Natixis Funds Trust II Oakmark Fund (NEFOX) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

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)

Natalie Wagner, Esq.

Natixis Distribution, LLC

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: December 31

Date of reporting period: June 30, 2021

Item 1. Reports to Stockholders.

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

Semiannual Report

June 30, 2021

Loomis Sayles International Growth Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund

Vaughan Nelson Mid Cap Fund

Vaughan Nelson Small Cap Value Fund

Table of Contents

Portfolio Review	1
Portfolio of Investments	16
Financial Statements	27
Notes to Financial Statements	58

LOOMIS SAYLES INTERNATIONAL GROWTH FUND

Managers	Symbols
Aziz V. Hamzaogullari, CFA®	Class A	LIGGX
Loomis, Sayles & Company, L.P.	Class C	LIGCX
	Class N	LIGNX
	Class Y	LIGYX

Investment Goal

The Fund’s investment goal is long-term growth of capital.

Total Returns — June 30, 2021³

							Expense Ratios4
	6 Months			Life of Fund			Gross			Net
Class Y (Inception 12/15/20)
NAV		5.25	%		6.71	%		1.35	%		0.95	%
Class A (Inception 12/15/20)
NAV		5.16			6.59			1.60			1.20
With 5.75% Maximum Sales Charge		-0.91			0.47
Class C (Inception 12/15/20)
NAV		4.66			6.06			2.35			1.95
With CDSC1		3.66			5.06
Class N (Inception 12/15/20)
NAV		5.25			6.71			1.26			0.90
Comparative Performance
MSCI ACWI ex USA Index (Net)2		9.16			11.77

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 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 ex USA Index (Net) captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 27 Emerging Markets (EM) countries. With 2,361 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.

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 4/30/22. 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.

1  |

NATIXIS OAKMARK FUND

Managers	Symbols
William C. Nygren, CFA®	Class A    NEFOX
Kevin G. Grant, CFA®	Class C    NECOX
M. Colin Hudson, CFA®	Class N    NOANX
Michael J. Mangan, CFA®	Class Y    NEOYX
Michael A. Nicolas, CFA®
Harris Associates L.P.

Investment Goal

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2021³

													Life of Class N			Expense Ratios4
	6 Months			1 Year			5 Years			10 Years						Gross			Net
Class Y (Inception 11/18/98)
NAV		25.92	%		65.19	%		17.68	%		13.83	%		—	%		0.95	%		0.95	%
Class A (Inception 5/6/31)
NAV		25.76			64.83			17.39			13.55			—			1.20			1.20
With 5.75% Maximum Sales Charge		18.50			55.34			16.01			12.88			—
Class C (Inception 5/1/95)
NAV		25.28			63.61			16.50			12.87			—			1.95			1.95
With CDSC1		24.28			62.61			16.50			12.87			—
Class N (Inception 5/1/17)
NAV		26.08			65.48			—			—			15.69			1.05			0.86
Comparative Performance
S&P 500® Index2		15.25			40.79			17.65			14.84			17.28

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 1.00% 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 4/30/22. When a Fund’s expenses are below the limitations, 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

NATIXIS OAKMARK INTERNATIONAL FUND

Managers	Symbols
David G. Herro, CFA®	Class A    NOIAX
Michael L. Manelli, CFA®	Class C    NOICX
Harris Associates L.P.	Class N    NIONX
	Class Y    NOIYX

Investment Goal

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2021⁴

													Life of Class N			Expense Ratios5
	6 Months			1 Year			5 Years			10 Years						Gross			Net
Class Y (Inception 5/1/17)
NAV1		13.78	%		54.91	%		11.96	%		6.67	%		—	%		1.11	%		0.95	%
Class A (Inception 12/15/10)
NAV		13.64			54.39			11.72			6.56			—			1.36			1.20
With 5.75% Maximum Sales Charge		7.13			45.47			10.40			5.93			—
Class C (Inception 12/15/10)
NAV		13.22			53.28			10.89			5.93			—			2.11			1.95
With CDSC2		12.22			52.28			10.89			5.93			—
Class N (Inception 5/1/17)
NAV		13.77			54.78			—			—			5.98			1.17			0.90
Comparative Performance
MSCI World ex U.S. Index (Net)3		9.92			33.60			10.36			5.70			8.63

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 Prior to the inception of Class Y shares (5/1/2017), performance is that of Class A shares and reflects the higher net expenses of that share class.

2 Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

3 MSCI World ex U.S. Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States.

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

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. When a Funds 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 Funds expense limitations.

3  |

NATIXIS U.S. EQUITY OPPORTUNITIES FUND

Managers	Symbols
Large Cap Value Segment	Class A	NEFSX
Harris Associates L.P.	Class C	NECCX
All Cap Growth Segment	Class N	NESNX
Loomis, Sayles & Company, L.P.	Class Y	NESYX

Investment Goal

The Fund seeks long-term growth of capital.

Average Annual Total Returns — June 30, 2021⁴

													Life of Class N			Expense Ratios5
	6 Months			1 Year			5 Years			10 Years						Gross			Net
Class Y (Inception 11/15/94)
NAV		18.78	%		47.66	%		20.17	%		16.11	%		—	%		0.92	%		0.92	%
Class A (Inception 7/7/94)
NAV		18.60			47.28			19.87			15.82			—			1.17			1.17
With 5.75% Maximum Sales Charge		11.79			38.81			18.46			15.13			—
Class C (Inception 7/7/94)
NAV		18.17			46.18			18.98			15.13			—			1.92			1.92
With CDSC1		17.17			45.18			18.98			15.13			—
Class N (Inception 5/1/17)
NAV		18.80			47.72			—			—			19.46			1.13			0.84
Comparative Performance
S&P 500® Index2		15.25			40.79			17.65			14.84			17.28
Russell 1000® Index3		14.95			43.07			17.99			14.90			17.64

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 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

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

3 Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

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

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. 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

VAUGHAN NELSON MID CAP FUND

Managers	Symbols
Dennis G. Alff, CFA®	Class A    VNVAX
Chad D. Fargason	Class C    VNVCX
Chris D. Wallis, CFA®	Class N    VNVNX
Vaughan Nelson Investment Management, L.P.	Class Y    VNVYX

Investment Goal

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2021³

													Life of Class N			Expense Ratios4
	6 Months			1 Year			5 Years			10 Years						Gross			Net
Class Y (Inception 10/31/08)
NAV		17.36	%		52.39	%		11.84	%		10.25	%		—	%		1.04	%		0.95	%
Class A (Inception 10/31/08)
NAV		17.24			52.07			11.56			9.97			—			1.29			1.20
With 5.75% Maximum Sales Charge		10.50			43.35			10.25			9.32			—
Class��C (Inception 10/31/08)
NAV		16.80			50.93			10.73			9.32			—			2.04			1.95
With CDSC1		15.80			49.93			10.73			9.32			—
Class N (Inception 5/1/13)
NAV		17.38			52.47			11.93			—			10.80			0.94			0.90
Comparative Performance
Russell Midcap® Value Index2		19.45			53.06			11.79			11.75			11.45

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 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

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

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 4/30/22. 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.

5  |

VAUGHAN NELSON SMALL CAP VALUE FUND

Managers	Symbols
Chris D. Wallis, CFA®	Class A    NEFJX
Stephen Davis, CFA®	Class C    NEJCX
Vaughan Nelson Investment Management, L.P.	Class N    VSCNX
	Class Y    NEJYX

Investment Goal

The Fund seeks capital appreciation.

Average Annual Total Returns — June 30, 2021³

													Life of Class N			Expense Ratios4
	6 Months			1 Year			5 Years			10 Years						Gross			Net
Class Y (Inception 8/31/06)
NAV		20.50	%		61.31	%		11.64	%		11.07	%		—	%		1.28	%		1.05	%
Class A (Inception 12/31/96)
NAV		20.37			60.86			11.37			10.79			—			1.53			1.30
With 5.75% Maximum Sales Charge		13.44			51.64			10.06			10.13			—
Class C (Inception 12/31/96)
NAV		20.02	5		59.65			10.54			10.13			—			2.28			2.05
With CDSC1		19.02			58.65			10.54			10.13			—
Class N (Inception 5/1/17)
NAV		20.55			61.40			—			—			10.40			6.54			1.00
Comparative Performance
Russell 2000® Value Index2		26.69			73.28			13.62			10.85			10.43

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 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

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

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 4/30/22. 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.

5 Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total returns may differ from the total returns reported in the financial highlights. The returns presented in the table are what an investor would have actually experienced.

|  6

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

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

7  |

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 January 1, 2021 through June 30, 2021. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

LOOMIS SAYLES INTERNATIONAL GROWTH FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,051.60		$6.10
Hypothetical (5% return before expenses)		$1,000.00		$1,018.84		$6.01
Class C
Actual		$1,000.00		$1,046.60		$9.90
Hypothetical (5% return before expenses)		$1,000.00		$1,015.13		$9.74
Class N
Actual		$1,000.00		$1,052.50		$4.58
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$4.51
Class Y
Actual		$1,000.00		$1,052.50		$4.83
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

|  8

NATIXIS OAKMARK FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,257.60		$6.72
Hypothetical (5% return before expenses)		$1,000.00		$1,018.84		$6.01
Class C
Actual		$1,000.00		$1,252.80		$10.89
Hypothetical (5% return before expenses)		$1,000.00		$1,015.13		$9.74
Class N
Actual		$1,000.00		$1,260.80		$4.82
Hypothetical (5% return before expenses)		$1,000.00		$1,020.53		$4.31
Class Y
Actual		$1,000.00		$1,259.20		$5.27
Hypothetical (5% return before expenses)		$1,000.00		$1,020.13		$4.71

^*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.86% 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 (181), divided by 365 (to reflect the half-year period).

NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,136.40		$6.36
Hypothetical (5% return before expenses)		$1,000.00		$1,018.84		$6.01
Class C
Actual		$1,000.00		$1,132.20		$10.31
Hypothetical (5% return before expenses)		$1,000.00		$1,015.13		$9.74
Class N
Actual		$1,000.00		$1,137.70		$4.77
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$4.51
Class Y
Actual		$1,000.00		$1,137.80		$5.04
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76

^*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

9  |

NATIXIS U.S. EQUITY OPPORTUNITIES FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,186.00		$6.29
Hypothetical (5% return before expenses)		$1,000.00		$1,019.04		$5.81
Class C
Actual		$1,000.00		$1,181.70		$10.33
Hypothetical (5% return before expenses)		$1,000.00		$1,015.32		$9.54
Class N
Actual		$1,000.00		$1,188.00		$4.61
Hypothetical (5% return before expenses)		$1,000.00		$1,020.58		$4.26
Class Y
Actual		$1,000.00		$1,187.80		$4.94
Hypothetical (5% return before expenses)		$1,000.00		$1,020.28		$4.56

^*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.16%, 1.91%, 0.85% and 0.91% 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 (181), divided by 365 (to reflect the half-year period).

VAUGHAN NELSON MID CAP FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,172.40		$6.46
Hypothetical (5% return before expenses)		$1,000.00		$1,018.84		$6.01
Class C
Actual		$1,000.00		$1,168.00		$10.48
Hypothetical (5% return before expenses)		$1,000.00		$1,015.13		$9.74
Class N
Actual		$1,000.00		$1,173.80		$4.85
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$4.51
Class Y
Actual		$1,000.00		$1,173.60		$5.12
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76

^*  Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

|  10

VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,203.70		$7.10
Hypothetical (5% return before expenses)		$1,000.00		$1,018.35		$6.51
Class C
Actual		$1,000.00		$1,199.00		$11.18	**
Hypothetical (5% return before expenses)		$1,000.00		$1,014.63		$10.24
Class N
Actual		$1,000.00		$1,205.50		$5.47
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01
Class Y
Actual		$1,000.00		$1,205.00		$5.74
Hypothetical (5% return before expenses)		$1,000.00		$1,019.59		$5.26

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.30%, 2.05%, 1.00% and 1.05% 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 (181), divided by 365 (to reflect the half-year period).

** Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes. Amounts expressed in the table include the effect of such adjustments.

11  |

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and 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. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. 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 at its June Board meeting. The Loomis Sayles International Growth Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory agreement is effective until December 15, 2022.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (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 and sub-advisory fees 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 limitations and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the 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, liquidity 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 of funds 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, the Trustees are periodically provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings, both at the Board and at the Committee level.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2021. In the case of Vaughan Nelson Mid Cap Fund and Vaughan Nelson Small Cap Value Fund, the Board approved the Agreements with an amendment that reduced each Fund’s advisory and sub-advisory fee effective July 1, 2021. 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 also considered their experience with other funds advised or sub-advised by the Adviser, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the Natixis family of funds.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

|  12

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 Natixis Oakmark Fund, Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund, Vaughan Nelson Mid Cap Fund, and Vaughan Nelson Small Cap Value Fund (the “Existing 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, 2020, each Existing Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

	One-Year			Three-Year			Five-Year
Natixis Oakmark Fund		71	%		94	%		71	%
Natixis Oakmark International Fund		87	%		97	%		69	%
Natixis U.S. Equity Opportunities Fund		85	%		92	%		77	%
Vaughan Nelson Mid Cap Fund		53	%		61	%		84	%
Vaughan Nelson Small Cap Value Fund		57	%		62	%		77	%

In the case of each 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 Fund’s investment objective and policies; (2) that the Fund’s more recent performance (i.e., for periods ending March 31, 2021) had improved relative to its category; (3) that effective March 31, 2021, the Fund had been assigned to a different category by the independent third-party data provider, which has resulted in significantly improved relative performance and is expected to result in more relevant performance comparisons; and (4) the Adviser’s deep value investment strategy is expected to result in cyclical underperformance from time to time, but that this style of investing is showing improved performance generally, which is expected to help the Fund’s performance. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the Covid-19 crisis.

The Trustees also considered 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 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, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory and sub-advisory fees, 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 demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that all of the Funds included have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for all of the Funds under their expense limitation agreements. They further noted that management had proposed to reduce the expense limitations for Natixis Oakmark Fund, Natixis Oakmark International Fund,

13  |

Vaughan Nelson Mid Cap Fund, and Vaughan Nelson Small Cap Value Fund on all share classes, effective as of July 1, 2021. The Trustees also noted that management had proposed to reduce the advisory fee rate for Vaughan Nelson Mid Cap Fund and Vaughan Nelson Small Cap Value Fund.

The Trustees noted that certain of the Funds had total advisory fee rates that were 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 rates, including: (1) that the advisory fee was only five basis points higher than the median of a peer group of funds, which management believes is appropriate given the fund’s multi-manager structure and portfolio managers; (2) that management had proposed to reduce the expense limitations of the Fund; and (3) that management had proposed to reduce the advisory fee of the Fund.

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 how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers, LLC 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 limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that Natixis Oakmark Fund, Natixis Oakmark International Fund and Vaughan Nelson Mid Cap Fund had breakpoints in their advisory fees and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitations for Natixis Oakmark Fund, Natixis Oakmark International Fund, Vaughan Nelson Mid Cap Fund, and Vaughan Nelson Small Cap Value Fund. 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 certain Advisers had made into their businesses.

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

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

• The effect of recent market and economic events, including but not limited to the Covid-19 crisis and its significant disruptions to the economy and business operations, 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, reflecting the reduction in the advisory fee and sub-advisory fee for Vaughan Nelson Mid Cap Fund and Vaughan Nelson Small Cap Value Fund, described above, should be continued through June 30, 2022.

|  14

LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2020 and ending December 31, 2020 (including updates through June 30, 2021)

Effective December 1, 2018 (December 15, 2020, for the Loomis Sayles International Growth Fund), the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

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

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

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). None of the Funds has established an HLIM.

During the period from January 1, 2020 to December 31, 2020, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

During the period January 1, 2021 through June 30, 2021, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board is operating effectively. The Program Administrators have also monitored, assessed and managed each Fund’s liquidity risk regularly throughout the period.

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

15  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles International Growth Fund

Shares		Description	Value (†)
	Common Stocks — 97.4% of Net Assets
		Argentina — 6.3%
	1,051	MercadoLibre, Inc.(a)	$	1,637,237
		Australia — 3.0%
	33,026	WiseTech Global Ltd.		789,211
		Belgium — 2.2%
	8,040	Anheuser-Busch InBev S.A.		579,594
		Brazil — 4.2%
	313,255	Ambev S.A., ADR		1,077,597
		China — 32.9%
	5,915	Alibaba Group Holding Ltd., Sponsored ADR(a)		1,341,404
	4,161	Baidu, Inc., Sponsored ADR(a)		848,428
	57,800	Budweiser Brewing Co. APAC Ltd., 144A		181,998
	456,500	Dali Foods Group Co. Ltd., 144A		272,220
	3,100	Kweichow Moutai Co. Ltd., Class A		985,053
	3,595	NXP Semiconductors NV		739,563
	22,000	Tencent Holdings Ltd.		1,656,434
	24,101	Trip.com Group Ltd., ADR(a)		854,622
	41,375	Vipshop Holdings Ltd., ADR(a)		830,810
	12,201	Yum China Holdings, Inc.		808,316
				8,518,848
		Denmark — 2.7%
	8,249	Novo Nordisk A/S, Class B		690,512
		France — 4.4%
	2,482	EssilorLuxottica S.A.		458,508
	7,379	Sodexo S.A.(a)		689,639
				1,148,147
		Germany — 3.0%
	5,548	SAP SE		779,270
		Japan — 4.6%
	4,100	FANUC Corp.		983,171
	5,300	Unicharm Corp.		213,486
				1,196,657
		Macau — 1.2%
	39,000	Galaxy Entertainment Group Ltd.(a)		311,847
		Netherlands — 4.8%
	509	Adyen NV, 144A(a)		1,248,236
		Switzerland — 16.8%
	5,480	CRISPR Therapeutics AG(a)		887,157
	6,811	Nestle S.A., (Registered)		848,971
	12,727	Novartis AG, (Registered)		1,161,040
	3,830	Roche Holding AG		1,443,289
				4,340,457
		United Kingdom — 9.4%
	6,459	Diageo PLC		309,570
	17,805	Experian PLC		687,436
	9,470	Reckitt Benckiser Group PLC		836,676
	10,119	Unilever PLC		593,064
				2,426,746
		United States — 1.9%
	4,321	Core Laboratories NV		168,303
	10,030	Schlumberger NV		321,060
				489,363
		Total Common Stocks (Identified Cost $24,613,950)		25,233,722
		Total Investments — 97.4% (Identified Cost $24,613,950)		25,233,722
		Other assets less liabilities — 2.6%		672,106
		Net Assets — 100.0%	$	25,905,828
	(†)	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 June 30, 2021, the value of Rule 144A holdings amounted to $1,702,454 or 6.6% 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.

Industry Summary at June 30, 2021 (Unaudited)

Internet & Direct Marketing Retail	18.0	%
Pharmaceuticals	12.8
Beverages	12.1
Interactive Media & Services	9.7
Hotels, Restaurants & Leisure	6.9
Software	6.0
IT Services	4.8
Food Products	4.3
Household Products	4.0
Machinery	3.8
Biotechnology	3.4
Semiconductors & Semiconductor Equipment	2.9
Professional Services	2.7
Personal Products	2.3
Other Investments, less than 2% each	3.7
Total Investments	97.4
Other assets less liabilities	2.6
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2021 (Unaudited)

United States Dollar	36.8	%
Euro	16.7
Swiss Franc	13.4
Hong Kong Dollar	9.3
British Pound	7.1
Japanese Yen	4.6
Yuan Renminbi	3.8
Australian Dollar	3.0
Danish Krone	2.7
Total Investments	97.4
Other assets less liabilities	2.6
Net Assets	100.0	%

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis Oakmark Fund

Shares		Description	Value (†)
	Common Stocks — 96.0% of Net Assets
		Aerospace & Defense — 0.9%
	14,500	General Dynamics Corp.	$	2,729,770
		Automobiles — 2.4%
	124,000	General Motors Co.(a)		7,337,080
		Banks — 7.7%
	223,300	Bank of America Corp.		9,206,659
	125,000	Citigroup, Inc.		8,843,750
	126,745	Wells Fargo & Co.		5,740,281
				23,790,690
		Beverages — 3.7%
	26,900	Constellation Brands, Inc., Class A		6,291,641
	143,604	Keurig Dr Pepper, Inc.		5,060,605
				11,352,246
		Biotechnology — 1.9%
	10,390	Regeneron Pharmaceuticals, Inc.(a)		5,803,231
		Capital Markets — 12.9%
	86,600	Bank of New York Mellon Corp. (The)		4,436,518
	119,500	Charles Schwab Corp. (The)		8,700,795
	20,000	Goldman Sachs Group, Inc. (The)		7,590,600
	23,400	Intercontinental Exchange, Inc.		2,777,580
	59,700	KKR & Co., Inc.		3,536,628
	9,085	Moody’s Corp.		3,292,131
	8,555	S&P Global, Inc.		3,511,400
	71,500	State Street Corp.		5,883,020
				39,728,672
		Consumer Finance — 9.5%
	231,200	Ally Financial, Inc.		11,523,008
	36,244	American Express Co.		5,988,596
	75,405	Capital One Financial Corp.		11,664,399
				29,176,003
		Electronic Equipment, Instruments & Components — 1.6%
	37,100	TE Connectivity Ltd.		5,016,291
		Entertainment — 2.4%
	13,750	Netflix, Inc.(a)		7,262,887
		Health Care Providers & Services — 5.5%
	55,685	CVS Health Corp.		4,646,357
	30,407	HCA Healthcare, Inc.		6,286,343
	13,535	Humana, Inc.		5,992,215
				16,924,915
		Hotels, Restaurants & Leisure — 3.9%
	2,925	Booking Holdings, Inc.(a)		6,400,163
	46,545	Hilton Worldwide Holdings, Inc.(a)		5,614,258
				12,014,421
		Industrial Conglomerates — 1.9%
	434,600	General Electric Co.		5,849,716
		Insurance — 3.4%
	130,895	American International Group, Inc.		6,230,602
	38,620	Reinsurance Group of America, Inc.		4,402,680
				10,633,282
		Interactive Media & Services — 7.1%
	4,875	Alphabet, Inc., Class A(a)		11,903,726
	29,170	Facebook, Inc., Class A(a)		10,142,701
				22,046,427
		Internet & Direct Marketing Retail — 3.1%
	104,611	eBay, Inc.		7,344,738
		Internet & Direct Marketing Retail — continued
	180,630	Qurate Retail, Inc., Class A		2,364,447
				9,709,185
		IT Services — 9.6%
	20,820	Automatic Data Processing, Inc.		4,135,269
	165,400	DXC Technology Co.(a)		6,440,676
	56,600	Fiserv, Inc.(a)		6,049,974
	30,165	Gartner, Inc.(a)		7,305,963
	5,270	MasterCard, Inc., Class A		1,924,024
	15,905	Visa, Inc., Class A		3,718,907
				29,574,813
		Machinery — 1.1%
	14,105	Cummins, Inc.		3,438,940
		Media — 4.8%
	9,715	Charter Communications, Inc., Class A(a)		7,008,887
	139,600	Comcast Corp., Class A		7,959,992
				14,968,879
		Oil, Gas & Consumable Fuels — 7.6%
	248,898	APA Corp.		5,383,664
	75,031	ConocoPhillips		4,569,388
	47,030	Diamondback Energy, Inc.		4,415,647
	110,324	EOG Resources, Inc.		9,205,434
				23,574,133
		Real Estate Management & Development — 1.0%
	36,200	CBRE Group, Inc., Class A(a)		3,103,426
		Software — 1.6%
	20,583	Workday, Inc., Class A(a)		4,913,985
		Tobacco — 1.4%
	90,000	Altria Group, Inc.		4,291,200
		Wireless Telecommunication Services — 1.0%
	21,400	T-Mobile US, Inc.(a)		3,099,362
		Total Common Stocks (Identified Cost $194,965,919)		296,339,554
Principal Amount
	Short-Term Investments — 4.2%
$	13,140,396	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $13,140,396 on 7/01/2021 collateralized by $11,787,600 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $13,403,257 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $13,140,396)		13,140,396
		Total Investments — 100.2% (Identified Cost $208,106,315)		309,479,950
		Other assets less liabilities — (0.2)%		(662,586	)
		Net Assets — 100.0%	$	308,817,364
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis Oakmark Fund – (continued)

Industry Summary at June 30, 2021 (Unaudited)

Capital Markets	12.9	%
IT Services	9.6
Consumer Finance	9.5
Banks	7.7
Oil, Gas & Consumable Fuels	7.6
Interactive Media & Services	7.1
Health Care Providers & Services	5.5
Media	4.8
Hotels, Restaurants & Leisure	3.9
Beverages	3.7
Insurance	3.4
Internet & Direct Marketing Retail	3.1
Automobiles	2.4
Entertainment	2.4
Other Investments, less than 2% each	12.4
Short-Term Investments	4.2
Total Investments	100.2
Other assets less liabilities	(0.2	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  18

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis Oakmark International Fund

Shares		Description	Value (†)
	Common Stocks — 95.6% of Net Assets
		Australia — 2.5%
	3,784,550	AMP Ltd.	$	3,193,197
	538,400	Brambles Ltd.		4,620,523
	657,768	Orica Ltd.		6,541,703
				14,355,423
		Belgium — 1.2%
	94,500	Anheuser-Busch InBev S.A.		6,812,392
		Canada — 3.3%
	771,767	Cenovus Energy, Inc.		7,383,960
	152,800	Open Text Corp.		7,759,568
	55,799	Restaurant Brands International, Inc.		3,595,687
				18,739,215
		China — 1.9%
	23,000	Alibaba Group Holding Ltd., Sponsored ADR(a)		5,215,940
	184,300	Alibaba Group Holding Ltd.(a)		5,225,610
				10,441,550
		Finland — 0.8%
	113,100	UPM-Kymmene OYJ		4,281,727
		France — 11.1%
	318,205	Accor S.A.(a)		11,902,015
	311,991	BNP Paribas S.A.(b)		19,580,440
	32,400	Capgemini SE		6,230,954
	76,180	Danone S.A.		5,359,636
	12,020	Danone S.A.		847,424
	16,945	EssilorLuxottica S.A.		3,130,304
	125,468	Publicis Groupe S.A.		8,029,323
	235,312	Valeo S.A.		7,097,832
				62,177,928
		Germany — 24.7%
	75,910	Allianz SE, (Registered)		18,943,854
	345,130	Bayer AG, (Registered)		20,982,244
	700	Bayer AG, (Registered)		42,626
	196,200	Bayerische Motoren Werke AG		20,800,244
	119,959	Continental AG(a)		17,648,509
	226,114	Daimler AG, (Registered)		20,205,229
	157,700	Fresenius Medical Care AG & Co. KGaA		13,104,270
	69,100	Fresenius SE & Co. KGaA		3,606,320
	44,400	Henkel AG & Co. KGaA		4,088,762
	74,200	SAP SE		10,422,108
	859,100	thyssenkrupp AG(a)		8,972,965
				138,817,131
		India — 1.4%
	763,475	Axis Bank Ltd.(a)		7,705,883
		Indonesia — 0.5%
	7,491,300	Bank Mandiri Persero Tbk PT		3,054,174
		Ireland — 1.2%
	59,963	Ryanair Holdings PLC, Sponsored ADR(a)		6,488,596
	24,200	Ryanair Holdings PLC(a)		458,774
				6,947,370
		Italy — 3.9%
	7,858,800	Intesa Sanpaolo SpA		21,740,082
		Japan — 2.1%
	145,200	Komatsu Ltd.		3,597,120
	93,600	Toyota Motor Corp.		8,181,954
				11,779,074
		Korea — 1.4%
	19,850	NAVER Corp.		7,365,708
		Korea — continued
	4,100	Samsung Electronics Co. Ltd.		293,503
				7,659,211
		Mexico — 1.6%
	621,800	Grupo Televisa SAB, Sponsored ADR		8,879,304
		Netherlands — 1.8%
	127,844	EXOR NV		10,259,915
		South Africa — 2.6%
	69,335	Naspers Ltd., N Shares		14,619,068
		Spain — 1.3%
	102,630	Amadeus IT Group S.A.(a)		7,235,067
		Sweden — 3.6%
	356,955	H & M Hennes & Mauritz AB, B Shares(a)		8,477,473
	239,200	SKF AB, B Shares		6,096,771
	231,300	Volvo AB, B Shares		5,574,197
				20,148,441
		Switzerland — 12.2%
	37,800	Cie Financiere Richemont S.A., (Registered)		4,582,440
	1,683,434	Credit Suisse Group AG, (Registered)(b)		17,622,061
	4,385,780	Glencore PLC(b)		18,824,159
	123,921	Holcim Ltd., (Registered)		7,448,653
	96,000	Novartis AG, (Registered)		8,757,748
	20,000	Roche Holding AG		7,536,757
	11,699	Swatch Group AG (The)		4,017,608
				68,789,426
		United Kingdom — 16.5%
	60,000	Bunzl PLC		1,984,875
	971,300	CNH Industrial NV		16,111,606
	219,000	Compass Group PLC(a)		4,613,872
	408,832	Liberty Global PLC, Class A(a)		11,103,877
	35,630,700	Lloyds Banking Group PLC		23,047,931
	3,170,400	NatWest Group PLC		8,922,383
	371,200	Prudential PLC		7,062,365
	2,103,500	Rolls-Royce Holdings PLC(a)		2,879,725
	140,189	Schroders PLC		6,817,919
	140,900	Smiths Group PLC		3,103,158
	534,200	WPP PLC		7,221,239
				92,868,950
		Total Common Stocks (Identified Cost $460,808,236)		537,311,331
Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 0.3%
	Convertible Bonds — 0.3%
		Switzerland — 0.3%
	800,000	Credit Suisse Group Guernsey VII Ltd., Series AR, 3.000%, 11/12/2021, 144A, (CHF)		967,090
	610,000	Credit Suisse Group Guernsey VII Ltd., Series BR, 3.000%, 11/12/2021, 144A, (CHF)		738,461
		Total Bonds and Notes (Identified Cost $1,547,687)		1,705,551

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis Oakmark International Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 3.6%
	20,278,547	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $20,278,547 on 7/01/2021 collateralized by $1,723,500 U.S. Treasury Bond, 4.375% due 2/15/2038 valued at $2,364,966; $16,111,000 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $18,319,241 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $20,278,547)	$	20,278,547
		Total Investments — 99.5% (Identified Cost $482,634,470)		559,295,429
		Other assets less liabilities — 0.5%		2,836,986
		Net Assets — 100.0%	$	562,132,415
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	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 June 30, 2021, the value of Rule 144A holdings amounted to $1,705,551 or 0.3% 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.
	CHF	Swiss Franc

At June 30, 2021, the Fund had the following open forward foreign currency contracts:

Counterparty	Delivery Date		Currency Bought/ Sold (B/S)		Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
State Street Bank and Trust Company		12/15/2021		CHF	$	5,999,000	$	6,703,834	$	6,513,908	$	189,926

Industry Summary at June 30, 2021 (Unaudited)

Banks	15.0	%
Automobiles	8.8
Pharmaceuticals	6.6
Machinery	5.6
Metals & Mining	5.0
Insurance	4.7
Internet & Direct Marketing Retail	4.5
Auto Components	4.4
Capital Markets	4.3
Media	4.3
Hotels, Restaurants & Leisure	3.5
Software	3.3
Health Care Providers & Services	3.0
IT Services	2.4
Diversified Financial Services	2.4
Textiles, Apparel & Luxury Goods	2.1
Diversified Telecommunication Services	2.0
Other Investments, less than 2% each	14.0
Short-Term Investments	3.6
Total Investments	99.5
Other assets less liabilities (including forward foreign currency contracts)	0.5
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2021 (Unaudited)

Euro	47.8	%
British Pound	15.0
United States Dollar	9.8
Swiss Franc	9.1
Swedish Krona	3.6
Canadian Dollar	2.7
South African Rand	2.6
Australian Dollar	2.5
Japanese Yen	2.1
Other, less than 2% each	4.3
Total Investments	99.5
Other assets less liabilities (including forward foreign currency contracts)	0.5
Net Assets	100.0	%

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis U.S. Equity Opportunities Fund

Shares		Description	Value (†)
	Common Stocks — 99.1% of Net Assets
		Aerospace & Defense — 2.1%
	90,956	Boeing Co. (The)(a)	$	21,789,419
		Air Freight & Logistics — 1.0%
	86,218	Expeditors International of Washington, Inc.		10,915,199
		Automobiles — 1.9%
	340,600	General Motors Co.(a)		20,153,302
		Banks — 6.2%
	692,160	Bank of America Corp.		28,537,757
	340,605	Citigroup, Inc.		24,097,803
	290,900	Wells Fargo & Co.		13,174,861
				65,810,421
		Beverages — 4.3%
	66,391	Constellation Brands, Inc., Class A		15,528,191
	285,400	Keurig Dr Pepper, Inc.		10,057,496
	221,045	Monster Beverage Corp.(a)		20,192,461
				45,778,148
		Biotechnology — 5.0%
	72,279	Alnylam Pharmaceuticals, Inc.(a)		12,252,736
	55,058	BioMarin Pharmaceutical, Inc.(a)		4,594,040
	64,687	CRISPR Therapeutics AG(a)		10,472,178
	46,572	Regeneron Pharmaceuticals, Inc.(a)		26,012,325
				53,331,279
		Capital Markets — 7.7%
	372,045	Charles Schwab Corp. (The)		27,088,596
	19,233	FactSet Research Systems, Inc.		6,454,787
	40,200	Moody’s Corp.		14,567,274
	16,272	MSCI, Inc.		8,674,278
	119,518	SEI Investments Co.		7,406,531
	204,600	State Street Corp.		16,834,488
				81,025,954
		Communications Equipment — 0.7%
	138,009	Cisco Systems, Inc.		7,314,477
		Consumer Finance — 4.5%
	87,100	American Express Co.		14,391,533
	213,285	Capital One Financial Corp.		32,993,057
				47,384,590
		Electronic Equipment, Instruments & Components — 1.1%
	89,400	TE Connectivity Ltd.		12,087,774
		Energy Equipment & Services — 0.8%
	264,618	Schlumberger NV		8,470,422
		Entertainment — 3.2%
	31,815	Netflix, Inc.(a)		16,805,001
	99,106	Walt Disney Co. (The)(a)		17,419,862
				34,224,863
		Health Care Equipment & Supplies — 0.5%
	6,127	Intuitive Surgical, Inc.(a)		5,634,634
		Health Care Providers & Services — 3.8%
	144,100	CVS Health Corp.		12,023,704
	73,100	HCA Healthcare, Inc.		15,112,694
	29,220	Humana, Inc.		12,936,278
				40,072,676
		Health Care Technology — 0.5%
	61,806	Cerner Corp.		4,830,757
		Hotels, Restaurants & Leisure — 5.4%
	8,665	Booking Holdings, Inc.(a)		18,959,800
	105,400	Hilton Worldwide Holdings, Inc.(a)		12,713,348
	117,751	Starbucks Corp.		13,165,739
		Hotels, Restaurants & Leisure — continued
	117,078	Yum China Holdings, Inc.		7,756,418
	42,181	Yum! Brands, Inc.		4,852,080
				57,447,385
		Household Products — 0.4%
	58,003	Colgate-Palmolive Co.		4,718,544
		Industrial Conglomerates — 1.6%
	1,236,750	General Electric Co.		16,646,655
		Insurance — 2.8%
	403,355	American International Group, Inc.		19,199,698
	92,600	Reinsurance Group of America, Inc.		10,556,400
				29,756,098
		Interactive Media & Services — 10.8%
	18,653	Alphabet, Inc., Class A(a)		45,546,709
	5,967	Alphabet, Inc., Class C(a)		14,955,212
	155,602	Facebook, Inc., Class A(a)		54,104,371
				114,606,292
		Internet & Direct Marketing Retail — 5.4%
	92,379	Alibaba Group Holding Ltd., Sponsored ADR(a)		20,949,710
	10,500	Amazon.com, Inc.(a)		36,121,680
				57,071,390
		IT Services — 4.6%
	17,585	Automatic Data Processing, Inc.		3,492,733
	384,300	DXC Technology Co.(a)		14,964,642
	93,000	Fiserv, Inc.(a)		9,940,770
	87,745	Visa, Inc., Class A		20,516,536
				48,914,681
		Life Sciences Tools & Services — 1.3%
	29,097	Illumina, Inc.(a)		13,768,991
		Machinery — 1.2%
	35,511	Deere & Co.		12,525,085
		Media — 3.1%
	19,350	Charter Communications, Inc., Class A(a)		13,960,057
	326,080	Comcast Corp., Class A		18,593,082
				32,553,139
		Oil, Gas & Consumable Fuels — 3.3%
	690,541	APA Corp.		14,936,402
	238,738	EOG Resources, Inc.		19,920,298
				34,856,700
		Pharmaceuticals — 2.8%
	151,883	Novartis AG, Sponsored ADR		13,857,805
	49,958	Novo Nordisk A/S, Sponsored ADR		4,184,982
	255,994	Roche Holding AG, Sponsored ADR		12,029,158
				30,071,945
		Semiconductors & Semiconductor Equipment — 4.2%
	42,407	NVIDIA Corp.		33,929,841
	74,791	QUALCOMM, Inc.		10,689,877
				44,619,718
		Software — 8.0%
	81,150	Autodesk, Inc.(a)		23,687,685
	51,477	Microsoft Corp.		13,945,119
	260,013	Oracle Corp.		20,239,412
	55,993	salesforce.com, Inc.(a)		13,677,410
	54,257	Workday, Inc., Class A(a)		12,953,316
				84,502,942
		Textiles, Apparel & Luxury Goods — 0.9%
	437,498	Under Armour, Inc., Class A(a)		9,253,083
		Total Common Stocks (Identified Cost $612,778,268)		1,050,136,563

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 1.1%
$	11,145,029	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $11,145,029 on 7/01/2021 collateralized by $2,311,100 U.S. Treasury Bond, 4.250% due 5/15/2039 valued at $3,151,222; $7,226,300 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $8,216,767 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,145,029)	$	11,145,029
		Total Investments — 100.2% (Identified Cost $623,923,297)		1,061,281,592
		Other assets less liabilities — (0.2)%		(1,777,110	)
		Net Assets — 100.0%	$	1,059,504,482
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at June 30, 2021 (Unaudited)

Interactive Media & Services	10.8	%
Software	8.0
Capital Markets	7.7
Banks	6.2
Hotels, Restaurants & Leisure	5.4
Internet & Direct Marketing Retail	5.4
Biotechnology	5.0
IT Services	4.6
Consumer Finance	4.5
Beverages	4.3
Semiconductors & Semiconductor Equipment	4.2
Health Care Providers & Services	3.8
Oil, Gas & Consumable Fuels	3.3
Entertainment	3.2
Media	3.1
Pharmaceuticals	2.8
Insurance	2.8
Aerospace & Defense	2.1
Other Investments, less than 2% each	11.9
Short-Term Investments	1.1
Total Investments	100.2
Other assets less liabilities	(0.2	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Vaughan Nelson Mid Cap Fund

