036(b)      163,172   
  347,029       MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 3.221%, 3/25/2035(b)      296,313   
  343,311       MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 2.920%, 3/25/2035(b)      266,022   
  68,830       New York Mortgage Trust, Series 2006-1, Class 2A2, 3.005%, 5/25/2036(b)      61,601   
  220,000       Vericrest Opportunity Loan Transferee, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(b)      211,674   
  450,053       WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.943%, 1/25/2047(b)      402,398   
     

 

 

  
        3,349,794   
     

 

 

  
   ABS Other — 0.4%   
  274,940       AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)      264,652   
  62,877       Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A      63,316   
  450,000       Springleaf Funding Trust, Series 2014-AA, Class C, 4.450%, 12/15/2022, 144A      449,316   
     

 

 

  
        777,284   
     

 

 

  
   Aerospace & Defense — 2.8%   
  210,000       Embraer Netherlands Finance BV, 5.050%, 6/15/2025      211,050   
  95,000       Engility Corp., 8.875%, 9/01/2024, 144A      96,188   
  125,000       Huntington Ingalls Industries, Inc., 5.000%, 12/15/2021, 144A      131,250   
  115,000       Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A      121,613   
  770,000       KLX, Inc., 5.875%, 12/01/2022, 144A      796,950   
  1,500,000       Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A      1,470,000   
  900,000       Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A      985,500   

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Aerospace & Defense — continued   
$ 620,000       TransDigm, Inc., 6.000%, 7/15/2022    $ 654,100   
  515,000       TransDigm, Inc., 6.500%, 7/15/2024      542,037   
     

 

 

  
        5,008,688   
     

 

 

  
   Airlines — 0.1%   
  83,956       Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A      85,215   
  119,478       Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A      120,972   
     

 

 

  
        206,187   
     

 

 

  
   Automotive — 1.3%   
  195,000       Allison Transmission, Inc., 5.000%, 10/01/2024, 144A      199,875   
  115,000       Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026      118,306   
  240,000       Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023      250,200   
  700,000       Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A      712,250   
  310,000       Nexteer Automotive Group Ltd., 5.875%, 11/15/2021, 144A      328,600   
  735,000       ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A      771,750   
     

 

 

  
        2,380,981   
     

 

 

  
   Banking — 3.9%   
  1,985,000       Ally Financial, Inc., 4.625%, 3/30/2025      2,034,625   
  485,000       Ally Financial, Inc., 5.750%, 11/20/2025      507,431   
  1,195,000       Commerzbank AG, 8.125%, 9/19/2023, 144A      1,374,848   
  470,000       Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A      428,906   
  895,000       Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A      843,333   
  300,000       Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024      300,318   
  335,000       Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023      349,143   
  1,025,000       Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022      1,086,104   
     

 

 

  
        6,924,708   
     

 

 

  
   Brokerage — 0.3%   
  535,000       Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A      497,550   
     

 

 

  
   Building Materials — 1.5%   
  890,000       Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A      799,887   
  350,000       Cemex SAB de CV, 7.750%, 4/16/2026, 144A      388,325   
  50,000       Masco Corp., 6.500%, 8/15/2032      55,000   
  345,000       Masco Corp., 7.750%, 8/01/2029      412,275   
  245,000       NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A      266,438   
  180,000       U.S. Concrete, Inc., 6.375%, 6/01/2024      186,750   
  555,000       Vulcan Materials Co., 4.500%, 4/01/2025      599,400   
     

 

 

  
        2,708,075   
     

 

 

  
   Cable Satellite — 7.2%   
  795,000       Altice Financing S.A., 6.625%, 2/15/2023, 144A      815,869   
  170,000       Cablevision S.A., 6.500%, 6/15/2021, 144A      177,438   
  475,000       CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023      495,187   
  625,000       CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A      652,344   
  430,000       CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022      449,350   
  15,000       CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024      15,938   

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Cable Satellite — continued   
$ 865,000       CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A    $ 916,900   
  760,000       CSC Holdings LLC, 5.250%, 6/01/2024      722,000   
  75,000       CSC Holdings LLC, 6.750%, 11/15/2021      79,313   
  220,000       CSC Holdings LLC, 10.125%, 1/15/2023, 144A      253,550   
  200,000       CSC Holdings LLC, 10.875%, 10/15/2025, 144A      234,250   
  895,000       DISH DBS Corp., 5.125%, 5/01/2020      928,562   
  1,620,000       DISH DBS Corp., 5.875%, 11/15/2024      1,599,750   
  295,000       DISH DBS Corp., 7.750%, 7/01/2026, 144A      313,437   
  150,000       Sirius XM Radio, Inc., 5.750%, 8/01/2021, 144A      157,050   
  1,485,000       Unitymedia GmbH, 6.125%, 1/15/2025, 144A      1,557,394   
  515,000       Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.000%, 1/15/2025, 144A      521,437   
  265,000       Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A      274,278   
  485,000       Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A      509,250   
  375,000       Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A      383,437   
  595,000       Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A      606,900   
  141,963       Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(c)      142,673   
  840,000       Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A      838,950   
     

 

 

  
        12,645,257   
     

 

 

  
   Chemicals — 0.8%   
  1,510,000       Hercules, Inc., 6.500%, 6/30/2029      1,359,000   
     

 

 

  
   Construction Machinery — 0.5%   
  800,000       United Rentals North America, Inc., 5.750%, 11/15/2024      830,000   
     

 

 

  
   Consumer Cyclical Services — 0.9%   
  455,000       Interval Acquisition Corp., 5.625%, 4/15/2023      469,788   
  1,095,000       ServiceMaster Co. LLC (The), 7.450%, 8/15/2027      1,163,985   
     

 

 

  
        1,633,773   
     

 

 

  
   Consumer Products — 0.2%   
  290,000       Avon International Operations, Inc., 7.875%, 8/15/2022, 144A      299,425   
     

 

 

  
   Electric — 1.7%   
  520,000       AES Corp. (The), 5.500%, 4/15/2025      534,950   
  150,000       AES Corp. (The), 6.000%, 5/15/2026      158,625   
  1,502,000       Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A      1,755,463   
  425,000       NRG Energy, Inc., 6.250%, 7/15/2022      431,375   
  100,000       NRG Energy, Inc., 6.625%, 3/15/2023      101,000   
  8,608       Red Oak Power LLC, Series A, 8.540%, 11/30/2019      8,619   
     

 

 

  
        2,990,032   
     

 

 

  
   Environmental — 0.3%   
  335,000       GFL Environmental, Inc., 7.875%, 4/01/2020, 144A      353,425   
  95,000       GFL Environmental, Inc., 9.875%, 2/01/2021, 144A      104,025   
     

 

 

  
        457,450   
     

 

 

  

 

See accompanying notes to financial statements.

 

|  22

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Finance Companies — 5.5%   
$ 740,000       AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021    $ 774,225   
  685,000       AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 5.000%, 10/01/2021      731,238   
  515,000       Aircastle Ltd., 5.500%, 2/15/2022      554,913   
  600,000       iStar, Inc., 4.000%, 11/01/2017      601,500   
  505,000       iStar, Inc., 5.000%, 7/01/2019      503,677   
  1,015,000       Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A      964,250   
  585,000       Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017      589,388   
  870,000       Navient Corp., 5.000%, 10/26/2020      858,037   
  200,000       Navient Corp., 5.875%, 3/25/2021      199,250   
  435,000       Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A      434,456   
  540,000       Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A      544,725   
  1,335,000       Quicken Loans, Inc., 5.750%, 5/01/2025, 144A      1,324,987   
  1,110,000       Springleaf Finance Corp., 7.750%, 10/01/2021      1,164,112   
  405,000       Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A      403,481   
     

 

 

  
        9,648,239   
     

 

 

  
   Financial Other — 1.3%   
  565,000       Icahn Enterprises LP/Icahn Enterprises Finance Corp, 6.000%, 8/01/2020      567,825   
  695,000       Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019      698,475   
  180,000       Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022      172,800   
  804,000       Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A      816,060   
     

 

 

  
        2,255,160   
     

 

 

  
   Food & Beverage — 1.2%   
  1,800,000       BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)      513,629   
  840,000       Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A      876,750   
  305,000       JBS USA LLC/JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A      299,663   
  20,000       JBS USA LLC/JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A      20,675   
  385,000       Marfrig Holdings Europe BV, 8.000%, 6/08/2023, 144A      393,662   
     

 

 

  
        2,104,379   
     

 

 

  
   Gaming — 1.2%   
  175,000       Boyd Gaming Corp., 6.375%, 4/01/2026, 144A      187,688   
  375,000       GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026      403,125   
  725,000       MGM Resorts International, 6.000%, 3/15/2023      786,625   
  600,000       MGM Resorts International, 6.750%, 10/01/2020      672,000   
     

 

 

  
        2,049,438   
     

 

 

  
   Government Owned – No Guarantee — 2.3%   
  725,000       Petrobras Global Finance BV, 4.875%, 3/17/2020      726,813   
  600,000       Petrobras Global Finance BV, 5.375%, 1/27/2021      593,400   
  530,000       Petrobras Global Finance BV, 6.250%, 3/17/2024      515,425   
  300,000       Petrobras Global Finance BV, 8.375%, 5/23/2021      327,750   
  160,521(††)       Petroleos Mexicanos, 7.190%, 9/12/2024, 144A, (MXN)      764,594   
  129,850(††)       Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)      580,830   
  510,000       YPF S.A., 31.354%, 7/07/2020, 144A(b)      594,150   
     

 

 

  
        4,102,962   
     

 

 

  

 

See accompanying notes to financial statements.

 

23  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Health Insurance — 0.2%   
$ 365,000       Centene Corp., 6.125%, 2/15/2024    $ 396,025   
     

 

 

  
   Healthcare — 4.3%   
  360,000       Amsurg Corp., 5.625%, 7/15/2022      368,100   
  960,000       CHS/Community Health Systems, Inc., 6.875%, 2/01/2022      825,600   
  145,000       Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A      152,250   
  260,000       HCA, Inc., 5.375%, 2/01/2025      268,450   
  170,000       HCA, Inc., 7.050%, 12/01/2027      180,838   
  655,000       HCA, Inc., 7.500%, 12/15/2023      726,231   
  145,000       HCA, Inc., 7.500%, 11/06/2033      157,144   
  590,000       HCA, Inc., 7.690%, 6/15/2025      663,107   
  480,000       HCA, Inc., 8.360%, 4/15/2024      557,318   
  820,000       HCA, Inc., MTN, 7.580%, 9/15/2025      924,550   
  515,000       HCA, Inc., MTN, 7.750%, 7/15/2036      558,131   
  305,000       LifePoint Health, Inc., 5.500%, 12/01/2021      317,963   
  65,000       MEDNAX, Inc., 5.250%, 12/01/2023, 144A      68,331   
  235,000       Team Health, Inc., 7.250%, 12/15/2023, 144A      252,919   
  310,000       Tenet Healthcare Corp., 5.000%, 3/01/2019      303,025   
  675,000       Tenet Healthcare Corp., 6.750%, 6/15/2023      627,750   
  705,000       Tenet Healthcare Corp., 6.875%, 11/15/2031      579,862   
     

 

 

  
        7,531,569   
     

 

 

  
   Home Construction — 1.3%   
  25,000       Beazer Homes USA, Inc., 8.750%, 3/15/2022, 144A      26,375   
  1,200,000       Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(d)(e)(j)      12   
  750,000       K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(e)(f)      525,000   
  800,000       Lennar Corp., 4.750%, 5/30/2025      812,000   
  915,000       TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019      941,306   
  200,000       Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A(d)(e)(j)      2   
  900,000       Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(d)(e)(j)      9   
     

 

 

  
        2,304,704   
     

 

 

  
   Independent Energy — 7.5%   
  1,205,000       Antero Resources Corp., 5.125%, 12/01/2022      1,214,037   
  110,000       Antero Resources Corp., 5.375%, 11/01/2021      111,238   
  685,000       Baytex Energy Corp., 5.625%, 6/01/2024, 144A      558,275   
  370,000       Bonanza Creek Energy, Inc., 5.750%, 2/01/2023      168,350   
  650,000       Bonanza Creek Energy, Inc., 6.750%, 4/15/2021      295,750   
  90,000       California Resources Corp., 5.500%, 9/15/2021      47,700   
  41,000       California Resources Corp., 6.000%, 11/15/2024      19,578   
  140,000       Callon Petroleum Co., 6.125%, 10/01/2024, 144A      144,900   
  153,000       Chesapeake Energy Corp., 4.875%, 4/15/2022      128,903   
  8,000       Chesapeake Energy Corp., 5.750%, 3/15/2023      6,800   
  13,000       Chesapeake Energy Corp., 6.125%, 2/15/2021      11,928   
  34,000       Chesapeake Energy Corp., 6.625%, 8/15/2020      32,003   
  70,000       Concho Resources, Inc., 5.500%, 10/01/2022      72,625   
  125,000       Concho Resources, Inc., 5.500%, 4/01/2023      128,906   
  795,000       CONSOL Energy, Inc., 5.875%, 4/15/2022      731,400   
  645,000       Continental Resources, Inc., 3.800%, 6/01/2024      590,175   

 

See accompanying notes to financial statements.

 

|  24

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Independent Energy — continued   
$ 235,000       Continental Resources, Inc., 4.500%, 4/15/2023    $ 225,600   
  470,000       Continental Resources, Inc., 5.000%, 9/15/2022      468,825   
  690,000       Eclipse Resources Corp., 8.875%, 7/15/2023      672,319   
  170,000       Halcon Resources Corp., 8.625%, 2/01/2020, 144A      170,850   
  145,000       Matador Resources Co., 6.875%, 4/15/2023      150,075   
  410,000       MEG Energy Corp., 6.375%, 1/30/2023, 144A      324,412   
  250,000       MEG Energy Corp., 6.500%, 3/15/2021, 144A      204,062   
  585,000       MEG Energy Corp., 7.000%, 3/31/2024, 144A      462,150   
  185,000       Newfield Exploration Co., 5.625%, 7/01/2024      189,625   
  625,000       Oasis Petroleum, Inc., 6.875%, 3/15/2022      598,437   
  100,000       PDC Energy, Inc., 6.125%, 9/15/2024, 144A      103,500   
  405,000       QEP Resources, Inc., 5.250%, 5/01/2023      398,925   
  520,000       QEP Resources, Inc., 5.375%, 10/01/2022      516,100   
  1,150,000       Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(g)      626,750   
  1,025,000       Rice Energy, Inc., 6.250%, 5/01/2022      1,058,312   
  565,000       RSP Permian, Inc., 6.625%, 10/01/2022      591,837   
  330,000       Sanchez Energy Corp., 6.125%, 1/15/2023      264,825   
  920,000       SM Energy Co., 5.000%, 1/15/2024      864,800   
  35,000       SM Energy Co., 6.125%, 11/15/2022      35,000   
  250,000       SM Energy Co., 6.750%, 9/15/2026      252,500   
  395,000       Southwestern Energy Co., 6.700%, 1/23/2025      395,000   
  55,000       Whiting Petroleum Corp., 5.000%, 3/15/2019      53,213   
  455,000       Whiting Petroleum Corp., 5.750%, 3/15/2021      425,425   
     

 

 

  
        13,315,110   
     

 

 

  
   Industrial Other — 0.2%   
  330,000       Broadspectrum Ltd., 8.375%, 5/15/2020, 144A      351,450   
     

 

 

  
   Integrated Energy — 0.1%   
  100,000       Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(d)      18,500   
  800,000       Pacific Exploration and Production Corp., 5.375%, 1/26/2019, 144A(d)      148,000   
  580,000       Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A(d)      107,300   
     

 

 

  
        273,800   
     

 

 

  
   Life Insurance — 0.2%   
  340,000       CNO Financial Group, Inc., 5.250%, 5/30/2025      337,450   
     

 

 

  
   Lodging — 0.1%   
  150,000       Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024, 144A      153,000   
     

 

 

  
   Media Entertainment — 0.9%   
  470,000       Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020      465,887   
  1,155,000       Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022      1,202,644   
     

 

 

  
        1,668,531   
     

 

 

  
   Metals & Mining — 2.6%   
  200,000       Anglo American Capital PLC, 4.125%, 9/27/2022, 144A      198,000   
  200,000       Anglo American Capital PLC, 4.875%, 5/14/2025, 144A      204,000   
  1,395,000       ArcelorMittal, 7.750%, 3/01/2041      1,454,287   
  180,000       Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)      179,455   
  460,000       Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(d)(e)(f)      62,100   

 

See accompanying notes to financial statements.

 

25  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Metals & Mining — continued   
$ 175,000       First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A    $ 156,625   
  270,000       First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A      238,950   
  1,375,000       Freeport-McMoRan, Inc., 4.550%, 11/14/2024      1,246,094   
  85,000       Freeport-McMoRan, Inc., 5.450%, 3/15/2043      68,213   
  245,000       Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A      236,660   
  440,000       Lundin Mining Corp., 7.500%, 11/01/2020, 144A      467,500   
     

 

 

  
        4,511,884   
     

 

 

  
   Midstream — 5.5%   
  250,000       Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024      252,678   
  200,000       Gibson Energy, Inc., 6.750%, 7/15/2021, 144A      204,500   
  40,000       Kinder Morgan Energy Partners LP, 3.450%, 2/15/2023      39,874   
  60,000       Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023      60,093   
  75,000       Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042      69,185   
  30,000       Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043      28,218   
  270,000       MPLX LP, 4.875%, 12/01/2024      279,268   
  570,000       NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019      538,650   
  365,000       NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021      345,838   
  445,000       Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023      447,997   
  295,000       Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022      325,289   
  385,000       Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022      354,200   
  985,000       Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021      1,040,406   
  480,000       Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025      516,000   
  425,000       Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022      464,313   
  935,000       Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022      890,587   
  1,863,000       Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019      1,889,082   
  95,000       Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023      91,794   
  640,000       Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023      648,000   
  300,000       Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022      310,500   
  15,000       Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021      15,488   
  355,000       Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019      378,075   
  360,000       Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022      384,300   
  180,000       Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023      184,500   
     

 

 

  
        9,758,835   
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 2.0%   
  935,000       BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.717%, 5/15/2020, 144A(b)(e)(f)      908,874   
  1,690,000       GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.988%, 8/10/2045(b)      1,626,671   

 

See accompanying notes to financial statements.

 

|  26

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Non-Agency Commercial Mortgage-Backed Securities — continued   
$ 805,000       Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b)    $ 806,242   
  125,000       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)      122,546   
     

 

 

  
        3,464,333   
     

 

 

  
   Oil Field Services — 0.6%   
  130,000       Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043      90,212   
  430,000       Ensco PLC, 5.750%, 10/01/2044      262,595   
  160,000       Noble Holding International Ltd., 5.250%, 3/15/2042      90,400   
  160,000       Noble Holding International Ltd., 6.050%, 3/01/2041      94,400   
  435,000       Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(d)      120,712   
  905,000       Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(d)      251,137   
  35,000       Parker Drilling Co., 6.750%, 7/15/2022      27,125   
  100,000       Rowan Cos., Inc., 5.850%, 1/15/2044      68,750   
     

 

 

  
        1,005,331   
     

 

 

  
   Packaging — 1.4%   
  200,000       ARD Finance S.A., PIK, 7.125%, 9/15/2023, 144A(h)      199,000   
  395,000       Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A      396,975   
  200,000       Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A      213,000   
  755,000       Sealed Air Corp., 6.875%, 7/15/2033, 144A      809,737   
  775,000       Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A      784,688   
     

 

 

  
        2,403,400   
     

 

 

  
   Pharmaceuticals — 2.4%   
  1,540,000       Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A      1,443,750   
  530,000       Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A      491,575   
  265,000       Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A      226,575   
  85,000       Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A      75,863   
  2,015,000       Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A      1,737,937   
  335,000       VRX Escrow Corp., 5.375%, 3/15/2020, 144A      309,875   
     

 

 

  
        4,285,575   
     

 

 

  
   Property & Casualty Insurance — 0.4%   
  786,000       HUB International Ltd., 7.875%, 10/01/2021, 144A      801,720   
     

 

 

  
   Refining — 0.2%   
  230,000       Ultrapar International S.A., 5.250%, 10/06/2026, 144A      228,275   
  140,000       Western Refining, Inc., 6.250%, 4/01/2021      138,250   
     

 

 

  
        366,525   
     

 

 

  
   Retailers — 1.2%   
  40,000       Dillard’s, Inc., 7.000%, 12/01/2028      45,798   
  435,000       Dillard’s, Inc., 7.750%, 7/15/2026      500,815   
  205,000       Dillard’s, Inc., 7.750%, 5/15/2027      238,825   
  35,000       Dillard’s, Inc., 7.875%, 1/01/2023      42,044   
  1,035,000       GameStop Corp., 5.500%, 10/01/2019, 144A      1,056,994   

 

See accompanying notes to financial statements.

