Gateway Trust N-CSRS Certified semi-annual shareholder report (management investment company)

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: 811-22099

Gateway Trust

(Exact name of Registrant as specified in charter)

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

(Address of principal executive offices) (Zip code)

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197 (Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2020

Item 1. Reports to Stockholders.

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

Semiannual Report

June 30, 2020

Gateway Fund

Gateway Equity Call Premium Fund

Table of Contents

Portfolio Review	1
Portfolio of Investments	14
Financial Statements	35
Notes to Financial Statements	48

IMPORTANT NOTICE TO SHAREHOLDERS

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

GATEWAY FUND

Managers	Symbols
Daniel M. Ashcraft, CFA®	Class A    GATEX
Michael T. Buckius, CFA®	Class C    GTECX
Paul R. Stewart, CFA®	Class N    GTENX
Kenneth H. Toft, CFA®	Class Y    GTEYX
Gateway Investment Advisers, LLC

Investment Goal

The fund seeks to capture the majority of returns associated with equity market investments, while exposing investors to less risk than other equity investments.

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Average Annual Total Returns — June 30, 2020⁴

																Expense Ratios5
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net
Class Y (Inception 2/19/08)
NAV		-2.48	%		2.29	%		3.87	%		5.09	%		—	%		0.76	%		0.70	%
Class A (Inception 12/07/77)
NAV		-2.60			2.03			3.62			4.83			—			1.01			0.94
With 5.75% Maximum Sales Charge		-8.21			-3.84			2.40			4.21			—
Class C (Inception 2/19/08)
NAV		-2.98			1.24			2.83			4.04			—			1.76			1.70
With CDSC1		-3.95			0.24			2.83			4.04			—
Class N (Inception 5/1/17)
NAV		-2.46			2.34			—			—			3.10			0.69			0.65
Comparative Performance
S&P 500® Index2		-3.08			7.51			10.73			13.99			10.74
Bloomberg Barclays U.S. Aggregate Bond Index3		6.14			8.74			4.30			3.82			5.31

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 more recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1 Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

2 S&P 500^® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the US equities market.

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

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

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

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GATEWAY EQUITY CALL PREMIUM FUND

Managers	Symbols
Daniel M. Ashcraft, CFA®	Class A    GCPAX
Michael T. Buckius, CFA®	Class C    GCPCX
Kenneth H. Toft, CFA®	Class N    GCPNX
Gateway Investment Advisers, LLC	Class Y    GCPYX

Investment Goal

The Fund seeks total return with less risk than U.S. equity markets.

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Average Annual Total Returns — June 30, 2020⁴

																Expense Ratios5
	6 Months			1 Year				5 Years			Life of Class					Gross			Net
Class Y (Inception 9/30/14)												Class Y/A/C		Class N
NAV		-6.05	%		0.29	%			4.71	%		4.78	%	—	%		1.17	%		0.95	%
Class A (Inception 9/30/14)
NAV		-6.18			0.09				4.46			4.52		—			1.42			1.20
With 5.75% Maximum Sales Charge		-11.59			-5.66		��		3.24			3.44		—
Class C (Inception 9/30/14)
NAV		-6.52			-0.64				3.67			3.75		—			2.17			1.95
With CDSC1		-7.46			-1.64				3.67			3.75		—
Class N (Inception 5/1/17)
NAV		-6.10			0.34				—			—		3.52			1.63			0.90
Comparative Performance
Cboe S&P 500 BuyWrite IndexSM (BXMSM)2		-15.11			10.94				2.81			2.94		0.19
S&P 500® Index3		-3.08			7.51				10.73			10.38		10.74

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

1 Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

2 The Cboe S&P 500 BuyWrite Index^SM (BXM^SM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500^® Index. The BXM is a passive total return index based on (1) buying an S&P 500 stock index portfolio, and (2) “writing” (or selling) the near-term S&P 500^® Index (SPX^SM) “covered” call option, generally on the third Friday of each month. The SPX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level (i.e., slightly out of the money). The SPX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written.

3 S&P 500^® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the US equities market.

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

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

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ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

The index information contained herein is derived form 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 Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.

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

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UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Fund’s 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.

The first line in the table for each class shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2020 through June 30, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

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

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GATEWAY FUND	BEGINNING ACCOUNT VALUE 1/1/2020		ENDING ACCOUNT VALUE 6/30/2020		EXPENSES PAID DURING PERIOD* 1/1/2020 – 6/30/2020
Class A
Actual		$1,000.00		$974.00		$4.61
Hypothetical (5% return before expenses)		$1,000.00		$1,020.19		$4.72
Class C
Actual		$1,000.00		$970.20		$8.33
Hypothetical (5% return before expenses)		$1,000.00		$1,016.41		$8.52
Class N
Actual		$1,000.00		$975.40		$3.19
Hypothetical (5% return before expenses)		$1,000.00		$1,021.63		$3.27
Class Y
Actual		$1,000.00		$975.20		$3.44
Hypothetical (5% return before expenses)		$1,000.00		$1,021.38		$3.52

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.94%, 1.70%, 0.65% and 0.70% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

GATEWAY EQUITY CALL PREMIUM FUND	BEGINNING ACCOUNT VALUE 1/1/2020		ENDING ACCOUNT VALUE 6/30/2020		EXPENSES PAID DURING PERIOD* 1/1/2020 – 6/30/2020
Class A
Actual		$1,000.00		$938.20		$5.78
Hypothetical (5% return before expenses)		$1,000.00		$1,018.90		$6.02
Class C
Actual		$1,000.00		$934.80		$9.38
Hypothetical (5% return before expenses)		$1,000.00		$1,015.17		$9.77
Class N
Actual		$1,000.00		$939.00		$4.34
Hypothetical (5% return before expenses)		$1,000.00		$1,020.39		$4.52
Class Y
Actual		$1,000.00		$939.50		$4.58
Hypothetical (5% return before expenses)		$1,000.00		$1,020.14		$4.77

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 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 Contract Review 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’ advisory fees 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 limitations 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) 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, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) the Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) 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 expense differentials against each Fund’s peer group/category, where available, performance ratings provided by a third-party, where available, 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

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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 or Committee 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. These updates have increased in frequency during the COVID-19 crisis.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. 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 Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

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, for any Funds with more than one year’s performance, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

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The Board noted that, through December 31, 2019, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

	One-Year			Three-Year			Five-Year
Gateway Fund		79	%		60	%		47	%
Gateway Equity Call Premium Fund		40	%		28	%		1	%

In the case of a Fund that had performance that lagged that of a relevant category median as determined by the independent third-party for certain (although not necessarily all) periods Gateway Fund, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) 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 the relevant performance category; and (3) that the Fund’s performance had been consistent with its investment objective of earning positive returns while meaningfully reducing equity market volatility, such that its performance relative to its category would be expected to lag in certain market conditions. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the COVID-19 crisis.

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 and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and 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, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. 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

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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 limitations for various funds in the fund family. They noted that the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for the Funds under their expense limitation agreement. The Trustees noted that the Funds had total advisory fee rates that were below the medians of their respective peer groups of funds.

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’s and its affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. 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 Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were 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 limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that the Gateway Fund had breakpoints in its advisory fee and that each Fund was subject to an expense limitation. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on 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, including but not limited to the COVID-19 crisis, on the performance, asset levels and expense ratios of each Fund.

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· 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.

· So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution and administrative 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 Natixis 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, 2021.

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LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through June 30, 2020)

Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator (“Administrator”) which is the adviser of the Fund.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Neither of the Funds has established an HLIM.

During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. The Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations during the period.

During the period January 1, 2020 through June 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator has also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Program is operating effectively.

Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.

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Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund

Shares		Description	Value (†)
	Common Stocks — 96.9% of Net Assets
		Aerospace & Defense — 1.6%
	169,353	Boeing Co. (The)(a)	$	31,042,405
	47,308	HEICO Corp.(a)		4,714,242
	40,717	Huntington Ingalls Industries, Inc.(a)		7,104,710
	688,239	Raytheon Technologies Corp.(a)		42,409,287
	26,442	Teledyne Technologies, Inc.(a)(b)		8,222,140
	34,566	TransDigm Group, Inc.(a)		15,279,900
				108,772,684
		Air Freight & Logistics — 0.5%
	266,769	United Parcel Service, Inc., Class B(a)		29,659,377
	36,648	XPO Logistics, Inc.(a)(b)		2,831,058
				32,490,435
		Airlines — 0.2%
	114,668	Alaska Air Group, Inc.(a)		4,157,862
	199,831	JetBlue Airways Corp.(a)(b)		2,178,158
	153,351	United Airlines Holdings, Inc.(a)(b)		5,307,478
				11,643,498
		Auto Components — 0.1%
	36,852	Autoliv, Inc.(a)		2,377,322
	117,162	Cooper Tire & Rubber Co.(a)		3,234,843
				5,612,165
		Automobiles — 0.2%
	1,951,518	Ford Motor Co.(a)		11,865,229
	2,276	Tesla, Inc.(a)(b)		2,457,648
				14,322,877
		Banks — 3.9%
	147,428	Associated Banc-Corp(a)		2,016,815
	3,960,218	Bank of America Corp.(a)		94,055,178
	1,085,103	Citigroup, Inc.(a)		55,448,763
	1,013,837	Huntington Bancshares, Inc.(a)		9,160,017
	1,103,211	JPMorgan Chase & Co.(a)		103,768,027
	106,660	Old National Bancorp		1,467,642
	31,007	Signature Bank(a)		3,315,268
				269,231,710
		Beverages — 1.8%
	1,157,494	Coca-Cola Co. (The)(a)		51,716,832
	96,340	Keurig Dr Pepper, Inc.(a)		2,736,056
	174,722	Monster Beverage Corp.(a)(b)		12,111,729
	429,766	PepsiCo, Inc.(a)		56,840,851
				123,405,468
		Biotechnology — 2.3%
	519,862	AbbVie, Inc.(a)		51,040,051
	174,028	Amgen, Inc.(a)		41,046,244
	64,869	Biogen, Inc.(a)(b)		17,355,701

See accompanying notes to financial statements.

|  14

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Shares		Description	Value (†)
		Biotechnology — continued
	35,348	Exact Sciences Corp.(a)(b)	$	3,073,155
	36,830	Ionis Pharmaceuticals, Inc.(a)(b)		2,171,497
	33,450	Seattle Genetics, Inc.(a)(b)		5,683,824
	118,760	Vertex Pharmaceuticals, Inc.(a)(b)		34,477,216
				154,847,688
		Building Products — 0.3%
	134,078	A.O. Smith Corp.(a)		6,317,756
	495,783	Carrier Global Corp.(a)		11,016,298
	20,800	Lennox International, Inc.(a)		4,846,192
				22,180,246
		Capital Markets — 1.9%
	404,191	Charles Schwab Corp. (The)(a)		13,637,404
	133,615	Eaton Vance Corp.(a)		5,157,539
	14,601	FactSet Research Systems, Inc.(a)		4,795,991
	247,065	Intercontinental Exchange, Inc.(a)		22,631,154
	86,184	Legg Mason, Inc.(a)		4,287,654
	509,430	Morgan Stanley(a)		24,605,469
	55,210	MSCI, Inc.(a)		18,430,202
	91,790	S&P Global, Inc.(a)		30,242,969
	101,425	TD Ameritrade Holding Corp.(a)		3,689,842
				127,478,224
		Chemicals — 1.6%
	83,434	Ashland Global Holdings, Inc.(a)		5,765,290
	104,391	Celanese Corp.(a)		9,013,119
	421,580	Corteva, Inc.(a)		11,294,128
	336,299	Dow, Inc.(a)		13,707,547
	371,679	DuPont de Nemours, Inc.(a)		19,747,305
	138,886	Eastman Chemical Co.(a)		9,672,021
	31,084	Ingevity Corp.(a)(b)		1,634,086
	83,709	International Flavors & Fragrances, Inc.(a)		10,251,004
	171,772	LyondellBasell Industries NV, Class A(a)		11,288,856
	312,431	Mosaic Co. (The)(a)		3,908,512
	230,942	Olin Corp.(a)		2,653,524
	95,921	RPM International, Inc.(a)		7,199,830
	195,010	Valvoline, Inc.(a)		3,769,543
				109,904,765
		Commercial Services & Supplies — 0.6%
	122,157	Copart, Inc.(a)(b)		10,172,013
	78,126	Waste Connections, Inc.(a)		7,327,438
	244,724	Waste Management, Inc.(a)		25,918,719
				43,418,170
		Communications Equipment — 1.1%
	1,398,407	Cisco Systems, Inc.(a)		65,221,702
	83,999	Motorola Solutions, Inc.(a)		11,770,780
				76,992,482

See accompanying notes to financial statements.

