Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-00242
Natixis Funds Trust II
(Exact name of Registrant as specified in charter)
888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
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: November 30
Date of reporting period: May 31, 2019
Table of Contents
Item 1. Reports to Stockholders.
The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 is as follows:
Table of Contents
Semiannual Report
May 31, 2019
Loomis Sayles Global Growth Fund
Vaughan Nelson Select Fund
Portfolio Review | 1 | |||
Portfolio of Investments | 13 | |||
Financial Statements | 19 | |||
Notes to Financial Statements | 30 |
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 may currently elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically atwww.icsdelivery.com/natixisfunds.
Table of Contents
LOOMIS SAYLES GLOBAL GROWTH FUND
Manager: | Symbols: | |
Aziz V. Hamzaogullari, CFA® | Class A LSAGX | |
Loomis, Sayles & Company, L.P. | Class C LSCGX | |
Class N LSNGX | ||
Class Y LSGGX |
Investment Goal
The Fund’s investment goal is long-term growth of capital.
1 |
Table of Contents
Average Annual Total Returns — May 31, 20193
Expense Ratios4 | ||||||||||||||||||||||||
6 Months | 1 Year | Life of Class | Gross | Net | ||||||||||||||||||||
Class Y (Inception 3/31/2016) | Class Y/A/C | Class N | ||||||||||||||||||||||
NAV | 6.91 | % | 6.11 | % | 13.91 | % | — | % | 1.32 | % | 1.05 | % | ||||||||||||
Class A (Inception 3/31/2016) | ||||||||||||||||||||||||
NAV | 6.73 | 5.86 | 13.62 | — | 1.57 | 1.30 | ||||||||||||||||||
With 5.75% Maximum Sales Charge | 0.60 | -0.25 | 11.51 | — | ||||||||||||||||||||
Class C (Inception 3/31/2016) | ||||||||||||||||||||||||
NAV | 6.32 | 4.95 | 12.73 | — | 2.32 | 2.05 | ||||||||||||||||||
With CDSC1 | 5.32 | 3.95 | 12.73 | — | ||||||||||||||||||||
Class N (Inception 3/31/2017) | ||||||||||||||||||||||||
NAV | 6.88 | 6.16 | — | 13.27 | 1.30 | 1.00 | ||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||
MSCI ACWI (Net)2 | 1.40 | -1.29 | 9.12 | 6.49 |
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 MSCI ACWI (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 3/31/20. 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. |
| 2
Table of Contents
VAUGHAN NELSON SELECT FUND
Managers: | Symbols: | |
Chris D. Wallis, CFA® | Class A VNSAX | |
Scott J. Weber, CFA® | Class C VNSCX | |
Vaughan Nelson Investment Management, L.P. | Class N VNSNX | |
Class Y VNSYX |
Investment Goal
The Fund seeks long-term capital appreciation.
3 |
Table of Contents
Average Annual Total Returns — May 31, 20193
Expense Ratios4 | ||||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | Life of Class | Gross | Net | |||||||||||||||||||||||
Class Y (Inception 6/29/2012) | Class Y/A/C | Class N | ||||||||||||||||||||||||||
NAV | 0.75 | % | 0.75 | % | 8.81 | % | 13.74 | % | — | % | 1.10 | % | 1.04 | % | ||||||||||||||
Class A (Inception 6/29/2012) | ||||||||||||||||||||||||||||
NAV | 0.61 | 0.50 | 8.53 | 13.45 | — | 1.36 | 1.29 | |||||||||||||||||||||
With 5.75% Maximum Sales Charge | -5.19 | -5.29 | 7.25 | 12.48 | — | |||||||||||||||||||||||
Class C (Inception 6/29/2012) | ||||||||||||||||||||||||||||
NAV | 0.26 | -0.25 | 7.73 | 12.61 | — | 2.10 | 2.04 | |||||||||||||||||||||
With CDSC1 | -0.64 | -1.15 | 7.73 | 12.61 | — | |||||||||||||||||||||||
Class N (Inception 3/31/2017) | ||||||||||||||||||||||||||||
NAV | 0.69 | 0.69 | — | — | 9.89 | 13.63 | 0.99 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
S&P 500® Index2 | 0.74 | 3.78 | 9.66 | 11.84 | 9.46 |
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 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 3/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
| 4
Table of Contents
ADDITIONAL INFORMATION
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on 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 from Natixis Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year onForm N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.
5 |
Table of Contents
UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from December 1, 2018 through May 31, 2019. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.
The second line in the table for each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
| 6
Table of Contents
LOOMIS SAYLES GLOBAL GROWTH FUND | BEGINNING ACCOUNT VALUE 12/1/2018 | ENDING ACCOUNT VALUE 5/31/2019 | EXPENSES PAID DURING PERIOD* 12/1/2018 – 5/31/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,067.30 | $6.65 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.50 | $6.49 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,063.20 | $10.49 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.76 | $10.25 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,068.80 | $5.16 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.95 | $5.04 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,069.10 | $5.36 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.75 | $5.24 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.29%, 2.04%, 1.00% and 1.04% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period). |
VAUGHAN NELSON SELECT FUND | BEGINNING ACCOUNT VALUE 12/1/2018 | ENDING ACCOUNT VALUE 5/31/2019 | EXPENSES PAID DURING PERIOD* 12/1/2018 – 5/31/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,006.10 | $5.95 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.00 | $5.99 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,002.60 | $9.69 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.26 | $9.75 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,006.90 | $4.50 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.44 | $4.53 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,007.50 | $4.70 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.24 | $4.73 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.19%, 1.94%, 0.90% and 0.94% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period). |
7 |
Table of Contents
BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and, with respect to Vaughan Nelson Select Fund, sub-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 advisers and sub-adviser, as applicable (collectively, the “Advisers”), believe 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 sub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory and sub-advisory fees to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers 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 Advisers’ respective investment staffs and their 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) each 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 Advisers.
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
| 8
Table of Contents
where available, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers 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.
The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2019. In the case of the Vaughan Nelson Select Fund, the Board approved the Agreement with an amendment that reduces the Fund’s advisory fee effective on July 1, 2019. 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 Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers 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.
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 Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees 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.
The Board noted that, through December 31, 2018, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the
9 |
Table of Contents
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 | ||||||||||
Loomis Sayles Global Growth Fund | 31 | % | N/A | N/A | ||||||||
Vaughan Nelson Select Fund | 78 | % | 69 | % | 71 | % |
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, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Vaughan Nelson Select Fund’s investment objective and policies and (2) that the Vaughan Nelson Select Fund had recently been assigned a different category by the independent third-party data provider, which is expected to result in more relevant performance comparisons.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers 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 Advisers 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 Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory, sub-advisory and administrative services, as applicable, 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 Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory and sub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Funds have expense
| 10
Table of Contents
caps in place, and they considered the amounts waived or reimbursed by the Advisers for the Funds under their caps.
The Trustees noted that the Vaughan Nelson Select Fund had an advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rate, including: (1) that the Fund has a more complex and flexible investment strategy than its peers; (2) that management had proposed to further reduce the advisory fee rate, effective July 1, 2019, which had also been reduced last year; and (3) that management had proposed to further reduce the expense cap of the Fund, which had also been reduced last year.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense caps 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 Advisers and their 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 Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense caps. 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 caps. With respect to economies of scale, the Trustees noted that although the Funds’ management fees were not subject to breakpoints, each Fund was subject to an expense cap. The Trustees also considered management’s proposal to further reduce the Funds’ expense caps. 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 Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.
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.
11 |
Table of Contents
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund. |
· | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
· | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers 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, with the reduction of the advisory fee rate for the Vaughan Nelson Select Fund described above, should be continued through June 30, 2020.
| 12
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Global Growth Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 97.3% of Net Assets | ||||||||
Argentina — 6.5% | ||||||||
7,021 | MercadoLibre, Inc.(a) | $ | 4,005,621 | |||||
|
| |||||||
Brazil — 1.9% |
| |||||||
262,544 | Ambev S.A., ADR | 1,173,572 | ||||||
|
| |||||||
China — 12.8% |
| |||||||
19,080 | Alibaba Group Holding Ltd., Sponsored ADR(a) | 2,847,881 | ||||||
9,902 | Baidu, Inc., Sponsored ADR(a) | 1,089,220 | ||||||
40,700 | Tencent Holdings Ltd. | 1,697,093 | ||||||
56,370 | Yum China Holdings, Inc. | 2,255,364 | ||||||
|
| |||||||
7,889,558 | ||||||||
|
| |||||||
Denmark — 3.1% |
| |||||||
41,018 | Novo Nordisk AS, Class B | 1,930,237 | ||||||
|
| |||||||
France — 4.4% |
| |||||||
21,182 | Danone S.A. | 1,692,001 | ||||||
8,999 | Sodexo S.A. | 1,035,483 | ||||||
|
| |||||||
2,727,484 | ||||||||
|
| |||||||
Italy — 0.7% |
| |||||||
149,200 | Prada SpA | 416,286 | ||||||
|
| |||||||
Netherlands — 2.3% |
| |||||||
1,737 | Adyen NV, 144A(a) | 1,393,646 | ||||||
|
| |||||||
Switzerland — 8.5% |
| |||||||
2,861 | Alcon, Inc.(a) | 166,388 | ||||||
13,883 | Nestle S.A., (Registered) | 1,377,176 | ||||||
14,309 | Novartis AG, (Registered) | 1,229,685 | ||||||
9,362 | Roche Holding AG | 2,458,948 | ||||||
|
| |||||||
5,232,197 | ||||||||
|
| |||||||
United Kingdom — 8.2% |
| |||||||
24,313 | Diageo PLC | 1,022,641 | ||||||
57,961 | Experian PLC | 1,746,672 | ||||||
9,755 | Reckitt Benckiser Group PLC | 782,979 | ||||||
24,621 | Unilever NV | 1,482,023 | ||||||
|
| |||||||
5,034,315 | ||||||||
|
| |||||||
United States — 48.9% |
| |||||||
2,241 | Alphabet, Inc., Class A(a) | 2,479,666 | ||||||
2,165 | Amazon.com, Inc.(a) | 3,843,027 | ||||||
5,675 | American Express Co. | 650,979 | ||||||
24,631 | Coca-Cola Co. (The) | 1,210,121 | ||||||
15,654 | Colgate-Palmolive Co. | 1,089,831 | ||||||
2,952 | Core Laboratories NV | 140,633 | ||||||
14,401 | Deere & Co. | 2,018,588 | ||||||
13,035 | Expeditors International of Washington, Inc. | 907,106 | ||||||
16,964 | Facebook, Inc., Class A(a) | 3,010,601 | ||||||
14,464 | Microsoft Corp. | 1,788,907 | ||||||
54,105 | Oracle Corp. | 2,737,713 |
See accompanying notes to financial statements.
13 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Global Growth Fund – (continued)
Shares | Description | Value (†) | ||||||
United States — continued |
| |||||||
14,559 | Procter & Gamble Co. (The) | $ | 1,498,267 | |||||
22,496 | QUALCOMM, Inc. | 1,503,183 | ||||||
22,459 | Schlumberger Ltd. | 779,103 | ||||||
16,355 | SEI Investments Co. | 821,839 | ||||||
63,285 | Under Armour, Inc., Class A(a) | 1,442,898 | ||||||
17,921 | Visa, Inc., Class A | 2,891,195 | ||||||
12,326 | Yum! Brands, Inc. | 1,261,566 | ||||||
|
| |||||||
30,075,223 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $56,847,831) | 59,878,139 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 1.9% | ||||||||
$ | 1,189,362 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 5/31/2019 at 1.500% to be repurchased at $1,189,510 on 6/03/2019 collateralized by $1,180,000 U.S. Treasury Note, 2.750% due 4/30/2023 valued at $1,214,427 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,189,362) | 1,189,362 | |||||
|
| |||||||
Total Investments — 99.2% (Identified Cost $58,037,193) | 61,067,501 | |||||||
Other assets less liabilities — 0.8% | 511,030 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 61,578,531 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Non-income producing security. |
| ||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2019, the value of Rule 144A holdings amounted to $1,393,646 or 2.3% of net assets. |
| ||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
|
See accompanying notes to financial statements.
| 14
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Global Growth Fund – (continued)
Industry Summary at May 31, 2019 (Unaudited)
Internet & Direct Marketing Retail | 17.3 | % | ||
Interactive Media & Services | 13.4 | |||
Pharmaceuticals | 9.1 | |||
Hotels, Restaurants & Leisure | 7.5 | |||
Software | 7.4 | |||
IT Services | 7.0 | |||
Beverages | 5.6 | |||
Household Products | 5.5 | |||
Food Products | 4.9 | |||
Machinery | 3.3 | |||
Textiles, Apparel & Luxury Goods | 3.0 | |||
Professional Services | 2.8 | |||
Semiconductors & Semiconductor Equipment | 2.4 | |||
Personal Products | 2.4 | |||
Other Investments, less than 2% each | 5.7 | |||
Short-Term Investments | 1.9 | |||
|
| |||
Total Investments | 99.2 | |||
Other assets less liabilities | 0.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Currency Exposure Summary at May 31, 2019 (Unaudited)
United States Dollar | 69.3 | % | ||
Euro | 9.1 | |||
Swiss Franc | 8.5 | |||
British Pound | 5.8 | |||
Hong Kong Dollar | 3.4 | |||
Danish Krone | 3.1 | |||
|
| |||
Total Investments | 99.2 | |||
Other assets less liabilities | 0.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
15 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Vaughan Nelson Select Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 95.9% of Net Assets | ||||||||
Aerospace & Defense — 5.8% |
| |||||||
36,615 | General Dynamics Corp. | $ | 5,888,424 | |||||
36,850 | Raytheon Co. | 6,430,325 | ||||||
|
| |||||||
12,318,749 | ||||||||
|
| |||||||
Banks — 2.1% |
| |||||||
72,275 | Citigroup, Inc. | 4,491,891 | ||||||
|
| |||||||
Biotechnology — 2.8% |
| |||||||
78,325 | AbbVie, Inc. | 6,008,311 | ||||||
|
| |||||||
Capital Markets — 6.4% |
| |||||||
163,350 | Charles Schwab Corp. (The) | 6,796,993 | ||||||
13,075 | Moody’s Corp. | 2,391,156 | ||||||
190,275 | Virtu Financial, Inc., Class A | 4,380,131 | ||||||
|
| |||||||
13,568,280 | ||||||||
|
| |||||||
Chemicals — 7.4% |
| |||||||
30,350 | Ecolab, Inc. | 5,587,132 | ||||||
24,410 | Sherwin-Williams Co. (The) | 10,238,774 | ||||||
|
| |||||||
15,825,906 | ||||||||
|
| |||||||
Diversified Financial Services — 4.8% |
| |||||||
52,185 | Berkshire Hathaway, Inc., Class B(a) | 10,302,363 | ||||||
|
| |||||||
Diversified Telecommunication Services — 4.9% |
| |||||||
339,589 | AT&T, Inc. | 10,384,632 | ||||||
|
| |||||||
Entertainment — 9.4% |
| |||||||
103,300 | Electronic Arts, Inc.(a) | 9,615,164 | ||||||
79,600 | Walt Disney Co. (The) | 10,510,384 | ||||||
|
| |||||||
20,125,548 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.8% |
| |||||||
33,575 | UnitedHealth Group, Inc. | 8,118,435 | ||||||
|
| |||||||
Industrial Conglomerates — 6.1% |
| |||||||
37,605 | Roper Technologies, Inc. | 12,933,112 | ||||||
|
| |||||||
IT Services — 3.1% |
| |||||||
25,935 | MasterCard, Inc., Class A | 6,522,393 | ||||||
|
| |||||||
Life Sciences Tools & Services — 3.3% |
| |||||||
26,775 | Thermo Fisher Scientific, Inc. | 7,148,389 | ||||||
|
| |||||||
Multiline Retail — 4.7% |
| |||||||
97,950 | Dollar Tree, Inc.(a) | 9,950,740 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 10.4% |
| |||||||
650,450 | Cameco Corp. | 6,563,041 | ||||||
234,425 | Enterprise Products Partners LP | 6,538,113 | ||||||
1,468,300 | Kosmos Energy Ltd. | 9,044,728 | ||||||
|
| |||||||
22,145,882 | ||||||||
|
| |||||||
Personal Products — 2.3% |
| |||||||
29,900 | Estee Lauder Cos., Inc. (The), Class A | 4,814,797 | ||||||
|
|
See accompanying notes to financial statements.