 

27  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Retailers — continued   
$ 115,000       J.C. Penney Corp., Inc., 5.750%, 2/15/2018    $ 119,025   
  520,000       Nine West Holdings, Inc., 6.125%, 11/15/2034      67,600   
     

 

 

  
        2,071,101   
     

 

 

  
   Supermarkets — 0.7%   
  335,000       Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC, 5.750%, 3/15/2025, 144A      334,163   
  935,000       New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028      860,200   
     

 

 

  
        1,194,363   
     

 

 

  
   Supranational — 2.4%   
  30,700,000       European Bank for Reconstruction & Development, GMTN, 6.400%, 3/04/2019, (INR)      456,617   
  5,420,000,000       International Bank for Reconstruction & Development, 4.500%, 8/03/2017, (COP)      1,841,618   
  21,150,000       International Bank for Reconstruction & Development, Series GDIF, 5.000%, 5/24/2017, (INR)      313,692   
  100,890,000       International Finance Corp., 7.800%, 6/03/2019, (INR)      1,575,130   
     

 

 

  
        4,187,057   
     

 

 

  
   Technology — 7.2%   
  1,545,000       Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029      1,709,156   
  1,930,000       Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028      2,103,700   
  550,000       Blackboard, Inc., 7.750%, 11/15/2019, 144A      541,750   
  170,000       Camelot Finance S.A., 7.875%, 10/15/2024, 144A      175,313   
  60,000       CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A      63,975   
  75,000       CommScope, Inc., 4.375%, 6/15/2020, 144A      77,250   
  330,000       CommScope, Inc., 5.000%, 6/15/2021, 144A      341,550   
  190,000       Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021, 144A      201,870   
  1,440,000       Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A      1,578,676   
  580,000       Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.125%, 6/15/2024, 144A      637,912   
  480,000       Equinix, Inc., 5.375%, 1/01/2022      507,600   
  430,000       First Data Corp., 5.000%, 1/15/2024, 144A      436,450   
  800,000       First Data Corp., 7.000%, 12/01/2023, 144A      846,000   
  200,000       IMS Health, Inc., 5.000%, 10/15/2026, 144A      208,000   
  55,000       Micron Technology, Inc., 5.250%, 1/15/2024, 144A      52,800   
  360,000       Micron Technology, Inc., 5.500%, 2/01/2025      352,800   
  210,000       Microsemi Corp., 9.125%, 4/15/2023, 144A      239,400   
  515,000       Open Text Corp., 5.625%, 1/15/2023, 144A      525,300   
  190,000       Open Text Corp., 5.875%, 6/01/2026, 144A      198,788   
  275,000       Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A      279,812   
  405,000       Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A      416,137   
  235,000       Western Digital Corp., 7.375%, 4/01/2023, 144A      258,500   
  755,000       Western Digital Corp., 10.500%, 4/01/2024, 144A      875,800   
     

 

 

  
        12,628,539   
     

 

 

  
   Transportation Services — 0.1%   
  275,000       APL Ltd., 8.000%, 1/15/2024(e)(f)      181,500   
     

 

 

  

 

See accompanying notes to financial statements.

 

|  28

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Treasuries — 1.7%   
  55,000       Hellenic Republic Government Bond, Series PSI,
(Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(g)		    $ 36,392   
  55,000       Hellenic Republic Government Bond, Series PSI,
(Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(g)		      36,512   
  20,000       Hellenic Republic Government Bond, Series PSI,
(Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(g)		      13,052   
  107,066(††)       Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)      547,216   
  142,200(††)       Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)      719,122   
  131,500(††)       Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)      698,713   
  151,030(††)       Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)      983,998   
     

 

 

  
        3,035,005   
     

 

 

  
   Wireless — 3.7%   
  100,000       Altice Luxembourg S.A., 7.250%, 5/15/2022, 144A, (EUR)      118,401   
  355,000       Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A      363,875   
  785,000       Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A      837,988   
  6,000,000       America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)      301,396   
  6,100,000       America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)      311,363   
  605,000       SFR Group S.A., 7.375%, 5/01/2026, 144A      618,425   
  786,000       Sprint Capital Corp., 6.875%, 11/15/2028      737,858   
  1,420,000       Sprint Corp., 7.250%, 9/15/2021      1,425,325   
  605,000       T-Mobile USA, Inc., 6.000%, 4/15/2024      647,350   
  370,000       T-Mobile USA, Inc., 6.125%, 1/15/2022      393,125   
  515,000       T-Mobile USA, Inc., 6.731%, 4/28/2022      540,750   
  200,000       Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A      201,500   
     

 

 

  
        6,497,356   
     

 

 

  
   Wirelines — 2.7%   
  705,000       CenturyLink, Inc., 7.650%, 3/15/2042      608,062   
  30,000       CenturyLink, Inc., Series T, 5.800%, 3/15/2022      30,750   
  130,000       Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      123,663   
  60,000,000       Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)      15,138   
  405,000       Frontier Communications Corp., 9.000%, 8/15/2031      372,600   
  340,000       Frontier Communications Corp., 10.500%, 9/15/2022      360,400   
  15,000       Frontier Communications Corp., 11.000%, 9/15/2025      15,656   
  705,000       Level 3 Communications, Inc., 5.750%, 12/01/2022      736,725   
  1,545,000       Level 3 Financing, Inc., 5.250%, 3/15/2026, 144A      1,595,212   
  345,000       Telecom Italia Capital S.A., 6.375%, 11/15/2033      351,038   
  35,000       Telecom Italia Capital S.A., 7.721%, 6/04/2038      38,325   
  450,000       Telecom Italia SpA, 5.303%, 5/30/2024, 144A      460,066   
     

 

 

  
        4,707,635   
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $150,365,268)		      149,660,180   
     

 

 

  
     
  Convertible Bonds — 3.2%   
   Building Materials — 0.0%   
  25,000       CalAtlantic Group, Inc., 0.250%, 6/01/2019      23,156   
     

 

 

  

 

See accompanying notes to financial statements.

 

29  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Diversified Operations — 0.1%   
$ 160,000       RWT Holdings, Inc., 5.625%, 11/15/2019    $ 162,000   
     

 

 

  
   Healthcare — 0.3%   
  595,000       Brookdale Senior Living, Inc., 2.750%, 6/15/2018      590,909   
     

 

 

  
   Leisure — 0.4%   
  685,000       Rovi Corp., 0.500%, 3/01/2020      682,623   
     

 

 

  
   Media Entertainment — 0.2%   
  265,000       Liberty Media Corp., 2.250%, 9/30/2046, 144A      275,103   
     

 

 

  
   Metals & Mining — 0.0%   
  25,000       RTI International Metals, Inc., 1.625%, 10/15/2019      26,656   
     

 

 

  
   Midstream — 0.6%   
  1,068,000       Whiting Petroleum Corp., Series 2, 1.250%, 6/05/2020      1,025,280   
     

 

 

  
   Pharmaceuticals — 0.8%   
  604,000       BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020      753,113   
  765,000       Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021      711,928   
     

 

 

  
        1,465,041   
     

 

 

  
   Technology — 0.8%   
  30,000       Advanced Micro Devices, Inc., 2.125%, 9/01/2026      32,625   
  5,000       CalAmp Corp., 1.625%, 5/15/2020      4,625   
  260,000       Cypress Semiconductor Corp., 4.500%, 1/15/2022, 144A      293,963   
  180,000       Micron Technology, Inc., Series G, 3.000%, 11/15/2043      159,975   
  845,000       Nuance Communications, Inc., 1.000%, 12/15/2035, 144A      735,150   
  205,000       Viavi Solutions, Inc., 0.625%, 8/15/2033      203,975   
     

 

 

  
        1,430,313   
     

 

 

  
   Total Convertible Bonds
(Identified Cost $5,745,898)		      5,681,081   
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $156,111,166)		      155,341,261   
     

 

 

  
     
  Senior Loans — 1.8%   
   Consumer Cyclical Services — 0.2%   
  468,419       SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b)      390,544   
     

 

 

  
   Independent Energy — 0.3%   
  531,086       Chesapeake Energy Corp., Term Loan, 8.500%, 8/23/2021(b)      557,141   
     

 

 

  
   Media Entertainment — 0.0%   
  26,479       Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(b)      25,222   
     

 

 

  
   Other Utility — 0.2%   
  239,982       PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)      239,082   
  95,000       PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)      94,525   
     

 

 

  
        333,607   
     

 

 

  
   Supermarkets — 0.3%   
  467,128       Albertson’s LLC, 2016 Term Loan B4, 4.500%, 8/25/2021(b)      470,524   
     

 

 

  
   Transportation Services — 0.0%   
  82,401       OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(b)      82,091   
     

 

 

  

 

See accompanying notes to financial statements.

 

|  30

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
   Wirelines — 0.8%   
$ 1,206,250       Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)    $ 1,205,599   
  159,324       Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(b)(e)(f)      150,561   
     

 

 

  
        1,356,160   
     

 

 

  
   Total Senior Loans
(Identified Cost $3,297,748)		      3,215,289   
     

 

 

  
    
Shares		                
  Preferred Stocks — 2.2%   
  Convertible Preferred Stocks — 1.9%   
   Food & Beverage — 0.2%   
  3,415       Bunge Ltd., 4.875%      324,791   
     

 

 

  
   Midstream — 0.3%   
  988       Chesapeake Energy Corp., 5.750%(i)      522,405   
  20       Chesapeake Energy Corp., 5.750%, 144A(i)      10,575   
  137       Chesapeake Energy Corp., 5.750%(i)      71,326   
     

 

 

  
        604,306   
     

 

 

  
   Pharmaceuticals — 1.0%   
  888       Allergan PLC, Series A, 5.500%      729,608   
  1,439       Teva Pharmaceutical Industries Ltd., 7.000%      1,165,014   
     

 

 

  
        1,894,622   
     

 

 

  
   REITs – Mortgage — 0.1%   
  2,107       iStar, Inc., Series J, 4.500%      103,095   
     

 

 

  
   Technology — 0.3%   
  4,850       Belden, Inc., 6.750%      487,085   
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $3,807,099)		      3,413,899   
     

 

 

  
     
  Non-Convertible Preferred Stocks — 0.3%   
   Finance Companies — 0.3%   
  12,925       iStar, Inc., Series E, 7.875%      314,466   
  7,500       iStar, Inc., Series F, 7.800%      183,075   
  550       iStar, Inc., Series G, 7.650%      13,233   
     

 

 

  
        510,774   
     

 

 

  
   Total Non-Convertible Preferred Stocks
(Identified Cost $417,822)		      510,774   
     

 

 

  
     
   Total Preferred Stocks
(Identified Cost $4,224,921)		      3,924,673   
     

 

 

  
     
  Other Investments — 0.6%   
   Aircraft ABS — 0.6%   
  100       ECAF I Blocker Ltd.(e)(j)
(Identified Cost $1,000,000)		      985,586   
     

 

 

  

 

See accompanying notes to financial statements.

 

31  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

    
Shares		      Description    Value (†)  
  Common Stocks — 0.7%   
   Energy Equipment & Services — 0.0%   
  4,625       Hercules Offshore, Inc.(i)    $ 8,001   
     

 

 

  
   Internet Software & Services — 0.0%   
  4,113       Dex Media, Inc.(i)(j)      8,177   
     

 

 

  
   Oil, Gas & Consumable Fuels — 0.5%   
  12,992       Halcon Resources Corp.(i)      121,865   
  14,882       Kinder Morgan, Inc.      344,221   
  17,250       Rex Energy Corp.(i)      10,072   
  49,233       Whiting Petroleum Corp.(i)      430,296   
     

 

 

  
        906,454   
     

 

 

  
   Pharmaceuticals — 0.2%   
  5,539       Bristol-Myers Squibb Co.      298,663   
     

 

 

  
   Total Common Stocks
(Identified Cost $3,087,477)		      1,221,295   
     

 

 

  
     
  Warrants — 0.0%   
  22,512       Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(i)      349   
  10,360       FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(e)(i)(j)      —   
  3,528       Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(i)(j)      5,383   
     

 

 

  
   Total Warrants
(Identified Cost $29,891)		      5,732   
     

 

 

  
Principal
Amount (‡)		                
  Short-Term Investments — 5.5%   
$ 9,627,235       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $9,627,259 on 10/03/2016 collateralized by $8,940,000 U.S. Treasury Note, 2.750% due 2/15/2024 valued at $9,822,825 including accrued interest (Note 2 of Notes to Financial Statements)      9,627,235   
  12,523       Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2016 at 0.000% to be repurchased at $12,523 on 10/03/2016 collateralized by $12,600 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $12,786 including accrued interest (Note 2 of Notes to Financial Statements)      12,523   
     

 

 

  
   Total Short-Term Investments
(Identified Cost $9,639,758)		      9,639,758   
     

 

 

  
     
   Total Investments — 98.9%
(Identified Cost $177,390,961)(a)		      174,333,594   
   Other assets less liabilities — 1.1%      1,942,867   
     

 

 

  
   Net Assets — 100.0%    $ 176,276,461   
     

 

 

  
     
  (‡)       Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)       See Note 2 of Notes to Financial Statements.   
  (††)       Amount shown represents units. One unit represents a principal amount of 100.   

 

See accompanying notes to financial statements.

 

|  32

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

     
  (a)       Federal Tax Information:   
   At September 30, 2016, the net unrealized depreciation on investments based on a cost of $177,504,166 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 9,142,529   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (12,313,101 ) 
     

 

 

  
   Net unrealized depreciation    $ (3,170,572 ) 
     

 

 

  
     
  (b)       Variable rate security. Rate as of September 30, 2016 is disclosed.   
  (c)       Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended September 30, 2016, interest payments were made in cash and additional debt securities.     
  (d)       The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.    
  (e)       Illiquid security. (Unaudited)   
  (f)       Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $1,828,035 or 1.0% of net assets. See Note 2 of Notes to Financial Statements.     
  (g)       Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.   
  (h)       Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended September 30, 2016, the issuer has not made any interest payments.     
  (i)       Non-income producing security.   
  (j)       Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $1,097,873 or 0.6% of net assets. See Note 2 of Notes to Financial Statements.    
  
  144A       All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $60,581,057 or 34.4% of net assets.      
  ABS       Asset-Backed Securities   
  GMTN       Global Medium Term Note   
  MTN       Medium Term Note   
  PIK       Payment-in-Kind   
  REITs       Real Estate Investment Trusts   
  
  BRL       Brazilian Real   
  COP       Colombian Peso   
  EUR       Euro   
  INR       Indian Rupee   
  MXN       Mexican Peso   

 

See accompanying notes to financial statements.

 

33  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

 

At September 30, 2016, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell		    Delivery
Date		      Currency    Units of
Currency		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  
Sell1      12/21/2016       Euro      170,000       $ 191,659       $ 233   
              

 

 

  

1 Counterparty is Bank of America, N.A.

Industry Summary at September 30, 2016

 

Technology

      8.3 % 

Independent Energy

      7.8   

Cable Satellite

      7.2   

Midstream

      6.4   

Finance Companies

      5.8   

Healthcare

      4.6   

Pharmaceuticals

      4.4   

Banking

      3.9   

Wireless

      3.7   

Wirelines

      3.5   

Aerospace & Defense

      2.8   

Metals & Mining

      2.6   

Supranational

      2.4   

Government Owned – No Guarantee

      2.3   

Non-Agency Commercial Mortgage-Backed Securities

      2.0   

Other Investments, less than 2% each

      25.7   

Short-Term Investments

      5.5   
  

 

 

  

Total Investments

      98.9   

Other assets less liabilities (including forward foreign currency contracts)

      1.1   
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  34

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 96.2% of Net Assets   
  Non-Convertible Bonds — 96.0%   
   ABS Car Loan — 7.2%   
$ 89,000       AmeriCredit Automobile Receivables Trust, Series 2014-1, Class B, 1.680%, 7/08/2019    $ 89,223   
  147,000       AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/09/2020      149,175   
  375,000       AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021      382,602   
  152,000       AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C, 2.890%, 1/10/2022      156,134   
  72,000       AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021      73,880   
  160,000       AmeriCredit Automobile Receivables Trust, Series 2016-3, Class C, 2.240%, 4/08/2022      161,254   
  210,000       Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A      212,130   
  360,000       Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A      368,893   
  57,648       California Republic Auto Receivables Trust, Series 2013-2, Class A2, 1.230%, 3/15/2019      57,694   
  225,000       California Republic Auto Receivables Trust, Series 2016-2, Class A3, 1.560%, 7/15/2020      225,869   
  52,327       Capital Auto Receivables Asset Trust, Series 2014-2, Class A3, 1.260%, 5/21/2018      52,354   
  371,000       Capital Auto Receivables Asset Trust, Series 2015-1, Class A3, 1.610%, 6/20/2019      372,594   
  2,232       CarFinance Capital Auto Trust, Series 2014-1A, Class A, 1.460%, 12/17/2018, 144A      2,232   
  126,211       CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A      126,057   
  20,517       CarMax Auto Owner Trust, Series 2013-4, Class A3, 0.800%, 7/16/2018      20,510   
  33,295       CarMax Auto Owner Trust, Series 2014-1, Class A3, 0.790%, 10/15/2018      33,275   
  9,312       CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A      9,316   
  64,229       CPS Auto Receivables Trust, Series 2014-C, Class A, 1.310%, 2/15/2019, 144A      64,194   
  465,000       CPS Auto Receivables Trust, Series 2015-A, Class B, 2.790%, 2/16/2021, 144A      471,525   
  345,000       Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A      345,665   
  275,000       Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A      276,577   
  800,000       Credit Acceptance Auto Loan Trust, Series 2016-2A, Class B, 3.180%, 5/15/2024, 144A      813,407   
  322,000       Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.760%, 7/15/2021, 144A      324,686   
  362,000       Drive Auto Receivables Trust, Series 2016-BA, Class C, 3.190%, 7/15/2022, 144A      368,442   
  107,000       DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A      108,976   
  335,000       DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A      342,943   
  255,000       DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A      267,670   
  440,000       DT Auto Owner Trust, Series 2016-4A, Class C, 2.740%, 10/17/2022, 144A      439,742   

 

See accompanying notes to financial statements.