15  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Shares		Description	Value (†)
		Construction Materials — 0.1%
	42,733	Martin Marietta Materials, Inc.(a)	$	8,827,356
		Consumer Finance — 0.3%
	121,623	Ally Financial, Inc.(a)		2,411,784
	244,652	Discover Financial Services(a)		12,254,619
	276,281	Synchrony Financial(a)		6,122,387
				20,788,790
		Containers & Packaging — 0.4%
	73,855	Avery Dennison Corp.(a)		8,426,117
	86,722	Crown Holdings, Inc.(a)(b)		5,648,204
	120,681	Sonoco Products Co.(a)		6,310,409
	236,384	WestRock Co.(a)		6,680,212
				27,064,942
		Distributors — 0.1%
	107,529	Genuine Parts Co.(a)		9,350,722
		Diversified Consumer Services — 0.0%
	67,454	Service Corp. International(a)		2,623,286
		Diversified Financial Services — 1.7%
	598,994	Berkshire Hathaway, Inc., Class B(a)(b)		106,926,419
	133,431	Voya Financial, Inc.(a)		6,224,556
				113,150,975
		Diversified Telecommunication Services — 2.0%
	2,092,382	AT&T, Inc.(a)		63,252,708
	586,963	CenturyLink, Inc.(a)		5,887,239
	119,721	Liberty Global PLC, Class C(a)(b)		2,575,199
	47,937	Liberty Latin America Ltd., Class C(b)		452,525
	1,139,794	Verizon Communications, Inc.(a)		62,836,843
				135,004,514
		Electric Utilities — 1.5%
	408,300	Alliant Energy Corp.(a)		19,533,072
	435,727	American Electric Power Co., Inc.(a)		34,701,298
	179,101	Edison International(a)		9,726,975
	134,114	Entergy Corp.(a)		12,581,235
	257,073	Evergy, Inc.(a)		15,241,858
	112,252	Hawaiian Electric Industries, Inc.(a)		4,047,807
	154,286	OGE Energy Corp.(a)		4,684,123
				100,516,368
		Electrical Equipment — 0.7%
	262,139	Eaton Corp. PLC(a)		22,931,920
	318,411	Emerson Electric Co.(a)		19,751,034
	50,567	Hubbell, Inc.(a)		6,339,079
				49,022,033
		Electronic Equipment, Instruments & Components — 0.5%
	97,069	CDW Corp.(a)		11,277,477
	375,436	Corning, Inc.(a)		9,723,792

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Shares		Description	Value (†)
		Electronic Equipment, Instruments & Components — continued
	103,528	Trimble, Inc.(a)(b)	$	4,471,374
	33,350	Zebra Technologies Corp., Class A(a)(b)		8,535,933
				34,008,576
		Energy Equipment & Services — 0.2%
	885,669	Halliburton Co.(a)		11,495,984
	132,093	Helmerich & Payne, Inc.(a)		2,577,134
				14,073,118
		Entertainment — 2.3%
	290,402	Activision Blizzard, Inc.(a)		22,041,512
	103,108	Live Nation Entertainment, Inc.(a)(b)		4,570,777
	137,569	Netflix, Inc.(a)(b)		62,599,398
	11,174	Roku, Inc.(b)		1,302,106
	50,888	Take-Two Interactive Software, Inc.(a)(b)		7,102,438
	545,066	Walt Disney Co. (The)(a)		60,780,310
				158,396,541
		Food & Staples Retailing — 1.5%
	26,487	Casey’s General Stores, Inc.(a)		3,960,336
	138,994	Costco Wholesale Corp.(a)		42,144,371
	20,166	U.S. Foods Holding Corp.(b)		397,674
	483,049	Walmart, Inc.(a)		57,859,609
				104,361,990
		Food Products — 0.7%
	51,105	Bunge Ltd.(a)		2,101,949
	97,614	Lamb Weston Holdings, Inc.(a)		6,240,463
	698,295	Mondelez International, Inc., Class A(a)		35,703,823
	43,185	Post Holdings, Inc.(a)(b)		3,783,870
				47,830,105
		Gas Utilities — 0.1%
	78,512	National Fuel Gas Co.(a)		3,292,008
	143,442	UGI Corp.(a)		4,561,456
				7,853,464
		Health Care Equipment & Supplies — 3.5%
	622,169	Abbott Laboratories(a)		56,884,912
	36,809	Align Technology, Inc.(a)(b)		10,101,862
	233,533	Baxter International, Inc.(a)		20,107,191
	636,298	Boston Scientific Corp.(a)(b)		22,340,423
	263,594	Edwards Lifesciences Corp.(a)(b)		18,216,981
	192,900	Hologic, Inc.(a)(b)		10,995,300
	2,268	Insulet Corp.(a)(b)		440,582
	49,802	Intuitive Surgical, Inc.(a)(b)		28,378,674
	308,401	Medtronic PLC(a)		28,280,372
	95,263	ResMed, Inc.(a)		18,290,496
	55,109	STERIS PLC(a)		8,455,925
	29,772	Teleflex, Inc.(a)		10,836,412
	25,103	West Pharmaceutical Services, Inc.(a)		5,702,648
				239,031,778

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Shares		Description	Value (†)
		Health Care Providers & Services — 2.8%
	111,059	Anthem, Inc.(a)	$	29,206,296
	128,161	Cigna Corp.(a)		24,049,411
	392,764	CVS Health Corp.(a)		25,517,877
	131,657	HCA Healthcare, Inc.(a)		12,778,628
	16,707	Molina Healthcare, Inc.(a)(b)		2,973,512
	321,806	UnitedHealth Group, Inc.(a)		94,916,680
	49,482	Universal Health Services, Inc., Class B(a)		4,596,383
				194,038,787
		Health Care Technology — 0.1%
	35,189	Veeva Systems, Inc., Class A(a)(b)		8,249,005
		Hotels, Restaurants & Leisure — 1.4%
	97,014	Aramark(a)		2,189,606
	10,490	Domino’s Pizza, Inc.(a)		3,875,425
	22,964	Dunkin’ Brands Group, Inc.		1,497,942
	53,951	Hilton Grand Vacations, Inc.(b)		1,054,742
	190,367	Hilton Worldwide Holdings, Inc.(a)		13,982,456
	288,557	McDonald’s Corp.(a)		53,230,110
	69,731	Melco Resorts & Entertainment Ltd., Sponsored ADR		1,082,225
	231,201	Restaurant Brands International, Inc.(a)		12,630,511
	12,225	Vail Resorts, Inc.(a)		2,226,784
	208,390	Wendy’s Co. (The)(a)		4,538,734
				96,308,535
		Household Durables — 0.4%
	232,925	Lennar Corp., Class A(a)		14,352,838
	205,127	Newell Brands, Inc.(a)		3,257,417
	2,436	NVR, Inc.(a)(b)		7,938,315
	136,841	Toll Brothers, Inc.(a)		4,459,648
				30,008,218
		Household Products — 1.5%
	864,186	Procter & Gamble Co. (The)(a)		103,330,720
		Industrial Conglomerates — 1.2%
	227,911	3M Co.(a)		35,551,837
	301,264	Honeywell International, Inc.(a)		43,559,762
				79,111,599
		Insurance — 1.8%
	450,914	Aflac, Inc.(a)		16,246,432
	2,432	Alleghany Corp.(a)		1,189,589
	202,313	Allstate Corp. (The)(a)		19,622,338
	13,159	American Financial Group, Inc.(a)		835,070
	126,070	Aon PLC, Class A(a)		24,281,082
	214,576	Arch Capital Group Ltd.(a)(b)		6,147,602
	249,662	Arthur J. Gallagher & Co.(a)		24,339,548
	164,470	Brown & Brown, Inc.(a)		6,703,797
	74,687	Fidelity National Financial, Inc.(a)		2,289,903
	137,456	Lincoln National Corp.(a)		5,057,006

See accompanying notes to financial statements.

|  18

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Shares		Description	Value (†)
		Insurance — continued
	10,251	Markel Corp.(a)(b)	$	9,463,416
	29,196	RenaissanceRe Holdings Ltd.(a)		4,993,392
	163,187	Unum Group(a)		2,707,272
				123,876,447
		Interactive Media & Services — 5.5%
	51,194	Alphabet, Inc., Class A(a)(b)		72,595,652
	101,078	Alphabet, Inc., Class C(a)(b)		142,884,872
	677,850	Facebook, Inc., Class A(a)(b)		153,919,399
	31,148	Match Group, Inc.(a)(b)		3,334,393
	32,429	Zillow Group, Inc., Class C(a)(b)		1,868,235
				374,602,551
		Internet & Direct Marketing Retail — 4.8%
	112,519	Amazon.com, Inc.(a)(b)		310,419,668
	321,121	eBay, Inc.(a)		16,842,796
	4,001	MercadoLibre, Inc.(a)(b)		3,944,066
				331,206,530
		IT Services — 5.3%
	184,207	Automatic Data Processing, Inc.(a)		27,426,580
	10,167	Black Knight, Inc.(b)		737,718
	12,340	Booz Allen Hamilton Holding Corp.(a)		959,929
	165,537	Cognizant Technology Solutions Corp., Class A(a)		9,405,812
	14,418	EPAM Systems, Inc.(a)(b)		3,633,480
	202,834	Fidelity National Information Services, Inc.(a)		27,198,011
	90,261	Leidos Holdings, Inc.(a)		8,454,748
	223,267	MasterCard, Inc., Class A(a)		66,020,052
	205,367	Paychex, Inc.(a)		15,556,550
	395,469	PayPal Holdings, Inc.(a)(b)		68,902,564
	17,196	Twilio, Inc., Class A(a)(b)		3,773,146
	98,534	VeriSign, Inc.(a)(b)		20,379,787
	591,467	Visa, Inc., Class A(a)		114,253,681
				366,702,058
		Leisure Products — 0.0%
	1,696	Polaris, Inc.		156,965
		Life Sciences Tools & Services — 0.8%
	72,832	Illumina, Inc.(a)(b)		26,973,331
	13,175	Mettler-Toledo International, Inc.(a)(b)		10,613,121
	58,491	PRA Health Sciences, Inc.(a)(b)		5,690,589
	45,104	Waters Corp.(a)(b)		8,136,762
				51,413,803
		Machinery — 1.7%
	233,156	Caterpillar, Inc.(a)		29,494,234
	108,146	Cummins, Inc.(a)		18,737,376
	122,856	Deere & Co.(a)		19,306,820
	154,962	Otis Worldwide Corp.(a)		8,811,139
	80,596	Parker-Hannifin Corp.(a)		14,770,829