Shares		Description	Value (†)
	Common Stocks — 97.7% of Net Assets
		Banks — 5.2%
	123,275	Bank of N.T. Butterfield & Son Ltd. (The)	$	4,370,098
	416,866	Huntington Bancshares, Inc.		5,948,678
	150,930	PacWest Bancorp		6,212,279
				16,531,055
		Beverages — 1.0%
	13,130	Constellation Brands, Inc., Class A		3,070,976
		Building Products — 0.7%
	16,820	Allegion PLC		2,343,026
		Capital Markets — 5.6%
	53,365	Ares Management Corp., Class A		3,393,480
	237,265	Brightsphere Investment Group, Inc.		5,559,119
	19,520	Nasdaq, Inc.		3,431,616
	41,300	Raymond James Financial, Inc.		5,364,870
				17,749,085
		Chemicals — 4.1%
	151,840	Axalta Coating Systems Ltd.(a)		4,629,601
	57,610	FMC Corp.		6,233,402
	20,510	LyondellBasell Industries NV, Class A		2,109,864
				12,972,867
		Communications Equipment — 3.0%
	43,840	Motorola Solutions, Inc.		9,506,704
		Construction & Engineering — 1.9%
	218,615	WillScot Mobile Mini Holdings Corp.(a)		6,092,800
		Consumer Finance — 2.1%
	135,970	Synchrony Financial		6,597,264
		Containers & Packaging — 3.1%
	17,930	Avery Dennison Corp.		3,769,603
	58,320	Crown Holdings, Inc.		5,960,887
				9,730,490
		Diversified Consumer Services — 1.5%
	52,370	Grand Canyon Education, Inc.(a)		4,711,729
		Electric Utilities — 1.4%
	28,210	Alliant Energy Corp.		1,572,990
	49,950	Evergy, Inc.		3,018,478
				4,591,468
		Electrical Equipment — 6.0%
	43,045	AMETEK, Inc.		5,746,507
	37,095	Hubbell, Inc.		6,930,830
	201,315	nVent Electric PLC		6,289,081
				18,966,418
		Electronic Equipment, Instruments & Components — 1.5%
	8,925	CDW Corp.		1,558,751
	21,385	Keysight Technologies, Inc.(a)		3,302,058
				4,860,809
		Food & Staples Retailing — 0.7%
	48,640	Performance Food Group Co.(a)		2,358,554
		Health Care Equipment & Supplies — 2.3%
	7,575	Cooper Cos., Inc. (The)		3,001,745
	65,505	Hologic, Inc.(a)		4,370,494
				7,372,239
		Health Care Providers & Services — 1.6%
	409,500	Aveanna Healthcare Holdings, Inc.(a)		5,065,515
		Hotels, Restaurants & Leisure — 2.4%
	206,355	Aramark		7,686,724
		Independent Power & Renewable Electricity Producers — 1.7%
	298,050	Vistra Corp.		5,528,828
		Insurance — 5.1%
	17,335	Allstate Corp. (The)		2,261,177
	19,835	Arthur J. Gallagher & Co.		2,778,487
	93,505	Athene Holding Ltd., Class A(a)		6,311,588
	41,855	Reinsurance Group of America, Inc.		4,771,470
				16,122,722
		IT Services — 5.2%
	90,660	Alliance Data Systems Corp.		9,445,865
	12,220	Global Payments, Inc.		2,291,739
	53,760	MAXIMUS, Inc.		4,729,267
				16,466,871
		Life Sciences Tools & Services — 6.0%
	16,660	Agilent Technologies, Inc.		2,462,515
	135,850	Avantor, Inc.(a)		4,824,033
	17,147	IQVIA Holdings, Inc.(a)		4,155,061
	317,640	Sotera Health Co.(a)		7,696,417
				19,138,026
		Machinery — 7.7%
	70,265	Crane Co.		6,490,378
	55,385	Oshkosh Corp.		6,903,187
	56,100	Otis Worldwide Corp.		4,587,297
	81,375	Timken Co. (The)		6,558,011
				24,538,873
		Media — 2.5%
	53,165	Nexstar Media Group, Inc., Class A		7,862,040
		Metals & Mining — 3.1%
	515,280	Constellium SE(a)		9,764,556
		Multi-Utilities — 0.9%
	23,210	Ameren Corp.		1,857,729
	19,040	CMS Energy Corp.		1,124,883
				2,982,612
		Oil, Gas & Consumable Fuels — 5.5%
	98,870	Diamondback Energy, Inc.		9,282,904
	49,315	Pioneer Natural Resources Co.		8,014,674
				17,297,578
		Pharmaceuticals — 4.1%
	376,410	Elanco Animal Health, Inc.(a)		13,057,663
		Professional Services — 2.0%
	25,075	CACI International, Inc., Class A(a)		6,397,134
		REITs – Diversified — 0.8%
	242,025	New Residential Investment Corp.		2,563,045
		Semiconductors & Semiconductor Equipment — 2.0%
	14,795	Analog Devices, Inc.		2,547,107
	10,670	CMC Materials, Inc.		1,608,396
	16,740	Entegris, Inc.		2,058,518
				6,214,021
		Software — 2.0%
	384,705	SolarWinds Corp.(a)		6,497,667
		Specialty Retail — 1.7%
	193,065	Leslie’s, Inc.(a)		5,307,357
		Textiles, Apparel & Luxury Goods — 3.3%
	207,070	Skechers U.S.A., Inc., Class A(a)		10,318,298
		Total Common Stocks (Identified Cost $240,222,270)		310,265,014

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Vaughan Nelson Mid Cap Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 2.1%
$	6,696,592	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $6,696,592 on 7/01/2021 collateralized by $6,007,200 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $6,830,572 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,696,592)	$	6,696,592
		Total Investments — 99.8% (Identified Cost $246,918,862)		316,961,606
		Other assets less liabilities — 0.2%		492,764
		Net Assets — 100.0%	$	317,454,370
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2021 (Unaudited)

Machinery	7.7	%
Life Sciences Tools & Services	6.0
Electrical Equipment	6.0
Capital Markets	5.6
Oil, Gas & Consumable Fuels	5.5
Banks	5.2
IT Services	5.2
Insurance	5.1
Pharmaceuticals	4.1
Chemicals	4.1
Textiles, Apparel & Luxury Goods	3.3
Metals & Mining	3.1
Containers & Packaging	3.1
Communications Equipment	3.0
Media	2.5
Hotels, Restaurants & Leisure	2.4
Health Care Equipment & Supplies	2.3
Consumer Finance	2.1
Software	2.0
Professional Services	2.0
Semiconductors & Semiconductor Equipment	2.0
Other Investments, less than 2% each	15.4
Short-Term Investments	2.1
Total Investments	99.8
Other assets less liabilities	0.2
Net Assets	100.0	%

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Vaughan Nelson Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks — 98.7% of Net Assets
		Airlines — 0.8%
	36,075	Spirit Airlines, Inc.(a)	$	1,098,123
		Banks — 5.9%
	75,880	BancorpSouth Bank		2,149,680
	48,615	BankUnited, Inc.		2,075,374
	115,120	Old National Bancorp		2,027,263
	52,185	PacWest Bancorp		2,147,935
				8,400,252
		Biotechnology — 0.6%
	14,633	Emergent BioSolutions, Inc.(a)		921,733
		Building Products — 1.6%
	17,160	Builders FirstSource, Inc.(a)		732,046
	21,210	Gibraltar Industries, Inc.(a)		1,618,535
				2,350,581
		Capital Markets — 3.9%
	22,970	LPL Financial Holdings, Inc.		3,100,491
	44,705	Moelis & Co., Class A		2,543,267
				5,643,758
		Chemicals — 8.7%
	58,505	Axalta Coating Systems Ltd.(a)		1,783,818
	94,690	Chemours Co. (The)		3,295,212
	210,730	Element Solutions, Inc.		4,926,867
	22,950	FMC Corp.		2,483,190
				12,489,087
		Commercial Services & Supplies — 2.5%
	36,365	Ritchie Bros. Auctioneers, Inc.		2,155,717
	5,840	UniFirst Corp.		1,370,298
				3,526,015
		Electronic Equipment, Instruments & Components — 9.2%
	40,985	Fabrinet(a)		3,929,232
	29,580	II-VI, Inc.(a)		2,147,212
	50,970	Insight Enterprises, Inc.(a)		5,097,510
	35,475	Jabil, Inc.		2,061,807
				13,235,761
		Energy Equipment & Services — 1.4%
	24,280	ChampionX Corp.(a)		622,782
	154,360	TechnipFMC PLC(a)		1,396,958
				2,019,740
		Food & Staples Retailing — 1.7%
	49,895	Performance Food Group Co.(a)		2,419,409	��
		Food Products — 1.3%
	68,260	Nomad Foods Ltd.(a)		1,929,710
		Gas Utilities — 2.2%
	24,415	Southwest Gas Holdings, Inc.		1,616,029
	21,950	Spire, Inc.		1,586,326
				3,202,355
		Health Care Equipment & Supplies — 0.8%
	16,530	Hologic, Inc.(a)		1,102,882
		Health Care Providers & Services — 1.0%
	5,700	Molina Healthcare, Inc.(a)		1,442,442
		Hotels, Restaurants & Leisure — 5.5%
	79,345	Everi Holdings, Inc.(a)		1,978,864
	118,414	International Game Technology PLC(a)		2,837,199
	38,695	Scientific Games Corp., Class A(a)		2,996,541
				7,812,604
		Household Durables — 0.8%
	9,385	Installed Building Products, Inc.		1,148,349
		Insurance — 4.3%
	29,860	Brown & Brown, Inc.		1,586,760
	25,385	First American Financial Corp.		1,582,755
	24,590	Selective Insurance Group, Inc.		1,995,479
	65,240	Trean Insurance Group, Inc.(a)		983,819
				6,148,813
		IT Services — 4.9%
	58,995	DXC Technology Co.(a)		2,297,265
	26,475	ExlService Holdings, Inc.(a)		2,813,234
	92,930	Switch, Inc., Class A		1,961,752
				7,072,251
		Life Sciences Tools & Services — 4.3%
	70,925	Avantor, Inc.(a)		2,518,547
	39,990	Syneos Health, Inc.(a)		3,578,705
				6,097,252
		Machinery — 5.6%
	13,925	Alamo Group, Inc.		2,126,069
	74,920	Federal Signal Corp.		3,014,032
	35,330	SPX Corp.(a)		2,157,956
	24,220	Trinity Industries, Inc.		651,276
				7,949,333
		Media — 3.3%
	75,715	Sinclair Broadcast Group, Inc., Class A		2,515,252
	121,380	TEGNA, Inc.		2,277,089
				4,792,341
		Metals & Mining — 0.7%
	27,755	Arconic Corp.(a)		988,633
		Oil, Gas & Consumable Fuels — 3.6%
	91,475	Comstock Resources, Inc.(a)		610,138
	84,840	Ovintiv, Inc.		2,669,915
	19,475	PDC Energy, Inc.		891,760
	181,060	Southwestern Energy Co.(a)		1,026,610
				5,198,423
		Personal Products — 1.6%
	241,650	Coty, Inc., Class A(a)		2,257,011
		Professional Services — 5.0%
	30,520	ASGN, Inc.(a)		2,958,303
	9,385	CACI International, Inc., Class A(a)		2,394,301
	13,175	FTI Consulting, Inc.(a)		1,799,837
				7,152,441
		REITs – Hotels — 2.5%
	283,830	Sunstone Hotel Investors, Inc.(a)		3,525,169
		Road & Rail — 1.1%
	7,750	Saia, Inc.(a)		1,623,547
		Semiconductors & Semiconductor Equipment — 5.6%
	14,545	CMC Materials, Inc.		2,192,513
	14,030	MKS Instruments, Inc.		2,496,638
	111,755	Tower Semiconductor Ltd.(a)		3,288,950
				7,978,101
		Specialty Retail — 1.3%
	11,900	Group 1 Automotive, Inc.		1,837,717
		Textiles, Apparel & Luxury Goods — 2.6%
	65,945	Capri Holdings Ltd.(a)		3,771,395
		Trading Companies & Distributors — 4.4%
	18,070	GATX Corp.		1,598,653
	42,595	Rush Enterprises, Inc., Class A		1,841,808

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

Shares		Description	Value (†)
		Trading Companies & Distributors — continued
	115,640	Univar Solutions, Inc.(a)	$	2,819,303
				6,259,764
		Total Common Stocks (Identified Cost $117,451,048)		141,394,992
Principal Amount
	Short-Term Investments — 2.8%
$	4,001,172	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $4,001,172 on 7/01/2021 collateralized by $3,589,300 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $4,081,264 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,001,172)		4,001,172
		Total Investments — 101.5% (Identified Cost $121,452,220)		145,396,164
		Other assets less liabilities — (1.5)%		(2,149,392	)
		Net Assets — 100.0%	$	143,246,772
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2021 (Unaudited)

Electronic Equipment, Instruments & Components	9.2	%
Chemicals	8.7
Banks	5.9
Semiconductors & Semiconductor Equipment	5.6
Machinery	5.6
Hotels, Restaurants & Leisure	5.5
Professional Services	5.0
IT Services	4.9
Trading Companies & Distributors	4.4
Insurance	4.3
Life Sciences Tools & Services	4.3
Capital Markets	3.9
Oil, Gas & Consumable Fuels	3.6
Media	3.3
Textiles, Apparel & Luxury Goods	2.6
Commercial Services & Supplies	2.5
REITs – Hotels	2.5
Gas Utilities	2.2
Other Investments, less than 2% each	14.7
Short-Term Investments	2.8
Total Investments	101.5
Other assets less liabilities	(1.5	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  26

Statements of Assets and Liabilities

June 30, 2021 (Unaudited)

	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			Natixis U.S. Equity Opportunities Fund
ASSETS
Investments at cost	$	24,613,950		$	208,106,315		$	482,634,470		$	623,923,297
Net unrealized appreciation		619,772			101,373,635			76,660,959			437,358,295
Investments at value		25,233,722			309,479,950			559,295,429			1,061,281,592
Cash		622,725			—			—			—
Foreign currency at value (identified cost $48,895, $0, $191,800 and $0, respectively)		48,913			—			190,793			—
Receivable for Fund shares sold		272			233,256			478,840			231,513
Receivable for securities sold		—			—			494,014			—
Dividends receivable		17,162			159,553			712,998			295,371
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			189,926			—
Tax reclaims receivable		25,984			36,194			2,969,932			480,095
Prepaid expenses (Note 9)		4			43			77			150
TOTAL ASSETS		25,948,782			309,908,996			564,332,009			1,062,288,721
LIABILITIES
Payable for securities purchased		—			—			1,068,553			—
Payable for Fund shares redeemed		—			115,816			144,125			1,398,870
Foreign taxes payable (Note 2)		—			—			419,885			—
Management fees payable (Note 6)		5,142			172,629			289,235			653,891
Deferred Trustees’ fees (Note 6)		1,740			725,605			136,012			570,770
Administrative fees payable (Note 6)		920			10,807			20,172			37,095
Payable to distributor (Note 6d)		—			987			9,752			4,110
Audit and tax services fees payable		22,498			22,113			23,749			22,316
Other accounts payable and accrued expenses		12,654			43,675			88,111			97,187
TOTAL LIABILITIES		42,954			1,091,632			2,199,594			2,784,239
NET ASSETS	$	25,905,828		$	308,817,364		$	562,132,415		$	1,059,504,482
NET ASSETS CONSIST OF:
Paid-in capital	$	24,876,315		$	197,084,487		$	612,525,946		$	580,446,312
Accumulated earnings (loss)		1,029,513			111,732,877			(50,393,531	)		479,058,170
NET ASSETS	$	25,905,828		$	308,817,364		$	562,132,415		$	1,059,504,482
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A Shares:
Net assets	$	100,514		$	211,845,136		$	151,985,530		$	732,758,328
Shares of beneficial interest		9,441			7,280,498			9,460,100			16,414,865
Net asset value and redemption price per share	$	10.65		$	29.10		$	16.07		$	44.64
Offering price per share (100/94.25 of net asset value) (Note 1)	$	11.30		$	30.88		$	17.05		$	47.36
Class C Shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	42,134		$	41,303,079		$	85,990,217		$	62,185,813
Shares of beneficial interest		3,973			1,725,260			5,486,986			2,568,539
Net asset value and offering price per share	$	10.60	*	$	23.94		$	15.67		$	24.21
Class N shares:
Net assets	$	25,541,268		$	10,143		$	309,279		$	204,616
Shares of beneficial interest		2,395,482			326			19,301			3,709
Net asset value, offering and redemption price per share	$	10.66		$	31.09	*	$	16.02		$	55.17
Class Y shares:
Net assets	$	221,912		$	55,659,006		$	323,847,389		$	264,355,725
Shares of beneficial interest		20,817			1,795,232			20,233,271			4,803,046
Net asset value, offering and redemption price per share	$	10.66		$	31.00		$	16.01		$	55.04

* Net asset value calculations have been determined utilizing fractional share and penny amounts.

See accompanying notes to financial statements.

27  |

Statements of Assets and Liabilities (continued)

June 30, 2021 (Unaudited)

	Vaughan Nelson Mid Cap Fund		Vaughan Nelson Small Cap Value Fund
ASSETS
Investments at cost	$	246,918,862	$	121,452,220
Net unrealized appreciation		70,042,744		23,943,944
Investments at value		316,961,606		145,396,164
Cash		6,097		—
Receivable for Fund shares sold		109,318		18,480
Receivable for securities sold		1,618,621		2,593,156
Dividends receivable		184,761		52,723
Prepaid expenses (Note 9)		45		21
TOTAL ASSETS		318,880,448		148,060,544
LIABILITIES
Payable for securities purchased		857,302		4,300,139
Payable for Fund shares redeemed		88,138		111,971
Management fees payable (Note 6)		195,932		95,725
Deferred Trustees’ fees (Note 6)		210,917		249,670
Administrative fees payable (Note 6)		11,186		5,080
Payable to distributor (Note 6d)		2,817		715
Audit and tax services fees payable		22,862		22,120
Other accounts payable and accrued expenses		36,924		28,352
TOTAL LIABILITIES		1,426,078		4,813,772
NET ASSETS	$	317,454,370	$	143,246,772
NET ASSETS CONSIST OF:
Paid-in capital	$	222,883,508	$	101,495,197
Accumulated earnings		94,570,862		41,751,575
NET ASSETS	$	317,454,370	$	143,246,772
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	35,955,995	$	78,011,860
Shares of beneficial interest		1,424,181		3,883,286
Net asset value and redemption price per share	$	25.25	$	20.09
Offering price per share (100/94.25 of net asset value) (Note 1)	$	26.79	$	21.32
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	13,612,350	$	937,261
Shares of beneficial interest		585,666		93,680
Net asset value and offering price per share	$	23.24	$	10.00
Class N shares:
Net assets	$	22,408,024	$	1,244,702
Shares of beneficial interest		874,974		58,939
Net asset value, offering and redemption price per share	$	25.61	$	21.12
Class Y shares:
Net assets	$	245,478,001	$	63,052,949
Shares of beneficial interest		9,572,591		2,988,229
Net asset value, offering and redemption price per share	$	25.64	$	21.10

See accompanying notes to financial statements.

|  28

Statements of Operations

For the Six Months Ended June 30, 2021 (Unaudited)

	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			Natixis U.S. Equity Opportunities Fund
INVESTMENT INCOME
Dividends	$	214,908		$	1,618,273		$	8,223,027		$	4,702,493
Interest		—			—			18,155			—
Less net foreign taxes withheld		(23,097	)		—			(965,881	)		(129,546	)
		191,811			1,618,273			7,275,301			4,572,947
Expenses
Management fees (Note 6)		88,924			956,455			2,073,305			3,742,472
Service and distribution fees (Note 6)		178			435,864			646,495			1,173,387
Administrative fees (Note 6)		5,068			59,661			113,969			214,400
Trustees’ fees and expenses (Note 6)		7,579			79,166			28,547			77,762
Transfer agent fees and expenses (Notes 6 and 8)		2,494			105,744			427,753			323,660
Audit and tax services fees		20,974			20,385			28,726			21,282
Custodian fees and expenses (Note 7)		8,515			4,047			103,971			28,682
Legal fees (Note 9)		480			4,799			9,678			18,286
Registration fees		33,328			60,408			58,634			71,274
Shareholder reporting expenses		6,162			10,620			54,634			25,201
Miscellaneous expenses (Notes 7 and 9)		17,134			18,299			42,466			29,871
Total expenses		190,836			1,755,448			3,588,178			5,726,277
Less waiver and/or expense reimbursement (Notes 6 and 7)		(83,897	)		(893	)		(408,739	)		(886	)
Net expenses		106,939			1,754,555			3,179,439			5,725,391
Net investment income (loss)		84,872			(136,282	)		4,095,862			(1,152,444	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		325,374			17,710,873			18,007,877			46,915,042
Forward foreign currency contracts (Note 2d)		—			—			146,847			—
Foreign currency transactions (Note 2c)		(44	)		—			(7,417	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		431,237			44,640,134			43,796,573			125,388,626
Forward foreign currency contracts (Note 2d)		—			—			199,045			—
Foreign currency translations (Note 2c)		(125	)		—			(117,145	)		—
Net realized and unrealized gain on investments, forward foreign currency contracts and foreign currency transactions		756,442			62,351,007			62,025,780			172,303,668
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	841,314		$	62,214,725		$	66,121,642		$	171,151,224

See accompanying notes to financial statements.

29  |

Statements of Operations (continued)

For the Six Months Ended June 30, 2021 (Unaudited)

	Vaughan Nelson Mid Cap Fund			Vaughan Nelson Small Cap Value Fund
INVESTMENT INCOME
Dividends	$	1,960,709		$	726,389
Non-cash dividends (Note 2b)		—			345,009	(a)
Less net foreign taxes withheld		—			(2,843	)
		1,960,709			1,068,555
Expenses
Management fees (Note 6)		1,230,652			589,754
Service and distribution fees (Note 6)		112,565			95,042
Administrative fees (Note 6)		65,779			28,020
Trustees’ fees and expenses (Note 6)		31,525			33,421
Transfer agent fees and expenses (Notes 6 and 8)		139,902			66,150
Audit and tax services fees		20,824			20,386
Custodian fees and expenses (Note 7)		6,813			4,983
Legal fees (Note 9)		5,445			2,207
Registration fees		38,006			52,441
Shareholder reporting expenses		16,583			6,377
Miscellaneous expenses (Notes 7 and 9)		19,414			16,813
Total expenses		1,687,508			915,594
Less waiver and/or expense reimbursement (Notes 6 and 7)		(116,990	)		(132,720	)
Net expenses		1,570,518			782,874
Net investment income		390,191			285,681
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investments		29,499,125			22,883,786
Net change in unrealized appreciation (depreciation) on:
Investments		19,147,463			200,790
Net realized and unrealized gain on investments		48,646,588			23,084,576
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	49,036,779		$	23,370,257

(a) Represents a non-recurring stock dividend.

See accompanying notes to financial statements.

|  30

Statements of Changes in Net Assets

	International Growth Fund						Natixis Oakmark Fund
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020(a)			Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020
FROM OPERATIONS:
Net investment income (loss)	$	84,872		$	9,420		$	(136,282	)	$	1,003,906
Net realized gain on investments and foreign currency transactions		325,330			8,123			17,710,873			14,582,175
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		431,112			188,539			44,640,134			5,121,754
Net increase in net assets resulting from operations		841,314			206,082			62,214,725			20,707,835
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(17	)		(1	)		(514,176	)		(14,572,150	)
Class C		(9	)		—	(b)		(124,073	)		(3,470,297	)
Class N		(5,372	)		(12,450	)		(63	)		(30,687	)
Class Y		(40	)		(9	)		(120,881	)		(3,143,507	)
Total distributions		(5,438	)		(12,460	)		(759,193	)		(21,216,641	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		9,850,120			15,026,210			2,759,889			(38,326,966	)
Net increase (decrease) in net assets		10,685,996			15,219,832			64,215,421			(38,835,772	)
NET ASSETS
Beginning of the period		15,219,832			—			244,601,943			283,437,715
End of the period	$	25,905,828		$	15,219,832		$	308,817,364		$	244,601,943

(a) From commencement of operations on December 15, 2020 through December 31, 2020.

(b) Amount rounds to less than $1.00.

See accompanying notes to financial statements.

31  |

Statements of Changes in Net Assets (continued)

	Natixis Oakmark International Fund						Natixis U.S. Equity Opportunities Fund
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020
FROM OPERATIONS:
Net investment income (loss)	$	4,095,862		$	245,748		$	(1,152,444	)	$	(1,093,083	)
Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions		18,147,307			(97,769,005	)		46,915,042			130,277,857
Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations		43,878,473			79,782,696			125,388,626			34,019,289
Net increase (decrease) in net assets resulting from operations		66,121,642			(17,740,561	)		171,151,224			163,204,063
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(96,380	)		(310,049	)		(25,275,072	)		(78,012,779	)
Class C		(63,664	)		—			(4,233,578	)		(13,186,942	)
Class N		(196	)		(1,852	)		(5,649	)		(21,295	)
Class Y		(193,190	)		(1,281,600	)		(7,527,569	)		(24,792,696	)
Total distributions		(353,430	)		(1,593,501	)		(37,041,868	)		(116,013,712	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(7,795,151	)		(74,342,754	)		(30,959,020	)		(70,200,600	)
Net increase (decrease) in net assets		57,973,061			(93,676,816	)		103,150,336			(23,010,249	)
NET ASSETS
Beginning of the period		504,159,354			597,836,170			956,354,146			979,364,395
End of the period	$	562,132,415		$	504,159,354		$	1,059,504,482		$	956,354,146

See accompanying notes to financial statements.

|  32

Statements of Changes in Net Assets (continued)

	Vaughan Nelson Mid Cap Fund						Vaughan Nelson Small Cap Value Fund
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Six Months Ended June 30, 2021 (Unaudited)		Year Ended December 31, 2020
FROM OPERATIONS:
Net investment income	$	390,191		$	1,455,275		$	285,681	$	101,981
Net realized gain (loss) on investments		29,499,125			27,799,575			22,883,786		(3,132,416	)
Net change in unrealized appreciation (depreciation) on investments		19,147,463			(16,338,813	)		200,790		10,854,499
Net increase in net assets resulting from operations		49,036,779			12,916,037			23,370,257		7,824,064
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(390,349	)		(3,468,834	)		—		(376,748	)
Class C		(183,494	)		(1,857,110	)		—		(14,118	)
Class N		(241,764	)		(2,038,286	)		—		(179	)
Class Y		(2,914,559	)		(26,620,537	)		—		(344,758	)
Total distributions		(3,730,166	)		(33,984,767	)		—		(735,803	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(17,907,565	)		(61,208,438	)		7,983,350		(8,673,052	)
Net increase (decrease) in net assets		27,399,048			(82,277,168	)		31,353,607		(1,584,791	)
NET ASSETS
Beginning of the period		290,055,322			372,332,490			111,893,165		113,477,956
End of the period	$	317,454,370		$	290,055,322		$	143,246,772	$	111,893,165

See accompanying notes to financial statements.

33  |

Financial Highlights

For a share outstanding throughout each period.

	International Growth Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	10.13		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03			0.01
Net realized and unrealized gain (loss)		0.49			0.13
Total from Investment Operations		0.52			0.14
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.01	)
Net realized capital gains		(0.00	)(b)		—
Total Distributions		(0.00	)		(0.01	)
Net asset value, end of the period	$	10.65		$	10.13
Total return(c)(d)(e)		5.16	%		1.37	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	101		$	1
Net expenses(f)(g)		1.20	%		1.20	%
Gross expenses(g)		3.69	%		13.05	%
Net investment income(g)		0.60	%		1.28	%
Portfolio turnover rate		7	%		1	%

* From commencement of operations on December 15, 2020 through December 31, 2020.

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

(b) Amount rounds to less than $0.01 per share.

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

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

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

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

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

See accompanying notes to financial statements.

|  34

Financial Highlights (continued)

For a share outstanding throughout each period.

	International Growth Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	10.13		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		0.00	(b)
Net realized and unrealized gain (loss)		0.49			0.13
Total from Investment Operations		0.47			0.13
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.00	)(b)
Net realized capital gains		(0.00	)(b)		—
Total Distributions		(0.00	)		(0.00	)
Net asset value, end of the period	$	10.60		$	10.13
Total return(c)(d)(e)		4.66	%		1.33	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	42		$	1
Net expenses(f)(g)		1.95	%		1.95	%
Gross expenses(g)		4.44	%		13.78	%
Net investment income (loss)(g)		(0.41	)%		0.55	%
Portfolio turnover rate		7	%		1	%

* From commencement of operations on December 15, 2020 through December 31, 2020.

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

(b) Amount rounds to less than $0.01 per share.

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

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

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

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

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

See accompanying notes to financial statements.

35  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	International Growth Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	10.13		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.01
Net realized and unrealized gain (loss)		0.49			0.13
Total from Investment Operations		0.53			0.14
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.01	)
Net realized capital gains		(0.00	)(b)		—
Total Distributions		(0.00	)		(0.01	)
Net asset value, end of the period	$	10.66		$	10.13
Total return(c)(d)		5.25	%		1.38	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	25,541		$	15,206
Net expenses(e)(f)		0.90	%		0.90	%
Gross expenses(f)		1.59	%		6.48	%
Net investment income(f)		0.72	%		1.43	%
Portfolio turnover rate		7	%		1	%

* From commencement of operations on December 15, 2020 through December 31, 2020.

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

(b) Amount rounds to less than $0.01 per share.

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

(d) 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.

|  36

Financial Highlights (continued)

For a share outstanding throughout each period.

	International Growth Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	10.13		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.01
Net realized and unrealized gain (loss)		0.49			0.13
Total from Investment Operations		0.53			0.14
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.01	)
Net realized capital gains		(0.00	)(b)		—
Total Distributions		(0.00	)		(0.01	)
Net asset value, end of the period	$	10.66		$	10.13
Total return(c)(d)		5.25	%		1.38	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	222		$	12
Net expenses(e)(f)		0.95	%		0.95	%
Gross expenses(f)		3.44	%		12.58	%
Net investment income(f)		0.85	%		1.63	%
Portfolio turnover rate		7	%		1	%

* From commencement of operations on December 15, 2020 through December 31, 2020.

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

(b) Amount rounds to less than $0.01 per share.

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

(d) 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.

37  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	23.20		$	22.45		$	19.44		$	24.72		$	21.37		$	18.79
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.00	)(b)		0.11	(c)		0.18	(d)		0.10			0.11			0.16
Net realized and unrealized gain (loss)		5.97			2.78			4.93			(3.28	)		4.28			3.20
Total from Investment Operations		5.97			2.89			5.11			(3.18	)		4.39			3.36
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		(0.12	)		(0.21	)		(0.08	)		(0.10	)		(0.16	)
Net realized capital gains		(0.07	)		(2.02	)		(1.89	)		(2.02	)		(0.94	)		(0.62	)
Total Distributions		(0.07	)		(2.14	)		(2.10	)		(2.10	)		(1.04	)		(0.78	)
Net asset value, end of the period	$	29.10		$	23.20		$	22.45		$	19.44		$	24.72		$	21.37
Total return(e)		25.76	%(f)		13.01	%(c)		26.77	%(d)		(13.01	)%		20.75	%		18.37	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	211,845		$	170,702		$	181,417		$	164,748		$	203,792		$	173,036
Net expenses		1.20	%(g)		1.20	%(h)		1.17	%		1.13	%		1.18	%		1.18	%
Gross expenses		1.20	%(g)		1.20	%(h)		1.17	%		1.13	%		1.18	%		1.18	%
Net investment income (loss)		(0.03	)%(g)		0.53	%(c)		0.85	%(d)		0.41	%		0.48	%		0.82	%
Portfolio turnover rate		16	%		22	%		15	%		39	%		16	%		16	%

(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) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been 12.72% and the ratio of net investment income to average net assets would have been 0.27%.

(d) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.13, total return would have been 26.50% and the ratio of net investment income to average net assets would have been 0.62%.

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

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

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

(h) Includes refund of prior year service fee of 0.01%.

See accompanying notes to financial statements.

|  38

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	19.17		$	18.92		$	16.66		$	21.58		$	18.83		$	16.65
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.09	)		(0.04	)(b)		0.02	(c)		(0.07	)		(0.05	)		0.01
Net realized and unrealized gain (loss)		4.93			2.31			4.20			(2.83	)		3.74			2.80
Total from Investment Operations		4.84			2.27			4.22			(2.90	)		3.69			2.81
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(d)		—			(0.07	)		—			(0.00	)(d)		(0.01	)
Net realized capital gains		(0.07	)		(2.02	)		(1.89	)		(2.02	)		(0.94	)		(0.62	)
Total Distributions		(0.07	)		(2.02	)		(1.96	)		(2.02	)		(0.94	)		(0.63	)
Net asset value, end of the period	$	23.94		$	19.17		$	18.92		$	16.66		$	21.58		$	18.83
Total return(e)		25.28	%(f)		12.15	%(b)		25.82	%(c)		(13.63	)%		19.85	%		17.45	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	41,303		$	35,940		$	54,384		$	53,606		$	62,272		$	55,910
Net expenses		1.95	%(g)		1.95	%		1.92	%		1.88	%		1.93	%		1.93	%
Gross expenses		1.95	%(g)		1.95	%		1.92	%		1.88	%		1.93	%		1.93	%
Net investment income (loss)		(0.78	)%(g)		(0.23	)%(b)		0.12	%(c)		(0.33	)%		(0.27	)%		0.09	%
Portfolio turnover rate		16	%		22	%		15	%		39	%		16	%		16	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 11.85% and the ratio of net investment loss to average net assets would have been (0.46%).

(c) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.02), total return would have been 25.50% and the ratio of net investment loss to average net assets would have been (0.12)%.

(d) Amount rounds to less than $0.01 per share.

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

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

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

See accompanying notes to financial statements.

39  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	24.72		$	23.78		$	20.49		$	25.91		$	23.13
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.06			0.18	(b)		0.22	(c)		0.22			0.14
Net realized and unrealized gain (loss)		6.38			2.98			5.25			(3.45	)		3.44
Total from Investment Operations		6.44			3.16			5.47			(3.23	)		3.58
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(d)		(0.20	)		(0.29	)		(0.17	)		(0.17	)
Net realized capital gains		(0.07	)		(2.02	)		(1.89	)		(2.02	)		(0.63	)
Total Distributions		(0.07	)		(2.22	)		(2.18	)		(2.19	)		(0.80	)
Net asset value, end of the period	$	31.09		$	24.72		$	23.78		$	20.49		$	25.91
Total return(e)		26.08	%(f)		13.41	%(b)		27.16	%(c)		(12.60	)%		15.46	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	10		$	364		$	801		$	10		$	1
Net expenses(g)		0.86	%(h)		0.86	%		0.83	%		0.75	%		0.75	%(h)
Gross expenses		2.13	%(h)		1.05	%		1.25	%		3.79	%		13.79	%(h)
Net investment income		0.46	%(h)		0.85	%(b)		0.93	%(c)		0.88	%		0.84	%(h)
Portfolio turnover rate		16	%		22	%		15	%		39	%		16	%(i)

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

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.14, total return would have been 13.13% and the ratio of net investment income to average net assets would have been 0.67%.

(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.22, total return would have been 26.90% and the ratio of net investment income to average net assets would have been 0.92%.

(d) Amount rounds to less than $0.01 per share.

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

See accompanying notes to financial statements.

|  40

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	24.68		$	23.75		$	20.46		$	25.90		$	22.34		$	19.60
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.03			0.17	(b)		0.27	(c)		0.17			0.17			0.21
Net realized and unrealized gain (loss)		6.36			2.95			5.17			(3.44	)		4.48			3.36
Total from Investment Operations		6.39			3.12			5.44			(3.27	)		4.65			3.57
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(d)		(0.17	)		(0.26	)		(0.15	)		(0.15	)		(0.21	)
Net realized capital gains		(0.07	)		(2.02	)		(1.89	)		(2.02	)		(0.94	)		(0.62	)
Total Distributions		(0.07	)		(2.19	)		(2.15	)		(2.17	)		(1.09	)		(0.83	)
Net asset value, end of the period	$	31.00		$	24.68		$	23.75		$	20.46		$	25.90		$	22.34
Total return		25.92	%(e)		13.28	%(b)		27.06	%(c)(f)		(12.76	)%		21.05	%		18.69	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	55,659		$	37,595		$	46,836		$	53,829		$	49,955		$	26,252
Net expenses		0.94	%(g)		0.95	%		0.91	%(h)		0.88	%		0.93	%		0.92	%
Gross expenses		0.94	%(g)		0.95	%		0.92	%		0.88	%		0.93	%		0.92	%
Net investment income		0.20	%(g)		0.79	%(b)		1.16	%(c)		0.68	%		0.71	%		1.05	%
Portfolio turnover rate		16	%		22	%		15	%		39	%		16	%		16	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.12, total return would have been 13.00% and the ratio of net investment income to average net assets would have been 0.55%.

(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.20, total return would have been 26.80% and the ratio of net investment income to average net assets would have been 0.90%.

(d) Amount rounds to less than $0.01 per share.

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

See accompanying notes to financial statements.

41  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark International Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	14.15		$	13.63		$	11.29		$	15.58		$	12.15		$	11.47
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.12			(0.00	)(b)		0.37	(c)		0.25			0.18			0.17
Net realized and unrealized gain (loss)		1.81			0.55	(d)		2.38			(4.02	)		3.41			0.76
Total from Investment Operations		1.93			0.55			2.75			(3.77	)		3.59			0.93
LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.03	)		(0.41	)		(0.29	)		(0.16	)		(0.21	)
Net realized capital gains		—			—			—			(0.23	)		—			(0.04	)
Total Distributions		(0.01	)		(0.03	)		(0.41	)		(0.52	)		(0.16	)		(0.25	)
Net asset value, end of the period	$	16.07		$	14.15		$	13.63		$	11.29		$	15.58		$	12.15
Total return(e)		13.64	%(f)(g)		4.06	%(f)		24.35	%(c)		(24.15	)%		29.56	%		8.19	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	151,986		$	131,630		$	172,906		$	257,551		$	603,988		$	533,112
Net expenses		1.20	%(h)(i)		1.29	%(h)(j)		1.29	%		1.31	%		1.32	%		1.34	%
Gross expenses		1.35	%(i)		1.36	%		1.29	%		1.31	%		1.32	%		1.34	%
Net investment income (loss)		1.56	%(i)		(0.03	)%		2.91	%(c)		1.72	%		1.28	%		1.54	%
Portfolio turnover rate		19	%		63	%		28	%		50	%		40	%		41	%

(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) Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.55% and the ratio of net investment income to average net assets would have been 2.26%.

(d) 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.

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

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

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

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

(j) Effective July 1, 2020, the expense limit decreased from 1.37% to 1.20%.

See accompanying notes to financial statements.

|  42

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark International Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	13.85		$	13.41		$	11.11		$	15.30		$	11.96		$	11.29
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.05			(0.08	)		0.26	(b)		0.13			0.06			0.08
Net realized and unrealized gain (loss)		1.78			0.52	(c)		2.34			(3.92	)		3.35			0.74
Total from Investment Operations		1.83			0.44			2.60			(3.79	)		3.41			0.82
LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		—			(0.30	)		(0.17	)		(0.07	)		(0.11	)
Net realized capital gains		—			—			—			(0.23	)		—			(0.04	)
Total Distributions		(0.01	)		—			(0.30	)		(0.40	)		(0.07	)		(0.15	)
Net asset value, end of the period	$	15.67		$	13.85		$	13.41		$	11.11		$	15.30		$	11.96
Total return(d)		13.22	%(e)(f)		3.28	%(e)		23.44	%(b)		(24.74	)%		28.55	%		7.36	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	85,990		$	96,772		$	179,533		$	212,618		$	363,018		$	255,249
Net expenses		1.95	%(g)(h)		2.05	%(g)(i)		2.04	%		2.07	%		2.07	%		2.09	%
Gross expenses		2.10	%(h)		2.11	%		2.04	%		2.07	%		2.07	%		2.09	%
Net investment income (loss)		0.71	%(h)		(0.76	)%		2.09	%(b)		0.94	%		0.42	%		0.73	%
Portfolio turnover rate		19	%		63	%		28	%		50	%		40	%		41	%

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

(b) Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.18, total return would have been 22.63% and the ratio of net investment income to average net assets would have been 1.43%.

(c) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

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

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

(f) 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) Effective July 1, 2020, the expense limit decreased from 2.12% to 1.95%.

See accompanying notes to financial statements.

43  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark International Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	14.09		$	13.56		$	11.25		$	15.58		$	13.98
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.04			0.33	(b)		0.28			0.15
Net realized and unrealized gain (loss)		1.80			0.56	(c)		2.45			(4.02	)		1.66
Total from Investment Operations		1.94			0.60			2.78			(3.74	)		1.81
LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.07	)		(0.47	)		(0.36	)		(0.21	)
Net realized capital gains		—			—			—			(0.23	)		—
Total Distributions		(0.01	)		(0.07	)		(0.47	)		(0.59	)		(0.21	)
Net asset value, end of the period	$	16.02		$	14.09		$	13.56		$	11.25		$	15.58
Total return(d)		13.77	%(e)		4.44	%		24.75	%(b)		(23.94	)%		12.96	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	309		$	290		$	811		$	758		$	1
Net expenses(f)		0.90	%(g)		0.92	%(h)		0.94	%		0.99	%		0.92	%(g)
Gross expenses		1.55	%(g)		1.17	%		1.08	%		1.02	%		25.21	%(g)
Net investment income		1.82	%(g)		0.37	%		2.56	%(b)		2.04	%		1.54	%(g)
Portfolio turnover rate		19	%		63	%		28	%		50	%		40	%(i)

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

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

(b) Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.27, total return would have been 23.94% and the ratio of net investment income to average net assets would have been 2.15%.