 

35  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Car Loan — continued   
$ 76,020       Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A    $ 76,069   
  8,457       Exeter Automobile Receivables Trust, Series 2014-3A, Class A, 1.320%, 1/15/2019, 144A      8,446   
  36,982       First Investors Auto Owner Trust, Series 2013-3A, Class A3, 1.440%, 10/15/2019, 144A      36,989   
  40,791       First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A      40,805   
  290,000       Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A      295,291   
  195,000       Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A      203,321   
  135,000       Flagship Credit Auto Trust, Series 2016-3, Class B, 2.430%, 6/15/2021, 144A      135,984   
  115,000       Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A      117,236   
  230,000       Ford Credit Auto Owner Trust/Ford Credit, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A      235,147   
  705,000       Ford Credit Auto Owner Trust/Ford Credit, Series 2016-2, Class A, 2.030%, 12/15/2027, 144A      711,063   
  590,000       GM Financial Automobile Leasing Trust, Series 2016-2, Class A3, 1.620%, 9/20/2019      593,089   
  490,000       Hyundai Auto Lease Securitization Trust, Series 2016-C, Class A4, 1.650%, 7/15/2020, 144A      490,238   
  595,000       NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A      593,397   
  299,000       Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A      299,461   
  121,000       Santander Drive Auto Receivables Trust, Series 2015-4, Class C, 2.970%, 3/15/2021      123,221   
  188,000       Santander Drive Auto Receivables Trust, Series 2016-2, Class C, 2.660%, 11/15/2021      190,939   
  76,835       SMART Trust/Australia, Series 2013-1US, Class A4A, 1.050%, 10/14/2018      76,752   
  138,514       SMART Trust/Australia, Series 2013-2US, Class A4A, 1.180%, 2/14/2019      137,987   
  279,394       World Omni Auto Receivables Trust, Series 2014-B, Class A3, 1.140%, 1/15/2020      279,627   
  640,000       World Omni Auto Receivables Trust, Series 2016-B, Class A3, 1.300%, 2/15/2022      640,376   
     

 

 

  
        11,602,457   
     

 

 

  
   ABS Credit Card — 2.0%   
  434,000       Bank of America Credit Card Trust, Series 2015-A2, Class A, 1.360%, 9/15/2020      435,759   
  415,000       Barclays Dryrock Issuance Trust, Series 2014-3, Class A, 2.410%, 7/15/2022      427,595   
  1,085,000       Chase Issuance Trust, Series 2016-A4, Class A4, 1.490%, 7/15/2022      1,088,616   
  260,000       Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023      275,314   
  470,000       Synchrony Credit Card Master Note Trust, Series 2016-3, Class A, 1.580%, 9/15/2022      470,926   
  501,000       World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023      521,370   
     

 

 

  
        3,219,580   
     

 

 

  

 

See accompanying notes to financial statements.

 

|  36

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   ABS Home Equity — 1.2%   
$ 329,364       Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A    $ 333,422   
  221,076       Colony American Homes, Series 2014-1A, Class A, 1.681%, 5/17/2031, 144A(b)      221,183   
  26,074       Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.633%, 7/25/2021(b)(c)      23,756   
  17,729       Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)      17,988   
  500,000       Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.375%, 10/25/2027(b)      508,624   
  226,427       Mill City Mortgage Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(b)      227,694   
  20,473       RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A      20,635   
  199,135       Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)      201,594   
  319,992       Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.750%, 8/25/2055, 144A(b)      324,238   
  90,628       Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.956%, 5/01/2035(b)      93,799   
     

 

 

  
        1,972,933   
     

 

 

  
   ABS Other — 1.5%   
  39,271       CCG Receivables Trust, Series 2014-1, Class A2, 1.060%, 11/15/2021, 144A      39,233   
  132,975       DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A      133,666   
  42,646       FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A      41,822   
  37,958       Global Container Assets Ltd., Series 2013-1A, Class A1, 2.200%, 11/05/2028, 144A      37,886   
  398,000       John Deere Owner Trust, Series 2014-B, Class A4, 1.500%, 6/15/2021      399,802   
  190,263       OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A      190,686   
  385,000       OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A      388,922   
  350,000       OneMain Financial Issuance Trust, Series 2016-1A, Class A, 3.660%, 2/20/2029, 144A      358,906   
  245,779       Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A      239,344   
  102,478       Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A      102,609   
  203,958       TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A      200,604   
  85,015       TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A      83,285   
  204,167       TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A      198,982   
     

 

 

  
        2,415,747   
     

 

 

  
   ABS Student Loan — 1.1%   
  425,726       North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.515%, 7/25/2025(b)      423,065   
  165,734       SoFi Professional Loan Program LLC, Series 2015-A, Class A2, 2.420%, 3/25/2030, 144A      167,789   
  528,194       SoFi Professional Loan Program LLC, Series 2015-C, Class A2, 2.510%, 8/25/2033, 144A      537,415   
  295,000       SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A      302,447   
  386,359       South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.715%, 7/25/2025(b)      387,974   
     

 

 

  
        1,818,690   
     

 

 

  

 

See accompanying notes to financial statements.

 

37  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Aerospace & Defense — 0.3%   
$ 54,000       Rockwell Collins, Inc., 1.200%, 12/15/2016(b)    $ 54,035   
  450,000       Rolls-Royce PLC, 2.375%, 10/14/2020, 144A      457,754   
     

 

 

  
        511,789   
     

 

 

  
   Agency Commercial Mortgage-Backed Securities — 4.5%   
  648,018       FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021      710,644   
  509,476       FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)      556,115   
  701,647       FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024      737,552   
  371,879       FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018      378,797   
  923,523       FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019      939,171   
  321,775       FHLMC Multifamily Structured Pass Through Certificates, Series K709, Class A2, 2.086%, 3/25/2019      327,282   
  1,304,975       FHLMC Multifamily Structured Pass Through Certificates, Series K710, Class A2, 1.883%, 5/25/2019      1,323,249   
  1,014,484       FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019      1,025,536   
  625,673       FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.225%, 11/25/2022(b)      626,457   
  603,327       FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019      608,881   
     

 

 

  
        7,233,684   
     

 

 

  
   Airlines — 0.6%   
  485,000       American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030      487,488   
  74,239       Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021      83,919   
  371,435       Latam Airlines Pass Through Trust, Series 2015-1, Class A, 4.200%, 8/15/2029      363,078   
     

 

 

  
        934,485   
     

 

 

  
   Automotive — 1.9%   
  500,000       American Honda Finance Corp., MTN, 1.200%, 7/12/2019      497,071   
  447,000       American Honda Finance Corp., MTN, 1.600%, 7/13/2018      450,681   
  585,000       BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A      583,332   
  220,000       Daimler Finance North America LLC, 2.450%, 5/18/2020, 144A      224,644   
  45,000       Delphi Automotive PLC, 3.150%, 11/19/2020      46,594   
  360,000       Ford Motor Credit Co. LLC, 2.459%, 3/27/2020      363,359   
  326,000       General Motors Financial Co., Inc., 3.450%, 4/10/2022      330,664   
  331,000       General Motors Financial Co., Inc., 4.250%, 5/15/2023      343,785   
  103,000       Magna International, Inc., 3.625%, 6/15/2024      108,271   
  150,000       PACCAR Financial Corp., MTN, 1.200%, 8/12/2019      149,559   
     

 

 

  
        3,097,960   
     

 

 

  

 

See accompanying notes to financial statements.

 

|  38

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Banking — 15.1%   
$ 530,000       ABN AMRO Bank NV, 1.800%, 9/20/2019, 144A    $ 530,456   
  105,000       Bank of America Corp., 6.000%, 9/01/2017      109,182   
  365,000       Bank of Montreal, MTN, 1.500%, 7/18/2019      364,228   
  700,000       Bank of Montreal, MTN, 1.900%, 8/27/2021      696,344   
  49,000       Bank of Montreal, MTN, 1.400%, 9/11/2017      49,030   
  415,000       Bank of New York Mellon Corp. (The), MTN, 2.450%, 8/17/2026      412,461   
  845,000       Bank of Nova Scotia, 1.650%, 6/14/2019      846,494   
  505,000       Barclays PLC, 3.200%, 8/10/2021      507,655   
  295,000       Bear Stearns Cos. LLC (The), 7.250%, 2/01/2018      316,801   
  490,000       BNZ International Funding Ltd., 2.100%, 9/14/2021, 144A      487,781   
  750,000       Canadian Imperial Bank of Commerce, 1.600%, 9/06/2019      750,005   
  520,000       Capital One NA, 2.250%, 9/13/2021      519,803   
  220,000       Citigroup, Inc., 4.450%, 9/29/2027      230,224   
  430,000       Citizens Bank NA, Series BKNT, 2.500%, 3/14/2019      436,988   
  250,000       Comerica Bank, 2.500%, 6/02/2020      255,307   
  745,000       Commonwealth Bank of Australia, 2.000%, 9/06/2021, 144A      743,976   
  485,000       Cooperatieve Rabobank UA, 4.625%, 12/01/2023      523,754   
  450,000       Credit Suisse Group Funding Guernsey Ltd., 3.800%, 6/09/2023, 144A      455,976   
  525,000       Danske Bank AS, 2.000%, 9/08/2021, 144A      524,652   
  693,000       Deutsche Bank AG, GMTN, 3.375%, 5/12/2021      677,893   
  780,000       Fifth Third Bank, Series BKNT, 1.625%, 9/27/2019      779,556   
  215,000       Goldman Sachs Group, Inc. (The), 2.750%, 9/15/2020      220,230   
  259,000       Goldman Sachs Group, Inc. (The), 5.950%, 1/18/2018      273,254   
  185,000       HSBC USA, Inc., 2.375%, 11/13/2019      187,273   
  430,000       ING Bank NV, 2.050%, 8/15/2021, 144A      430,476   
  246,000       JPMorgan Chase & Co., 6.000%, 1/15/2018      259,903   
  585,000       JPMorgan Chase Bank NA, 1.650%, 9/23/2019      586,845   
  555,000       Key Bank NA, Series BKNT, 1.600%, 8/22/2019      555,047   
  445,000       Lloyds Bank PLC, 1.750%, 3/16/2018      445,255   
  532,000       Macquarie Bank Ltd., 1.600%, 10/27/2017, 144A      532,810   
  116,000       Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018      125,148   
  219,000       Merrill Lynch & Co., Inc., Series C, GMTN, 6.400%, 8/28/2017      228,489   
  460,000       Mizuho Bank Ltd., 1.800%, 3/26/2018, 144A      460,948   
  535,000       Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018      573,242   
  295,000       National Bank of Canada, 2.100%, 12/14/2018      298,749   
  540,000       Nordea Bank AB, 1.625%, 9/30/2019, 144A      539,152   
  317,000       Royal Bank of Canada, 1.400%, 10/13/2017      317,168   
  652,000       Royal Bank of Canada, GMTN, 1.625%, 4/15/2019      653,470   
  305,000       Santander Bank NA, 2.000%, 1/12/2018      305,038   
  604,000       Santander Holdings USA, Inc., 2.700%, 5/24/2019      611,542   
  365,000       Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A      365,410   
  380,000       Santander UK PLC, 2.500%, 3/14/2019      385,666   
  675,000       Skandinaviska Enskilda Banken AB, 1.875%, 9/13/2021      669,634   
  815,000       Societe Generale S.A., 5.000%, 1/17/2024, 144A      850,982   
  370,000       Standard Chartered PLC, 4.050%, 4/12/2026, 144A      381,522   
  875,000       Sumitomo Mitsui Financial Group, Inc., 2.058%, 7/14/2021      867,867   
  525,000       Svenska Handelsbanken AB, Series BKNT, 1.500%, 9/06/2019      523,283   

 

See accompanying notes to financial statements.

 

39  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Banking — continued   
$ 335,000       Svenska Handelsbanken AB, Series BKNT, 1.875%, 9/07/2021    $ 333,176   
  740,000       Toronto-Dominion Bank (The), GMTN, 1.450%, 9/06/2018      741,297   
  620,000       UBS Group Funding Jersey Ltd., 2.650%, 2/01/2022, 144A      618,846   
  770,000       Wells Fargo Bank NA, 1.750%, 5/24/2019      773,464   
  60,000       Westpac Banking Corp., 2.000%, 8/19/2021      59,903   
     

 

 

  
        24,393,655   
     

 

 

  
   Brokerage — 0.3%   
  390,000       Ameriprise Financial, Inc., 2.875%, 9/15/2026      390,919   
  75,000       Brookfield Finance, Inc., 4.250%, 6/02/2026      77,461   
     

 

 

  
        468,380   
     

 

 

  
   Building Materials — 0.1%   
  107,000       Fortune Brands Home & Security, Inc., 3.000%, 6/15/2020      110,182   
  40,000       Masco Corp., 3.500%, 4/01/2021      41,400   
  27,000       Masco Corp., 7.125%, 3/15/2020      31,050   
     

 

 

  
        182,632   
     

 

 

  
   Cable Satellite — 0.1%   
  170,000       Cox Enterprises, Inc., 7.375%, 7/15/2027, 144A      208,674   
     

 

 

  
   Chemicals — 0.8%   
  535,000       Air Liquide Finance S.A., 2.500%, 9/27/2026, 144A      537,033   
  107,000       Airgas, Inc., 3.050%, 8/01/2020      111,042   
  107,000       Albemarle Corp., 3.000%, 12/01/2019      110,394   
  125,000       Eastman Chemical Co., 4.500%, 1/15/2021      136,319   
  45,000       Methanex Corp., 3.250%, 12/15/2019      44,492   
  360,000       Westlake Chemical Corp., 3.600%, 8/15/2026, 144A      361,021   
     

 

 

  
        1,300,301   
     

 

 

  
   Collateralized Mortgage Obligations — 1.8%   
  230,741       Government National Mortgage Association, Series 2014-H14, Class FA, 0.994%, 7/20/2064(b)      229,406   
  162,632       Government National Mortgage Association, Series 2014-H15, Class FA, 0.994%, 7/20/2064(b)      161,583   
  629,014       Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065      629,580   
  642,084       Government National Mortgage Association, Series 2016-H06, Class FC, 1.414%, 2/20/2066(b)      646,735   
  1,313,210       Government National Mortgage Association, Series 2016-H10, Class FJ, 1.123%, 4/20/2066(b)      1,312,741   
     

 

 

  
        2,980,045   
     

 

 

  
   Construction Machinery — 0.8%   
  835,000       Caterpillar Financial Services Corp., 1.700%, 8/09/2021      828,485   
  174,000       John Deere Capital Corp., 2.450%, 9/11/2020      179,247   
  220,000       John Deere Capital Corp., MTN, 1.250%, 10/09/2019      218,560   
     

 

 

  
        1,226,292   
     

 

 

  

 

See accompanying notes to financial statements.

 

|  40

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Consumer Cyclical Services — 0.3%   
$ 225,000       Alibaba Group Holding Ltd., 2.500%, 11/28/2019    $ 229,513   
  67,000       Western Union Co. (The), 3.350%, 5/22/2019      68,647   
  116,000       Western Union Co. (The), 3.650%, 8/22/2018      119,627   
     

 

 

  
        417,787   
     

 

 

  
   Diversified Manufacturing — 0.7%   
  430,000       3M Co., 2.250%, 9/19/2026      429,435   
  650,000       Siemens Financieringsmaatschappij NV, 1.700%, 9/15/2021, 144A      645,065   
  80,000       Snap-On, Inc., 4.250%, 1/15/2018      83,016   
     

 

 

  
        1,157,516   
     

 

 

  
   Electric — 2.4%   
  197,000       Delmarva Power & Light Co., 3.500%, 11/15/2023      213,137   
  385,000       DTE Energy Co., 2.850%, 10/01/2026      383,476   
  510,000       Duke Energy Corp., 2.650%, 9/01/2026      500,446   
  130,000       Duke Energy Progress LLC, 1.035%, 3/06/2017(b)      130,082   
  280,000       Entergy Louisiana LLC, 3.050%, 6/01/2031      287,483   
  451,000       Exelon Corp., 2.450%, 4/15/2021      460,005   
  179,000       Exelon Generation Co. LLC, 2.950%, 1/15/2020      184,493   
  116,000       Exelon Generation Co. LLC, 4.250%, 6/15/2022      124,492   
  395,000       Fortis, Inc., 2.100%, 10/04/2021, 144A      393,554   
  188,000       National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043      190,880   
  280,000       NextEra Energy Capital Holdings, Inc., 1.649%, 9/01/2018      281,106   
  456,000       NextEra Energy Capital Holdings, Inc., Series F, 2.056%, 9/01/2017      458,474   
  273,000       Southern Co. (The), 2.750%, 6/15/2020      281,593   
     

 

 

  
        3,889,221   
     

 

 

  
   Finance Companies — 0.5%   
  617,000       Ares Capital Corp., 3.625%, 1/19/2022      621,019   
  228,000       FS Investment Corp., 4.750%, 5/15/2022      234,244   
     

 

 

  
        855,263   
     

 

 

  
   Food & Beverage — 0.4%   
  9,000       Anheuser-Busch Cos. LLC, 5.000%, 3/01/2019      9,753   
  158,000       Coca-Cola Co. (The), 3.300%, 9/01/2021      170,434   
  340,000       Flowers Foods, Inc., 3.500%, 10/01/2026      339,263   
  175,000       Hershey Co. (The), 2.300%, 8/15/2026      173,375   
     

 

 

  
        692,825   
     

 

 

  
   Government Owned – No Guarantee — 1.2%   
  397,000       Ecopetrol S.A., 5.875%, 9/18/2023      428,264   
  775,000       Petroleos Mexicanos, 4.625%, 9/21/2023, 144A      776,085   
  780,000       Sinopec Group Overseas Development 2016 Ltd., 1.750%, 9/29/2019, 144A      774,789   
     

 

 

  
        1,979,138   
     

 

 

  
   Health Insurance — 0.4%   
  695,000       Aetna, Inc., 1.700%, 6/07/2018      697,214   
     

 

 

  

 

See accompanying notes to financial statements.

 

41  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Healthcare — 0.6%   
$ 41,000       Agilent Technologies, Inc., 6.500%, 11/01/2017    $ 43,175   
  245,000       Express Scripts Holding Co., 3.000%, 7/15/2023      248,845   
  183,000       Life Technologies Corp., 6.000%, 3/01/2020      204,634   
  36,000       Quest Diagnostics, Inc., 4.700%, 4/01/2021      39,890   
  94,000       Quest Diagnostics, Inc., 4.750%, 1/30/2020      102,271   
  385,000       Thermo Fisher Scientific, Inc., 2.950%, 9/19/2026      382,083   
     

 

 

  
        1,020,898   
     

 

 

  
   Hybrid ARMs — 0.2%   
  64,056       FHLMC, 2.691%, 1/01/2035(b)      67,772   
  188,352       FHLMC, 2.946%, 5/01/2036(b)      200,627   
     

 

 

  
        268,399   
     

 

 

  
   Independent Energy — 0.4%   
  14,000       Anadarko Petroleum Corp., 6.375%, 9/15/2017      14,596   
  107,000       ConocoPhillips Co., 2.875%, 11/15/2021      109,931   
  156,000       Devon Energy Corp., 5.850%, 12/15/2025      175,559   
  179,000       Encana Corp., 6.500%, 5/15/2019      193,300   
  103,000       Newfield Exploration Co., 5.750%, 1/30/2022      106,347   
     

 

 

  
        599,733   
     

 

 

  
   Industrial Other — 0.4%   
  245,000       CK Hutchison International 16 Ltd., 2.750%, 10/03/2026, 144A      241,250   
  440,000       Hutchison Whampoa International 14 Ltd., 1.625%, 10/31/2017, 144A      440,301   
     

 

 

  
        681,551   
     

 

 

  
   Integrated Energy — 0.7%   
  540,000       BP Capital Markets PLC, 2.112%, 9/16/2021      543,138   
  340,000       BP Capital Markets PLC, 2.750%, 5/10/2023      345,681   
  143,000       BP Capital Markets PLC, 3.062%, 3/17/2022      149,794   
  94,000       Shell International Finance BV, 1.625%, 11/10/2018      94,272   
     

 

 

  
        1,132,885   
     

 

 

  
   Life Insurance — 1.1%   
  165,000       AIG Global Funding, 1.650%, 12/15/2017, 144A      165,677   
  402,000       Jackson National Life Global Funding, 3.050%, 4/29/2026, 144A      408,607   
  371,000       New York Life Global Funding, 1.450%, 12/15/2017, 144A      372,562   
  286,000       Prudential Financial, Inc., 3.500%, 5/15/2024      299,100   
  344,000       Reliance Standard Life Global Funding II, 2.150%, 10/15/2018, 144A      346,985   
  63,000       Unum Group, 5.625%, 9/15/2020      70,334   
  140,000       Voya Financial, Inc., 3.650%, 6/15/2026      139,371   
     

 

 

  
        1,802,636   
     

 

 

  
   Media Entertainment — 0.6%   
  95,000       Activision Blizzard, Inc., 2.300%, 9/15/2021, 144A      95,248   
  112,000       S&P Global, Inc, 3.300%, 8/14/2020      117,570   
  290,000       S&P Global, Inc., 2.950%, 1/22/2027, 144A      291,543   
  49,000       Scripps Networks Interactive, Inc., 3.950%, 6/15/2025      51,406   
  395,000       Viacom, Inc., 3.450%, 10/04/2026      394,886   
     

 

 

  
        950,653   
     

 

 

  

 

See accompanying notes to financial statements.