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Shares		Description	Value (†)
		Machinery — continued
	121,067	Pentair PLC(a)	$	4,599,335
	45,690	Snap-on, Inc.(a)		6,328,522
	63,733	Timken Co. (The)(a)		2,899,214
	13,869	Woodward, Inc.		1,075,541
	128,411	Xylem, Inc.(a)		8,341,579
				114,364,589
		Media — 1.0%
	1,342,072	Comcast Corp., Class A(a)		52,313,967
	33,220	Liberty Broadband Corp., Class C(a)(b)		4,117,951
	230,860	News Corp., Class B(a)		2,758,777
	122,784	Omnicom Group, Inc.(a)		6,704,006
	994,343	Sirius XM Holdings, Inc.(a)		5,836,794
				71,731,495
		Metals & Mining — 0.2%
	229,727	Southern Copper Corp.(a)		9,136,243
	172,113	Steel Dynamics, Inc.(a)		4,490,428
	81,631	Worthington Industries, Inc.(a)		3,044,836
				16,671,507
		Multi-Utilities — 1.2%
	260,977	Ameren Corp.(a)		18,362,342
	301,545	CenterPoint Energy, Inc.(a)		5,629,845
	189,864	Consolidated Edison, Inc.(a)		13,656,918
	335,214	Public Service Enterprise Group, Inc.(a)		16,479,120
	354,493	WEC Energy Group, Inc.(a)		31,071,311
				85,199,536
		Multiline Retail — 0.4%
	44,499	Nordstrom, Inc.		689,290
	213,800	Target Corp.(a)		25,641,034
				26,330,324
		Oil, Gas & Consumable Fuels — 2.5%
	2,396	Apache Corp.		32,346
	61,621	Cheniere Energy, Inc.(a)(b)		2,977,527
	599,848	Chevron Corp.(a)		53,524,437
	389,255	ConocoPhillips(a)		16,356,495
	1,282,270	Exxon Mobil Corp.(a)		57,343,114
	89,664	HollyFrontier Corp.(a)		2,618,189
	280,040	Marathon Petroleum Corp.(a)		10,467,895
	229,867	ONEOK, Inc.(a)		7,636,182
	170,519	Phillips 66(a)		12,260,316
	156,053	Valero Energy Corp.(a)		9,179,038
				172,395,539
		Personal Products — 0.0%
	29,528	Herbalife Nutrition Ltd.(b)		1,328,169

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Shares		Description	Value (†)
		Pharmaceuticals — 4.5%
	659,768	Bristol-Myers Squibb Co.(a)	$	38,794,358
	304,537	Eli Lilly & Co.(a)		49,998,885
	21,557	Jazz Pharmaceuticals PLC(a)(b)		2,378,599
	733,723	Johnson & Johnson(a)		103,183,466
	821,168	Merck & Co., Inc.(a)		63,500,921
	1,570,178	Pfizer, Inc.(a)		51,344,821
				309,201,050
		Professional Services — 0.2%
	13,486	CoStar Group, Inc.(a)(b)		9,584,096
	6,095	ManpowerGroup, Inc.		419,031
	53,234	TransUnion(a)		4,633,487
				14,636,614
		REITs – Apartments — 0.8%
	372,220	American Homes 4 Rent, Class A(a)		10,012,718
	140,470	Camden Property Trust(a)		12,813,673
	451,758	Invitation Homes, Inc.(a)		12,436,898
	539,393	UDR, Inc.(a)		20,162,510
				55,425,799
		REITs – Diversified — 0.5%
	599,830	Duke Realty Corp.(a)		21,227,984
	165,797	W.P. Carey, Inc.(a)		11,216,167
				32,444,151
		REITs – Health Care — 0.3%
	260,504	Healthcare Realty Trust, Inc.(a)		7,630,162
	453,565	Medical Properties Trust, Inc.(a)		8,527,022
	60,012	Sabra Health Care REIT, Inc.		865,973
	169,170	Ventas, Inc.(a)		6,195,006
				23,218,163
		REITs – Manufactured Homes — 0.3%
	202,059	Equity LifeStyle Properties, Inc.(a)		12,624,646
	48,503	Sun Communities, Inc.(a)		6,580,887
				19,205,533
		REITs – Mortgage — 0.0%
	129,902	Annaly Capital Management, Inc.		852,157
		REITs – Office Property — 0.2%
	100,000	Douglas Emmett, Inc.(a)		3,066,000
	146,251	Kilroy Realty Corp.(a)		8,584,934
	52,998	Mack-Cali Realty Corp.		810,339
				12,461,273
		REITs – Shopping Centers — 0.1%
	149,560	Regency Centers Corp.(a)		6,863,308
		REITs – Single Tenant — 0.1%
	144,199	National Retail Properties, Inc.(a)		5,116,181
			��

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Shares		Description	Value (†)
		REITs – Storage — 0.2%
	127,880	CubeSmart(a)	$	3,451,481
	130,455	Extra Space Storage, Inc.(a)		12,050,129
				15,501,610
		Road & Rail — 0.8%
	23,108	Canadian Pacific Railway Ltd.(a)		5,900,397
	391,922	CSX Corp.(a)		27,332,640
	43,513	J.B. Hunt Transport Services, Inc.(a)		5,236,354
	72,596	Lyft, Inc., Class A(a)(b)		2,396,394
	62,946	Old Dominion Freight Line, Inc.(a)		10,675,012
	53,335	Uber Technologies, Inc.(a)(b)		1,657,652
				53,198,449
		Semiconductors & Semiconductor Equipment — 4.9%
	414,497	Advanced Micro Devices, Inc.(a)(b)		21,806,687
	191,412	Analog Devices, Inc.(a)		23,474,768
	116,276	Broadcom, Inc.(a)		36,697,868
	1,250,206	Intel Corp.(a)		74,799,825
	156,764	Marvell Technology Group Ltd.(a)		5,496,146
	305,207	Micron Technology, Inc.(a)(b)		15,724,264
	177,566	NVIDIA Corp.(a)		67,459,099
	396,161	QUALCOMM, Inc.(a)		36,133,845
	170,184	Teradyne, Inc.(a)		14,382,250
	322,410	Texas Instruments, Inc.(a)		40,936,398
				336,911,150
		Software — 9.4%
	190,965	Adobe, Inc.(a)(b)		83,128,974
	59,174	ANSYS, Inc.(a)(b)		17,262,831
	188,193	Cadence Design Systems, Inc.(a)(b)		18,059,000
	78,761	Fortinet, Inc.(a)(b)		10,811,522
	2,073,790	Microsoft Corp.(a)		422,037,003
	114,308	Nuance Communications, Inc.(a)(b)		2,892,564
	777,025	Oracle Corp.(a)		42,946,172
	15,761	Palo Alto Networks, Inc.(a)(b)		3,619,829
	21,050	Paycom Software, Inc.(a)(b)		6,519,817
	41,380	PTC, Inc.(a)(b)		3,218,950
	57,151	ServiceNow, Inc.(a)(b)		23,149,584
	59,730	SS&C Technologies Holdings, Inc.(a)		3,373,550
	3,203	Tyler Technologies, Inc.(b)		1,111,057
	36,208	Workday, Inc., Class A(a)(b)		6,783,931
	12,003	Zoom Video Communications, Inc., Class A(a)(b)		3,043,241
				647,958,025
		Specialty Retail — 2.6%
	112,737	American Eagle Outfitters, Inc.		1,228,833
	17,696	Burlington Stores, Inc.(a)(b)		3,484,873
	15,592	Five Below, Inc.(a)(b)		1,666,941
	38,409	Foot Locker, Inc.		1,120,007
	390,786	Home Depot, Inc. (The)(a)		97,895,801

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Shares		Description	Value (†)
		Specialty Retail — continued
	300,568	Lowe’s Cos., Inc.(a)	$	40,612,748
	49,846	Tiffany & Co.(a)		6,078,221
	546,309	TJX Cos., Inc. (The)(a)		27,621,383
				179,708,807
		Technology Hardware, Storage & Peripherals — 6.1%
	1,140,608	Apple, Inc.(a)		416,093,798
	24,958	Dell Technologies, Inc., Class C(b)		1,371,193
				417,464,991
		Textiles, Apparel & Luxury Goods — 0.7%
	34,840	Lululemon Athletica, Inc.(a)(b)		10,870,428
	358,542	NIKE, Inc., Class B(a)		35,155,043
				46,025,471
		Tobacco — 0.9%
	825,949	Altria Group, Inc.(a)		32,418,498
	394,639	Philip Morris International, Inc.(a)		27,648,409
				60,066,907
		Trading Companies & Distributors — 0.0%
	29,008	GATX Corp.(a)		1,768,908
	37,468	HD Supply Holdings, Inc.(a)(b)		1,298,266
				3,067,174
		Total Common Stocks (Identified Cost $3,430,908,523)		6,658,558,160
		Total Purchased Options — 1.1% (Identified Cost $76,084,823) (see detail below)	76,660,460
Principal Amount
	Short-Term Investments — 4.4%
$	304,969,076	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $304,969,076 on 7/01/2020 collateralized by $272,434,700 U.S. Treasury Notes, 2.875% due 7/31/2025 valued at $311,068,531 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $304,969,076)		304,969,076
		Total Investments — 102.4% (Identified Cost $3,811,962,422)		7,040,187,696
		Other assets less liabilities — (2.4)%		(165,111,748	)
		Net Assets — 100.0%	$	6,875,075,948

Purchased Options — 1.1%
Description	Expiration Date		Exercise Price		Contracts		Notional Amount		Cost		Value (†)
Index Options — 1.1%
S&P 500® Index, Put(b)		8/21/2020		2,750		6,484	$	2,010,228,036	$	32,173,608	$	24,347,420
S&P 500® Index, Put(b)		9/18/2020		2,800		7,452		2,310,336,108		43,911,215		52,313,040
Total									$	76,084,823	$	76,660,460

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Fund – (continued)