(c) The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

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

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

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

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

(h) Effective July 1, 2020, the expense limit decreased from 1.07% to 0.90%.

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

See accompanying notes to financial statements.

|  44

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis Oakmark International Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	14.08		$	13.56		$	11.25		$	15.56		$	13.98
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.04			0.37	(b)		0.26			0.00	(c)
Net realized and unrealized gain (loss)		1.80			0.55	(d)		2.40			(3.99	)		1.79
Total from Investment Operations		1.94			0.59			2.77			(3.73	)		1.79
LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.07	)		(0.46	)		(0.35	)		(0.21	)
Net realized capital gains		—			—			—			(0.23	)		—
Total Distributions		(0.01	)		(0.07	)		(0.46	)		(0.58	)		(0.21	)
Net asset value, end of the period	$	16.01		$	14.08		$	13.56		$	11.25		$	15.56
Total return		13.78	%(e)(f)		4.32	%(e)		24.64	%(b)		(23.93	)%		12.79	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	323,847		$	275,468		$	244,586		$	215,123		$	172,978
Net expenses		0.95	%(g)(h)		1.03	%(g)(i)		1.04	%		1.07	%		1.07	%(h)
Gross expenses		1.10	%(h)		1.11	%		1.04	%		1.07	%		1.07	%(h)
Net investment income		1.79	%(h)		0.41	%		2.91	%(b)		1.85	%		0.03	%(h)
Portfolio turnover rate		19	%		63	%		28	%		50	%		40	%(j)

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

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

(b) Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.84% and the ratio of net investment income to average net assets would have been 2.29%.

(c) Amount rounds to less than $0.01 per share.

(d) 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.

(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) Effective July 1, 2020, the expense limit decreased from 1.12% to 0.95%.

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

See accompanying notes to financial statements.

45  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis U.S. Equity Opportunities Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	39.04		$	36.53		$	31.00		$	36.90		$	30.27		$	27.60
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.05	)		(0.05	)		0.15	(b)		0.08			0.06			0.12
Net realized and unrealized gain (loss)		7.22			7.66			9.34			(2.51	)		7.88			3.12
Total from Investment Operations		7.17			7.61			9.49			(2.43	)		7.94			3.24
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.17	)		(0.05	)		(0.06	)		(0.12	)
Net realized capital gains		(1.57	)		(5.10	)		(3.79	)		(3.42	)		(1.25	)		(0.45	)
Total Distributions		(1.57	)		(5.10	)		(3.96	)		(3.47	)		(1.31	)		(0.57	)
Net asset value, end of the period	$	44.64		$	39.04		$	36.53		$	31.00		$	36.90		$	30.27
Total return(c)		18.60	%(d)		22.09	%		31.03	%(b)		(6.48	)%		26.28	%		11.86	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	732,758		$	649,754		$	616,922		$	523,665		$	604,330		$	472,436
Net expenses		1.16	%(e)		1.17	%		1.17	%		1.16	%		1.21	%(f)		1.23	%(g)
Gross expenses		1.16	%(e)		1.17	%		1.17	%		1.16	%		1.21	%		1.23	%(g)
Net investment income (loss)		(0.25	)%(e)		(0.14	)%		0.42	%(b)		0.20	%		0.16	%		0.42	%
Portfolio turnover rate		5	%		26	%		12	%		23	%		17	%		17	%

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

(b) Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.09, total return would have been 30.87% and the ratio of net investment income to average net assets would have been 0.26%.

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

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

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

(f) Effective July 1, 2017, the expense limit decreased from 1.25% to 1.20%.

(g) Includes fee/expense recovery of less than 0.01%.

See accompanying notes to financial statements.

|  46

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis U.S. Equity Opportunities Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	21.89		$	22.65		$	20.42		$	25.73		$	21.54		$	19.86
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.11	)		(0.19	)		(0.07	)(b)		(0.14	)		(0.14	)		(0.07	)
Net realized and unrealized gain (loss)		4.00			4.53			6.10			(1.75	)		5.58			2.22
Total from Investment Operations		3.89			4.34			6.03			(1.89	)		5.44			2.15
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.01	)		—			(0.00	)(c)		(0.02	)
Net realized capital gains		(1.57	)		(5.10	)		(3.79	)		(3.42	)		(1.25	)		(0.45	)
Total Distributions		(1.57	)		(5.10	)		(3.80	)		(3.42	)		(1.25	)		(0.47	)
Net asset value, end of the period	$	24.21		$	21.89		$	22.65		$	20.42		$	25.73		$	21.54
Total return(d)		18.17	%(e)		21.15	%		30.06	%(b)		(7.18	)%		25.35	%		11.02	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	62,186		$	63,126		$	77,924		$	78,783		$	112,615		$	72,768
Net expenses		1.91	%(f)		1.92	%		1.92	%		1.91	%		1.96	%(g)		1.98	%(h)
Gross expenses		1.91	%(f)		1.92	%		1.92	%		1.91	%		1.96	%		1.98	%(h)
Net investment loss		(0.99	)%(f)		(0.87	)%		(0.31	)%(b)		(0.54	)%		(0.59	)%		(0.33	)%
Portfolio turnover rate		5	%		26	%		12	%		23	%		17	%		17	%

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

(b) Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.11), total return would have been 29.85% and the ratio of net investment loss to average net assets would have been (0.48)%.

(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) Periods less than one year are not annualized.

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

(g) Effective July 1, 2017, the expense limit decreased from 2.00% to 1.95%.

(h) Includes fee/expense recovery of less than 0.01%.

See accompanying notes to financial statements.

47  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis U.S. Equity Opportunities Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	47.84		$	43.61		$	36.37		$	42.63		$	37.62
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.02			0.13			0.19	(b)		0.25			0.12
Net realized and unrealized gain (loss)		8.88			9.20			11.14			(2.91	)		6.20
Total from Investment Operations		8.90			9.33			11.33			(2.66	)		6.32
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.30	)		(0.18	)		(0.16	)
Net realized capital gains		(1.57	)		(5.10	)		(3.79	)		(3.42	)		(1.15	)
Total Distributions		(1.57	)		(5.10	)		(4.09	)		(3.60	)		(1.31	)
Net asset value, end of the period	$	55.17		$	47.84		$	43.61		$	36.37		$	42.63
Total return(c)		18.80	%(d)		22.48	%		31.44	%(b)		(6.11	)%		16.78	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	205		$	172		$	654		$	1		$	1
Net expenses(e)		0.85	%(f)		0.84	%		0.83	%		0.76	%		0.78	%(f)(g)
Gross expenses		1.79	%(f)		1.13	%		1.42	%		13.35	%		13.41	%(f)
Net investment income		0.07	%(f)		0.31	%		0.44	%(b)		0.56	%		0.44	%(f)
Portfolio turnover rate		5	%		26	%		12	%		23	%		17	%(h)

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

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

(b) Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.19, total return would have been 31.27% and the ratio of net investment income to average net assets would have been 0.44%.

(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, 2017, the expense limit decreased from 0.95% to 0.90%.

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

See accompanying notes to financial statements.

|  48

Financial Highlights (continued)

For a share outstanding throughout each period.

	Natixis U.S. Equity Opportunities Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	47.74		$	43.56		$	36.33		$	42.61		$	34.77		$	31.61
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.00	(b)		0.05			0.29	(c)		0.20			0.16			0.21
Net realized and unrealized gain (loss)		8.87			9.23			10.99			(2.92	)		9.07			3.59
Total from Investment Operations		8.87			9.28			11.28			(2.72	)		9.23			3.80
LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.26	)		(0.14	)		(0.14	)		(0.19	)
Net realized capital gains		(1.57	)		(5.10	)		(3.79	)		(3.42	)		(1.25	)		(0.45	)
Total Distributions		(1.57	)		(5.10	)		(4.05	)		(3.56	)		(1.39	)		(0.64	)
Net asset value, end of the period	$	55.04		$	47.74		$	43.56		$	36.33		$	42.61		$	34.77
Total return		18.78	%(d)		22.36	%		31.36	%(c)(e)		(6.24	)%		26.60	%		12.13	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	264,356		$	243,302		$	283,864		$	296,255		$	285,008		$	143,231
Net expenses		0.91	%(f)		0.92	%		0.91	%(g)		0.91	%		0.95	%(h)		0.98	%(i)
Gross expenses		0.91	%(f)		0.92	%		0.92	%		0.91	%		0.95	%		0.98	%(i)
Net investment income		0.00	%(f)(j)		0.13	%		0.69	%(c)		0.45	%		0.40	%		0.63	%
Portfolio turnover rate		5	%		26	%		12	%		23	%		17	%		17	%

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

(b) Amount rounds to less than $0.01 per share.

(c) Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.22, total return would have been 31.16% and the ratio of net investment income to average net assets would have been 0.53%.

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

(h) Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%.

(i) Includes fee/expense recovery of less than 0.01%.

(j) Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

49  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Mid Cap Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	21.79		$	22.42		$	17.37		$	22.65		$	20.55		$	20.04
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.01			0.07			0.03			0.09			0.17	(b)		0.07
Net realized and unrealized gain (loss)		3.73			1.96			5.21			(3.71	)		2.48			1.05
Total from Investment Operations		3.74			2.03			5.24			(3.62	)		2.65			1.12
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(c)		(0.04	)		(0.02	)		(0.15	)		(0.18	)		(0.05	)
Net realized capital gains		(0.28	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)		(0.56	)
Total Distributions		(0.28	)		(2.66	)		(0.19	)		(1.66	)		(0.55	)		(0.61	)
Net asset value, end of the period	$	25.25		$	21.79		$	22.42		$	17.37		$	22.65		$	20.55
Total return(d)		17.24	%(e)(f)		10.46	%(e)		30.21	%(e)		(16.10	)%		12.93	%(b)		5.85	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	35,956		$	30,567		$	33,434		$	43,769		$	67,186		$	87,536
Net expenses		1.20	%(g)(h)		1.20	%(g)		1.25	%(g)(i)(j)		1.24	%		1.22	%		1.23	%
Gross expenses		1.28	%(h)		1.29	%		1.28	%(i)		1.24	%		1.22	%		1.23	%
Net investment income		0.08	%(h)		0.35	%		0.16	%		0.42	%		0.77	%(b)		0.35	%
Portfolio turnover rate		33	%		52	%		52	%		44	%		42	%		57	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.09, total return would have been 12.53% and the ratio of net investment income to average net assets would have been 0.41%.

(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) 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) Includes interest expense. Without this expense the ratio of net expenses would have been 1.23% and the ratio of gross expenses would have been 1.26%.

(j) Effective July 1, 2019, the expense limit decreased from 1.40% to 1.20%.

See accompanying notes to financial statements.

|  50

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Mid Cap Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	20.15		$	21.06		$	16.43		$	21.50		$	19.51		$	19.16
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.08	)		(0.08	)		(0.10	)		(0.08	)		0.00	(b)(c)		(0.07	)
Net realized and unrealized gain (loss)		3.45			1.79			4.90			(3.48	)		2.36			0.98
Total from Investment Operations		3.37			1.71			4.80			(3.56	)		2.36			0.91
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(b)		—			(0.00	)(b)		—			—			(0.00	)(b)
Net realized capital gains		(0.28	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)		(0.56	)
Total Distributions		(0.28	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)		(0.56	)
Net asset value, end of the period	$	23.24		$	20.15		$	21.06		$	16.43		$	21.50		$	19.51
Total return(d)		16.80	%(e)(f)		9.60	%(e)		29.25	%(e)		(16.71	)%		12.11	%(c)		5.03	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	13,612		$	14,023		$	21,932		$	23,967		$	47,559		$	68,923
Net expenses		1.95	%(g)(h)		1.95	%(g)		1.99	%(g)(i)(j)		1.98	%		1.97	%		1.98	%
Gross expenses		2.03	%(h)		2.04	%		2.02	%(i)		1.98	%		1.97	%		1.98	%
Net investment income (loss)		(0.69	)%(h)		(0.42	)%		(0.50	)%		(0.36	)%		0.00	%(c)(k)		(0.38	)%
Portfolio turnover rate		33	%		52	%		52	%		44	%		42	%		57	%

(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) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 11.70% and the ratio of net investment loss to average net assets would have been (0.35)%.

(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.

(i) Includes interest expense. Without this expense the ratio of net expenses would have been 1.98% and the ratio of gross expenses would have been 2.01%.

(j) Effective July 1, 2019, the expense limit decreased from 2.15% to 1.95%.

(k) Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

51  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Mid Cap Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	22.07		$	22.66		$	17.54		$	22.87		$	20.75		$	20.26
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05			0.13			0.11			0.17			0.25	(b)		0.16
Net realized and unrealized gain (loss)		3.77			2.00			5.27			(3.75	)		2.51			1.04
Total from Investment Operations		3.82			2.13			5.38			(3.58	)		2.76			1.20
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(c)		(0.10	)		(0.09	)		(0.24	)		(0.27	)		(0.15	)
Net realized capital gains		(0.28	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)		(0.56	)
Total Distributions		(0.28	)		(2.72	)		(0.26	)		(1.75	)		(0.64	)		(0.71	)
Net asset value, end of the period	$	25.61		$	22.07		$	22.66		$	17.54		$	22.87		$	20.75
Total return		17.38	%(d)(e)		10.83	%(d)		30.67	%(d)		(15.78	)%		13.31	%(b)		6.21	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	22,408		$	17,965		$	18,262		$	70,902		$	134,205		$	148,365
Net expenses		0.90	%(f)(g)		0.90	%(f)		0.92	%(f)(h)(i)		0.88	%		0.88	%		0.88	%
Gross expenses		0.94	%(g)		0.94	%		0.93	%(h)		0.88	%		0.88	%		0.88	%
Net investment income		0.38	%(g)		0.65	%		0.51	%		0.76	%		1.16	%(b)		0.78	%
Portfolio turnover rate		33	%		52	%		52	%		44	%		42	%		57	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.17, total return would have been 12.92% and the ratio of net investment income to average net assets would have been 0.76%.

(c) Amount rounds to less than $0.01 per share.

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

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

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

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

(h) Includes interest expense. Without this expense the ratio of net expenses would have been 0.91% and the ratio of gross expenses would have been 0.91%.

(i) Effective July 1, 2019, the expense limit decreased from 1.10% to 0.90%.

See accompanying notes to financial statements.

|  52

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Mid Cap Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	22.10		$	22.69		$	17.57		$	22.89		$	20.77		$	20.27
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.12			0.10			0.15			0.23	(b)		0.12
Net realized and unrealized gain (loss)		3.78			2.00			5.26			(3.75	)		2.51			1.07
Total from Investment Operations		3.82			2.12			5.36			(3.60	)		2.74			1.19
LESS DISTRIBUTIONS FROM:
Net investment income		(0.00	)(c)		(0.09	)		(0.07	)		(0.21	)		(0.25	)		(0.13	)
Net realized capital gains		(0.28	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)		(0.56	)
Total Distributions		(0.28	)		(2.71	)		(0.24	)		(1.72	)		(0.62	)		(0.69	)
Net asset value, end of the period	$	25.64		$	22.10		$	22.69		$	17.57		$	22.89		$	20.77
Total return		17.36	%(d)(e)		10.76	%(d)		30.52	%(d)		(15.85	)%		13.19	%(b)		6.14	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	245,478		$	227,501		$	298,705		$	453,085		$	774,304		$	903,545
Net expenses		0.95	%(f)(g)		0.95	%(f)		1.00	%(f)(h)(i)		0.99	%		0.97	%		0.98	%
Gross expenses		1.03	%(g)		1.04	%		1.02	%(h)		0.99	%		0.97	%		0.98	%
Net investment income		0.32	%(g)		0.60	%		0.48	%		0.66	%		1.04	%(b)		0.62	%
Portfolio turnover rate		33	%		52	%		52	%		44	%		42	%		57	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.15, total return would have been 12.80% and the ratio of net investment income to average net assets would have been 0.67%.

(c) Amount rounds to less than $0.01 per share.

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

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

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

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

(h) Includes interest expense. Without this expense the ratio of net expenses would have been 0.98% and the ratio of gross expenses would have been 1.01%.

(i) Effective July 1, 2019, the expense limit decreased from 1.15% to 0.95%.

See accompanying notes to financial statements.

53  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Small Cap Value Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	16.69		$	15.45		$	12.48		$	18.71		$	19.79		$	17.74
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.03	(b)		0.00	(c)		0.02			0.01			(0.01	)		0.02
Net realized and unrealized gain (loss)		3.37			1.33			3.06			(2.76	)		1.21			3.49
Total from Investment Operations		3.40			1.33			3.08			(2.75	)		1.20			3.51
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(c)		(0.03	)		(0.00	)(c)		(0.00	)(c)		(0.01	)
Net realized capital gains		—			(0.09	)		(0.08	)		(3.48	)		(2.28	)		(1.45	)
Total Distributions		—			(0.09	)		(0.11	)		(3.48	)		(2.28	)		(1.46	)
Net asset value, end of the period	$	20.09		$	16.69		$	15.45		$	12.48		$	18.71		$	19.79
Total return(d)		20.37	%(b)(e)(f)		8.91	%(e)		24.66	%(e)		(14.84	)%		6.28	%		20.24	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	78,012		$	61,571		$	67,525		$	66,376		$	93,751		$	106,447
Net expenses		1.30	%(g)(h)		1.32	%(g)(i)		1.40	%(g)(j)		1.38	%		1.36	%		1.35	%
Gross expenses		1.50	%(h)		1.53	%		1.47	%		1.38	%		1.36	%		1.35	%
Net investment income (loss)		0.32	%(b)(h)		0.02	%		0.12	%		0.03	%		(0.03	)%		0.11	%
Portfolio turnover rate		60	%		105	%		61	%		70	%		92	%		74	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.02), total return would have been 20.07% and the ratio of net investment loss to average net assets would have been (0.20%).

(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) 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) Effective July 1, 2020, the expense limit decreased from 1.34% to 1.30%.

(j) Effective July 1, 2019, the expense limit decreased from 1.45% to 1.34%.

See accompanying notes to financial statements.

|  54

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Small Cap Value Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	8.34		$	7.84		$	6.41		$	11.67		$	13.26		$	12.39
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.02	)(b)		(0.05	)		(0.05	)		(0.09	)		(0.10	)		(0.08	)
Net realized and unrealized gain (loss)		1.68			0.64			1.57			(1.69	)		0.79			2.40
Total from Investment Operations		1.66			0.59			1.52			(1.78	)		0.69			2.32
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(c)		(0.01	)		(0.00	)(c)		(0.00	)(c)		—
Net realized capital gains		—			(0.09	)		(0.08	)		(3.48	)		(2.28	)		(1.45	)
Total Distributions		—			(0.09	)		(0.09	)		(3.48	)		(2.28	)		(1.45	)
Net asset value, end of the period	$	10.00		$	8.34		$	7.84		$	6.41		$	11.67		$	13.26
Total return(d)		19.90	%(b)(e)(f)(g)		8.08	%(e)		23.69	%(e)		(15.51	)%		5.50	%		19.32	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	937		$	983		$	1,450		$	3,480		$	15,756		$	20,379
Net expenses		2.05	%(h)(i)		2.07	%(h)(j)		2.16	%(h)(k)		2.12	%		2.11	%		2.10	%
Gross expenses		2.25	%(i)		2.28	%		2.23	%		2.12	%		2.11	%		2.10	%
Net investment loss		(0.35	)%(b)(i)		(0.71	)%		(0.68	)%		(0.83	)%		(0.79	)%		(0.64	)%
Portfolio turnover rate		60	%		105	%		61	%		70	%		92	%		74	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.04), total return would have been 19.66% and the ratio of net investment loss to average net assets would have been (0.93%).

(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) Generally accepted accounting principles require certain adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns based on the adjusted net asset values per share may differ from the total returns reported in the average annual total return table.

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

(j) Effective July 1, 2020, the expense limit decreased from 2.09% to 2.05%.

(k) Effective July 1, 2019, the expense limit decreased from 2.20% to 2.09%.

See accompanying notes to financial statements.

55  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Small Cap Value Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	17.52		$	16.20		$	13.08		$	19.37		$	19.55
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.00	(b)(c)		0.04			0.08			0.08			0.07
Net realized and unrealized gain (loss)		3.60			1.42			3.20			(2.86	)		1.35
Total from Investment Operations		3.60			1.46			3.28			(2.78	)		1.42
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.05	)		(0.08	)		(0.03	)		(0.02	)
Net realized capital gains		—			(0.09	)		(0.08	)		(3.48	)		(1.58	)
Total Distributions		—			(0.14	)		(0.16	)		(3.51	)		(1.60	)
Net asset value, end of the period	$	21.12		$	17.52		$	16.20		$	13.08		$	19.37
Total return(d)		20.55	%(b)(e)		9.27	%		25.08	%		(14.48	)%		7.17	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,245		$	23		$	21		$	1		$	1
Net expenses(f)		1.00	%(g)		1.02	%(h)		1.03	%(i)		0.96	%		0.96	%(g)
Gross expenses		1.36	%(g)		6.54	%		11.80	%		15.17	%		14.68	%(g)
Net investment income		0.01	%(b)(g)		0.31	%		0.52	%		0.43	%		0.56	%(g)
Portfolio turnover rate		60	%		105	%		61	%		70	%		92	%(j)

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

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

(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.00), total return would have been 20.26% and the ratio of net investment loss to average net assets would have been (0.01%).

(c) Amount rounds to less than $0.01 per share.

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

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

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

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

(h) Effective July 1, 2020, the expense limit decreased from 1.04% to 1.00%.

(i) Effective July 1, 2019, the expense limit decreased from 1.15% to 1.04%.

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

See accompanying notes to financial statements.

|  56

Financial Highlights (continued)

For a share outstanding throughout each period.

	Vaughan Nelson Small Cap Value Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	17.51		$	16.19		$	13.08		$	19.37		$	20.36		$	18.21
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.06	(b)		0.04			0.05			0.04			0.05			0.07
Net realized and unrealized gain (loss)		3.53			1.41			3.21			(2.84	)		1.25			3.59
Total from Investment Operations		3.59			1.45			3.26			(2.80	)		1.30			3.66
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.04	)		(0.07	)		(0.01	)		(0.01	)		(0.06	)
Net realized capital gains		—			(0.09	)		(0.08	)		(3.48	)		(2.28	)		(1.45	)
Total Distributions		—			(0.13	)		(0.15	)		(3.49	)		(2.29	)		(1.51	)
Net asset value, end of the period	$	21.10		$	17.51		$	16.19		$	13.08		$	19.37		$	20.36
Total return		20.50	%(b)(c)(d)		9.23	%(c)		24.88	%(c)		(14.61	)%		6.60	%		20.53	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	63,053		$	49,315		$	44,482		$	58,538		$	176,940		$	183,145
Net expenses		1.05	%(e)(f)		1.07	%(e)(g)		1.15	%(e)(h)		1.12	%		1.11	%		1.10	%
Gross expenses		1.25	%(f)		1.28	%		1.23	%		1.12	%		1.11	%		1.10	%
Net investment income		0.61	%(b)(f)		0.26	%		0.35	%		0.22	%		0.23	%		0.36	%
Portfolio turnover rate		60	%		105	%		61	%		70	%		92	%		74	%

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

(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been 20.22% and the ratio of net investment income to average net assets would have been 0.06%.

(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, 2020, the expense limit decreased from 1.09% to 1.05%.

(h) Effective July 1, 2019, the expense limit decreased from 1.20% to 1.09%.

See accompanying notes to financial statements.

57  |

Notes to Financial Statements

June 30, 2021 (Unaudited)

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

Loomis Sayles Funds II:

Loomis Sayles International Growth Fund (the “International Growth Fund”)

Natixis Funds Trust I:

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”)

Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)

Natixis Funds Trust II:

Natixis Oakmark Fund

Vaughan Nelson Mid Cap Fund (the “Mid Cap Fund”)

Each Fund is a diversified investment company, except for International Growth Fund, which is a non-diversified investment company.

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

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

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

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

a.  Valuation.  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 or sub-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 or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day,

|  58

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

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. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. 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.

As of June 30, 2021, securities held by the Funds were fair valued as follows:

Fund	Equity securities1		Percentage of Net Assets
International Growth Fund	$	15,447,005		59.6	%
Natixis Oakmark International Fund		486,884,399		86.6	%

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

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded 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

59  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

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

d.  Forward Foreign Currency Contracts.  Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

e.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2021 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

In certain countries across the European Union, certain Funds filed tax reclaims for previously withheld taxes on dividends earned in certain countries (EU reclaims) and may continue to make such filings when it is determined to be in the best interest of the Funds and their shareholders. These filings are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the European Union, as well as a number of related judicial proceedings. Income recognized, if any, for EU reclaims is reflected as other income in the Statements of Operations and any related receivable, if any, is reflected as tax reclaims receivable in the Statements of Assets and Liabilities. To date, no amounts have been received by any Funds and no amounts are included in any Funds financial statements for such EU reclaims, based on the uncertainty with the ultimate resolution of these proceedings, the potential collectability and timing for payment, if any.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to

|  60

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

differing treatments for book and tax purposes of items such as deferred Trustees’ fees, prior period adjustments, distribution re-designations, foreign currency gains and losses, non-deductible expenses, net operating losses, passive foreign investment company adjustments, return of capital distributions received, and capital gain distributions received. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to wash sales, deferred Trustees’ fees, and passive foreign investment company adjustments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2020 was as follows:

	2020 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total
International Growth Fund	$	12,460	$	—	$	12,460
Natixis Oakmark Fund		3,185,140		18,031,501		21,216,641
Natixis Oakmark International Fund		1,593,501		—		1,593,501
U.S. Equity Opportunities Fund		297,964		115,715,748		116,013,712
Mid Cap Fund		965,830		33,018,937		33,984,767
Small Cap Value Fund		118,830		616,973		735,803

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

As of December 31, 2020, capital loss carryforwards were as follows:

	International Growth Fund		Natixis Oakmark Fund		Natixis Oakmark International Fund			U.S. Equity Opportunities Fund		Mid Cap Fund		Small Cap Value Fund
Capital loss carryforward:
Long-term:
No expiration date	$	—	$	—	$	(110,479,511	)	$	—	$	—	$	(4,098,262	)

As of June 30, 2021, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			U.S. Equity Opportunities Fund			Mid Cap Fund			Small Cap Value Fund
Federal tax cost	$	24,613,950		$	208,106,315		$	482,634,470		$	623,923,297		$	246,918,862		$	121,452,220
Gross tax appreciation	$	1,517,574		$	102,104,689		$	101,461,424		$	450,098,690		$	72,781,468		$	26,145,105
Gross tax depreciation		(897,802	)		(731,054	)		(24,610,539	)		(12,740,395	)		(2,738,724	)		(2,201,161	)
Net tax appreciation	$	619,772		$	101,373,635		$	76,850,885		$	437,358,295		$	70,042,744		$	23,943,944

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

61  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

g.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2021, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h.  Securities Lending.  Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2021, none of the Funds had loaned securities under this agreement.

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

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

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

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

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

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

|  62

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2021, at value:

International Growth Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	789,211	$	—	$	789,211
Belgium		—		579,594		—		579,594
China		5,695,363		2,823,485		—		8,518,848
Denmark		—		690,512		—		690,512
France		—		1,148,147		—		1,148,147
Germany		—		779,270		—		779,270
Japan		—		1,196,657		—		1,196,657
Macau		—		311,847		—		311,847
Netherlands		—		1,248,236		—		1,248,236
Switzerland		887,157		3,453,300		—		4,340,457
United Kingdom		—		2,426,746		—		2,426,746
All Other Common Stocks(a)		3,204,197		—		—		3,204,197
Total	$	9,786,717	$	15,447,005	$	—	$	25,233,722

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

Natixis Oakmark Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	296,339,554	$	—	$	—	$	296,339,554
Short-Term Investments		—		13,140,396		—		13,140,396
Total	$	296,339,554	$	13,140,396	$	—	$	309,479,950

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

63  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Natixis Oakmark International Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	14,355,423	$	—	$	14,355,423
Belgium		—		6,812,392		—		6,812,392
China		5,215,940		5,225,610		—		10,441,550
Finland		—		4,281,727		—		4,281,727
France		—		62,177,928		—		62,177,928
Germany		—		138,817,131		—		138,817,131
India		—		7,705,883		—		7,705,883
Indonesia		—		3,054,174		—		3,054,174
Ireland		6,488,596		458,774		—		6,947,370
Italy		—		21,740,082		—		21,740,082
Japan		—		11,779,074		—		11,779,074
Korea		—		7,659,211		—		7,659,211
Netherlands		—		10,259,915		—		10,259,915
South Africa		—		14,619,068		—		14,619,068
Spain		—		7,235,067		—		7,235,067
Sweden		—		20,148,441		—		20,148,441
Switzerland		—		68,789,426		—		68,789,426
United Kingdom		11,103,877		81,765,073		—		92,868,950
All Other Common Stocks(a)		27,618,519		—		—		27,618,519
Total Common Stocks		50,426,932		486,884,399		—		537,311,331
Bonds and Notes(a)		—		1,705,551		—		1,705,551
Short-Term Investments		—		20,278,547		—		20,278,547
Total Investments		50,426,932		508,868,497		—		559,295,429
Forward Foreign Currency Contracts (unrealized appreciation)		—		189,926		—		189,926
Total	$	50,426,932	$	509,058,423	$	—	$	559,485,355

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

U.S. Equity Opportunities Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,050,136,563	$	—	$	—	$	1,050,136,563
Short-Term Investments		—		11,145,029		—		11,145,029
Total	$	1,050,136,563	$	11,145,029	$	—	$	1,061,281,592

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

Mid Cap Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	310,265,014	$	—	$	—	$	310,265,014
Short-Term Investments		—		6,696,592		—		6,696,592
Total	$	310,265,014	$	6,696,592	$	—	$	316,961,606

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

|  64

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Small Cap Value Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	141,394,992	$	—	$	—	$	141,394,992
Short-Term Investments		—		4,001,172		—		4,001,172
Total	$	141,394,992	$	4,001,172	$	—	$	145,396,164

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

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Natixis Oakmark International Fund used during the period include forward foreign currency contracts.

Natixis Oakmark International Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2021, Natixis Oakmark International Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	189,926

Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Forward foreign currency contracts
Foreign exchange contracts	$	146,847

Net Change in Unrealized Appreciation (Depreciation) on:	Forward foreign currency contracts
Foreign exchange contracts	$	199,045

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement 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 be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2021:

Natixis Oakmark International Fund	Forwards
Average Notional Amount Outstanding		1.24	%
Highest Notional Amount Outstanding		1.37	%
Lowest Notional Amount Outstanding		1.16	%
Notional Amount Outstanding as of June 30, 2021		1.16	%

65  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in net assets.

Natixis Oakmark International Fund enters into over-the-counter derivatives, including forward foreign currency contracts, pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement between the Fund and its counterparty. ISDA agreements typically contain master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. For financial reporting purposes, the Fund does not offset derivative assets and liabilities on the Statements of Assets and Liabilities.

As of June 30, 2021, gross amounts of derivative assets and liabilities not offset in the Statement of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Counterparty	Gross Amounts of Assets		Offset Amount		Net Amount
State Street Bank and Trust Company	$	189,926	$	—	$	189,926

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements and monitoring of counterparty credit default swap spreads. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2021:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Natixis Oakmark International Fund	$	189,926	$	189,926

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2021, purchases and sales of securities (excluding short-term investments) were as follows:

Fund	Purchases		Sales
International Growth Fund	$	11,013,167	$	1,543,919
Natixis Oakmark Fund		42,166,070		44,736,963
Natixis Oakmark International Fund		95,042,269		111,870,789
U.S. Equity Opportunities Fund		51,575,084		92,596,743
Mid Cap Fund		98,305,866		124,778,423
Small Cap Value Fund		85,015,677		76,458,558

6. Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to International Growth Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreement, International Growth 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.

|  66

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Natixis Advisors, LLC (“Natixis Advisors”) serves as investment adviser to Natixis Oakmark Fund, Natixis Oakmark International Fund, U.S. Equity Opportunities Fund, Mid Cap Fund and Small Cap Value Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $150 million			Next $50 million			Next $300 million			Next $500 million			Next $500 million			Over $1.5 billion
Natixis Oakmark Fund		0.70	%		0.70	%		0.65	%		0.60	%		0.60	%		0.60	%
Natixis Oakmark International Fund		0.85	%		0.75	%		0.75	%		0.75	%		0.70	%		0.70	%
U.S. Equity Opportunities Fund		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%
Mid Cap Fund		0.80	%		0.80	%		0.80	%		0.80	%		0.80	%		0.75	%
Small Cap Value Fund		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%

Effective July 1, 2021, Mid Cap Fund and Small Cap Value Fund pay a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $150 million			Next $50 million			Next $300 million			Next $500 million			Next $500 million			Over $1.5 billion
Mid Cap Fund		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%		0.70	%
Small Cap Value Fund		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.

Natixis Oakmark Fund	Harris Associates L.P. (“Harris”)
Natixis Oakmark International Fund	Harris
U.S. Equity Opportunities Fund	Harris Loomis Sayles
Mid Cap Fund	Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Small Cap Value Fund	Vaughan Nelson

Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC.

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

		Percentage of Average Daily Net Assets
Fund	Subadviser	First $150 million			Next $50 million			Next $800 million			Next $500 million			Over $1.5 billion
Natixis Oakmark Fund	Harris		0.52	%		0.52	%		0.50	%		0.50	%		0.50	%
Natixis Oakmark International Fund	Harris		0.60	%		0.50	%		0.50	%		0.45	%		0.45	%
U.S. Equity Opportunities Fund
Large Cap Value Segment	Harris		0.52	%		0.52	%		0.52	%		0.52	%		0.52	%
All Cap Growth Segment	Loomis Sayles		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Mid Cap Fund	Vaughan Nelson		0.50	%		0.50	%		0.50	%		0.50	%		0.47	%
Small Cap Value Fund	Vaughan Nelson		0.55	%		0.55	%		0.55	%		0.55	%		0.55	%

Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

67  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Effective July 1, 2021, Mid Cap Fund and Small Cap Value Fund each pay their respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

			Percentage of Average Daily Net Assets
Fund	Subadviser		First $150 million			Next $50 million			Next $800 million			Next $500 million			Over $1.5 billion
Mid Cap Fund		Vaughan Nelson		0.47	%		0.47	%		0.47	%		0.47	%		0.44	%
Small Cap Value Fund		Vaughan Nelson		0.52	%		0.52	%		0.52	%		0.52	%		0.52	%

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. These undertakings are in effect until April 30, 2022, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2021, 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
International Growth Fund		1.20	%		1.95	%		0.90	%		0.95	%
Natixis Oakmark Fund		1.30	%		2.05	%		1.00	%		1.05	%
Natixis Oakmark International Fund		1.20	%		1.95	%		0.90	%		0.95	%
U.S. Equity Opportunities Fund		1.20	%		1.95	%		0.90	%		0.95	%
Mid Cap Fund		1.20	%		1.95	%		0.90	%		0.95	%
Small Cap Value Fund		1.30	%		2.05	%		1.00	%		1.05	%

Effective July 1, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Natixis Oakmark Fund, Natixis Oakmark International Fund, Mid Cap Fund and Small Cap Value Fund are as follows:

	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
Natixis Oakmark Fund		1.05	%		1.80	%		0.75	%		0.80	%
Natixis Oakmark International Fund		1.15	%		1.90	%		0.85	%		0.90	%
Mid Cap Fund		1.15	%		1.90	%		0.85	%		0.90	%
Small Cap Value Fund		1.25	%		2.00	%		0.95	%		1.00	%

These new undertakings are in effect until April 30, 2023, 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 fee or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

|  68

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

For the six months ended June 30, 2021, the management fees and waiver of management fees for each Fund were as follows:

	Gross Management Fees		Contractual Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
Fund							Gross			Net
International Growth Fund	$	88,924	$	71,035	$	17,889		0.75	%		0.15	%
Natixis Oakmark Fund		956,455		—		956,455		0.69	%		0.69	%
Natixis Oakmark International Fund		2,073,305		407,832		1,665,473		0.78	%		0.62	%
U.S. Equity Opportunities Fund		3,742,472		—		3,742,472		0.75	%		0.75	%
Mid Cap Fund		1,230,652		116,778		1,113,874		0.80	%		0.72	%
Small Cap Value Fund		589,754		131,835		457,919		0.90	%		0.70	%

¹  Management fee waivers are subject to possible recovery until December 31, 2022.

No expenses were recovered for any of the Funds during the six months ended June 30, 2021 under the terms of the expense limitation agreements.

b. Service and Distribution Fees.  Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

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

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

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

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

For the six months ended June 30, 2021, the service and distribution fees for each Fund were as follows:

	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
International Growth Fund	$	65	$	28	$	85
Natixis Oakmark Fund		241,786		48,520		145,558
Natixis Oakmark International Fund		181,603		116,223		348,669
U.S. Equity Opportunities Fund		856,800		79,147		237,440
Mid Cap Fund		41,734		17,708		53,123
Small Cap Value Fund		90,102		1,235		3,705

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

69  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

For the six months ended June 30, 2021, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
International Growth Fund	$	5,068
Natixis Oakmark Fund		59,661
Natixis Oakmark International Fund		113,969
U.S. Equity Opportunities Fund		214,400
Mid Cap Fund		65,779
Small Cap Value Fund		28,020

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

For the six months ended June 30, 2021, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Natixis Oakmark Fund	$	43,849
Natixis Oakmark International Fund		408,708
U.S. Equity Opportunities Fund		173,123
Mid Cap Fund		125,517
Small Cap Value Fund		36,202

As of June 30, 2021, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Natixis Oakmark Fund	$	987
Natixis Oakmark International Fund		9,752
U.S. Equity Opportunities Fund		4,110
Mid Cap Fund		2,817
Small Cap Value Fund		715

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2021 was as follows:

Fund	Commissions
Natixis Oakmark Fund	$	9,384
Natixis Oakmark International Fund		3,977
U.S. Equity Opportunities Fund		15,732
Mid Cap Fund		489
Small Cap Value Fund		635

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance

|  70

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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 Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. 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, Loomis Sayles and affiliates are also officers and/or Trustees of the Trusts.

g.  Affiliated Ownership.  As of June 30, 2021, Natixis Investment Managers, LLC and affiliates held shares of International Growth Fund representing 98.66% of the Funds’ 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 Funds (effective May 1, 2021 for Mid Cap Fund) to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2022 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2021 (for the period May 1, 2021 through June 30, 2021 for Mid Cap Fund), Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:

	Reimbursement of Transfer Agency Expenses
Fund	Class N
International Growth Fund	$	600
Natixis Oakmark Fund		893
Natixis Oakmark International Fund		907
U.S. Equity Opportunities Fund		886
Mid Cap Fund		212
Small Cap Value Fund		885

7.  Custodian Fees and Expenses.  State Street Bank, custodian to the Funds, has agreed to waive custodian fees and certain other expenses for the first 12 months of operations for International Growth Fund. For the six months ended June 30, 2021, total fees waived for the Fund were $12,262.

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

71  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

For the six months ended June 30, 2021, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
International Growth Fund	$	477	$	209	$	600	$	1,208
Natixis Oakmark Fund		72,777		14,655		893		17,419
Natixis Oakmark International Fund		116,319		74,874		907		235,653
U.S. Equity Opportunities Fund		221,627		20,540		886		80,607
Mid Cap Fund		16,158		6,850		886		116,008
Small Cap Value Fund		36,011		499		885		28,755

9.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 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 $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 8, 2021, each Fund except for International Growth Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 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.

For the six months ended June 30, 2021, Mid Cap Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $14,200,000 at a weighted average interest rate of 1.17%. Interest expense incurred on the line of credit was $923.

10.  Risk.  The Funds’ investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

International Growth Fund is non-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.

Global markets have experienced periods of high volatility triggered by the Covid-19 pandemic. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Such effects could impair the Funds’ ability to maintain operational standards, disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments and negatively impact the Funds’ performance.