| 16
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Vaughan Nelson Select Fund – (continued)
Shares | Description | Value (†) | ||||||
REITs – Diversified — 3.3% |
| |||||||
458,100 | New Residential Investment Corp. | $ | 6,986,025 | |||||
|
| |||||||
Road & Rail — 2.5% |
| |||||||
197,025 | Knight-Swift Transportation Holdings, Inc. | 5,445,771 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.4% |
| |||||||
48,475 | Texas Instruments, Inc. | 5,056,427 | ||||||
|
| |||||||
Software — 5.4% |
| |||||||
93,875 | Microsoft Corp. | 11,610,460 | ||||||
|
| |||||||
Specialty Retail — 5.0% |
| |||||||
55,960 | Home Depot, Inc. (The) | 10,624,006 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $187,770,572) | 204,382,117 | |||||||
|
| |||||||
Total Purchased Options — 2.3% (Identified Cost $4,271,803) (see detail below) | 4,901,715 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 3.0% | ||||||||
$ | 6,366,006 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 5/31/2019 at 1.500% to be repurchased at $6,366,802 on 6/03/2019 collateralized by $6,415,000 U.S. Treasury Note, 2.125% due 12/31/2022 valued at $6,494,649 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,366,006) | 6,366,006 | |||||
|
| |||||||
Total Investments — 101.2% (Identified Cost $198,408,381) | 215,649,838 | |||||||
Other assets less liabilities — (1.2)% | (2,648,803 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 213,001,035 | ||||||
|
|
Purchased Options — 2.3% |
| |||||||||||||||||||
Description | Expiration Date | Exercise Price | Contracts | Notional Amount | Cost | Value (†) | ||||||||||||||
Index Options — 2.3% |
| |||||||||||||||||||
S&P 500® Index, Put(a) | 01/17/2020 | 2,750 | 351 | $ | 96,597,306 | $ | 4,271,803 | $ | 4,901,715 | |||||||||||
|
|
|
| |||||||||||||||||
Written Options — (1.9%) |
| |||||||||||||||||||
Description | Expiration Date | Exercise Price | Contracts | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||
Index Options — (1.9%) |
| |||||||||||||||||||
S&P 500® Index, Put | 01/17/2020 | 2,675 | (351 | ) | $ | (96,597,306 | ) | $ | (3,466,547 | ) | $ | (3,982,095 | ) | |||||||
|
|
|
|
(†) | See Note 2 of Notes to Financial Statements. | |||
(a) | Non-income producing security. | |||
REITs | Real Estate Investment Trusts |
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Vaughan Nelson Select Fund – (continued)
Industry Summary at May 31, 2019 (Unaudited)
Oil, Gas & Consumable Fuels | 10.4 | % | ||
Entertainment | 9.4 | |||
Chemicals | 7.4 | |||
Capital Markets | 6.4 | |||
Industrial Conglomerates | 6.1 | |||
Aerospace & Defense | 5.8 | |||
Software | 5.4 | |||
Specialty Retail | 5.0 | |||
Diversified Telecommunication Services | 4.9 | |||
Diversified Financial Services | 4.8 | |||
Multiline Retail | 4.7 | |||
Health Care Providers & Services | 3.8 | |||
Life Sciences Tools & Services | 3.3 | |||
REITs - Diversified | 3.3 | |||
IT Services | 3.1 | |||
Biotechnology | 2.8 | |||
Road & Rail | 2.5 | |||
Semiconductors & Semiconductor Equipment | 2.4 | |||
Index Options | 2.3 | |||
Personal Products | 2.3 | |||
Banks | 2.1 | |||
Short-Term Investments | 3.0 | |||
|
| |||
Total Investments | 101.2 | |||
Other assets less liabilities (including open written options) | (1.2 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 18
Table of Contents
Statements of Assets and Liabilities
May 31, 2019 (Unaudited)
Loomis Sayles Global Growth Fund | Vaughan Nelson Select Fund | |||||||
ASSETS | ||||||||
Investments at cost | $ | 58,037,193 | $ | 198,408,381 | ||||
Net unrealized appreciation | 3,030,308 | 17,241,457 | ||||||
|
|
|
| |||||
Investments at value | 61,067,501 | 215,649,838 | ||||||
Cash | — | 803,392 | ||||||
Due from brokers (Note 2) | — | 59,683 | ||||||
Foreign currency at value (identified cost $5,125 and $0, respectively) | 5,130 | — | ||||||
Receivable for Fund shares sold | 512,543 | 620,364 | ||||||
Dividends and interest receivable | 38,858 | 120,330 | ||||||
Tax reclaims receivable | 65,030 | 2,412 | ||||||
Prepaid expenses (Note 8) | 8 | 28 | ||||||
|
|
|
| |||||
TOTAL ASSETS | 61,689,070 | 217,256,047 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Options written, at value (premiums received $0 and $3,466,547, respectively) (Note 2) | — | 3,982,095 | ||||||
Payable for Fund shares redeemed | 150 | 31,472 | ||||||
Management fees payable (Note 6) | 43,944 | 119,526 | ||||||
Deferred Trustees’ fees (Note 6) | 18,018 | 59,169 | ||||||
Administrative fees payable (Note 6) | 2,306 | 8,085 | ||||||
Payable to distributor (Note 6d) | 78 | 1,080 | ||||||
Other accounts payable and accrued expenses | 46,043 | 53,585 | ||||||
|
|
|
| |||||
TOTAL LIABILITIES | 110,539 | 4,255,012 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 61,578,531 | $ | 213,001,035 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF: |
| |||||||
Paid-in capital | $ | 57,107,850 | $ | 190,508,912 | ||||
Accumulated earnings | 4,470,681 | 22,492,123 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 61,578,531 | $ | 213,001,035 | ||||
|
|
|
| |||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||
Class A shares: | ||||||||
Net assets | $ | 2,319,822 | $ | 14,439,683 | ||||
|
|
|
| |||||
Shares of beneficial interest | 171,012 | 875,564 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 13.57 | $ | 16.49 | ||||
|
|
|
| |||||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 14.40 | $ | 17.50 | ||||
|
|
|
| |||||
Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||
Net assets | $ | 988,303 | $ | 6,278,636 | ||||
|
|
|
| |||||
Shares of beneficial interest | 74,068 | 402,462 | ||||||
|
|
|
| |||||
Net asset value and offering price per share | $ | 13.34 | $ | 15.60 | ||||
|
|
|
| |||||
Class N shares: | ||||||||
Net assets | $ | 3,045,216 | $ | 1,245 | ||||
|
|
|
| |||||
Shares of beneficial interest | 223,774 | 75 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 13.61 | $ | 16.58 | * | |||
|
|
|
| |||||
Class Y shares: | ||||||||
Net assets | $ | 55,225,190 | $ | 192,281,471 | ||||
|
|
|
| |||||
Shares of beneficial interest | 4,058,505 | 11,597,556 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 13.61 | $ | 16.58 | ||||
|
|
|
|
* | Net asset value calculations have been determined utilizing fractional share and penny amounts. |
See accompanying notes to financial statements.
19 |
Table of Contents
Statements of Operations
For the Six Months Ended May 31, 2019 (Unaudited)
Loomis Sayles Global Growth Fund | Vaughan Nelson Select Fund | |||||||
INVESTMENT INCOME | ||||||||
Dividends | $ | 542,743 | $ | 1,995,519 | ||||
Interest | 6,837 | 91,869 | ||||||
Less net foreign taxes withheld | (47,914 | ) | — | |||||
|
|
|
| |||||
501,666 | 2,087,388 | |||||||
|
|
|
| |||||
Expenses | ||||||||
Management fees (Note 6) | 229,287 | 838,065 | ||||||
Service and distribution fees (Note 6) | 7,103 | 52,806 | ||||||
Administrative fees (Note 6) | 12,739 | 46,569 | ||||||
Trustees’ fees and expenses (Note 6) | 9,653 | 15,022 | ||||||
Transfer agent fees and expenses (Notes 6 and 7) | 9,097 | 37,492 | ||||||
Audit and tax services fees | 21,250 | 21,070 | ||||||
Custodian fees and expenses | 6,997 | 3,796 | ||||||
Legal fees (Note 8) | 807 | 2,758 | ||||||
Registration fees | 68,819 | 64,133 | ||||||
Shareholder reporting expenses | 3,498 | 11,325 | ||||||
Miscellaneous expenses (Note 8) | 14,492 | 15,825 | ||||||
|
|
|
| |||||
Total expenses | 383,742 | 1,108,861 | ||||||
Less waiver and/or expense reimbursement (Note 6) | (80,205 | ) | (73,853 | ) | ||||
|
|
|
| |||||
Net expenses | 303,537 | 1,035,008 | ||||||
|
|
|
| |||||
Net investment income | 198,129 | 1,052,380 | ||||||
|
|
|
| |||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 1,618,841 | 3,715,851 | ||||||
Options written | — | 710,010 | ||||||
Foreign currency transactions (Note 2c) | 404 | (258 | ) | |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | 1,653,302 | (1,492,409 | ) | |||||
Options written | — | (1,572,137 | ) | |||||
Foreign currency translations (Note 2c) | (220 | ) | 39 | |||||
|
|
|
| |||||
Net realized and unrealized gain on investments, options written and foreign currency transactions | 3,272,327 | 1,361,096 | ||||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,470,456 | $ | 2,413,476 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 20
Table of Contents
Statements of Changes in Net Assets
Loomis Sayles Global Growth Fund | Vaughan Nelson Select Fund | |||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income | $ | 198,129 | $ | 137,138 | $ | 1,052,380 | $ | 1,171,915 | ||||||||
Net realized gain on investments, options written and foreign currency transactions | 1,619,245 | 1,808,626 | 4,425,603 | 16,924,872 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations | 1,653,082 | (1,909,801 | ) | (3,064,507 | ) | (8,480,613 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 3,470,456 | 35,963 | 2,413,476 | 9,616,174 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (75,698 | ) | (47,880 | ) | (1,495,814 | ) | (1,715,872 | ) | ||||||||
Class C | (22,333 | ) | (4,651 | ) | (612,885 | ) | (530,390 | ) | ||||||||
Class N | (121,236 | ) | (41 | ) | (107 | ) | (92 | ) | ||||||||
Class Y | (2,042,734 | ) | (540,538 | ) | (15,234,859 | ) | (11,877,364 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (2,262,001 | ) | (593,110 | ) | (17,343,665 | ) | (14,123,718 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | 2,921,984 | 40,276,521 | 28,293,685 | 50,701,439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 4,130,439 | 39,719,374 | 13,363,496 | 46,193,895 | ||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the period | 57,448,092 | 17,728,718 | 199,637,539 | 153,443,644 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the period | $ | 61,578,531 | $ | 57,448,092 | $ | 213,001,035 | $ | 199,637,539 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
21 |
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
Loomis Sayles Global Growth Fund—Class A | ||||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Year Ended November 30, 2017 | Period Ended November 30, 2016* | |||||||||||||
Net asset value, beginning of the period | $ | 13.28 | $ | 13.44 | $ | 10.53 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||
Net investment income (loss)(a) | 0.03 | 0.02 | (0.00 | )(b) | 0.00 | (b) | ||||||||||
Net realized and unrealized gain (loss) | 0.79 | 0.26 | (c) | 3.15 | 0.53 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.82 | 0.28 | 3.15 | 0.53 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||
Net investment income | (0.05 | ) | (0.03 | ) | (0.03 | ) | — | |||||||||
Net realized capital gains | (0.48 | ) | (0.41 | ) | (0.21 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.53 | ) | (0.44 | ) | (0.24 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of the period | $ | 13.57 | $ | 13.28 | $ | 13.44 | $ | 10.53 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(d)(e) | 6.73 | %(f) | 2.05 | % | 30.63 | % | 5.30 | %(f) | ||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||
Net assets, end of the period (000’s) | $ | 2,320 | $ | 1,851 | $ | 1,541 | $ | 195 | ||||||||
Net expenses(g) | 1.29 | %(h) | 1.27 | % | 1.29 | % | 1.30 | %(h) | ||||||||
Gross expenses | 1.57 | %(h) | 1.62 | % | 2.56 | % | 2.74 | %(h) | ||||||||
Net investment income (loss) | 0.46 | %(h) | 0.16 | % | (0.00 | )%(i) | 0.00 | %(h)(i) | ||||||||
Portfolio turnover rate | 15 | % | 24 | % | 17 | % | 12 | % |
* | From commencement of Class operations on March 31, 2016 through November 30, 2016. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(d) | A sales charge for Class A shares is not reflected in total return calculations. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | Periods less than one year are not annualized. |
(g) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(h) | Computed on an annualized basis for periods less than one year. |
(i) | Amount rounds to less than 0.01%. |
See accompanying notes to financial statements.
| 22
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Global Growth Fund—Class C | ||||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Year Ended November 30, 2017 | Period Ended November 30, 2016* | |||||||||||||
Net asset value, beginning of the period | $ | 13.06 | $ | 13.30 | $ | 10.47 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||
Net investment loss(a) | (0.02 | ) | (0.09 | ) | (0.09 | ) | (0.08 | ) | ||||||||
Net realized and unrealized gain (loss) | 0.78 | 0.26 | (b) | 3.13 | 0.55 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.76 | 0.17 | 3.04 | 0.47 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||
Net investment income | (0.00 | )(c) | — | (0.00 | )(c) | — | ||||||||||
Net realized capital gains | (0.48 | ) | (0.41 | ) | (0.21 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.48 | ) | (0.41 | ) | (0.21 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of the period | $ | 13.34 | $ | 13.06 | $ | 13.30 | $ | 10.47 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(d)(e) | 6.32 | %(f) | 1.25 | % | 29.67 | % | 4.70 | %(f) | ||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||
Net assets, end of the period (000’s) | $ | 988 | $ | 606 | $ | 134 | $ | 25 | ||||||||
Net expenses(g) | 2.04 | %(h) | 2.03 | % | 2.04 | % | 2.05 | %(h) | ||||||||
Gross expenses | 2.32 | %(h) | 2.37 | % | 3.31 | % | 3.18 | %(h) | ||||||||
Net investment loss | (0.28 | )%(h) | (0.71 | )% | (0.73 | )% | (1.09 | )%(h) | ||||||||
Portfolio turnover rate | 15 | % | 24 | % | 17 | % | 12 | % |
* | From commencement of Class operations on March 31, 2016 through November 30, 2016. |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | Amount rounds to less than $0.01 per share. |
(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.
23 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Global Growth Fund—Class N | ||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Period Ended November 30, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 13.34 | $ | 13.49 | $ | 11.26 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.05 | 0.05 | 0.03 | |||||||||
Net realized and unrealized gain (loss) | 0.79 | 0.26 | (b) | 2.20 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.84 | 0.31 | 2.23 | |||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.09 | ) | (0.05 | ) | — | |||||||
Net realized capital gains | (0.48 | ) | (0.41 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.57 | ) | (0.46 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 13.61 | $ | 13.34 | $ | 13.49 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 6.88 | %(d) | 2.31 | % | 19.80 | %(d) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 3,045 | $ | 2,843 | $ | 1 | ||||||
Net expenses(e) | 1.00 | %(f) | 1.00 | % | 1.00 | %(f) | ||||||
Gross expenses | 1.29 | %(f) | 1.35 | % | 15.78 | %(f) | ||||||
Net investment income | 0.74 | %(f) | 0.38 | % | 0.30 | %(f) | ||||||
Portfolio turnover rate | 15 | % | 24 | % | 17 | %(g) |
* | From commencement of Class operations on March 31, 2017 through November 30, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Represents the Fund’s portfolio turnover rate for the year ended November 30, 2017. |
See accompanying notes to financial statements.
| 24
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Global Growth Fund—Class Y | ||||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Year Ended November 30, 2017 | Period Ended November 30, 2016* | |||||||||||||
Net asset value, beginning of the period | $ | 13.33 | $ | 13.48 | $ | 10.55 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||
Net investment income(a) | 0.05 | 0.04 | 0.05 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 0.79 | 0.27 | (b) | 3.14 | 0.52 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.84 | 0.31 | 3.19 | 0.55 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||
Net investment income | (0.08 | ) | (0.05 | ) | (0.05 | ) | — | |||||||||
Net realized capital gains | (0.48 | ) | (0.41 | ) | (0.21 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.56 | ) | (0.46 | ) | (0.26 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of the period | $ | 13.61 | $ | 13.33 | $ | 13.48 | $ | 10.55 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 6.91 | %(d) | 2.27 | % | 30.96 | % | 5.50 | %(d) | ||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||
Net assets, end of the period (000’s) | $ | 55,225 | $ | 52,147 | $ | 16,053 | $ | 9,793 | ||||||||
Net expenses(e) | 1.04 | %(f) | 1.02 | % | 1.04 | % | 1.05 | %(f) | ||||||||
Gross expenses | 1.32 | %(f) | 1.37 | % | 2.31 | % | 2.55 | %(f) | ||||||||
Net investment income | 0.71 | %(f) | 0.33 | % | 0.40 | % | 0.45 | %(f) | ||||||||
Portfolio turnover rate | 15 | % | 24 | % | 17 | % | 12 | % |
* | From commencement of Class operations on March 31, 2016 through November 30, 2016. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
25 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Select Fund—Class A | ||||||||||||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Year Ended November 30, 2017 | Year Ended November 30, 2016 | Year Ended November 30, 2015 | Year Ended November 30, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 18.13 | $ | 18.59 | $ | 15.38 | $ | 14.82 | $ | 14.78 | $ | 14.22 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.07 | 0.07 | 0.06 | 0.03 | 0.01 | (0.01 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.17 | )(b) | 0.91 | 3.41 | 0.83 | 0.47 | 2.01 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.10 | ) | 0.98 | 3.47 | 0.86 | 0.48 | 2.00 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | — | (0.10 | ) | (0.01 | ) | (0.00 | )(c) | — | (0.01 | ) | ||||||||||||||
Net realized capital gains | (1.54 | ) | (1.34 | ) | (0.25 | ) | (0.30 | ) | (0.44 | ) | (1.43 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.54 | ) | (1.44 | ) | (0.26 | ) | (0.30 | ) | (0.44 | ) | (1.44 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 16.49 | $ | 18.13 | $ | 18.59 | $ | 15.38 | $ | 14.82 | $ | 14.78 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(d) | 0.61 | %(e)(f) | 5.62 | %(f) | 22.86 | %(f) | 5.91 | %(f) | 3.31 | % | 15.31 | %(f) | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 14,440 | $ | 17,703 | $ | 22,268 | $ | 20,502 | $ | 15,794 | $ | 11,182 | ||||||||||||
Net expenses | 1.19 | %(g)(h) | 1.22 | %(h)(i) | 1.28 | %(h)(j) | 1.34 | %(h)(k) | 1.40 | % | 1.40 | %(h) | ||||||||||||
Gross expenses | 1.26 | %(g) | 1.27 | % | 1.33 | % | 1.37 | % | 1.40 | % | 1.62 | % | ||||||||||||
Net investment income (loss) | 0.82 | %(g) | 0.41 | % | 0.39 | % | 0.18 | % | 0.05 | % | (0.08 | )% | ||||||||||||
Portfolio turnover rate | 23 | % | 54 | % | 66 | % | 64 | % | 35 | % | 64 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | Amount rounds to less than $0.01 per share. |
(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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(i) | Effective July 1, 2018, the expense limit decreased from 1.25% to 1.20%. |
(j) | Effective July 1, 2017, the expense limit decreased from 1.30% to 1.25%. |
(k) | Effective July 1, 2016, the expense limit decreased from 1.40% to 1.30%. |
See accompanying notes to financial statements.
| 26
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Select Fund—Class C | ||||||||||||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Year Ended November 30, 2017 | Year Ended November 30, 2016 | Year Ended November 30, 2015 | Year Ended November 30, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 17.31 | $ | 17.84 | $ | 14.87 | $ | 14.44 | $ | 14.52 | $ | 14.07 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.01 | (0.06 | ) | (0.06 | ) | (0.08 | ) | (0.10 | ) | (0.11 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (0.18 | )(b) | 0.87 | 3.28 | 0.81 | 0.46 | 1.99 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.17 | ) | 0.81 | 3.22 | 0.73 | 0.36 | 1.88 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net realized capital gains | (1.54 | ) | (1.34 | ) | (0.25 | ) | (0.30 | ) | (0.44 | ) | (1.43 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 15.60 | $ | 17.31 | $ | 17.84 | $ | 14.87 | $ | 14.44 | $ | 14.52 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(c) | 0.26 | %(d)(e) | 4.77 | %(e) | 21.96 | %(e) | 5.14 | %(e) | 2.52 | % | 14.54 | %(e) | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 6,279 | $ | 6,917 | $ | 7,429 | $ | 7,693 | $ | 5,607 | $ | 2,955 | ||||||||||||
Net expenses | 1.94 | %(f)(g) | 1.96 | %(g)(h) | 2.03 | %(g)(i) | 2.09 | %(g)(j) | 2.15 | % | 2.15 | %(g) | ||||||||||||
Gross expenses | 2.01 | %(f) | 2.01 | % | 2.08 | % | 2.12 | % | 2.15 | % | 2.35 | % | ||||||||||||
Net investment income (loss) | 0.06 | %(f) | (0.32 | )% | (0.37 | )% | (0.58 | )% | (0.69 | )% | (0.84 | )% | ||||||||||||
Portfolio turnover rate | 23 | % | 54 | % | 66 | % | 64 | % | 35 | % | 64 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Periods less than one year are not annualized. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | Computed on an annualized basis for periods less than one year. |
(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) | Effective July 1, 2018, the expense limit decreased from 2.00% to 1.95%. |
(i) | Effective July 1, 2017, the expense limit decreased from 2.05% to 2.00%. |
(j) | Effective July 1, 2016, the expense limit decreased from 2.15% to 2.05%. |
See accompanying notes to financial statements.