 

|  42

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Metals & Mining — 0.5%   
$ 125,000       Alcoa, Inc., 6.750%, 7/15/2018    $ 134,687   
  164,000       Barrick North America Finance LLC, 4.400%, 5/30/2021      179,647   
  273,000       Glencore Funding LLC, 2.125%, 4/16/2018, 144A      270,739   
  31,000       Reliance Steel & Aluminum Co., 4.500%, 4/15/2023      32,401   
  169,000       Rio Tinto Finance USA PLC, 3.500%, 3/22/2022      182,355   
     

 

 

  
        799,829   
     

 

 

  
   Midstream — 1.0%   
  116,000       DCP Midstream Operating LP, 4.950%, 4/01/2022      118,175   
  255,000       Energy Transfer Partners LP, 2.500%, 6/15/2018      256,668   
  125,000       Energy Transfer Partners LP, 4.650%, 6/01/2021      132,778   
  246,000       Kinder Morgan Energy Partners LP, 4.150%, 3/01/2022      258,157   
  255,000       Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A      281,147   
  117,000       National Fuel Gas Co., 5.200%, 7/15/2025      126,480   
  125,000       Plains All American Pipeline LP/PAA Finance Corp., 3.650%, 6/01/2022      126,710   
  160,000       Plains All American Pipeline LP/PAA Finance Corp., 3.850%, 10/15/2023      159,152   
  45,000       TransCanada PipeLines Ltd., 2.500%, 8/01/2022      45,133   
  143,000       Williams Partners LP, 3.600%, 3/15/2022      145,484   
     

 

 

  
        1,649,884   
     

 

 

  
   Mortgage Related — 3.3%   
  5,641       FHLMC, 3.000%, 10/01/2026      5,927   
  609       FHLMC, 6.500%, 1/01/2024      698   
  100       FHLMC, 8.000%, 7/01/2025      114   
  217       FNMA, 6.000%, 9/01/2021      223   
  247,745       GNMA, 4.285%, 2/20/2063      267,293   
  467,595       GNMA, 4.329%, 2/20/2063      501,264   
  198,923       GNMA, 4.483%, 10/20/2062      213,438   
  438,458       GNMA, 4.501%, 4/20/2063      471,948   
  253,140       GNMA, 4.508%, 4/20/2063      272,490   
  279,285       GNMA, 4.511%, 5/20/2062      296,033   
  218,574       GNMA, 4.514%, 5/20/2062      231,354   
  245,131       GNMA, 4.560%, 3/20/2063      263,939   
  233,734       GNMA, 4.561%, 3/20/2062      247,357   
  282,036       GNMA, 4.571%, 2/20/2063      301,911   
  161,377       GNMA, 4.586%, 7/20/2062      171,998   
  204,897       GNMA, 4.595%, 6/20/2062      216,863   
  423,371       GNMA, 4.624%, 11/20/2064      450,261   
  233,197       GNMA, 4.683%, 8/20/2061      242,382   
  581,300       GNMA, 4.687%, 5/20/2064      657,457   
  1,969       GNMA, 6.500%, 12/15/2023      2,270   
  306       GNMA, 8.500%, 9/15/2022      311   
  840       GNMA, 9.500%, 1/15/2019      892   
  489,227       Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065      489,673   
     

 

 

  
        5,306,096   
     

 

 

  

 

See accompanying notes to financial statements.

 

43  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Natural Gas — 0.1%   
$ 107,000       NiSource Finance Corp., 6.125%, 3/01/2022    $ 127,673   
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 9.2%   
  33,483       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051      34,258   
  491,600       CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048      540,907   
  361,996       CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058      380,316   
  992,138       Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049      1,053,170   
  295,000       Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A2, 2.450%, 7/10/2049      302,467   
  435,000       Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A      452,372   
  263,676       Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(b)      285,927   
  84,913       Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047      87,023   
  232,393       Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047      239,043   
  205,578       Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047      221,197   
  478,193       Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047      508,868   
  730,000       Commercial Mortgage Pass Through Certificates, Series 2014-TWC, Class A, 1.377%, 2/13/2032, 144A(b)      728,342   
  804,436       Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049      881,432   
  226,424       Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.881%, 6/15/2039(b)      228,786   
  153,683       Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 6.134%, 9/15/2039(b)      157,174   
  308,963       Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)      316,050   
  84,913       CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048      91,358   
  222,006       GP Portfolio Trust, Series 2014-GPP, Class A, 1.474%, 2/15/2027, 144A(b)      221,651   
  228,914       Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049      234,962   
  203,942       Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039      204,242   
  340,000       GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(b)      354,829   
  875,844       GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.988%, 8/10/2045(b)      889,058   
  236,862       GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047      251,695   

 

See accompanying notes to financial statements.

 

|  44

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Non-Agency Commercial Mortgage-Backed Securities — continued   
$ 344,622       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.940%, 6/15/2049(b)    $ 349,364   
  88,049       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049      88,705   
  120,665       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047      129,835   
  313,755       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.504%, 7/15/2031, 144A(b)      313,618   
  520,000       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.224%, 7/15/2036, 144A(b)      522,930   
  276,271       Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4, 6.008%, 6/12/2050(b)      280,992   
  389,059       Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048      390,944   
  211,835       Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)      213,962   
  263,676       Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047      280,965   
  129,604       Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048      138,137   
  701,647       Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049(b)      709,284   
  185,000       SCG Trust, Series 2013-SRP1, Class B, 3.024%, 11/15/2026, 144A(b)      178,739   
  505,000       UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A      510,114   
  366,465       Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, 5.889%, 6/15/2049(b)      372,496   
  376,025       Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046      382,886   
  201,109       Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059      214,942   
  290,000       Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class A2, 2.495%, 7/15/2048      298,781   
  224,134       WFCG Commercial Mortgage Trust, Series 2015-BXRP, Class A, 1.646%, 11/15/2029, 144A(b)      221,092   
  178,764       WFRBS Commercial Mortgage Trust, Series 2004-C19, Class A3, 3.660%, 3/15/2047      189,807   
  348,589       WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ABS, 3.638%, 5/15/2047      375,868   
     

 

 

  
        14,828,588   
     

 

 

  
   Oil Field Services — 0.2%   
  65,000       Nabors Industries, Inc., 4.625%, 9/15/2021      61,254   
  143,000       Oceaneering International, Inc., 4.650%, 11/15/2024      144,101   
  89,000       Rowan Cos., Inc., 5.000%, 9/01/2017      89,556   
  54,000       Schlumberger Holdings Corp., 3.625%, 12/21/2022, 144A      57,886   
     

 

 

  
        352,797   
     

 

 

  

 

See accompanying notes to financial statements.

 

45  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Pharmaceuticals — 0.9%   
$ 22,000       Amgen, Inc., 2.200%, 5/22/2019    $ 22,409   
  147,000       Eli Lilly & Co., 1.950%, 3/15/2019      149,541   
  215,000       Gilead Sciences, Inc., 2.500%, 9/01/2023      217,279   
  259,000       Mylan, Inc., 4.200%, 11/29/2023      271,034   
  775,000       Shire Acquisitions Investments Ireland Designated Activity Co., 1.900%, 9/23/2019      774,602   
     

 

 

  
        1,434,865   
     

 

 

  
   Property & Casualty Insurance — 0.4%   
  245,000       Berkshire Hathaway Finance Corp., 1.300%, 8/15/2019      245,414   
  355,000       Old Republic International Corp., 3.875%, 8/26/2026      354,376   
     

 

 

  
        599,790   
     

 

 

  
   Railroads — 0.5%   
  255,000       Canadian National Railway Co., 1.450%, 12/15/2016      255,152   
  206,000       CSX Corp., 3.700%, 10/30/2020      220,169   
  27,000       CSX Corp., 6.150%, 5/01/2037      35,162   
  215,000       Union Pacific Corp., 3.646%, 2/15/2024      234,845   
     

 

 

  
        745,328   
     

 

 

  
   REITs – Health Care — 0.6%   
  478,000       HCP, Inc., 4.000%, 12/01/2022      505,141   
  31,000       Healthcare Realty Trust, Inc., 3.750%, 4/15/2023      31,791   
  385,000       Ventas Realty LP, 3.250%, 10/15/2026      388,598   
     

 

 

  
        925,530   
     

 

 

  
   REITs – Single Tenant — 0.1%   
  179,000       Realty Income Corp., 5.875%, 3/15/2035      220,212   
     

 

 

  
   Retailers — 0.8%   
  335,000       El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A      330,645   
  220,000       Home Depot, Inc. (The), 2.125%, 9/15/2026      216,148   
  143,000       Ross Stores, Inc., 3.375%, 9/15/2024      152,041   
  380,000       TJX Cos., Inc. (The), 2.250%, 9/15/2026      373,797   
  180,000       Walgreens Boots Alliance, Inc., 2.600%, 6/01/2021      184,206   
     

 

 

  
        1,256,837   
     

 

 

  
   Sovereigns — 0.3%   
  455,000       Republic of Turkey, 5.625%, 3/30/2021      484,575   
     

 

 

  
   Supermarkets — 0.3%   
  545,000       Kroger Co. (The), 2.650%, 10/15/2026      540,930   
     

 

 

  
   Technology — 1.4%   
  49,000       Apple, Inc., 2.700%, 5/13/2022      51,203   
  139,000       Apple, Inc., 2.850%, 2/23/2023      146,327   
  170,000       Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A      186,372   
  114,000       Hewlett Packard Enterprise Co., 4.400%, 10/15/2022, 144A      121,559   
  120,000       Hewlett Packard Enterprise Co., 4.900%, 10/15/2025, 144A      128,077   
  246,000       HP, Inc., 4.300%, 6/01/2021      266,065   
  72,000       Ingram Micro, Inc., 4.950%, 12/15/2024      72,862   
  280,000       Intel Corp., 2.600%, 5/19/2026      285,248   

 

See accompanying notes to financial statements.

 

|  46

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Technology — continued   
$ 89,000       Jabil Circuit, Inc., 5.625%, 12/15/2020    $ 96,120   
  22,000       Jabil Circuit, Inc., 8.250%, 3/15/2018      23,951   
  36,000       KLA-Tencor Corp., 4.125%, 11/01/2021      38,746   
  770,000       Pitney Bowes, Inc., 3.375%, 10/01/2021      769,630   
  67,000       Xerox Corp., 2.800%, 5/15/2020      66,620   
  89,000       Xerox Corp., 6.350%, 5/15/2018      94,513   
     

 

 

  
        2,347,293   
     

 

 

  
   Tobacco — 0.0%   
  31,000       Philip Morris International, Inc., 2.900%, 11/15/2021      32,535   
  5,000       Philip Morris International, Inc., 5.650%, 5/16/2018      5,347   
     

 

 

  
        37,882   
     

 

 

  
   Transportation Services — 0.3%   
  430,000       TTX Co., 2.600%, 6/15/2020, 144A      438,406   
     

 

 

  
   Treasuries — 26.1%   
  385,000       U.S. Treasury Note, 0.750%, 7/15/2019      383,752   
  775,000       U.S. Treasury Note, 0.750%, 8/15/2019      772,305   
  1,585,000       U.S. Treasury Note, 0.875%, 9/15/2019      1,584,938   
  2,350,900       U.S. Treasury Note, 1.125%, 2/28/2021      2,352,369   
  3,735,000       U.S. Treasury Note, 1.125%, 7/31/2021      3,729,603   
  4,730,000       U.S. Treasury Note, 1.125%, 8/31/2021      4,725,194   
  661,400       U.S. Treasury Note, 1.250%, 3/31/2021      664,862   
  5,966,200       U.S. Treasury Note, 1.375%, 1/31/2021      6,031,458   
  1,395,000       U.S. Treasury Note, 1.375%, 5/31/2021      1,410,094   
  1,790,000       U.S. Treasury Note, 1.375%, 6/30/2023      1,786,853   
  5,191,000       U.S. Treasury Note, 1.500%, 8/15/2026      5,140,507   
  3,771,900       U.S. Treasury Note, 1.625%, 6/30/2020      3,854,116   
  925,000       U.S. Treasury Note, 1.625%, 5/15/2026      926,229   
  782,100       U.S. Treasury Note, 1.750%, 4/30/2022      802,019   
  3,003,200       U.S. Treasury Note, 1.750%, 1/31/2023      3,074,175   
  2,319,500       U.S. Treasury Note, 1.875%, 8/31/2022      2,393,525   
  1,805,500       U.S. Treasury Note, 1.875%, 10/31/2022      1,862,698   
  728,500       U.S. Treasury Note, 2.000%, 11/15/2021      756,900   
     

 

 

  
        42,251,597   
     

 

 

  
   Wireless — 0.3%   
  385,000       Crown Castle International Corp., 4.875%, 4/15/2022      429,467   
     

 

 

  
   Wirelines — 0.5%   
  429,000       AT&T, Inc., 3.600%, 2/17/2023      452,206   
  400,000       Deutsche Telekom International Finance BV, 1.500%, 9/19/2019, 144A      399,856   
     

 

 

  
        852,062   
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $154,018,415)		      155,342,664   
     

 

 

  

 

See accompanying notes to financial statements.

 

47  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Municipals — 0.2%   
   New Jersey — 0.2%   
$ 275,000       New Jersey Economic Development Authority Revenue, School Facilities Construction, Refunding, Series QQ, 1.802%, 6/15/2017 (Identified Cost $275,000)    $ 276,326   
     

 

 

  
   Total Bonds and Notes
(Identified Cost $154,293,415)		      155,618,990   
     

 

 

  
     
  Short-Term Investments — 3.7%   
  6,065,192       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $6,065,207 on 10/03/2016 collateralized by $5,005,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $5,399,144; $795,000 U.S. Treasury Note, 0.750% due 9/30/2018 valued at $795,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,065,192)      6,065,192   
     

 

 

  
     
   Total Investments — 99.9%
(Identified Cost $160,358,607)(a)		      161,684,182   
   Other assets less liabilities — 0.1%      129,342   
     

 

 

  
   Net Assets — 100.0%    $ 161,813,524   
     

 

 

  
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At September 30, 2016, the net unrealized appreciation on investments based on a cost of $160,672,016 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 1,769,978   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (757,812 ) 
     

 

 

  
   Net unrealized appreciation    $ 1,012,166   
     

 

 

  
     
  (b)       Variable rate security. Rate as of September 30, 2016 is disclosed.   
  (c)       Fair valued by the Fund’s adviser. At September 30, 2016, the value of this security amounted to $23,756 or less than 0.1% of net assets.    
     
  144A       All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $32,103,749 or 19.8% of net assets.      
  ABS       Asset-Backed Securities   
  ARMs       Adjustable Rate Mortgages   
  FHLMC       Federal Home Loan Mortgage Corp.   
  FNMA       Federal National Mortgage Association   
  GMTN       Global Medium Term Note   
  GNMA       Government National Mortgage Association   
  MTN       Medium Term Note   
  REITs       Real Estate Investment Trusts   

 

See accompanying notes to financial statements.

 

|  48

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

 

Industry Summary at September 30, 2016

 

Treasuries

      26.1 % 

Banking

      15.1   

Non-Agency Commercial Mortgage-Backed Securities

      9.2   

ABS Car Loan

      7.2   

Agency Commercial Mortgage-Backed Securities

      4.5   

Mortgage Related

      3.3   

Electric

      2.4   

ABS Credit Card

      2.0   

Other Investments, less than 2% each

      26.4   

Short-Term Investments

      3.7   
  

 

 

  

Total Investments

      99.9   

Other assets less liabilities

      0.1   
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

49  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 98.1% of Net Assets   
   ABS Car Loan — 1.4%   
$ 1,550,000       Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A,
2.990%, 6/20/2022, 144A		    $ 1,588,291   
  2,210,666       CPS Auto Receivables Trust, Series 2015-C, Class A,
1.770%, 6/17/2019, 144A		      2,217,010   
  2,695,000       Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A,
1.880%, 3/15/2022, 144A		      2,700,192   
  1,825,000       Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A,
2.420%, 11/15/2023, 144A		      1,834,738   
  478,949       First Investors Auto Owner Trust, Series 2014-1A, Class A3,
1.490%, 1/15/2020, 144A		      479,113   
  3,500,000       NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A,
1.920%, 10/15/2019, 144A		      3,490,573   
  725,000       NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A2,
2.740%, 4/15/2021, 144A		      725,688   
     

 

 

  
        13,035,605   
     

 

 

  
   ABS Home Equity — 0.7%   
  2,462,863       Home Partners of America Trust, Series 2016-1, Class A,
2.181%, 3/17/2033, 144A(b)		      2,478,842   
  2,148,185       Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(b)      2,151,174   
  1,820,096       Towd Point Mortgage Trust, Series 2015-2, Class 1AE2,
2.750%, 11/25/2060, 144A(b)		      1,842,568   
     

 

 

  
        6,472,584   
     

 

 

  
   ABS Student Loan — 0.0%   
  400,000       SoFi Professional Loan Program, Series 2016-D, Class A1,
1.600%, 1/25/2039, 144A(b)		      400,000   
     

 

 

  
   Agency Commercial Mortgage-Backed Securities — 17.5%   
  6,835,078       Federal National Mortgage Association, Series 2015-M17, Class FA,
1.397%, 11/25/2022(b)		      6,855,943   
  1,000,000       Federal National Mortgage Association, Series 2016-M3, Class ASQ2,
2.263%, 2/25/2023		      1,023,941   
  6,000,000       FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020      6,496,807   
  4,305,000       FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021      4,708,702   
  4,000,000       FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021      4,280,541   
  6,625,000       FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021      7,003,968   
  3,508,587       FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018      3,582,093   
  693,427       FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018      706,327   
  2,590,000       FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018      2,639,299   

 

See accompanying notes to financial statements.

 

|  50

Table of Contents

Portfolio of Investments – as of September 30, 2016

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

 

Principal
Amount		      Description    Value (†)  
   Agency Commercial Mortgage-Backed Securities — continued   
$ 7,896,503       FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019    $ 8,030,295   
  34,370,000       FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019      34,744,420   
  5,040,000       FHLMC Multifamily Structured Pass Through Certificates, Series KABM, Class A, 1.225%, 9/25/2022(b)      5,045,945   
  1,774,943       FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 0.855%, 11/25/2021(b)      1,771,607   
  12,048,953       FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1.175%, 1/25/2023(b)      12,056,521   
  5,057,865       FHLMC Multifamily Structured Pass Through Certificates, Series KJ04, Class A1, 1.376%, 10/25/2020      5,060,538   
  19,300,000       FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.225%, 11/25/2022(b)      19,324,183   
  26,135,000       FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019      26,375,581   
  216,741       Government National Mortgage Association, Series 2003-72, Class Z,
5.247%, 11/16/2045(b)		      236,368   
  192,529       Government National Mortgage Association, Series 2003-88, Class Z,
4.879%, 3/16/2046(b)		      209,133   
  11,362,046       Government National Mortgage Association, Series 2013-52, Class KX,
3.534%, 8/16/2051(b)		      11,781,022   
     

 

 

  
        161,933,234   
     

 

 

  
   Collateralized Mortgage Obligations — 14.4%   
  99,136       Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD,
1.210%, 5/15/2023(b)(c)		      94,823   
  65,794       Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I,
0.910%, 8/15/2023(b)(c)		      64,032   
  253,696       Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB,
6.000%, 3/15/2029(c)		      276,662   
  36,249       Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM,
0.924%, 11/15/2032(b)(c)		      35,544   
  1,010,675       Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC,
5.000%, 10/15/2019		      1,049,407   
  1,662,043       Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE,
4.000%, 2/15/2020		      1,694,112   
  1,862,864       Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG,
5.500%, 5/15/2035		      2,106,332   
  2,896,940       Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE,
5.000%, 9/15/2035		      3,219,979   
  375,492       Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE,
5.500%, 11/15/2034(c)		      373,335   
  3,126,744       Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY,
5.500%, 2/15/2038		      3,387,838   
  2,053,249       Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W,
3.287%, 6/15/2048(b)		      2,021,516   

 

See accompanying notes to financial statements.