11.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2021, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of 5% Account Holders		Percentage of Ownership
Natixis Oakmark International Fund		1		26.53	%
Mid Cap Fund		3		21.64	%
Small Cap Value Fund		3		17.32	%

|  72

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

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

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

	Six Months Ended June 30, 2021						Period Ended December 31, 2020(a)
International Growth Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		9,339		$	98,404			100		$	1,000
Issued in connection with the reinvestment of distributions		2			17			—	(b)		1
Net change		9,341		$	98,421			100		$	1,001
Class C
Issued from the sale of shares		3,872		$	40,000			100		$	1,000
Issued in connection with the reinvestment of distributions		1			9			—	(b)		—	(c)
Net change		3,873		$	40,009			100		$	1,000
Class N
Issued from the sale of shares		940,734		$	10,000,000			1,500,000		$	15,000,000
Issued in connection with the reinvestment of distributions		517			5,372			1,224			12,450
Redeemed		(46,993	)		(500,000	)		—			—
Net change		894,258		$	9,505,372			1,501,224		$	15,012,450
Class Y
Issued from the sale of shares		20,123		$	211,278			1,163		$	11,750
Issued in connection with the reinvestment of distributions		4			40			1			9
Redeemed		(474	)		(5,000	)		—			—
Net change		19,653		$	206,318			1,164		$	11,759
Increase from capital share transactions		927,125		$	9,850,120			1,502,588		$	15,026,210

(a) From commencement of operations on December 15, 2020 through December 31, 2020.

(b) Amount rounds to less than one share.

(c) Amount rounds to less than $1.00.

73  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

12.   Capital Shares (continued).

	Six Months Ended June 30, 2021						Year Ended December 31, 2020
Natixis Oakmark Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		268,226		$	7,352,576			583,622		$	11,675,703
Issued in connection with the reinvestment of distributions		17,379			474,730			589,672			13,475,622
Redeemed		(364,504	)		(9,626,271	)		(1,895,350	)		(37,988,760	)
Net change		(78,899	)	$	(1,798,965	)		(722,056	)	$	(12,837,435	)
Class C
Issued from the sale of shares		128,967		$	2,947,654			196,466		$	3,196,499
Issued in connection with the reinvestment of distributions		4,946			111,343			166,000			3,131,121
Redeemed		(283,902	)		(6,249,441	)		(1,362,306	)		(22,568,463	)
Net change		(149,989	)	$	(3,190,444	)		(999,840	)	$	(16,240,843	)
Class N
Issued from the sale of shares		—		$	—			26		$	561
Issued in connection with the reinvestment of distributions		2			63			1,266			30,687
Redeemed		(14,411	)		(395,907	)		(20,248	)		(414,541	)
Net change		(14,409	)	$	(395,844	)		(18,956	)	$	(383,293	)
Class Y
Issued from the sale of shares		877,199		$	25,017,613			898,502		$	17,536,595
Issued in connection with the reinvestment of distributions		3,623			105,355			88,591			2,151,945
Redeemed		(608,855	)		(16,977,826	)		(1,435,875	)		(28,553,935	)
Net change		271,967		$	8,145,142			(448,782	)	$	(8,865,395	)
Increase (decrease) from capital share transactions		28,670		$	2,759,889			(2,189,634	)	$	(38,326,966	)

	Six Months Ended June 30, 2021						Year Ended December 31, 2020
Natixis Oakmark International Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		1,177,467		$	18,467,718			2,770,572		$	30,737,529
Issued in connection with the reinvestment of distributions		4,126			64,816			14,764			209,645
Redeemed		(1,024,095	)		(16,023,533	)		(6,172,183	)		(66,211,902	)
Net change		157,498		$	2,509,001			(3,386,847	)	$	(35,264,728	)
Class C
Issued from the sale of shares		184,926		$	2,837,834			471,769		$	5,126,354
Issued in connection with the reinvestment of distributions		3,755			57,645			—			—
Redeemed		(1,686,605	)		(25,574,185	)		(6,873,953	)		(71,978,638	)
Net change		(1,497,924	)	$	(22,678,706	)		(6,402,184	)	$	(66,852,284	)
Class N
Issued from the sale of shares		376		$	5,871			7,236		$	76,266
Issued in connection with the reinvestment of distributions		13			196			131			1,852
Redeemed		(1,670	)		(24,429	)		(46,592	)		(500,123	)
Net change		(1,281	)	$	(18,362	)		(39,225	)	$	(422,005	)
Class Y
Issued from the sale of shares		3,394,367		$	54,282,082			22,716,726		$	249,354,124
Issued in connection with the reinvestment of distributions		11,886			185,895			87,587			1,237,605
Redeemed		(2,738,432	)		(42,075,061	)		(21,280,488	)		(222,395,466	)
Net change		667,821		$	12,392,916			1,523,825		$	28,196,263
Decrease from capital share transactions		(673,886	)	$	(7,795,151	)		(8,304,431	)	$	(74,342,754	)

|  74

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

12.   Capital Shares (continued).

	Six Months Ended June 30, 2021						Year Ended December 31, 2020
U.S. Equity Opportunities Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		363,872		$	15,371,088			809,852		$	28,587,906
Issued in connection with the reinvestment of distributions		539,107			22,728,698			1,934,829			70,589,892
Redeemed		(1,133,519	)		(47,250,788	)		(2,986,385	)		(103,892,894	)
Net change		(230,540	)	$	(9,151,002	)		(241,704	)	$	(4,715,096	)
Class C
Issued from the sale of shares		96,954		$	2,243,343			289,975		$	6,110,793
Issued in connection with the reinvestment of distributions		163,710			3,750,603			553,577			11,519,306
Redeemed		(575,839	)		(13,405,041	)		(1,400,383	)		(29,908,911	)
Net change		(315,175	)	$	(7,411,095	)		(556,831	)	$	(12,278,812	)
Class N
Issued from the sale of shares		—		$	—			947		$	37,836
Issued in connection with the reinvestment of distributions		109			5,649			500			21,295
Redeemed		—			—			(12,852	)		(496,375	)
Net change		109		$	5,649			(11,405	)	$	(437,244	)
Class Y
Issued from the sale of shares		681,783		$	35,442,708			1,666,973		$	71,953,482
Issued in connection with the reinvestment of distributions		117,498			6,104,024			465,008			20,643,018
Redeemed		(1,092,211	)		(55,949,304	)		(3,552,649	)		(145,365,948	)
Net change		(292,930	)	$	(14,402,572	)		(1,420,668	)	$	(52,769,448	)
Decrease from capital share transactions		(838,536	)	$	(30,959,020	)		(2,230,608	)	$	(70,200,600	)

	Six Months Ended June 30, 2021						Year Ended December 31, 2020
Mid Cap Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		133,842		$	3,238,003			226,127		$	4,488,446
Issued in connection with the reinvestment of distributions		14,607			352,760			162,666			3,228,512
Redeemed		(127,076	)		(3,019,526	)		(477,370	)		(9,158,673	)
Net change		21,373		$	571,237			(88,577	)	$	(1,441,715	)
Class C
Issued from the sale of shares		3,373		$	72,381			18,169		$	328,156
Issued in connection with the reinvestment of distributions		7,963			177,346			92,379			1,686,307
Redeemed		(121,417	)		(2,718,023	)		(456,387	)		(8,272,196	)
Net change		(110,081	)	$	(2,468,296	)		(345,839	)	$	(6,257,733	)
Class N
Issued from the sale of shares		106,375		$	2,601,956			94,843		$	1,960,180
Issued in connection with the reinvestment of distributions		9,732			238,223			99,203			2,004,292
Redeemed		(55,232	)		(1,320,156	)		(185,807	)		(3,709,379	)
Net change		60,875		$	1,520,023			8,239		$	255,093
Class Y
Issued from the sale of shares		1,276,172		$	30,925,160			2,378,301		$	47,273,465
Issued in connection with the reinvestment of distributions		113,939			2,793,794			1,248,965			25,109,423
Redeemed		(2,111,112	)		(51,249,483	)		(6,496,334	)		(126,146,971	)
Net change		(721,001	)	$	(17,530,529	)		(2,869,068	)	$	(53,764,083	)
Decrease from capital share transactions		(748,834	)	$	(17,907,565	)		(3,295,245	)	$	(61,208,438	)

75  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

12.   Capital Shares (continued).

	Six Months Ended June 30, 2021						Year Ended December 31, 2020
Small Cap Value Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		580,924		$	10,844,793			158,490		$	2,085,145
Issued in connection with the reinvestment of distributions		—			—			31,711			358,304
Redeemed		(386,161	)		(7,204,379	)		(872,436	)		(11,688,128	)
Net change		194,763		$	3,640,414			(682,235	)	$	(9,244,679	)
Class C
Issued from the sale of shares		4,543		$	42,428			40,156		$	298,734
Issued in connection with the reinvestment of distributions		—			—			1,869			10,560
Redeemed		(28,695	)		(270,065	)		(109,068	)		(738,265	)
Net change		(24,152	)	$	(227,637	)		(67,043	)	$	(428,971	)
Class N
Issued from the sale of shares		57,613		$	1,103,286			—		$	—
Issued in connection with the reinvestment of distributions		—			—			14			179
Redeemed		—			—			—			—
Net change		57,613		$	1,103,286			14		$	179
Class Y
Issued from the sale of shares		493,171		$	9,888,402			1,175,448		$	16,303,249
Issued in connection with the reinvestment of distributions		—			—			25,025			327,632
Redeemed		(321,194	)		(6,421,115	)		(1,131,163	)		(15,630,462	)
Net change		171,977		$	3,467,287			69,310		$	1,000,419
Increase (decrease) from capital share transactions		400,201		$	7,983,350			(679,954	)	$	(8,673,052	)

|  76

Semiannual Report

June 30, 2021

AlphaSimplex Global Alternatives Fund

AlphaSimplex Managed Futures Strategy Fund

Table of Contents

Portfolio Review	1
Portfolio of Investments	10
Financial Statements	24
Notes to Financial Statements	35

ALPHASIMPLEX GLOBAL ALTERNATIVES FUND

Managers	Symbols
Alexander D. Healy, PhD	Class A    GAFAX
Kathryn M. Kaminiski, PhD	Class C    GAFCX
Timothy J. Kang	Class N    GAFNX
Peter A. Lee	Class Y    GAFYX
Philippe P. Lüdi, CFA®, PhD
Robert S. Rickard
AlphaSimplex Group, LLC (Adviser)

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds. The secondary goal of the Fund is to achieve these returns with less volatility than major equity indices.

Average Annual Total Returns – June 30, 2021³

													Life of Class N			Expense Ratios4
	6 Months			1 Year			5 Year			10 Year						Gross			Net
Class Y (Inception 9/30/08)
NAV		0.55	%		6.28	%		3.77	%		2.16	%		—	%		1.31	%		1.26	%
Class A (Inception 9/30/08)
NAV		0.47			6.04			3.51			1.91			—			1.56	%		1.51	%
With 5.75% Maximum Sales Charge		-5.30			-0.05			2.28			1.30			—
Class C (Inception 9/30/08)
NAV		0.10			5.27			2.73			1.30			—			2.31	%		2.26	%
With CDSC1		-0.90			4.27			2.73			1.30			—
Class N (Inception 5/1/13)
NAV		0.55			6.26			3.80			—			2.15			1.67	%		1.21	%
Comparative Performance
Barclay Fund of Funds Index2		4.36			16.25			4.92			3.12			3.47

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 Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by BarclayHedge, Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Fund of Funds Index returns reported by the fund may differ from the index returns for the same period published by others. The performance of the Index reflects the managed fees and other expenses of both the funds of funds in the Index and the hedge funds in which these fund of funds invest.

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 4/30/22. 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.

1  |

ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND

Managers	Symbols
Alexander D. Healy, PhD	Class A    AMFAX
Kathryn M. Kaminski, PhD	Class C    ASFCX
Philippe P. Lüdi, CFA®, PhD	Class N    AMFNX
John C. Perry, PhD	Class Y    ASFYX
Robert S. Rickard
AlphaSimplex Group, LLC (Adviser)

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation.

Average Annual Total Returns – June 30, 2021⁴

	6 Months			1 Year			5 Year			10 Year			Life of Class N			Expense Ratios5
																Gross			Net
Class Y (Inception 7/30/10)
NAV		7.30	%		18.80	%		2.00	%		3.53	%		—	%		1.55	%		1.46	%
Class A (Inception 7/30/10)
NAV		7.18			18.46			1.75			3.28			—			1.81	%		1.71	%
With 5.75% Maximum Sales Charge		1.02			11.63			0.55			2.67			—
Class C (Inception 7/30/10)
NAV		6.75			17.53			0.99			2.65			—			2.55	%		2.46	%
With CDSC1		5.75			16.53			0.99			2.65			—
Class N (Inception 5/01/17)
NAV		7.38			18.86			—			—			5.32			1.36	%		1.36	%
Comparative Performance
Credit Suisse Managed Futures Liquid Index2		11.04			19.65			-0.23			2.36			1.55
SG Trend Index3		7.48			15.21			1.54			2.60			4.42

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit 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 Credit Suisse Managed Futures Liquid Index seeks to gain broad exposure to the Managed Futures strategy using a pre-defined quantitative methodology to invest in a range of asset classes including equities, fixed-income, commodities and currencies. Relative performance for the Credit Suisse Managed Futures Liquid Index is not available prior to January 31, 2011, which is the inception date of the index.

3 SG Trend Index is equal-weighted, reconstituted and rebalanced annually. The index calculates the net daily rate of return for a pool of Commodity Trading Advisors (CTAs) selected from the larger managers that are open to new investment. AlphaSimplex Group, LLC is part of this index.

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

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. 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

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

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

3  |

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the 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 for 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 January 1, 2021 through June 30, 2021. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

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

ALPHASIMPLEX GLOBAL ALTERNATIVES FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,004.70		$7.51
Hypothetical (5% return before expenses)		$1,000.00		$1,017.31		$7.55
Class C
Actual		$1,000.00		$1,001.00		$11.21
Hypothetical (5% return before expenses)		$1,000.00		$1,013.59		$11.28
Class N
Actual		$1,000.00		$1,005.50		$5.97
Hypothetical (5% return before expenses)		$1,000.00		$1,018.84		$6.01
Class Y
Actual		$1,000.00		$1,005.50		$6.27
Hypothetical (5% return before expenses)		$1,000.00		$1,018.55		$6.31

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.51%, 2.26%, 1.20% and 1.26% 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 (181), divided by 365 (to reflect the half-year period).

|  4

ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,071.80		$8.84
Hypothetical (5% return before expenses)		$1,000.00		$1,016.27		$8.60
Class C
Actual		$1,000.00		$1,067.50		$12.66
Hypothetical (5% return before expenses)		$1,000.00		$1,012.55		$12.33
Class N
Actual		$1,000.00		$1,073.80		$7.04
Hypothetical (5% return before expenses)		$1,000.00		$1,018.00		$6.85
Class Y
Actual		$1,000.00		$1,073.00		$7.56
Hypothetical (5% return before expenses)		$1,000.00		$1,017.51		$7.35

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.72%, 2.47%, 1.37% and 1.47% 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 (181), divided by 365 (to reflect the half-year period).

5  |

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”), at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. 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 at its June Board meeting.

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

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

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2021. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates. The Trustees also considered their experience with other funds advised or sub-advised by the Adviser, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the Natixis family of funds.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

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

|  6

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

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees 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, 2020, each Fund’s one-, 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
AlphaSimplex Global Alternatives Fund		88	%		84	%		79	%
AlphaSimplex Managed Futures Strategy Fund		11	%		40	%		40	%

In the case of AlphaSimplex Global Alternatives Fund, which had performance that lagged that of the relevant category median as determined by the independent third-party, the Board concluded that other factors relevant to performance supported renewal of the Agreement. These factors included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the investment objective and policies; and (2) that the Fund made changes to its portfolio management team effective December 31, 2020. The Board also considered information about each Fund’s more recent performance, including how that performance had been impacted by the Covid-19 crisis.

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

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

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive 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 demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for the Funds under their expense limitation agreements. The Trustees also noted that the Funds had total advisory fee rates that were at or below the medians of their respective peer groups of funds.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers, LLC compared to that of certain other investment managers for which such data was available.

7  |

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that each of the Funds has breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment that the 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.

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

• The effect of recent market and economic events, including but not limited to the Covid-19 crisis and its significant disruptions to the economy and business operations, on the performance, asset levels and expense ratios of each Fund.

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

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

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2022.

|  8

LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2020 and ending December 31, 2020 (including updates through June 30, 2021)

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

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

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

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

During the period from January 1, 2020 to December 31, 2020, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

During the period January 1, 2021 through June 30, 2021, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board is operating effectively. The Program Administrators have also monitored, assessed and managed each Fund’s liquidity risk regularly throughout the period.

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

9  |

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund

Shares		Description	Value (†)
	Common Stocks — 42.8% of Net Assets
		Aerospace & Defense — 0.5%
	20,664	Howmet Aerospace, Inc.(a)	$	712,288
	3,552	Lockheed Martin Corp.		1,343,899
	1,155	Northrop Grumman Corp.		419,762
				2,475,949
		Air Freight & Logistics — 0.6%
	8,685	C.H. Robinson Worldwide, Inc.		813,524
	16,190	Expeditors International of Washington, Inc.		2,049,654
				2,863,178
		Auto Components — 0.2%
	22,561	Gentex Corp.		746,543
		Automobiles — 0.2%
	3,454	Ferrari NV		711,697
	12	Tesla, Inc.(a)		8,156
				719,853
		Banks — 0.6%
	7,849	Altabancorp		339,940
	8,309	Bryn Mawr Bank Corp.		350,557
	11,198	Citigroup, Inc.		792,258
	20,918	People’s United Financial, Inc.		358,535
	14,514	Sterling Bancorp		359,802
	12,528	Westamerica BanCorp.		727,000
				2,928,092
		Beverages — 1.0%
	5,413	Brown-Forman Corp., Class B		405,650
	14,961	Coca-Cola Co. (The)		809,540
	19,155	Keurig Dr Pepper, Inc.		675,022
	13,417	PepsiCo, Inc.		1,987,997
	50,849	Primo Water Corp.		850,704
				4,728,913
		Biotechnology — 0.4%
	14,399	AbbVie, Inc.		1,621,903
	992	Amgen, Inc.		241,800
				1,863,703
		Building Products — 0.7%
	5,641	Allegion PLC		785,791
	15,504	Johnson Controls International PLC		1,064,039
	6,345	Masonite International Corp.(a)		709,308
	17,039	Resideo Technologies, Inc.(a)		511,170
	1,261	Simpson Manufacturing Co., Inc.		139,265
				3,209,573
		Capital Markets — 1.1%
	12,640	Houlihan Lokey, Inc.		1,033,826
	3,745	Intercontinental Exchange, Inc.		444,531
	24,434	Invesco Ltd.		653,121
	28,106	Janus Henderson Group PLC		1,090,794
	291	MarketAxess Holdings, Inc.		134,905
	4,058	Morningstar, Inc.		1,043,352
	14,238	SEI Investments Co.		882,329
				5,282,858
		Chemicals — 0.6%
	22,138	Corteva, Inc.		981,820
	1,322	Linde PLC		382,190
	2,055	NewMarket Corp.		661,669
	8,014	Olin Corp.		370,728
	5,121	RPM International, Inc.		454,130
				2,850,537
		Commercial Services & Supplies — 1.3%
	654	ADT, Inc.		7,057
	2,253	Cintas Corp.		860,646
	7,317	Copart, Inc.(a)		964,600
	11,258	IAA, Inc.(a)		614,011
	79,000	Knoll, Inc.		2,053,210
	12,303	Republic Services, Inc.		1,353,453
	3,342	Waste Management, Inc.		468,248
				6,321,225
		Communications Equipment — 0.4%
	54,522	Radware Ltd.(a)		1,678,187
		Construction & Engineering — 0.3%
	17,934	AECOM(a)		1,135,581
	2,094	Valmont Industries, Inc.		494,289
				1,629,870
		Consumer Finance — 0.6%
	1,981	Credit Acceptance Corp.(a)		899,592
	1,161	Discover Financial Services		137,335
	15,381	Green Dot Corp., Class A(a)		720,600
	11,087	Nelnet, Inc., Class A		834,075
	2,887	PROG Holdings, Inc.		138,951
				2,730,553
		Containers & Packaging — 0.4%
	2,851	AptarGroup, Inc.		401,535
	3,624	Avery Dennison Corp.		761,910
	19,808	Silgan Holdings, Inc.		822,032
				1,985,477
		Distributors — 0.2%
	19,992	LKQ Corp.(a)		984,006
		Diversified Consumer Services — 0.2%
	766	Chegg, Inc.(a)		63,662
	14,723	Service Corp. International		789,006
				852,668
		Diversified Financial Services — 0.4%
	4	Berkshire Hathaway, Inc., Class A(a)		1,674,404
		Diversified Telecommunication Services — 0.2%
	20,104	Verizon Communications, Inc.		1,126,427
		Electric Utilities — 1.3%
	7,797	Alliant Energy Corp.		434,761
	14,960	American Electric Power Co., Inc.		1,265,466
	8,953	Avangrid, Inc.		460,453
	4,897	Duke Energy Corp.		483,432
	4,924	Eversource Energy		395,102
	19,432	Exelon Corp.		861,032
	10,964	Hawaiian Electric Industries, Inc.		463,558
	4,903	IDACORP, Inc.		478,042
	4,692	NextEra Energy, Inc.		343,830
	5,589	Southern Co. (The)		338,190
	6,833	Xcel Energy, Inc.		450,158
				5,974,024
		Electrical Equipment — 0.3%
	3,190	AMETEK, Inc.		425,865
	2,239	Generac Holdings, Inc.(a)		929,521
				1,355,386
		Electronic Equipment, Instruments & Components — 0.8%
	4,713	CDW Corp.		823,125
	8,419	Coherent, Inc.(a)		2,225,479
	37,090	Flex Ltd.(a)		662,798
				3,711,402

See accompanying notes to financial statements.

|  10

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund – (continued)

Shares		Description	Value (†)
		Entertainment — 0.4%
	36,596	Lions Gate Entertainment Corp., Class A(a)	$	757,537
	20	Roku, Inc.(a)		9,185
	5,647	Walt Disney Co. (The)(a)		992,573
				1,759,295
		Food & Staples Retailing — 0.3%
	2,117	Sysco Corp.		164,597
	7,297	Walmart, Inc.		1,029,023
				1,193,620
		Food Products — 2.3%
	14,823	Cal-Maine Foods, Inc.		536,741
	7,398	Campbell Soup Co.		337,275
	40,177	Conagra Brands, Inc.		1,461,639
	16,078	Flowers Foods, Inc.		389,088
	5,892	General Mills, Inc.		359,000
	23,786	Hain Celestial Group, Inc. (The)(a)		954,294
	2,326	Hershey Co. (The)		405,143
	8,716	Hormel Foods Corp.		416,189
	40,622	Hostess Brands, Inc.(a)		657,670
	3,728	J.M. Smucker Co. (The)		483,037
	7,364	Kellogg Co.		473,726
	3,822	McCormick & Co., Inc.		337,559
	32,555	Mondelez International, Inc., Class A		2,032,734
	23,966	Nomad Foods Ltd.(a)		677,519
	7,790	Post Holdings, Inc.(a)		844,981
	42,475	SunOpta, Inc.(a)		519,894
				10,886,489
		Gas Utilities — 0.3%
	12,982	Atmos Energy Corp.		1,247,700
		Health Care Equipment & Supplies — 1.4%
	3,807	Baxter International, Inc.		306,463
	1,989	Becton Dickinson & Co.		483,705
	10,178	Danaher Corp.		2,731,368
	155	DexCom, Inc.(a)		66,185
	6,648	Medtronic PLC		825,216
	14,818	Merit Medical Systems, Inc.(a)		958,132
	34	Novocure Ltd.(a)		7,542
	65	Quidel Corp.(a)		8,328
	2,629	ResMed, Inc.		648,101
	2,252	STERIS PLC		464,588
				6,499,628
		Health Care Providers & Services — 0.8%
	13,240	Encompass Health Corp.		1,033,117
	3,728	Laboratory Corp. of America Holdings(a)		1,028,369
	19,408	MEDNAX, Inc.(a)		585,151
	7,761	Quest Diagnostics, Inc.		1,024,219
				3,670,856
		Health Care Technology — 0.3%
	12,533	Cerner Corp.		979,579
	30,178	Evolent Health, Inc., Class A(a)		637,359
	116	Teladoc Health, Inc.(a)		19,290
				1,636,228
		Hotels, Restaurants & Leisure — 0.7%
	70	Chipotle Mexican Grill, Inc.(a)		108,524
	8,247	Hilton Worldwide Holdings, Inc.(a)		994,753
	6,421	McDonald’s Corp.		1,483,187
	7,083	Yum! Brands, Inc.		814,757
				3,401,221
		Household Durables — 0.4%
	12,263	Garmin Ltd.		1,773,720
		Household Durables — continued
	1,154	Installed Building Products, Inc.		141,204
				1,914,924
		Household Products — 0.9%
	5,836	Church & Dwight Co., Inc.		497,344
	2,265	Clorox Co. (The)		407,496
	5,954	Colgate-Palmolive Co.		484,358
	2,592	Kimberly-Clark Corp.		346,758
	18,434	Procter & Gamble Co. (The)		2,487,299
				4,223,255
		Independent Power & Renewable Electricity Producers — 0.2%
	21,028	Atlantica Sustainable Infrastructure PLC		782,662
		Industrial Conglomerates — 0.1%
	1,996	3M Co.		396,465
		Insurance — 1.4%
	2,551	Allstate Corp. (The)		332,753
	3,653	Aon PLC, Class A		872,190
	3,129	Arthur J. Gallagher & Co.		438,310
	37,787	Athene Holding Ltd., Class A(a)		2,550,623
	7,606	Brown & Brown, Inc.		404,183
	6,705	Marsh & McLennan Cos., Inc.		943,259
	5,078	Progressive Corp. (The)		498,710
	599	White Mountains Insurance Group Ltd.		687,670
				6,727,698
		Interactive Media & Services — 0.2%
	450	Alphabet, Inc., Class A(a)		1,098,806
	49	IAC/InterActiveCorp.(a)		7,554
	896	Pinterest, Inc., Class A(a)		70,739
	119	Snap, Inc., Class A(a)		8,109
				1,185,208
		Internet & Direct Marketing Retail — 0.5%
	661	Amazon.com, Inc.(a)		2,273,946
	5	MercadoLibre, Inc.(a)		7,789
				2,281,735
		IT Services — 1.3%
	3,504	Accenture PLC, Class A		1,032,944
	11,240	Amdocs Ltd.		869,526
	8,373	Broadridge Financial Solutions, Inc.		1,352,491
	3,130	EVERTEC, Inc.		136,625
	8,412	MAXIMUS, Inc.		740,004
	7,571	Paychex, Inc.		812,368
	33	Square, Inc., Class A(a)		8,045
	22	Twilio, Inc., Class A(a)		8,672
	2,774	Visa, Inc., Class A		648,617
	2,037	Wix.com Ltd.(a)		591,300
				6,200,592
		Leisure Products — 0.2%
	18,446	Acushnet Holdings Corp.		911,232
	1,435	Brunswick Corp.		142,955
				1,054,187
		Life Sciences Tools & Services — 1.1%
	15,751	Agilent Technologies, Inc.		2,328,155
	16,202	PRA Health Sciences, Inc.(a)		2,676,733
				5,004,888
		Machinery — 0.9%
	2,181	Donaldson Co., Inc.		138,559
	7,078	Graco, Inc.		535,805
	1,061	Lincoln Electric Holdings, Inc.		139,744
	14,627	Toro Co. (The)		1,607,215

See accompanying notes to financial statements.

11  |

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund – (continued)

Shares		Description	Value (†)
		Machinery — continued
	26,460	Trinity Industries, Inc.	$	711,509
	42,587	Welbilt, Inc.(a)		985,889
				4,118,721
		Media — 1.1%
	29,224	Altice USA, Inc., Class A(a)		997,707
	3,652	Charter Communications, Inc., Class A(a)		2,634,736
	28,645	Comcast Corp., Class A		1,633,338
				5,265,781
		Metals & Mining — 0.3%
	5,863	Reliance Steel & Aluminum Co.		884,726
	8,593	Southern Copper Corp.		552,702
				1,437,428
		Multi-Utilities — 0.8%
	5,794	Ameren Corp.		463,752
	7,646	CMS Energy Corp.		451,725
	17,543	Consolidated Edison, Inc.		1,258,184
	5,481	Dominion Energy, Inc.		403,237
	3,623	DTE Energy Co.		469,541
	5,868	Public Service Enterprise Group, Inc.		350,554
	4,945	WEC Energy Group, Inc.		439,858
				3,836,851
		Multiline Retail — 0.2%
	4,907	Dollar General Corp.		1,061,826
		Oil, Gas & Consumable Fuels — 0.7%
	15,974	Cheniere Energy, Inc.(a)		1,385,585
	4,929	Cimarex Energy Co.		357,106
	3,694	CVR Energy, Inc.		66,344
	32,727	Enviva Partners LP		1,715,222
				3,524,257
		Personal Products — 0.2%
	3,324	Estee Lauder Cos., Inc. (The), Class A		1,057,298
		Pharmaceuticals — 1.1%
	12,156	Bristol-Myers Squibb Co.		812,264
	29,076	Elanco Animal Health, Inc.(a)		1,008,646
	7,460	Johnson & Johnson		1,228,960
	5,376	Merck & Co., Inc.		418,092
	19,649	Pfizer, Inc.		769,455
	4,424	Zoetis, Inc.		824,457
				5,061,874
		Professional Services — 0.8%
	11,463	Booz Allen Hamilton Holding Corp.		976,418
	34,498	Nielsen Holdings PLC		851,066
	11,118	Verisk Analytics, Inc.		1,942,537
				3,770,021
		Real Estate Management & Development — 0.3%
	10,828	CBRE Group, Inc., Class A(a)		928,284
	3,276	Howard Hughes Corp. (The)(a)		319,279
				1,247,563
		REITs – Apartments — 0.1%
	2,099	Mid-America Apartment Communities, Inc.		353,514
		REITs – Diversified — 0.1%
	2,681	CoreSite Realty Corp.		360,863
	7,213	Duke Realty Corp.		341,535
				702,398
		REITs – Health Care — 0.0%
	22,117	New Senior Investment Group, Inc.		194,187
		REITs – Mortgage — 0.2%
	47,873	AGNC Investment Corp.		808,575
		REITs – Office Property — 0.6%
	2,161	Alexandria Real Estate Equities, Inc.		393,172
	21,666	Easterly Government Properties, Inc.		456,719
	6,658	Equity Commonwealth		174,440
	42,023	VEREIT, Inc.		1,930,117
				2,954,448
		REITs – Shopping Centers — 0.5%
	81,163	Weingarten Realty Investors		2,602,897
		REITs – Storage — 0.4%
	10,601	CubeSmart		491,038
	3,027	Extra Space Storage, Inc.		495,883
	4,674	Life Storage, Inc.		501,754
	1,514	Public Storage		455,245
				1,943,920
		REITs – Warehouse/Industrials — 0.5%
	114,946	Monmouth Real Estate Investment Corp.		2,151,789
	5,865	Terreno Realty Corp.		378,410
				2,530,199
		Road & Rail — 0.3%
	41,669	Heartland Express, Inc.		713,790
	539	Old Dominion Freight Line, Inc.		136,798
	2,713	Union Pacific Corp.		596,670
				1,447,258
		Semiconductors & Semiconductor Equipment — 1.3%
	25,473	Maxim Integrated Products, Inc.		2,683,835
	14,839	ON Semiconductor Corp.(a)		568,037
	260	SolarEdge Technologies, Inc.(a)		71,856
	18,850	Xilinx, Inc.		2,726,464
				6,050,192
		Software — 3.5%
	20,488	ACI Worldwide, Inc.(a)		760,924
	6,928	Black Knight, Inc.(a)		540,245
	34,410	Box, Inc., Class A(a)		879,175
	16,859	Check Point Software Technologies Ltd.(a)		1,957,836
	18,321	CommVault Systems, Inc.(a)		1,432,153
	32	Crowdstrike Holdings, Inc., Class A(a)		8,042
	76	Datadog, Inc., Class A(a)		7,910
	247	DocuSign, Inc.(a)		69,054
	8,642	Dolby Laboratories, Inc., Class A		849,422
	57,068	NortonLifeLock, Inc.		1,553,391
	18,066	Open Text Corp.		917,753
	12,295	Oracle Corp.		957,043
	7,164	Pegasystems, Inc.		997,157
	7,174	PTC, Inc.(a)		1,013,399
	1,414	ServiceNow, Inc.(a)		777,064
	50,639	Slack Technologies, Inc., Class A(a)		2,243,308
	121	Trade Desk, Inc. (The), Class A(a)		9,361
	3,495	Tyler Technologies, Inc.(a)		1,581,033
	1,113	Workiva, Inc.(a)		123,910
	301	Zscaler, Inc.(a)		65,034
				16,743,214
		Specialty Retail — 1.0%
	666	AutoZone, Inc.(a)		993,819
	6,946	Best Buy Co., Inc.		798,651
	3,042	Home Depot, Inc. (The)		970,063
	4,697	Lowe’s Cos., Inc.		911,077
	13,822	Rent-A-Center, Inc.		733,534

See accompanying notes to financial statements.

|  12

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund – (continued)

Shares		Description	Value (†)
		Specialty Retail — continued
	885	Williams-Sonoma, Inc.	$	141,290
				4,548,434
		Technology Hardware, Storage & Peripherals — 0.3%
	13,282	NCR Corp.(a)		605,792
	10,835	Seagate Technology Holdings PLC		952,722
				1,558,514
		Textiles, Apparel & Luxury Goods — 0.2%
	5,612	NIKE, Inc., Class B		866,998
		Thrifts & Mortgage Finance — 0.8%
	55,431	Columbia Financial, Inc.(a)		954,522
	52,607	Flagstar Bancorp, Inc.		2,223,698
	16,923	Meridian Bancorp, Inc.		346,245
	5,752	Waterstone Financial, Inc.		113,084
				3,637,549
		Tobacco — 0.2%
	9,364	Philip Morris International, Inc.		928,066
		Trading Companies & Distributors — 0.6%
	9,375	Fastenal Co.		487,500
	1,731	W.W. Grainger, Inc.		758,178
	5,556	Watsco, Inc.		1,592,572
				2,838,250
		Water Utilities — 0.3%
	6,465	American Water Works Co., Inc.		996,450
	15,878	Cadiz, Inc.(a)		215,941
				1,212,391
		Wireless Telecommunication Services — 0.4%
	12,966	T-Mobile US, Inc.(a)		1,877,866
		Total Common Stocks (Identified Cost $171,167,774)		201,939,969
	Closed-End Investment Companies — 0.2%
	66,698	Golub Capital BDC, Inc. (Identified Cost $961,316)		1,028,483
Principal Amount
	Short-Term Investments — 39.4%
		Certificates of Deposit — 35.3%
$	8,000,000	Nordea Bank ABP (NY), 0.190%, 7/14/2021		8,000,364
	18,000,000	Skandinaviska Enskilda Banken (NY), 0.180%, 7/15/2021		18,000,825
	10,000,000	Cooperatieve Rabobank U.A., 0.230%, 7/20/2021		10,000,777
	12,500,000	Oversea-Chinese Banking Corp. Ltd. (NY), 0.150%, 8/16/2021		12,500,717
	15,000,000	Svenska Handelsbanken (NY), 0.150%, 8/17/2021		15,001,399
	15,000,000	Sumitomo Mitsui Banking Corp. (NY), 0.180%, 8/17/2021		15,001,999
	7,000,000	Sumitomo Mitsui Trust (NY), 0.070%, 9/02/2021		6,999,863
	10,000,000	DZ Bank (NY), 0.060%, 9/03/2021		9,999,512
	5,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 0.080%, 9/07/2021		4,999,904
	18,000,000	DNB Nor Bank ASA (NY), 0.135%, 10/27/2021(b)		18,001,545
	10,000,000	Nordea Bank ABP (NY), 0.150%, 11/08/2021(b)		10,002,291
	18,000,000	Mizuho Bank Ltd. (NY), 0.160%, 11/16/2021(b)		18,002,569
	10,000,000	Canadian Imperial Bank of Commerce (NY), 0.210%, 1/26/2022(b)		10,003,902
	5,000,000	Bank of Nova Scotia (NY), 0.220%, 4/14/2022(b)		5,001,674
		Certificates of Deposit — continued
	5,000,000	Bank of Montreal (IL), 0.200%, 6/23/2022		4,999,156
				166,516,497
		Treasuries — 2.2%
	5,000,000	U.S. Treasury Bills, 0.005%, 7/15/2021(c)(d)(e)		4,999,913
	5,000,000	U.S. Treasury Bills, 0.010%, 8/05/2021(c)(d)(e)		4,999,772
				9,999,685
		Repurchase Agreements — 1.9%
	9,036,702	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $9,036,702 on 7/1/2021 collateralized by $9,230,100 U.S. Treasury Note, 0.125% due 3/31/2023 valued at $9,217,462 including accrued interest (Note 2 of Notes to Financial Statements)		9,036,702
		Total Short-Term Investments (Identified Cost $185,536,854)		185,552,884
		Total Investments — 82.4% (Identified Cost $357,665,944)		388,521,336
		Other assets less liabilities — 17.6%		83,200,926
		Net Assets — 100.0%	$	471,722,262
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(c)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(d)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(e)	A portion of the security is held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
	REITs	Real Estate Investment Trusts
	CHF	Swiss Franc
	NOK	Norwegian Krone
	NZD	New Zealand Dollar
	PLN	Polish Zloty
	SEK	Swedish Krona
	SGD	Singapore Dollar
	ZAR	South African Rand

See accompanying notes to financial statements.