27 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Select Fund—Class N | ||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Period Ended November 30, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 18.26 | $ | 18.73 | $ | 16.28 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.09 | 0.13 | 0.09 | |||||||||
Net realized and unrealized gain (loss) | (0.17 | )(b) | 0.89 | 2.36 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | (0.08 | ) | 1.02 | 2.45 | ||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.06 | ) | (0.15 | ) | — | |||||||
Net realized capital gains | (1.54 | ) | (1.34 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total Distributions | (1.60 | ) | (1.49 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 16.58 | $ | 18.26 | $ | 18.73 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 0.69 | %(d) | 5.90 | % | 15.05 | %(d) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 1 | $ | 1 | $ | 1 | ||||||
Net expenses(e) | 0.90 | %(f) | 0.93 | %(g) | 0.97 | %(f)(h) | ||||||
Gross expenses | 12.62 | %(f) | 13.54 | % | 14.62 | %(f) | ||||||
Net investment income | 1.06 | %(f) | 0.68 | % | 0.80 | %(f) | ||||||
Portfolio turnover rate | 23 | % | 54 | % | 66 | %(i) |
* | From commencement of Class operations on March 31, 2017 through November 30, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Effective July 1, 2018, the expense limit decreased from 0.95% to 0.90%. |
(h) | Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%. |
(i) | Represents the Fund’s portfolio turnover rate for the year ended November 30, 2017. |
See accompanying notes to financial statements.
| 28
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Select Fund—Class Y | ||||||||||||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Year Ended November 30, 2017 | Year Ended November 30, 2016 | Year Ended November 30, 2015 | Year Ended November 30, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 18.25 | $ | 18.71 | $ | 15.48 | $ | 14.90 | $ | 14.83 | $ | 14.24 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.09 | 0.13 | 0.11 | 0.06 | 0.05 | 0.02 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.17 | )(b) | 0.90 | 3.41 | 0.85 | 0.47 | 2.03 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.08 | ) | 1.03 | 3.52 | 0.91 | 0.52 | 2.05 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.15 | ) | (0.04 | ) | (0.03 | ) | (0.01 | ) | (0.03 | ) | ||||||||||||
Net realized capital gains | (1.54 | ) | (1.34 | ) | (0.25 | ) | (0.30 | ) | (0.44 | ) | (1.43 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.59 | ) | (1.49 | ) | (0.29 | ) | (0.33 | ) | (0.45 | ) | (1.46 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 16.58 | $ | 18.25 | $ | 18.71 | $ | 15.48 | $ | 14.90 | $ | 14.83 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 0.75 | %(c)(d) | 5.86 | %(d) | 23.13 | %(d) | 6.22 | %(d) | 3.56 | % | 15.66 | %(d) | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 192,281 | $ | 175,017 | $ | 123,746 | $ | 104,324 | $ | 78,483 | $ | 54,095 | ||||||||||||
Net expenses | 0.94 | %(e)(f) | 0.96 | %(f)(g) | 1.03 | %(f)(h) | 1.09 | %(f)(i) | 1.15 | % | 1.15 | %(f) | ||||||||||||
Gross expenses | 1.01 | %(e) | 1.01 | % | 1.08 | % | 1.12 | % | 1.15 | % | 1.33 | % | ||||||||||||
Net investment income | 1.05 | %(e) | 0.68 | % | 0.64 | % | 0.43 | % | 0.31 | % | 0.16 | % | ||||||||||||
Portfolio turnover rate | 23 | % | 54 | % | 66 | % | 64 | % | 35 | % | 64 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | Periods less than one year are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The 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) | Effective July 1, 2018, the expense limit decreased from 1.00% to 0.95%. |
(h) | Effective July 1, 2017, the expense limit decreased from 1.05% to 1.00%. |
(i) | Effective July 1, 2016, the expense limit decreased from 1.15% to 1.05%. |
See accompanying notes to financial statements.
29 |
Table of Contents
May 31, 2019 (Unaudited)
1. Organization. Natixis Funds Trust II (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 anopen-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Loomis Sayles Global Growth Fund (the “Global Growth Fund”)
Vaughan Nelson Select Fund (the “Select Fund”)
Global Growth Fund is a diversified investment company. Select Fund is anon-diversified investment company.
Each Fund offers Class A, Class C, Class N and Class Y shares. Class A shares are sold with a maximumfront-end sales charge of 5.75%. Class C shares do not pay afront-end sales charge, pay higher Rule12b-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 afront-end sales charge, a CDSC or Rule12b-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 Fund’s prospectus.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV 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 a Fund are bornepro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule12b-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 Rule12b-1 Plan. Shares of each class would receive theirpro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of
| 30
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser orsub-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 orsub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Domestic exchange-traded single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations. Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“Cboe®”).
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 or subadviser pursuant to procedures approved by the Board of Trustees. On the last business day of the month, the Funds will fair value S&P 500® Index options using the
31 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
closing rotation values published by the Cboe®. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s Net Asset Value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.
As of May 31, 2019, purchased and written S&P 500® Index options held by Select Fund were fair valued at $4,901,715 and $(3,982,095), representing 2.3% and (1.9)% of net assets, respectively, using the closing rotation values published by the Cboe®.
As of May 31, 2019, securities held by Global Growth Fund were fair valued as follows:
Equity Securities1 | Percentage of | |||
$ 17,229,387 | 28.0 | % |
1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. |
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded onex-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
| 32
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
allocated on apro 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. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce or eliminate the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Option Contracts. Select Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequentlymarked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument or index to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of
33 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.
When a Fund writes an 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. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument or index to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.
Exchange-traded option contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced.
e. Due from Brokers. Transactions and positions in certain options are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statement of Assets and Liabilities for Select Fund represents cash on deposit with brokers for open option contracts. In certain circumstances the Funds’ use of cash held at brokers is restricted by regulation or broker mandated limits.
f. 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 May 31, 2019 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the
| 34
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
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.
g. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on theex-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, deferred Trustees’ fees, distribution redesignations and partnership basis adjustments. 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 deferred Trustees’ fees, wash sales, return of capital distributions received, partnership basis adjustments and options contractmark-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.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended November 30, 2018 was as follows:
2018 Distributions Paid From: | ||||||||||||
Fund | Ordinary Income | Long-Term Capital | Total | |||||||||
Global Growth Fund | $ | 186,759 | $ | 406,351 | $ | 593,110 | ||||||
Select Fund | 1,293,964 | 12,829,754 | 14,123,718 |
35 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed inper-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 May 31, 2019, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Global Growth | Select Fund | |||||||
Federal tax cost | $ | 58,037,193 | $ | 198,408,381 | ||||
|
|
|
| |||||
Gross tax appreciation | $ | 6,519,377 | $ | 24,493,356 | ||||
Gross tax depreciation | (3,489,069 | ) | (7,767,447 | ) | ||||
|
|
|
| |||||
Net tax appreciation | $ | 3,030,308 | $ | 16,725,909 | ||||
|
|
|
|
Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales and derivativesmark-to-market.
h. 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 aretri-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 May 31, 2019, 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.
i. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the 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.
| 36
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds’ investments as of May 31, 2019, at value:
Global Growth Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
China | $ | 6,192,465 | $ | 1,697,093 | $ | — | $ | 7,889,558 | ||||||||
Denmark | — | 1,930,237 | — | 1,930,237 | ||||||||||||
France | 1,035,483 | 1,692,001 | — | 2,727,484 | ||||||||||||
Italy | — | 416,286 | — | 416,286 | ||||||||||||
Netherlands | — | 1,393,646 | — | 1,393,646 | ||||||||||||
Switzerland | 166,388 | 5,065,809 | — | 5,232,197 | ||||||||||||
United Kingdom | — | 5,034,315 | — | 5,034,315 | ||||||||||||
All Other Common Stocks(a) | 35,254,416 | — | — | 35,254,416 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 42,648,752 | 17,229,387 | — | 59,878,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 1,189,362 | — | 1,189,362 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 42,648,752 | $ | 18,418,749 | $ | — | $ | 61,067,501 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
37 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
A common stock valued at $952,105 was transferred from Level 2 to Level 1 during the period ended May 31, 2019. At November 30, 2018, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security. At May 31, 2019, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies.
A common stock valued at $920,502 was transferred from Level 1 to Level 2 during the period ended May 31, 2019. At November 30, 2018, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies. At May 31, 2019, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security.
All transfers are recognized as of the beginning of the reporting period.
Select Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 204,382,117 | $ | — | $ | — | $ | 204,382,117 | ||||||||
Purchased Options(a) | — | 4,901,715 | — | 4,901,715 | ||||||||||||
Short-Term Investments | — | 6,366,006 | — | 6,366,006 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 204,382,117 | $ | 11,267,721 | $ | — | $ | 215,649,838 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options(a) | $ | — | $ (3,982,095) | $ | — | $ (3,982,095) | ||||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended May 31, 2019, there were no transfers among Levels 1, 2 and 3.
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 Select Fund used during the period include option contracts.
Select Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use purchased and written put options to hedge against a decline in values. The Fund may also use written call options to collect incremental income on an equity position it holds. During the six months ended May 31, 2019, the Fund engaged in purchased and written put options for hedging purposes.
| 38
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
The following is a summary of derivative instruments for the Select Fund as of May 31, 2019, as reflected within the Statements of Assets and Liabilities:
Assets | Investments | |||
Exchange-traded asset derivatives | ||||
Equity contracts | $4,901,715 | |||
Liabilities | Options written | |||
Exchange-traded liability derivatives | ||||
Equity contracts | $(3,982,095) |
1 | Represents purchased options, at value. |
Transactions in derivative instruments for Select Fund during the six months ended May 31, 2019, as reflected within the Statements of Operations, were as follows:
Net Realized Gain (Loss) on: | Investments2 | Options written | ||||||
Equity contracts | $ | (522,058 | ) | $ | 710,010 |
Net Change in Unrealized Appreciation | Investments2 | Options written | ||||||
Equity contracts | $ | 2,021,323 | $ | (1,572,137 | ) |
2 | Represents realized loss and change in unrealized appreciation (depreciation), respectively for purchased options during the period. |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statements of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to benon-hedge transactions for the purpose of these disclosures.
The volume of option contract activity, as a percentage of net assets, for Select Fund, based onmonth-end market values of underlying securities, at absolute value, was as follows for the six months ended May 31, 2019:
Select Fund** | Put Options Purchased | Put Options Written | ||||||
Average Market Value of Underlying Securities | 15.29 | % | 17.43 | % | ||||
Highest Market Value of Underlying Securities | 45.35 | % | 45.35 | % | ||||
Lowest Market Value of Underlying Securities | 0.00 | % | 0.00 | % | ||||
Market Value of Underlying Securities as of May 31, 2019 | 45.35 | % | 45.35 | % |
** | Market value of underlying instruments is determined as follows: for indices, by multiplying option contracts by the contract multiplier by the price of the option’s underlying index. |
39 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
Amounts outstanding at the end of the prior period are included in the average amount outstanding.
5. Purchases and Sales of Securities. For the six months ended May 31, 2019, purchases and sales of securities (excluding short-term investments, option contracts and U.S. Government/Agency securities) were as follows:
Fund | Purchases | Sales | ||||||
Global Growth Fund | $ | 8,298,518 | $ | 9,242,352 | ||||
Select Fund | 59,016,842 | 45,720,889 |
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to the Global Growth Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.80%, calculated daily and payable monthly, based on the Fund’s average daily net assets.
Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to the Select Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.80%, calculated daily and payable monthly, based on the Fund’s average daily net assets. Effective July 1, 2019, the Fund pays a management fee at the annual rate of 0.75%, calculated daily and payable monthly, based on the Fund’s average daily net assets.
Natixis Advisors has entered into a subadvisory agreement with Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”). Under the terms of the subadvisory agreement, the Fund pays a subadvisory fee at the annual rate of 0.53%, calculated daily and payable monthly, based on the Fund’s average daily net assets. Payments to Natixis Advisors are reduced by the amount of payments to Vaughan Nelson.
Loomis Sayles and Natixis Advisors have 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, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
| 40
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
For the six months ended May 31, 2019, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Global Growth Fund | 1.30 | % | 2.05 | % | 1.00 | % | 1.05 | % | ||||||||
Select Fund | 1.20 | % | 1.95 | % | 0.90 | % | 0.95 | % |
Effective July 1, 2019, the expense limits as a percentage of average daily net assets under the expense limitation agreements are as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Global Growth Fund | 1.25 | % | 2.00 | % | 0.95 | % | 1.00 | % | ||||||||
Select Fund | 1.15 | % | 1.90 | % | 0.85 | % | 0.90 | % |
These new undertakings are in effect until March 31, 2021, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.
Loomis Sayles and Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below 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 May 31, 2019, the management fees and waivers of management fees for each Fund were as follows:
Fund | Gross | Contractual | Voluntary | Net | Percentage | |||||||||||||||||||
Gross | Net | |||||||||||||||||||||||
Global Growth Fund | $ | 229,287 | $ | 75,842 | $ | 3,976 | $ | 149,469 | 0.80 | % | 0.52 | % | ||||||||||||
Select Fund | 838,065 | 59,297 | 13,379 | 765,389 | 0.80 | % | 0.73 | % |
1 | Contractual management fee waivers are subject to possible recovery until November 30, 2020. |
2 | Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described above. |
41 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
No expenses were recovered for any of the Funds during the six months ended May 31, 2019 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 agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule12b-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 Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
For the six months ended May 31, 2019, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||
Fund | Class A | Class C | Class C | |||||||||
Global Growth Fund | $ | 2,548 | $ | 1,139 | $ | 3,416 | ||||||
Select Fund | 19,887 | 8,230 | 24,689 |
c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve assub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly itspro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, 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
| 42
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving assub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction insub-administrative fees discussed above. The waiver is in effect through June 30, 2019.
For the six months ended May 31, 2019, the administrative fees for each Fund were as follows:
Fund | Gross | Waiver of | Net | |||||||||
Global Growth Fund | $ | 12,739 | $ | 302 | $ | 12,437 | ||||||
Select Fund | 46,569 | 1,107 | 45,462 |
Effective July 1, 2019, 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.
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 currentper-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.
43 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
For the six months ended May 31, 2019, thesub-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 | |||
Global Growth Fund | $ | 5,605 | ||
Select Fund | 30,872 |
As of May 31, 2019, the Funds owe Natixis Distribution the following reimbursements forsub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements of | |||
Global Growth Fund | $ | 78 | ||
Select Fund | 1,080 |
Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on apro 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 May 31, 2019 were as follows:
Fund | Commissions | |||
Global Growth Fund | $ | 495 | ||
Select Fund | 950 |
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 $360,000. 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 $190,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. 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
| 44
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
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.
Prior to January 1, 2019, the Chairperson of the Board received a retainer fee at the annual rate of $340,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $170,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $12,000. All other Trustee fees remained unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocatedpro rataamong 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.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trust.
g. Affiliated Ownership. As of May 31, 2019, Natixis and affiliates held shares of the Funds representing the following percentages of the Funds’ net assets:
Fund | ||||
Global Growth Fund | 24.72 | % | ||
Select Fund | Less than 0.01 | % |
Investment activities of affiliated shareholders could have material impacts on the Funds.
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through March 31, 2020 and is not subject to recovery under the expense limitation agreement described above.
45 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
For the six months ended May 31, 2019, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:
Fund | Reimbursement of Transfer Agency Expenses | |||
Class N | ||||
Global Growth Fund | $ | 85 | ||
Select Fund | 70 |
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 apro ratabasis 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 May 31, 2019, the Funds incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):
Transfer Agent Fees and Expenses | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Global Growth Fund | $ | 335 | $ | 153 | $ | 85 | $ | 8,524 | ||||||||
Select Fund | 2,860 | 1,180 | 70 | 33,382 |
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 as 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 May 31, 2019, neither Fund had borrowings under this agreement.
| 46
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
The Select Fund isnon-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.
10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of May 31, 2019, 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% | Percentage of | Percentage | Total | ||||||||||||
Global Growth Fund | 2 | 37.56 | % | 24.72 | % | 62.28 | % | |||||||||
Select Fund | 1 | 9.32 | % | — | 9.32 | % |
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 anon-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.
47 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (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 May 31, 2019 | | Year Ended November 30, 2018 | |||||||||||||
Global Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 43,025 | $ | 567,215 | 55,513 | $ | 750,169 | ||||||||||
Issued in connection with the reinvestment of distributions | 6,102 | 72,794 | 3,442 | 45,503 | ||||||||||||
Redeemed | (17,566 | ) | (222,675 | ) | (34,098 | ) | (459,170 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 31,561 | $ | 417,334 | 24,857 | $ | 336,502 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 37,149 | $ | 445,626 | 40,688 | $ | 552,191 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,896 | 22,333 | 355 | 4,651 | ||||||||||||
Redeemed | (11,404 | ) | (149,360 | ) | (4,662 | ) | (62,814 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 27,641 | $ | 318,599 | 36,381 | $ | 494,028 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 606 | $ | 7,934 | 370,191 | $ | 5,037,806 | ||||||||||
Issued in connection with the reinvestment of distributions | 10,137 | 121,236 | 3 | 41 | ||||||||||||
Redeemed | (150 | ) | (2,054 | ) | (157,102 | ) | (2,192,826 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 10,593 | $ | 127,116 | 213,092 | $ | 2,845,021 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 822,004 | $ | 10,945,119 | 3,420,773 | $ | 46,082,848 | ||||||||||
Issued in connection with the reinvestment of distributions | 170,319 | 2,037,028 | 40,764 | 540,127 | ||||||||||||
Redeemed | (844,753 | ) | (10,923,212 | ) | (741,128 | ) | (10,022,005 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 147,570 | $ | 2,058,935 | 2,720,409 | $ | 36,600,970 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 217,365 | $ | 2,921,984 | 2,994,739 | $ | 40,276,521 | ||||||||||
|
|
|
|
|
|
|
|
| 48
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
11. Capital Shares (continued).
| Six Months Ended May 31, 2019 | | Year Ended November 30, 2018 | |||||||||||||
Select Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 38,544 | $ | 613,163 | 287,426 | $ | 5,264,059 | ||||||||||
Issued in connection with the reinvestment of distributions | 97,584 | 1,414,973 | 91,854 | 1,591,840 | ||||||||||||
Redeemed | (236,889 | ) | (3,880,762 | ) | (600,541 | ) | (11,109,114 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (100,761 | ) | $ | (1,852,626 | ) | (221,261 | ) | $ | (4,253,215 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 29,357 | $ | 426,209 | 119,507 | $ | 2,095,201 | ||||||||||
Issued in connection with the reinvestment of distributions | 39,080 | 537,740 | 27,460 | 457,492 | ||||||||||||
Redeemed | (65,661 | ) | (1,017,983 | ) | (163,783 | ) | (2,883,432 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,776 | $ | (54,034 | ) | (16,816 | ) | $ | (330,739 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 2 | $ | 17 | — | $ | — | ||||||||||
Issued in connection with the reinvestment of distributions | 7 | 107 | 5 | 92 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 9 | $ | 124 | 5 | $ | 92 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 2,311,527 | $ | 36,718,343 | 3,898,143 | $ | 72,584,750 | ||||||||||
Issued in connection with the reinvestment of distributions | 911,924 | 13,277,611 | 649,091 | 11,300,753 | ||||||||||||
Redeemed | (1,215,020 | ) | (19,795,733 | ) | (1,571,820 | ) | (28,600,202 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,008,431 | $ | 30,200,221 | 2,975,414 | $ | 55,285,301 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 1,910,455 | $ | 28,293,685 | 2,737,342 | $ | 50,701,439 | ||||||||||
|
|
|
|
|
|
|
|
49 |
Table of Contents
Semiannual Report
May 31, 2019
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Portfolio Review | 1 | |||
Portfolio of Investments | 10 | |||
Financial Statements | 26 | |||
Notes to Financial Statements | 33 |
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 atwww.icsdelivery.com/natixisfunds.