Written Options — (2.1%)
Description	Expiration Date		Exercise Price		Contracts			Notional Amount			Premiums (Received)			Value (†)
Index Options — (2.1%)
S&P 500® Index, Call		7/17/2020		3,025		(2,356	)	$	(730,428,324	)	$	(23,043,301	)	$	(26,351,860	)
S&P 500® Index, Call		7/17/2020		3,050		(2,356	)		(730,428,324	)		(23,163,434	)		(21,875,460	)
S&P 500® Index, Call		7/17/2020		3,075		(2,356	)		(730,428,324	)		(20,396,801	)		(18,011,620	)
S&P 500® Index, Call		7/17/2020		3,100		(2,357	)		(730,738,353	)		(17,305,118	)		(14,389,485	)
S&P 500® Index, Call		7/31/2020		3,225		(2,356	)		(730,428,324	)		(23,099,358	)		(6,290,520	)
S&P 500® Index, Call		8/21/2020		3,125		(2,357	)		(730,738,353	)		(29,250,267	)		(22,426,855	)
S&P 500® Index, Call		8/21/2020		3,150		(2,357	)		(730,738,353	)		(23,562,527	)		(18,938,495	)
S&P 500® Index, Call		8/21/2020		3,200		(2,357	)		(730,738,353	)		(24,860,043	)		(13,199,200	)
S&P 500® Index, Call		8/21/2020		3,300		(2,356	)		(730,428,324	)		(15,931,416	)		(5,595,500	)
Total											$	(200,612,265	)	$	(147,078,995	)

(†)	See Note 2 of Notes to Financial Statements.
(a)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(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.
REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2020 (Unaudited)

Software	9.4	%
Technology Hardware, Storage & Peripherals	6.1
Interactive Media & Services	5.5
IT Services	5.3
Semiconductors & Semiconductor Equipment	4.9
Internet & Direct Marketing Retail	4.8
Pharmaceuticals	4.5
Banks	3.9
Health Care Equipment & Supplies	3.5
Health Care Providers & Services	2.8
Specialty Retail	2.6
Oil, Gas & Consumable Fuels	2.5
Entertainment	2.3
Biotechnology	2.3
Diversified Telecommunication Services	2.0
Other Investments, less than 2% each	35.6
Short-Term Investments	4.4
Total Investments	102.4
Other assets less liabilities (including open written options)	(2.4	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund

Shares		Description	Value (†)
	Common Stocks — 99.8% of Net Assets
		Aerospace & Defense — 1.6%
	1,423	Boeing Co. (The)(a)	$	260,836
	231	Huntington Ingalls Industries, Inc.(a)		40,307
	978	Lockheed Martin Corp.(a)		356,892
	2,845	Raytheon Technologies Corp.(a)		175,309
				833,344
		Air Freight & Logistics — 0.3%
	853	FedEx Corp.(a)		119,608
	397	XPO Logistics, Inc.(a)(b)		30,668
				150,276
		Airlines — 0.2%
	2,785	Delta Air Lines, Inc.(a)		78,119
	501	JetBlue Airways Corp.(a)(b)		5,461
				83,580
		Auto Components — 0.2%
	858	Adient PLC(b)		14,088
	213	Garrett Motion, Inc.(a)(b)		1,180
	884	Gentex Corp.(a)		22,781
	343	Lear Corp.(a)		37,394
	388	Magna International, Inc.(a)		17,278
				92,721
		Automobiles — 0.3%
	5,047	General Motors Co.(a)		127,689
	36	Tesla, Inc.(a)(b)		38,873
				166,562
		Banks — 3.8%
	24,046	Bank of America Corp.(a)		571,093
	5,264	Citigroup, Inc.(a)		268,990
	1,199	Comerica, Inc.(a)		45,682
	680	East West Bancorp, Inc.(a)		24,643
	5,480	Fifth Third Bancorp(a)		105,654
	1,323	First Republic Bank(a)		140,225
	8,001	JPMorgan Chase & Co.(a)		752,574
	375	SVB Financial Group(a)(b)		80,824
				1,989,685
		Beverages — 1.6%
	8,010	Coca-Cola Co. (The)(a)		357,887
	3,562	PepsiCo, Inc.(a)		471,110
				828,997
		Biotechnology — 2.5%
	4,091	AbbVie, Inc.(a)		401,655
	830	Alexion Pharmaceuticals, Inc.(a)(b)		93,159
	128	Alnylam Pharmaceuticals, Inc.(a)(b)		18,958
	1,508	Amgen, Inc.(a)		355,677

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Biotechnology — continued
	519	Biogen, Inc.(a)(b)	$	138,859
	2,994	Gilead Sciences, Inc.(a)		230,358
	222	Seattle Genetics, Inc.(a)(b)		37,722
				1,276,388
		Building Products — 0.7%
	1,115	A.O. Smith Corp.(a)		52,539
	2,331	Carrier Global Corp.(a)		51,795
	1,240	Fortune Brands Home & Security, Inc.(a)		79,273
	4,110	Johnson Controls International PLC(a)		140,315
	203	Lennox International, Inc.(a)		47,297
				371,219
		Capital Markets — 2.5%
	3,254	Bank of New York Mellon Corp. (The)(a)		125,767
	424	BlackRock, Inc.(a)		230,694
	2,256	Charles Schwab Corp. (The)(a)		76,117
	349	FactSet Research Systems, Inc.(a)		114,636
	1,192	Goldman Sachs Group, Inc. (The)(a)		235,563
	5,559	Morgan Stanley(a)		268,500
	429	MSCI, Inc.(a)		143,209
	685	Raymond James Financial, Inc.(a)		47,149
	1,106	TD Ameritrade Holding Corp.(a)		40,236
				1,281,871
		Chemicals — 1.9%
	139	AdvanSix, Inc.(a)(b)		1,632
	922	Air Products & Chemicals, Inc.(a)		222,626
	379	Ashland Global Holdings, Inc.(a)		26,189
	1,373	Celanese Corp.(a)		118,545
	2,051	Huntsman Corp.(a)		36,857
	1,676	Linde PLC(a)		355,496
	1,137	PPG Industries, Inc.(a)		120,590
	848	RPM International, Inc.(a)		63,651
	1,880	Valvoline, Inc.(a)		36,340
				981,926
		Commercial Services & Supplies — 0.5%
	226	Waste Connections, Inc.(a)		21,197
	2,066	Waste Management, Inc.(a)		218,810
				240,007
		Communications Equipment — 1.0%
	763	Ciena Corp.(a)(b)		41,324
	10,347	Cisco Systems, Inc.(a)		482,584
				523,908
		Consumer Finance — 0.3%
	2,148	Ally Financial, Inc.(a)		42,595
	6,190	Synchrony Financial(a)		137,170
				179,765

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Containers & Packaging — 0.3%
	938	Crown Holdings, Inc.(a)(b)	$	61,092
	723	Packaging Corp. of America(a)		72,155
				133,247
		Diversified Financial Services — 1.6%
	4,646	Berkshire Hathaway, Inc., Class B(a)(b)		829,357
		Diversified Telecommunication Services — 1.8%
	13,980	AT&T, Inc.(a)		422,615
	158	GCI Liberty, Inc., Class A(a)(b)		11,237
	9,539	Verizon Communications, Inc.(a)		525,885
				959,737
		Electric Utilities — 1.9%
	4,416	Alliant Energy Corp.(a)		211,261
	3,734	American Electric Power Co., Inc.(a)		297,376
	3,697	Evergy, Inc.(a)		219,195
	1,669	OGE Energy Corp.(a)		50,671
	4,022	Southern Co. (The)(a)		208,541
				987,044
		Electrical Equipment — 0.7%
	231	Acuity Brands, Inc.(a)		22,116
	2,795	Emerson Electric Co.(a)		173,374
	812	Hubbell, Inc.(a)		101,792
	1,368	Sensata Technologies Holding PLC(a)(b)		50,931
				348,213
		Electronic Equipment, Instruments & Components — 0.4%
	512	Arrow Electronics, Inc.(a)(b)		35,169
	793	Avnet, Inc.		22,113
	701	CDW Corp.(a)		81,442
	4,536	Flex Ltd.(a)(b)		46,494
	565	Trimble, Inc.(a)(b)		24,403
				209,621
		Energy Equipment & Services — 0.0%
	1,852	National Oilwell Varco, Inc.		22,687
		Entertainment — 2.2%
	2,133	Activision Blizzard, Inc.(a)		161,895
	760	Live Nation Entertainment, Inc.(a)(b)		33,691
	121	Madison Square Garden Entertainment Corp.(a)(b)		9,075
	121	Madison Square Garden Sports Corp., Class A(a)(b)		17,773
	1,028	Netflix, Inc.(a)(b)		467,781
	3,972	Walt Disney Co. (The)(a)		442,918
				1,133,133
		Food & Staples Retailing — 1.7%
	961	Costco Wholesale Corp.(a)		291,385
	2,216	Sysco Corp.(a)		121,127
	1,732	Walgreens Boots Alliance, Inc.(a)		73,419

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Food & Staples Retailing — continued
	3,408	Walmart, Inc.(a)	$	408,210
				894,141
		Food Products — 0.6%
	493	Bunge Ltd.(a)		20,277
	885	Hain Celestial Group, Inc. (The)(a)(b)		27,886
	304	Ingredion, Inc.(a)		25,232
	1,635	Kellogg Co.(a)		108,008
	1,168	Post Holdings, Inc.(a)(b)		102,340
	816	TreeHouse Foods, Inc.(a)(b)		35,741
				319,484
		Gas Utilities — 0.3%
	1,197	Atmos Energy Corp.(a)		119,197
	1,531	UGI Corp.(a)		48,686
				167,883
		Health Care Equipment & Supplies — 3.5%
	5,136	Abbott Laboratories(a)		469,584
	405	Align Technology, Inc.(a)(b)		111,148
	372	Cooper Cos., Inc. (The)(a)		105,514
	568	Hill-Rom Holdings, Inc.(a)		62,355
	2,290	Hologic, Inc.(a)(b)		130,530
	532	IDEXX Laboratories, Inc.(a)(b)		175,645
	3,920	Medtronic PLC(a)		359,464
	898	ResMed, Inc.(a)		172,416
	583	STERIS PLC(a)		89,456
	362	Teleflex, Inc.(a)		131,761
				1,807,873
		Health Care Providers & Services — 2.6%
	741	Anthem, Inc.(a)		194,868
	2,109	Centene Corp.(a)(b)		134,027
	1,142	Cigna Corp.(a)		214,296
	2,386	MEDNAX, Inc.(a)(b)		40,801
	260	Molina Healthcare, Inc.(a)(b)		46,275
	2,414	UnitedHealth Group, Inc.(a)		712,009
				1,342,276
		Hotels, Restaurants & Leisure — 1.8%
	68	Domino’s Pizza, Inc.(a)		25,122
	795	Dunkin’ Brands Group, Inc.(a)		51,858
	404	Hilton Grand Vacations, Inc.(a)(b)		7,898
	1,317	Hilton Worldwide Holdings, Inc.(a)		96,734
	1,174	Las Vegas Sands Corp.(a)		53,464
	2,099	McDonald’s Corp.(a)		387,203
	374	Melco Resorts & Entertainment Ltd., Sponsored ADR(a)		5,804
	2,295	MGM Resorts International(a)		38,556
	3,495	Starbucks Corp.(a)		257,197
	9	Vail Resorts, Inc.(a)		1,639
				925,475