13  |

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund – (continued)

At June 30, 2021, the Fund had the following open forward foreign currency contracts:

Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		9/15/2021	CHF		B	52,875,000	$	58,189,608	$	57,258,786	$	(930,822	)
UBS AG		9/15/2021	CHF		S	9,750,000		10,664,402		10,558,358		106,044
UBS AG		9/15/2021	NOK		B	302,000,000		36,613,876		35,085,760		(1,528,116	)
UBS AG		9/15/2021	NOK		S	58,000,000		6,819,112		6,738,325		80,787
UBS AG		9/15/2021	NOK		S	68,000,000		7,840,815		7,900,105		(59,290	)
UBS AG		9/15/2021	NZD		B	11,200,000		7,776,563		7,827,047		50,484
UBS AG		9/15/2021	NZD		B	28,500,000		20,084,293		19,917,040		(167,253	)
UBS AG		9/15/2021	NZD		S	61,900,000		44,637,204		43,258,413		1,378,791
UBS AG		9/15/2021	PLN		B	4,500,000		1,226,790		1,180,440		(46,350	)
UBS AG		9/15/2021	PLN		S	4,500,000		1,174,623		1,180,440		(5,817	)
UBS AG		9/15/2021	SEK		B	328,000,000		39,692,911		38,352,682		(1,340,229	)
UBS AG		9/15/2021	SEK		S	56,000,000		6,750,989		6,548,019		202,970
UBS AG		9/15/2021	SEK		S	38,000,000		4,427,185		4,443,299		(16,114	)
UBS AG		9/15/2021	SGD		B	5,250,000		3,965,955		3,904,176		(61,779	)
UBS AG		9/15/2021	ZAR		B	10,500,000		766,339		728,400		(37,939	)
Total											$	(2,374,633	)

At June 30, 2021, open long futures contracts were as follows:

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		9/30/2021		2,714	$	598,794,530	$	597,949,327	$	(845,203	)
3 Year Australia Government Bond		9/15/2021		156		13,679,809		13,628,075		(51,734	)
5 Year U.S. Treasury Note		9/30/2021		417		51,581,148		51,470,180		(110,968	)
10 Year Australia Government Bond		9/15/2021		150		15,776,267		15,882,705		106,438
AEX-Index®		7/16/2021		7		1,215,654		1,210,724		(4,930	)
ASX SPI 200™		9/16/2021		5		682,998		677,111		(5,887	)
Australian Dollar		9/13/2021		801		62,178,207		60,058,980		(2,119,227	)
Brazilian Real		7/30/2021		30		603,675		600,300		(3,375	)
CAC 40®		7/16/2021		8		628,964		617,064		(11,900	)
Canadian Dollar		9/14/2021		355		29,088,565		28,620,100		(468,465	)
DAX		9/17/2021		27		12,597,350		12,428,321		(169,029	)
E-mini NASDAQ 100		9/17/2021		5		1,398,672		1,454,900		56,228
E-mini Russell 2000		9/17/2021		1,357		158,086,920		156,584,230		(1,502,690	)
E-mini S&P MidCap 400®		9/17/2021		4		1,098,315		1,076,960		(21,355	)
Euribor		9/13/2021		49		14,601,698		14,603,150		1,452
Euro Schatz		9/08/2021		97		12,899,817		12,898,092		(1,725	)
EURO STOXX 50®		9/17/2021		120		5,889,206		5,770,572		(118,634	)
Euro-BTP		9/08/2021		367		65,415,997		65,889,135		473,138
Euro-OAT		9/08/2021		310		58,325,104		58,460,327		135,223
FTSE 100 Index		9/17/2021		151		14,820,440		14,580,749		(239,691	)
FTSE MIB		9/17/2021		4		605,314		592,970		(12,344	)
FTSE Taiwan Index		7/29/2021		24		1,451,390		1,464,240		12,850
FTSE/JSE Top 40 Index		9/16/2021		26		1,121,624		1,090,179		(31,445	)
German Euro BOBL		9/08/2021		50		7,945,712		7,953,419		7,707
German Euro Bund		9/08/2021		408		83,372,535		83,506,311		133,776
Hang Seng Index®		7/29/2021		20		3,719,434		3,687,390		(32,044	)
IBEX 35		7/16/2021		6		651,938		625,244		(26,694	)
Indian Rupee		7/28/2021		56		1,503,320		1,502,592		(728	)
Mexican Peso		9/13/2021		697		16,879,245		17,320,450		441,205
MSCI EAFE Index		9/17/2021		8		942,780		921,640		(21,140	)
MSCI Emerging Markets Index		9/17/2021		137		9,391,625		9,348,880		(42,745	)
MSCI Singapore		7/29/2021		25		660,416		660,835		419
Nikkei 225™		9/09/2021		4		1,048,778		1,036,230		(12,548	)
OMXS30®		7/16/2021		80		2,144,817		2,118,227		(26,590	)
S&P/TSX 60 Index		9/16/2021		9		1,734,758		1,746,418		11,660
Short Sterling		9/15/2021		79		13,649,842		13,647,110		(2,732	)
Short-Term Euro-BTP		9/08/2021		50		6,706,603		6,708,974		2,371

See accompanying notes to financial statements.

|  14

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund – (continued)

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
TOPIX		9/09/2021		47	$	8,284,810	$	8,220,082	$	(64,728	)
U.S. Dollar Index		9/13/2021		379		34,074,439		35,031,349		956,910
Total									$	(3,609,174	)

Commodity Futures1	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/15/2021		136	$	8,484,790	$	8,583,300	$	98,510
Brent Crude Oil		7/30/2021		208		14,676,600		15,520,960		844,360
Copper		9/28/2021		10		1,140,625		1,072,250		(68,375	)
Copper LME		9/15/2021		142		33,620,710		33,288,350		(332,360	)
Gasoline		7/30/2021		31		2,879,840		2,918,824		38,984
Gold		8/27/2021		73		13,430,240		12,932,680		(497,560	)
Nickel LME		9/15/2021		30		3,129,687		3,278,520		148,833
Silver		9/28/2021		4		556,375		523,880		(32,495	)
Soybean		11/12/2021		90		5,787,962		6,295,500		507,538
Soybean Oil		12/14/2021		257		9,169,188		9,677,592		508,404
WTI Crude Oil		8/20/2021		81		5,869,180		5,894,370		25,190
Zinc LME		9/15/2021		7		522,751		520,975		(1,776	)
Total									$	1,239,253

At June 30, 2021, open short futures contracts were as follows:

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Canada Government Bond		9/21/2021		579	$	67,488,101	$	67,970,378	$	(482,277	)
10 Year U.S. Treasury Note		9/21/2021		793		104,829,922		105,072,500		(242,578	)
30 Year U.S. Treasury Bond		9/21/2021		201		31,310,211		32,310,750		(1,000,539	)
British Pound		9/13/2021		210		18,576,044		18,119,063		456,981
E-mini S&P 500®		9/17/2021		343		72,189,863		73,549,490		(1,359,627	)
Euro		9/13/2021		512		76,333,344		75,936,000		397,344
Eurodollar		9/13/2021		571		142,506,013		142,550,150		(44,137	)
Japanese Yen		9/13/2021		175		19,767,319		19,702,813		64,506
UK Long Gilt		9/28/2021		586		103,242,981		103,839,626		(596,645	)
Total									$	(2,806,972	)
Commodity Futures1	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/15/2021		87	$	5,183,269	$	5,490,788	$	(307,519	)
Cocoa		9/15/2021		146		3,457,080		3,487,940		(30,860	)
Coffee		9/20/2021		51		3,088,613		3,055,219		33,394
Copper LME		9/15/2021		24		5,802,279		5,626,200		176,079
Cotton		12/08/2021		31		1,335,330		1,315,950		19,380
Live Cattle		8/31/2021		190		9,101,840		9,327,100		(225,260	)
Low Sulfur Gasoil		8/12/2021		161		9,511,125		9,631,825		(120,700	)
Natural Gas		8/27/2021		195		7,031,700		7,066,800		(35,100	)
New York Harbor ULSD		7/30/2021		2		179,071		178,777		294
Soybean Meal		12/14/2021		174		6,216,260		6,641,580		(425,320	)
Sugar		9/30/2021		57		1,099,045		1,142,098		(43,053	)
Wheat		12/14/2021		140		4,865,200		4,795,000		70,200
Zinc LME		9/15/2021		62		4,395,852		4,614,350		(218,498	)
Total									$	(1,106,963	)

¹ Commodity futures are held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

See accompanying notes to financial statements.

15  |

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund – (continued)

At June 30, 2021, the Fund had the following open swap agreements:

Bilateral Equity Basket Total Return Swaps ^(a)

Reference Entity	Counterparty	Expiration Date		Notional Amount			Unrealized Appreciation (Depreciation)		Value of Reference Entities			Notional Amount Net Asset Percentage
Equity Securities Short	Morgan Stanley Capital Services LLC		5/19/2022	$	(163,587,560	)	$	—	$	(163,587,560	)		(34.7	%)

(a) The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.45%-1.15% as calculated on the notional amount. See Note 2 of Notes to Financial Statements.

The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of June 30, 2021:

Common Stocks — Short	Shares			Value			% of Basket Value
Aerospace & Defense
Boeing Co. (The)		(1,106	)	$	(264,953	)		(0.2	%)
Hexcel Corp.		(4,482	)		(279,677	)		(0.2	%)
Huntington Ingalls Industries, Inc.		(2,028	)		(427,401	)		(0.3	%)
Maxar Technologies, Inc.		(10,926	)		(436,166	)		(0.3	%)
Spirit AeroSystems Holdings, Inc., Class A		(20,528	)		(968,716	)		(0.6	%)
					(2,376,913	)
Airlines
Alaska Air Group, Inc.		(11,349	)		(684,458	)		(0.4	%)
American Airlines, Inc./AAdvantage Loyalty IP Ltd.		(41,217	)		(874,213	)		(0.5	%)
Delta Air Lines, Inc.		(19,241	)		(832,366	)		(0.5	%)
JetBlue Airways Corp.		(81,308	)		(1,364,348	)		(0.8	%)
Southwest Airlines Co.		(14,923	)		(792,262	)		(0.5	%)
United Airlines Holdings, Inc.		(14,867	)		(777,395	)		(0.5	%)
					(5,325,042	)
Auto Components
American Axle & Manufacturing Holdings, Inc.		(18,067	)		(186,993	)		(0.1	%)
Goodyear Tire & Rubber Co. (The)		(70,720	)		(1,212,848	)		(0.7	%)
Patrick Industries, Inc.		(2,006	)		(146,438	)		(0.1	%)
					(1,546,279	)
Automobiles
Harley-Davidson, Inc.		(11,971	)		(548,511	)		(0.3	%)
Banks
Glacier Bancorp, Inc.		(6,555	)		(361,049	)		(0.2	%)
Great Western Bancorp, Inc.		(9,286	)		(304,488	)		(0.2	%)
Independent Bank Corp.		(4,654	)		(351,377	)		(0.2	%)
M & T Bank Corp.		(2,468	)		(358,625	)		(0.2	%)
South State Corp.		(4,787	)		(391,385	)		(0.2	%)
Webster Financial Corp.		(6,720	)		(358,445	)		(0.2	%)
Wells Fargo & Co.		(35,497	)		(1,607,659	)		(1.0	%)
					(3,733,028	)
Biotechnology
Arena Pharmaceuticals, Inc.		(9,116	)		(621,711	)		(0.4	%)
Biogen, Inc.		(1,869	)		(647,178	)		(0.4	%)
Emergent BioSolutions, Inc.		(7,614	)		(479,606	)		(0.3	%)
Exelixis, Inc.		(19,585	)		(356,839	)		(0.2	%)
Insmed, Inc.		(29,376	)		(836,041	)		(0.5	%)
TG Therapeutics, Inc.		(40,249	)		(1,561,259	)		(1.0	%)
					(4,502,634	)
Building Products
Advanced Drainage Systems, Inc.		(9,288	)		(1,082,702	)		(0.7	%)
Building Products — (continued)
JELD-WEN Holding, Inc.		(26,964	)		(708,075	)		(0.4	%)
					(1,790,777	)
Capital Markets
Ameriprise Financial, Inc.		(4,035	)		(1,004,231	)		(0.6	%)
Apollo Global Management, Inc.		(43,418	)		(2,700,600	)		(1.7	%)
Ares Management Corp., Class A		(18,961	)		(1,205,730	)		(0.7	%)
Brookfield Asset Management, Inc., Class A		(21,024	)		(1,071,803	)		(0.7	%)
					(5,982,364	)
Chemicals
Chemours Co. (The)		(28,150	)		(979,620	)		(0.6	%)
Livent Corp.		(15,940	)		(308,599	)		(0.2	%)
Mosaic Co. (The)		(14,887	)		(475,044	)		(0.3	%)
Scotts Miracle-Gro Co. (The)		(4,385	)		(841,569	)		(0.5	%)
					(2,604,832	)
Commercial Services & Supplies
Brink’s Co. (The)		(3,137	)		(241,047	)		(0.1	%)
Deluxe Corp.		(6,485	)		(309,789	)		(0.2	%)
Herman Miller, Inc.		(25,209	)		(1,188,352	)		(0.7	%)
					(1,739,188	)
Communications Equipment
Lumentum Holdings, Inc.		(5,611	)		(460,270	)		(0.3	%)
ViaSat, Inc.		(4,396	)		(219,097	)		(0.1	%)
					(679,367	)
Construction & Engineering
Granite Construction, Inc.		(29,873	)		(1,240,626	)		(0.8	%)
Diversified Consumer Services
Strategic Education, Inc.		(5,690	)		(432,781	)		(0.3	%)
Diversified Financial Services
Cannae Holdings, Inc.		(29,442	)		(998,378	)		(0.6	%)
Diversified Telecommunication Services
Lumen Technologies, Inc.		(41,859	)		(568,864	)		(0.3	%)
Electric Utilities
FirstEnergy Corp.		(29,651	)		(1,103,314	)		(0.7	%)
PG&E Corp.		(44,085	)��		(448,344	)		(0.3	%)
Portland General Electric Co.		(10,186	)		(469,371	)		(0.3	%)
					(2,021,029	)
Electrical Equipment
Bloom Energy Corp., Class A		(41,375	)		(1,111,746	)		(0.7	%)
GrafTech International Ltd.		(19,227	)		(223,418	)		(0.1	%)
Plug Power, Inc.		(19,630	)		(671,150	)		(0.4	%)

See accompanying notes to financial statements.

|  16

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund – (continued)

Common Stocks — Short	Shares			Value			% of Basket Value
Electrical Equipment — continued
Sunrun, Inc.		(20,597	)	$	(1,148,900	)		(0.7	%)
					(3,155,214	)
Energy Equipment & Services
Helix Energy Solutions Group, Inc.		(32,608	)		(186,192	)		(0.1	%)
Helmerich & Payne, Inc.		(9,425	)		(307,538	)		(0.2	%)
NOV, Inc.		(18,587	)		(284,753	)		(0.2	%)
Patterson-UTI Energy, Inc.		(98,137	)		(975,482	)		(0.6	%)
Schlumberger Ltd.		(9,388	)		(300,510	)		(0.2	%)
TechnipFMC PLC		(121,472	)		(1,099,321	)		(0.7	%)
					(3,153,796	)
Entertainment
Live Nation Entertainment, Inc.		(11,799	)		(1,033,475	)		(0.6	%)
Spotify Technology S.A.		(531	)		(146,338	)		(0.1	%)
					(1,179,813	)
Equity Real Estate Investment Trusts
Acadia Realty Trust		(19,873	)		(436,411	)		(0.3	%)
Alexander & Baldwin, Inc.		(13,920	)		(255,014	)		(0.2	%)
Apple Hospitality REIT, Inc.		(63,742	)		(972,703	)		(0.6	%)
Boston Properties, Inc.		(2,404	)		(275,474	)		(0.2	%)
Cousins Properties, Inc.		(28,901	)		(1,062,979	)		(0.6	%)
Digitalbridge Group, Inc.		(152,499	)		(1,204,742	)		(0.7	%)
Douglas Emmett, Inc.		(12,149	)		(408,449	)		(0.2	%)
Empire State Realty Trust, Inc., Class A		(35,126	)		(421,512	)		(0.3	%)
Host Hotels & Resorts, Inc.		(57,004	)		(974,198	)		(0.6	%)
Kilroy Realty Corp.		(3,684	)		(256,554	)		(0.2	%)
Kimco Realty Corp.		(114,317	)		(2,383,509	)		(1.5	%)
Park Hotels & Resorts, Inc.		(48,443	)		(998,410	)		(0.6	%)
Pebblebrook Hotel Trust		(54,618	)		(1,286,254	)		(0.8	%)
Piedmont Office Realty Trust, Inc., Class A		(17,015	)		(314,267	)		(0.2	%)
Realty Income Corp.		(29,626	)		(1,977,239	)		(1.2	%)
RLJ Lodging Trust		(64,611	)		(984,026	)		(0.6	%)
SITE Centers Corp.		(19,680	)		(296,381	)		(0.2	%)
Sunstone Hotel Investors, Inc.		(88,511	)		(1,099,307	)		(0.7	%)
Ventas, Inc.		(3,456	)		(197,718	)		(0.1	%)
Vornado Realty Trust		(6,607	)		(308,349	)		(0.2	%)
Welltower, Inc.		(5,116	)		(425,140	)		(0.3	%)
Xenia Hotels & Resorts, Inc.		(50,178	)		(939,834	)		(0.6	%)
					(17,478,470	)
Food & Staples Retailing
US Foods Holding Corp.		(2,192	)		(84,085	)		(0.1	%)
Walgreens Boots Alliance, Inc.		(8,189	)		(430,823	)		(0.3	%)
					(514,908	)
Food Products
Darling Ingredients, Inc.		(12,959	)		(874,733	)		(0.5	%)
Pilgrim’s Pride Corp.		(60,213	)		(1,335,524	)		(0.8	%)
Tyson Foods, Inc., Class A		(5,762	)		(425,005	)		(0.3	%)
					(2,635,262	)
Health Care Equipment & Supplies
Align Technology, Inc.		(1,537	)		(939,107	)		(0.6	%)
NuVasive, Inc.		(3,836	)		(260,004	)		(0.2	%)
Penumbra, Inc.		(2,712	)		(743,251	)		(0.5	%)
Tandem Diabetes Care, Inc.		(5,416	)		(527,518	)		(0.3	%)
					(2,469,880	)
Health Care Providers & Services
1Life Healthcare, Inc.		(30,222	)		(999,140	)		(0.6	%)
Health Care Providers & Services — continued
Centene Corp.		(6,210	)		(452,895	)		(0.3	%)
National Research Corp.		(6,218	)		(285,406	)		(0.2	%)
Tenet Healthcare Corp.		(8,676	)		(581,205	)		(0.4	%)
					(2,318,646	)
Hotels, Restaurants & Leisure
Carnival Corp.		(66,268	)		(1,746,825	)		(1.1	%)
Everi Holdings, Inc.		(6,009	)		(149,864	)		(0.1	%)
Golden Entertainment, Inc.		(7,933	)		(355,398	)		(0.2	%)
Hyatt Hotels Corp., Class A		(12,691	)		(985,329	)		(0.6	%)
Las Vegas Sands Corp.		(27,528	)		(1,450,450	)		(0.9	%)
Makemytrip Ltd.		(36,162	)		(1,086,668	)		(0.7	%)
MGM Resorts International		(27,381	)		(1,167,800	)		(0.7	%)
Norwegian Cruise Line Holdings Ltd.		(31,598	)		(929,297	)		(0.6	%)
RCI Hospitality Holdings, Inc.		(3,808	)		(252,090	)		(0.2	%)
Royal Caribbean Cruises Ltd.		(22,015	)		(1,877,439	)		(1.1	%)
Scientific Games Corp.		(15,696	)		(1,215,498	)		(0.7	%)
Shake Shack, Inc., Class A		(2,455	)		(262,734	)		(0.2	%)
Wendy’s Co. (The)		(345	)		(8,080	)		(0.0	%)
Wynn Resorts Ltd.		(6,935	)		(848,151	)		(0.5	%)
					(12,335,623	)
Household Durables
Hovnanian Enterprises, Inc., Class A		(6,482	)		(688,972	)		(0.4	%)
Mohawk Industries, Inc.		(3,204	)		(615,777	)		(0.4	%)
					(1,304,749	)
Industrial Conglomerates
General Electric Co.		(1,727	)		(23,245	)		(0.0	%)
Insurance
American International Group, Inc.		(6,436	)		(306,353	)		(0.2	%)
Arch Captial Group Ltd.		(6,988	)		(272,113	)		(0.2	%)
Argo Group International Holdings Ltd.		(8,413	)		(436,046	)		(0.3	%)
Assured Guaranty Ltd.		(6,142	)		(291,622	)		(0.2	%)
Brighthouse Financial, Inc.		(22,368	)		(1,018,639	)		(0.6	%)
Brookfield Asset Management Reinsurance Partners, Inc., Class A		(144	)		(7,491	)		(0.0	%)
RenaissanceRe Holdings Ltd.		(3,345	)		(497,803	)		(0.3	%)
					(2,830,067	)
Interactive Media & Entertainment
Eventbrite, Inc., Class A		(16,119	)		(306,261	)		(0.2	%)
TripAdvisor, Inc.		(29,469	)		(1,187,601	)		(0.7	%)
Twitter, Inc.		(12,914	)		(888,612	)		(0.5	%)
Yandex NV, Class A		(16,430	)		(1,162,423	)		(0.7	%)
					(3,544,897	)
Internet & Direct Marketing Retail
Etsy, Inc.		(1,002	)		(206,252	)		(0.1	%)
Expedia Group, Inc.		(5,443	)		(891,073	)		(0.5	%)
Overstock.com, Inc.		(13,995	)		(1,290,339	)		(0.8	%)
Wayfair, Inc., Class A		(2,807	)		(886,198	)		(0.5	%)
					(3,273,862	)
IT Services
DXC Technology Co.		(15,065	)		(586,631	)		(0.4	%)
Sabre Corp.		(75,318	)		(939,969	)		(0.6	%)
Stoneco Ltd., Class A		(3,072	)		(206,008	)		(0.1	%)
					(1,732,608	)

See accompanying notes to financial statements.

17  |

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund – (continued)

Common Stocks — Short	Shares			Value			% of Basket Value
Leisure Products
Mattel, Inc.		(41,871	)	$	(841,607	)		(0.5	%)
Peloton Interactive, Inc., Class A		(10,396	)		(1,289,312	)		(0.8	%)
					(2,130,919	)
Life Sciences Tools & Services
ICON PLC		(6,716	)		(1,388,264	)		(0.8	%)
Illumina, Inc.		(2,010	)		(951,152	)		(0.6	%)
					(2,339,416	)
Machinery
Middleby Corp. (The)		(5,210	)		(902,685	)		(0.6	%)
Marine
Kirby Corp.		(4,275	)		(259,236	)		(0.2	%)
Media
Cardlytics, Inc.		(9,277	)		(1,177,530	)		(0.7	%)
Liberty Broadband Corp., Class A		(52	)		(8,745	)		(0.0	%)
ViacomCBS, Inc., Class B		(17,331	)		(783,361	)		(0.5	%)
					(1,969,636	)
Metals & Mining
Allegheny Technologies, Inc.		(11,982	)		(249,825	)		(0.2	%)
Arconic Corp.		(20,526	)		(731,136	)		(0.4	%)
Barrick Gold Corp.		(44,789	)		(926,237	)		(0.6	%)
Carpenter Technology Corp.		(6,499	)		(261,390	)		(0.2	%)
Century Aluminum Co.		(21,117	)		(272,198	)		(0.2	%)
Cleveland-Cliffs, Inc.		(13,652	)		(294,337	)		(0.2	%)
Constellium SE		(15,171	)		(287,490	)		(0.2	%)
Hecla Mining Co.		(83,051	)		(617,899	)		(0.4	%)
Kinross Gold Corp.		(77,437	)		(491,725	)		(0.3	%)
Newmont Corp.		(18,090	)		(1,146,544	)		(0.7	%)
Pan American Silver Corp.		(17,743	)		(506,918	)		(0.3	%)
United States Steel Corp.		(43,701	)		(1,048,824	)		(0.6	%)
					(6,834,523	)
Mortgage Real Estate Investment Trusts (REITs)
Capstead Mortgage Corp.		(155,506	)		(954,807	)		(0.6	%)
Multi-Utilities
NiSource, Inc.		(17,124	)		(419,538	)		(0.3	%)
Multiline Retail
Kohl’s Corp.		(13,493	)		(743,599	)		(0.5	%)
Macy’s, Inc.		(54,233	)		(1,028,258	)		(0.6	%)
Nordstrom, Inc.		(35,700	)		(1,305,549	)		(0.8	%)
					(3,077,406	)
Oil, Gas & Consumable Fuels
Antero Resources Corp.		(77,191	)		(1,160,181	)		(0.7	%)
APA Corp.		(28,004	)		(605,727	)		(0.4	%)
Cabot Oil & Gas Corp.		(19,788	)		(345,498	)		(0.2	%)
Continental Resources, Inc.		(19,881	)		(756,074	)		(0.5	%)
Devon Energy Corp.		(24,043	)		(701,815	)		(0.4	%)
EOG Resources, Inc.		(6,780	)		(565,723	)		(0.3	%)
EQT Corp.		(79,777	)		(1,775,836	)		(1.1	%)
Equitrans Midstream Corp.		(70,609	)		(600,883	)		(0.4	%)
Exxon Mobil Corp		(4,706	)		(296,854	)		(0.2	%)
HollyFrontier Corp.		(21,925	)		(721,333	)		(0.4	%)
Kinder Morgan, Inc.		(14,200	)		(258,866	)		(0.2	%)
Marathon Oil Corp.		(147,356	)		(2,006,989	)		(1.2	%)
Marathon Petroleum Corp.		(4,088	)		(246,997	)		(0.2	%)
Matador Resources Co.		(6,394	)		(230,248	)		(0.1	%)
New Fortress Energy, Inc.		(25,330	)		(959,500	)		(0.6	%)
Occidental Petroleum Corp.		(19,439	)		(607,858	)		(0.4	%)
Phillips 66		(12,590	)		(1,080,474	)		(0.7	%)
Shell Midstream Partners LP		(19,533	)		(288,502	)		(0.2	%)
SM Energy Co.		(47,662	)		(1,173,915	)		(0.7	%)
Oil, Gas & Consumable Fuels — (continued)
Valero Energy Corp.		(18,324	)		(1,430,738	)		(0.9	%)
					(15,814,011	)
Personal Products
Coty, Inc., Class A		(107,665	)		(1,005,591	)		(0.6	%)
Herbalife Nutrition Ltd.		(18,367	)		(968,492	)		(0.6	%)
					(1,974,083	)
Pharmaceuticals
Perrigo Co.		(9,339	)		(428,193	)		(0.2	%)
Professional Services
CACI International, Inc., Class A		(1,707	)		(435,490	)		(0.3	%)
Huron Consulting Group, Inc.		(8,670	)		(426,130	)		(0.2	%)
					(861,620	)
Real Estate Management & Development
Realogy Holdings Corp.		(11,901	)		(216,836	)		(0.1	%)
Road & Rail
Lyft, Inc., Class A		(15,939	)		(963,991	)		(0.6	%)
Semiconductors & Semiconductor Equipment
Advanced Micro Devices, Inc.		(26,337	)		(2,473,834	)		(1.5	%)
Analog Devices, Inc.		(16,048	)		(2,762,824	)		(1.7	%)
Applied Materials, Inc.		(5,586	)		(795,446	)		(0.5	%)
Enphase Energy, Inc.		(229	)		(42,051	)		(0.0	%)
Ichor Holdings Ltd.		(3,972	)		(213,694	)		(0.1	%)
Lam Research Corp.		(329	)		(214,080	)		(0.1	%)
MKS Instruments, Inc.		(2,469	)		(439,359	)		(0.3	%)
Monolithic Power Systems, Inc.		(3,279	)		(1,224,543	)		(0.7	%)
NVIDIA Corp.		(1,470	)		(1,176,147	)		(0.7	%)
Ultra Clean Holdings, Inc.		(4,600	)		(247,112	)		(0.1	%)
Veeco Instruments, Inc.		(44,126	)		(1,060,789	)		(0.6	%)
					(10,649,879	)
Software
Blackbaud, Inc.		(12,609	)		(965,471	)		(0.6	%)
Ceridian HCM Holding, Inc.		(10,774	)		(1,033,442	)		(0.6	%)
Cloudflare, Inc., Class A		(2,226	)		(235,600	)		(0.1	%)
Digital Turbine, Inc.		(1,720	)		(130,771	)		(0.1	%)
Paycom Software, Inc.		(2,412	)		(876,690	)		(0.5	%)
PROS Holdings, Inc.		(4,575	)		(208,483	)		(0.1	%)
salesforce.com, Inc.		(3,843	)		(938,730	)		(0.6	%)
SolarWinds Corp.		(54,301	)		(917,144	)		(0.5	%)
					(5,306,331	)
Specialty Retail
Burlington Stores, Inc.		(3,378	)		(1,087,682	)		(0.6	%)
Carvana Co.		(3,853	)		(1,162,913	)		(0.7	%)
Conn’s, Inc.		(7,470	)		(190,485	)		(0.1	%)
Designer Brands, Inc., Class A		(9,330	)		(154,412	)		(0.1	%)
Gap, Inc. (The)		(33,439	)		(1,125,222	)		(0.7	%)
Guess?, Inc.		(7,896	)		(208,454	)		(0.1	%)
L Brands, Inc.		(2,850	)		(205,371	)		(0.1	%)
Monro, Inc.		(7,042	)		(447,237	)		(0.3	%)
RH		(836	)		(567,644	)		(0.3	%)
Vroom, Inc.		(28,303	)		(1,184,764	)		(0.7	%)
					(6,334,184	)
Technology Hardware, Storage & Peripherals
Western Digital Corp.		(12,726	)		(905,709	)		(0.5	%)
Xerox Holdings Corp.		(10,902	)		(256,088	)		(0.1	%)
					(1,161,797	)

See accompanying notes to financial statements.

|  18

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Global Alternatives Fund – (continued)

Common Stocks — Short	Shares			Value			% of Basket Value
Textiles, Apparel & Luxury Goods
Hanesbrands, Inc.		(31,080	)	$	(580,263	)		(0.3	%)
Lululemon Athletica, Inc.		(2,778	)		(1,013,887	)		(0.6	%)
PVH Corp.		(9,130	)		(982,297	)		(0.6	%)
Ralph Lauren Corp.		(6,873	)		(809,708	)		(0.5	%)
Steven Madden Ltd.		(9,341	)		(408,762	)		(0.2	%)
					(3,794,917	)
Thrifts & Mortgage Finance
New York Community Bancorp, Inc.		(216,989	)		(2,391,219	)		(1.5	%)
WSFS Financial Corp.		(7,478	)		(348,400	)		(0.2	%)
					(2,739,619	)
Wireless Telecommunication Services
Millicom International Cellular S.A.		(10,419	)		(412,280	)		(0.2	%)
Total Common Stocks – Short				$	(163,587,560	)

Investment Summary at June 30, 2021 (Unaudited)

Common Stocks	42.8	%
Certificates of Deposit	35.3
Treasuries	2.2
Other Investments, less than 2% each	2.1
Total Investments	82.4
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)	17.6
Net Assets	100.0	%

See accompanying notes to financial statements.

19  |

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund

Principal Amount		Description	Value (†)
	Short-Term Investments — 91.8% of Net Assets
		Treasuries — 47.6%
$	50,000,000	U.S. Treasury Bills, 0.070%, 7/01/2021(a)	$	50,000,000
	50,000,000	U.S. Treasury Bills, 0.080%, 7/08/2021(a)		49,999,623
	25,000,000	U.S. Treasury Bills, 0.045%, 7/13/2021(a)		24,999,646
	44,000,000	U.S. Treasury Bills, 0.014%-0.085%, 7/15/2021(a)(b)(c)(d)		43,999,230
	32,000,000	U.S. Treasury Bills, 0.025%, 7/27/2021(a)		31,998,931
	40,000,000	U.S. Treasury Bills, 0.020%, 8/03/2021(a)		39,998,284
	55,000,000	U.S. Treasury Bills, 0.010%-0.040%, 8/05/2021(a)(b)(c)(d)		54,997,496
	25,000,000	U.S. Treasury Bills, 0.050%, 8/12/2021(a)		24,998,323
	20,000,000	U.S. Treasury Bills, 0.040%, 8/26/2021(a)		19,998,615
	44,000,000	U.S. Treasury Bills, 0.010%-0.015%, 9/09/2021(a)(b)(c)(d)		43,995,936
	25,000,000	U.S. Treasury Bills, 0.030%, 9/16/2021(a)		24,997,594
	30,000,000	U.S. Treasury Bills, 0.025%, 9/23/2021(a)		29,996,500
	40,000,000	U.S. Treasury Bills, 0.030%, 9/30/2021(a)		39,994,691
	30,000,000	U.S. Treasury Bills, 0.025%, 10/07/2021(a)		29,995,917
	20,000,000	U.S. Treasury Bills, 0.025%, 10/28/2021(a)		19,996,364
	30,000,000	U.S. Treasury Bills, 0.025%, 11/04/2021(a)		29,994,400
	20,000,000	U.S. Treasury Bills, 0.015%, 11/12/2021(a)		19,996,427
	20,000,000	U.S. Treasury Bills, 0.015%, 11/18/2021(a)		19,996,228
	10,000,000	U.S. Treasury Bills, 0.030%, 12/02/2021(a)		9,997,790
	10,000,000	U.S. Treasury Bills, 0.035%, 12/09/2021(a)		9,997,689
	25,000,000	U.S. Treasury Bills, 0.045%, 12/16/2021(a)		24,993,875
	25,000,000	U.S. Treasury Bills, 0.043%, 12/23/2021(a)		24,993,397
	40,000,000	U.S. Treasury Bills, 0.055%, 1/27/2022(a)		39,987,400
	10,000,000	U.S. Treasury Bills, 0.060%, 2/24/2022(a)		9,996,364
				719,920,720
		Certificates of Deposit — 41.0%
	50,000,000	Skandinaviska Enskilda Banken (NY), 0.180%, 7/15/2021		50,002,290
	30,000,000	Cooperatieve Rabobank U.A., 0.230%, 7/20/2021		30,002,331
	30,000,000	Toronto-Dominion Bank (NY), 0.150%, 7/22/2021		30,000,989
	20,000,000	Royal Bank of Canada (NY), 0.140%, 8/11/2021		20,001,632
	25,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 0.150%, 8/16/2021		25,001,435
	15,000,000	Svenska Handelsbanken (NY), 0.150%, 8/17/2021		15,001,399
	15,000,000	Sumitomo Mitsui Banking Corp. (NY), 0.180%, 8/17/2021		15,001,999
	25,000,000	Sumitomo Mitsui Trust (NY), 0.150%, 8/20/2021		25,002,478
	30,000,000	Canadian Imperial Bank of Commerce (NY), 0.150%, 8/24/2021		30,002,747
	18,000,000	Sumitomo Mitsui Trust (NY), 0.070%, 9/02/2021		17,999,648
	55,000,000	DZ Bank (NY), 0.060%, 9/03/2021		54,997,319
	13,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 0.080%, 9/07/2021		12,999,751
	40,000,000	Sumitomo Mitsui Banking Corp. (NY), 0.190%, 9/08/2021		40,008,317
	22,000,000	DNB Nor Bank ASA (NY), 0.135%, 10/27/2021(e)		22,001,888
	25,000,000	Nordea Bank ABP (NY), 0.150%, 11/08/2021(e)		25,005,728
	60,000,000	Mizuho Bank Ltd. (NY), 0.160%, 11/16/2021(e)		60,008,562
	18,500,000	Skandinaviska Enskilda Banken (NY), 0.130%, 12/02/2021(e)		18,500,556
	20,000,000	Canadian Imperial Bank of Commerce (NY), 0.210%, 1/26/2022(e)		20,007,804
	30,000,000	Royal Bank of Canada (NY), 0.100%, 2/08/2022		29,991,829
	30,000,000	Bank of Nova Scotia (NY), 0.220%, 4/14/2022(e)		30,010,046
	50,000,000	Bank of Montreal (IL), 0.200%, 6/23/2022		49,991,561
				621,540,309
		Repurchase Agreements — 3.2%
	48,243,012	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $48,243,012 on 7/01/2021 collateralized by $49,275,400 U.S. Treasury Note, 0.125% due 3/31/2023 valued at $49,207,932 including accrued interest (Note 2 of Notes to Financial Statements)		48,243,012
		Total Short-Term Investments (Identified Cost $1,389,689,137)		1,389,704,041
		Total Investments — 91.8% (Identified Cost $1,389,689,137)		1,389,704,041
		Other assets less liabilities — 8.2%		123,630,170
		Net Assets — 100.0%	$	1,513,334,211
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(b)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(c)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(d)	A portion of the security is held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
	(e)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	CHF	Swiss Franc
	CNH	Chinese Yuan Renminbi Offshore
	MXN	Mexican Peso
	NOK	Norwegian Krone
	NZD	New Zealand Dollar
	PLN	Polish Zloty
	SEK	Swedish Krona
	SGD	Singapore Dollar
	TRY	Turkish Lira
	ZAR	South African Rand

See accompanying notes to financial statements.

|  20

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund – (continued)

At June 30, 2021, the Fund had the following open forward foreign currency contracts:

Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		9/15/2021	CHF		B	52,125,000	$	57,971,953	$	56,446,605	$	(1,525,348	)
UBS AG		9/15/2021	CHF		S	87,750,000		95,471,469		95,025,220		446,249
UBS AG		9/15/2021	CNH		B	681,000,000		105,835,729		104,764,034		(1,071,695	)
UBS AG		9/15/2021	MXN		B	932,000,000		46,661,329		46,321,319		(340,010	)
UBS AG		9/15/2021	MXN		S	184,500,000		8,897,188		9,169,832		(272,644	)
UBS AG		9/15/2021	NOK		B	330,000,000		40,008,540		38,338,744		(1,669,796	)
UBS AG		9/15/2021	NOK		S	62,000,000		7,272,503		7,203,037		69,466
UBS AG		9/15/2021	NOK		S	156,000,000		17,987,752		18,123,770		(136,018	)
UBS AG		9/15/2021	NZD		B	105,700,000		76,222,173		73,867,760		(2,354,413	)
UBS AG		9/15/2021	NZD		S	30,800,000		21,781,598		21,524,380		257,218
UBS AG		9/15/2021	NZD		S	20,100,000		13,960,785		14,046,755		(85,970	)
UBS AG		9/15/2021	PLN		B	193,000,000		52,615,681		50,627,777		(1,987,904	)
UBS AG		9/15/2021	PLN		S	51,000,000		13,469,355		13,378,324		91,031
UBS AG		9/15/2021	PLN		S	64,000,000		16,726,065		16,788,485		(62,420	)
UBS AG		9/15/2021	SEK		B	372,000,000		45,032,490		43,497,554		(1,534,936	)
UBS AG		9/15/2021	SEK		S	84,000,000		9,864,465		9,822,028		42,437
UBS AG		9/15/2021	SEK		S	168,000,000		19,560,348		19,644,057		(83,709	)
UBS AG		9/15/2021	SGD		B	203,250,000		153,534,078		151,147,374		(2,386,704	)
UBS AG		9/15/2021	SGD		S	89,875,000		66,957,606		66,835,770		121,836
UBS AG		9/15/2021	SGD		S	45,750,000		33,992,093		34,022,103		(30,010	)
UBS AG		9/15/2021	TRY		S	15,000,000		1,657,044		1,658,206		(1,162	)
UBS AG		9/15/2021	ZAR		B	791,500,000		57,767,364		54,907,499		(2,859,865	)
UBS AG		9/15/2021	ZAR		S	83,500,000		5,826,054		5,792,516		33,538
UBS AG		9/15/2021	ZAR		S	72,000,000		4,946,396		4,994,744		(48,348	)
Total											$	(15,389,177	)

At June 30, 2021, open long futures contracts were as follows:

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
3 Year Australia Government Bond		9/15/2021		823	$	72,170,396	$	71,896,832	$	(273,564	)
3-month SOFR Index		3/15/2022		139		34,730,888		34,732,625		1,737
AEX-Index®		7/16/2021		154		26,746,563		26,635,937		(110,626	)
ASX SPI 200™		9/16/2021		416		56,810,166		56,335,654		(474,512	)
Australian Dollar		9/13/2021		99		7,535,878		7,423,020		(112,858	)
Brazilian Real		7/30/2021		375		7,547,390		7,503,750		(43,640	)
British Pound		9/13/2021		899		79,704,778		77,566,844		(2,137,934	)
CAC 40®		7/16/2021		539		42,376,487		41,574,712		(801,775	)
Canadian Dollar		9/14/2021		1,640		135,856,946		132,216,800		(3,640,146	)
DAX		9/17/2021		60		27,996,865		27,618,492		(378,373	)
E-mini Dow		9/17/2021		293		50,332,505		50,394,535		62,030
E-mini NASDAQ 100		9/17/2021		245		69,588,435		71,290,100		1,701,665
E-mini Russell 2000		9/17/2021		268		31,197,197		30,924,520		(272,677	)
E-mini S&P 500®		9/17/2021		363		76,472,312		77,838,090		1,365,778
E-mini S&P MidCap 400®		9/17/2021		122		33,498,620		32,847,280		(651,340	)
Euribor		9/13/2021		421		125,455,402		125,467,882		12,480
EURO STOXX 50®		9/17/2021		713		34,966,171		34,286,813		(679,358	)
Euro-BTP		9/08/2021		171		30,734,371		30,700,387		(33,984	)
Eurodollar		9/13/2021		2,739		683,930,238		683,791,350		(138,888	)
FTSE 100 Index		9/17/2021		401		39,303,806		38,721,063		(582,743	)
FTSE China A50 Index		7/29/2021		853		14,571,305		14,756,900		185,595
FTSE MIB		9/17/2021		186		28,150,467		27,573,102		(577,365	)
FTSE Taiwan Index		7/29/2021		254		15,354,490		15,496,540		142,050
FTSE/JSE Top 40 Index		9/16/2021		99		4,270,797		4,151,067		(119,730	)
Hang Seng China Enterprises Index		7/29/2021		114		7,798,089		7,760,481		(37,608	)
Hang Seng Index®		7/29/2021		89		16,571,339		16,408,884		(162,455	)
IBEX 35		7/16/2021		199		21,622,586		20,737,248		(885,338	)
Indian Rupee		7/28/2021		562		15,086,890		15,079,584		(7,306	)

See accompanying notes to financial statements.