Table of Contents
LOOMIS SAYLES SENIOR FLOATING RATE AND FIXED INCOME FUND
Managers: | Symbols: | |
John R. Bell | Class A LSFAX | |
Michael L. Klawitter,CFA® | Class C LSFCX | |
Loomis, Sayles & Company, L.P. | Class N LSFNX | |
Class Y LSFYX |
Investment Goal
The Fund seeks to provide a high level of current income.
1 |
Table of Contents
Average Annual Total Returns — May 31, 20194
Expense Ratios5 | ||||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | Life of Class | Gross | Net | |||||||||||||||||||||||
Class Y (Inception 9/30/11)1 | Class Y/A/C | Class N | ||||||||||||||||||||||||||
NAV | 1.75 | % | 2.39 | % | 3.78 | % | 5.76 | % | — | % | 0.80 | % | 0.80 | % | ||||||||||||||
Class A (Inception 9/30/11) | ||||||||||||||||||||||||||||
NAV | 1.62 | 2.13 | 3.52 | 5.50 | — | 1.05 | 1.05 | |||||||||||||||||||||
With 3.50% Maximum Sales Charge | -1.95 | -1.47 | 2.79 | 5.00 | — | |||||||||||||||||||||||
Class C (Inception 9/30/11) | ||||||||||||||||||||||||||||
NAV | 1.24 | 1.37 | 2.74 | 4.72 | — | 1.80 | 1.80 | |||||||||||||||||||||
With CDSC2 | 0.26 | 0.41 | 2.74 | 4.72 | — | |||||||||||||||||||||||
Class N (Inception 3/31/2017) |
| |||||||||||||||||||||||||||
NAV | 1.77 | 2.55 | — | — | 3.77 | 0.95 | 0.74 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
S&P/LSTA Leveraged Loan Index3 | 2.80 | 3.83 | 3.75 | 4.43 | 4.09 |
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 | 9/30/11 represents the date Class Y shares were first registered for public sale under the Securities Act of 1933. 9/16/11 represents commencement of operations for Class Y shares for accounting and financial reporting purposes only. |
2 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
3 | The S&P/LSTA Leveraged Loan Index (LLI) covers loan facilities and reflects the market-value-weighted performance of U.S. dollar-denominated institutional leveraged loans. |
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 3/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
| 2
Table of Contents
ADDITIONAL INFORMATION
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from Natixis Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year onForm N-PORT. The Fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
3 |
Table of Contents
UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Fund’s 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 of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from December 1, 2018 through May 31, 2019. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.
The second line in the table of each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
| 4
Table of Contents
LOOMIS SAYLES SENIOR FLOATING RATE AND FIXED INCOME FUND | BEGINNING ACCOUNT VALUE | ENDING ACCOUNT VALUE | EXPENSES PAID DURING PERIOD* 12/1/2018 – 5/31/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,016.20 | $5.38 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.60 | $5.39 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,012.40 | $9.13 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.86 | $9.15 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,017.70 | $3.87 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.09 | $3.88 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,017.50 | $4.12 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.84 | $4.13 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.07%, 1.82%, 0.77% and 0.82% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period). |
5 |
Table of Contents
BOARD APPROVAL OF THE EXISTING
ADVISORY AGREEMENT
The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on the Fund’s advisory agreement (the “Agreement”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreement to determine whether to recommend that the full Board approve the continuation of the Agreement, typically for an additionalone-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 Agreement.
In connection with these meetings, the Trustees receive materials that the Fund’s investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreement. These materials generally include, among other items, (i) information on the investment performance of the Fund and the performance of a peer group of funds and the Fund’s performance benchmark, (ii) information on the Fund’s advisory fee and other expenses, including information comparing the Fund’s advisory fee to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of a peer group of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Fund, (iv) information about the profitability of the Agreement to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) the 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 Fund’s shares and the related costs, (iii) the allocation of the Fund’s 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 Fund’s portfolio managers in the Fund 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 Agreement, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Fund’s investment performance and the fees charged to the Fund for advisory and other services. This information generally includes, among other things, an internal performance rating for the Fund based on agreed-upon criteria, graphs showing the Fund’s performance and expense differentials against the Fund’s peer group/category where available, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing the Fund against similarly categorized funds. The portfolio management team for the Fund or other representatives of the Adviser make periodic presentations to the Contract Review
| 6
Table of Contents
Committee and/or the full Board, and if the Fund is identified as presenting possible performance concerns it may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter, the Trustees are provided with detailed statistical information about the Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreement for aone-year period at its meeting held in June 2019. In considering whether to approve the continuation of the Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Fund and the resources dedicated to the Fund by the Adviser and its affiliates.
The Trustees considered not only the advisory services provided by the Adviser to the Fund, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Fund.
The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the nature, extent and quality of services provided supported the renewal of the Agreement.
Investment performance of the Fund and the Adviser. As noted above, the Trustees received information about the performance of the Fund over various time periods, including information that compared the performance of the Fund to the performance of a peer group and category of funds and the Fund’s performance benchmark. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Fund using a variety of performance metrics, including metrics that measured the performance of the Fund on a risk adjusted basis.
The Board noted that, through December 31, 2018, the Fund’sone-, three- and five-year performance, 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 | ||||||||||
Loomis Sayles Senior Floating Rate and Fixed Income Fund | 22 | % | 12 | % | 3 | % |
7 |
Table of Contents
The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the performance of the Fund and the Adviser and/or other relevant factors supported the renewal of the Agreement.
The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. The Trustees considered the fees charged to the Fund for advisory and administrative services as well as the total expense level of the Fund. This information included comparisons (provided both by management and by an independent third party) of the Fund’s advisory fee and total expense level to those of its peer group and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating the Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Fund has an expense cap in place and they considered the amounts waived or reimbursed by the Adviser for the Fund under the cap.
The Trustees also noted that the Fund’s total advisory fee rate was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified the relatively higher advisory fee rate, including that the Fund’s advisory fee rate was only two basis points above its peer group median.
The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Fund. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Fund, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Fund, the expense levels of the Fund, and whether the Adviser had implemented breakpoints and/or expense caps with respect to the Fund and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.
| 8
Table of Contents
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the advisory fee charged to the Fund was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Fund supported the renewal of the Agreement.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Fund through breakpoints in its investment advisory fee or other means, such as expense caps. 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 caps. With respect to economies of scale, the Trustees noted that although the Fund’s advisory fee was not subject to breakpoints, the Fund was subject to an expense cap. 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 Fund, as discussed above. The Trustees also considered that the Fund has benefitted from the substantial reinvestment the Adviser has made into its business.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the extent to which economies of scale were shared with the Fund supported the renewal of the Agreement.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of the Fund. |
· | Whether the Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Fund and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Fund. |
· | So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution and administrative services to the Fund, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Fund’s securities transactions. The Trustees also considered the benefits to the parent company of 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 Fund’s advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreement should be continued through June 30, 2020.
9 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal Amount | Description | Value (†) | ||||||
Senior Loans — 90.0% of Net Assets | ||||||||
Aerospace & Defense — 1.7% | ||||||||
$ | 18,971,027 | Advanced Integration Technology LP, 2017 Term Loan B,1-month LIBOR + 4.750%, 7.189%, 4/03/2023(a) | $ | 18,876,172 | ||||
15,942,328 | Constellis Holdings LLC, 2017 1st Lien Term Loan, LIBOR + 5.000%, 7.583%, 4/21/2024(b) | 13,232,132 | ||||||
2,287,705 | CPI International, Inc., 2017 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.939%, 7/26/2024(a) | 2,276,267 | ||||||
10,677,279 | MHVC Acquisition Corp., 2017 Term Loan,1-month LIBOR + 5.250%, 7.690%, 4/29/2024(a) | 10,490,427 | ||||||
10,514,209 | WP CPP Holdings LLC, 2018 Term Loan, LIBOR + 3.750%, 6.340%, 4/30/2025(b) | 10,505,482 | ||||||
|
| |||||||
55,380,480 | ||||||||
|
| |||||||
Airlines — 0.5% | ||||||||
10,499,685 | Allegiant Travel Co., Term Loan B,3-month LIBOR + 4.500%, 7.065%, 2/05/2024(a) | 10,434,062 | ||||||
5,438,830 | Atlantic Aviation FBO, Inc., 2018 Term Loan B,1-month LIBOR + 3.750%, 6.190%, 12/06/2025(a) | 5,479,621 | ||||||
|
| |||||||
15,913,683 | ||||||||
|
| |||||||
Automotive — 5.2% | ||||||||
16,780,843 | BBB Industries U.S. Holdings, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 4.500%, 6.967%, 8/01/2025(a) | 16,717,915 | ||||||
17,489,253 | Capital Automotive LP, 2017 2nd Lien Term Loan,1-month LIBOR + 6.000%, 8.440%, 3/24/2025(a) | 17,489,253 | ||||||
19,736,589 | Dayco Products LLC, 2017 Term Loan B,3-month LIBOR + 4.250%, 6.772%, 5/19/2023(a) | 19,280,279 | ||||||
17,043,436 | DexKo Global, Inc., 2018 USD Term Loan,1-month LIBOR + 3.500%, 5.939%, 7/24/2024(a) | 16,990,261 | ||||||
12,565,824 | Holley Purchaser, Inc., Term Loan B,3-month LIBOR + 5.000%, 7.583%, 10/24/2025(a) | 12,314,507 | ||||||
11,495,911 | Innovative Xcessories & Services LLC, Term Loan B,1-month LIBOR + 4.750%, 7.190%, 11/29/2022(a) | 11,380,952 | ||||||
14,111,115 | K&N Engineering, Inc., 1st Lien Term Loan,1-month LIBOR + 4.750%, 7.189%, 10/19/2023(a) | 13,887,736 | ||||||
15,594,160 | L&W, Inc., 2018 Term Loan B,1-month LIBOR + 4.000%, 6.439%, 5/22/2025(a) | 15,282,277 | ||||||
10,033,000 | Panther BF Aggregator 2 LP, USD Term Loan B,1-month LIBOR + 3.500%, 5.929%, 4/30/2026(a) | 9,951,532 | ||||||
15,572,364 | Trico Group LLC, 2019 Incremental Term Loan,3-month LIBOR + 7.000%, 9.601%, 2/02/2024(a) | 14,832,677 | ||||||
19,311,938 | Truck Hero, Inc., 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.189%, 4/21/2024(a) | 18,346,341 | ||||||
8,515,239 | U.S. Farathane LLC, 2017 Term Loan B4,3-month LIBOR + 3.500%, 6.101%, 12/23/2021(a) | 8,238,493 | ||||||
|
| |||||||
174,712,223 | ||||||||
|
| |||||||
Brokerage — 0.3% | ||||||||
5,779,000 | Citadel Securities LP, Term Loan B,1-month LIBOR + 3.500%, 5.939%, 2/22/2026(a) | 5,779,000 |
See accompanying notes to financial statements.
| 10
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Brokerage — continued | ||||||||
$ | 3,852,045 | Edelman Financial Center LLC, 2018 2nd Lien Term Loan,1-month LIBOR + 6.750%, 9.190%, 7/20/2026(a) | $ | 3,871,305 | ||||
|
| |||||||
9,650,305 | ||||||||
|
| |||||||
Building Materials — 3.8% | ||||||||
6,796,000 | Big Ass Fans LLC, 2018 Term Loan, 5/21/2024(c) | 6,791,786 | ||||||
20,124,762 | CPG International, Inc., 2017 Term Loan,6-month LIBOR + 3.750%, 6.633%, 5/05/2024(a) | 19,873,203 | ||||||
12,187,568 | DiversiTech Holdings, Inc., 2018 1st Lien Term Loan,3-month LIBOR + 3.000%, 5.601%, 6/03/2024(a) | 11,806,707 | ||||||
8,678,086 | GYP Holdings III Corp., 2018 Term Loan B,1-month LIBOR + 2.750%, 5.189%, 6/01/2025(a) | 8,511,727 | ||||||
20,971,615 | Interior Logic Group, Inc., 2018 Term Loan B,3-month LIBOR + 4.000%, 6.601%, 5/30/2025(a) | 20,657,041 | ||||||
15,601,553 | Janus International Group LLC, 2018 1st Lien Term Loan,1-month LIBOR + 3.000%, 5.439%, 2/12/2025(a) | 15,484,541 | ||||||
5,939,397 | Mannington Mills, Inc., Term Loan B,3-month LIBOR + 3.750%, 6.351%, 10/01/2021(a) | 5,926,389 | ||||||
17,486,475 | NCI Building Systems, Inc., 2018 Term Loan,3-month LIBOR + 3.750%, 6.354%, 4/12/2025(a) | 17,216,834 | ||||||
3,586,689 | VC GB Holdings, Inc., 2017 1st Lien Term Loan,1-month LIBOR + 3.000%, 5.439%, 2/28/2024(a) | 3,514,955 | ||||||
1,308,300 | VC GB Holdings, Inc., 2nd Lien Term Loan,1-month LIBOR + 8.000%, 10.439%, 2/28/2025(a) | 1,298,488 | ||||||
17,014,258 | Wilsonart LLC, 2017 Term Loan B,3-month LIBOR + 3.250%, 5.860%, 12/19/2023(a) | 16,636,712 | ||||||
|
| |||||||
127,718,383 | ||||||||
|
| |||||||
Chemicals — 1.3% | ||||||||
1,422,654 | ASP Chromaflo Intermediate Holdings, Inc., 2016 2nd Lien Term Loan,1-month LIBOR + 8.000%, 10.439%, 11/18/2024(a) | 1,404,871 | ||||||
7,225,890 | Natgasoline LLC, Term Loan B,3-month LIBOR + 3.500%, 6.125%, 11/14/2025(a) | 7,207,825 | ||||||
9,772,000 | Perstorp Holding AB, USD Term Loan B,3-month LIBOR + 4.750%, 7.271%, 2/27/2026(a) | 9,600,990 | ||||||
12,568,500 | Polymer Additives, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 6.000%, 8.439%, 7/31/2025(a) | 12,065,760 | ||||||
15,661,457 | Transcendia, Inc., 2017 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.939%, 5/30/2024(a) | 13,782,082 | ||||||
|
| |||||||
44,061,528 | ||||||||
|
| |||||||
Construction Machinery — 0.4% | ||||||||
3,266,549 | Onsite Rental Group Pty Ltd., Notes, 6.100%, 10/26/2023(d)(e)(f) | 2,515,243 | ||||||
2,389,195 | Onsite Rental Group Pty Ltd., Term Loan B,1-month LIBOR + 4.500%, 6.930%, 10/26/2022(a)(e)(f) | 2,329,466 | ||||||
7,464,775 | Utility One Source LP, Term Loan B,1-month LIBOR + 5.500%, 7.938%, 4/18/2023(g) | 7,502,099 | ||||||
|
| |||||||
12,346,808 | ||||||||
|
|
See accompanying notes to financial statements.