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Household Durables — 0.2%
	1,384	Leggett & Platt, Inc.(a)	$	48,647
	2,218	Toll Brothers, Inc.(a)		72,285
				120,932
		Household Products — 1.7%
	521	Clorox Co. (The)(a)		114,292
	6,448	Procter & Gamble Co. (The)(a)		770,987
				885,279
		Industrial Conglomerates — 1.2%
	1,356	3M Co.(a)		211,523
	2,682	Honeywell International, Inc.(a)		387,790
				599,313
		Insurance — 1.5%
	3,115	Arch Capital Group Ltd.(a)(b)		89,245
	1,480	Chubb Ltd.(a)		187,398
	438	Cincinnati Financial Corp.		28,045
	5,917	Manulife Financial Corp.(a)		80,590
	2,318	Prudential Financial, Inc.(a)		141,166
	478	RenaissanceRe Holdings Ltd.(a)		81,752
	878	Willis Towers Watson PLC(a)		172,922
				781,118
		Interactive Media & Services — 5.4%
	481	Alphabet, Inc., Class A(a)(b)		682,082
	709	Alphabet, Inc., Class C(a)(b)		1,002,249
	5,007	Facebook, Inc., Class A(a)(b)		1,136,940
				2,821,271
		Internet & Direct Marketing Retail — 5.1%
	872	Amazon.com, Inc.(a)(b)		2,405,691
	132	Booking Holdings, Inc.(a)(b)		210,189
	29	MercadoLibre, Inc.(a)(b)		28,587
				2,644,467
		IT Services — 5.1%
	1,939	Accenture PLC, Class A(a)		416,342
	446	FleetCor Technologies, Inc.(a)(b)		112,182
	784	Global Payments, Inc.(a)		132,982
	2,333	International Business Machines Corp.(a)		281,756
	973	Leidos Holdings, Inc.(a)		91,141
	2,498	MasterCard, Inc., Class A(a)		738,659
	4,663	Visa, Inc., Class A(a)		900,752
				2,673,814
		Leisure Products — 0.1%
	590	Brunswick Corp.(a)		37,766
	345	Polaris, Inc.(a)		31,930
				69,696

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Life Sciences Tools & Services — 1.3%
	48	Bio-Rad Laboratories, Inc., Class A(a)(b)	$	21,672
	482	Illumina, Inc.(a)(b)		178,509
	625	PRA Health Sciences, Inc.(a)(b)		60,806
	1,130	Thermo Fisher Scientific, Inc.(a)		409,444
				670,431
		Machinery — 1.4%
	471	AGCO Corp.(a)		26,122
	1,820	Caterpillar, Inc.(a)		230,230
	999	Cummins, Inc.(a)		173,087
	990	Deere & Co.(a)		155,578
	616	IDEX Corp.(a)		97,352
	1,165	Otis Worldwide Corp.(a)		66,242
				748,611
		Media — 1.1%
	11,513	Comcast Corp., Class A(a)		448,777
	17,870	Sirius XM Holdings, Inc.(a)		104,897
				553,674
		Metals & Mining — 0.3%
	2,674	Alcoa Corp.(b)		30,056
	1,619	Barrick Gold Corp.(a)		43,616
	316	Rio Tinto PLC, Sponsored ADR(a)		17,753
	590	Southern Copper Corp.		23,464
	833	Steel Dynamics, Inc.(a)		21,733
	4,124	Vale S.A., Sponsored ADR(a)		42,518
				179,140
		Multi-Utilities — 0.4%
	3,723	Public Service Enterprise Group, Inc.(a)		183,023
		Multiline Retail — 0.2%
	346	Nordstrom, Inc.		5,360
	929	Target Corp.(a)		111,415
				116,775
		Oil, Gas & Consumable Fuels — 2.5%
	2,853	Canadian Natural Resources Ltd.(a)		49,728
	1,522	Cheniere Energy, Inc.(a)(b)		73,543
	5,195	Chevron Corp.(a)		463,550
	1,642	Concho Resources, Inc.(a)		84,563
	1,230	EQT Corp.(a)		14,637
	9,943	Exxon Mobil Corp.(a)		444,651
	1,235	HollyFrontier Corp.(a)		36,062
	2,149	Ovintiv, Inc.		20,523
	1,099	Pioneer Natural Resources Co.(a)		107,372
	3,754	WPX Energy, Inc.(a)(b)		23,950
				1,318,579

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Pharmaceuticals — 4.7%
	5,070	Bristol-Myers Squibb Co.(a)	$	298,116
	2,346	Eli Lilly & Co.(a)		385,166
	241	Jazz Pharmaceuticals PLC(a)(b)		26,592
	5,951	Johnson & Johnson(a)		836,889
	5,818	Merck & Co., Inc.(a)		449,906
	12,806	Pfizer, Inc.(a)		418,756
	1,000	Teva Pharmaceutical Industries Ltd., Sponsored ADR(a)(b)		12,330
				2,427,755
		Professional Services — 0.6%
	57	CoStar Group, Inc.(a)(b)		40,508
	342	ManpowerGroup, Inc.(a)		23,512
	650	TransUnion(a)		56,576
	998	Verisk Analytics, Inc.(a)		169,860
				290,456
		Real Estate Management & Development — 0.0%
	176	Jones Lang LaSalle, Inc.(a)		18,209
		REITs – Apartments — 1.1%
	1,056	American Campus Communities, Inc.(a)		36,918
	836	Camden Property Trust(a)		76,260
	566	Essex Property Trust, Inc.(a)		129,710
	1,428	Mid-America Apartment Communities, Inc.(a)		163,749
	4,721	UDR, Inc.(a)		176,471
				583,108
		REITs – Diversified — 1.4%
	1,350	Crown Castle International Corp.(a)		225,922
	862	Digital Realty Trust, Inc.(a)		122,499
	2,963	Duke Realty Corp.(a)		104,860
	708	Gaming & Leisure Properties, Inc.(a)		24,497
	516	SBA Communications Corp.(a)		153,727
	846	VICI Properties, Inc.(a)		17,081
	998	W.P. Carey, Inc.(a)		67,515
				716,101
		REITs – Health Care — 0.1%
	2,686	Medical Properties Trust, Inc.(a)		50,497
		REITs – Hotels — 0.0%
	672	Park Hotels & Resorts, Inc.		6,646
		REITs – Mortgage — 0.1%
	4,312	Annaly Capital Management, Inc.(a)		28,287
		REITs – Office Property — 0.1%
	1,073	Kilroy Realty Corp.(a)		62,985
		REITs – Single Tenant — 0.2%
	368	National Retail Properties, Inc.		13,057
	1,329	Realty Income Corp.(a)		79,075
				92,132

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		REITs – Storage — 0.2%
	984	Extra Space Storage, Inc.(a)	$	90,892
		Road & Rail — 1.3%
	1,238	Norfolk Southern Corp.(a)		217,356
	702	Old Dominion Freight Line, Inc.(a)		119,052
	2,100	Union Pacific Corp.(a)		355,047
				691,455
		Semiconductors & Semiconductor Equipment — 4.9%
	3,239	Advanced Micro Devices, Inc.(a)(b)		170,404
	3,752	Applied Materials, Inc.(a)		226,808
	83	ASML Holding NV, (Registered)(a)		30,546
	377	First Solar, Inc.(a)(b)		18,662
	9,816	Intel Corp.(a)		587,291
	1,914	Marvell Technology Group Ltd.(a)		67,105
	2,228	Maxim Integrated Products, Inc.(a)		135,039
	1,551	NVIDIA Corp.(a)		589,240
	1,366	ON Semiconductor Corp.(a)(b)		27,074
	3,242	QUALCOMM, Inc.(a)		295,703
	813	Teradyne, Inc.(a)		68,707
	2,732	Texas Instruments, Inc.(a)		346,882
				2,563,461
		Software — 9.9%
	1,290	Adobe, Inc.(a)(b)		561,550
	1,069	Cadence Design Systems, Inc.(a)(b)		102,581
	526	CDK Global, Inc.(a)		21,787
	297	Check Point Software Technologies Ltd.(a)(b)		31,907
	661	Fortinet, Inc.(a)(b)		90,735
	15,746	Microsoft Corp.(a)		3,204,468
	4,662	Oracle Corp.(a)		257,669
	165	Palo Alto Networks, Inc.(a)(b)		37,895
	321	PTC, Inc.(a)(b)		24,971
	2,196	salesforce.com, Inc.(a)(b)		411,377
	511	ServiceNow, Inc.(a)(b)		206,986
	475	SS&C Technologies Holdings, Inc.(a)		26,828
	745	Synopsys, Inc.(a)(b)		145,275
				5,124,029
		Specialty Retail — 2.3%
	630	Advance Auto Parts, Inc.(a)		89,743
	529	Burlington Stores, Inc.(a)(b)		104,176
	933	Dick’s Sporting Goods, Inc.(a)		38,495
	1,030	Foot Locker, Inc.(a)		30,035
	3,164	Home Depot, Inc. (The)(a)		792,614
	392	Ulta Beauty, Inc.(a)(b)		79,741
	583	Williams-Sonoma, Inc.(a)		47,812
				1,182,616
		Technology Hardware, Storage & Peripherals — 6.4%
	8,603	Apple, Inc.(a)		3,138,374

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Technology Hardware, Storage & Peripherals — continued
	346	Dell Technologies, Inc., Class C(b)	$	19,009
	5,591	Hewlett Packard Enterprise Co.(a)		54,401
	5,561	HP, Inc.(a)		96,928
				3,308,712
		Textiles, Apparel & Luxury Goods — 0.9%
	309	Carter’s, Inc.(a)		24,936
	232	Lululemon Athletica, Inc.(a)(b)		72,386
	3,637	NIKE, Inc., Class B(a)		356,608
	762	Skechers U.S.A., Inc., Class A(a)(b)		23,912
				477,842
		Tobacco — 0.8%
	4,687	Altria Group, Inc.(a)		183,965
	206	British American Tobacco PLC, Sponsored ADR		7,997
	3,166	Philip Morris International, Inc.(a)		221,810
				413,772
		Water Utilities — 0.5%
	1,851	American Water Works Co., Inc.(a)		238,150
		Total Common Stocks (Identified Cost $29,961,561)		51,813,648
Principal Amount
	Short-Term Investments — 2.4%
$	1,236,440	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $1,236,440 on 7/01/2020 collateralized by $1,117,600 U.S. Treasury Note, 2.500% due 2/28/2026 valued at $1,261,193 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,236,440)		1,236,440
		Total Investments — 102.2% (Identified Cost $31,198,001)		53,050,088
		Other assets less liabilities — (2.2)%		(1,146,965	)
		Net Assets — 100.0%	$	51,903,123