21  |

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund – (continued)

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
MSCI EAFE Index		9/17/2021		546	$	64,344,735	$	62,901,930	$	(1,442,805	)
MSCI Emerging Markets Index		9/17/2021		430		29,453,260		29,343,200		(110,060	)
MSCI Singapore		7/29/2021		476		12,571,197		12,582,301		11,104
Nikkei 225™		9/09/2021		70		18,353,481		18,134,029		(219,452	)
OMXS30®		7/16/2021		753		20,188,091		19,937,813		(250,278	)
S&P/TSX 60 Index		9/16/2021		559		107,762,828		108,471,974		709,146
Short-Term Euro-BTP		9/08/2021		260		34,874,334		34,886,666		12,332
STOXX® Europe 600		9/17/2021		523		14,114,025		13,990,523		(123,502	)
TOPIX		9/09/2021		130		22,915,433		22,736,397		(179,036	)
Total									$	(10,243,436	)
Commodity Futures1	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/15/2021		537	$	31,913,910	$	33,891,413	$	1,977,503
Brent Crude Oil		7/30/2021		734		52,399,400		54,771,080		2,371,680
Coffee		9/20/2021		199		11,852,063		11,921,344		69,281
Copper		9/28/2021		427		48,704,688		45,785,075		(2,919,613	)
Copper LME		9/15/2021		192		45,881,499		45,009,600		(871,899	)
Corn		12/14/2021		553		16,343,388		16,272,025		(71,363	)
Cotton		12/08/2021		189		7,752,430		8,023,050		270,620
EUA Emissions		12/20/2021		156		10,195,578		10,427,155		231,577
Gasoline		7/30/2021		209		19,192,660		19,678,520		485,860
Iron Ore		8/31/2021		141		2,844,355		2,864,133		19,778
Lean Hog		8/13/2021		158		6,776,030		6,525,400		(250,630	)
Live Cattle		8/31/2021		29		1,423,140		1,423,610		470
Low Sulfur Gasoil		8/12/2021		634		37,656,000		37,929,050		273,050
Natural Gas		8/27/2021		504		18,084,190		18,264,960		180,770
New York Harbor ULSD		7/30/2021		262		23,451,935		23,419,813		(32,122	)
Nickel LME		9/15/2021		112		11,280,763		12,239,808		959,045
Palladium		9/28/2021		10		2,901,540		2,779,200		(122,340	)
Platinum		10/27/2021		61		3,324,375		3,272,345		(52,030	)
Silver		9/28/2021		90		12,395,255		11,787,300		(607,955	)
Soybean		11/12/2021		342		24,666,850		23,922,900		(743,950	)
Soybean Oil		12/14/2021		478		17,117,526		17,999,568		882,042
Sugar		9/30/2021		752		14,276,225		15,067,674		791,449
Wheat		12/14/2021		220		7,699,025		7,535,000		(164,025	)
WTI Crude Oil		8/20/2021		476		34,490,510		34,638,520		148,010
Zinc LME		9/15/2021		169		11,972,129		12,577,825		605,696
Total									$	3,430,904

At June 30, 2021, open short futures contracts were as follows:

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		9/30/2021		4,412	$	971,798,950	$	972,053,217	$	(254,267	)
3-month SONIA Index		3/15/2022		208		71,874,053		71,874,053		—
5 Year U.S. Treasury Note		9/30/2021		383		47,234,883		47,273,570		(38,687	)
10 Year Canada Government Bond		9/21/2021		349		40,496,789		40,970,055		(473,266	)
10 Year Australia Government Bond		9/15/2021		53		5,595,902		5,611,889		(15,987	)
10 Year U.S. Treasury Note		9/21/2021		254		33,462,515		33,655,000		(192,485	)
30 Year U.S. Treasury Bond		9/21/2021		85		13,232,453		13,663,750		(431,297	)
Euro		9/13/2021		298		44,422,994		44,197,125		225,869
Euro Schatz		9/08/2021		6,700		890,852,454		890,899,131		(46,677	)
Euro-Buxl® 30 Year Bond		9/08/2021		114		26,997,254		27,473,072		(475,818	)
Euro-OAT		9/08/2021		402		75,447,573		75,809,843		(362,270	)
German Euro BOBL		9/08/2021		384		61,010,058		61,082,258		(72,200	)
German Euro Bund		9/08/2021		238		48,404,407		48,712,014		(307,607	)
Japanese Yen		9/13/2021		2,455		278,653,955		276,402,312		2,251,643
Short Sterling		9/15/2021		2,234		385,912,775		385,919,545		(6,770	)

See accompanying notes to financial statements.

|  22

Consolidated Portfolio of Investments – as of June 30, 2021 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund – (continued)

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
UK Long Gilt		9/28/2021		404	$	70,978,699	$	71,589,094	$	(610,395	)
Ultra 10 Year U.S. Treasury Note		9/21/2021		192		27,715,500		28,263,000		(547,500	)
Ultra Long U.S. Treasury Bond		9/21/2021		52		9,531,437		10,019,750		(488,313	)
Total									$	(1,846,027	)
Commodity Futures1	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		9/15/2021		141	$	8,690,120	$	8,898,862	$	(208,742	)
Cocoa		9/15/2021		45		1,073,230		1,075,050		(1,820	)
Copper LME		9/15/2021		70		17,468,243		16,409,750		1,058,493
Gold		8/27/2021		24		4,223,400		4,251,840		(28,440	)
Soybean Meal		12/14/2021		239		8,402,600		9,122,630		(720,030	)
Total									$	99,461

¹ Commodity futures are held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

Investment Summary at June 30, 2021 (Unaudited)

Treasuries	47.6	%
Certificates of Deposit	41.0
Repurchase Agreements	3.2
Total Investments	91.8
Other assets less liabilities (including forward foreign currency and futures contracts)	8.2
Net Assets	100.0	%

See accompanying notes to financial statements.

23  |

Statements of Assets and Liabilities

June 30, 2021 (Unaudited)

	AlphaSimplex Global Alternatives Fund (Consolidated*)			AlphaSimplex Managed Futures Strategy Fund (Consolidated*)
ASSETS
Investments at cost	$	357,665,944		$	1,389,689,137
Net unrealized appreciation		30,855,392			14,904
Investments at value		388,521,336			1,389,704,041
Cash		7,002,750			23,259,227
Due from brokers (including variation margin on futures contracts) (Note 2)		88,191,891			123,414,811
Receivable for Fund shares sold		448,456			3,847,644
Receivable for securities sold		4,989,391			—
Dividends and interest receivable		247,903			240,963
Unrealized appreciation on forward foreign currency contracts (Note 2)		1,819,076			1,061,775
Tax reclaims receivable		394			—
Unrealized appreciation on futures contracts (Note 2)		5,729,374			17,006,753
Prepaid expenses (Note 8)		72			211
TOTAL ASSETS		496,950,643			1,558,535,425
LIABILITIES
Payable for securities purchased		7,718,874			—
Payable for Fund shares redeemed		350,954			938,095
Unrealized depreciation on forward foreign currency contracts (Note 2)		4,193,709			16,450,952
Unrealized depreciation on futures contracts (Note 2)		12,013,230			25,565,851
Management fees payable (Note 6)		411,365			1,564,328
Deferred Trustees’ fees (Note 6)		345,819			333,510
Administrative fees payable (Note 6)		29,049			73,977
Payable to distributor (Note 6d)		3,107			14,884
Other accounts payable and accrued expenses		162,274			259,617
TOTAL LIABILITIES		25,228,381			45,201,214
NET ASSETS	$	471,722,262		$	1,513,334,211
NET ASSETS CONSIST OF:
Paid-in capital	$	552,850,827		$	1,437,181,755
Accumulated earnings (loss)		(81,128,565	)		76,152,456
NET ASSETS	$	471,722,262		$	1,513,334,211
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	15,793,635		$	60,848,943
Shares of beneficial interest		1,473,603			5,581,839
Net asset value and redemption price per share	$	10.72		$	10.90
Offering price per share (100/94.25 of net asset value) (Note 1)	$	11.37		$	11.56
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	3,759,526		$	19,430,443
Shares of beneficial interest		374,772			1,889,640
Net asset value and offering price per share	$	10.03		$	10.28
Class N shares:
Net assets	$	147,117		$	149,929,701
Shares of beneficial interest		13,516			13,558,194
Net asset value, offering and redemption price per share	$	10.88		$	11.06
Class Y shares:
Net assets	$	452,021,984		$	1,283,125,124
Shares of beneficial interest		41,464,490			116,307,426
Net asset value, offering and redemption price per share	$	10.90		$	11.03

* See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

|  24

Statements of Operations

For the Six Months Ended June 30, 2021 (Unaudited)

	AlphaSimplex Global Alternatives Fund (Consolidated*)			AlphaSimplex Managed Futures Strategy Fund (Consolidated*)
INVESTMENT INCOME
Interest	$	155,650		$	746,168
Dividends		1,678,059			—
Less net foreign taxes withheld		(2,846	)		—
		1,830,863			746,168
Expenses
Management fees (Note 6)		2,849,638			9,088,811
Service and distribution fees (Note 6)		41,178			202,844
Administrative fees (Note 6)		150,532			354,666
Trustees’ and directors’ fees and expenses (Note 6)		57,723			70,095
Transfer agent fees and expenses (Notes 6 and 7)		183,998			922,124
Audit and tax services fees		43,390			37,722
Custodian fees and expenses		69,646			61,707
Interest expense (Note 10)		46,993			117,253
Legal fees (Note 8)		9,879			27,583
Registration fees		46,576			84,816
Shareholder reporting expenses		21,962			77,018
Miscellaneous expenses (Note 8)		40,737			49,275
Total expenses		3,562,252			11,093,914
Less waiver and/or expense reimbursement (Note 6)		(261,795	)		(297,071	)
Net expenses		3,300,457			10,796,843
Net investment loss		(1,469,594	)		(10,050,675	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		25,407,118			16,461
Futures contracts		30,286,185			196,700,918
Swap agreements		(29,484,920	)		—
Forward foreign currency contracts (Note 2e)		(2,280,605	)		1,770,190
Foreign currency transactions (Note 2d)		(34,463	)		(157,772	)
Net change in unrealized appreciation (depreciation) on:
Investments		172,238			(13,452	)
Futures contracts		(16,242,683	)		(66,009,865	)
Forward foreign currency contracts (Note 2e)		(3,007,453	)		(22,202,163	)
Foreign currency translations (Note 2d)		(6,646	)		3,253
Net realized and unrealized gain on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions		4,808,771			110,107,570
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	3,339,177		$	100,056,895

* See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

25  |

Statements of Changes in Net Assets

	AlphaSimplex Global Alternatives Fund (Consolidated*)						AlphaSimplex Managed Futures Strategy Fund (Consolidated*)
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020
FROM OPERATIONS:
Net investment loss	$	(1,469,594	)	$	(834,566	)	$	(10,050,675	)	$	(12,925,917	)
Net realized gain (loss) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions		23,893,315			(55,324,490	)		198,329,797			146,793,410
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations		(19,084,544	)		23,735,368			(88,222,227	)		56,812,203
Net increase (decrease) in net assets resulting from operations		3,339,177			(32,423,688	)		100,056,895			190,679,696
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		—			(350,065	)		—			(5,200,492	)
Class C		—			(63,850	)		—			(498,058	)
Class N		—			(3,354	)		—			(4,653,921	)
Class Y		—			(12,812,860	)		—			(38,834,778	)
Total distributions		—			(13,230,129	)		—			(49,187,249	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(54,906,530	)		(252,979,174	)		(72,809,359	)		(229,316,445	)
Net increase (decrease) in net assets		(51,567,353	)		(298,632,991	)		27,247,536			(87,823,998	)
NET ASSETS
Beginning of the period		523,289,615			821,922,606			1,486,086,675			1,573,910,673
End of the period	$	471,722,262		$	523,289,615		$	1,513,334,211		$	1,486,086,675

* See Notes 1 and 2 of the Notes to Financial Statements.

See accompanying notes to financial statements.

|  26

Financial Highlights

For a share outstanding throughout each period

	AlphaSimplex Global Alternatives Fund (Consolidated*)—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.67		$	11.18		$	10.24		$	11.04		$	10.02		$	10.48
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.04	)		(0.03	)		0.11			0.06			(0.03	)		(0.09	)
Net realized and unrealized gain (loss)		0.09			(0.24	)		0.93			(0.75	)		1.10			(0.37	)
Total from Investment Operations		0.05			(0.27	)		1.04			(0.69	)		1.07			(0.46	)
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.24	)		(0.10	)		(0.11	)		(0.05	)		—
Net asset value, end of the period	$	10.72		$	10.67		$	11.18		$	10.24		$	11.04		$	10.02
Total return(b)		0.47	%(c)(d)		(2.38	)%(c)		10.26	%(c)		(6.35	)%(c)		10.66	%		(4.39	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	15,794		$	15,584		$	25,341		$	33,649		$	49,904		$	76,207
Net expenses		1.51	%(e)(f)(g)(n)		1.52	%(e)(h)		1.54	%(e)		1.54	%(e)		1.57	%(i)(j)		1.56	%(k)
Gross expenses		1.61	%(f)(g)(n)		1.58	%		1.57	%		1.55	%		1.57	%(i)		1.56	%(k)
Net investment income (loss)		(0.80	)%(f)		(0.33	)%		0.97	%		0.58	%		(0.26	)%		(0.93	)%
Portfolio turnover rate(l)		39	%		232	%(m)		125	%		59	%		—	%		—	%

* See Notes 1 and 2 of the Notes to Financial Statements.

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

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

(c) 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) Includes interest expense. Without this expense the ratio of net expenses would have been 1.49% and the ratio of gross expenses would have been 1.59%.

(h) Effective July 1, 2020, the expense limit decreased from 1.54% to 1.49%.

(i) Includes interest expense. Without this expense the ratio of net expenses would have been 1.55% and the ratio of gross expenses would have been 1.56%.

(j) Effective July 1, 2017, the expense limit decreased from 1.60% to 1.54%.

(k) Includes interest expense. Without this expense the ratio of net expenses would have been 1.54% and the ratio of gross expenses would have been 1.54%.

(l) Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

(m) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

(n) Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 1.52% and 1.62%, respectively.

See accompanying notes to financial statements.

27  |

Financial Highlights (continued)

For a share outstanding throughout each period

	AlphaSimplex Global Alternatives Fund (Consolidated*)—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.02		$	10.48		$	9.59		$	10.33		$	9.40		$	9.91
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.08	)		(0.11	)		0.02			(0.02	)		(0.10	)		(0.15	)
Net realized and unrealized gain (loss)		0.09			(0.22	)		0.88			(0.70	)		1.03			(0.36	)
Total from Investment Operations		0.01			(0.33	)		0.90			(0.72	)		0.93			(0.51	)
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.13	)		(0.01	)		(0.02	)		—			—
Net asset value, end of the period	$	10.03		$	10.02		$	10.48		$	9.59		$	10.33		$	9.40
Total return(b)		0.10	%(c)(d)		(3.17	)%(c)		9.48	%(c)		(7.09	)%(c)		9.89	%		(5.15	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,760		$	5,059		$	11,171		$	15,537		$	24,521		$	38,412
Net expenses		2.26	%(e)(f)(g)(n)		2.27	%(e)(h)		2.29	%(e)		2.29	%(e)		2.32	%(i)(j)		2.31	%(k)
Gross expenses		2.36	%(f)(g)(n)		2.33	%		2.32	%		2.30	%		2.32	%(j)		2.31	%(k)
Net investment income (loss)		(1.55	)%(f)		(1.08	)%		0.23	%		(0.17	)%		(1.00	)%		(1.68	)%
Portfolio turnover rate(l)		39	%		232	%(m)		125	%		59	%		—	%		—	%

* See Notes 1 and 2 of the Notes to Financial Statements.

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

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

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

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

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

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

(g) Includes interest expense. Without this expense the ratio of net expenses would have been 2.24% and the ratio of gross expenses would have been 2.34%.

(h) Effective July 1, 2020, the expense limit decreased from 2.29% to 2.24%.

(i) Effective July 1, 2017, the expense limit decreased from 2.35% to 2.29%.

(j) Includes interest expense. Without this expense the ratio of net expenses would have been 2.30% and the ratio of gross expenses would have been 2.31%.

(k) Includes interest expense. Without this expense the ratio of net expenses would have been 2.29% and the ratio of gross expenses would have been 2.29%.

(l) Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

(m) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

(n) Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 2.27% and 2.37%, respectively.

See accompanying notes to financial statements.

|  28

Financial Highlights (continued)

For a share outstanding throughout each period

	AlphaSimplex Global Alternatives Fund (Consolidated*)—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.82		$	11.35		$	10.40		$	11.22		$	10.19		$	10.63
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.03	)		0.00	(b)		0.15			0.10			0.01			(0.06	)
Net realized and unrealized gain (loss)		0.09			(0.24	)		0.94			(0.77	)		1.11			(0.38	)
Total from Investment Operations		0.06			(0.24	)		1.09			(0.67	)		1.12			(0.44	)
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.29	)		(0.14	)		(0.15	)		(0.09	)		—
Net asset value, end of the period	$	10.88		$	10.82		$	11.35		$	10.40		$	11.22		$	10.19
Total return		0.55	%(c)(d)		(2.06	)%(c)		10.48	%(c)		(6.08	)%(c)		10.98	%		(4.05	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	147		$	131		$	526		$	14,377		$	10,376		$	9,639
Net expenses		1.20	%(e)(f)(g)(n)		1.22	%(e)(h)		1.24	%(e)		1.24	%(e)		1.26	%(i)(j)		1.24	%(k)
Gross expenses		2.63	%(f)(g)(n)		1.68	%		1.26	%		1.25	%		1.26	%(j)		1.24	%(k)
Net investment income (loss)		(0.50	)%(f)		0.02	%		1.38	%		0.94	%		0.09	%		(0.56	)%
Portfolio turnover rate(l)		39	%		232	%(m)		125	%		59	%		—	%		—	%

* See Notes 1 and 2 of the Notes to Financial Statements.

(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) 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) Includes interest expense. Without this expense the ratio of net expenses would have been 1.19% and the ratio of gross expenses would have been 2.62%.

(h) Effective July 1, 2020, the expense limit decreased from 1.24% to 1.19%.

(i) Effective July 1, 2017, the expense limit decreased from 1.30% to 1.24%.

(j) Includes interest expense. Without this expense the ratio of net expenses would have been 1.24% and the ratio of gross expenses would have been 1.24%.

(k) Includes interest expense. Without this expense the ratio of net expenses would have been 1.22% and the ratio of gross expenses would have been 1.22%.

(l) Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

(m) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

(n) Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 1.21% and 2.64%, respectively.

See accompanying notes to financial statements.

29  |

Financial Highlights (continued)

For a share outstanding throughout each period

	AlphaSimplex Global Alternatives Fund (Consolidated*)—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.84		$	11.36		$	10.40		$	11.22		$	10.19		$	10.64
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.03	)		(0.01	)		0.14			0.09			0.00	(b)		(0.07	)
Net realized and unrealized gain (loss)		0.09			(0.23	)		0.95			(0.77	)		1.11			(0.38	)
Total from Investment Operations		0.06			(0.24	)		1.09			(0.68	)		1.11			(0.45	)
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.28	)		(0.13	)		(0.14	)		(0.08	)		—
Net asset value, end of the period	$	10.90		$	10.84		$	11.36		$	10.40		$	11.22		$	10.19
Total return		0.55	%(c)(d)		(2.12	)%(c)		10.49	%(c)		(6.04	)%(c)		10.93	%		(4.23	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	452,022		$	502,517		$	784,884		$	1,132,058		$	1,559,650		$	1,504,641
Net expenses		1.26	%(e)(f)(g)(n)		1.27	%(e)(h)		1.29	%(e)		1.29	%(e)		1.32	%(i)(j)		1.31	%(k)
Gross expenses		1.36	%(f)(g)(n)		1.33	%		1.32	%		1.30	%		1.32	%(j)		1.31	%(k)
Net investment income (loss)		(0.55	)%(f)		(0.11	)%		1.23	%		0.85	%		0.02	%		(0.67	)%
Portfolio turnover rate(l)		39	%		232	%(m)		125	%		59	%		—	%		—	%

* See Notes 1 and 2 of the Notes to Financial Statements.

(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) 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) Includes interest expense. Without this expense the ratio of net expenses would have been 1.24% and the ratio of gross expenses would have been 1.34%.

(h) Effective July 1, 2020, the expense limit decreased from 1.29% to 1.24%.

(i) Effective July 1, 2017, the expense limit decreased from 1.35% to 1.29%.

(j) Includes interest expense. Without this expense the ratio of net expenses would have been 1.30% and the ratio of gross expenses would have been 1.31%.

(k) Includes interest expense. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 1.29%.

(l) Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

(m) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

(n) Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 1.27% and 1.37%, respectively.

See accompanying notes to financial statements.

|  30

Financial Highlights (continued)

For a share outstanding throughout each period

	AlphaSimplex Managed Futures Strategy Fund (Consolidated*)—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.17		$	9.26		$	8.97		$	10.38		$	9.78		$	10.37
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.09	)		(0.10	)		0.04			0.02			(0.06	)		(0.12	)
Net realized and unrealized gain (loss)		0.82			1.33			0.69			(1.31	)		0.66			(0.47	)
Total from Investment Operations		0.73			1.23			0.73			(1.29	)		0.60			(0.59	)
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.32	)		(0.44	)		—			—			—
Net realized capital gains		—			—			—			(0.12	)		—			—
Total Distributions		—			(0.32	)		(0.44	)		(0.12	)		—			—
Net asset value, end of the period	$	10.90		$	10.17		$	9.26		$	8.97		$	10.38		$	9.78
Total return(b)		7.18	%(c)(d)		13.27	%(c)		8.09	%(c)		(12.55	)%		6.13	%		(5.69	)%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	60,849		$	170,442		$	222,059		$	133,996		$	299,505		$	463,235
Net expenses		1.72	%(e)(f)(g)		1.70	%(e)		1.70	%(e)		1.70	%		1.75	%(h)(i)		1.74	%(e)(j)
Gross expenses		1.77	%(f)(g)		1.80	%		1.79	%		1.70	%		1.75	%(h)(i)		1.75	%(j)
Net investment income (loss)		(1.61	)%(f)		(0.99	)%		0.47	%		0.21	%		(0.61	)%		(1.11	)%
Portfolio turnover rate(k)		—	%		—	%		—	%		—	%		—	%		—	%

* See Notes 1 and 2 of the Notes to Financial Statements.

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

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

(c) 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) Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.75%.

(h) Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.70%.

(i) Includes fee/expense recovery of 0.01%.

(j) Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.71%.

(k) Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

31  |

Financial Highlights (continued)

For a share outstanding throughout each period

	AlphaSimplex Managed Futures Strategy Fund (Consolidated*)—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	9.63		$	8.78		$	8.51		$	9.93		$	9.42		$	10.07
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.12	)		(0.16	)		(0.02	)		(0.05	)		(0.13	)		(0.19	)
Net realized and unrealized gain (loss)		0.77			1.26			0.64			(1.25	)		0.64			(0.46	)
Total from Investment Operations		0.65			1.10			0.62			(1.30	)		0.51			(0.65	)
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.25	)		(0.35	)		—			—			—
Net realized capital gains		—			—			—			(0.12	)		—			—
Total Distributions		—			(0.25	)		(0.35	)		(0.12	)		—			—
Net asset value, end of the period	$	10.28		$	9.63		$	8.78		$	8.51		$	9.93		$	9.42
Total return(b)		6.75	%(c)(d)		12.48	%(c)		7.30	%(c)		(13.22	)%		5.41	%		(6.45	)%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	19,430		$	19,793		$	21,621		$	29,421		$	53,661		$	71,184
Net expenses		2.47	%(e)(f)(g)		2.45	%(e)		2.45	%(e)		2.45	%		2.50	%(h)(i)		2.49	%(e)(j)
Gross expenses		2.51	%(f)(g)		2.54	%		2.53	%		2.45	%		2.50	%(h)(i)		2.50	%(j)
Net investment loss		(2.36	)%(f)		(1.78	)%		(0.24	)%		(0.52	)%		(1.36	)%		(1.86	)%
Portfolio turnover rate(k)		—	%		—	%		—	%		—	%		—	%		—	%

* See Notes 1 and 2 of the Notes to Financial Statements.

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

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

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

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

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

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

(g) Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.50%.

(h) Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.45%.

(i) Includes fee/expense recovery of 0.01%.

(j) Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.46%.

(k) Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

|  32

Financial Highlights (continued)

For a share outstanding throughout each period

	AlphaSimplex Managed Futures Strategy Fund (Consolidated*)—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017**
Net asset value, beginning of the period	$	10.30		$	9.38		$	9.07		$	10.46		$	9.81
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.07	)		(0.07	)		0.08			0.08			(0.01	)
Net realized and unrealized gain (loss)		0.83			1.35			0.70			(1.35	)		0.67
Total from Investment Operations		0.76			1.28			0.78			(1.27	)		0.66
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.36	)		(0.47	)		—			(0.01	)
Net realized capital gains		—			—			—			(0.12	)		—
Total Distributions		—			(0.36	)		(0.47	)		(0.12	)		(0.01	)
Net asset value, end of the period	$	11.06		$	10.30		$	9.38		$	9.07		$	10.46
Total return		7.38	%(b)		13.77	%		8.45	%		(12.26	)%		6.76	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	149,930		$	133,731		$	117,258		$	67,957		$	1,017
Net expenses		1.37	%(d)(e)		1.35	%		1.36	%		1.36	%		1.34	%(d)(f)(g)
Gross expenses		1.37	%(d)(e)		1.35	%		1.36	%		1.36	%		14.83	%(d)(g)
Net investment income (loss)		(1.27	)%(d)		(0.73	)%		0.79	%		0.83	%		(0.17	)%(d)
Portfolio turnover rate(h)		—	%		—	%		—	%		—	%		—	%

* See Notes 1 and 2 of the Notes to Financial Statements.

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

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

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

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

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

(e) Includes interest expense. Without this expense the ratio of net expenses would have been 1.36% and the ratio of gross expenses would have been 1.36%.

(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. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 14.78%.

(h) Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

33  |

Financial Highlights (continued)

For a share outstanding throughout each period

	AlphaSimplex Managed Futures Strategy Fund (Consolidated*)—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.28		$	9.36		$	9.06		$	10.46		$	9.83		$	10.40
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.07	)		(0.08	)		0.07			0.05			(0.03	)		(0.09	)
Net realized and unrealized gain (loss)		0.82			1.35			0.69			(1.33	)		0.67			(0.48	)
Total from Investment Operations		0.75			1.27			0.76			(1.28	)		0.64			(0.57	)
LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.35	)		(0.46	)		—			(0.01	)		—
Net realized capital gains		—			—			—			(0.12	)		—			—
Total Distributions		—			(0.35	)		(0.46	)		(0.12	)		(0.01	)		—
Net asset value, end of the period	$	11.03		$	10.28		$	9.36		$	9.06		$	10.46		$	9.83
Total return		7.30	%(b)(c)		13.56	%(b)		8.35	%(b)		(12.35	)%		6.48	%		(5.47	)%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,283,125		$	1,162,122		$	1,212,973		$	1,836,962		$	3,102,626		$	2,629,920
Net expenses		1.47	%(d)(e)(f)		1.45	%(d)		1.45	%(d)		1.45	%		1.50	%(g)(h)		1.49	%(d)(i)
Gross expenses		1.51	%(e)(f)		1.54	%		1.53	%		1.45	%		1.50	%(g)(h)		1.50	%(i)
Net investment income (loss)		(1.36	)%(e)		(0.80	)%		0.77	%		0.49	%		(0.34	)%		(0.85	)%
Portfolio turnover rate(j)		—	%		—	%		—	%		—	%		—	%		—	%

* See Notes 1 and 2 of the Notes to Financial Statements.

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

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

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

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

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

(f) Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.49%.

(g) Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.45%.

(h) Includes fee/expense recovery of 0.01%.

(i) Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.46%.

(j) Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

See accompanying notes to financial statements.

|  34

Notes to Financial Statements

June 30, 2021 (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 an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

AlphaSimplex Global Alternatives Fund (the “Global Alternatives Fund”)

AlphaSimplex Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”)

Each Fund is a diversified investment company.

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

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant 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 and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C, Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

The Funds invest in commodity-related instruments through AlphaSimplex Global Alternatives Cayman Fund Ltd. and AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., wholly-owned subsidiaries (individually, a “Subsidiary” and collectively, the “Subsidiaries”) of Global Alternatives Fund and Managed Futures Strategy Fund, respectively, organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.

As of June 30, 2021, the value of each Fund’s investment in its respective Subsidiary was as follows:

Fund	Investment in Subsidiary		Percentage of Net Assets
Global Alternatives Fund	$	14,141,437		3.00	%
Managed Futures Strategy Fund		59,723,812		3.95	%

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

a.  Consolidation.  The accompanying financial statements present the consolidated accounts of the Funds and their respective Subsidiaries. All interfund accounts and transactions have been eliminated in consolidation.

b.  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

35  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

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

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

As of June 30, 2021, futures contracts 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 the contracts, as follows:

	Notional Value		Unrealized Appreciation/ Depreciation*		Unrealized as a Percentage of Net Assets
Global Alternatives Fund	$	54,071,743	$	756,883		0.16	%
Managed Futures Strategy Fund		395,212,843		5,655,348		0.37	%

* Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

c.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as 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 a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

d.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars 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.

|  36

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

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

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

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

e.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When a Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

f.  Futures Contracts.  The Funds and the Subsidiaries may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When a Fund or a Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Gross unrealized appreciation (depreciation) on futures contracts is recorded in the Statements of Assets and Liabilities as an asset (liability). The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund or a Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s or a Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

g.  Swap Agreements.  Global Alternatives Fund may enter into equity basket total return swap agreements. An equity basket total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return on an underlying basket of equity securities for, typically, fixed or floating interest payments. When a Fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a Fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may receive the change in value in addition to the interest payment. The Fund receives net interest or pays net total return depending on whether the values of the underlying assets decrease or increase. Dividends declared on short reference entity common stocks are accrued and paid to the counterparty. Equity basket total return swap agreements typically reset on a monthly basis.

37  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

The notional amounts of equity basket total return swap agreements are not recorded in the financial statements. Equity basket total return swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements in the Consolidated Statement of Operations. Fees are accrued in accordance with the terms of the agreement and are included in due to/from brokers on the Consolidated Statement of Assets and Liabilities. Payments made or received by the Fund as a result of a reset or termination of the agreement are recorded as realized gain or loss on the Consolidated Statement of Operations.

Equity basket total return swap agreements are privately negotiated in the over-the-counter market and are entered into as bilateral contracts. Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. Bilateral swap agreements may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. The Fund covers its net obligations under outstanding equity basket total return swap agreements by segregating or earmarking cash or securities.

h.  Due from Brokers.  Transactions and positions in certain futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. The due from brokers’ balances in the Statements of Assets and Liabilities for the Funds represent cash and foreign currency on deposit with brokers for open futures contracts and cash pledged as collateral for forward foreign currency contracts and swap agreements (including accrued interest receivable on equity basket total return swap agreements and net dividends payable on short reference entity common stocks). In certain circumstances the Funds’ or Subsidiaries’ use of cash, and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

i.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2021 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

j.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as capital gain and return of capital distributions received, foreign currency gains and losses, partnership basis adjustments, deferred Trustees’ fees, distribution re-designations, futures and forward foreign currency contract mark-to-market, swap adjustments, passive foreign investment company adjustments, and Cayman blocker 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, partnership basis adjustments, wash sales, return of capital distributions received, futures and forward foreign currency contract mark-to-market and foreign currency gains and losses, passive foreign investment company adjustments, capital gain distributions received and Cayman blocker adjustments. 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.

|  38

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2020 was as follows:

	2020 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total
Global Alternatives Fund	$	13,230,129	$	—	$	13,230,129
Managed Futures Strategy Fund		49,187,249		—		49,187,249

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

As of December 31, 2020, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:

	Global Alternatives Fund			Managed Futures Strategy Fund
Capital loss carryforward:
Short-term:
No expiration date	$	(88,477,554	)	$	(66,108,457	)
Long-term
No expiration date		(6,554,643	)		—
Total capital loss carryforward	$	(95,032,197	)	$	(66,108,457	)
Late-year ordinary and post-October capital loss deferrals*	$	(29,680,113	)	$	—

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

As of June 30, 2021, the tax cost of investments (including derivatives) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

	Global Alternatives Fund			Managed Futures Strategy Fund
Federal tax cost	$	357,665,944		$	1,389,689,137
Gross tax appreciation	$	40,356,870		$	18,129,751
Gross tax depreciation		(18,159,967	)		(42,063,122	)
Net tax appreciation (depreciation)	$	22,196,903		$	(23,933,371	)

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

k.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2021, 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.

39  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

l.  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.

m.  New Accounting Pronouncement.  In March 2020, the Financial Accounting Standards Board issued Accounting Standard Update 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than June 30, 2023, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.

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 June 30, 2021, at value:

Global Alternatives Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	201,939,969	$	—	$	—	$	201,939,969
Closed-End Investment Companies		1,028,483		—		—		1,028,483
Short-Term Investments(a)		—		185,552,884		—		185,552,884
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,819,076		—		1,819,076
Futures Contracts (unrealized appreciation)		5,728,955		419		—		5,729,374
Total	$	208,697,407	$	187,372,379	$	—	$	396,069,786

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Equity Basket Total Return Swap	$	—	(b)	$	—		$	—	$	—
Forward Foreign Currency Contracts (unrealized depreciation)		—			(4,193,709	)		—		(4,193,709	)
Futures Contracts (unrealized depreciation)		(11,256,766	)		(756,464	)		—		(12,013,230	)
Total	$	(11,256,766	)	$	(4,950,173	)	$	—	$	(16,206,939	)

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

(b) Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Portfolio of Investments.

|  40

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Managed Futures Strategy Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments(a)	$	—	$	1,389,704,041	$	—	$	1,389,704,041
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,061,775		—		1,061,775
Futures Contracts (unrealized appreciation)		16,810,054		196,699		—		17,006,753
Total	$	16,810,054	$	1,390,962,515	$	—	$	1,407,772,569

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(16,450,952	)	$	—	$	(16,450,952	)
Futures Contracts (unrealized depreciation)		(20,107,202	)		(5,458,649	)		—		(25,565,851	)
Total	$	(20,107,202	)	$	(21,909,601	)	$	—	$	(42,016,803	)

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

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts and swap agreements.

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. The Fund may also use various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments and equity basket total return swap agreements. During the six months ended June 30, 2021, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. equity market indices, foreign currencies, short-term interest rates, and commodities (through investments in the Subsidiary), long contracts on foreign equity market indices, and short contracts on equity basket total return swaps in accordance with these objectives.

Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the six months ended June 30, 2021, the Fund used long and short contracts on U.S. and foreign government bonds, short-term interest rates, foreign currencies, and commodities (through investments in the Subsidiary), and long contracts on U.S. and foreign equity market indices to capture the exposures suggested by the quantitative investment models.

41  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

The following is a summary of derivative instruments for Global Alternatives Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	1,819,076	$	—
Exchange-traded asset derivatives
Interest rate contracts	$	—	$	860,105
Foreign exchange contracts		—		2,316,946
Commodity contracts		—		2,471,166
Equity contracts		—		81,157
Total exchange-traded asset derivatives	$	—	$	5,729,374
Total asset derivatives	$	1,819,076	$	5,729,374

Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Swap agreements at value1
Over-the-counter liability derivatives
Foreign exchange contracts	$	(4,193,709	)	$	—		$	—
Equity contracts		—			—			(163,587,560	)
Total over-the counter liability derivatives	$	(4,193,709	)	$	—		$	(163,587,560	)
Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(3,378,538	)	$	—
Foreign exchange contracts		—			(2,591,795	)		—
Commodity contracts		—			(2,338,876	)		—
Equity contracts		—			(3,704,021	)		—
Total exchange-traded liability derivatives	$	—		$	(12,013,230	)	$	—
Total liability derivatives	$	(4,193,709	)	$	(12,013,230	)	$	(163,587,560	)

¹   Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments.

Transactions in derivative instruments for Global Alternatives Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures contracts			Forward foreign currency transactions			Swap agreements
Interest rate contracts	$	(2,201,717	)	$	—		$	—
Foreign exchange contracts		2,974,892			(2,280,605	)		—
Commodity contracts		16,344,936			—			—
Equity contracts		13,168,074			—			(29,484,920	)
Total	$	30,286,185		$	(2,280,605	)	$	(29,484,920	)

|  42

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Forward foreign currency transactions
Interest rate contracts	$	(4,037,825	)	$	—
Foreign exchange contracts		(484,636	)		(3,007,453	)
Commodity contracts		(5,952,445	)		—
Equity contracts		(5,767,777	)		—
Total	$	(16,242,683	)	$	(3,007,453	)

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	1,061,775		$	—
Exchange-traded asset derivatives
Interest rate contracts	$	—		$	26,549
Foreign exchange contracts		—			2,477,512
Commodity contracts		—			10,325,324
Equity contracts		—			4,177,368
Total exchange-traded asset derivatives	$	—		$	17,006,753
Total asset derivatives	$	1,061,775		$	17,006,753
Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(16,450,952	)	$	—
Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(4,769,975	)
Foreign exchange contracts		—			(5,941,884	)
Commodity contracts		—			(6,794,959	)
Equity contracts		—			(8,059,033	)
Total exchange-traded liability derivatives	$	—		$	(25,565,851	)
Total liability derivatives	$	(16,450,952	)	$	(25,565,851	)

43  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Transactions in derivative instruments for Managed Futures Strategy Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures contracts			Forward foreign currency transactions
Interest rate contracts	$	(13,325,214	)	$	—
Foreign exchange contracts		5,220,993			1,770,190
Commodity contracts		115,135,569			—
Equity contracts		89,669,570			—
Total	$	196,700,918		$	1,770,190

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Forward foreign currency transactions
Interest rate contracts	$	(9,277,125	)	$	—
Foreign exchange contracts		(10,085,164	)		(22,202,163	)
Commodity contracts		(31,005,108	)		—
Equity contracts		(15,642,468	)		—
Total	$	(66,009,865	)	$	(22,202,163	)

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2021:

Global Alternatives Fund	Forwards			Futures			Total Return Swaps
Average Notional Amount Outstanding		88.70	%		451.11	%		24.89	%
Highest Notional Amount Outstanding		139.94	%		478.22	%		34.68	%
Lowest Notional Amount Outstanding		50.32	%		420.82	%		21.65	%
Notional Amount Outstanding as of June 30, 2021		51.91	%		448.05	%		34.68	%
Managed Futures Strategy Fund	Forwards			Futures
Average Notional Amount Outstanding		65.13	%		335.50	%
Highest Notional Amount Outstanding		76.69	%		417.15	%
Lowest Notional Amount Outstanding		44.79	%		269.79	%
Notional Amount Outstanding as of June 30, 2021		63.30	%		378.50	%

Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in net assets.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

|  44

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

As of June 30, 2021, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Global Alternatives Fund

Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	1,819,076		$	(1,819,076	)	$	—		$	—	$	—
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(4,193,709	)	$	1,819,076		$	(2,374,633	)	$	2,374,633	$	—

Managed Futures Strategy Fund

Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	1,061,775		$	(1,061,775	)	$	—		$	—	$	—
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
UBS AG	$	(16,450,952	)	$	1,061,775		$	(15,389,177	)	$	15,389,177	$	—

The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. As of June 30, 2021, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:

	Independent Amount of Collateral		Increase (Decrease) For Change in Value		Required Collateral		Collateral Pledged		Excess/ (Shortfall)
Global Alternatives Fund	$	5,859,506	$	2,346,977	$	8,206,483	$	7,638,155	$	(568,328	)
Managed Futures Strategy Fund		21,355,139		15,292,576		36,647,715		37,606,170		958,455

Amounts in excess or short of the required collateral amount are received or paid by the Funds on the next business day, subject to collateral thresholds and minimum transfer requirements. The ISDA agreements include a tri-party control agreement under which collateral pledged from the Fund to the broker is held for the benefit of the broker, as secured party, at a third party custodian, State Street Bank and Trust Company (“State Street Bank”). Collateral pledged to the broker is reflected in “due from brokers” on the Statements of Assets and Liabilities.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s

45  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2021:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Global Alternatives Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	1,819,076	$	—
Collateral pledged to UBS AG		7,638,155		7,638,155
Collateral pledged to Morgan Stanley		41,893,208		41,893,208
Total over-the-counter counterparty credit risk		51,350,439		49,531,363
Exchange-traded counterparty credit risk
Futures contracts		5,729,374		5,729,374
Margin with brokers		43,331,051		43,331,051
Total exchange-traded counterparty credit risk		49,060,425		49,060,425
Total counterparty credit risk	$	100,410,864	$	98,591,788
Managed Futures Strategy Fund
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	1,061,775	$	—
Collateral pledged to UBS AG		37,606,170		37,606,170
Total over-the-counter counterparty credit risk		38,667,945		37,606,170
Exchange-traded counterparty credit risk
Futures contracts		17,006,753		17,006,753
Margin with brokers		129,136,637		129,136,637
Total exchange-traded counterparty credit risk		146,143,390		146,143,390
Total counterparty credit risk	$	184,811,335	$	183,749,560

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2021, purchases and sales of securities (excluding short-term investments) were as follows:

Fund	Purchases		Sales
Global Alternatives Fund	$	94,052,827	$	191,421,105

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Investment Managers, LLC, serves as investment adviser to the Funds. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets.