11 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Consumer Cyclical Services — 7.5% | ||||||||
$ | 22,215,341 | Access CIG LLC, 2018 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.189%, 2/27/2025(a) | $ | 22,097,377 | ||||
9,475,000 | Access CIG LLC, 2018 2nd Lien Term Loan,1-month LIBOR + 7.750%, 10.189%, 2/27/2026(a) | 9,396,073 | ||||||
14,100,957 | Allied Universal Holdco LLC, 2015 Term Loan,1-month LIBOR + 3.750%, 6.189%, 7/28/2022(a) | 13,695,554 | ||||||
9,975,000 | Allied Universal Holdco LLC, Incremental Term Loan,1-month LIBOR + 4.250%, 6.689%, 7/28/2022(a) | 9,875,250 | ||||||
16,551,131 | ASP MCS Acquisition Corp., Term Loan B,1-month LIBOR + 4.750%, 7.189%, 5/18/2024(a) | 10,658,929 | ||||||
8,744,000 | BIFM CA Buyer, Inc., Term Loan B, 5/02/2026(c) | 8,722,140 | ||||||
5,920,667 | Boing U.S. Holdco, Inc., 2017 2nd Lien Term Loan,1-month LIBOR + 7.500%, 9.967%, 10/03/2025(a) | 5,802,253 | ||||||
16,715,518 | Deerfield Dakota Holding LLC, 2018 Term Loan B,1-month LIBOR + 3.250%, 5.689%, 2/13/2025(a) | 16,230,768 | ||||||
9,904,537 | DG Investment Intermediate Holdings 2, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 3.000%, 5.439%, 2/03/2025(a) | 9,644,543 | ||||||
1,890,000 | DG Investment Intermediate Holdings 2, Inc., 2018 2nd Lien Term Loan,1-month LIBOR + 6.750%, 9.189%, 2/02/2026(a) | 1,814,400 | ||||||
18,665,379 | DTI Holdco, Inc., 2018 Term Loan B, LIBOR + 4.750%, 7.333%, 9/30/2023(b) | 17,265,476 | ||||||
9,585,388 | DTZ U.S. Borrower LLC, 2018 Add On Term Loan B,1-month LIBOR + 3.250%, 5.689%, 8/21/2025(a) | 9,552,415 | ||||||
12,362,226 | Garda World Security Corp., 2017 Term Loan,3-month LIBOR + 3.500%, 6.115%, 5/24/2024(a) | 12,251,461 | ||||||
1,766,375 | Guidehouse LLP, 2018 Term Loan,1-month LIBOR + 3.000%, 5.439%, 5/01/2025(a) | 1,744,296 | ||||||
13,564,764 | Imagine! Print Solutions, Inc., 2017 Term Loan,1-month LIBOR + 4.750%, 7.190%, 6/21/2022(a) | 11,597,873 | ||||||
345,858 | Mister Car Wash Holdings, Inc., 2019 Delayed Draw Term Loan, 0.500%, 5/14/2026(h) | 344,921 | ||||||
6,917,164 | Mister Car Wash Holdings, Inc., 2019 Term Loan B,1-month LIBOR + 3.500%, 5.949%, 5/14/2026(a) | 6,898,418 | ||||||
14,130,486 | National Intergovernmental Purchasing Alliance Co., 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.101%, 5/23/2025(a) | 13,945,094 | ||||||
22,398,000 | Quad/Graphics, Inc., 2018 Term Loan B,1-month LIBOR + 5.000%, 7.440%, 1/31/2026(a) | 22,398,000 | ||||||
14,641,012 | Southern Graphics, Inc., 2018 Term Loan B, LIBOR + 3.250%, 5.711%, 12/31/2022(b) | 12,152,040 | ||||||
5,212,162 | Sterling Midco Holdings, Inc., 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.939%, 6/19/2024(a) | 5,062,312 | ||||||
4,565,076 | STG-Fairway Acquisitions, Inc., 2015 1st Lien Term Loan,1-month LIBOR + 5.250%, 7.689%, 6/30/2022(a) | 4,551,746 | ||||||
10,761,358 | Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan,1-month LIBOR + 4.000%, 6.439%, 12/19/2023(a) | 10,223,290 | ||||||
1,848 | Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan, Prime + 3.000%, 8.500%, 12/19/2023(a) | 1,756 | ||||||
12,449,730 | West Corp., 2017 Term Loan, LIBOR + 4.000%, 6.522%, 10/10/2024(b) | 11,583,478 |
See accompanying notes to financial statements.
| 12
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Consumer Cyclical Services — continued | ||||||||
$ | 2,229,336 | William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan,3-month LIBOR + 2.750%, 5.360%, 5/18/2025(a) | $ | 2,156,883 | ||||
|
| |||||||
249,666,746 | ||||||||
|
| |||||||
Consumer Products — 7.8% | ||||||||
35,996,740 | Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan,1-month LIBOR + 6.500%, 8.939%, 7/25/2022(a) | 26,805,332 | ||||||
16,046,245 | Anastasia Parent LLC, 2018 Term Loan B,1-month LIBOR + 3.750%, 6.189%, 8/11/2025(a) | 13,900,060 | ||||||
15,063,021 | Augusta Sportswear Group, Inc., Term Loan B,1-month LIBOR + 4.500%, 6.939%, 10/26/2023(a) | 14,686,445 | ||||||
6,531,630 | Callaway Golf Co., Term Loan B,1-month LIBOR + 4.500%, 6.967%, 1/02/2026(a) | 6,596,946 | ||||||
14,923,664 | CWGS Group LLC, 2016 Term Loan,1-month LIBOR + 2.750%, 5.233%, 11/08/2023(g) | 13,505,916 | ||||||
12,072,190 | Global Appliance, Inc., Term Loan B,1-month LIBOR + 4.000%, 6.440%, 9/29/2024(a) | 12,001,809 | ||||||
12,374,511 | Highline Aftermarket Acquisition LLC, 2018 Term Loan B,1-month LIBOR + 3.500%, 5.938%, 4/26/2025(a) | 11,229,869 | ||||||
17,736,363 | Inmar Holdings, Inc., 2017 1st Lien Term Loan,3-month LIBOR + 4.000%, 6.601%, 5/01/2024(a) | 16,705,526 | ||||||
10,714,383 | Ozark Holdings LLC, Term Loan B,1-month LIBOR + 3.250%, 5.689%, 7/01/2023(a) | 10,567,061 | ||||||
15,850,225 | Pelican Products, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.967%, 5/01/2025(a) | 15,533,221 | ||||||
16,269,592 | Polyconcept Investments BV, USD 2016 Term Loan B,1-month LIBOR + 3.750%, 6.189%, 8/16/2023(a) | 16,289,929 | ||||||
6,605,014 | Rodan & Fields LLC, 2018 Term Loan B,1-month LIBOR + 4.000%, 6.440%, 6/06/2025(a) | 5,833,086 | ||||||
4,267,863 | Serta Simmons Bedding LLC, 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.961%, 11/08/2023(g) | 2,983,065 | ||||||
16,335,507 | Serta Simmons Bedding LLC, 2nd Lien Term Loan,1-month LIBOR + 8.000%, 10.440%, 11/08/2024(a) | 7,986,919 | ||||||
20,047,508 | SIWF Holdings, Inc., 1st Lien Term Loan,1-month LIBOR + 4.250%, 6.680%, 6/15/2025(a) | 19,245,607 | ||||||
15,813,295 | Strategic Partners Acquisition Corp., 2016 Term Loan,1-month LIBOR + 3.750%, 6.189%, 6/30/2023(a) | 15,813,295 | ||||||
18,617,761 | Thor Industries, Inc., USD Term Loan B,1-month LIBOR + 3.750%, 6.250%, 2/01/2026(a) | 18,105,773 | ||||||
16,323,070 | Weight Watchers International, Inc., 2017 Term Loan B,3-month LIBOR + 4.750%, 7.350%, 11/29/2024(a) | 15,996,609 | ||||||
17,668,868 | Wellness Merger Sub, Inc., 1st Lien Term Loan,3-month LIBOR + 4.250%, 6.772%, 6/30/2024(a) | 17,525,397 | ||||||
|
| |||||||
261,311,865 | ||||||||
|
| |||||||
Diversified Manufacturing — 2.1% | ||||||||
17,378,362 | Cortes NP Acquisition Corp., 2017 Term Loan B,1-month LIBOR + 4.000%, 6.439%, 11/30/2023(a) | 16,335,660 |
See accompanying notes to financial statements.
13 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Diversified Manufacturing — continued | ||||||||
$ | 21,889,527 | Engineered Machinery Holdings, Inc., USD 1st Lien Term Loan,3-month LIBOR + 3.250%, 5.851%, 7/19/2024(a) | $ | 21,342,289 | ||||
10,455,000 | NN, Inc., 2016 Term Loan B,1-month LIBOR + 3.750%, 6.189%, 10/19/2022(a) | 10,350,450 | ||||||
14,897,582 | Robertshaw U.S. Holding Corp., 2018 1st Lien Term Loan,1-month LIBOR + 3.500%, 6.000%, 2/28/2025(a) | 13,780,263 | ||||||
7,560,000 | Tank Holding Corp., 2019 Term Loan B, LIBOR + 4.000%, 6.682%, 3/26/2026(b) | 7,573,230 | ||||||
|
| |||||||
69,381,892 | ||||||||
|
| |||||||
Electric — 1.6% | ||||||||
1,517,000 | Carroll County Energy LLC, Term Loan B,3-month LIBOR + 3.500%, 6.101%, 2/15/2026(a) | 1,524,585 | ||||||
12,493,220 | CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.953%, 8/08/2025(a) | 12,243,356 | ||||||
3,117,000 | Edgewater Generation LLC, Term Loan, 12/13/2025(c) | 3,111,545 | ||||||
8,788,593 | Edgewater Generation LLC, Term Loan,1-month LIBOR + 3.750%, 6.189%, 12/13/2025(a) | 8,773,212 | ||||||
6,882,000 | Mirion Technologies, Inc., 2019 Term Loan B,3-month LIBOR + 4.000%, 6.595%, 3/06/2026(a) | 6,903,541 | ||||||
7,571,000 | Oregon Clean Energy LLC, Term Loan,1-month LIBOR + 3.750%, 6.189%, 3/01/2026(a) | 7,571,000 | ||||||
345,631 | Revere Power LLC, Term Loan B, 3/29/2026(c) | 343,471 | ||||||
10,062,934 | Revere Power LLC, Term Loan B,2-month LIBOR + 4.250%, 6.791%, 3/29/2026(a) | 10,000,041 | ||||||
54,369 | Revere Power LLC, Term Loan C, 3/29/2026(c) | 54,029 | ||||||
1,560,320 | Revere Power LLC, Term Loan C,2-month LIBOR + 4.250%, 6.791%, 3/29/2026(a) | 1,550,568 | ||||||
|
| |||||||
52,075,348 | ||||||||
|
| |||||||
Environmental — 0.6% | ||||||||
10,463,696 | EnergySolutions LLC, 2018 Term Loan B,3-month LIBOR + 3.750%, 6.351%, 5/09/2025(a) | 9,862,033 | ||||||
4,213,830 | USS Ultimate Holdings, Inc., 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.189%, 8/25/2024(a) | 4,211,723 | ||||||
9,698,454 | Zep, Inc., 2017 1st Lien Term Loan,3-month LIBOR + 4.000%, 6.601%, 8/12/2024(a) | 7,700,573 | ||||||
|
| |||||||
21,774,329 | ||||||||
|
| |||||||
Financial Other — 2.0% | ||||||||
17,731,758 | Amynta Agency Borrower, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 4.500%, 6.939%, 2/28/2025(a) | 17,111,147 | ||||||
13,191,663 | AqGen Ascensus, Inc., 2017 Repriced Term Loan,3-month LIBOR + 4.000%, 6.601%, 12/03/2022(a) | 13,183,484 | ||||||
10,922,364 | DBRS Ltd., Term Loan,3-month LIBOR + 5.250%, 7.772%, 3/04/2022(a) | 10,922,364 | ||||||
12,586,810 | LifeMiles Ltd., Term Loan B,1-month LIBOR + 5.500%, 7.939%, 8/18/2022(a) | 12,523,876 | ||||||
13,372,026 | Wall Street Systems Delaware, Inc., 2017 Term Loan B,3-month LIBOR + 3.000%, 5.651%, 11/21/2024(a) | 12,904,005 | ||||||
|
| |||||||
66,644,876 | ||||||||
|
|
See accompanying notes to financial statements.
| 14
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Food & Beverage — 1.7% | ||||||||
$ | 9,968,809 | AI Aqua Merger Sub, Inc., 2017 1st Lien Term Loan B,1-month LIBOR + 3.250%, 5.689%, 12/13/2023(a) | $ | 9,657,284 | ||||
4,702,652 | AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan,1-month LIBOR + 3.250%, 5.689%, 12/13/2023(a) | 4,535,143 | ||||||
3,863,934 | Arctic Glacier U.S.A., Inc., 2018 Term Loan B,1-month LIBOR + 3.500%, 5.939%, 3/20/2024(a) | 3,841,407 | ||||||
1,994,937 | Atkins Nutritionals Holdings II, Inc., 2017 Term Loan B,3-month LIBOR + 3.500%, 6.081%, 7/07/2024(a) | 1,999,924 | ||||||
8,479,748 | CPM Holdings, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.189%, 11/15/2025(a) | 8,373,751 | ||||||
6,184,422 | Hearthside Food Solutions LLC, 2018 Term Loan B,1-month LIBOR + 3.688%, 6.126%, 5/23/2025(a) | 6,034,202 | ||||||
8,985,331 | High Liner Foods, Inc., Refi Term Loan B, LIBOR + 3.250%, 5.849%, 4/24/2021(b) | 8,266,504 | ||||||
523,078 | High Liner Foods, Inc., Refi Term Loan B, Prime + 2.250%, 5.865%, 4/24/2021(a) | 481,232 | ||||||
14,477,821 | Proampac PG Borrower LLC, 2016 1st Lien Term Loan, LIBOR + 3.500%, 6.011%, 11/18/2023(b) | 13,907,829 | ||||||
|
| |||||||
57,097,276 | ||||||||
|
| |||||||
Gaming — 0.2% | ||||||||
5,513,000 | PCI Gaming Authority, Term Loan, 5/15/2026(c) | 5,509,913 | ||||||
|
| |||||||
Health Insurance — 0.1% | ||||||||
4,987,500 | Sedgwick Claims Management Services, Inc., 2018 Term Loan B,1-month LIBOR + 3.250%, 5.689%, 12/31/2025(a) | 4,910,593 | ||||||
|
| |||||||
Healthcare — 4.2% | ||||||||
15,615,203 | Argon Medical Devices, Inc., 2017 1st Lien Term Loan B,1-month LIBOR + 3.750%, 6.189%, 1/23/2025(a) | 15,581,006 | ||||||
8,619,232 | ATI Holdings Acquisition, Inc., 2016 Term Loan,1-month LIBOR + 3.500%, 5.930%, 5/10/2023(a) | 8,457,621 | ||||||
9,236,717 | Aveanna Healthcare LLC, 2017 1st Lien Term Loan,1-month LIBOR + 4.250%, 6.689%, 3/18/2024(a) | 8,890,340 | ||||||
14,423,860 | Carestream Dental Equipment, Inc, 2017 1st Lien Term Loan,1-month LIBOR + 3.250%, 5.689%, 9/01/2024(a) | 14,198,560 | ||||||
2,350,000 | DuPage Medical Group Ltd., 2nd Lien Term Loan,1-month LIBOR + 7.000%, 9.430%, 8/15/2025(a) | 2,295,668 | ||||||
6,169,481 | Explorer Holdings, Inc., 2016 Term Loan B,3-month LIBOR + 3.750%, 6.351%, 5/02/2023(a) | 6,154,058 | ||||||
2,379,000 | Gentiva Health Services, Inc., 2018 2nd Lien Term Loan,1-month LIBOR + 7.000%, 9.500%, 7/02/2026(a) | 2,411,711 | ||||||
9,382,405 | GHX Ultimate Parent Corp., 2017 1st Lien Term Loan,3-month LIBOR + 3.250%, 5.851%, 6/28/2024(a) | 9,229,940 | ||||||
17,423,671 | HC Group Holdings III, Inc., 2018 Term Loan B,1-month LIBOR + 3.750%, 6.189%, 4/07/2022(a) | 17,358,332 | ||||||
7,755,304 | National Mentor Holdings, Inc., 2019 Term Loan B,1-month LIBOR + 4.250%, 6.690%, 3/09/2026(a) | 7,769,884 |
See accompanying notes to financial statements.
15 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Healthcare — continued | ||||||||
$ | 481,696 | National Mentor Holdings, Inc., 2019 Term Loan C,1-month LIBOR + 4.250%, 6.690%, 3/09/2026(a) | $ | 482,601 | ||||
2,807,000 | NVA Holdings, Inc., Term Loan B4,1-month LIBOR + 3.500%, 5.939%, 2/02/2025(a) | 2,796,474 | ||||||
11,975,836 | Onex TSG Intermediate Corp., 1st Lien Term Loan,1-month LIBOR + 4.000%, 6.439%, 7/31/2022(a) | 11,874,760 | ||||||
11,323,723 | Surgery Center Holdings, Inc., 2017 Term Loan B,1-month LIBOR + 3.250%, 5.690%, 9/02/2024(a) | 11,105,741 | ||||||
7,321,306 | Tecomet Inc., 2017 Repriced Term Loan,1-month LIBOR + 3.500%, 5.953%, 5/01/2024(a) | 7,284,700 | ||||||
16,471,230 | Verscend Holding Corp., 2018 Term Loan B,1-month LIBOR + 4.500%, 6.939%, 8/27/2025(a) | 16,454,759 | ||||||
|
| |||||||
142,346,155 | ||||||||
|
| |||||||
Home Construction — 0.6% | ||||||||
9,058,287 | Fastener Acquisition, Inc., 2018 1st Lien Term Loan, Prime + 3.250%, 8.750%, 3/28/2025(a) | 8,967,704 | ||||||
5,251,614 | Hayward Industries, Inc., 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.939%, 8/05/2024(a) | 5,120,324 | ||||||
6,225,143 | LBM Borrower LLC, 2018 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.189%, 8/20/2022(a) | 6,213,502 | ||||||
|
| |||||||
20,301,530 | ||||||||
|
| |||||||
Independent Energy — 1.0% | ||||||||
11,400,000 | California Resources Corp., 2017 1st Lien Term Loan,1-month LIBOR + 4.750%, 7.178%, 12/31/2022(a) | 10,820,538 | ||||||
6,160,000 | California Resources Corp., Second Out Term Loan,1-month LIBOR + 10.375%, 12.803%, 12/31/2021(a) | 6,202,381 | ||||||
23,593,712 | Gavilan Resources LLC, 2nd Lien Term Loan,1-month LIBOR + 6.000%, 8.430%, 3/01/2024(a)(i) | 16,987,472 | ||||||
|
| |||||||
34,010,391 | ||||||||
|
| |||||||
Industrial Other — 5.8% | ||||||||
16,359,319 | ABG Intermediate Holdings 2 LLC, 2017 1st LienAdd-On Term Loan,1-month LIBOR + 3.500%, 5.939%, 9/26/2024(a) | 16,066,160 | ||||||
16,959,495 | ASP Unifrax Holdings, Inc., Term Loan B,3-month LIBOR + 3.750%, 6.351%, 12/12/2025(a) | 16,565,187 | ||||||
14,222,945 | Capri Finance LLC, USD 2017 1st Lien Term Loan,3-month LIBOR + 3.250%, 5.833%, 11/01/2024(a) | 13,938,486 | ||||||
10,476,823 | CIBT Global, Inc., 2017 Term Loan, LIBOR + 3.750%, 6.360%, 6/03/2024(b) | 10,306,574 | ||||||
4,579,333 | Crosby U.S. Acquisition Corp., 2nd Lien Term Loan,1-month LIBOR + 6.000%, 8.430%, 11/22/2021(a) | 4,541,187 | ||||||
16,834,213 | Diamond (BC) B.V., USD Term Loan, LIBOR + 3.000%, 5.583%, 9/06/2024(b) | 14,940,364 | ||||||
12,712,136 | GI Revelation Acquisition LLC, 2018 1st Lien Term Loan,1-month LIBOR + 5.000%, 7.439%, 4/16/2025(a) | 12,574,464 | ||||||
17,362,888 | Harland Clarke Holdings Corp., Term Loan B7,3-month LIBOR + 4.750%, 7.351%, 11/03/2023(a) | 14,450,264 | ||||||
15,637,200 | International Textile Group, Inc., 1st Lien Term Loan,1-month LIBOR + 5.000%, 7.486%, 5/01/2024(a) | 14,777,154 |
See accompanying notes to financial statements.