 

51  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

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

 

Principal
Amount		      Description    Value (†)  
   Collateralized Mortgage Obligations — continued   
$ 2,412,367       Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT,
4.265%, 12/15/2036(b)		    $ 2,539,793   
  864,469       Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW,
2.624%, 6/15/2043(b)		      850,702   
  1,881,772       Federal National Mortgage Association, REMIC, Series 2003-48, Class GH,
5.500%, 6/25/2033		      2,150,590   
  67,620       Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.470%, 9/25/2022(b)(c)      66,624   
  63,703       Federal National Mortgage Association, REMIC, Series 1994-42, Class FD,
1.070%, 4/25/2024(b)(c)		      62,108   
  19,066       Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 4.034%, 8/25/2042(b)(c)      19,778   
  1,054,378       Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025      1,160,461   
  436,099       Federal National Mortgage Association, REMIC, Series 2005-33, Class QD,
5.000%, 1/25/2034(c)		      436,062   
  1,174,444       Federal National Mortgage Association, REMIC, Series 2007-73, Class A1,
0.585%, 7/25/2037(b)		      1,151,430   
  2,288,457       Federal National Mortgage Association, REMIC, Series 2008-86, Class LA,
3.496%, 8/25/2038(b)		      2,446,529   
  5,412,360       Federal National Mortgage Association, REMIC, Series 2013-67, Class NF,
1.525%, 7/25/2043(b)		      5,253,004   
  48,479       Federal National Mortgage Association, REMIC, Series G93-19, Class FD,
1.050%, 4/25/2023(b)(c)		      47,266   
  11,585       FHLMC Structured Pass Through Securities, Series T-60, Class 2A1,
3.479%, 3/25/2044(b)(c)		      12,377   
  877,555       FHLMC Structured Pass Through Securities, Series T-62, Class 1A1,
1.689%, 10/25/2044(b)		      895,659   
  1,359,521       Government National Mortgage Association, Series 2010-H20, Class AF,
0.824%, 10/20/2060(b)		      1,347,611   
  1,209,951       Government National Mortgage Association, Series 2010-H24, Class FA,
0.844%, 10/20/2060(b)		      1,199,816   
  1,112,470       Government National Mortgage Association, Series 2011-H06, Class FA,
0.944%, 2/20/2061(b)		      1,107,858   
  1,973,751       Government National Mortgage Association, Series 2012-124, Class HT,
7.221%, 7/20/2032(b)		      2,244,105   
  3,400,821       Government National Mortgage Association, Series 2012-H15, Class FA,
0.944%, 5/20/2062(b)		      3,401,050   
  1,250,509       Government National Mortgage Association, Series 2012-H18, Class NA,
1.014%, 8/20/2062(b)		      1,248,508   
  6,272,755       Government National Mortgage Association, Series 2012-H29, Class HF,
0.994%, 10/20/2062(b)		      6,264,996   
  5,641,265       Government National Mortgage Association, Series 2013-H02, Class GF,
0.994%, 12/20/2062(b)		      5,636,306   
  4,796,689       Government National Mortgage Association, Series 2013-H08, Class FA,
0.844%, 3/20/2063(b)		      4,757,129   
  3,651,120       Government National Mortgage Association, Series 2013-H10, Class FA,
0.894%, 3/20/2063(b)		      3,631,166   

 

See accompanying notes to financial statements.

 

|  52

Table of Contents

Portfolio of Investments – as of September 30, 2016

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

 

Principal
Amount		      Description    Value (†)  
   Collateralized Mortgage Obligations — continued   
$ 12,020,528       Government National Mortgage Association, Series 2013-H22, Class FT,
1.180%, 4/20/2063(b)		    $ 12,130,546   
  6,946,284       Government National Mortgage Association, Series 2014-H14, Class FA,
0.994%, 7/20/2064(b)		      6,906,075   
  4,833,105       Government National Mortgage Association, Series 2014-H15, Class FA, 0.994%, 7/20/2064(b)      4,801,946   
  10,631,136       Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065      10,640,703   
  3,031,163       Government National Mortgage Association, Series 2015-H11, Class FA, 0.744%, 4/20/2065(b)      3,013,817   
  6,903,969       Government National Mortgage Association, Series 2015-H19, Class FH, 0.794%, 7/20/2065(b)      6,883,130   
  2,250,154       Government National Mortgage Association, Series 2015-H29, Class FA, 1.194%, 10/20/2065(b)      2,251,166   
  1,427,732       Government National Mortgage Association, Series 2015-H30, Class FA, 1.174%, 8/20/2061(b)      1,426,910   
  7,034,594       Government National Mortgage Association, Series 2016-H06, Class FC, 1.414%, 2/20/2066(b)      7,085,553   
  4,896,383       Government National Mortgage Association, Series 2016-H10, Class FJ, 1.123%, 4/20/2066(b)      4,894,635   
  8,960,000       Government National Mortgage Association, Series 2016-H19, Class FJ, 0.924%, 9/20/2063(b)      8,915,259   
  374,713       NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.863%, 12/07/2020(b)      373,858   
  874,440       NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.969%, 10/07/2020(b)      876,142   
  1,361,770       NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 1.079%, 12/08/2020(b)      1,364,132   
  89,325       NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 1.079%, 12/08/2020(b)      89,511   
     

 

 

  
        133,907,891   
     

 

 

  
   Government Sponsored — 1.5%   
  13,510,000       Federal Home Loan Bank, 1.000%, 9/26/2019      13,498,165   
     

 

 

  
   Hybrid ARMs — 11.2%   
  729,415       FHLMC, 2.618%, 4/01/2036(b)      757,205   
  969,446       FHLMC, 2.643%, 6/01/2037(b)      1,005,461   
  328,308       FHLMC, 2.667%, 9/01/2038(b)      347,246   
  1,742,190       FHLMC, 2.681%, 2/01/2036(b)      1,845,277   
  1,122,811       FHLMC, 2.694%, 9/01/2038(b)      1,182,525   
  5,721,909       FHLMC, 2.709%, 3/01/2037(b)      6,048,926   
  2,187,430       FHLMC, 2.720%, 7/01/2033(b)      2,315,794   
  3,565,684       FHLMC, 2.721%, 2/01/2036(b)      3,749,812   
  1,368,552       FHLMC, 2.754%, 9/01/2038(b)      1,448,444   
  880,269       FHLMC, 2.765%, 4/01/2037(b)      931,170   
  665,119       FHLMC, 2.798%, 11/01/2038(b)      704,811   
  895,565       FHLMC, 2.907%, 11/01/2038(b)      947,070   
  1,555,806       FHLMC, 2.921%, 3/01/2036(b)      1,646,566   
  2,553,083       FHLMC, 2.927%, 9/01/2035(b)      2,708,766   
  579,986       FHLMC, 2.964%, 2/01/2035(b)      611,893   
  2,642,512       FHLMC, 2.975%, 4/01/2037(b)      2,793,474   
  633,819       FHLMC, 3.001%, 12/01/2034(b)      671,570   

 

See accompanying notes to financial statements.

 

53  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

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

 

Principal
Amount		      Description    Value (†)  
   Hybrid ARMs — continued   
$ 1,562,839       FHLMC, 3.009%, 3/01/2038(b)    $ 1,657,496   
  708,191       FHLMC, 3.207%, 3/01/2037(b)      752,103   
  139,694       FHLMC, 3.460%, 12/01/2037(b)      145,074   
  243,818       FNMA, 2.423%, 2/01/2037(b)      253,565   
  1,938,069       FNMA, 2.436%, 7/01/2035(b)      2,021,048   
  1,336,146       FNMA, 2.527%, 1/01/2036(b)      1,417,199   
  737,120       FNMA, 2.543%, 10/01/2033(b)      778,893   
  2,785,555       FNMA, 2.625%, 11/01/2033(b)      2,923,244   
  2,021,414       FNMA, 2.629%, 10/01/2033(b)      2,141,004   
  540,389       FNMA, 2.634%, 11/01/2035(b)      571,095   
  750,612       FNMA, 2.637%, 12/01/2034(b)      789,580   
  4,695,777       FNMA, 2.649%, 4/01/2034(b)      4,956,185   
  662,131       FNMA, 2.660%, 9/01/2034(b)      696,355   
  3,543,903       FNMA, 2.689%, 7/01/2035(b)      3,733,579   
  3,261,561       FNMA, 2.695%, 4/01/2037(b)      3,426,305   
  1,127,951       FNMA, 2.703%, 9/01/2036(b)      1,183,480   
  1,422,887       FNMA, 2.738%, 6/01/2036(b)      1,513,233   
  6,094,172       FNMA, 2.748%, 10/01/2034(b)      6,438,710   
  1,927,283       FNMA, 2.751%, 4/01/2037(b)      2,037,170   
  342,277       FNMA, 2.762%, 4/01/2033(b)      360,589   
  4,873,130       FNMA, 2.763%, 9/01/2037(b)      5,127,103   
  1,449,940       FNMA, 2.801%, 6/01/2033(b)      1,532,071   
  879,187       FNMA, 2.806%, 2/01/2037(b)      929,222   
  4,104,049       FNMA, 2.807%, 6/01/2037(b)      4,359,536   
  1,881,253       FNMA, 2.840%, 8/01/2035(b)      1,982,498   
  1,394,468       FNMA, 2.842%, 4/01/2034(b)      1,470,888   
  1,112,324       FNMA, 2.873%, 5/01/2035(b)      1,184,657   
  481,983       FNMA, 2.905%, 8/01/2035(b)      510,098   
  1,139,343       FNMA, 2.906%, 8/01/2034(b)      1,211,001   
  4,898,447       FNMA, 2.912%, 3/01/2037(b)      5,174,969   
  512,240       FNMA, 2.915%, 8/01/2038(b)      533,554   
  1,604,810       FNMA, 2.924%, 2/01/2047(b)      1,685,814   
  311,729       FNMA, 2.932%, 8/01/2033(b)      330,817   
  3,104,522       FNMA, 2.938%, 9/01/2037(b)      3,279,677   
  498,151       FNMA, 2.977%, 8/01/2036(b)      529,421   
  744,485       FNMA, 3.011%, 7/01/2041(b)      777,882   
  3,948,882       FNMA, 3.039%, 7/01/2037(b)      4,174,272   
  1,453,104       FNMA, 3.723%, 6/01/2035(b)      1,537,895   
     

 

 

  
        103,843,292   
     

 

 

  
   Mortgage Related — 18.2%   
  115,185       FHLMC, 3.000%, 10/01/2026      121,030   
  830,393       FHLMC, 4.000%, with various maturities from 2024 to 2042(d)      889,097   
  616,031       FHLMC, 4.500%, with various maturities from 2025 to 2034(d)      659,403   
  257,778       FHLMC, 5.500%, 10/01/2023      278,862   
  21,376       FHLMC, 6.000%, 11/01/2019      22,353   
  388,761       FHLMC, 6.500%, with various maturities from 2017 to 2034(d)      462,647   
  444       FHLMC, 7.500%, 6/01/2026      508   

 

See accompanying notes to financial statements.

 

|  54

Table of Contents

Portfolio of Investments – as of September 30, 2016

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

 

Principal
Amount		      Description    Value (†)  
   Mortgage Related — continued   
$ 1,016       FHLMC, 10.000%, 7/01/2019    $ 1,068   
  17,118       FHLMC, 11.500%, 4/01/2020      17,378   
  184,299       FNMA, 3.000%, 3/01/2042      192,982   
  2,273,646       FNMA, 5.000%, with various maturities from 2037 to 2038(d)      2,554,052   
  1,231,376       FNMA, 5.500%, with various maturities from 2018 to 2033(d)      1,366,694   
  1,651,014       FNMA, 6.000%, with various maturities from 2017 to 2022(d)      1,794,481   
  233,281       FNMA, 6.500%, with various maturities from 2017 to 2037(d)      271,982   
  13,309       FNMA, 7.000%, 12/01/2022      13,345   
  91,131       FNMA, 7.500%, with various maturities from 2017 to 2032(d)      104,598   
  4,336,123       GNMA, 2.208%, 2/20/2061(b)      4,521,165   
  3,232,773       GNMA, 2.339%, 2/20/2063(b)      3,388,302   
  4,385,572       GNMA, 2.626%, 3/20/2063(b)      4,633,273   
  1,261,976       GNMA, 2.724%, 6/20/2065(b)      1,348,568   
  1,210,219       GNMA, 2.730%, 5/20/2065(b)      1,294,990   
  2,445,643       GNMA, 2.822%, 2/20/2063(b)      2,594,125   
  3,551,932       GNMA, 4.427%, 6/20/2063      3,854,579   
  1,948,674       GNMA, 4.444%, 3/20/2063      2,096,102   
  1,907,628       GNMA, 4.463%, 2/20/2063      2,041,135   
  4,148,796       GNMA, 4.485%, 2/20/2062      4,378,834   
  4,816,485       GNMA, 4.489%, 10/20/2065      5,458,652   
  4,374,273       GNMA, 4.531%, 12/20/2061      4,610,692   
  6,853,370       GNMA, 4.542%, 12/20/2062      7,342,516   
  16,544,009       GNMA, 4.550%, 12/20/2061      17,444,170   
  1,959,476       GNMA, 4.561%, 3/20/2062      2,073,678   
  11,545,510       GNMA, 4.590%, 11/20/2062      12,339,444   
  1,388,086       GNMA, 4.594%, 4/20/2063      1,499,740   
  4,094,189       GNMA, 4.595%, 6/20/2062      4,333,277   
  2,927,424       GNMA, 4.605%, with various maturities from 2063 to 2066(d)      3,279,994   
  1,203,793       GNMA, 4.608%, 8/20/2061      1,261,499   
  1,712,536       GNMA, 4.632%, 3/20/2062      1,810,351   
  1,846,024       GNMA, 4.634%, 3/20/2064      2,063,485   
  2,147,848       GNMA, 4.651%, 11/20/2063      2,397,994   
  450,104       GNMA, 4.659%, 1/20/2064      503,498   
  6,964,075       GNMA, 4.667%, 2/20/2062      7,366,325   
  8,263,251       GNMA, 4.683%, 8/20/2061      8,588,712   
  3,384,024       GNMA, 4.686%, 2/20/2062      3,564,018   
  1,913,903       GNMA, 4.687%, 5/20/2064      2,164,647   
  1,397,257       GNMA, 4.699%, 6/20/2061      1,445,477   
  7,166,717       GNMA, 4.700%, with various maturities in 2061(d)      7,485,738   
  1,436,100       GNMA, 4.717%, 3/20/2061      1,492,528   
  1,293,394       GNMA, 4.755%, 8/20/2062      1,365,710   
  582,287       GNMA, 5.082%, 4/20/2061      614,393   
  18,371       GNMA, 6.000%, 12/15/2031      21,462   
  80,605       GNMA, 6.500%, 5/15/2031      97,180   
  75,702       GNMA, 7.000%, 10/15/2028      84,167   
  4,312,989       Government National Mortgage Association, Series 2015-H04, Class FL, 0.964%, 2/20/2065(b)      4,281,786   

 

See accompanying notes to financial statements.

 

55  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

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

 

Principal
Amount		      Description    Value (†)  
   Mortgage Related — continued   
$ 5,629,379       Government National Mortgage Association, Series 2015-H05, Class FA, 0.794%, 4/20/2061(b)    $ 5,587,691   
  13,069,884       Government National Mortgage Association, Series 2015-H09, Class HA,
1.750%, 3/20/2065		      13,081,801   
  6,560,540       Government National Mortgage Association, Series 2015-H12, Class FL,
0.724%, 5/20/2065(b)		      6,484,784   
     

 

 

  
        169,046,962   
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities — 5.9%   
  636,349       A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A      633,516   
  2,482,346       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.791%, 4/10/2049(b)      2,495,375   
  313,904       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051      321,167   
  3,445,000       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2016-ASHF, Class A, 2.424%, 12/15/2033, 144A(b)      3,485,834   
  478,172       Barclays Commercial Mortgage Securities, Series 2015-RRI, Class A,
1.674%, 5/15/2032, 144A(b)		      478,168   
  3,256,355       CDGJ Commercial Mortgage Trust Pass Through Certificates,
Series 2014-BXCH, 1.924%, 12/15/2027, 144A(b)		      3,259,415   
  2,465,794       CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A,
1.474%, 6/15/2031, 144A(b)		      2,465,014   
  3,425,000       Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class A, 1.894%, 10/15/2031, 144A(b)      3,361,697   
  3,040,000       Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class SV1, 2.374%, 10/15/2031, 144A(b)(e)(f)      3,037,018   
  4,282,000       Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049      4,576,456   
  2,438,425       GP Portfolio Trust, Series 2014-GPP, Class A, 1.474%, 2/15/2027, 144A(b)      2,434,522   
  3,280,539       Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049      3,367,221   
  3,042,252       Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039      3,046,731   
  5,535,000       JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.424%, 10/15/2029, 144A(b)      5,480,323   
  1,478,689       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.504%, 7/15/2031, 144A(b)      1,478,041   
  4,115,000       JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.224%, 7/15/2036, 144A(b)      4,138,186   
  985,704       LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3,
5.430%, 2/15/2040		      993,848   
  706,197       Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048      709,618   
  1,788,000       Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)      1,805,955   
  1,723,925       Resource Capital Corp. Ltd., Series 2014-CRE2, Class A,
1.580%, 4/15/2032, 144A(b)		      1,705,287   
  3,700,000       Starwood Retail Property Trust, Inc., 1.744%, 11/15/2027, 144A(b)      3,670,622   

 

See accompanying notes to financial statements.

 

|  56

Table of Contents

Portfolio of Investments – as of September 30, 2016

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

 

Principal
Amount		      Description    Value (†)  
   Non-Agency Commercial Mortgage-Backed Securities — continued   
$ 1,361,349       Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3,
5.678%, 5/15/2046		    $ 1,386,189   
     

 

 

  
        54,330,203   
     

 

 

  
   Sovereigns — 0.2%   
  1,955,000       U.S. Department of Housing and Urban Development, Series 4,
1.880%, 8/01/2019		      1,995,566   
     

 

 

  
   Treasuries — 27.1%   
  6,635,000       U.S. Treasury Note, 0.750%, 7/15/2019      6,613,489   
  6,000,000       U.S. Treasury Note, 0.750%, 8/15/2019      5,979,138   
  15,365,000       U.S. Treasury Note, 1.000%, 10/31/2016      15,375,156   
  15,970,000       U.S. Treasury Note, 1.125%, 1/15/2019      16,077,303   
  24,105,000       U.S. Treasury Note, 1.125%, 6/30/2021      24,076,749   
  28,700,000       U.S. Treasury Note, 1.125%, 8/31/2021      28,670,841   
  21,450,000       U.S. Treasury Note, 1.250%, 1/31/2020      21,647,748   
  48,640,000       U.S. Treasury Note, 1.375%, 1/31/2021      49,172,024   
  15,120,000       U.S. Treasury Note, 1.375%, 9/30/2023      15,062,710   
  4,860,000       U.S. Treasury Note, 1.500%, 5/31/2020      4,943,339   
  8,705,000       U.S. Treasury Note, 1.625%, 3/31/2019      8,870,595   
  2,385,000       U.S. Treasury Note, 1.625%, 8/31/2019      2,435,216   
  10,050,000       U.S. Treasury Note, 1.625%, 12/31/2019      10,266,306   
  17,125,000       U.S. Treasury Note, 1.625%, 7/31/2020      17,497,606   
  10,360,000       U.S. Treasury Note, 1.625%, 11/30/2020      10,583,797   
  13,545,000       U.S. Treasury Note, 2.125%, 8/31/2020      14,092,625   
     

 

 

  
        251,364,642   
     

 

 

  
   Total Bonds and Notes
(Identified Cost $912,811,312)		      909,828,144   
     

 

 

  
     
  Short-Term Investments — 2.1%   
  7,910,000       Federal Home Loan Bank Discount Notes, 0.100%, 10/06/2016(g)      7,909,873   
  7,910,000       Federal Home Loan Bank Discount Notes, 0.100%, 10/07/2016(g)      7,909,834   
  4,037,380       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $4,037,390 on 10/03/2016 collateralized by $3,750,000 U.S. Treasury Note, 2.750% due 2/15/2024 valued at $4,120,313 including accrued interest (Note 2 of Notes to Financial Statements)      4,037,380   
     

 

 

  
   Total Short-Term Investments
(Identified Cost $19,857,226)		      19,857,087   
     

 

 

  
     
   Total Investments — 100.2%
(Identified Cost $932,668,538)(a)		      929,685,231   
   Other assets less liabilities — (0.2)%      (2,088,995 ) 
     

 

 

  
   Net Assets — 100.0%    $ 927,596,236   
     

 

 

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

 

See accompanying notes to financial statements.