Global Alternatives Fund pays a management fee at an annual rate of 1.10% on the first $2 billion of the Fund’s average daily net assets (including the net asset value of the Subsidiary), and 1.05% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

Managed Futures Strategy Fund pays a management fee at an annual rate of 1.25% on the first $2.5 billion of the Fund’s average daily net assets (including the net asset value of the Subsidiary), and 1.20% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

AlphaSimplex also serves as investment adviser to AlphaSimplex Global Alternatives Cayman Fund Ltd. and AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., which pay AlphaSimplex a management fee at the annual rate of 1.10% and 1.25%, respectively, of its average daily net assets.

|  46

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short (Global Alternatives Fund only), taxes, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2022, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2021, 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 Alternatives Fund		1.49	%		2.24	%		1.19	%		1.24	%
Managed Futures Strategy Fund		1.70	%		2.45	%		1.40	%		1.45	%

AlphaSimplex shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended June 30, 2021, the management fees and waivers of management fees for each Fund were as follows:

Fund	Gross Management Fees		Contractual Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
							Gross			Net
Global Alternatives Fund	$	2,849,638	$	260,905	$	2,588,733		1.10	%		1.00	%
Managed Futures Strategy Fund		9,088,811		—		9,088,811		1.25	%		1.25	%

¹ Management fee waivers are subject to possible recovery until December 31, 2022.

For the six months ended June 30, 2021, class-specific expenses have been reimbursed as follows:

	Reimbursement1
Fund	Class A		Class C		Class N		Class Y		Total
Managed Futures Strategy Fund	$	20,707	$	4,563	$	—	$	271,801	$	297,071

¹   Expense reimbursement is subject to possible recovery until December 31, 2022.

No expenses were recovered for either Fund during the six months ended June 30, 2021 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.

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

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

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

47  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

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 Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2021, the service and distribution fees for each Fund were as follows:

	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Global Alternatives Fund	$	19,365	$	5,453	$	16,360
Managed Futures Strategy Fund		102,633		25,053		75,158

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

For the six months ended June 30, 2021, the administrative fees paid to Natixis Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):

Fund	Administrative Fees
Global Alternatives Fund	$	110,783
Managed Futures Strategy Fund		310,917

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

For the six months ended June 30, 2021, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
Global Alternatives Fund	$	137,965
Managed Futures Strategy Fund		635,644

As of June 30, 2021, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
Global Alternatives Fund	$	3,107
Managed Futures Strategy Fund		14,884

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

|  48

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

e.   Commissions.   Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2021 were as follows:

Fund	Commissions
Global Alternatives Fund	$	952
Managed Futures Strategy Fund		3,578

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

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 Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. 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 its affiliates are also officers and/or Trustees of the Trust.

g.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to Global Alternatives Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2022 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2021, Natixis Advisors reimbursed the Fund $890 for transfer agency expenses related to Class N shares.

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

For the six months ended June 30, 2021, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
Global Alternatives Fund	$	5,491	$	1,534	$	890	$	176,083
Managed Futures Strategy Fund		61,478		14,166		1,969		844,511

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 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 $500,000,000 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

49  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 8, 2021, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 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.

For the six months ended June 30, 2021, neither Fund had borrowings under this agreement.

9.  Risk.  Each Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

The Funds’ investments in commodity-related instruments may subject the Funds to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

Global markets have experienced periods of high volatility triggered by the Covid-19 pandemic. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Such effects could impair the Funds’ ability to maintain operational standards, disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments and negatively impact the Funds’ performance.

10.  Interest Expense.  The Funds may incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the six months ended June 30, 2021 is reflected on the Statements of Operations.

11.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2021, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of 5% Account Holders		Total Percentage of Ownership
Global Alternatives Fund		4		42.53	%(a)
Managed Futures Strategy Fund		1		8.54	%(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 a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

(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). 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. AlphaSimplex has no involvement in the decisions to invest in the models provided.

|  50

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

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

	Six Months Ended June 30, 2021					Year Ended December 31, 2020
Global Alternatives Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	172,725		$	1,856,455		1,623,558		$	17,678,688
Issued in connection with the reinvestment of distributions	—			—		22,575			240,420
Redeemed	(160,167	)		(1,714,632	)	(2,451,082	)		(25,713,402	)
Net change	12,558		$	141,823		(804,949	)	$	(7,794,294	)
Class C
Issued from the sale of shares	21,565		$	216,703		26,154		$	257,854
Issued in connection with the reinvestment of distributions	—			—		6,287			62,874
Redeemed	(151,583	)		(1,529,349	)	(593,632	)		(5,826,318	)
Net change	(130,018	)	$	(1,312,646	)	(561,191	)	$	(5,505,590	)
Class N
Issued from the sale of shares	2,982		$	32,663		6,700		$	71,749
Issued in connection with the reinvestment of distributions	—			—		311			3,354
Redeemed	(1,532	)		(16,662	)	(41,302	)		(460,526	)
Net change	1,450		$	16,001		(34,291	)	$	(385,423	)
Class Y
Issued from the sale of shares	6,140,008		$	66,753,622		15,988,607		$	171,911,642
Issued in connection with the reinvestment of distributions	—			—		585,919			6,333,788
Redeemed	(11,050,711	)		(120,505,330	)	(39,266,251	)		(417,539,297	)
Net change	(4,910,703	)	$	(53,751,708	)	(22,691,725	)	$	(239,293,867	)
Decrease from capital share transactions	(5,026,713	)	$	(54,906,530	)	(24,092,156	)	$	(252,979,174	)

	Six Months Ended June 30, 2021					Year Ended December 31, 2020
Managed Futures Strategy Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,043,621		$	11,125,057		8,897,011		$	87,245,646
Issued in connection with the reinvestment of distributions	—			—		482,693			4,913,814
Redeemed	(12,217,315	)		(127,087,992	)	(16,594,015	)		(161,779,589	)
Net change	(11,173,694	)	$	(115,962,935	)	(7,214,311	)	$	(69,620,129	)
Class C
Issued from the sale of shares	212,415		$	2,152,476		266,678		$	2,459,016
Issued in connection with the reinvestment of distributions	—			—		47,343			455,914
Redeemed	(378,634	)		(3,867,181	)	(719,340	)		(6,694,265	)
Net change	(166,219	)	$	(1,714,705	)	(405,319	)	$	(3,779,335	)
Class N
Issued from the sale of shares	1,192,872		$	12,881,773		3,733,338		$	36,574,955
Issued in connection with the reinvestment of distributions	—			—		168,681			1,737,419
Redeemed	(621,358	)		(6,714,304	)	(3,418,614	)		(33,981,990	)
Net change	571,514		$	6,167,469		483,405		$	4,330,384
Class Y
Issued from the sale of shares	25,328,205		$	275,398,731		68,367,766		$	676,556,286
Issued in connection with the reinvestment of distributions	—			—		2,517,010			25,900,036
Redeemed	(22,089,868	)		(236,697,919	)	(87,378,412	)		(862,703,687	)
Net change	3,238,337		$	38,700,812		(16,493,636	)	$	(160,247,365	)
Decrease from capital share transactions	(7,530,062	)	$	(72,809,359	)	(23,629,861	)	$	(229,316,445	)

51  |

Semiannual

June 30, 2021

Loomis Sayles High Income Fund

Loomis Sayles Intermediate Municipal Bond Fund

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Strategic Alpha Fund

Loomis Sayles Strategic Income Fund

Table of Contents

Portfolio Review	1
Portfolio of Investments	14
Financial Statements	64
Notes to Financial Statements	92

LOOMIS SAYLES HIGH INCOME FUND

Managers	Symbols
Matthew J. Eagan, CFA®	Class A    NEFHX
Brian P. Kennedy	Class C    NEHCX
Elaine M. Stokes	Class N    LSHNX
Todd P. Vandam, CFA®	Class Y    NEHYX
Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return.

Average Annual Total Returns—June 30, 2021³

																Expense Ratios4
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net
Class Y (Inception 2/29/08)
NAV		3.28	%		16.88	%		6.89	%		5.76	%		—	%		0.98	%		0.75	%
Class A (Inception 2/22/84)
NAV		3.14			16.53			6.60			5.50			—			1.22			1.00
With 4.25% Maximum Sales Charge		-1.18			11.46			5.67			5.04			—
Class C (Inception 3/2/98)
NAV		2.75			15.86			5.82			4.88			—			1.97			1.75
With CDSC1		1.75			14.86			5.82			4.88			—
Class N (Inception 11/30/16)
NAV		3.29	5		16.88			—			—			6.52			0.88			0.70
Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index2		3.62			15.37			7.48			6.66			6.92

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 Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

2 The Bloomberg Barclays U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. The Bloomberg Barclays U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg Barclays U.S. Universal and Global High-Yield Indices. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Corporate High-Yield Bond Index.

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 4/30/22. 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.

5 Generally accepted accounting principles require adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns reflected above are different from the total returns reported in the financial highlights. The returns presented in the table above are what an investor would have actually experienced.

1  |

LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND

Managers	Symbols
Dawn Mangerson	Class A    MIMAX
James Grabovac, CFA®	Class C    MIMCX
Lawrence Jones	Class Y    MIMYX
Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.

Average Annual Total Returns — June 30, 2021⁴

													Expense Ratios5
	6 Months			1 Year			5 Years			Life of Fund			Gross			Net
Class Y (Inception 12/31/12)1
NAV		0.30	%		2.64	%		2.38	%		2.61	%		1.17	%		0.46	%
Class A (Inception 12/31/12)1
NAV		0.17			2.38			2.13			2.33			1.43			0.71
With 3.00% Maximum Sales Charge		-2.86			-0.67			1.51			1.96
Class C (Inception 12/31/12)1
NAV		-0.20			1.62			1.37			1.62			2.18			1.46
With CDSC2		-1.19			0.62			1.37			1.62
Comparative Performance
Bloomberg Barclays Municipal Bond Index3		1.06			4.17			3.25			3.53

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

1 December 31, 2012 represents the date shares were first registered for public sale under the Securities Act of 1933. November 16, 2012 represents commencement of operations for accounting and financial reporting purposes only.

2 Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

3 Bloomberg Barclays Municipal Bond Index is a market value-weighted index of investment-grade municipal bonds with maturities of one year or more. Effective August 24, 2021, the index name was changed to Bloomberg Municipal Bond Index.

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

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. 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

LOOMIS SAYLES INVESTMENT GRADE BOND FUND

Managers	Symbols
Matthew J. Eagan, CFA®	Class A	LIGRX
Brian P. Kennedy	Class C	LGBCX
Elaine M. Stokes	Class N	LGBNX
Loomis, Sayles & Company, L.P.	Class Y	LSIIX
	Admin Class	LIGAX

Investment Goal

The Fund seeks high total investment return through a combination of current income and capital appreciation.

Average Annual Total Returns — June 30, 2021⁴

																Expense Ratios5
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net
Class Y (Inception 12/31/96)
NAV		0.20	%		5.97	%		5.36	%		4.60	%		—	%		0.55	%		0.50	%
Class A (Inception 12/31/96)
NAV		0.08			5.71			5.10			4.33			—			0.80			0.75
With 4.25% Maximum Sales Charge		-4.20			1.21			4.18			3.88			—
Class C (Inception 9/12/03)
NAV		-0.30			4.97			4.31			3.71			—			1.55			1.50
With CDSC1		-1.29			3.98			4.31			3.71			—
Class N (Inception 2/1/13)
NAV		0.22			6.03			5.43			—			4.01			0.47			0.45
Admin Class (Inception 2/1/10)
NAV		-0.04			5.47			4.86			4.09			—			1.05			1.00
Comparative Performance
Bloomberg Barclays U.S. Government/Credit Bond Index2		-1.96			-0.39			3.31			3.71			3.24
Bloomberg Barclays U.S. Aggregate Bond Index3		-1.60			-0.33			3.03			3.39			3.03

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 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 Bloomberg Barclays U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index and was the first macro index launched by Barclays Capital. The U.S. Government/Credit Bond Index includes investment grade, US dollar denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the Bloomberg Barclays U.S. Aggregate Index. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Government/Credit Bond Index.

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

4 Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Aggregate Bond Index.

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

3  |

LOOMIS SAYLES STRATEGIC ALPHA FUND

Managers	Symbols
Matthew J. Eagan, CFA®	Class A    LABAX
Kevin P. Kearns*	Class C    LABCX
Brian P. Kennedy**	Class N    LASNX
Elaine M. Stokes**	Class Y    LASYX
Todd P. Vandam, CFA®
Loomis, Sayles & Company, L.P.

* Effective January 8, 2021, Kevin P. Kearns no longer serves as portfolio manager of the Fund.

** Effective January 8, 2021, Brian P. Kennedy and Elaine M. Stokes joined the portfolio management team of the Fund.

Investment Goal

The Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

Average Annual Total Returns — June 30, 2021⁴

																Expense Ratios5
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net
Class Y (Inception 12/15/10)
NAV		1.86	%		9.98	%		4.78	%		3.65	%		—	%		0.74	%		0.74	%
Class A (Inception 12/15/10)
NAV		1.74			9.68			4.53			3.40			—			0.99			0.99
With 4.25% Maximum Sales Charge		-2.56			5.06			3.63			2.95			—
Class C (Inception 12/15/10)
NAV		1.29			8.73			3.73			2.78			—			1.74			1.74
With CDSC1		0.29			7.73			3.73			2.78			—
Class N (Inception 5/1/17)
NAV		1.79			9.93			—			—			4.45			0.68			0.68
Comparative Performance
3-Month LIBOR2		0.09			0.21			1.41			0.88			1.50
3-Month LIBOR + 300 basis points3		1.58			3.20			4.41			3.88			4.49

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 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate at which a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates.

3 3-Month LIBOR + 300 basis points is created by adding 3.00% to the annual return of the 3-Month LIBOR. The calculation is performed on a monthly basis and is subject to the effects of compounding.

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

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. 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

LOOMIS SAYLES STRATEGIC INCOME FUND

Managers	Symbols
Matthew J. Eagan, CFA®	Class A	NEFZX
Daniel J. Fuss, CFA®, CIC*	Class C	NECZX
Brian P. Kennedy	Class N	NEZNX
Elaine M. Stokes	Class Y	NEZYX
Loomis, Sayles & Company, L.P.	Admin Class	NEZAX

* Effective March 1, 2021, Daniel J. Fuss no longer serves as portfolio manager of the Fund.

Investment Goal

The Fund seeks high current income with a secondary objective of capital growth.

Average Annual Total Returns — June 30, 2021⁴

																Expense Ratios5
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net
Class Y (Inception 12/1/99)
NAV		3.59	%		12.54	%		4.58	%		4.76	%		—	%		0.72	%		0.72	%
Class A (Inception 5/1/95)
NAV		3.39			12.17			4.31			4.49			—			0.97			0.97
With 4.25% Maximum Sales Charge		-0.99			7.40			3.40			4.04			—
Class C (Inception 5/1/95)
NAV		3.08			11.42			3.53			3.87			—			1.72			1.72
With CDSC1		2.08			10.42			3.53			3.87			—
Class N (Inception 2/1/13)
NAV		3.63			12.55			4.66			—			4.24			0.65			0.65
Admin Class (Inception 2/1/10)
NAV		3.35			11.93			4.07			4.25			—			1.22			1.22
Comparative Performance
Bloomberg Barclays U.S. Aggregate Bond Index2		-1.60			-0.33			3.03			3.39			3.03
Bloomberg Barclays U.S. Universal Bond Index3		-1.15			1.12			3.48			3.74			3.34

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 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 Class C share performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

2 The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Aggregate Bond Index.

3 The Bloomberg Barclays U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index. Effective August 24, 2021, the index name was changed to Bloomberg U.S. Universal Bond Index.

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

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. 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.

5  |

ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on 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 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

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

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

|  6

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2021 through June 30, 2021. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

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

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

LOOMIS SAYLES HIGH INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,031.40		$5.04
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01
Class C
Actual		$1,000.00		$1,027.50		$8.80
Hypothetical (5% return before expenses)		$1,000.00		$1,016.12		$8.75
Class N
Actual		$1,000.00		$1,030.50		$3.52	**
Hypothetical (5% return before expenses)		$1,000.00		$1,021.32		$3.51
Class Y
Actual		$1,000.00		$1,032.80		$3.78
Hypothetical (5% return before expenses)		$1,000.00		$1,021.08		$3.76

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% 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 (181), divided by 365 (to reflect the half-year period).

** Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes. Amounts expressed in the table include the effect of such adjustments.

7  |

LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,001.70		$3.47
Hypothetical (5% return before expenses)		$1,000.00		$1,021.32		$3.51
Class C
Actual		$1,000.00		$998.00		$7.18
Hypothetical (5% return before expenses)		$1,000.00		$1,017.60		$7.25
Class Y
Actual		$1,000.00		$1,003.00		$2.23
Hypothetical (5% return before expenses)		$1,000.00		$1,022.56		$2.26

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45% and 0.45% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

LOOMIS SAYLES INVESTMENT GRADE BOND FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,000.80		$3.72
Hypothetical (5% return before expenses)		$1,000.00		$1,021.08		$3.76
Class C
Actual		$1,000.00		$997.00		$7.43
Hypothetical (5% return before expenses)		$1,000.00		$1,017.36		$7.50
Class N
Actual		$1,000.00		$1,002.20		$2.23
Hypothetical (5% return before expenses)		$1,000.00		$1,022.56		$2.26
Class Y
Actual		$1,000.00		$1,002.00		$2.48
Hypothetical (5% return before expenses)		$1,000.00		$1,022.32		$2.51
Admin Class
Actual		$1,000.00		$999.60		$4.96
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.75%, 1.50%, 0.45%, 0.50% and 1.00% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

|  8

LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,017.40		$4.90
Hypothetical (5% return before expenses)		$1,000.00		$1,019.94		$4.91
Class C
Actual		$1,000.00		$1,012.90		$8.63
Hypothetical (5% return before expenses)		$1,000.00		$1,016.22		$8.65
Class N
Actual		$1,000.00		$1,017.90		$3.40
Hypothetical (5% return before expenses)		$1,000.00		$1,021.42		$3.41
Class Y
Actual		$1,000.00		$1,018.60		$3.65
Hypothetical (5% return before expenses)		$1,000.00		$1,021.18		$3.66

* Expenses are equal to the Fund’s annualized expense ratio: 0.98%, 1.73%, 0.68% and 0.73% 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 (181), divided by 365 (to reflect the half-year period).

LOOMIS SAYLES STRATEGIC INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2021		ENDING ACCOUNT VALUE 6/30/2021		EXPENSES PAID DURING PERIOD* 1/1/2021 – 6/30/2021
Class A
Actual		$1,000.00		$1,033.90		$4.89
Hypothetical (5% return before expenses)		$1,000.00		$1,019.98		$4.86
Class C
Actual		$1,000.00		$1,030.80		$8.66
Hypothetical (5% return before expenses)		$1,000.00		$1,016.27		$8.60
Class N
Actual		$1,000.00		$1,036.30		$3.28
Hypothetical (5% return before expenses)		$1,000.00		$1,021.57		$3.26
Class Y
Actual		$1,000.00		$1,035.90		$3.63
Hypothetical (5% return before expenses)		$1,000.00		$1,021.22		$3.61
Admin Class
Actual		$1,000.00		$1,033.50		$6.15
Hypothetical (5% return before expenses)		$1,000.00		$1,018.75		$6.11

* Expenses are equal to the Fund’s annualized expense ratio: 0.97%, 1.72%, 0.65%, 0.72% and 1.22% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

9  |

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and Loomis Sayles Intermediate Municipal Bond Fund’s 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. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. 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 at its June Board meeting.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers, 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 and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees and sub-advisory fees, if any, 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 limitations and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the 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, liquidity 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 of funds 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, the Trustees are periodically provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings, both at the Board and at the Committee level.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2021. 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 also considered their experience with other funds advised or sub-advised by the Advisers, as well as the affiliation between the Advisers and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the Natixis family of funds.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

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

|  10

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 Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Intermediate Municipal Bond Fund, Loomis Sayles Strategic Alpha Fund and Loomis Sayles Strategic Income Fund (the “Existing 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, 2020, each Existing Fund’s one-, 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 High Income Fund		12	%		44	%		27	%
Loomis Sayles Investment Grade Bond Fund		8	%		10	%		4	%
Loomis Sayles Intermediate Municipal Bond Fund		92	%		83	%		69	%
Loomis Sayles Strategic Alpha Fund		9	%		26	%		33	%
Loomis Sayles Strategic Income Fund		84	%		88	%		74	%

In the case of each 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 Fund’s investment objective and policies; (2) that more recent performance (i.e., for periods ending March 31, 2021) has been stronger relative to its category ; and (3) that the Fund’s long-term (10-year) performance was stronger relative to its category . The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the Covid-19 crisis.

The Trustees also considered 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, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory 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 demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for the Funds under their expense limitation agreements . The Trustees also considered that the current expenses for Loomis Sayles Strategic Alpha Fund and Loomis Sayles Strategic Income Fund were below each Fund’s expense limitation. They further noted that management had proposed to reduce the expense cap for Loomis Sayles Strategic Income Fund on all share classes, effective as of July 1, 2021.

11  |

The Trustees noted that each of Loomis Sayles Investment Grade Bond Fund and Loomis Sayles Strategic Income Fund had a total 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 that: (1) the advisory fee was only one basis point higher than the median of a peer group of funds for Loomis Sayles Investment Grade Bond Fund and (2) management had proposed to further reduce the expense limitation of the Loomis Sayles Strategic Income 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 how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers, LLC 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 limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that each of Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Strategic Alpha Fund and Loomis Sayles Strategic Income Fund has breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitation for Loomis Sayles Strategic Income Fund. 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.

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

• The effect of recent market and economic events, including but not limited to the Covid-19 crisis and its significant disruptions to the economy and business operations, 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 should be continued through June 30, 2022.

|  12

LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2020 and ending December 31, 2020

(including updates through June 30, 2021)

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

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

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

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Strategic Alpha Fund and Loomis Sayles Strategic Income Fund have established an HLIM.

During the period from January 1, 2020 to December 31, 2020, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations during the period.

During the period January 1, 2021 through June 30, 2021, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board is operating effectively. The Program Administrators have also monitored, assessed and managed each Fund’s liquidity risk regularly throughout the period.

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

13  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund

Principal Amount		Description	Value (†)
	Bonds and Notes — 88.3% of Net Assets
	Non-Convertible Bonds — 82.8%
		ABS Home Equity — 0.5%
$	127,806	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 0.423%, 9/19/2045(a)	$	96,528
	115,000	Progress Residential Trust, Series 2021-SFR3, Class F, 3.436%, 5/17/2026, 144A		116,217
	225,000	Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A		224,584
	100,000	VOLT XCVI LLC, Series 2021-NPL5, Class A2, 4.826%, 3/27/2051, 144A(b)		99,898
				537,227
		Aerospace & Defense — 2.7%
	30,000	Boeing Co. (The), 3.250%, 2/01/2035		30,334
	20,000	Boeing Co. (The), 3.550%, 3/01/2038		20,541
	430,000	Boeing Co. (The), 5.150%, 5/01/2030		509,187
	135,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		135,169
	635,000	Bombardier, Inc., 7.125%, 6/15/2026, 144A		664,845
	95,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		100,334
	140,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		149,190
	263,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		312,741
	60,000	Moog, Inc., 4.250%, 12/15/2027, 144A		62,100
	350,000	Spirit AeroSystems, Inc., 4.600%, 6/15/2028		343,000
	190,000	Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A		202,825
	235,000	TransDigm, Inc., 4.625%, 1/15/2029, 144A		235,082
	110,000	TransDigm, Inc., 4.875%, 5/01/2029, 144A		111,045
	100,000	TransDigm, Inc., 5.500%, 11/15/2027		104,250
	120,000	Triumph Group, Inc., 6.250%, 9/15/2024, 144A		121,800
	69,000	Wolverine Escrow LLC, 9.000%, 11/15/2026, 144A		67,275
				3,169,718
		Airlines — 1.3%
	30,000	American Airlines Group, Inc., 5.000%, 6/01/2022, 144A		30,038
	160,000	American Airlines, Inc., 11.750%, 7/15/2025, 144A		200,800
	225,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A		238,219
	255,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		275,719
	200,000	Delta Air Lines, Inc., 7.375%, 1/15/2026		234,667
	260,000	Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyality Ltd., 5.750%, 1/20/2026, 144A		279,138
	105,000	United Airlines, Inc., 4.375%, 4/15/2026, 144A		108,694
	155,000	United Airlines, Inc., 4.625%, 4/15/2029, 144A		160,425
				1,527,700
		Automotive — 2.0%
	105,000	Clarios Global LP/Clarios U.S. Finance Co., 8.500%, 5/15/2027, 144A		114,471
	75,000	Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A		77,344
	1,110,000	Ford Motor Co., 9.000%, 4/22/2025		1,368,486
	105,000	Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027		111,266
	115,000	Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026		117,989
	300,000	Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028		315,750
	40,000	Meritor, Inc., 4.500%, 12/15/2028, 144A		40,550
	65,000	Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A		67,418
	40,000	Tenneco, Inc., 7.875%, 1/15/2029, 144A		45,175
		Automotive — continued
	85,000	Wheel Pros, Inc., 6.500%, 5/15/2029, 144A		85,956
				2,344,405
		Banking — 0.7%
	400,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		431,368
	400,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		436,137
				867,505
		Building Materials — 2.2%
	265,000	Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A		278,634
	270,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		274,455
	285,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		313,386
	125,000	Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A		134,063
	50,000	CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A		51,813
	315,000	Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A		311,850
	170,000	LBM Acquisition LLC, 6.250%, 1/15/2029, 144A		171,309
	195,000	Park River Holdings, Inc., 5.625%, 2/01/2029, 144A		189,613
	125,000	Park River Holdings, Inc., 6.750%, 8/01/2029, 144A		126,563
	125,000	Patrick Industries, Inc., 4.750%, 5/01/2029, 144A		124,219
	130,000	SRS Distribution, Inc., 6.125%, 7/01/2029, 144A		133,784
	45,000	Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A		47,809
	165,000	U.S. Concrete, Inc., 5.125%, 3/01/2029, 144A		180,262
	165,000	Victors Merger Corp., 6.375%, 5/15/2029, 144A		166,237
	30,000	White Cap Buyer LLC, 6.875%, 10/15/2028, 144A		32,108
				2,536,105
		Cable Satellite — 5.1%
	210,000	Altice Financing S.A., 5.000%, 1/15/2028, 144A		205,836
	80,000	Block Communications, Inc., 4.875%, 3/01/2028, 144A		81,600
	600,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A		611,514
	1,005,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A		1,062,787
	205,000	Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.750%, 10/01/2026, 144A		216,787
	420,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		412,066
	555,000	CSC Holdings LLC, 4.625%, 12/01/2030		544,516
	150,000	DISH DBS Corp., 7.375%, 7/01/2028		161,420
	675,000	DISH DBS Corp., 7.750%, 7/01/2026		764,437
	254,021	Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(c)		250,625
	76,397	Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(c)		58,829
	185,000	Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A		194,370
	125,000	Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A		125,469
	310,000	UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A		310,713
	110,000	ViaSat, Inc., 6.500%, 7/15/2028, 144A		117,311
	225,000	Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A		227,315
	200,000	Ziggo BV, 4.875%, 1/15/2030, 144A		205,180
	296,000	Ziggo BV, 5.500%, 1/15/2027, 144A		307,544
				5,858,319
		Chemicals — 1.2%
	55,000	Chemours Co. (The), 5.375%, 5/15/2027		59,651
	150,000	Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A		153,879

See accompanying notes to financial statements.

|  14

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

Principal Amount		Description	Value (†)
		Chemicals — continued
$	70,000	CVR Partners LP/CVR Nitrogen Finance Corp., 6.125%, 6/15/2028, 144A	$	71,750
	330,000	Hercules LLC, 6.500%, 6/30/2029		363,776
	200,000	Herens Holdco S.a.r.l., 4.750%, 5/15/2028, 144A		199,000
	140,000	Hexion, Inc., 7.875%, 7/15/2027, 144A		151,025
	80,000	Methanex Corp., 5.125%, 10/15/2027		86,400
	20,000	Methanex Corp., 5.250%, 12/15/2029		21,550
	185,000	Olin Corp., 5.000%, 2/01/2030		197,256
	65,000	Olin Corp., 5.125%, 9/15/2027		67,600
	5,000	Olin Corp., 5.625%, 8/01/2029		5,489
				1,377,376
		Construction Machinery — 0.1%
	125,000	Titan International, Inc., 7.000%, 4/30/2028, 144A		130,781
		Consumer Cyclical Services — 2.0%
	95,000	ANGI Group LLC, 3.875%, 8/15/2028, 144A		94,406
	35,000	Arches Buyer, Inc., 6.125%, 12/01/2028, 144A		36,050
	175,000	Prime Security Services Borrower LLC/Prime Finance, Inc., 6.250%, 1/15/2028, 144A		186,156
	330,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A		344,979
	185,000	Realogy Group LLC/Realogy Co-Issuer Corp., 7.625%, 6/15/2025, 144A		200,669
	80,000	Realogy Group LLC/Realogy Co-Issuer Corp., 9.375%, 4/01/2027, 144A		88,891
	200,000	Staples, Inc., 7.500%, 4/15/2026, 144A		207,147
	240,000	Terminix Co. LLC (The), 7.450%, 8/15/2027		280,800
	60,000	TKC Holdings, Inc., 10.500%, 5/15/2029, 144A		64,950
	760,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		817,920
				2,321,968
		Consumer Products — 0.3%
	160,000	Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A		160,165
	175,000	Prestige Brands, Inc., 5.125%, 1/15/2028, 144A		184,233
				344,398
		Diversified Manufacturing — 0.5%
	120,000	Madison IAQ LLC, 5.875%, 6/30/2029, 144A		122,100
	200,000	TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A		210,750
	215,000	WESCO Distribution, Inc., 7.250%, 6/15/2028, 144A		239,478
				572,328
		Electric — 0.7%
	510,000	Calpine Corp., 5.125%, 3/15/2028, 144A		518,925
	140,000	PG&E Corp., 5.000%, 7/01/2028		141,557
	25,000	PG&E Corp., 5.250%, 7/01/2030		25,237
	110,000	Talen Energy Supply LLC, 10.500%, 1/15/2026, 144A		79,544
				765,263
		Environmental — 0.1%
	175,000	GFL Environmental, Inc., 4.000%, 8/01/2028, 144A		172,874
		Finance Companies — 3.1%
	105,000	Fortress Transportation & Infrastructure Investors LLC, 5.500%, 5/01/2028, 144A		109,331
	265,000	Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A		275,865
	150,000	Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(d)		150,750
	385,000	Midcap Financial Issuer Trust, 6.500%, 5/01/2028, 144A		402,918
	655,000	Navient Corp., 4.875%, 3/15/2028		658,275
	170,000	Navient Corp., 5.000%, 3/15/2027		175,907
	95,000	Navient Corp., 6.750%, 6/25/2025		105,185
	170,000	Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A		172,125
	490,000	Quicken Loans LLC, 5.250%, 1/15/2028, 144A		514,500
		Finance Companies — continued
	380,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		375,250
	620,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		624,644
				3,564,750
		Financial Other — 1.5%
	175,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A		174,125
	145,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027, 144A		149,712
	1,030,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		1,063,470
	225,000	Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A		223,875
	120,000	Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A		124,354
				1,735,536
		Food & Beverage — 1.6%
	65,000	Aramark Services, Inc., 5.000%, 2/01/2028, 144A		68,068
	324,000	Kraft Heinz Foods Co., 3.000%, 6/01/2026		345,039
	325,000	MARB BondCo. PLC, 3.950%, 1/29/2031, 144A		313,365
	120,000	Performance Food Group, Inc., 5.500%, 10/15/2027, 144A		126,114
	270,000	Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A		287,550
	110,000	Post Holdings, Inc., 5.500%, 12/15/2029, 144A		117,837
	140,000	Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A		141,217
	120,000	TreeHouse Foods, Inc., 4.000%, 9/01/2028		119,100
	140,000	Triton Water Holdings, Inc., 6.250%, 4/01/2029, 144A		140,350
	205,000	US Foods, Inc., 4.750%, 2/15/2029, 144A		209,100
				1,867,740
		Gaming — 4.1%
	375,000	Boyd Gaming Corp., 4.750%, 12/01/2027		388,125
	165,000	Boyd Gaming Corp., 4.750%, 6/15/2031, 144A		171,188
	220,000	Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A		233,200
	290,000	Caesars Entertainment, Inc., 8.125%, 7/01/2027, 144A		322,538
	295,000	Caesars Resort Collection LLC/CRC Finco, Inc., 5.250%, 10/15/2025, 144A		298,687
	100,000	Caesars Resort Collection LLC/CRC Finco, Inc., 5.750%, 7/01/2025, 144A		105,375
	200,000	International Game Technology PLC, 4.125%, 4/15/2026, 144A		208,250
	220,000	International Game Technology PLC, 5.250%, 1/15/2029, 144A		235,950
	200,000	MGM China Holdings Ltd., 4.750%, 2/01/2027, 144A		203,846
	205,000	MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.500%, 1/15/2028		216,788
	255,000	MGM Resorts International, 5.500%, 4/15/2027		279,862
	410,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		447,802
	330,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		372,240
	200,000	Studio City Finance Ltd., 5.000%, 1/15/2029, 144A		201,804
	230,000	Studio City Finance Ltd., 6.500%, 1/15/2028, 144A		246,100
	370,000	Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.500%, 3/01/2025, 144A		398,438
	250,000	Wynn Macau Ltd., 5.125%, 12/15/2029, 144A		257,500
	165,000	Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A		174,281
				4,761,974

See accompanying notes to financial statements.