| 16
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Industrial Other — continued | ||||||||
$ | 7,828,000 | International Textile Group, Inc., 2nd Lien Term Loan,1-month LIBOR + 9.000%, 11.486%, 5/01/2025(a)(e)(f) | $ | 7,045,200 | ||||
9,124,448 | Loparex Holding B.V., 2018 Term Loan,1-month LIBOR + 4.250%, 6.689%, 4/11/2025(a) | 9,078,825 | ||||||
18,465,210 | LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.939%, 9/06/2025(a) | 17,549,705 | ||||||
1,205,107 | Merrill Communications LLC, 2015 Term Loan,3-month LIBOR + 5.250%, 7.833%, 6/01/2022(a) | 1,211,133 | ||||||
13,750,542 | NES Global Talent Finance U.S. LLC, 2018 1st Lien Term Loan B,3-month LIBOR + 5.500%, 8.083%, 5/11/2023(a) | 13,681,789 | ||||||
17,024,378 | Savage Enterprises LLC, 2018 1st Lien Term Loan B,1-month LIBOR + 4.500%, 6.970%, 8/01/2025(a) | 17,066,939 | ||||||
9,055,263 | WireCo WorldGroup, Inc., 1st Lien Term Loan,1-month LIBOR + 5.000%, 7.439%, 9/30/2023(a) | 9,046,208 | ||||||
|
| |||||||
192,839,639 | ||||||||
|
| |||||||
Internet & Data — 3.6% | ||||||||
6,731,905 | CareerBuilder, LLC, Term Loan,3-month LIBOR + 6.750%, 9.351%, 7/31/2023(a) | 6,706,661 | ||||||
5,409,443 | EagleView Technology Corp., 2018 Add On Term Loan B,1-month LIBOR + 3.500%, 5.930%, 8/14/2025(a) | 5,193,065 | ||||||
22,242,399 | EIG Investors Corp., 2018 1st Lien Term Loan, LIBOR + 3.750%, 6.270%, 2/09/2023(b) | 22,147,869 | ||||||
19,693,322 | MH Sub I LLC, 2017 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.180%, 9/13/2024(a) | 19,521,006 | ||||||
8,830,000 | MH Sub I LLC, 2017 2nd Lien Term Loan,1-month LIBOR + 7.500%, 9.930%, 9/15/2025(a) | 8,863,112 | ||||||
20,341,867 | NeuStar, Inc., 2018 Term Loan B4,1-month LIBOR + 3.500%, 5.939%, 8/08/2024(a) | 19,604,474 | ||||||
12,838,048 | NeuStar, Inc., 2nd Lien Term Loan,1-month LIBOR + 8.000%, 10.439%, 8/08/2025(a) | 12,164,050 | ||||||
11,919,128 | WeddingWire, Inc., 1st Lien Term Loan,1-month LIBOR + 4.500%, 6.939%, 12/19/2025(a) | 11,889,330 | ||||||
15,639,410 | Zacapa LLC, 2018 1st Lien Term Loan B,3-month LIBOR + 5.000%, 7.601%, 7/02/2025(a) | 15,717,607 | ||||||
|
| |||||||
121,807,174 | ||||||||
|
| |||||||
Leisure — 2.1% | ||||||||
12,218,882 | CDS U.S. Intermediate Holdings, Inc., 2017 1st Lien Term Loan, LIBOR + 3.750%, 6.263%, 7/08/2022(b) | 11,943,957 | ||||||
7,850,316 | CDS U.S. Intermediate Holdings, Inc., 2nd Lien Term Loan,1-month LIBOR + 8.250%, 10.782%, 7/10/2023(g) | 6,986,782 | ||||||
19,529,139 | Kingpin Intermediate Holdings LLC, 2018 Term Loan B,1-month LIBOR + 3.500%, 5.940%, 7/03/2024(a) | 19,492,620 | ||||||
14,146,392 | Leslie’s Poolmart, Inc., 2016 Term Loan,2-month LIBOR + 3.500%, 5.981%, 8/16/2023(a) | 13,706,863 | ||||||
5,826,000 | Playpower, Inc., 2019 Term Loan,3-month LIBOR + 5.500%, 7.985%, 5/08/2026(a) | 5,833,283 |
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Leisure — continued | ||||||||
$ | 14,081,517 | Recess Holdings, Inc., 2017 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.189%, 9/29/2024(a) | $ | 13,905,498 | ||||
|
| |||||||
71,869,003 | ||||||||
|
| |||||||
Lodging — 0.3% | ||||||||
8,635,000 | Aimbridge Acquisition Co., Inc., 2019 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.236%, 2/02/2026(a) | 8,656,587 | ||||||
|
| |||||||
Media Entertainment — 3.1% | ||||||||
8,935,852 | ALM Media Holdings, Inc., 1st Lien Term Loan,3-month LIBOR + 4.500%, 7.101%, 7/31/2020(a) | 8,131,625 | ||||||
2,846,383 | Alpha Media LLC, 2016 Term Loan, LIBOR + 6.250%, 8.730%, 2/25/2022(b) | 2,813,166 | ||||||
15,664,025 | Cengage Learning, Inc., 2016 Term Loan B,1-month LIBOR + 4.250%, 6.680%, 6/07/2023(a) | 14,894,765 | ||||||
15,985,735 | Comet Bidco Ltd., 2018 USD Term Loan B, LIBOR + 5.000%, 7.521%, 9/30/2024(b) | 15,745,949 | ||||||
19,931,303 | Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B,1-month LIBOR + 3.000%, 5.439%, 5/31/2021(a) | 19,067,680 | ||||||
14,560,692 | LSC Communications, Inc., 2017 Term Loan B,1-week LIBOR + 5.500%, 7.896%, 9/30/2022(a) | 14,487,889 | ||||||
13,603,443 | McGraw-Hill Global Education Holdings LLC, 2016 Term Loan B,1-month LIBOR + 4.000%, 6.439%, 5/04/2022(a) | 12,899,873 | ||||||
9,700,000 | Metro-Goldwyn-Mayer, Inc., 2018 2nd Lien Term Loan, 7/03/2026(c) | 9,506,000 | ||||||
6,321,238 | Project Sunshine IV PTY Ltd., 2017 Term Loan B,1-month LIBOR + 7.000%, 9.439%, 8/21/2022(a) | 6,289,632 | ||||||
|
| |||||||
103,836,579 | ||||||||
|
| |||||||
Metals & Mining — 1.5% | ||||||||
11,480,110 | American Rock Salt Co. LLC, 2018 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.189%, 3/21/2025(a) | 11,432,238 | ||||||
4,877,652 | AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 2/01/2025(c) | 4,796,878 | ||||||
17,764,586 | GrafTech Finance, Inc., 2018 Term Loan B,1-month LIBOR + 3.500%, 5.939%, 2/12/2025(a) | 17,609,146 | ||||||
18,066,535 | U.S. Silica Co., 2018 Term Loan B,1-month LIBOR + 4.000%, 6.500%, 5/01/2025(a) | 17,133,037 | ||||||
|
| |||||||
50,971,299 | ||||||||
|
| |||||||
Midstream — 2.2% | ||||||||
10,410,850 | BCP Raptor LLC, Term Loan B,1-month LIBOR + 4.250%, 6.689%, 6/24/2024(a) | 10,081,138 | ||||||
16,661,518 | Brazos Delaware II LLC, Term Loan B,1-month LIBOR + 4.000%, 6.442%, 5/21/2025(a) | 15,818,111 | ||||||
5,846,114 | Limetree Bay Terminals LLC, 2017 Term Loan B,1-month LIBOR + 4.000%, 6.439%, 2/15/2024(a) | 5,676,811 | ||||||
12,430,000 | Lower Cadence Holdings LLC, Term Loan B, 5/10/2026(c) | 12,406,756 | ||||||
16,272,362 | Lucid Energy Group II LLC, 2018 1st Lien Term Loan,1-month LIBOR + 3.000%, 5.430%, 2/17/2025(a) | 15,757,017 | ||||||
13,147,687 | Prairie ECI Acquiror LP, Term Loan B,3-month LIBOR + 4.750%, 7.366%, 3/11/2026(a) | 13,225,784 | ||||||
|
| |||||||
72,965,617 | ||||||||
|
|
See accompanying notes to financial statements.
| 18
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Oil Field Services — 0.8% | ||||||||
$ | 30,203,810 | Covia Holdings Corp., Term Loan,3-month LIBOR + 4.000%, 6.598%, 6/01/2025(a) | $ | 25,654,512 | ||||
|
| |||||||
Packaging — 2.0% | ||||||||
16,776,335 | Flex Acquisition Co., Inc., 2018 Incremental Term Loan,3-month LIBOR + 3.250%, 5.876%, 6/29/2025(a) | 16,101,088 | ||||||
4,001,816 | PLZ Aeroscience Corp., USD Term Loan,1-month LIBOR + 3.500%, 5.986%, 7/31/2022(a) | 3,974,324 | ||||||
16,670,490 | Spectrum Holdings III Corp., 1st Lien Term Loan,1-month LIBOR + 3.250%, 5.689%, 1/31/2025(a) | 15,753,613 | ||||||
16,481,790 | Titan Acquisition Ltd., 2018 Term Loan B,1-month LIBOR + 3.000%, 5.439%, 3/28/2025(a) | 15,804,553 | ||||||
14,708,462 | TricorBraun Holdings, Inc., 2016 1st Lien Term Loan,3-month LIBOR + 3.750%, 6.352%, 11/30/2023(g) | 14,625,800 | ||||||
|
| |||||||
66,259,378 | ||||||||
|
| |||||||
Pharmaceuticals — 0.3% | ||||||||
9,438,793 | Akorn, Inc., Term Loan B,1-month LIBOR + 7.000%, 9.439%, 4/16/2021(a) | 8,801,675 | ||||||
|
| |||||||
Property & Casualty Insurance — 2.2% | ||||||||
19,157,387 | Confie Seguros Holding II Co., 2016 Term Loan B,1-month LIBOR + 4.750%, 7.189%, 4/19/2022(a) | 19,057,577 | ||||||
2,375,000 | Cypress Intermediate Holdings III, Inc., 2017 2nd Lien Term Loan,1-month LIBOR + 6.750%, 9.189%, 4/27/2025(a) | 2,383,906 | ||||||
15,507,167 | Hyperion Insurance Group Ltd., 2017 Repriced Term Loan,1-month LIBOR + 3.500%, 5.938%, 12/20/2024(a) | 15,486,077 | ||||||
17,126,503 | Mitchell International, Inc., 2017 1st Lien Term Loan,1-month LIBOR + 3.250%, 5.689%, 11/29/2024(a) | 16,312,994 | ||||||
21,367,583 | York Risk Services Holding Corp., Term Loan B,1-month LIBOR + 3.750%, 6.189%, 10/01/2021(a) | 20,053,477 | ||||||
|
| |||||||
73,294,031 | ||||||||
|
| |||||||
REITs – Retail — 0.4% | ||||||||
14,155,953 | Forest City Enterprises LP, Term Loan B,1-month LIBOR + 4.000%, 6.439%, 12/07/2025(a) | 14,185,398 | ||||||
|
| |||||||
Restaurants — 3.1% | ||||||||
15,052,149 | Big Jack Holdings LP, 2018 Term Loan B,1-month LIBOR + 3.250%, 5.690%, 4/05/2024(a) | 14,638,215 | ||||||
9,361,615 | Bojangles’ Restaurants, Inc., Term Loan,1-month LIBOR + 4.750%, 7.189%, 1/07/2026(a) | 9,361,615 | ||||||
16,862,757 | Flynn Restaurant Group LP, 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.939%, 6/27/2025(a) | 16,369,522 | ||||||
9,890,788 | NPC International, Inc., 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.939%, 4/19/2024(a) | 7,754,378 | ||||||
16,259,934 | Portillo’s Holdings LLC, 1st Lien Term Loan,3-month LIBOR + 4.500%, 7.101%, 8/02/2021(a) | 16,239,609 | ||||||
12,504,000 | Portillo’s Holdings LLC, 2nd Lien Term Loan,3-month LIBOR + 8.000%, 10.601%, 8/01/2022(a) | 12,316,440 |
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Restaurants — continued | ||||||||
$ | 21,038,194 | Red Lobster Management LLC, Term Loan B,1-month LIBOR + 5.250%, 7.689%, 7/28/2021(a) | $ | 20,748,918 | ||||
9,552,816 | TMK Hawk Parent Corp., 2017 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.940%, 8/28/2024(a) | 7,976,601 | ||||||
|
| |||||||
105,405,298 | ||||||||
|
| |||||||
Retailers — 5.1% | ||||||||
11,664,419 | Academy Ltd., 2015 Term Loan B,1-month LIBOR + 4.000%, 6.454%, 7/01/2022(g) | 8,447,022 | ||||||
16,950,412 | Array Canada, Inc., Term Loan B,3-month LIBOR + 5.000%, 7.601%, 2/10/2023(a) | 15,891,011 | ||||||
17,167,456 | At Home Holding III, Inc., Term Loan,3-month LIBOR + 3.500%, 6.083%, 6/03/2022(a) | 16,952,863 | ||||||
24,930,999 | Bass Pro Group LLC, Term Loan B,1-month LIBOR + 5.000%, 7.439%, 9/25/2024(a) | 24,221,961 | ||||||
20,978,194 | BDF Acquisition Corp., 1st Lien Term Loan,1-month LIBOR + 5.250%, 7.689%, 8/14/2023(a) | 20,506,185 | ||||||
2,098,806 | EG America LLC, 2018 USD Term Loan,3-month LIBOR + 4.000%, 6.601%, 2/07/2025(a) | 2,058,572 | ||||||
13,003,650 | EG Group Ltd., 2018 USD Term Loan B,3-month LIBOR + 4.000%, 6.601%, 2/07/2025(a) | 12,754,370 | ||||||
16,185,690 | Hillman Group, Inc. (The), 2018 Term Loan B,1-month LIBOR + 4.000%, 6.439%, 5/31/2025(a) | 15,756,769 | ||||||
5,805,000 | Kontoor Brands, Inc., Term Loan B,3-month LIBOR + 4.250%, 6.801%, 5/17/2026(a) | 5,775,975 | ||||||
17,743,550 | Neiman Marcus Group Ltd. LLC, 2020 Term Loan,1-month LIBOR + 3.250%, 5.717%, 10/25/2020(a) | 15,951,452 | ||||||
10,138,631 | PetSmart, Inc., Consenting Term Loan,1-month LIBOR + 4.250%, 6.720%, 3/11/2022(a) | 9,738,764 | ||||||
13,825,000 | Staples, Inc., 7 Year Term Loan,3-month LIBOR + 5.000%, 7.601%, 4/16/2026(a) | 13,341,125 | ||||||
11,137,331 | The Talbots, Inc., 2018 Term Loan B,1-month LIBOR + 7.000%, 9.439%, 11/28/2022(a) | 10,956,349 | ||||||
|
| |||||||
172,352,418 | ||||||||
|
| |||||||
Supermarkets — 0.5% | ||||||||
16,167,640 | BI-LO Holding LLC, Exit Term Loan B,3-month LIBOR + 8.000%, 10.585%, 5/31/2024(g) | 15,520,935 | ||||||
|
| |||||||
Technology — 10.4% | ||||||||
12,914,254 | Almonde, Inc., USD 1st Lien Term Loan,3-month LIBOR + 3.500%, 6.101%, 6/13/2024(a) | 12,634,015 | ||||||
13,760,000 | Almonde, Inc., USD 2nd Lien Term Loan,3-month LIBOR + 7.250%, 9.851%, 6/13/2025(a) | 13,717,069 | ||||||
8,320,000 | Aptean, Inc., 2019 Term Loan,1-month LIBOR + 4.250%, 6.689%, 4/23/2026(a) | 8,323,494 | ||||||
14,682,110 | Brooks Automation, Inc., 2019 Term Loan B,2-month LIBOR + 3.000%, 5.500%, 10/04/2024(a) | 14,645,405 | ||||||
14,488,000 | CommScope, Inc., 2019 Term Loan B,1-month LIBOR + 3.250%, 5.689%, 4/06/2026(a) | 14,415,560 |
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Technology — continued | ||||||||
$ | 13,920,313 | Corel Corp., 2018 1st Lien Term Loan B,3-month LIBOR + 5.000%, 7.522%, 6/04/2024(a) | $ | 13,885,512 | ||||
9,444,800 | DigiCert, Inc., 2017 2nd Lien Term Loan,1-month LIBOR + 8.000%, 10.439%, 10/31/2025(a) | 9,350,352 | ||||||
9,097,956 | DigiCert, Inc., 2017 Term Loan B1,1-month LIBOR + 4.000%, 6.439%, 10/31/2024(a) | 9,065,750 | ||||||
15,137,084 | Greeneden U.S. Holdings II LLC, 2018 USD Term Loan B,1-month LIBOR + 3.250%, 5.689%, 12/01/2023(a) | 14,970,576 | ||||||
16,773,669 | Hyland Software, Inc., 2017 2nd Lien Term Loan,1-month LIBOR + 7.000%, 9.439%, 7/07/2025(a) | 16,815,603 | ||||||
8,474,347 | IQOR U.S., Inc., 2nd Lien Term Loan,3-month LIBOR + 8.750%, 11.342%, 4/01/2022(a) | 6,553,467 | ||||||
11,111,495 | IQOR U.S., Inc., Term Loan B,3-month LIBOR + 5.000%, 7.592%, 4/01/2021(a) | 10,680,925 | ||||||
11,267,667 | McAfee LLC, 2017 2nd Lien Term Loan,1-month LIBOR + 8.500%, 10.857%, 9/29/2025(a) | 11,401,526 | ||||||
9,647,769 | McAfee LLC, 2018 USD Term Loan B,1-month LIBOR + 3.750%, 6.178%, 9/30/2024(a) | 9,631,657 | ||||||
4,734,085 | NAVEX TopCo, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 3.250%, 5.690%, 9/05/2025(a) | 4,649,250 | ||||||
17,766,577 | Oberthur Technologies S.A., 2016 USD Term Loan B1,3-month LIBOR + 3.750%, 6.351%, 1/10/2024(a) | 17,500,079 | ||||||
14,056,052 | Ocean Bidco, Inc., 2018 USD Term Loan,3-month LIBOR + 4.750%, 7.401%, 3/21/2025(a) | 13,933,061 | ||||||
9,716,000 | Project Alpha Intermediate Holding, Inc., 2019 Incremental Term Loan B,3-month LIBOR + 4.250%, 6.780%, 4/26/2024(a) | 9,703,855 | ||||||
13,863,176 | Quest Software U.S. Holdings, Inc., 2018 1st Lien Term Loan,3-month LIBOR + 4.250%, 6.833%, 5/16/2025(a) | 13,603,241 | ||||||
15,530,000 | Rocket Software, Inc., 2018 Term Loan,1-month LIBOR + 4.250%, 6.689%, 11/28/2025(a) | 15,234,930 | ||||||
15,196,190 | SciQuest, Inc., 2017 Term Loan,1-month LIBOR + 4.000%, 6.439%, 12/28/2024(a) | 14,968,247 | ||||||
15,693,674 | Sirius Computer Solutions, Inc., 2016 Term Loan,1-month LIBOR + 4.250%, 6.689%, 10/30/2022(a) | 15,713,291 | ||||||
10,677,000 | Sirius Computer Solutions, Inc., 2019 Term Loan B, 5/20/2026(c) | 10,663,654 | ||||||
9,080,023 | SurveyMonkey, Inc., 2018 Term Loan B,1-week LIBOR + 3.750%, 6.150%, 10/10/2025(a) | 9,011,923 | ||||||
1,658,000 | Thoughtworks, Inc., 2018 1st Lien Term Loan, 10/11/2024(c) | 1,658,000 | ||||||
3,834,000 | Thoughtworks, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 4.000%, 6.439%, 10/11/2024(a) | 3,834,000 | ||||||
9,179,000 | Ultimate Software Group, Inc. (The), Term Loan B,3-month LIBOR + 3.750%, 6.274%, 5/04/2026(a) | 9,179,000 | ||||||
17,803,523 | Verifone Systems, Inc., 2018 1st Lien Term Loan,3-month LIBOR + 4.000%, 6.520%, 8/20/2025(a) | 17,554,985 | ||||||
14,112,321 | Veritas Bermuda Ltd., USD Repriced Term Loan B, LIBOR + 4.500%, 6.974%, 1/27/2023(b) | 12,829,652 | ||||||
13,494,744 | Web.com Group, Inc., 2018 Term Loan B,1-month LIBOR + 3.750%, 6.203%, 10/10/2025(a) | 13,329,434 | ||||||
|
| |||||||
349,457,513 | ||||||||
|
|
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Transportation Services — 1.7% | ||||||||
$ | 12,554,780 | AI Mistral Holdco Ltd., 2017 Term Loan B,1-month LIBOR + 3.000%, 5.439%, 3/09/2024(a) | $ | 11,048,206 | ||||
12,982,859 | Deliver Buyer, Inc., Term Loan B,3-month LIBOR + 5.000%, 7.601%, 5/01/2024(a) | 12,877,438 | ||||||
6,970,759 | Transplace Holdings, Inc., 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.180%, 10/07/2024(a) | 6,949,011 | ||||||
19,362,164 | Uber Technologies, 2018 Term Loan,1-month LIBOR + 4.000%, 6.453%, 4/04/2025(a) | 19,309,692 | ||||||
7,176,985 | Verra Mobility Corp., 2018 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.189%, 2/28/2025(a) | 7,172,535 | ||||||
|
| |||||||
57,356,882 | ||||||||
|
| |||||||
Utility Other — 0.3% | ||||||||
8,716,155 | Brookfield WEC Holdings, Inc., 2018 1st Lien Term Loan,1-month LIBOR + 3.500%, 5.939%, 8/01/2025(a) | 8,691,227 | ||||||
|
| |||||||
Wireless — 1.0% | ||||||||
33,587,391 | Asurion LLC, 2017 2nd Lien Term Loan,1-month LIBOR + 6.500%, 8.939%, 8/04/2025(a) | 34,105,309 | ||||||
|
| |||||||
Wirelines — 1.0% | ||||||||
8,509,159 | Avaya, Inc., 2018 Term Loan B,1-month LIBOR + 4.250%, 6.690%, 12/15/2024(a) | 8,323,064 | ||||||
21,142,003 | Windstream Services LLC, Repriced Term Loan B6, 3/29/2021(c) | 21,531,862 | ||||||
4,857,997 | Windstream Services LLC, Repriced Term Loan B6, Prime + 5.000%, 10.500%, 3/29/2021(a) | 4,947,578 | ||||||
|
| |||||||
34,802,504 | ||||||||
|
| |||||||
Total Senior Loans (Identified Cost $3,122,678,864) | 3,013,647,302 | |||||||
|
| |||||||
Bonds and Notes — 5.9% | ||||||||
Automotive — 0.7% | ||||||||
24,071,000 | Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A | 22,145,320 | ||||||
|
| |||||||