 

57  |

Table of Contents

Portfolio of Investments – as of September 30, 2016

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

 

     
  (a)       Federal Tax Information:   
   At September 30, 2016, the net unrealized depreciation on investments based on a cost of $932,952,443 for federal income tax purposes was as follows:    
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 5,747,831   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (9,015,043 ) 
     

 

 

  
   Net unrealized depreciation    $ (3,267,212 ) 
     

 

 

  
     
  (b)       Variable rate security. Rate as of September 30, 2016 is disclosed.   
  (c)       Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $1,488,611 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.    
  (d)       The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.       
  (e)       Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $3,037,018 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.     
  (f)       Illiquid security. (Unaudited)   
  (g)       Interest rate represents discount rate at time of purchase; not a coupon rate.   
     
  144A       All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $55,535,832 or 6.0% of net assets.      
  ABS       Asset-Backed Securities   
  ARMs       Adjustable Rate Mortgages   
  FHLMC       Federal Home Loan Mortgage Corp.   
  FNMA       Federal National Mortgage Association   
  GNMA       Government National Mortgage Association   
  REMIC       Real Estate Mortgage Investment Conduit   

Industry Summary at September 30, 2016

 

Treasuries

      27.1  % 

Mortgage Related

      18.2   

Agency Commercial Mortgage-Backed Securities

      17.5   

Collateralized Mortgage Obligations

      14.4   

Hybrid ARMs

      11.2   

Non-Agency Commercial Mortgage-Backed Securities

      5.9   

Other Investments, less than 2% each

      3.8   

Short-Term Investments

      2.1   
  

 

 

  

Total Investments

      100.2   

Other assets less liabilities

      (0.2 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

See accompanying notes to financial statements.

 

|  58

Table of Contents

Statements of Assets and Liabilities

 

September 30, 2016

 

     High Income
Fund		     Intermediate
Duration
Bond Fund		     Limited Term
Government
and Agency
Fund		  

ASSETS

       

Investments at cost

    $ 177,390,961      $ 160,358,607      $ 932,668,538   

Net unrealized appreciation (depreciation)

      (3,057,367 )      1,325,575        (2,983,307 ) 
  

 

 

    

 

 

    

 

 

  

Investments at value

      174,333,594        161,684,182        929,685,231   

Cash

      11,497        —        8,963,956   

Due from brokers (Note 2)

      7,000        —        —   

Receivable for Fund shares sold

      409,880        3,625,476        903,845   

Receivable for securities sold

      3,125        3,607,407        40,358,826   

Dividends and interest receivable

      2,502,833        557,071        2,466,162   

Unrealized appreciation on forward foreign currency contracts (Note 2)

      233        —        —   

Tax reclaims receivable

      113        —        —   

Prepaid expenses (Note 7)

      667        630        4,123   
  

 

 

    

 

 

    

 

 

  

TOTAL ASSETS

      177,268,942        169,474,766        982,382,143   
  

 

 

    

 

 

    

 

 

  

LIABILITIES

       

Payable for securities purchased

      576,206        7,435,392        52,896,451   

Payable for Fund shares redeemed

      94,323        68,176        866,403   

Distributions payable

      —        —        282,209   

Management fees payable (Note 6)

      104,536        20,822        286,840   

Deferred Trustees’ fees (Note 6)

      138,870        91,845        277,672   

Administrative fees payable (Note 6)

      6,242        5,648        33,812   

Payable to distributor (Note 6d)

      2,170        670        5,346   

Other accounts payable and accrued expenses

      70,134        38,689        137,174   
  

 

 

    

 

 

    

 

 

  

TOTAL LIABILITIES

      992,481        7,661,242        54,785,907   
  

 

 

    

 

 

    

 

 

  

NET ASSETS

    $ 176,276,461      $ 161,813,524      $ 927,596,236   
  

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF:

       

Paid-in capital

    $ 182,442,032      $ 159,609,800      $ 943,352,211   

Undistributed (Distributions in excess of) net investment income

      (462,119 )      (46,973 )      206,971   

Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions

      (2,644,640 )      925,122        (12,979,639 ) 

Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations

      (3,058,812 )      1,325,575        (2,983,307 ) 
  

 

 

    

 

 

    

 

 

  

NET ASSETS

    $ 176,276,461      $ 161,813,524      $ 927,596,236   
  

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

59  |

Table of Contents

Statements of Assets and Liabilities (continued)

 

September 30, 2016

 

     High Income
Fund		      Intermediate
Duration
Bond Fund		      Limited Term
Government
and Agency
Fund		  

COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE:

         

Class A shares:

         

Net assets

    $ 34,820,023       $ 19,327,479       $ 442,671,381   
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      8,231,175         1,836,345         38,461,737   
  

 

 

     

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 4.23       $ 10.52       $ 11.51   
  

 

 

     

 

 

     

 

 

  

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

    $ 4.42       $ 10.99       $ 11.77   
  

 

 

     

 

 

     

 

 

  

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

         

Net assets

    $ 12,287,615       $ 3,088,270       $ 73,026,808   
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      2,897,625         293,283         6,339,471   
  

 

 

     

 

 

     

 

 

  

Net asset value and offering price per share

    $ 4.24       $ 10.53       $ 11.52   
  

 

 

     

 

 

     

 

 

  

Class Y shares:

         

Net assets

    $ 129,168,823       $ 139,397,775       $ 411,898,047   
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      30,608,965         13,248,536         35,673,753   
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 4.22       $ 10.52       $ 11.55   
  

 

 

     

 

 

     

 

 

  

 

See accompanying notes to financial statements.

 

|  60

Table of Contents

Statements of Operations

 

For the Year Ended September 30, 2016

 

    High Income
Fund		     Intermediate
Duration Bond
Fund		     Limited Term
Government
and Agency
Fund		  

INVESTMENT INCOME

      

Interest

   $ 9,845,287      $ 3,328,498      $ 15,742,859   

Dividends

     321,901        —        —   

Less net foreign taxes withheld

     (2,758 )      (80 )      —   
 

 

 

    

 

 

    

 

 

  
    10,164,430        3,328,418        15,742,859   
 

 

 

    

 

 

    

 

 

  

Expenses

      

Management fees (Note 6)

     971,664        330,657        3,309,940   

Service and distribution fees (Note 6)

     203,910        48,482        1,782,782   

Administrative fees (Note 6)

     71,381        58,358        401,349   

Trustees’ fees and expenses (Note 6)

     28,536        25,555        51,193   

Transfer agent fees and expenses (Note 6)

     197,329        41,660        719,832   

Audit and tax services fees

     52,554        52,558        56,844   

Custodian fees and expenses

     23,140        19,407        46,340   

Legal fees

     2,651        2,182        15,311   

Registration fees

     66,659        64,111        81,496   

Shareholder reporting expenses

     15,158        20,771        48,327   

Miscellaneous expenses (Note 7)

     15,326        10,365        32,743   
 

 

 

    

 

 

    

 

 

  

Total expenses

     1,648,308        674,106        6,546,157   

Less waiver and/or expense reimbursement (Note 6)

     (67,553 )      (96,550 )      —   
 

 

 

    

 

 

    

 

 

  

Net expenses

     1,580,755        577,556        6,546,157   
 

 

 

    

 

 

    

 

 

  

Net investment income

     8,583,675        2,750,862        9,196,702   
 

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

      

Net realized gain (loss) on:

      

Investments

     (5,386,807 )      1,570,969        2,246,153   

Futures contracts

     (176,542 )      —        —   

Foreign currency transactions

     217,666        —        —   

Net change in unrealized appreciation (depreciation) on:

      

Investments

     13,492,650        1,160,767        (2,140,764 ) 

Futures contracts

     160,868        —        —   

Foreign currency translations

     (247,496 )      —        —   
 

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain on investments, futures contracts and foreign currency transactions

     8,060,339        2,731,736        105,389   
 

 

 

    

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 16,644,014      $ 5,482,598      $ 9,302,091   
 

 

 

    

 

 

    

 

 

  

 

See accompanying notes to financial statements.

 

61  |

Table of Contents

Statements of Changes in Net Assets

 

     High Income Fund     Intermediate Duration
Bond Fund		  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		  

FROM OPERATIONS:

         

Net investment income

    $ 8,583,675      $ 8,768,344      $ 2,750,862      $ 1,895,908   

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

      (5,345,683 )      1,420,418        1,570,969        453,061   

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

      13,406,022        (19,080,751 )      1,160,767        (279,129 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      16,644,014        (8,891,989 )      5,482,598        2,069,840   
  

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

         

Net investment income

         

Class A

      (1,391,187 )      (1,926,317 )      (390,657 )      (195,269 ) 

Class B(a)

      (14 )      (2,085 )      —        —   

Class C

      (384,341 )      (515,596 )      (1 )      —   

Class Y

      (4,855,484 )      (6,296,139 )      (2,556,145 )      (1,890,490 ) 

Net realized capital gains

         

Class A

      (81,866 )      (1,004,492 )      (64,649 )      (2,801 ) 

Class B(a)

      (3 )      (2,711 )      —        —   

Class C

      (29,530 )      (348,393 )      —        —   

Class Y

      (273,287 )      (3,159,866 )      (284,383 )      (35,990 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      (7,015,712 )      (13,255,599 )      (3,295,835 )      (2,124,550 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

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

      (670,213 )      6,973,865        52,609,062        34,383,012   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets

      8,958,089        (15,173,723 )      54,795,825        34,328,302   

NET ASSETS

         

Beginning of the year

      167,318,372        182,492,095        107,017,699        72,689,397   
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the year

    $ 176,276,461      $ 167,318,372      $ 161,813,524      $ 107,017,699   
  

 

 

    

 

 

    

 

 

    

 

 

  

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME

    $ (462,119 )    $ 61,927      $ (46,973 )    $ (64,773 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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

 

See accompanying notes to financial statements.

 

|  62

Table of Contents

Statements of Changes in Net Assets (continued)

 

     Limited Term Government and
Agency Fund		  
     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		  

FROM OPERATIONS:

     

Net investment income

    $ 9,196,702      $ 9,761,506   

Net realized gain on investments

      2,246,153        4,686,019   

Net change in unrealized appreciation (depreciation) on investments

      (2,140,764 )      (4,747,808 ) 
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      9,302,091        9,699,717   
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

     

Net investment income

     

Class A

      (5,792,542 )      (5,253,842 ) 

Class B(a)

      (5,359 )      (29,227 ) 

Class C

      (543,862 )      (503,848 ) 

Class Y

      (7,311,896 )      (6,898,857 ) 
  

 

 

    

 

 

  

Total distributions

      (13,653,659 )      (12,685,774 ) 
  

 

 

    

 

 

  

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

      88,093,679        141,117,260   
  

 

 

    

 

 

  

Net increase in net assets

      83,742,111        138,131,203   

NET ASSETS

     

Beginning of the year

      843,854,125        705,722,922   
  

 

 

    

 

 

  

End of the year

    $ 927,596,236      $ 843,854,125   
  

 

 

    

 

 

  

UNDISTRIBUTED NET INVESTMENT INCOME

    $ 206,971      $ 38,911   
  

 

 

    

 

 

  

 

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

 

See accompanying notes to financial statements.

 

63  |

Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    High Income Fund—Class A  
    Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 3.99      $ 4.49      $ 4.59      $ 4.60      $ 4.46   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.20        0.19        0.21        0.24        0.24   

Net realized and unrealized gain (loss)

     0.21        (0.39 )      0.17        0.03        0.59   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.41        (0.20 )      0.38        0.27        0.83   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.16 )      (0.19 )      (0.22 )      (0.27 )      (0.30 ) 

Net realized capital gains

     (0.01 )      (0.11 )      (0.26 )      (0.01 )      (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.17 )      (0.30 )      (0.48 )      (0.28 )      (0.69 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 4.23      $ 3.99      $ 4.49      $ 4.59      $ 4.60   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     10.66 %(c)      (4.78 )%(c)      8.42 %      6.27 %      20.90 %(c) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 34,820      $ 37,870      $ 42,630      $ 45,791      $ 95,876   

Net expenses

     1.10 %(d)      1.11 %(d)(e)      1.14 %      1.15 %(f)      1.15 %(d) 

Gross expenses

     1.14 %      1.13 %      1.14 %      1.15 %(f)      1.19 % 

Net investment income

     5.16 %      4.41 %      4.57 %      5.11 %      5.50 % 

Portfolio turnover rate

     38 %      69 %      59 %      47 %      34 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A sales charge for Class A shares is not reflected in total return calculations.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Effective July 1, 2015, the expense limit decreased to 1.10%.
(f) Includes fee/expense recovery of 0.02%.

 

See accompanying notes to financial statements.

 

|  64

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class C  
    Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 4.00      $ 4.50      $ 4.61      $ 4.61      $ 4.47   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.18        0.16        0.18        0.21        0.21   

Net realized and unrealized gain (loss)

     0.20        (0.39 )      0.16        0.04        0.59   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.38        (0.23 )      0.34        0.25        0.80   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.13 )      (0.16 )      (0.19 )      (0.24 )      (0.27 ) 

Net realized capital gains

     (0.01 )      (0.11 )      (0.26 )      (0.01 )      (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.14 )      (0.27 )      (0.45 )      (0.25 )      (0.66 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 4.24      $ 4.00      $ 4.50      $ 4.61      $ 4.61   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     9.81 %(c)      (5.48 )%(c)      7.60 %      5.46 %      19.96 %(c) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 12,288      $ 12,609      $ 14,555      $ 15,233      $ 16,863   

Net expenses

     1.85 %(d)      1.86 %(d)(e)      1.89 %      1.90 %(f)      1.90 %(d) 

Gross expenses

     1.89 %      1.88 %      1.89 %      1.90 %(f)      1.94 % 

Net investment income

     4.43 %      3.68 %      3.84 %      4.36 %      4.78 % 

Portfolio turnover rate

     38 %      69 %      59 %      47 %      34 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Effective July 1, 2015, the expense limit decreased to 1.85%.
(f) Includes fee/expense recovery of 0.01%.

 

See accompanying notes to financial statements.

 

65  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class Y  
    Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 3.98      $ 4.48      $ 4.59      $ 4.59      $ 4.46   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.21        0.20        0.22        0.25        0.26   

Net realized and unrealized gain (loss)

     0.21        (0.39 )      0.16        0.04        0.57   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.42        (0.19 )      0.38        0.29        0.83   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.17 )      (0.20 )      (0.23 )      (0.28 )      (0.31 ) 

Net realized capital gains

     (0.01 )      (0.11 )      (0.26 )      (0.01 )      (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.18 )      (0.31 )      (0.49 )      (0.29 )      (0.70 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 4.22      $ 3.98      $ 4.48      $ 4.59      $ 4.59   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     10.98 %(b)      (4.54 )%(b)      8.72 %      6.56 %      20.93 %(b) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 129,169      $ 116,837      $ 125,185      $ 108,170      $ 110,917   

Net expenses

     0.85 %(c)      0.86 %(c)(d)      0.89 %      0.90 %(e)      0.90 %(c) 

Gross expenses

     0.89 %      0.88 %      0.89 %      0.90 %(e)      0.95 % 

Net investment income

     5.43 %      4.67 %      4.83 %      5.37 %      5.78 % 

Portfolio turnover rate

     38 %      69 %      59 %      47 %      34 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(d) Effective July 1, 2015, the expense limit decreased to 0.85%.
(e) Includes fee/expense recovery of 0.01%.

 

See accompanying notes to financial statements.

 

|  66

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond Fund—Class A*  
    Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 10.39      $ 10.39      $ 10.34      $ 10.80      $ 10.55   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.20        0.20        0.22        0.18        0.20   

Net realized and unrealized gain (loss)

     0.17        0.03        0.11        (0.23 )      0.39   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.37        0.23        0.33        (0.05 )      0.59   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.21 )      (0.22 )      (0.25 )      (0.24 )      (0.26 ) 

Net realized capital gains

     (0.03 )      (0.01 )      (0.03 )      (0.17 )      (0.08 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.24 )      (0.23 )      (0.28 )      (0.41 )      (0.34 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.52      $ 10.39      $ 10.39      $ 10.34      $ 10.80   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)(c)

     3.64 %      2.17 %      3.24 %      (0.46 )%      5.69 % 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 19,327      $ 18,425      $ 5,931      $ 5,601      $ 3,084   

Net expenses(d)

     0.65 %      0.65 %      0.65 %      0.65 %      0.65 % 

Gross expenses

     0.72 %      0.71 %      0.85 %      0.79 %      0.84 % 

Net investment income

     1.89 %      1.93 %      2.07 %      1.71 %      1.91 % 

Portfolio turnover rate

     151 %      151 %      134 %      124 %      82 % 

 

* Effective August 31, 2016, Retail Class shares were redesignated as Class A shares. See Note 1 of Notes to Financial Statements.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A sales charge for Class A shares is not reflected in total return calculations.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

67  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond Fund—Class C  
   

Period Ended
September 30,
2016*

  

Net asset value, beginning of the period

   $ 10.53   
 

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

  

Net investment income(a)

     0.01   

Net realized and unrealized gain (loss)

     0.00 (g) 
 

 

 

  

Total from Investment Operations

     0.01   
 

 

 

  

LESS DISTRIBUTIONS FROM:

  

Net investment income

     (0.01 ) 

Net realized capital gains

     —   
 

 

 

  

Total Distributions

     (0.01 ) 
 

 

 

  

Net asset value, end of the period

   $ 10.53   
 

 

 

  

Total return(b)(c)(d)

     0.08 % 

RATIOS TO AVERAGE NET ASSETS:

  

Net assets, end of the period (000’s)

   $ 3,088   

Net expenses(e)(f)

     1.40 % 

Gross expenses(f)

     1.56 % 

Net investment income(f)

     0.86 % 

Portfolio turnover rate

     151 % 

 

* From commencement of Class operations on August 31, 2016 through September 30, 2016.
(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Periods less than one year are not annualized.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year.
(g) Amount rounds to less than $0.01 per share.

 

See accompanying notes to financial statements.

 

|  68

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Duration Bond Fund—Class Y*  
    Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 10.39      $ 10.39      $ 10.33      $ 10.80      $ 10.54   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.22        0.22        0.24        0.21        0.22   

Net realized and unrealized gain (loss)

     0.18        0.04        0.12        (0.24 )      0.40   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.40        0.26        0.36        (0.03 )      0.62   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.24 )      (0.25 )      (0.27 )      (0.27 )      (0.28 ) 

Net realized capital gains

     (0.03 )      (0.01 )      (0.03 )      (0.17 )      (0.08 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.27 )      (0.26 )      (0.30 )      (0.44 )      (0.36 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.52      $ 10.39      $ 10.39      $ 10.33      $ 10.80   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     3.90 %      2.42 %      3.60 %      (0.30 )%      6.06 % 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 139,398      $ 88,592      $ 66,759      $ 66,424      $ 75,588   

Net expenses(c)

     0.40 %      0.40 %      0.40 %      0.40 %      0.40 % 

Gross expenses

     0.47 %      0.47 %      0.57 %      0.48 %      0.51 % 

Net investment income

     2.11 %      2.15 %      2.31 %      1.97 %      2.12 % 

Portfolio turnover rate

     151 %      151 %      134 %      124 %      82 % 

 

* Effective August 31, 2016, Institutional Class shares were redesignated as Class Y shares. See Note 1 of Notes to Financial Statements.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

See accompanying notes to financial statements.