Written Options — (2.2%)
Description	Expiration Date		Exercise Price	Contracts			Notional Amount			Premiums (Received)			Value (†)
Index Options — (2.2%)
S&P 500® Index, Call		7/17/2020	3,025		(18	)	$	(5,580,522	)	$	(176,053	)	$	(201,330	)
S&P 500® Index, Call		7/17/2020	3,050		(19	)		(5,890,551	)		(186,802	)		(176,415	)
S&P 500® Index, Call		7/17/2020	3,075		(19	)		(5,890,551	)		(164,490	)		(145,255	)
S&P 500® Index, Call		7/17/2020	3,100		(19	)		(5,890,551	)		(139,498	)		(115,995	)
S&P 500® Index, Call		7/31/2020	3,225		(18	)		(5,580,522	)		(176,481	)		(48,060	)
S&P 500® Index, Call		8/21/2020	3,125		(18	)		(5,580,522	)		(223,379	)		(171,270	)
S&P 500® Index, Call		8/21/2020	3,150		(18	)		(5,580,522	)		(179,943	)		(144,630	)

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund – (continued)

Written Options — (continued)
Description	Expiration Date		Exercise Price	Contracts			Notional Amount			Premiums (Received)			Value (†)
Index Options — (continued)
S&P 500® Index, Call		8/21/2020	3,200		(18	)	$	(5,580,522	)	$	(189,852	)	$	(100,800	)
S&P 500® Index, Call		8/21/2020	3,300		(18	)		(5,580,522	)		(121,717	)		(42,750	)
Total										$	(1,558,215	)	$	(1,146,505	)

(†)	See Note 2 of Notes to Financial Statements.
(a)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(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.
REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2020 (Unaudited)

Software	9.9	%
Technology Hardware, Storage & Peripherals	6.4
Interactive Media & Services	5.4
IT Services	5.1
Internet & Direct Marketing Retail	5.1
Semiconductors & Semiconductor Equipment	4.9
Pharmaceuticals	4.7
Banks	3.8
Health Care Equipment & Supplies	3.5
Health Care Providers & Services	2.6
Oil, Gas & Consumable Fuels	2.5
Capital Markets	2.5
Biotechnology	2.5
Specialty Retail	2.3
Entertainment	2.2
Other Investments, less than 2% each	36.4
Short-Term Investments	2.4
Total Investments	102.2
Other assets less liabilities (including open written options)	(2.2	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  34

Statements of Assets and Liabilities

June 30, 2020 (Unaudited)

	Gateway Fund		Gateway Equity Call Premium Fund
ASSETS
Investments at cost	$	3,811,962,422	$	31,198,001
Net unrealized appreciation		3,228,225,274		21,852,087
Investments at value		7,040,187,696		53,050,088
Cash		24,647		—
Receivable for Fund shares sold		7,925,955		82,127
Receivable from investment adviser (Note 6)		—		1,035
Dividends receivable		4,917,455		40,326
Prepaid expenses (Note 8)		1,301		11
TOTAL ASSETS		7,053,057,054		53,173,587
LIABILITIES
Options written, at value (premiums received $200,612,265 and $1,558,215, respectively) (Note 2)		147,078,995		1,146,505
Payable for Fund shares redeemed		26,103,975		25,262
Management fees payable (Note 6)		3,125,124		—
Deferred Trustees’ fees (Note 6)		928,333		41,618
Administrative fees payable (Note 6)		251,115		1,881
Payable to distributor (Note 6d)		21,442		256
Other accounts payable and accrued expenses		472,122		54,942
TOTAL LIABILITIES		177,981,106		1,270,464
NET ASSETS	$	6,875,075,948	$	51,903,123
NET ASSETS CONSIST OF:
Paid-in capital	$	4,733,974,172	$	38,300,024
Accumulated earnings		2,141,101,776		13,603,099
NET ASSETS	$	6,875,075,948	$	51,903,123

See accompanying notes to financial statements.

35  |

Statements of Assets and Liabilities (continued)

June 30, 2020 (Unaudited)

	Gateway Fund		Gateway Equity Call Premium Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	920,723,383	$	1,600,279
Shares of beneficial interest		27,403,498		131,094
Net asset value and redemption price per share	$	33.60	$	12.21
Offering price per share (100/94.25 of net asset value) (Note 1)	$	35.65	$	12.95
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	167,888,229	$	736,714
Shares of beneficial interest		5,016,999		60,554
Net asset value and offering price per share	$	33.46	$	12.17
Class N shares:
Net assets	$	351,555,535	$	529,106
Shares of beneficial interest		10,468,528		43,395
Net asset value, offering and redemption price per share	$	33.58	$	12.19
Class Y shares:
Net assets	$	5,434,908,801	$	49,037,024
Shares of beneficial interest		161,864,221		4,019,331
Net asset value, offering and redemption price per share	$	33.58	$	12.20

See accompanying notes to financial statements.

|  36

Statements of Operations

For the Six Months Ended June 30, 2020 (Unaudited)

	Gateway Fund			Gateway Equity Call Premium Fund
INVESTMENT INCOME
Interest	$	319,786		$	2,792
Dividends		71,359,498			574,061
Less net foreign taxes withheld		(32,081	)		(950	)
		71,647,203			575,903
Expenses
Management fees (Note 6)		23,118,669			186,159
Service and distribution fees (Note 6)		2,176,109			6,254
Administrative fees (Note 6)		1,622,532			12,741
Trustees’ fees and expenses (Note 6)		133,188			10,144
Transfer agent fees and expenses (Notes 6 and 7)		2,424,181			19,161
Audit and tax services fees		25,727			25,005
Custodian fees and expenses		137,459			34,410
Legal fees (Note 8)		88,857			994
Registration fees		101,548			28,446
Shareholder reporting expenses		158,747			2,517
Miscellaneous expenses (Note 8)		131,040			16,262
Total expenses		30,118,057			342,093
Less waiver and/or expense reimbursement (Note 6)		(2,555,964	)		(63,649	)
Net expenses		27,562,093			278,444
Net investment income		44,085,110			297,459
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		484,443,784			992,660
Options written		(418,075,142	)		(3,126,909	)
Foreign currency transactions (Note 2c)		(8	)		(13	)
Net change in unrealized appreciation (depreciation) on:
Investments		(493,705,736	)		(4,010,631	)
Options written		125,836,830			990,332
Foreign currency translations (Note 2c)		(34	)		(3	)
Net realized and unrealized loss on investments, options written and foreign currency transactions		(301,500,306	)		(5,154,564	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(257,415,196	)	$	(4,857,105	)

See accompanying notes to financial statements.

37  |

Statements of Changes in Net Assets

	Gateway Fund
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019
FROM OPERATIONS:
Net investment income	$	44,085,110		$	105,912,778
Net realized gain (loss) on investments, options written and foreign currency transactions		66,368,634			(1,125,482,443	)
Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations		(367,868,940	)		1,872,931,084
Net increase (decrease) in net assets resulting from operations		(257,415,196	)		853,361,419
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(5,074,981	)		(12,705,939	)
Class C		(262,085	)		(840,122	)
Class N		(2,301,986	)		(3,571,259	)
Class Y		(36,666,851	)		(88,571,859	)
Total distributions		(44,305,903	)		(105,689,179	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(980,414,701	)		(728,793,632	)
Net increase (decrease) in net assets		(1,282,135,800	)		18,878,608
NET ASSETS
Beginning of the period		8,157,211,748			8,138,333,140
End of the period	$	6,875,075,948		$	8,157,211,748

See accompanying notes to financial statements.

|  38

Statements of Changes in Net Assets (continued)

	Gateway Equity Call Premium Fund
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019
FROM OPERATIONS:
Net investment income	$	297,459		$	633,336
Net realized loss on investments, options written and foreign currency transactions		(2,134,262	)		(4,575,650	)
Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations		(3,020,302	)		13,729,955
Net increase (decrease) in net assets resulting from operations		(4,857,105	)		9,787,641
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(7,962	)		(19,337	)
Class C		(567	)		(1,035	)
Class N		(2,985	)		(2,711	)
Class Y		(279,478	)		(629,887	)
Total distributions		(290,992	)		(652,970	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(7,363,426	)		(15,070,318	)
Net decrease in net assets		(12,511,523	)		(5,935,647	)
NET ASSETS
Beginning of the period		64,414,646			70,350,293
End of the period	$	51,903,123		$	64,414,646

See accompanying notes to financial statements.

39  |

Financial Highlights

For a share outstanding throughout each period.

	Gateway Fund—Class A
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015
Net asset value, beginning of the period	$	34.69		$	31.65		$	33.47		$	30.84		$	29.72		$	29.58
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.37			0.34			0.39			0.41			0.57	(b)
Net realized and unrealized gain (loss)		(1.08	)		3.05			(1.80	)		2.58			1.13			0.12
Total from Investment Operations		(0.91	)		3.42			(1.46	)		2.97			1.54			0.69
LESS DISTRIBUTIONS FROM:
Net investment income		(0.18	)		(0.38	)		(0.36	)		(0.34	)		(0.42	)		(0.55	)
Net asset value, end of the period	$	33.60		$	34.69		$	31.65		$	33.47		$	30.84		$	29.72
Total return(c)(d)		(2.60	)%(e)		10.84	%		(4.39	)%		9.66	%		5.23	%		2.34	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	920,723		$	1,125,464		$	1,177,641		$	1,669,272		$	1,755,576		$	1,864,118
Net expenses(f)		0.94	%(g)		0.94	%		0.94	%		0.94	%		0.94	%		0.94	%
Gross expenses		1.02	%(g)		1.01	%		1.01	%		1.02	%		1.02	%		1.01	%
Net investment income		1.02	%(g)		1.12	%		1.03	%		1.20	%		1.39	%		1.91	%(b)
Portfolio turnover rate		15	%		12	%		10	%		34	%		14	%		10	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.37, and the ratio of net investment income to average net assets would have been 1.24%.

(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d) A sales charge for Class A shares is not reflected in total return calculations.

(e) Periods less than one year are not annualized.

(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

See accompanying notes to financial statements.

|  40

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Fund—Class C
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015
Net asset value, beginning of the period	$	34.54		$	31.50		$	33.32		$	30.72		$	29.61		$	29.48
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.12			0.09			0.14			0.19			0.34	(b)
Net realized and unrealized gain (loss)		(1.07	)		3.03			(1.80	)		2.57			1.11			0.12
Total from Investment Operations		(1.03	)		3.15			(1.71	)		2.71			1.30			0.46
LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.11	)		(0.11	)		(0.11	)		(0.19	)		(0.33	)
Net asset value, end of the period	$	33.46		$	34.54		$	31.50		$	33.32		$	30.72		$	29.61
Total return(c)(d)		(2.98	)%(e)		10.02	%		(5.15	)%		8.85	%		4.42	%		1.54	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	167,888		$	215,947		$	272,904		$	336,891		$	366,584		$	387,235
Net expenses(f)		1.70	%(g)		1.70	%		1.70	%		1.70	%		1.70	%		1.70	%
Gross expenses		1.77	%(g)		1.76	%		1.76	%		1.77	%		1.77	%		1.76	%
Net investment income		0.26	%(g)		0.37	%		0.27	%		0.44	%		0.63	%		1.15	%(b)
Portfolio turnover rate		15	%		12	%		10	%		34	%		14	%		10	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.15, and the ratio of net investment income to average net assets would have been 0.51%.