Chemicals — 0.9% | ||||||||
20,955,000 | Alpha 2 BV, 9.500% PIK, 8.750% Cash, 6/01/2023, 144A(j) | 20,535,900 | ||||||
14,235,000 | Hexion, Inc., 6.625%, 4/15/2020(k) | 11,388,000 | ||||||
|
| |||||||
31,923,900 | ||||||||
|
| |||||||
Financial Other — 0.6% | ||||||||
22,190,000 | Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/2023, 144A | 22,134,525 | ||||||
|
| |||||||
Independent Energy — 0.2% | ||||||||
10,675,000 | Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A(d)(e)(i)(k)(l) | 5,481,613 | ||||||
|
| |||||||
Media Entertainment — 0.4% | ||||||||
12,100,000 | Clear Channel Worldwide Holdings, Inc., 9.250%, 2/15/2024, 144A | 12,913,120 | ||||||
|
| |||||||
Metals & Mining — 0.5% | ||||||||
5,000,000 | Petra Diamonds U.S. Treasury PLC, 7.250%, 5/01/2022 | 4,787,500 |
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Metals & Mining — continued | ||||||||
$ | 13,095,000 | Petra Diamonds U.S. Treasury PLC, 7.250%, 5/01/2022, 144A | $ | 12,538,462 | ||||
|
| |||||||
17,325,962 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities — 0.3% | ||||||||
8,672,295 | Motel 6 Trust, Series 2017-M6MZ, Class M,1-month LIBOR + 6.927%, 9.366%, 8/15/2019, 144A(a) | 8,745,854 | ||||||
|
| |||||||
Oil Field Services — 0.2% | ||||||||
5,625,000 | PGS ASA, 7.375%, 12/15/2020, 144A | 5,540,625 | ||||||
|
| |||||||
Packaging — 0.5% | ||||||||
17,565,000 | ARD Finance S.A., 7.875% PIK, 7.125% Cash, 9/15/2023(j) | 17,213,700 | ||||||
|
| |||||||
Pharmaceuticals — 0.2% | ||||||||
6,800,000 | Eagle Holding Co. II LLC, 8.500% PIK, 7.750% Cash, 5/15/2022, 144A(j) | 6,842,500 | ||||||
|
| |||||||
Property & Casualty Insurance — 1.3% | ||||||||
26,085,000 | Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A | 23,802,562 | ||||||
22,593,000 | York Risk Services Holding Corp., 8.500%, 10/01/2022, 144A | 18,695,708 | ||||||
|
| |||||||
42,498,270 | ||||||||
|
| |||||||
Wirelines — 0.1% | ||||||||
5,000,000 | Windstream Services LLC/Windstream Finance Corp., 9.000%, 6/30/2025, 144A(m) | 3,312,500 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $206,101,134) | 196,077,889 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks — 0.1% | ||||||||
Energy Equipment & Services — 0.1% | ||||||||
61,854 | Ameriforge Group, Inc.(e)(f)(m) | 3,525,678 | ||||||
|
| |||||||
Specialty Retail — 0.0% | ||||||||
1,790,513 | Onsite Rental Group Pty Ltd.(d)(e)(i)(l)(m) | — | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $2,262,602) | 3,525,678 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 3.6% | ||||||||
$ | 120,473,758 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 5/31/2019 at 1.500% to be repurchased at $120,488,817 on 6/03/2019 collateralized by $121,855,000 U.S. Treasury Note, 2.750% due 11/30/2020 valued at $122,887,965 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $120,473,758) | 120,473,758 | |||||
|
| |||||||
Total Investments — 99.6% (Identified Cost $3,451,516,358) | 3,333,724,627 | |||||||
Other assets less liabilities — 0.4% | 14,074,473 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 3,347,799,100 | ||||||
|
|
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
(†) | See Note 2 of Notes to Financial Statements. | |||
(a) | Variable rate security. Rate as of May 31, 2019 is disclosed. | |||
(b) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at May 31, 2019. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. | |||
(c) | Position is unsettled. Contract rate was not determined at May 31, 2019 and does not take effect until settlement date. Maturity date is not finalized until settlement date. | |||
(d) | Securities subject to restriction on resale. At May 31, 2019, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||
Bellatrix Exploration Ltd. | May 15, 2015 | $ | 10,512,883 | $ | 5,481,613 | 0.2% | ||||||||
Onsite Rental Group Pty Ltd. | November 3, 2017 | — | — | — | ||||||||||
Onsite Rental Group Pty Ltd., Notes, 6.100%, 10/26/2023 | November 3, 2017 | 2,384,581 | 2,515,243 | 0.1% | ||||||||||
(e) | lIliquid security. | |||
(f) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At May 31, 2019, the value of these securities amounted to $15,415,587 or 0.5% of net assets. See Note 2 of Notes to Financial Statements. | |||
(g) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at May 31, 2019. | |||
(h) | Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. See Note 2 of Notes to Financial Statements. | |||
(i) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |||
(j) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended May 31, 2019, interest payments were made in cash. | |||
(k) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||
(l) | Fair valued by the Fund’s adviser. At May 31, 2019, the value of these securities amounted to $5,481,613 or 0.2% of net assets. | |||
(m) | Non-income producing security. | |||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2019, the value of Rule 144A holdings amounted to $162,688,689 or 4.9% of net assets. | |||
LIBOR | London Interbank Offered Rate | |||
PIK | Payment-in-Kind | |||
REITs | Real Estate Investment Trusts |
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of May 31, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)
Industry Summary at May 31, 2019 (Unaudited)
Technology | 10.4 | % | ||
Consumer Products | 7.8 | |||
Consumer Cyclical Services | 7.5 | |||
Automotive | 5.9 | |||
Industrial Other | 5.8 | |||
Retailers | 5.1 | |||
Healthcare | 4.2 | |||
Building Materials | 3.8 | |||
Internet & Data | 3.6 | |||
Media Entertainment | 3.5 | |||
Property & Casualty Insurance | 3.5 | |||
Restaurants | 3.1 | |||
Financial Other | 2.6 | |||
Packaging | 2.5 | |||
Chemicals | 2.2 | |||
Midstream | 2.2 | |||
Leisure | 2.1 | |||
Diversified Manufacturing | 2.1 | |||
Metals & Mining | 2.0 | |||
Other Investments, less than 2% each | 16.1 | |||
Short-Term Investments | 3.6 | |||
|
| |||
Total Investments | 99.6 | |||
Other assets less liabilities | 0.4 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
25 |
Table of Contents
Statement of Assets and Liabilities
May 31, 2019 (Unaudited)
ASSETS |
| |||
Investments at cost | $ | 3,451,516,358 | ||
Net unrealized depreciation | (117,791,731 | ) | ||
|
| |||
Investments at value | 3,333,724,627 | |||
Cash | 9,198,904 | |||
Receivable for Fund shares sold | 5,994,574 | |||
Receivable for securities sold | 84,896,467 | |||
Unfunded loan commitments sold (Note 2) | 473,810 | |||
Interest receivable | 16,255,098 | |||
Prepaid expenses (Note 7) | 246,537 | |||
|
| |||
TOTAL ASSETS | 3,450,790,017 | |||
|
| |||
LIABILITIES |
| |||
Payable for securities purchased | 89,915,218 | |||
Unfunded loan commitments (Note 2) | 822,049 | |||
Payable for Fund shares redeemed | 9,621,152 | |||
Management fees payable (Note 5) | 1,669,826 | |||
Deferred Trustees’ fees (Note 5) | 192,333 | |||
Administrative fees payable (Note 5) | 120,861 | |||
Payable to distributor (Note 5d) | 39,205 | |||
Other accounts payable and accrued expenses | 610,273 | |||
|
| |||
TOTAL LIABILITIES | 102,990,917 | |||
|
| |||
NET ASSETS | $ | 3,347,799,100 | ||
|
| |||
NET ASSETS CONSIST OF: |
| |||
Paid-in capital | $ | 3,661,823,770 | ||
Accumulated loss | (314,024,670 | ) | ||
|
| |||
NET ASSETS | $ | 3,347,799,100 | ||
|
| |||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||
Class A shares: |
| |||
Net assets | $ | 407,768,032 | ||
|
| |||
Shares of beneficial interest | 43,011,866 | |||
|
| |||
Net asset value and redemption price per share | $ | 9.48 | ||
|
| |||
Offering price per share (100/96.50 of net asset value) (Note 1) | $ | 9.82 | ||
|
| |||
Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||
Net assets | $ | 287,640,332 | ||
|
| |||
Shares of beneficial interest | 30,441,062 | |||
|
| |||
Net asset value and offering price per share | $ | 9.45 | ||
|
| |||
Class N shares: |
| |||
Net assets | $ | 178,562 | ||
|
| |||
Shares of beneficial interest | 18,814 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 9.49 | ||
|
| |||
Class Y shares: |
| |||
Net assets | $ | 2,652,212,174 | ||
|
| |||
Shares of beneficial interest | 279,446,239 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 9.49 | ||
|
|
See accompanying notes to financial statements.
| 26
Table of Contents
Statement of Operations
For the Six Months Ended May 31, 2019 (Unaudited)
INVESTMENT INCOME |
| |||
Interest | $ | 124,736,190 | ||
|
| |||
Expenses |
| |||
Management fees (Note 5) | 10,453,484 | |||
Service and distribution fees (Note 5) | 2,102,060 | |||
Administrative fees (Note 5) | 770,469 | |||
Trustees’ fees and expenses (Note 5) | 76,146 | |||
Transfer agent fees and expenses (Notes 5 and 6) | 1,325,338 | |||
Audit and tax services fees | 43,798 | |||
Commitment fees (Note 7) | 970,185 | |||
Custodian fees and expenses | 205,301 | |||
Interest expense (Note 8) | 348,741 | |||
Legal fees | 56,548 | |||
Registration fees | 78,352 | |||
Shareholder reporting expenses | 95,844 | |||
Miscellaneous expenses (Note 7) | 328,218 | |||
|
| |||
Total expenses | 16,854,484 | |||
Less waiver and/or expense reimbursement (Note 5) | (459,052 | ) | ||
|
| |||
Net expenses | 16,395,432 | |||
|
| |||
Net investment income | 108,340,758 | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized loss on: | ||||
Investments | (59,825,943 | ) | ||
Net change in unrealized appreciation (depreciation) on: |
| |||
Investments | 3,442,234 | |||
|
| |||
Net realized and unrealized loss on investments | (56,383,709 | ) | ||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 51,957,049 | ||
|
|
See accompanying notes to financial statements.
27 |
Table of Contents
Statement of Changes in Net Assets
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 108,340,758 | $ | 205,111,045 | ||||
Net realized loss on investments | (59,825,943 | ) | (15,079,426 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 3,442,234 | (95,731,738 | ) | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 51,957,049 | 94,299,881 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | (13,780,481 | ) | (30,019,384 | ) | ||||
Class C | (8,272,547 | ) | (16,020,827 | ) | ||||
Class N | (8,538 | ) | (7,205 | ) | ||||
Class Y | (87,025,848 | ) | (163,640,047 | ) | ||||
|
|
|
| |||||
Total distributions | (109,087,414 | ) | (209,687,463 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | (566,185,262 | ) | 1,137,846,584 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (623,315,627 | ) | 1,022,459,002 | |||||
NET ASSETS |
| |||||||
Beginning of the period | 3,971,114,727 | 2,948,655,725 | ||||||
|
|
|
| |||||
End of the period | $ | 3,347,799,100 | $ | 3,971,114,727 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 28
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
Class A | ||||||||||||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Year Ended November 30, 2017 | Year Ended November 30, 2016 | Year Ended November 30, 2015 | Year Ended November 30, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 9.62 | $ | 9.89 | $ | 9.88 | $ | 9.69 | $ | 10.40 | $ | 10.56 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.29 | 0.53 | 0.51 | 0.56 | 0.55 | 0.58 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.14 | ) | (0.26 | ) | 0.03 | 0.21 | (0.68 | ) | (0.14 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.15 | 0.27 | 0.54 | 0.77 | (0.13 | ) | 0.44 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.29 | ) | (0.54 | ) | (0.53 | ) | (0.58 | ) | (0.58 | ) | (0.60 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 9.48 | $ | 9.62 | $ | 9.89 | $ | 9.88 | $ | 9.69 | $ | 10.40 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b) | 1.62 | %(c)(d) | 2.78 | % | 5.53 | %(c) | 8.31 | %(c) | (1.33 | )%(c) | 4.22 | %(c) | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 407,768 | $ | 532,551 | $ | 450,633 | $ | 367,850 | $ | 361,834 | $ | 317,293 | ||||||||||||
Net expenses | 1.07 | %(e)(f)(g) | 1.05 | % | 1.05 | %(f) | 1.05 | %(f) | 1.07 | %(f)(h) | 1.10 | %(f)(i) | ||||||||||||
Gross expenses | 1.10 | %(e)(g) | 1.05 | % | 1.08 | % | 1.13 | % | 1.08 | %(h) | 1.11 | %(i) | ||||||||||||
Net investment income | 6.09 | %(e) | 5.42 | % | 5.14 | % | 5.84 | % | 5.45 | % | 5.48 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 65 | % | 87 | % | 75 | % | 67 | % | 107 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 1.05% and the ratio of gross expenses would have been 1.08%. |
(h) | Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 1.05% and the ratio of gross expenses would have been 1.06%. |
(i) | Includes interest expense of 0.05%. Without this expense the ratio of net expenses would have been 1.05% and the ratio of gross expenses would have been 1.06%. |
See accompanying notes to financial statements.
29 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Class C | ||||||||||||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Year Ended November 30, 2017 | Year Ended November 30, 2016 | Year Ended November 30, 2015 | Year Ended November 30, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 9.59 | $ | 9.86 | $ | 9.85 | $ | 9.67 | $ | 10.38 | $ | 10.53 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.25 | 0.46 | 0.43 | 0.49 | 0.48 | 0.50 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.13 | ) | (0.26 | ) | 0.03 | 0.20 | (0.68 | ) | (0.13 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.12 | 0.20 | 0.46 | 0.69 | (0.20 | ) | 0.37 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.47 | ) | (0.45 | ) | (0.51 | ) | (0.51 | ) | (0.52 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 9.45 | $ | 9.59 | $ | 9.86 | $ | 9.85 | $ | 9.67 | $ | 10.38 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b) | 1.24 | %(c)(d) | 2.02 | % | 4.76 | %(c) | 7.41 | %(c) | (2.06 | )%(c) | 3.47 | %(c) | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 287,640 | $ | 337,088 | $ | 318,635 | $ | 300,811 | $ | 287,330 | $ | 215,189 | ||||||||||||
Net expenses | 1.82 | %(e)(f)(g) | 1.80 | % | 1.80 | %(f) | 1.80 | %(f) | 1.82 | %(f)(h) | 1.85 | %(f)(i) | ||||||||||||
Gross expenses | 1.85 | %(e)(g) | 1.80 | % | 1.83 | % | 1.88 | % | 1.83 | %(h) | 1.87 | %(i) | ||||||||||||
Net investment income | 5.34 | %(e) | 4.66 | % | 4.38 | % | 5.10 | % | 4.71 | % | 4.77 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 65 | % | 87 | % | 75 | % | 67 | % | 107 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 1.80% and the ratio of gross expenses would have been 1.83%. |
(h) | Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 1.80% and the ratio of gross expenses would have been 1.81%. |
(i) | Includes interest expense of 0.05%. Without this expense the ratio of net expenses would have been 1.80% and the ratio of gross expenses would have been 1.82%. |
See accompanying notes to financial statements.
| 30
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Class N | ||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Period Ended November 30, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 9.63 | $ | 9.90 | $ | 9.96 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.30 | 0.57 | 0.37 | |||||||||
Net realized and unrealized gain (loss) | (0.13 | ) | (0.27 | ) | (0.05 | ) | ||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.17 | 0.30 | 0.32 | |||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.31 | ) | (0.57 | ) | (0.38 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 9.49 | $ | 9.63 | $ | 9.90 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 1.77 | %(c) | 3.08 | % | 3.28 | %(c) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 179 | $ | 191 | $ | 104 | ||||||
Net expenses(d) | 0.77 | %(e)(f) | 0.74 | % | 0.75 | %(e) | ||||||
Gross expenses | 0.83 | %(e)(f) | 0.95 | % | 0.92 | %(e) | ||||||
Net investment income | 6.41 | %(e) | 5.77 | % | 5.63 | %(e) | ||||||
Portfolio turnover rate | 22 | % | 65 | % | 87 | %(g) |
* | From commencement of Class operations on March 31, 2017 through November 30, 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) | Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 0.75% and the ratio of gross expenses would have been 0.81%. |
(g) | Represents the Fund’s portfolio turnover rate for the year ended November 30, 2017. |
See accompanying notes to financial statements.