 

69  |

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class A  
    Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.57      $ 11.61      $ 11.68      $ 12.04      $ 11.87   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.11        0.14        0.16        0.13        0.18   

Net realized and unrealized gain (loss)

     0.00 (b)      0.01 (c)      0.01        (0.23 )      0.28   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.11        0.15        0.17        (0.10 )      0.46   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.17 )      (0.19 )      (0.24 )      (0.26 )      (0.29 ) 

Net realized capital gains

     —        —        —        (0.00 )(b)      (0.00 )(b) 

Paid-in capital

     —        —        —        (0.00 )(b)      —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.17 )      (0.19 )      (0.24 )      (0.26 )      (0.29 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.51      $ 11.57      $ 11.61      $ 11.68      $ 12.04   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     0.93 %      1.26 %      1.44 %      (0.81 )%      3.94 %(e) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 442,671      $ 346,317      $ 314,360      $ 355,212      $ 357,870   

Net expenses

     0.77 %      0.77 %      0.80 %(f)      0.87 %(g)      0.85 %(h) 

Gross expenses

     0.77 %      0.77 %      0.80 %(f)      0.87 %(g)      0.90 % 

Net investment income

     0.96 %      1.21 %      1.35 %      1.11 %      1.54 % 

Portfolio turnover rate

     109 %(i)      48 %      24 %      39 %      56 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(d) A sales charge for Class A shares is not reflected in total return calculations.
(e) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(f) Includes fee/expense recovery of less than 0.01%.
(g) Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.84%.
(h) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(i) The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to fluctuation in the level of fund assets due to shareholder flows.

 

See accompanying notes to financial statements.

 

|  70

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class C  
    Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.58      $ 11.62      $ 11.69      $ 12.05      $ 11.88   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.02        0.05        0.07        0.04        0.10   

Net realized and unrealized gain (loss)

     0.00 (b)      0.01 (c)      0.01        (0.23 )      0.27   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.02        0.06        0.08        (0.19 )      0.37   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.08 )      (0.10 )      (0.15 )      (0.17 )      (0.20 ) 

Net realized capital gains

     —        —        —        (0.00 )(b)      (0.00 )(b) 

Paid-in capital

     —        —        —        (0.00 )(b)      —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.08 )      (0.10 )      (0.15 )      (0.17 )      (0.20 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.52      $ 11.58      $ 11.62      $ 11.69      $ 12.05   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     0.18 %      0.51 %      0.69 %      (1.55 )%      3.17 %(e) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 73,027      $ 63,167      $ 56,936      $ 71,963      $ 75,522   

Net expenses

     1.52 %      1.53 %      1.55 %(f)      1.62 %(g)      1.60 %(h) 

Gross expenses

     1.52 %      1.53 %      1.55 %(f)      1.62 %(g)      1.65 % 

Net investment income

     0.21 %      0.47 %      0.61 %      0.36 %      0.80 % 

Portfolio turnover rate

     109 %(i)      48 %      24 %      39 %      56 % 

 

(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(e) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(f) Includes fee/expense recovery of less than 0.01%.
(g) Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 1.59%.
(h) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(i) The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to fluctuation in the level of fund assets due to shareholder flows.

 

See accompanying notes to financial statements.

 

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Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Limited Term Government and Agency Fund—Class Y  
    Year Ended
September 30,
2016		     Year Ended
September 30,
2015		     Year Ended
September 30,
2014		     Year Ended
September 30,
2013		     Year Ended
September 30,
2012		  

Net asset value, beginning of the period

   $ 11.61      $ 11.65      $ 11.72      $ 12.08      $ 11.91   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.14        0.17        0.18        0.16        0.21   

Net realized and unrealized gain (loss)

     0.00 (b)      0.01 (c)      0.02        (0.23 )      0.28   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.14        0.18        0.20        (0.07 )      0.49   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.20 )      (0.22 )      (0.27 )      (0.29 )      (0.32 ) 

Net realized capital gains

     —        —        —        (0.00 )(b)      (0.00 )(b) 

Paid-in capital

     —        —        —        (0.00 )(b)      —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.20 )      (0.22 )      (0.27 )      (0.29 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.55      $ 11.61      $ 11.65      $ 11.72      $ 12.08   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     1.19 %      1.51 %      1.70 %      (0.56 )%      4.19 %(d) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 411,898      $ 431,727      $ 330,224      $ 252,127      $ 220,444   

Net expenses

     0.52 %      0.52 %      0.55 %(e)      0.62 %(f)      0.60 %(g) 

Gross expenses

     0.52 %      0.52 %      0.55 %(e)      0.62 %(f)      0.65 % 

Net investment income

     1.20 %      1.45 %      1.58 %      1.35 %      1.77 % 

Portfolio turnover rate

     109 %(h)      48 %      24 %      39 %      56 % 

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Includes fee/expense recovery of less than 0.01%.
(f) Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.59%.
(g) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(h) The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to fluctuation in the level of fund assets due to shareholder flows.

 

See accompanying notes to financial statements.

 

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Notes to Financial Statements

 

September 30, 2016

 

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

Loomis Sayles Funds I:

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

Loomis Sayles Funds II:

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

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

Each Fund is a diversified investment company.

The Funds each offer Class A, Class C and Class Y shares. Prior to August 31, 2016, Intermediate Duration Bond Fund offered Retail Class and Institutional Class shares. Effective August 31, 2016, Retail Class shares were redesignated as Class A shares and Institutional Class shares were redesignated as Class Y shares. In addition, the Fund began offering Class C shares. As of the close of business on January 11, 2016, Class B shares of High Income Fund and Limited Term Government and Agency Fund were converted into Class A shares and are no longer offered.

Class A shares of Intermediate Duration Bond Fund and High Income Fund are sold with a maximum front-end sales charge of 4.25% (4.50% prior to November 2, 2015 for High Income Fund). Class A shares of Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 2.25% (3.00% prior to November 2, 2015). Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that

 

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September 30, 2016

 

class (such as the Rule 12b-1 fees applicable to Class A and Class C). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

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

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange

 

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September 30, 2016

 

or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

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

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

As of September 30, 2016, securities of the funds were fair valued as follows:

 

Fund

  

Securities
classified as
fair valued

    

Percentage of
Net Assets

    

Securities fair
valued by the
Fund’s adviser

    

Percentage of
Net Assets

  

High Income Fund

   $ 1,828,035        1.0 %    $ 1,097,873        0.6 % 

Intermediate Duration Bond Fund

     —        —        23,756        Less than 0.1 % 

Limited Term Government and Agency Fund

     3,037,018        0.3 %      1,488,611        0.2 % 

 

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b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

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

 

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September 30, 2016

 

may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

For the year ended September 30, 2016, the amount of income available to be distributed by High Income Fund has been reduced by $2,868,074 as a result of losses arising from changes in exchange rates.

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

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

e.  Futures Contracts.  The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market,

 

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which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f.  Swap Agreements.  The Funds may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statement of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statement of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap

 

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agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

No swap agreements were held by the Funds during the year ended September 30, 2016.

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

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

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

h.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment

 

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income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2016 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

i.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses, contingent payment debt instruments, basis tracking from corporate actions, premium amortization, defaulted and/or non-income producing securities, paydown gains and losses, return of capital distributions received, convertible bonds and distribution re-designations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, forward foreign currency contracts mark-to-market, basis tracking from corporate actions, contingent payment debt instruments, convertible bonds, defaulted and/or non-income producing securities and return of capital

 

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distributions received. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2016 and 2015 were as follows:

 

     2016 Distributions Paid From:  

Fund

   

Ordinary

Income

     

Long-Term
Capital Gains

     

Total

  

High Income Fund

    $ 6,619,464       $ 396,248       $ 7,015,712   

Intermediate Duration Bond Fund

      3,295,835         —         3,295,835   

Limited Term Government and Agency Fund

      13,653,659         —         13,653,659   

 

     2015 Distributions Paid From:  

Fund

   

Ordinary

Income

     

Long-Term
Capital Gains

     

Total

  

High Income Fund

    $ 9,843,443       $ 3,412,156       $ 13,255,599   

Intermediate Duration Bond Fund

      2,124,550         —         2,124,550   

Limited Term Government and Agency Fund

      12,685,774         —         12,685,774   

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

As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:

 

    

High Income
Fund

    

Intermediate
Duration
Bond Fund

     

Limited Term
Government
and Agency
Fund

  

Undistributed ordinary income

    $ 156,678      $ 1,283,403       $ 766,853   
  

 

 

    

 

 

     

 

 

  

Capital loss carryforward:

        

Short-term:

        

No expiration date

      (251,066 )      —         (848,283 ) 

Long-term:

        

No expiration date

      (2,330,822 )      —         (11,847,451 ) 
  

 

 

    

 

 

     

 

 

  

Total capital loss carryforward

      (2,581,888 )      —         (12,695,734 ) 
  

 

 

    

 

 

     

 

 

  

Unrealized appreciation (depreciation)

      (3,172,250 )      1,012,166         (3,267,212 ) 
  

 

 

    

 

 

     

 

 

  

Total accumulated earnings (losses)

    $ (5,597,460 )    $ 2,295,569       $ (15,196,093 ) 
  

 

 

    

 

 

     

 

 

  

 

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As of September 30, 2016, unrealized appreciation (depreciation) on a tax basis was as follows:

 

   

High Income
Fund

    

Intermediate
Duration

Bond Fund

    

Limited Term
Government
and Agency
Fund

  

Unrealized appreciation (depreciation)

      

Investments

   $ (984,705 )    $ 1,012,166      $ (3,267,212 ) 

Foreign currency translations

     (2,187,545 )      —        —   
 

 

 

    

 

 

    

 

 

  

Total unrealized appreciation (depreciation)

   $ (3,172,250 )    $ 1,012,166      $ (3,267,212 ) 
 

 

 

    

 

 

    

 

 

  

j.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2016, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

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

l.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of

 

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loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 2016, none of the Funds had loaned securities under this agreement.

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

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

 

  •  

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

 

  •  

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

 

  •  

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

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

The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does

 

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September 30, 2016

 

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

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2016, at value:

High Income Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

ABS Home Equity

    $   —       $ 3,251,090       $ 98,704 (b)    $ 3,349,794   

Government Owned - No Guarantee

      —         3,508,812         594,150 (c)      4,102,962   

Home Construction

      —         2,304,681         23 (b)      2,304,704   

Non-Agency Commercial Mortgage-Backed Securities

      —         2,555,459         908,874 (c)      3,464,333   

All Other Non-Convertible Bonds(a)

      —         136,438,387         —        136,438,387   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —         148,058,429         1,601,751        149,660,180   
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds(a)

      —         5,681,081         —        5,681,081   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —         153,739,510         1,601,751        155,341,261   
  

 

 

     

 

 

     

 

 

    

 

 

  

Senior Loans

           

Wirelines

      —         1,205,599         150,561 (c)      1,356,160   

All Other Senior Loans(a)

      —         1,859,129         —        1,859,129   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Senior Loans

      —         3,064,728         150,561        3,215,289   
  

 

 

     

 

 

     

 

 

    

 

 

  

 

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September 30, 2016

 

High Income Fund (continued)

Asset Valuation Inputs (continued)

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Preferred Stocks

           

Convertible Preferred Stocks

           

Midstream

    $ —       $ 604,306       $ —      $ 604,306   

Pharmaceuticals

      729,608         1,165,014         —        1,894,622   

REITs - Mortgage

      —         103,095         —        103,095   

All Other Convertible Preferred Stocks(a)

      811,876         —         —        811,876   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Convertible Preferred Stocks

      1,541,484         1,872,415         —        3,413,899   
  

 

 

     

 

 

     

 

 

    

 

 

  

Non-Convertible Preferred Stocks(a)

      510,774         —         —        510,774   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      2,052,258         1,872,415         —        3,924,673   
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Investments(a)

      —         —         985,586 (d)      985,586   

Common Stocks

           

Internet Software & Services

      —         —         8,177 (b)      8,177   

All Other Common Stocks(a)

      1,213,118         —         —        1,213,118   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      1,213,118         —         8,177        1,221,295   
  

 

 

     

 

 

     

 

 

    

 

 

  

Warrants(e)

      349         —         5,383 (b)      5,732   

Short-Term Investments

      —         9,639,758         —        9,639,758   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Investments

      3,265,725         168,316,411         2,751,458        174,333,594   
  

 

 

     

 

 

     

 

 

    

 

 

  

Forward Foreign Currency Contracts (unrealized appreciation)

      —         233         —        233   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 3,265,725       $ 168,316,644       $ 2,751,458      $ 174,333,827   
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Fair valued by the Fund’s adviser.
(c) Valued using broker-dealer bid prices.
(d) Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.
(e) Includes a security fair valued at zero using Level 2 inputs.

 

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September 30, 2016

 

Intermediate Duration Bond Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

Non-Convertible Bonds

           

ABS Car Loan

    $   —       $ 11,162,715       $ 439,742 (b)    $ 11,602,457   

ABS Home Equity

      —         1,949,177         23,756 (c)      1,972,933   

All Other Non-Convertible Bonds(a)

      —         141,767,274         —        141,767,274   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —         154,879,166         463,498        155,342,664   
  

 

 

     

 

 

     

 

 

    

 

 

  

Municipals(a)

      —         276,326         —        276,326   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —         155,155,492         463,498        155,618,990   
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —         6,065,192         —        6,065,192   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ —       $ 161,220,684       $ 463,498      $ 161,684,182   
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Valued using broker-dealer bid prices.
(c) Fair valued by the Fund’s adviser.

For the year ended September 30, 2016 there were no transfers among Levels 1, 2 and 3.

Limited Term Government and Agency Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

    

Total

  

Bonds and Notes

           

ABS Student Loan

    $   —       $ —       $ 400,000 (b)    $ 400,000   

Agency Commercial Mortgage-Backed Securities

      —         150,152,212         11,781,022 (b)      161,933,234   

Collateralized Mortgage Obligations

      —         132,419,280         1,488,611 (c)      133,907,891   

Non-Agency Commercial Mortgage-Backed Securities

      —         51,293,185         3,037,018 (b)      54,330,203   

All Other Bonds and Notes(a)

      —         559,256,816         —        559,256,816   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —         893,121,493         16,706,651        909,828,144   
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —         19,857,087         —        19,857,087   
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ —       $ 912,978,580       $ 16,706,651      $ 929,685,231   
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Valued using broker-dealer bid prices.
(c) Fair valued by the Fund’s adviser.

 

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September 30, 2016

 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2015 and/or September 30, 2016:

High Income Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
September 30,
2015

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Home Equity

   $ —      $ —      $ 9,906      $ (5,788 )    $ —   

ABS Other

     750,966        —        —        —        —   

Government Owned - No Guarantee

     —        —        —        84,150        510,000   

Home Construction

     —        27,009        —        (95,096 )      —   

Non-Agency Commercial Mortgage-Backed Securities

     935,000        —        —        (26,126 )      —   

Senior Loans

          

Wirelines

     —        128        —        (7,763 )      —   

Other Investments

          

Aircraft ABS

     1,000,000        —        —        (14,414 )      —   

Common Stocks

          

Internet Software & Services

     —        —        —        (11,863 )      20,040   

Warrants

     —        —        —        5,383        —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 2,685,966      $ 27,137      $ 9,906      $ (71,517 )    $ 530,040   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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September 30, 2016

 

High Income Fund (continued)

Asset Valuation Inputs (continued)

 

Investments in Securities

  

Sales

    

Transfers
into Level 3

    

Transfers
out of
Level 3

    

Balance as of
September 30,
2016

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Home Equity

   $ (44,737 )    $ 139,323      $ —      $ 98,704      $ (5,788 ) 

ABS Other

     —        —        (750,966 )      —        —   

Government Owned - No Guarantee

     —        —        —        594,150        84,150   

Home Construction

     —        68,110        —        23        (95,096 ) 

Non-Agency Commercial Mortgage-Backed Securities

     —        —        —        908,874        (26,126 ) 

Senior Loans

          

Wirelines

     —        158,196        —        150,561        (7,763 ) 

Other Investments

          

Aircraft ABS

     —        —        —        985,586        (14,414 ) 

Common Stocks

          

Internet Software & Services

     —        —        —        8,177        (11,863 ) 

Warrants

     —        —        —        5,383        5,383   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (44,737 )    $ 365,629      $ (750,966 )    $ 2,751,458      $ (71,517 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Debt securities valued at $207,433 were transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

Debt securities valued at $750,966 were transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At September 30, 2016,

 

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September 30, 2016

 

these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $158,196 was transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

All transfers are recognized as of the beginning of the reporting period.

Intermediate Duration Bond

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
September 30,
2015

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Car Loan

   $ —      $   —      $ —      $ (184 )    $ 439,926   

ABS Home Equity

     35,366        —        2,597        (1,314 )      —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 35,366      $ —      $ 2,597      $ (1,498 )    $ 439,926   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investments in Securities

  

Sales

    

Transfers
into Level 3

    

Transfers
out of
Level 3

    

Balance as of
September 30,
2016

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Car Loan

   $ —      $ —      $ —      $ 439,742      $ (184 ) 

ABS Home Equity

     (12,893 )      —        —        23,756        (1,628 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (12,893 )    $ —      $ —      $ 463,498      $ (1,812 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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September 30, 2016

 

Limited Term Government and Agency Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
September 30,
2015

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Student Loan

   $ —      $ —      $ —      $ —      $ 400,000   

Agency Commercial Mortgage-Backed Securities

     14,113,679        —        (341,631 )      (93,072 )      —   

Collateralized Mortgage Obligations

     20,837        —        (149,996 )      42,763        —   

Non-Agency Commercial Mortgage-Backed Securities

     3,037,972        —        —        (954 )      —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 17,172,488      $ —      $ (491,627 )    $ (51,263 )    $ 400,000   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investments in Securities

  

Sales

    

Transfers
into Level 3

    

Transfers
out of
Level 3

    

Balance as of
September 30,
2016

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2016

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Student Loan

   $ —      $ —      $ —      $ 400,000      $ —   

Agency Commercial Mortgage-Backed Securities

     (1,897,954 )      —        —        11,781,022        (312,513 ) 

Collateralized Mortgage Obligations

     (2,485,345 )      4,060,352        —        1,488,611        42,766   

Non-Agency Commercial Mortgage-Backed Securities

     —        —        —        3,037,018        (954 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (4,383,299 )    $ 4,060,352      $ —      $ 16,706,651      $ (270,701 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

Debt securities valued at $4,060,352 were transferred from Level 2 to Level 3 during the period ended September 30, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

All transfers are recognized as of the beginning of the reporting period.

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

High Income Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the year ended September 30, 2016, High Income Fund engaged in forward foreign currency transactions for hedging purposes.