(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(e) Periods less than one year are not annualized.

(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

See accompanying notes to financial statements.

41  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Fund—Class N
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	34.68		$	31.63		$	33.46		$	31.89
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.22			0.47			0.44			0.32
Net realized and unrealized gain (loss)		(1.09	)		3.06			(1.81	)		1.56
Total from Investment Operations		(0.87	)		3.53			(1.37	)		1.88
LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		(0.48	)		(0.46	)		(0.31	)
Net asset value, end of the period	$	33.58		$	34.68		$	31.63		$	33.46
Total return(b)		(2.46	)%(c)		11.17	%		(4.13	)%		5.93	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	351,556		$	369,793		$	179,727		$	126,262
Net expenses(d)		0.65	%(e)		0.65	%		0.65	%		0.65	%(e)
Gross expenses		0.70	%(e)		0.69	%		0.70	%		0.74	%(e)
Net investment income		1.32	%(e)		1.40	%		1.32	%		1.42	%(e)
Portfolio turnover rate		15	%		12	%		10	%		34	%(f)

* From commencement of Class operations on May 1, 2017 through December 31, 2017.

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

(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c) Periods less than one year are not annualized.

(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(f) Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

|  42

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Fund—Class Y
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015
Net asset value, beginning of the period	$	34.67		$	31.63		$	33.46		$	30.83		$	29.71		$	29.57	��
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.21			0.46			0.43			0.47			0.49			0.64	(b)
Net realized and unrealized gain (loss)		(1.08	)		3.04			(1.81	)		2.58			1.12			0.12
Total from Investment Operations		(0.87	)		3.50			(1.38	)		3.05			1.61			0.76
LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.46	)		(0.45	)		(0.42	)		(0.49	)		(0.62	)
Net asset value, end of the period	$	33.58		$	34.67		$	31.63		$	33.46		$	30.83		$	29.71
Total return(c)		(2.48	)%(d)		11.12	%		(4.18	)%		9.93	%		5.48	%		2.59	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	5,434,909		$	6,446,007		$	6,508,061		$	6,392,640		$	5,550,008		$	6,012,987
Net expenses(e)		0.70	%(f)		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%
Gross expenses		0.77	%(f)		0.76	%		0.76	%		0.77	%		0.77	%		0.76	%
Net investment income		1.27	%(f)		1.37	%		1.28	%		1.44	%		1.63	%		2.16	%(b)
Portfolio turnover rate		15	%		12	%		10	%		34	%		14	%		10	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.45, and the ratio of net investment income to average net assets would have been 1.51%.

(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d) Periods less than one year are not annualized.

(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

See accompanying notes to financial statements.

43  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class A
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015
Net asset value, beginning of the period	$	13.07		$	11.32		$	12.08		$	10.89		$	10.22		$	9.96
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05			0.10			0.09			0.10			0.11			0.15	(b)
Net realized and unrealized gain (loss)		(0.86	)		1.76			(0.76	)		1.18			0.66			0.24
Total from Investment Operations		(0.81	)		1.86			(0.67	)		1.28			0.77			0.39
LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.11	)		(0.09	)		(0.09	)		(0.10	)		(0.13	)
Net asset value, end of the period	$	12.21		$	13.07		$	11.32		$	12.08		$	10.89		$	10.22
Total return(c)(d)		(6.18	)%(e)		16.46	%		(5.60	)%		11.80	%		7.58	%		3.90	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,600		$	2,363		$	2,375		$	7,085		$	6,507		$	3,855
Net expenses(f)		1.20	%(g)		1.20	%		1.20	%		1.20	%		1.20	%		1.20	%
Gross expenses		1.42	%(g)		1.42	%		1.44	%		1.30	%		1.31	%		1.70	%
Net investment income		0.82	%(g)		0.82	%		0.73	%		0.85	%		1.02	%		1.47	%(b)
Portfolio turnover rate		12	%		17	%		58	%		19	%		24	%		38	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.10 and the ratio of net investment income to average net assets would have been 0.98%.

(c) A sales charge for Class A shares is not reflected in total return calculations.

(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e) Periods less than one year are not annualized.

(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

See accompanying notes to financial statements.

|  44

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class C
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015
Net asset value, beginning of the period	$	13.03		$	11.29		$	12.05		$	10.87		$	10.22		$	9.97
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.00	(b)		0.01			0.00	(b)		0.01			0.02			0.09	(c)
Net realized and unrealized gain (loss)		(0.85	)		1.74			(0.75	)		1.18			0.68			0.22
Total from Investment Operations		(0.85	)		1.75			(0.75	)		1.19			0.70			0.31
LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.01	)		(0.01	)		(0.01	)		(0.05	)		(0.06	)
Net asset value, end of the period	$	12.17		$	13.03		$	11.29		$	12.05		$	10.87		$	10.22
Total return(d)(e)		(6.52	)%(f)		15.54	%		(6.24	)%		10.95	%		6.85	%		3.07	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	737		$	727		$	849		$	648		$	524		$	37
Net expenses(g)		1.95	%(h)		1.95	%		1.95	%		1.95	%		1.95	%		1.95	%
Gross expenses		2.17	%(h)		2.17	%		2.19	%		2.05	%		1.98	%		2.40	%
Net investment income		0.07	%(h)		0.07	%		0.02	%		0.10	%		0.23	%		0.85	%(c)
Portfolio turnover rate		12	%		17	%		58	%		19	%		24	%		38	%

(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) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.07 and the ratio of net investment income to average net assets would have been 0.72%.

(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) Periods less than one year are not annualized.

(g) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

See accompanying notes to financial statements.

45  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class N
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	13.06		$	11.32		$	12.09		$	11.34
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.13			0.13			0.10
Net realized and unrealized gain (loss)		(0.87	)		1.76			(0.77	)		0.75
Total from Investment Operations		(0.80	)		1.89			(0.64	)		0.85
LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.15	)		(0.13	)		(0.10	)
Net asset value, end of the period	$	12.19		$	13.06		$	11.32		$	12.09
Total return(b)		(6.10	)%(c)		16.73	%		(5.32	)%		7.50	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	529		$	530		$	1		$	1
Net expenses(d)		0.90	%(e)		0.90	%		0.90	%		0.90	%(e)
Gross expenses		1.38	%(e)		1.63	%		15.41	%		14.26	%(e)
Net investment income		1.12	%(e)		1.03	%		1.04	%		1.22	%(e)
Portfolio turnover rate		12	%		17	%		58	%		19	%(f)

* From commencement of Class operations on May 1, 2017 through December 31, 2017.

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

(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c) Periods less than one year are not annualized.

(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

(f) Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

|  46

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class Y
	Six Months Ended June 30, 2020 (Unaudited)			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015
Net asset value, beginning of the period	$	13.07		$	11.32		$	12.09		$	10.89		$	10.22		$	9.97
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.06			0.13			0.12			0.13			0.13			0.16	(b)
Net realized and unrealized gain (loss)		(0.86	)		1.76			(0.76	)		1.19			0.67			0.24
Total from Investment Operations		(0.80	)		1.89			(0.64	)		1.32			0.80			0.40
LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.14	)		(0.13	)		(0.12	)		(0.13	)		(0.15	)
Net asset value, end of the period	$	12.20		$	13.07		$	11.32		$	12.09		$	10.89		$	10.22
Total return(c)		(6.05	)%(d)		16.67	%		(5.37	)%		12.21	%		7.83	%		4.03	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	49,037		$	60,794		$	67,125		$	73,255		$	63,578		$	50,334
Net expenses(e)		0.95	%(f)		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Gross expenses		1.17	%(f)		1.17	%		1.19	%		1.05	%		1.06	%		1.45	%
Net investment income		1.06	%(f)		1.06	%		1.01	%		1.10	%		1.27	%		1.59	%(b)
Portfolio turnover rate		12	%		17	%		58	%		19	%		24	%		38	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.12 and the ratio of net investment income to average net assets would have been 1.20%.

(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d) Periods less than one year are not annualized.

(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

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

See accompanying notes to financial statements.

47  |

Notes to Financial Statements

June 30, 2020 (Unaudited)

1.  Organization.  Gateway Trust (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 following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Gateway Fund

Gateway Equity Call Premium Fund

Each Fund is a diversified investment company.

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

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of 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 Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from

|  48

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

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

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Domestic exchange-traded index and single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations as determined by the Options Price Reporting Authority.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general

49  |

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

(such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

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

|  50

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

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.  Option Contracts.  The Funds’ investment strategies make use of exchange-traded options. Exchange-traded options are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to a Fund are reduced.

When a Fund writes an index call option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value until the option expires or a Fund enters into a closing purchase transaction. When an index call option expires or a Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. A Fund, as writer of an index call option, bears the risk of an unfavorable change in the market value of the index underlying the written option.

When a Fund purchases an index put option, it pays a premium and the index put option is subsequently marked-to-market to reflect current value until the option expires or a Fund enters into a closing sale transaction. Premiums paid for purchasing index put options which expire are treated as realized losses. When 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 index put options is limited to the premium paid.

e.  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 June 30, 2020 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds.

51  |

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

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.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses and distributions in excess of income and/or capital gain. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains 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, return of capital distributions received, deferred Trustees’ fees and option contract 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 net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

|  52

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2019 was as follows:

	2019 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Gateway Fund	$	105,689,179	$	—	$	105,689,179
Gateway Equity Call Premium Fund		652,970		—		652,970

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

As of December 31, 2019, capital loss carryforwards were as follows:

	Gateway Fund			Gateway Equity Call Premium Fund
Capital loss carryforward:
Short-term:
No expiration date	$	(493,613,855	)	$	(3,362,108	)
Long-term:
No expiration date		(807,890,153	)		(3,695,033	)
Total capital loss carryforward	$	(1,301,504,008	)	$	(7,057,141	)

As of June 30, 2020, the tax cost of investments (including derivatives) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

	Gateway Fund			Gateway Equity Call Premium Fund
Federal tax cost	$	3,811,962,422		$	31,198,001
Gross tax appreciation	$	3,409,976,196		$	22,874,053
Gross tax depreciation		(128,217,652	)		(610,256	)
Net tax appreciation	$	3,281,758,544		$	22,263,797

53  |

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

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

g.  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 June 30, 2020, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h.  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).

|  54

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

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

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2020, at value:

Gateway Fund

Asset Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Common Stocks(a)	$	6,658,558,160		$	—	$	—	$	6,658,558,160
Purchased Options(a)		76,660,460			—		—		76,660,460
Short-Term Investments		—			304,969,076		—		304,969,076
Total	$	6,735,218,620		$	304,969,076	$	—	$	7,040,187,696
Liability Valuation Inputs
Description	Level 1			Level 2		Level 3		Total
Written Options(a)	$	(147,078,995	)	$	—	$	—	$	(147,078,995	)
(a)  Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
Gateway Equity Call Premium Fund
Asset Valuation Inputs
Description	Level 1			Level 2		Level 3		Total
Common Stocks(a)	$	51,813,648		$	—	$	—	$	51,813,648
Short-Term Investments		—			1,236,440		—		1,236,440
Total	$	51,813,648		$	1,236,440	$	—	$	53,050,088
Liability Valuation Inputs
Description	Level 1			Level 2		Level 3		Total
Written Options(a)	$	(1,146,505	)	$	—	$	—	$	(1,146,505	)

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

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 written index call options and purchased index put options.