31 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Class Y | ||||||||||||||||||||||||
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | Year Ended November 30, 2017 | Year Ended November 30, 2016 | Year Ended November 30, 2015 | Year Ended November 30, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 9.63 | $ | 9.90 | $ | 9.89 | $ | 9.70 | $ | 10.41 | $ | 10.56 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.30 | 0.56 | 0.54 | 0.59 | 0.58 | 0.61 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.14 | ) | (0.26 | ) | 0.02 | 0.21 | (0.68 | ) | (0.13 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.16 | 0.30 | 0.56 | 0.80 | (0.10 | ) | 0.48 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.30 | ) | (0.57 | ) | (0.55 | ) | (0.61 | ) | (0.61 | ) | (0.63 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 9.49 | $ | 9.63 | $ | 9.90 | $ | 9.89 | $ | 9.70 | $ | 10.41 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 1.75 | %(b)(c) | 3.03 | % | 5.79 | %(b) | 8.58 | %(b) | (1.08 | )%(b) | 4.49 | %(b) | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 2,652,212 | $ | 3,101,286 | $ | 2,179,284 | $ | 1,458,394 | $ | 1,293,175 | $ | 1,022,193 | ||||||||||||
Net expenses | 0.82 | %(d)(e)(f) | 0.80 | % | 0.80 | %(e) | 0.80 | %(e) | 0.82 | %(e)(g) | 0.85 | %(e)(h) | ||||||||||||
Gross expenses | 0.85 | %(d)(f) | 0.80 | % | 0.83 | % | 0.88 | % | 0.83 | %(g) | 0.87 | %(h) | ||||||||||||
Net investment income | 6.34 | %(d) | 5.70 | % | 5.41 | % | 6.09 | % | 5.69 | % | 5.76 | % | ||||||||||||
Portfolio turnover rate | 22 | % | 65 | % | 87 | % | 75 | % | 67 | % | 107 | % |
(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) | Computed on an annualized basis for periods less than one year. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 0.80% and the ratio of gross expenses would have been 0.83%. |
(g) | Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 0.80% and the ratio of gross expenses would have been 0.81%. |
(h) | Includes interest expense of 0.05%. Without this expense the ratio of net expenses would have been 0.80% and the ratio of gross expenses would have been 0.82%. |
See accompanying notes to financial statements.
| 32
Table of Contents
May 31, 2019 (Unaudited)
1. Organization. Natixis Funds Trust II (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 anopen-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. Information presented in this report pertains to Loomis Sayles Senior Floating Rate and Fixed Income Fund (the “Fund”).
The Fund is anon-diversified investment company.
The Fund offers Class A, Class C, Class N and Class Y shares. Class A shares are sold with a maximumfront-end sales charge of 3.50%. Class C shares do not pay afront-end sales charge, pay higher Rule12b-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 afront-end sales charge, a CDSC or Rule12b-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 Fund’s prospectus.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV 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 bornepro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule12b-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 Rule12b-1 Plan. Shares of each class would receive theirpro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The Fund’s financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to
33 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
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 Fund’s 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:
Senior loans are valued at bid prices supplied by an independent pricing service, if available. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or
| 34
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of May 31, 2019, securities held by the Fund were fair valued as follows:
Securities | Percentage | Securities fair | Percentage | |||||||||||
$15,415,587 | 0.5 | % | $ | 5,481,613 | 0.2 | % |
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded onex-dividend date, or in the case of certain foreign securities, as soon as the Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income,non-class specific expenses and realized and unrealized gains and losses are allocated on apro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Federal and Foreign Income Taxes. The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of May 31, 2019 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably
35 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
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 Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
The Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statement of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statement of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statement of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statement of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statement of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to the Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statement of Assets and Liabilities and are recorded as a realized gain when received.
d. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on theex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as premium amortization, deferred Trustees’ fees, partnership basis adjustments, distributions in excess of income and/or capital gain and paydown gains and losses. 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 Statement of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales and premium amortization. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Fund’s fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
| 36
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended November 30, 2018 was as follows:
2018 Distributions Paid From: | ||||||||
Ordinary | Long-Term | Total | ||||||
$ 209,687,463 | $ | — | $ | 209,687,463 |
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 Statement of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed inper-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 November 30, 2018, capital loss carryforwards were as follows:
Capital loss carryforward: | ||||
Short-term: | ||||
No expiration date | $ | (27,375,028 | ) | |
Long-term: | ||||
No expiration date | (106,302,573 | ) | ||
|
| |||
Total capital loss carryforward | $ | (133,677,601 | ) | |
|
|
As of May 31, 2019, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Federal tax cost | $ | 3,452,658,592 | ||
|
| |||
Gross tax appreciation | $ | 33,356,790 | ||
Gross tax depreciation | (152,290,755 | ) | ||
|
| |||
Net tax depreciation | $ | (118,933,965 | ) | |
|
|
Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.
e. Repurchase Agreements. The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of
37 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of May 31, 2019, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statement of Assets and Liabilities for financial reporting purposes.
f. Unfunded Loan Commitments. The Fund may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statement of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may arise due to changes in the value of the unfunded loan commitments.
As of May 31, 2019, the Fund had unfunded loan commitments reflected on the Statement of Assets and Liabilities, which could be extended at the option of the borrower, pursuant to loan agreements with the following borrowers:
Borrower | Type | Principal Amount | ||||
Mister Car Wash Holdings | 2019 Delayed Draw Term Loan | $ | 822,049 | |||
|
|
Under the terms of the contract, the Fund has the option to assign (sell) all or a portion of the unfunded loan commitment. Upon the completion of such assignment, the Fund is released from its rights and obligations pertaining to the portion of the unfunded loan commitment assigned. When the Fund sells a portion of an unfunded loan commitment, the portion sold is removed from the Portfolio of Investments and the unsettled amount is reflected as unfunded loan commitments sold on the Statement of Assets and Liabilities until settlement date. Once settled, the portion of the unfunded loan commitment assigned is relieved from the Fund’s unfunded loan commitments liability.
As of May 31, 2019, an unsettled sale of $473,810 of the unfunded loan commitment, is reflected on the Statement of Assets and Liabilities, net of realized loss on the transaction.
g. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The
| 38
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
h. New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU)No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities acquired at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities acquired at a discount, which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management has evaluated the application of this provision and has determined the impact to be immaterial to the Fund.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser,
39 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a summary of the inputs used to value the Fund’s investments as of May 31, 2019, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans | ||||||||||||||||
Independent Energy | $ | — | $ | 17,022,919 | $ | 16,987,472 | (b) | $ | 34,010,391 | |||||||
All Other Senior Loans(a) | — | 2,979,636,911 | — | 2,979,636,911 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Senior Loans | — | 2,996,659,830 | 16,987,472 | 3,013,647,302 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Bonds and Notes | ||||||||||||||||
Independent Energy | — | — | 5,481,613 | (c) | 5,481,613 | |||||||||||
All Other Bonds and Notes(a) | — | 190,596,276 | — | 190,596,276 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 190,596,276 | 5,481,613 | 196,077,889 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Energy Equipment & Services | — | 3,525,678 | — | 3,525,678 | ||||||||||||
Specialty Retail | — | — | — | (d) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | — | 3,525,678 | — | 3,525,678 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 120,473,758 | — | 120,473,758 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 3,311,255,542 | $ | 22,469,085 | $ | 3,333,724,627 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Valued using broker-dealer bid prices. |
(c) | Fair valued by the Fund’s adviser. |
(d) | Fair valued at zero by the Fund’s adviser using level 3 inputs. |
| 40
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of November 30, 2018 and/or May 31, 2019:
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Senior Loans | ||||||||||||||||||||
Independent Energy | $ | — | $ | 6,517 | $ | — | $ | (2,995,133 | ) | $ | — | |||||||||
Bonds and Notes | ||||||||||||||||||||
Independent Energy | — | 19,859 | — | (2,007,117 | ) | — | ||||||||||||||
Common Stocks | ||||||||||||||||||||
Specialty Retail | — | (a) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | — | $ | 26,376 | $ | — | $ | (5,002,250 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investments in Securities | Sales | Transfers | Transfers | Balance as of | Change in | |||||||||||||||
Senior Loans | ||||||||||||||||||||
Independent Energy | $ | — | $ | 19,976,088 | $ | — | $ | 16,987,472 | $ | (2,995,133 | ) | |||||||||
Bonds and Notes | ||||||||||||||||||||
Independent Energy | — | 7,468,871 | — | 5,481,613 | (2,007,117 | ) | ||||||||||||||
Common Stocks | ||||||||||||||||||||
Specialty Retail | — | — | — | — | (a) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | — | $ | 27,444,959 | $ | — | $ | 22,469,085 | $ | (5,002,250 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Fair valued at zero. |
A debt security valued at $19,976,088 was transferred from Level 2 to Level 3 during the period ended May 31, 2019. At November 30, 2018, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At May 31, 2019 this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security.
A debt security valued at $7,468,871 was transferred from Level 2 to Level 3 during the period ended May 31, 2019. At November 30, 2018, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At May 31, 2019, this security was
41 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
All transfers are recognized as of the beginning of the reporting period.
4. Purchases and Sales of Securities. For the six months ended May 31, 2019, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $727,155,986 and $1,214,085,786, respectively.
5. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to the Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.60%, calculated daily and payable monthly, based on the Fund’s average daily managed assets, which include borrowings used for leverage.
Loomis Sayles has given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. This undertaking is in effect until March 31, 2020, may be terminated before then only with the consent of the Fund’s Board of Trustees, and is reevaluated on an annual basis. Management fees payable, as reflected on the Statement of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to this undertaking. Waivers/reimbursements that exceed management fees payable are reflected on the Statement of Assets and Liabilities as receivable from investment adviser.
For the six months ended May 31, 2019, 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 | ||||||||||||
Class A | Class C | Class N | Class Y | |||||||||
1.05% | 1.80% | 0.75% | 0.80% |
Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreement (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below 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.
| 42
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
For the six months ended May 31, 2019, the management fees and waiver of management fees for the Fund were as follows:
Gross | Contractual | Net | Percentage of | |||||||||||||||
Gross | Net | |||||||||||||||||
$10,453,484 | $ | 440,556 | $ | 10,012,928 | 0.60 | % | 0.57 | % |
1 | Management fee waiver is subject to possible recovery until November 30, 2020. |
No expenses were recovered for the Fund during the six months ended May 31, 2019 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 agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to the Fund’s Class A shares (the “Class A Plan”) and a Distribution and Service Plan relating to the Fund’s Class C shares (the “Class C Plan”).
Under the Class A Plan, the Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plan, the Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plan, the Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
For the six months ended May 31, 2019, the service and distribution fees for the Fund were as follows:
Service Fees | Distribution Fees | |||||||
Class A | Class C | Class C | ||||||
$ 565,225 | $384,209 | $1,152,626 |
43 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
c. Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Fund and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve assub-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, the Fund pays Natixis Advisors monthly itspro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, 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.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving assub-administrator to the Fund. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Fund in an amount equal to the reduction insub-administrative fees discussed above. The waiver is in effect through June 30, 2019.
For the six months ended May 31, 2019, the administrative fees for the Fund were as follows:
Gross | Waiver of | Net | ||||||||
$ | 770,469 | $ | 18,422 | $ | 752,047 |
Effective July 1, 2019, 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.
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 Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to
| 44
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
these intermediaries. The reimbursement amounts(sub-transfer agent fees) paid to Natixis Distribution are subject to a currentper-account equivalent fee limit approved by the Fund’s Board of Trustees, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers. Class N shares do not bear such expenses.
For the six months ended May 31, 2019, thesub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $1,177,925.
As of May 31, 2019, the Fund owes Natixis Distribution $39,205 in reimbursements forsub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended May 31, 2019 amounted to $184,001.
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 $360,000. 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 $190,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. 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.
Prior to January 1, 2019, the Chairperson of the Board received a retainer fee at the annual rate of $340,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $170,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $12,000. All other Trustee fees remained unchanged.
45 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocatedpro 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 Statement of Operations. The portions of the accrued obligations allocated to the Fund under the Plan are reflected as Deferred Trustees’ fees in the Statement of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trust.
g. Affiliated Ownership. As of May 31, 2019, Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Fund representing 0.34% of the Fund’s net assets.
Investment activities of affiliated shareholders could have material impacts on the Fund.
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through March 31, 2020 and is not subject to recovery under the expense limitation agreement described above.
For the six months ended May 31, 2019, Natixis Advisors reimbursed the Fund $74 for transfer agency expenses related to Class N shares.
6. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on apro ratabasis 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 May 31, 2019, the Fund incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):
Transfer Agent Fees and Expenses | ||||||||||||
Class A | Class C | Class N | Class Y | |||||||||
$171,925 | $ | 116,964 | $ | 74 | $ | 1,036,375 |
| 46
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
7. Line of Credit. The Fund has entered into a syndicated, committed, secured line of credit with Sumitomo Mitsui Banking Corporation (the “Administrative Agent”), the Bank of Nova Scotia, Houston Branch and National Australia Bank Limited (each a “Lender” and together with the Administrative Agent “Lenders”) under which it may borrow for investment or liquidity purposes. The commitment of the Lenders to make loans to the Fund shall not exceed $500,000,000 at any one time. Under the terms of the agreement, the Lenders are entitled to a security interest in the assets of the Fund as collateral. Interest is charged to the Fund based upon the terms set forth in the agreement. In addition, a commitment fee of 0.400% per annum payable to the Administrative Agent for the account of each Lender is accrued by the Fund based on the unused portion of the line of credit. The Fund paid the Administrative Agent an upfront fee of $500,000 and an administrative agent fee of $25,000, for a total of $525,000, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statement of Operations. The unamortized balance is reflected as prepaid expenses on the Statement of Assets and Liabilities.
For the six months ended May 31, 2019, the Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $150,000,000 at a weighted average interest rate of 4.01%. Interest expense incurred was $348,741.
8. Interest Expense. The Fund may incur interest expense on cash overdrafts at the custodian or from use of the line of credit. Interest expense incurred for the six months ended May 31, 2019 is reflected on the Statement of Operations.
9. Concentration of Risk. The Fund isnon-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.
The senior loans in which the Fund expects to invest will generally not be rated investment grade by the rating agencies. Economic downturns generally increasenon-payment rates and a senior loan could lose a substantial part of its value prior to default. Senior loans are subject to credit risk, and secured loans may not be adequately collateralized. The interest rates of senior loans reset frequently, and thus senior loans are subject to interest rate risk. There may also be less public information available about senior loans as compared to other debt securities.
Senior loans are generally less liquid than many other debt securities. Transactions in senior loans may settle on a delayed basis, such that the Fund may not receive the proceeds from the sale of a loan for a substantial period of time (greater than seven days) after the sale. As a result, the proceeds related to the sale of senior loans may not be available to make additional investments or to meet the Fund’s redemption obligations until substantial period (greater than seven days) after the sale of the loans.
47 |
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of May 31, 2019, based on management’s evaluation of the shareholder account base, the Fund had accounts (including accounts owned by affiliates) representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Number of 5% Account Holders | Percentage of Ownership | |
1 | 7.35%(a) |
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 anon-discretionary customer are included in the table above. For other omnibus accounts, the Fund does 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.
(a) | Certain Fund shareholders are invested in the Fund as a result of the Fund’s inclusion in an investment portfolio model, utilized by certain third party intermediaries, developed by an affiliate of the Fund, AlphaSimplex Group (ASG), LLC. Without this model or as a result of changes in this model, these shareholder positions in the Fund may not exist or could change in a material amount. ASG has no involvement in the decisions to invest in the models provided. |
11. Capital Shares. The Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
Six Months Ended May 31, 2019 | Year Ended November 30, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 8,335,373 | $ | 79,015,898 | 35,821,259 | $ | 353,866,364 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,136,105 | 10,775,206 | 2,339,574 | 22,987,952 | ||||||||||||
Redeemed | (21,817,466 | ) | (207,178,795 | ) | (28,355,482 | ) | (278,909,553 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (12,345,988 | ) | $ | (117,387,691 | ) | 9,805,351 | $ | 97,944,763 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 2,211,812 | $ | 20,936,523 | 9,751,190 | $ | 95,970,749 | ||||||||||
Issued in connection with the reinvestment of distributions | 611,774 | 5,783,884 | 1,132,297 | 11,094,152 | ||||||||||||
Redeemed | (7,534,037 | ) | (71,282,321 | ) | (8,040,526 | ) | (79,002,100 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (4,710,451 | ) | $ | (44,561,914 | ) | 2,842,961 | $ | 28,062,801 | ||||||||
|
|
|
|
|
|
|
|
| 48
Table of Contents
Notes to Financial Statements (continued)
May 31, 2019 (Unaudited)
11. Capital Shares (continued).
Six Months Ended May 31, 2019 | Year Ended November 30, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class N | ||||||||||||||||
Issued from the sale of shares | 15,994 | $ | 152,503 | 9,577 | $ | 93,624 | ||||||||||
Issued in connection with the reinvestment of distributions | 899 | 8,538 | 734 | 7,205 | ||||||||||||
Redeemed | (17,898 | ) | (171,287 | ) | (993 | ) | (9,639 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,005 | ) | $ | (10,246 | ) | 9,318 | $ | 91,190 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 74,118,571 | $ | 705,546,912 | 204,701,790 | $ | 2,021,786,916 | ||||||||||
Issued in connection with the reinvestment of distributions | 6,624,141 | 62,888,962 | 12,085,982 | 118,800,414 | ||||||||||||
Redeemed | (123,441,274 | ) | (1,172,661,285 | ) | (114,795,631 | ) | (1,128,839,500 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (42,698,562 | ) | $ | (404,225,411 | ) | 101,992,141 | $ | 1,011,747,830 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (59,756,006 | ) | $ | (566,185,262 | ) | 114,649,771 | $ | 1,137,846,584 | ||||||||
|
|
|
|
|
|
|
|
49 |
Table of Contents
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 forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities byClosed-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 FormN-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 has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a) | (1) | Not applicable | ||
(a) | (2) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to30a-2(a) under the Investment Company Act of 1940 (17 CFR270.30a-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). |
Table of Contents
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.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | July 22, 2019 |
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: | July 22, 2019 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | July 22, 2019 |