High Income Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the year ended September 30, 2016, High Income Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for High Income Fund as of September 30, 2016, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized
appreciation on
forward foreign
currency contracts

  

Over-the-counter liability derivatives

   

Foreign exchange contracts

    $ 233   

 

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September 30, 2016

 

Transactions in derivative instruments for High Income Fund during the year ended September 30, 2016, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

  

Futures

contracts

    

Foreign currency

transactions1

  

Interest rate contracts

   $ (176,542 )    $ —   

Foreign exchange contracts

     —        281,234   
 

 

 

    

 

 

  

Total

   $ (176,542 )    $ 281,234   
 

 

 

    

 

 

  

Net Change in Unrealized
Appreciation (Depreciation) on:

  

Futures

contracts

    

Foreign currency

translations1

  

Interest rate contracts

   $ 160,868      $ —   

Foreign exchange contracts

     —        (263,174 ) 
 

 

 

    

 

 

  

Total

   $ 160,868      $ (263,174 ) 
 

 

 

    

 

 

  

 

1 

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

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2016:

 

High Income Fund

   

Forwards

    

Futures

  

Average Notional Amount Outstanding

      1.18 %      2.28 % 

Highest Notional Amount Outstanding

      2.03 %      7.49 % 

Lowest Notional Amount Outstanding

      0.11 %      0.00 % 

Notional Amount Outstanding as of
September 30, 2016

      0.11 %      0.00 % 

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

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

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

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

As of September 30, 2016, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements by counterparty, are as follows:

High Income Fund

 

Counterparty

  

Gross Amounts of
Assets

    

Offset
Amount

    

Net Asset
Balance

    

Collateral
(Received)/
Pledged

    

Net
Amount

  

Bank of America, N.A.

   $ 233      $   —      $ 233      $   —      $ 233   

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

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements,

 

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September 30, 2016

 

collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2016:

 

Fund

   

Maximum Amount
of Loss - Gross

     

Maximum Amount
of Loss - Net

  

High Income Fund

    $ 7,233       $ 7,233   

5.  Purchases and Sales of Securities.  For the year ended September 30, 2016, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:

 

    U.S. Government/
Agency Securities		     Other Securities  

Fund

  

Purchases

    

Sales

    

Purchases

    

Sales

  

High Income Fund

   $ 9,985,547      $ 13,851,481      $ 49,568,649      $ 52,338,522   

Intermediate Duration Bond Fund

     77,188,897        51,415,612        177,222,785        142,480,422   

Limited Term Government and Agency Fund

     919,322,168        900,410,968        140,894,958        67,739,496   

 

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September 30, 2016

 

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

     Percentage of Average Daily Net Assets  

Fund

   

First

$100 million

    

Next

$400 million

    

Next

$1.5 billion

    

Over

$2 billion

  

High Income Fund

      0.6000 %      0.6000 %      0.6000 %      0.6000 % 

Intermediate Duration Bond Fund

      0.2500 %      0.2500 %      0.2500 %      0.2500 % 

Limited Term Government and Agency Fund

      0.3750 %      0.3750 %      0.3500 %      0.3000 % 

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2017 (January 31, 2018 for Intermediate Duration Bond Fund), may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended September 30, 2016 (period ending close of business January 11, 2016, for Class B) the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class B

    

Class C

    

Class Y

  

High Income Fund

      1.10 %      1.85 %      1.85 %      0.85 % 

Intermediate Duration Bond Fund

      0.65 %      —        1.40 %      0.40 % 

Limited Term Government and Agency Fund

      0.80 %      1.55 %      1.55 %      0.55 % 

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

 

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September 30, 2016

 

For the year ended September 30, 2016, the management fees and waivers of management fees for each Fund were as follows:

 

   

Gross
Management
Fees

    

Waivers of
Management
Fees1

    

Net
Management
Fees

    

Percentage of
Average
Daily Net Assets

  

Fund

        

Gross

    

Net

  

High Income Fund

   $ 971,664      $ 67,553      $ 904,111        0.600 %      0.558 % 

Intermediate Duration Bond Fund

     330,657        96,550        234,107        0.250 %      0.177 % 

Limited Term Government and Agency Fund

     3,309,940        —        3,309,940        0.364 %      0.364 % 

 

1 

Management fee waivers are subject to possible recovery until September 30, 2017.

No expenses were recovered for any of the Funds during the year ended September 30, 2016 under the terms of the expense limitation agreements.

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

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

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) (effective August 31, 2016 for Intermediate Duration Bond Fund), and a Distribution and Service Plan relating to each Fund’s Class B and Class C shares (the “Class B and Class C Plans”).

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

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

Also under the Class B and Class C Plans, each Fund pays (or paid) NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets

 

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September 30, 2016

 

attributable to the Fund’s Class B and Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class B and Class C shares.

For the year ended September 30, 2016, the service and distribution fees for each Fund were as follows:

 

    Service Fees     Distribution Fees  

Fund

  

Class A

    

Class B

    

Class C

    

Class B

    

Class C

  

High Income Fund

   $ 85,726      $ 1      $ 29,545      $ 2      $ 88,636   

Intermediate Duration Bond Fund

     4,001        —        — (a)      —        1   

Limited Term Government and Agency Fund

     1,002,251        1,734        193,399        5,201        580,197   

 

(a) Less than $1.

Prior to August 31, 2016, pursuant to Rule 12b-1 under the 1940 Act, Intermediate Duration Bond Fund had adopted a Distribution Plan relating to the Fund’s Retail Class shares (the “Retail Class Plan”). Under the Retail Class Plan, the Fund paid NGAM Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Retail Class shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Retail Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

For the period ended August 31, 2016, Retail Class shares of Intermediate Duration Bond Fund paid $44,480 in distribution fees.

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

 

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September 30, 2016

 

For the year ended September 30, 2016, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

High Income Fund

    $ 71,381   

Intermediate Duration Bond Fund

      58,358   

Limited Term Government and Agency Fund

      401,349   

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers.

For the year ended September 30, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

High Income Fund

    $ 166,948   

Intermediate Duration Bond Fund

      37,313   

Limited Term Government and Agency Fund

      403,560   

As of September 30, 2016, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

High Income Fund

    $ 2,170   

Intermediate Duration Bond Fund

      670   

Limited Term Government and Agency Fund

      5,346   

 

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e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended September 30, 2016 were as follows:

 

Fund

   

Commissions

  

High Income Fund

    $ 2,704   

Limited Term Government and Agency Fund

      49,660   

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

Prior to January 1, 2016, the Chairperson of the Board received a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $130,000. The chairperson of the Governance Committee received an additional retainer fee at the annual rate of $5,000. All other Trustee fees remained unchanged.

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

 

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September 30, 2016

 

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

g.  Affiliated Ownership.  As of September 30, 2016, Natixis US held shares of Intermediate Duration Bond Fund representing less than 0.01% of the Fund’s net assets. Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of the Fund’s net assets:

 

Fund

   

Retirement Plan

  

Intermediate Duration Bond Fund

      0.76 % 

Limited Term Government and Agency Fund

      0.49 % 

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

h.  Payment by Affiliates.  For the year ended September 30, 2016, Loomis Sayles reimbursed High Income Fund $2,130 in connection with a trading error.

7.  Line of Credit.  Effective April 14, 2016, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). Interest was charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

 

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For the year ended September 30, 2016, none of the Funds had borrowings under these agreements.

8.  Concentration of Risk.   Limited Term Government and Agency Fund’s investments in mortgage-related and asset-backed securities are subject to certain risks not associated with investments in other securities. Mortgage-related and asset-backed securities are subject to the risk that unexpected changes in interest rates will have a direct effect on expected maturity. A shortened maturity may result in the reinvestment of prepaid amounts in securities with lower yields than the original obligations. An extended maturity may result in a reduction of a security’s value.

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

9.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%
Account Holders

     

Percentage of
Ownership

  

High Income Fund

      2         19.34 % 

Intermediate Duration Bond Fund

      5         44.13 % 

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

 

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

 

    
 		 Year Ended
September 30, 2016		   
  		    
 		 Year Ended
September 30, 2015		   
  

High Income Fund

      Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

      5,509,748      $ 22,242,447        7,165,895      $ 31,113,644   

Issued in connection with the reinvestment of distributions

      299,177        1,169,586        580,589        2,471,372   

Redeemed

      (7,071,447 )      (28,018,252 )      (7,757,369 )      (33,308,895 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (1,262,522 )    $ (4,606,219 )      (10,885 )    $ 276,121   
  

 

 

    

 

 

    

 

 

    

 

 

  
Class B(a)         

Issued in connection with the reinvestment of distributions

      4        17        790        3,364   

Redeemed

      (623 )      (2,485 )      (27,193 )      (117,824 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (619 )    $ (2,468 )      (26,403 )    $ (114,460 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      799,861      $ 3,141,922        649,877      $ 2,832,749   

Issued in connection with the reinvestment of distributions

      88,851        345,998        166,683        709,594   

Redeemed

      (1,144,474 )      (4,485,915 )      (900,836 )      (3,893,227 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (255,762 )    $ (997,995 )      (84,276 )    $ (350,884 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      14,901,804      $ 58,204,609        28,556,251      $ 124,963,285   

Issued in connection with the reinvestment of distributions

      1,041,928        4,056,961        1,781,224        7,571,272   

Redeemed

      (14,689,863 )      (57,325,101 )      (28,942,559 )      (125,371,469 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      1,253,869      $ 4,936,469        1,394,916      $ 7,163,088   
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (265,034 )    $ (670,213 )      1,273,352      $ 6,973,865   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

10.  Capital Shares (continued).

 

    
 		 Year Ended
September 30, 2016		   
  		    
 		 Year Ended
September 30, 2015		   
  

Intermediate Duration Bond Fund

      Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

      525,035      $ 5,443,679        1,537,057      $ 16,023,946   

Issued in connection with the reinvestment of distributions

      43,720        453,187        18,774        195,640   

Redeemed

      (505,357 )      (5,247,036 )      (353,439 )      (3,689,833 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      63,398      $ 649,830        1,202,392      $ 12,529,753   
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C*         

Issued from the sale of shares

      293,283      $ 3,088,274        —      $ —   

Issued in connection with the reinvestment of distributions

      — (a)      1        —        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      293,283      $ 3,088,275        —      $ —   
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      7,746,460      $ 80,334,377        4,218,161      $ 44,085,723   

Issued in connection with the reinvestment of distributions

      231,356        2,401,500        164,768        1,719,664   

Redeemed

      (1,681,603 )      (17,455,864 )      (2,280,808 )      (23,952,128 ) 

Redeemed in-kind (Note 11)

      (1,574,765 )      (16,409,056 )      —        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      4,721,448      $ 48,870,957        2,102,121      $ 21,853,259   
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      5,078,129      $ 52,609,062        3,304,513      $ 34,383,012   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* From commencement of Class operations on August 31, 2016 through September 30, 2016.
(a) Amount rounds to less than one share.

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

10.  Capital Shares (continued).

 

    
 		 Year Ended
September 30, 2016		  
  		    
 		 Year Ended
September 30, 2015		  
  

Limited Term Government and Agency Fund

      Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

      23,688,131      $ 272,639,541        9,649,293      $ 111,950,383   

Issued in connection with the reinvestment of distributions

      418,361        4,816,572        375,777        4,361,038   

Redeemed

      (15,575,978 )      (179,339,659 )      (7,161,541 )      (83,105,890 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      8,530,514      $ 98,116,454        2,863,529      $ 33,205,531   
  

 

 

    

 

 

    

 

 

    

 

 

  
Class B(a)         

Issued from the sale of shares

      1,448      $ 16,709        4,412      $ 51,055   

Issued in connection with the reinvestment of distributions

      426        4,887        2,463        28,567   

Redeemed

      (230,595 )      (2,644,555 )      (140,481 )      (1,628,030 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (228,721 )    $ (2,622,959 )      (133,606 )    $ (1,548,408 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      4,330,687      $ 49,825,855        2,240,435      $ 26,003,916   

Issued in connection with the reinvestment of distributions

      29,632        341,361        27,082        314,602   

Redeemed

      (3,475,708 )      (40,028,796 )      (1,711,009 )      (19,866,952 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      884,611      $ 10,138,420        556,508      $ 6,451,566   
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      22,122,240      $ 255,439,801        24,653,312      $ 286,964,981   

Issued in connection with the reinvestment of distributions

      391,770        4,524,155        339,019        3,946,537   

Redeemed

      (24,037,266 )      (277,502,192 )      (16,140,773 )      (187,902,947 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (1,523,256 )    $ (17,538,236 )      8,851,558      $ 103,008,571   
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      7,663,148      $ 88,093,679        12,137,989      $ 141,117,260   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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

11.  Redemption In-Kind.  In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. The Intermediate Duration Bond Fund realized a loss of $16,464 on redemptions in-kind during the year ended September 30, 2016. This amount is included in realized gain (loss) on the Statements of Operations.

 

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Notes to Financial Statements (continued)

 

September 30, 2016

 

12.  Subsequent Event.  Effective November 30, 2016, High Income Fund will begin offering Class N shares to investors. Class N shares are offered with no initial minimum investment to certain retirement plans held in an omnibus fashion and fund of funds that are distributed by NGAM Distribution and with an initial minimum investment of $1,000,000 to other categories of investors.

 

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Report of Independent Registered Public

Accounting Firm

 

To the Trustees of Loomis Sayles Funds Trust I and Loomis Sayles Funds Trust II and Shareholders of Loomis Sayles Intermediate Duration Fixed Income Fund, Loomis Sayles High Income Fund and Loomis Sayles Limited Term Government and Agency Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Intermediate Duration Fixed Income Fund, a series of Loomis Sayles Funds Trust I, and Loomis Sayles High Income Fund and Loomis Sayles Limited Term Government and Agency Fund, each a series of Loomis Sayles Funds Trust II (collectively, the “Funds”) at September 30, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

 

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2016 U.S. Tax Distribution Information To Shareholders (Unaudited)

 

Corporate Dividends Received Deduction.  For the fiscal year ended September 30, 2016, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:

 

Fund

   

Qualifying
Percentage

  

High Income

      2.39 % 

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Fund paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2016, unless subsequently determined to be different.

 

Fund

   

Amount

  

High Income

    $ 396,248   

Qualified Dividend Income.  For the fiscal year ended September 30, 2016, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2016, complete information will be reported in conjunction with Form 1099-DIV.

 

Fund

High Income

 

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Trustee and Officer Information

 

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statement(s) of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.

 

Name and Year of
Birth

  

Position(s) Held
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES      

Kenneth A. Drucker

(1945)

  

Trustee since 2008

Chairperson of the Audit Committee

and Governance Committee Member

   Retired  

44

None

   Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English

(1953)

  

Trustee since 2013

Audit Committee Member

   Chief Executive Officer of Bob’s Discount Furniture (retail)  

44

Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)

   Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

 

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Trustee and Officer Information

 

Name and Year of
Birth

  

Position(s) Held
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships
Held During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES

continued

      

Richard A. Goglia

(1951)

  

Trustee since 2015

Audit Committee Member

   Retired; formerly Vice President and Treasurer of Raytheon Company (defense)  

44

None

   Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox

(1948)

  

Trustee since 2009

Contract Review Committee

Member

and Governance Committee Member

   Director of Abt Associates Inc. (research and consulting)  

44

Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)

   Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

 

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Trustee and Officer Information

 

Name and Year of
Birth

  

Position(s) Held
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES

continued

      

Martin T. Meehan

(1956)

  

Trustee since 2012

Contract Review Committee Member

   President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell  

44

None

   Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Sandra O. Moose

(1942)

  

Chairperson of the Board of Trustees since November 2005

Trustee since 2003

Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee

   President, Strategic Advisory Services (management consulting)  

44

Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)

   Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

 

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Trustee and Officer Information

 

Name and Year of
Birth

  

Position(s) Held
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES

continued

      

James P. Palermo

(1955)

  

Trustee since 2016

Contract Review Committee Member

   Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation  

44

None

   Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri

(1958)

  

Trustee since 2009

Audit Committee

Member

   Professor of Finance at Babson College  

44

None

   Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail

(1952)

  

Trustee since 2009

Chairperson of the Contract Review Committee

and Governance Committee Member

   Retired  

44

None

   Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

 

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Trustee and Officer Information

 

Name and Year of
Birth

  

Position(s) Held
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INDEPENDENT TRUSTEES

continued

      

Cynthia L. Walker

(1956)

  

Trustee since 2005

Chairperson of the Governance Committee and Contract Review Committee Member

   Deputy Dean for Finance and Administration, Yale University School of Medicine  

44

None

   Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)
INTERESTED TRUSTEES      

Kevin P. Charleston3

(1965)

One Financial Center

Boston, MA 02111

  

Trustee since 2015

President and Chief Executive Officer of Loomis Sayles Funds I since 2015

   President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.  

44

None

   Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.
David L. Giunta4
(1965)		  

Trustee since 2011

President since 2008 and Chief Executive Officer since 2015 of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008

   President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

 

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Trustee and Officer Information

 

Name and Year of
Birth

  

Position(s) Held
with the Trusts,
Length of Time
Served and Term
of Office1

  

Principal
Occupation(s)
During Past
5 Years

  

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past
5 Years

  

Experience,
Qualifications,
Attributes, Skills
for Board
Membership

INTERESTED TRUSTEES

continued

      

John T. Hailer5

(1960)

   Trustee since 2003   President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.  

44

None

   Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

 

1

Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

 

2

The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”) and Natixis ETF Trust (collectively, the “Fund Complex”).

 

3

Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

 

4

Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

 

5

Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

 

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Trustee and Officer Information

 

Name and Year of Birth

  

Position(s) Held
with the Trusts

  

Term of Office1 and
Length of Time Served

  

Principal Occupation(s)
During Past 5 Years2

OFFICERS OF THE TRUST    

Daniel J. Fuss

(1933)

One Financial Center

Boston, MA 02111

   Executive Vice President of Loomis Sayles Funds I and Loomis Sayles Funds II   Since June 2003   Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane

(1969)

   Secretary, Clerk and Chief Legal Officer   Since July 2016   Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok

(1959)

   Treasurer, Principal Financial and Accounting Officer   Since October 2004   Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux

(1976)

   Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer   Since July 2016   Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

 

1

Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

 

2

Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Mr. Fuss is not an officer of the Natixis Funds Trusts. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

 

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Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

 

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee Mr. Kenneth A. Drucker, Mr. Edmond J. English, Mr. Richard A. Goglia, and Mr. Erik R. Sirri are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

 

Item 4. Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements and but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.

 

     Audit fees      Audit-related fees1      Tax fees2      All other fees  
     10/1/14-
9/30/15		      10/1/15-
9/30/16		      10/1/14-
9/30/15		      10/1/15-
9/30/16		      10/1/14-
9/30/15		      10/1/15-
9/30/16		      10/1/14-
9/30/15		      10/1/15-
9/30/16		  

Loomis Sayles Funds I

    $ 428,778       $         $ 3,970       $         $ 142,086       $         $ —         $     

 

1. Audit-related fees consist of:

2015 & [2016] - performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

 

2. Tax fees consist of:

2015 & [2016] – review of Registrant’s tax returns and tax consulting services.

Aggregate fees billed to the Registrant for non-audit services during 2015 and 2016 were $146,056 and $        , respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and entities controlling, controlled by or under common control with Loomis, Sayles & Company, L.P. (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

 

     Audit-related fees      Tax fees      All other fees  
     10/1/14-
9/30/15		      10/1/15-
9/30/16		      10/1/14-
9/30/15		      10/1/15-
9/30/16		      10/1/14-
9/30/15		      10/1/15-
9/30/16		  

Control Affiliates

    $ —         $         $ —         $         $ —         $     

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.

 

     Aggregate Non-Audit Fees  
     10/1/14-9/30/15      10/1/15-9/30/16  

Control Affiliates

    $ 50,066       $     

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[None/    %] of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an Independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

 

Item 5. Audit Committee of Listed Registrants.

Not applicable.

 

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

 

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

 

Item 11. Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

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Item 12. Exhibits.

 

  (a)   (1)   Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).
  (a)   (2)   Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
  (a)   (3)   Not applicable.
  (b)     Certification of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Loomis Sayles Funds I
By:  

/s/ Kevin Charleston

Name:   Kevin Charleston
Title:   President and Chief Executive Officer
Date:   November 21, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Kevin Charleston

Name:   Kevin Charleston
Title:   President and Chief Executive Officer
Date:   November 21, 2016
By:  

/s/ Michael C. Kardok

Name:   Michael C. Kardok
Title:   Treasurer
Date:   November 21, 2016