55  |

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

The Funds seek to capture the majority of the returns associated with equity market investments, while exposing investors to less risk than other equity investments. To meet this investment goal, the Funds invest in a broadly diversified portfolio of common stocks, while also writing index call options. Writing index call options can reduce the Fund’s volatility, provide a steady cash flow and be an important source of the Fund’s return, although it also may reduce the Funds’ ability to profit from increases in the value of its equity portfolio. The Gateway Fund also buys index put options, which can protect the Fund from a significant market decline that may occur over a short period of time. The value of an index put option generally increases as the prices of stocks constituting the index decrease and decreases as those stocks increase in price. The combination of the diversified stock portfolio, the steady cash flow from writing of index call options and the downside protection from purchased index put options is intended to provide the Funds with the majority of the returns associated with equity market investments while exposing investors to less risk than other equity investments. During the six months ended June 30, 2020, Gateway Fund used written index call options and purchased index put options and Gateway Equity Call Premium Fund used written index call options in accordance with these objectives.

The following is a summary of derivative instruments for Gateway Fund as of June 30, 2020, as reflected within the Statements of Assets and Liabilities:

Assets	Investments at value1
Exchange-traded asset derivatives
Equity contracts	$	76,660,460
Liabilities	Options written at value
Exchange-traded liability derivatives
Equity contracts	$	(147,078,995	)

¹  Represents purchased options, at value.

Transactions in derivative instruments for Gateway Fund during the six months ended June 30, 2020, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments2		Options written
Equity contracts	$	293,643,779	$	(418,075,142	)
Net Change in Unrealized Appreciation (Depreciation) on:	Investments2		Options written
Equity contracts	$	25,580,814	$	125,836,830

²   Represents realized gain and change in unrealized appreciation (depreciation), respectively, for purchased options during the period.

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Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

The following is a summary of derivative instruments for Gateway Equity Call Premium Fund as of June 30, 2020, as reflected within the Statements of Assets and Liabilities:

Liabilities	Options written at value
Exchange-traded liability derivatives
Equity contracts	$	(1,146,505	)

Transactions in derivative instruments for Gateway Equity Call Premium Fund during the six months ended June 30, 2020, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Options written
Equity contracts	$	(3,126,909	)
Net Change in Unrealized Appreciation (Depreciation) on:	Options written
Equity contracts	$	990,332

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 option contract activity as a percentage of investments in common stocks, for Gateway Fund based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended June 30, 2020:

Gateway Fund	Call Options Written*			Put Options Purchased*
Average Notional Amount Outstanding		98.94	%		70.37	%
Highest Notional Amount Outstanding		99.08	%		99.08	%
Lowest Notional Amount Outstanding		98.75	%		41.90	%
Notional Amount Outstanding as of June 30, 2020		98.75	%		64.89	%

The volume of option contract activity as a percentage of investments in common stocks, for Gateway Equity Call Premium Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended June 30, 2020:

Gateway Equity Call Premium Fund	Call Options Written*
Average Notional Amount Outstanding		98.92	%
Highest Notional Amount Outstanding		99.24	%

57  |

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

Gateway Equity Call Premium Fund	Call Options Written*
Lowest Notional Amount Outstanding		98.73	%
Notional Amount Outstanding as of June 30, 2020		98.73	%

* Notional amounts outstanding are determined by multiplying option contracts by the contract multiplier by the price of the option’s underlying index, the S&P 500^® Index.

Notional amounts outstanding at the end of the prior period are included in the averages above.

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2020, purchases and sales of securities (excluding short-term investments and option contracts) were as follows:

Fund	Purchases		Sales
Gateway Fund	$	1,048,183,069	$	2,133,834,008
Gateway Equity Call Premium Fund		6,689,769		16,538,964

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Gateway Investment Advisers, LLC (“Gateway Advisers”) serves as investment adviser to the Funds. Gateway Advisers is a subsidiary of Natixis Investment Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $5 billion			Next $5 billion			Over $10 billion
Gateway Fund		0.65	%		0.60	%		0.58	%
Gateway Equity Call Premium Fund		0.65	%		0.65	%		0.65	%

Gateway Advisers 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 April 30, 2021, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any,

|  58

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2020, 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
Fund	Class A			Class C			Class N			Class Y
Gateway Fund		0.94	%		1.70	%		0.65	%		0.70	%
Gateway Equity Call Premium Fund		1.20	%		1.95	%		0.90	%		0.95	%

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

For the six months ended June 30, 2020, the management fees and waiver of management fees for each Fund were as follows:

Fund	Gross Management Fees		Contractual Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
								Gross		Net
Gateway Fund	$	23,118,669	$	2,455,971	$	20,662,698		0.63	%	0.57	%
Gateway Equity Call Premium Fund		186,159		62,923		123,236		0.65	%	0.43	%

¹ Management fee waivers are subject to possible recovery until December 31, 2021.

For the six months ended June 30, 2020, class-specific expenses have been reimbursed as follows:

	Reimbursement
Fund	Class A		Class C		Class N		Class Y		Total
Gateway Fund	$	99,993	$	—	$	—	$	—	$	99,993

No expenses were recovered for either Fund during the six months ended June 30, 2020 under the terms of the expense limitation agreements.

b.   Service and Distribution Fees.  Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution

59  |

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

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

For the six months ended June 30, 2020, the service and distribution fees for each Fund were as follows:

	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Gateway Fund	$	1,243,090	$	233,255	$	699,764
Gateway Equity Call Premium Fund		2,747		877		2,630

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

|  60

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

For the six months ended June 30, 2020, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
Gateway Fund	$	1,622,532
Gateway Equity Call Premium Fund		12,741

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

For the six months ended June 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Gateway Fund	$	2,131,352
Gateway Equity Call Premium Fund		12,419

As of June 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Gateway Fund	$	21,442
Gateway Equity Call Premium Fund		256

61  |

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2020, were as follows:

Fund	Commissions
Gateway Fund	$	35,584

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

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Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

Certain officers and employees of Natixis Advisors and its affiliates are also officers and/or Trustees of the Trust.

g.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to Gateway Equity Call Premium Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2021 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2020, Natixis Advisors reimbursed the Fund $726 for transfer agency expenses.

7.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the six months ended June 30, 2020, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Gateway Fund	$	346,619	$	65,019	$	1,419	$	2,011,124
Gateway Equity Call Premium Fund		716		228		726		17,491

8. Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2020, neither Fund had borrowings under this agreement.

63  |

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

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 June 30, 2020, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of 5% Account Holders		Percentage of Ownership
Gateway Equity Call Premium Fund		2		76.81	%

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

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

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Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

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

	Six Months Ended June 30, 2020						Year Ended December 31, 2019
Gateway Fund		Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		2,829,210		$	93,298,028			5,642,070		$	187,727,250
Issued in connection with the reinvestment of distributions		141,347			4,474,785			340,366			11,406,325
Redeemed		(8,008,947	)		(262,013,477	)		(10,753,386	)		(356,593,296	)
Net change		(5,038,390	)	$	(164,240,664	)		(4,770,950	)	$	(157,459,721	)
Class C
Issued from the sale of shares		139,767		$	4,617,767			432,578		$	14,310,216
Issued in connection with the reinvestment of distributions		6,581			207,158			20,474			678,795
Redeemed		(1,380,670	)		(45,334,650	)		(2,864,005	)		(94,753,228	)
Net change		(1,234,322	)	$	(40,509,725	)		(2,410,953	)	$	(79,764,217	)
Class N
Issued from the sale of shares		1,705,611		$	56,399,102			6,003,206		$	203,490,332
Issued in connection with the reinvestment of distributions		33,162			1,053,164			51,248			1,723,476
Redeemed		(1,934,312	)		(63,098,088	)		(1,072,156	)		(35,774,420	)
Net change		(195,539	)	$	(5,645,822	)		4,982,298		$	169,439,388
Class Y
Issued from the sale of shares		25,217,600		$	826,823,117			40,784,585		$	1,355,336,594
Issued in connection with the reinvestment of distributions		952,832			30,171,876			2,127,554			71,298,540
Redeemed		(50,219,856	)		(1,627,013,483	)		(62,764,917	)		(2,087,644,216	)
Net change		(24,049,424	)	$	(770,018,490	)		(19,852,778	)	$	(661,009,082	)
Decrease from capital share transactions		(30,517,675	)	$	(980,414,701	)		(22,052,383	)	$	(728,793,632	)

65  |

Notes to Financial Statements (continued)

June 30, 2020 (Unaudited)

	Six Months Ended June 30, 2020					Year Ended December 31, 2019
Gateway Equity Call Premium Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	47,481		$	606,914		115,797		$	1,436,549
Issued in connection with the reinvestment of distributions	710			7,900		1,519			18,853
Redeemed	(97,853	)		(1,139,236	)	(146,371	)		(1,790,405	)
Net change	(49,662	)	$	(524,422	)	(29,055	)	$	(335,003	)
Class C
Issued from the sale of shares	6,008		$	74,230		9,729		$	122,297
Issued in connection with the reinvestment of distributions	49			567		85			1,019
Redeemed	(1,312	)		(15,807	)	(29,196	)		(363,655	)
Net change	4,745		$	58,990		(19,382	)	$	(240,339	)
Class N
Issued from the sale of shares	7,119		$	88,355		42,939		$	532,639
Issued in connection with the reinvestment of distributions	265			2,985		213			2,711
Redeemed	(4,608	)		(52,722	)	(2,623	)		(33,360	)
Net change	2,776		$	38,618		40,529		$	501,990
Class Y
Issued from the sale of shares	565,063		$	6,672,776		1,271,009		$	15,306,783
Issued in connection with the reinvestment of distributions	8,481			94,625		18,719			232,437
Redeemed	(1,207,039	)		(13,704,013	)	(2,567,908	)		(30,536,186	)
Net change	(633,495	)	$	(6,936,612	)	(1,278,180	)	$	(14,996,966	)
Decrease from capital share transactions	(675,636	)	$	(7,363,426	)	(1,286,088	)	$	(15,070,318	)

|  66

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant's Board of Trustees.

Item 11. Controls and Procedures.

The Registrant's principal executive officer and principal financial officer have concluded that the Registrant's disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms, based upon such officers' evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant's internal control over financial reporting that occurred during the period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.
(a)	(1)	Not applicable.
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officerpursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)),filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a)	(3)	Not applicable.

(b)Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Gateway Trust

By: /s/ David L. Giunta

Name: David L. Giunta

Title: President and Chief Executive Officer

Date: August 24, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ David L. Giunta

Name: David L. Giunta

Title: President and Chief Executive Officer

Date: August 24, 2020

By: /s/ Michael C. Kardok

Name: Michael C. Kardok

Title: Treasurer and Principal Financial and

Accounting Officer

Date: August 24, 2020