15  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

Principal Amount		Description	Value (†)
		Government Owned – No Guarantee — 0.5%
$	340,000	Petroleos Mexicanos, 5.950%, 1/28/2031	$	330,310
	280,000	YPF S.A., 6.950%, 7/21/2027, 144A		197,232
				527,542
		Healthcare — 4.3%
	110,000	AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A		111,513
	435,000	CHS/Community Health Systems, Inc., 5.625%, 3/15/2027, 144A		464,362
	270,000	CHS/Community Health Systems, Inc., 6.125%, 4/01/2030, 144A		274,050
	195,000	CHS/Community Health Systems, Inc., 6.875%, 4/15/2029, 144A		204,062
	235,000	CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A		253,212
	240,000	DaVita, Inc., 3.750%, 2/15/2031, 144A		230,400
	155,000	Encompass Health Corp., 4.500%, 2/01/2028		160,808
	300,000	Encompass Health Corp., 4.750%, 2/01/2030		318,750
	160,000	HCA, Inc., 7.050%, 12/01/2027		196,000
	145,000	HCA, Inc., 7.500%, 11/06/2033		200,100
	115,000	HCA, Inc., MTN, 7.750%, 7/15/2036		160,425
	270,000	LifePoint Health, Inc., 5.375%, 1/15/2029, 144A		263,250
	40,000	ModivCare, Inc., 5.875%, 11/15/2025, 144A		42,800
	230,000	MPH Acquisition Holdings LLC, 5.750%, 11/01/2028, 144A		231,129
	75,000	RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A		78,281
	75,000	Select Medical Corp., 6.250%, 8/15/2026, 144A		79,877
	100,000	Surgery Center Holdings, Inc., 6.750%, 7/01/2025, 144A		102,000
	100,000	Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A		102,920
	920,000	Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A		980,389
	355,000	Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A		370,531
	95,000	U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A		98,164
				4,923,023
		Home Construction — 0.9%
	215,000	Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A		212,926
	75,000	Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 6.250%, 9/15/2027, 144A		79,219
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(e)(f)(g)		—
	100,000	Empire Communities Corp., 7.000%, 12/15/2025, 144A		105,000
	40,000	Forestar Group, Inc., 3.850%, 5/15/2026, 144A		40,362
	230,000	KB Home, 4.800%, 11/15/2029		249,198
	165,000	Mattamy Group Corp., 4.625%, 3/01/2030, 144A		168,863
	185,000	Taylor Morrison Communities, Inc., 5.750%, 1/15/2028, 144A		208,865
				1,064,433
		Independent Energy — 7.5%
	210,000	Antero Resources Corp., 7.625%, 2/01/2029, 144A		233,100
	23,000	Antero Resources Corp., 8.375%, 7/15/2026, 144A		26,163
	190,000	Apache Corp., 4.250%, 1/15/2030		200,450
	60,000	Apache Corp., 4.375%, 10/15/2028		63,870
	35,000	Apache Corp., 4.875%, 11/15/2027		37,905
	130,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/2029, 144A		130,000
	115,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A		120,314
	155,000	Baytex Energy Corp., 8.750%, 4/01/2027, 144A		156,162
	45,000	California Resources Corp., 7.125%, 2/01/2026, 144A		47,354
	65,000	Callon Petroleum Co., 6.250%, 4/15/2023		65,075
	165,000	Callon Petroleum Co., 8.000%, 8/01/2028, 144A		166,856
		Independent Energy — continued
	50,000	Centennial Resource Production LLC, 5.375%, 1/15/2026, 144A		49,000
	155,000	Centennial Resource Production LLC, 6.875%, 4/01/2027, 144A		158,505
	45,000	Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A		47,475
	105,000	Comstock Resources, Inc., 6.750%, 3/01/2029, 144A		111,849
	30,000	Continental Resources, Inc., 4.375%, 1/15/2028		33,188
	160,000	Continental Resources, Inc., 4.900%, 6/01/2044		181,201
	50,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		59,875
	30,000	Endeavor Energy Resources LP/EER Finance, Inc., 5.500%, 1/30/2026, 144A		31,163
	50,000	Endeavor Energy Resources LP/EER Finance, Inc., 6.625%, 7/15/2025, 144A		53,500
	165,000	Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A		169,064
	85,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		87,314
	85,000	Energy Ventures GoM LLC/EnVen Finance Corp., 11.750%, 4/15/2026, 144A		88,645
	20,000	EQT Corp., 3.125%, 5/15/2026, 144A		20,494
	40,000	EQT Corp., 3.625%, 5/15/2031, 144A		41,700
	5,000	EQT Corp., 5.000%, 1/15/2029		5,575
	55,000	EQT Corp., 7.625%, 2/01/2025		64,157
	225,000	EQT Corp., 8.500%, 2/01/2030		293,155
	70,000	Hilcorp Energy I LP/Hilcorp Finance Co., 5.750%, 2/01/2029, 144A		72,975
	65,000	Hilcorp Energy I LP/Hilcorp Finance Co., 6.000%, 2/01/2031, 144A		68,900
	150,000	Independence Energy Finance LLC, 7.250%, 5/01/2026, 144A		157,525
	205,000	Indigo Natural Resources LLC, 5.375%, 2/01/2029, 144A		214,225
	85,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		93,315
	115,000	Matador Resources Co., 5.875%, 9/15/2026		118,450
	125,000	MEG Energy Corp., 5.875%, 2/01/2029, 144A		130,312
	130,000	MEG Energy Corp., 7.125%, 2/01/2027, 144A		138,492
	85,000	Murphy Oil Corp., 6.375%, 7/15/2028		89,620
	130,000	Murphy Oil Corp., 6.375%, 12/01/2042		128,748
	140,000	Murphy Oil Corp., 6.875%, 8/15/2024		143,150
	130,000	Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A		140,075
	65,000	Oasis Petroleum, Inc., 6.375%, 6/01/2026, 144A		67,777
	500,000	Occidental Petroleum Corp., 2.900%, 8/15/2024		511,250
	40,000	Occidental Petroleum Corp., 3.000%, 2/15/2027		39,700
	20,000	Occidental Petroleum Corp., 3.400%, 4/15/2026		20,450
	620,000	Occidental Petroleum Corp., 3.500%, 6/15/2025		633,950
	155,000	Occidental Petroleum Corp., 3.500%, 8/15/2029		155,558
	245,000	Occidental Petroleum Corp., 4.100%, 2/15/2047		228,124
	105,000	Occidental Petroleum Corp., 4.200%, 3/15/2048		98,175
	50,000	Occidental Petroleum Corp., 4.400%, 4/15/2046		48,025
	145,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		160,225
	225,000	Occidental Petroleum Corp., 5.875%, 9/01/2025		250,312
	85,000	Occidental Petroleum Corp., 7.500%, 5/01/2031		107,100
	40,000	Occidental Petroleum Corp., 7.875%, 9/15/2031		51,400
	110,000	Occidental Petroleum Corp., 8.500%, 7/15/2027		138,512
	215,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		287,539
	220,000	Ovintiv, Inc., 6.500%, 8/15/2034		290,425
	10,000	Ovintiv, Inc., 6.500%, 2/01/2038		13,314
	90,000	Ovintiv, Inc., 6.625%, 8/15/2037		120,085
	95,000	Ovintiv, Inc., 7.200%, 11/01/2031		125,008
	45,000	Ovintiv, Inc., 7.375%, 11/01/2031		59,747
	35,000	Ovintiv, Inc., 8.125%, 9/15/2030		47,698
	135,000	Range Resources Corp., 9.250%, 2/01/2026		148,837

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

Principal Amount		Description	Value (†)
		Independent Energy — continued
$	38,000	Range Resources Corp., 5.000%, 3/15/2023	$	39,330
	85,000	Range Resources Corp., 8.250%, 1/15/2029, 144A		95,837
	85,000	SM Energy Co., 5.625%, 6/01/2025		84,150
	65,000	SM Energy Co., 6.500%, 7/15/2028		66,788
	105,000	SM Energy Co., 6.750%, 9/15/2026		106,837
	200,000	Southwestern Energy Co., 6.450%, 1/23/2025		221,400
	30,000	Southwestern Energy Co., 7.500%, 4/01/2026		31,763
	20,000	Southwestern Energy Co., 7.750%, 10/01/2027		21,700
	120,000	Vine Energy Holdings LLC, 6.750%, 4/15/2029, 144A		126,300
				8,636,212
		Industrial Other — 0.3%
	125,000	Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A		131,588
	65,000	Hillenbrand, Inc., 5.750%, 6/15/2025		69,771
	130,000	Installed Building Products, Inc., 5.750%, 2/01/2028, 144A		136,825
				338,184
		Leisure — 2.8%
	65,000	AMC Entertainment Holdings, Inc., 10.500%, 4/15/2025, 144A		70,525
	80,000	Boyne USA, Inc., 4.750%, 5/15/2029, 144A		82,538
	650,000	Carnival Corp., 5.750%, 3/01/2027, 144A		680,875
	145,000	Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 6.500%, 10/01/2028, 144A		156,238
	125,000	Cinemark USA, Inc., 5.250%, 7/15/2028, 144A		128,125
	110,000	Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A		110,486
	220,000	Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A		227,975
	335,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		350,912
	70,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		73,357
	125,000	Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028		119,386
	325,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		324,594
	370,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		387,501
	180,000	Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A		181,575
	115,000	Viking Cruises Ltd., 5.875%, 9/15/2027, 144A		113,643
	255,000	Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A		257,550
				3,265,280
		Lodging — 1.2%
	150,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		149,607
	415,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		424,338
	100,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		101,375
	605,000	Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028		619,943
	20,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		20,614
	15,000	Travel & Leisure Co., 6.000%, 4/01/2027		16,479
				1,332,356
		Media Entertainment — 4.1%
	305,000	AMC Networks, Inc., 4.250%, 2/15/2029		307,669
	145,000	Audacy Capital Corp., 6.750%, 3/31/2029, 144A		150,709
	60,000	Clear Channel Outdoor Holdings, Inc., 7.500%, 6/01/2029, 144A		62,120
	210,000	Clear Channel Outdoor Holdings, Inc., 7.750%, 4/15/2028, 144A		219,979
		Media Entertainment — continued
	130,000	Deluxe Corp., 8.000%, 6/01/2029, 144A		141,050
	240,000	Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A		155,400
	105,000	Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A		51,569
	265,000	Gray Television, Inc., 4.750%, 10/15/2030, 144A		264,080
	260,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		267,475
	591,125	iHeartCommunications, Inc., 8.375%, 5/01/2027		633,243
	160,000	Lamar Media Corp., 3.750%, 2/15/2028		162,800
	175,000	Lions Gate Capital Holdings LLC, 5.500%, 4/15/2029, 144A		183,969
	745,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		886,028
	5,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		6,073
	45,000	Netflix, Inc., 5.875%, 11/15/2028		55,234
	60,000	Netflix, Inc., 6.375%, 5/15/2029		76,635
	105,000	Nexstar Broadcasting, Inc., 5.625%, 7/15/2027, 144A		111,300
	120,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A		121,800
	35,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A		36,996
	65,000	Playtika Holding Corp., 4.250%, 3/15/2029, 144A		64,955
	185,000	Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A		185,694
	200,000	Summer BC Bidco B LLC, 5.500%, 10/31/2026, 144A		203,338
	170,000	Terrier Media Buyer, Inc., 8.875%, 12/15/2027, 144A		183,813
	45,000	Townsquare Media, Inc., 6.875%, 2/01/2026, 144A		48,150
	100,000	Univision Communications, Inc., 6.625%, 6/01/2027, 144A		108,355
				4,688,434
		Metals & Mining — 3.8%
	405,000	ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028		436,286
	210,000	Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A		227,808
	60,000	Allegheny Technologies, Inc., 5.875%, 12/01/2027		62,850
	25,000	Carpenter Technology Corp., 6.375%, 7/15/2028		27,446
	220,000	Cleveland-Cliffs, Inc., 4.625%, 3/01/2029, 144A		231,499
	180,000	Cleveland-Cliffs, Inc., 4.875%, 3/01/2031, 144A		189,000
	139,000	Cleveland-Cliffs, Inc., 9.875%, 10/17/2025, 144A		162,909
	845,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		883,963
	455,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		495,814
	210,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		217,875
	340,000	Freeport-McMoRan, Inc., 4.250%, 3/01/2030		364,225
	20,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		24,156
	60,000	GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A		61,575
	285,000	Mineral Resources Ltd., 8.125%, 5/01/2027, 144A		313,144
	320,000	Novelis Corp., 4.750%, 1/30/2030, 144A		336,000
	50,000	SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A		49,938
	125,000	United States Steel Corp., 6.250%, 3/15/2026		128,850
	75,000	United States Steel Corp., 6.875%, 8/15/2025		76,740
	100,000	United States Steel Corp., 6.875%, 3/01/2029		107,000
	40,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		39,600
				4,436,678
		Midstream — 5.0%
	250,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A		270,920
	185,000	Buckeye Partners LP, 4.500%, 3/01/2028, 144A		189,682
	80,000	Buckeye Partners LP, 5.600%, 10/15/2044		77,600
	55,000	Buckeye Partners LP, 5.850%, 11/15/2043		54,588

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

Principal Amount		Description	Value (†)
		Midstream — continued
$	510,000	CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.500%, 6/15/2031, 144A	$	531,415
	115,000	Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A		120,462
	40,000	DCP Midstream Operating LP, 5.125%, 5/15/2029		44,200
	230,000	DCP Midstream Operating LP, 5.625%, 7/15/2027		262,060
	280,000	EnLink Midstream Partners LP, 5.600%, 4/01/2044		253,400
	110,000	EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A		119,625
	200,000	EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A		223,000
	180,000	EQM Midstream Partners LP, 6.500%, 7/15/2048		192,600
	160,000	EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028		172,893
	115,000	Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A		113,994
	225,000	Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028		232,524
	120,000	Harvest Midstream I LP, 7.500%, 9/01/2028, 144A		130,320
	665,000	Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A		693,595
	220,000	New Fortress Energy, Inc., 6.500%, 9/30/2026, 144A		224,796
	355,000	New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A		363,431
	105,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		95,287
	145,000	NuStar Logistics LP, 5.750%, 10/01/2025		157,687
	125,000	Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A		127,969
	130,000	Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029, 144A		132,275
	3,000	Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 9/15/2024, 144A		3,041
	5,000	Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 1/15/2028, 144A		5,088
	110,000	Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.000%, 3/01/2027, 144A		113,300
	255,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		280,413
	155,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031, 144A		167,787
	200,000	Western Midstream Operating LP, 5.300%, 2/01/2030		224,001
	110,000	Western Midstream Operating LP, 5.450%, 4/01/2044		118,525
	105,000	Western Midstream Operating LP, 6.500%, 2/01/2050		121,573
				5,818,051
		Non-Agency Commercial Mortgage-Backed Securities — 1.6%
	99,317	CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 3.573%, 11/15/2031, 144A(a)(h)(i)		65,024
	223,463	CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 4.573%, 11/15/2031, 144A(a)(h)(i)		128,227
	100,000	Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A		99,910
	1,020,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		913,311
	45,000	GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.428%, 8/10/2044, 144A(b)		37,356
	100,000	MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.426%, 10/15/2030, 144A(b)		78,271
		Non-Agency Commercial Mortgage-Backed Securities — continued
	380,000	Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.573%, 11/15/2027, 144A(a)(f)(g)(h)		93,664
	420,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.473%, 11/15/2027, 144A(a)(f)(g)(h)		40,048
	60,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.325%, 11/15/2059(b)		50,830
	145,000	Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050		107,803
	121,836	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.520%, 3/15/2044, 144A(b)		59,359
	80,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.508%, 12/15/2045(b)		68,665
	125,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.957%, 6/15/2045, 144A(b)(h)(i)		50,991
				1,793,459
		Oil Field Services — 0.9%
	55,000	Nabors Industries Ltd., 7.250%, 1/15/2026, 144A		53,900
	61,000	Nabors Industries, Inc., 9.000%, 2/01/2025, 144A		64,164
	90,000	Precision Drilling Corp., 6.875%, 1/15/2029, 144A		92,700
	10,000	Precision Drilling Corp., 7.125%, 1/15/2026, 144A		10,300
	55,000	Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A		58,300
	174,000	Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A		176,038
	135,000	Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A		135,675
	52,250	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		52,773
	140,000	Transocean, Inc., 8.000%, 2/01/2027, 144A		117,872
	60,000	Transocean, Inc., 11.500%, 1/30/2027, 144A		64,122
	35,000	Weatherford International Ltd., 8.750%, 9/01/2024, 144A		36,619
	165,000	Weatherford International Ltd., 11.000%, 12/01/2024, 144A		171,600
				1,034,063
		Packaging — 1.3%
	570,000	ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(d)		598,500
	500,000	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/2027, 144A		510,000
	75,000	Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A		80,813
	80,000	Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A		83,200
	290,000	Mauser Packaging Solutions Holding Co., 7.250%, 4/15/2025, 144A		284,200
				1,556,713
		Pharmaceuticals — 4.1%
	725,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		674,250
	585,000	Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A		546,068
	200,000	Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A		205,062
	260,000	Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A		175,332
	70,000	Endo Luxembourg Finance Co. I.S.a.r.l/Endo U.S., Inc., 6.125%, 4/01/2029, 144A		68,600
	200,000	Jazz Securities DAC, 4.375%, 1/15/2029, 144A		207,360
	335,000	Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A		345,117

See accompanying notes to financial statements.

|  18

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

Principal Amount		Description	Value (†)
		Pharmaceuticals — continued
$	107,000	Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A	$	109,390
	325,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		357,500
	285,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		271,106
	1,980,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		1,734,975
				4,694,760
		Property & Casualty Insurance — 0.4%
	212,820	Ardonagh Midco 2 PLC, 12.750% PIK or 11.500% Cash, 1/15/2027, 144A(o)		233,038
	105,000	AssuredPartners, Inc., 5.625%, 1/15/2029, 144A		105,000
	125,000	BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A		127,500
				465,538
		Refining — 0.6%
	55,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A		59,812
	50,000	CVR Energy, Inc., 5.250%, 2/15/2025, 144A		50,026
	395,000	Parkland Corp., 5.875%, 7/15/2027, 144A		421,019
	65,000	PBF Holding Co. LLC/PBF Finance Corp., 6.000%, 2/15/2028		44,525
	80,000	PBF Holding Co. LLC/PBF Finance Corp., 9.250%, 5/15/2025, 144A		80,591
				655,973
		REITs – Hotels — 0.3%
	240,000	Service Properties Trust, 4.750%, 10/01/2026		237,000
	135,000	Service Properties Trust, 7.500%, 9/15/2025		152,847
				389,847
		REITs – Mortgage — 0.3%
	45,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A		44,936
	215,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A		218,762
	75,000	Starwood Property Trust, Inc., 3.625%, 7/15/2026, 144A		75,563
				339,261
		Restaurants — 0.5%
	540,000	1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A		522,450
	100,000	Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A		102,750
				625,200
		Retailers — 2.6%
	70,000	Ambience Merger Sub, Inc., 4.875%, 7/15/2028, 144A		70,175
	130,000	Ambience Merger Sub, Inc., 7.125%, 7/15/2029, 144A		131,300
	75,000	Asbury Automotive Group, Inc., 4.500%, 3/01/2028		77,063
	83,000	Asbury Automotive Group, Inc., 4.750%, 3/01/2030		86,735
	400,000	Carvana Co., 5.500%, 4/15/2027, 144A		413,092
	105,000	Carvana Co., 5.625%, 10/01/2025, 144A		109,164
	220,000	Carvana Co., 5.875%, 10/01/2028, 144A		231,422
	35,000	Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A		35,613
	50,000	Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A		51,000
	140,000	L Brands, Inc., 5.250%, 2/01/2028		156,625
	75,000	L Brands, Inc., 6.625%, 10/01/2030, 144A		86,813
	105,000	L Brands, Inc., 6.750%, 7/01/2036		131,512
	55,000	L Brands, Inc., 6.875%, 11/01/2035		69,644
	90,000	Lithia Motors, Inc., 4.375%, 1/15/2031, 144A		96,400
	250,000	Magic Mergeco, Inc., 7.875%, 5/01/2029, 144A		257,812
	115,000	NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A		122,762
		Retailers — continued
	250,000	PetSmart, Inc./PetSmart Finance Corp., 4.750%, 2/15/2028, 144A		259,687
	250,000	PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A		275,625
	10,000	QVC, Inc., 4.450%, 2/15/2025		10,680
	10,000	QVC, Inc., 4.850%, 4/01/2024		10,850
	115,000	Rite Aid Corp., 7.500%, 7/01/2025, 144A		116,438
	180,000	Victoria’s Secret & Co., 4.625%, 7/15/2029, 144A		180,000
				2,980,412
		Technology — 5.2%
	99,000	BY Crown Parent LLC/BY Bond Finance, Inc., 4.250%, 1/31/2026, 144A		103,702
	145,000	Camelot Finance S.A., 4.500%, 11/01/2026, 144A		151,706
	215,000	Clarivate Science Holdings Corp., 4.875%, 6/30/2029, 144A		220,644
	1,005,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,028,869
	86,000	CommScope Technologies LLC, 6.000%, 6/15/2025, 144A		87,828
	405,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		438,919
	235,000	Elastic NV, 4.125%, 7/15/2029, 144A		235,000
	360,000	Endure Digital, Inc., 6.000%, 2/15/2029, 144A		356,400
	60,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		60,000
	465,000	Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		479,973
	80,000	J2 Global, Inc., 4.625%, 10/15/2030, 144A		82,824
	95,000	LogMeIn, Inc., 5.500%, 9/01/2027, 144A		98,330
	60,000	NCR Corp., 5.000%, 10/01/2028, 144A		62,044
	70,000	NCR Corp., 5.250%, 10/01/2030, 144A		72,625
	50,000	NCR Corp., 8.125%, 4/15/2025, 144A		54,675
	190,000	Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A		200,657
	180,000	Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A		196,016
	175,000	Pitney Bowes, Inc., 6.875%, 3/15/2027, 144A		184,844
	110,000	Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A		113,164
	110,000	Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A		119,625
	90,000	Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A		92,250
	255,000	Rocket Software, Inc., 6.500%, 2/15/2029, 144A		253,031
	65,000	Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A		70,688
	260,000	Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A		309,096
	60,000	Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.625%, 11/01/2026, 144A		62,625
	185,000	Square, Inc., 2.750%, 6/01/2026, 144A		188,237
	210,000	Veritas U.S., Inc./Veritas Bermuda Ltd., 7.500%, 9/01/2025, 144A		218,662
	200,000	Veritas U.S., Inc./Veritas Bermuda Ltd., 10.500%, 2/01/2024, 144A		205,294
	105,000	Xerox Holdings Corp., 5.000%, 8/15/2025, 144A		110,840
	105,000	Xerox Holdings Corp., 5.500%, 8/15/2028, 144A		109,094
				5,967,662
		Transportation Services — 0.2%
	185,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A		192,970
		Treasuries — 2.1%
	2,485,000	U.S. Treasury Note, 0.125%, 12/15/2023		2,471,895
		Wireless — 1.1%
	440,000	Altice France S.A., 5.125%, 1/15/2029, 144A		442,200
	200,000	Altice France S.A., 5.125%, 7/15/2029, 144A		200,980
	245,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		260,626
	305,000	Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		324,127
				1,227,933

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

Principal Amount		Description	Value (†)
		Wirelines — 1.5%
$	200,000	Cablevision Lightpath LLC, 5.625%, 9/15/2028, 144A	$	203,700
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		143,629
	135,000	Embarq Corp., 7.995%, 6/01/2036		153,043
	25,000	Lumen Technologies, Inc., 5.125%, 12/15/2026, 144A		25,969
	455,000	Lumen Technologies, Inc., 5.375%, 6/15/2029, 144A		461,545
	225,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		268,312
	120,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		154,800
	210,000	Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A		209,475
	100,000	Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.750%, 8/15/2028, 144A		103,000
				1,723,473
		Total Non-Convertible Bonds (Identified Cost $92,345,104)		95,605,319
	Convertible Bonds — 5.5%
		Airlines — 0.3%
	80,000	JetBlue Airways Corp., 0.500%, 4/01/2026, 144A		79,720
	190,000	Southwest Airlines Co., 1.250%, 5/01/2025		287,731
				367,451
		Cable Satellite — 2.0%
	2,080,000	DISH Network Corp., 3.375%, 8/15/2026		2,122,640
	145,000	Liberty Media Corp., 0.500%, 12/01/2050, 144A		166,823
				2,289,463
		Consumer Cyclical Services — 0.3%
	110,000	Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(j)		118,800
	120,000	Peloton Interactive, Inc., Zero Coupon, 0.000%-1.735%, 2/15/2026, 144A(k)		116,025
	150,000	Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(j)		152,100
				386,925
		Healthcare — 0.5%
	535,000	Teladoc Health, Inc., 1.250%, 6/01/2027		598,879
		Media Entertainment — 0.1%
	175,000	Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(j)		166,906
		Pharmaceuticals — 1.6%
	110,000	Aerie Pharmaceuticals, Inc., 1.500%, 10/01/2024		108,354
	340,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		352,342
	970,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		971,869
	100,000	Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027, 144A(j)		113,812
	115,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(j)		112,665
	75,000	Livongo Health, Inc., 0.875%, 6/01/2025		119,143
	45,000	Neurocrine Biosciences, Inc., 2.250%, 5/15/2024		60,161
				1,838,346
		Technology — 0.7%
	510,000	Palo Alto Networks, Inc., 0.375%, 6/01/2025		693,600
	55,000	Splunk, Inc., 1.125%, 6/15/2027		53,591
				747,191
		Total Convertible Bonds (Identified Cost $6,405,489)		6,395,161
		Total Bonds and Notes (Identified Cost $98,750,593)		102,000,480
	Collateralized Loan Obligations — 1.7%
	260,000	CIFC Funding Ltd., Series 2019-1A, Class DR, 3-month LIBOR + 3.100%, 3.288%, 4/20/2032, 144A(a)		260,081
	255,000	Madison Park Funding XII Ltd., Series 2014-12A, Class E, 3-month LIBOR + 5.100%, 5.288%, 7/20/2026, 144A(a)		254,449
	260,000	OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 6.546%, 4/21/2034, 144A(a)		260,007
	310,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 7/02/2035, 144A(a)(f)(l)		310,000
	370,000	OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 3.934%, 4/15/2034, 144A(a)		371,656
	250,000	Palmer Square CLO Ltd., Series 2021-2A, Class D, 3-month LIBOR + 2.900%, 3.006%, 7/15/2034, 144A(a)		249,994
	250,000	Palmer Square Loan Funding Ltd., Series 2020-3A, Class D, 3-month LIBOR + 4.230%, 4.418%, 7/20/2028, 144A(a)		250,845
		Total Collateralized Loan Obligations (Identified Cost $1,952,741)		1,957,032
	Senior Loans — 0.3%
		Airlines — 0.1%
	135,340	United Airlines, Inc., 2021 Term Loan B, 1-month LIBOR + 3.750%, 4.500%, 4/21/2028(a)		136,993
		Chemicals — 0.1%
	155,000	Lonza Group AG, USD Term Loan B, 4/29/2028(m)		155,084
		Pharmaceuticals — 0.1%
	116,000	Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(a)		116,326
		Total Senior Loans (Identified Cost $403,558)		408,403

Shares
	Preferred Stocks — 2.1%
	Convertible Preferred Stocks — 2.1%
		Food & Beverage — 0.6%
	6,307	Bunge Ltd., 4.875%	731,990
		Healthcare — 0.1%
	942	Boston Scientific Corp., Series A, 5.500%	109,329
		Technology — 0.3%
	2,750	Clarivate PLC, Series A, 5.250%	287,925
		Wireless — 1.1%
	1,002	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(h)(i)	1,262,600
		Total Convertible Preferred Stocks (Identified Cost $2,267,636)	2,391,844
		Total Preferred Stocks (Identified Cost $2,267,636)	2,391,844
	Common Stocks — 0.6%
		Chemicals — 0.2%
	12,177	Hexion Holdings Corp., Class B(n)	225,275

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

Shares		Description	Value (†)
		Energy Equipment & Services — 0.0%
	10,149	McDermott International Ltd.(n)	$	4,973
		Media — 0.2%
	9,786	iHeartMedia, Inc., Class A(n)		263,537
		Oil, Gas & Consumable Fuels — 0.2%
	3,650	Battalion Oil Corp.(n)		48,910
	3,768	Whiting Petroleum Corp.(n)		205,544
				254,454
		Total Common Stocks (Identified Cost $1,358,371)		748,239
	Other Investments — 0.1%
		Aircraft ABS — 0.1%
	100	ECAF I Blocker Ltd.(f)(g)(h)(p) (Identified Cost $1,000,000)		114,940
	Warrants — 0.0%
	20,319	McDermott International Ltd., Tranche A, Expiration on 5/1/2024(f)(g)(n)		1,423
	22,577	McDermott International Ltd., Tranche B, Expiration on 5/1/2024(f)(g)(n)		677
		Total Warrants (Identified Cost $31,517)		2,100
	Exchange-Traded Funds — 1.0%
	13,000	iShares® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $1,141,379)		1,144,520

Principal Amount
	Short-Term Investments — 5.1%
$	5,887,409	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $5,887,409 on 7/01/2021 collateralized by $4,404,200 U.S. Treasury Bond, 4.250% due 5/15/2039 valued at $6,005,197 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,887,409)		5,887,409
		Total Investments — 99.2% (Identified Cost $112,793,204)		114,654,967
		Other assets less liabilities — 0.8%		899,524
		Net Assets — 100.0%	$	115,554,491
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of June 30, 2021 is disclosed.
	(b)	Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2021 is disclosed.
	(c)	Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal.
	(d)	Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2021, interest payments were made in cash.
	(e)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(f)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(g)	Fair valued by the Fund’s adviser. At June 30, 2021, the value of these securities amounted to $250,752 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.
	(h)	Illiquid security.
	(i)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of these securities amounted to $1,506,842 or 1.3% of net assets. See Note 2 of Notes to Financial Statements.
	(j)	Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(k)	Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(l)	New issue unsettled as of June 30, 2021. Coupon rate does not take effect until settlement date.
	(m)	Position is unsettled. Contract rate was not determined at June 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(n)	Non-income producing security.
	(o)	Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2021, interest payments were made in principal.
	(p)	Securities subject to restriction on resale. At June 30, 2021, the restricted securities held by the Fund are as follows:

	Acquisition Date		Acquisition Cost	Value		% of Net Assets
ECAF I Blocker Ltd.		12/20/2016	$1,000,000	$	114,940		0.1	%

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 June 30, 2021, the value of Rule 144A holdings amounted to $70,363,832 or 60.9% of net assets.
ABS	Asset-Backed Securities
ETF	Exchange-Traded Fund
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note
PIK	Payment-in-Kind
REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles High Income Fund – (continued)

Industry Summary at June 30, 2021 (Unaudited)

Independent Energy	7.5	%
Cable Satellite	7.1
Technology	6.2
Pharmaceuticals	5.8
Midstream	5.0
Healthcare	4.9
Media Entertainment	4.2
Gaming	4.1
Metals & Mining	3.8
Finance Companies	3.1
Leisure	2.8
Aerospace & Defense	2.7
Retailers	2.6
Consumer Cyclical Services	2.3
Food & Beverage	2.2
Building Materials	2.2
Wireless	2.2
Treasuries	2.1
Automotive	2.0
Other Investments, less than 2% each	18.6
Short-Term Investments	5.1
Collateralized Loan Obligations	1.7
Exchange-Traded Funds	1.0
Total Investments	99.2
Other assets less liabilities	0.8
Net Assets	100.0	%

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes — 95.2% of Net Assets
	Municipals — 95.2%
		Arizona — 0.6%
$	200,000	City of Mesa, Excise Tax Revenue, 4.000%, 7/01/2037	$	242,739
		California — 3.1%
	1,000,000	California State, GO, Various Purpose, Refunding, 4.000%, 3/01/2037		1,218,971
		Colorado — 5.8%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		287,941
	400,000	Denver City & County School District No. 1, GO, Prerefunded 12/01/2022@100, Series B, (State Aid Withholding), 5.000%, 12/01/2026		427,449
	250,000	Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030		309,516
	500,000	Regional Transportation District Sales Tax Revenue, Series A, 5.000%, 11/01/2028		646,692
	500,000	State of Colorado, Certificate of Participation, Series A, 4.000%, 12/15/2035		614,578
				2,286,176
		Delaware — 1.7%
	225,000	Delaware Municipal Electric Corp. Revenue, Beasley Power Station Project, Refunding, 5.000%, 7/01/2028		286,151
	250,000	University of Delaware, Revenue Bond, 5.000%, 11/01/2043		375,821
				661,972
		Florida — 12.5%
	500,000	Alachua County School Board, Certificate of Participation, (AGM Insured), 5.000%, 7/01/2028		633,957
	340,000	Bay County School Board, Certificate of Participation, Series A, (AGM Insured), 5.000%, 7/01/2033		442,448
	230,000	City of Cape Coral Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, Refunding, (AGM Insured), 3.000%, 9/01/2027		257,363
	90,000	City of Cape Coral Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, Refunding, (AGM Insured), 3.000%, 9/01/2028		101,602
	200,000	Clay County, Sales Surtax Revenue, 4.000%, 10/01/2039		235,972
	225,000	County of Collier Special Obligation, Revenue Bonds, Series A, 4.000%, 10/01/2036		276,412
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		550,242
	500,000	Lee County Airport Revenue, Refunding, Series A, AMT, 5.000%, 10/01/2028		635,402
	500,000	Miami-Dade County Aviation Revenue, Refunding, Series A, 4.000%, 10/01/2039		597,188
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		442,897
	225,000	Sarasota County Utility System Revenue, Series A, 5.000%, 10/01/2027		284,753
	400,000	Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025		472,337
				4,930,573
		Georgia — 0.7%
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		276,403
		Illinois — 6.4%
$	540,000	Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031	$	595,139
	500,000	Chicago O’Hare International Airport, Series C, AMT, 5.000%, 1/01/2046		568,259
	450,000	Illinois Finance Authority Revenue, The Carle Foundation, Refunding, Series A, 5.000%, 8/15/2029		587,104
	400,000	Illinois Finance Authority, Presbyterian Homes Obligation Group, Revenue Bonds, Series A, 3.000%, 5/01/2025		433,984
	300,000	State of Illinois, GO, 5.000%, 6/01/2028		354,828
				2,539,314
		Iowa — 0.3%
	100,000	Iowa Tobacco Settlement Authority Revenue, Refunding, Series A-2, Class 1, 5.000%, 6/01/2027		125,461
		Kentucky — 1.8%
	700,000	Trimble County Pollution Control, Louisville Gas & Electric Project, Revenue Bonds, Series B, AMT, 1.350%, 11/01/2027		705,772
		Louisiana — 3.5%
	625,000	Louisiana Public Facilities Authority Revenue, Loyola University New Orleans Project, Refunding, 5.000%, 10/01/2032		829,709
	250,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036		299,339
	200,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035		239,987
				1,369,035
		Maryland — 1.1%
	360,000	Maryland Health & Higher Educational Facilities Authority, Series B2, 5.000%, 7/01/2045		436,898
		Michigan — 1.8%
	600,000	University of Michigan, Revenue Bonds, 5.000%, 4/01/2032		716,206
		Minnesota — 1.0%
	390,000	Minnesota Housing Finance Agency, Revenue Bonds, Series A, AMT, 1.350%, 1/01/2027		391,918
		Nebraska — 0.8%
	250,000	Douglas County Hospital Authority No. 2, Series A, 5.000%, 11/15/2030		328,839
		Nevada — 2.7%
	500,000	City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		567,813
	240,000	Las Vegas Convention & Visitors Authority, Refunding, Series C, 5.000%, 7/01/2032		265,725
	200,000	Washoe County School District, GO, Series A, 5.000%, 10/01/2025		237,736
				1,071,274
		New Jersey — 2.8%
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023		289,956
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		566,087
	270,000	New Jersey Transportation Trust Fund Authority, Capital Appreciation Transportation System, Revenue Bonds, Series A, Zero Coupon, 0.000%, 12/15/2029(a)		231,130
				1,087,173

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
		New Mexico — 1.5%
$	500,000	New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031	$	577,923
		New York — 4.5%
	500,000	Metropolitan Transportation Authority, Series D, 4.000%, 11/15/2032		569,637
	400,000	New York City, GO, Refunding, Series A1, 5.000%, 8/01/2030		532,817
	200,000	New York State Dormitory Authority, Series D, 4.000%, 2/15/2038		238,563
	350,000	Troy Capital Resource Corp. Revenue, Rensselaer Polytechnic Institute Project, 4.000%, 9/01/2032		423,438
				1,764,455
		North Carolina — 1.7%
	180,000	Buncombe County, Limited Obligation, Revenue, Series A, 4.000%, 6/01/2034		221,371
	400,000	North Carolina Agricultural & Technical University System Revenue, Series A, 4.000%, 10/01/2045		444,017
				665,388
		North Dakota — 1.9%
	250,000	City of West Fargo, GO, Refunding, Series A, 4.000%, 5/01/2026		288,854
	350,000	North Dakota Building Authority, Series A, 5.000%, 12/01/2030		471,023
				759,877
		Ohio — 4.4%
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		551,057
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		557,937
	500,000	Ohio State University (The), Series A, 5.000%, 12/01/2026		617,692
				1,726,686
		Oregon — 0.7%
	230,000	Port of Portland, Airport Revenue, Portland International Airport, Series 25-B, 5.000%, 7/01/2028		290,734
		Pennsylvania — 0.8%
	270,000	Allegheny County Higher Education Building Authority, Refunding, Series A, 5.000%, 3/01/2029		310,123
		Rhode Island — 1.4%
	500,000	Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024		553,382
		Tennessee — 5.5%
	185,000	Greeneville Health & Educational Facilities Board, Series A, 5.000%, 7/01/2028		233,709
	550,000	Memphis-Shelby County Airport Authority, Revenue Bonds, Series A, AMT, 5.000%, 7/01/2026		661,759
	500,000	Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue, Vanderbilt University Medical Center Obligated Group, Series A, 5.000%, 7/01/2030		604,705
	500,000	Tennessee Energy Acquisition Corp., Commodity Project Revenue, 5.000%, 5/01/2052		662,542
				2,162,715
		Texas — 12.5%
	330,000	Central Texas Regional Mobility Authority, Revenue Bonds, Series B, 5.000%, 1/01/2031		441,737
	500,000	Grand Parkway Transportation Corp, Series A, Prerefunded 10/01/2023@100, 5.500%, 4/01/2053		559,507
		Texas — continued
$	500,000	Harris County Toll Road Authority (The), 4.000%, 8/15/2038	$	611,572
	1,000,000	Houston Combined Utility System Revenue, Series A, (AGM Insured), Zero Coupon, 0.000%, 12/01/2025(a)		964,823
	300,000	Lower Colorado River Authority, Refunding, 5.000%, 5/15/2030		385,824
	500,000	New Braunfels Utility System Revenue, 5.000%, 7/01/2029		632,576
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		440,516
	250,000	Texas City Independent School District, GO, (PSF-GTD), 4.000%, 8/15/2034		295,370
	500,000	Texas Public Finance Authority, Refunding, 4.000%, 2/01/2034		599,843
				4,931,768
		Utah — 5.0%
	500,000	Utah County Hospital Revenue, IHC Health Services, Inc., Series A, 4.000%, 5/15/2043		596,116
	500,000	Utah Infrastructure Agency, Telecommunication Revenue, 4.000%, 10/15/2033		593,768
	250,000	Utah Infrastructure Agency, Telecommunication Revenue, 4.000%, 10/15/2036		294,195
	180,000	Utah Transit Authority Sales Tax Revenue, Series A, Prerefunded 06/15/2025@100, 5.000%, 6/15/2038		212,439
	250,000	Weber Basin Water Conservancy District, Revenue Bonds, Series A, 4.000%, 4/01/2040		296,771
				1,993,289
		Washington — 6.0%
	500,000	King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032		574,470
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		540,602
	360,000	Port of Seattle Revenue, Intermediate Lien Private Activity, Refunding, AMT, 5.000%, 8/01/2027		445,347
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		564,546
	200,000	State of Washington, GO, Series 2015-C, Class R, 5.000%, 7/01/2029		231,339
				2,356,304
		Wisconsin — 1.9%
	500,000	Public Finance Authority Solid Waste Disposal Revenue, Waste Management, Inc., Series A-3-REMK, AMT, 1.100%, 7/01/2029		503,111
	225,000	Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031		255,520
				758,631
		Wyoming — 0.8%
	275,000	Laramie County, Cheyenne Regional Medical Center Project, Hospital Revenue, Refunding, 4.000%, 5/01/2033		334,149
		Total Bonds and Notes (Identified Cost $36,086,948)		37,574,148

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 6.3%
$	2,466,606	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $2,466,606 on 7/01/2021 collateralized by $2,212,700 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $2,515,982 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,466,606)	$	2,466,606
		Total Investments — 101.5% (Identified Cost $38,553,554)		40,040,754
		Other assets less liabilities — (1.5)%		(588,292	)
		Net Assets — 100.0%	$	39,452,462
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Interest rate represents annualized yield at time of purchase; not a coupon rate.
	AGM	Assured Guaranty Municipal Corporation
	AMT	Alternative Minimum Tax
	GO	General Obligation
	PSF-GTD	Permanent School Fund Guarantee Program

Industry Summary at June 30, 2021 (Unaudited)

Hospitals	16.4	%
General Purpose Public Improvement	14.4
Airports	13.1
Higher Education	11.3
Water and Sewer	7.4
Primary Secondary Education	7.2
Toll Roads, Streets & Highways	5.6
Mass Rapid Transportation	3.5
Electric Public Power	3.5
Combined Utilities	2.3
Industrial Development	2.2
Other Transportation	2.2
Other Investments, less than 2% each	6.1
Short-Term Investments	6.3
Total Investments	101.5
Other assets less liabilities	(1.5	)
Net Assets	100.0	%

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes — 90.6% of Net Assets
	Non-Convertible Bonds — 89.0%
		ABS Car Loan — 7.6%
$	8,084,321	Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023(a)	$	8,171,847
	7,865,000	American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A		8,062,626
	1,965,000	AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024		2,058,397
	10,515,000	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024(a)		11,076,017
	25,880,000	AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025		27,264,267
	12,340,000	AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025		12,861,290
	1,395,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026		1,433,326
	11,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A		11,083,919
	1,940,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A(a)		2,080,597
	8,910,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A(a)		9,172,676
	3,650,000	CarMax Auto Owner Trust, Series 2018-3, Class D, 3.910%, 1/15/2025		3,775,447
	13,585,000	CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025		14,234,272
	5,811,000	CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025		6,092,287
	2,315,000	CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026		2,398,914
	4,625,000	CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026		4,802,526
	23,320,000	Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A		24,044,618
	2,525,000	Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A		2,619,574
	275,000	Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A		280,769
	6,555,000	Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026(a)		6,842,122
	16,395,000	Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026(a)		17,015,654
	3,700,000	Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026(a)		3,844,821
	10,760,000	DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A		11,113,963
	3,950,000	DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A		4,089,340
	3,400,000	DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A		3,514,665
	7,410,000	Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026		7,367,893
	3,790,000	First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A		3,915,614
	4,610,000	Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A		4,784,445
	30,600,000	Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024(a)		30,748,808
		ABS Car Loan — continued
	15,340,000	Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025(a)		15,356,822
	27,290,000	Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025(a)		27,268,354
	8,555,000	GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A		8,889,059
	6,301,852	GM Financial Consumer Automobile Receivables Trust, Series 2019-1, Class A3, 2.970%, 11/16/2023(a)		6,369,480
	6,255,000	GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024(a)		6,335,909
	10,120,000	GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025(a)		10,125,337
	21,335,000	GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026(a)		21,367,835
	1,400,000	GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A		1,419,888
	3,186,259	Honda Auto Receivables Owner Trust, Series 2019-1, Class A3, 2.830%, 3/20/2023(a)		3,224,501
	16,245,000	Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025(a)		16,234,605
	3,000,000	JPMorgan Chase Bank NA, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A		3,000,666
	6,655,000	Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024(a)		6,737,940
	18,955,000	Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024(a)		19,034,099
	4,350,000	Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A		4,491,704
	27,665,000	Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025		28,454,271
	6,995,000	Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025		7,225,657
	8,455,000	Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025(a)		8,661,940
	12,815,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028		13,900,597
	2,900,000	Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026		2,968,440
	9,480,000	Toyota Auto Receivables Owner Trust, Series 2021-A, Class A2, 0.160%, 7/17/2023(a)		9,480,070
	15,495,000	Westlake Automobile Receivables Trust, Series 2019-1A, Class D, 3.670%, 3/15/2024, 144A		15,899,641
				481,197,509
		ABS Credit Card — 0.5%
	939,000	American Express Credit Account Master Trust, Series 2018-8, Class A, 3.180%, 4/15/2024		944,890
	8,000,000	American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024(a)		8,151,489
	3,460,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A		3,482,056
	11,730,000	Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.840%, 12/15/2024(a)		11,927,242
	1,690,000	Citibank Credit Card Issuance Trust, Series 2016-A2, Class A2, 2.190%, 11/20/2023(a)		1,703,114
	6,355,000	Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A		6,374,192
				32,582,983

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
		ABS Home Equity — 5.4%
$	15,451,000	American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A	$	16,916,356
	441,942	Bayview Opportunity Master Fund IVb Trust, Series 2019-RN4, Class A1, 3.278%, 10/28/2034, 144A(b)		443,526
	1,250,000	Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class B2, 4.750%, 1/28/2055, 144A(b)		1,337,130
	2,936,348	Bayview Opportunity Master Fund V Trust, Series 2020-RN3, Class A1, 3.228%, 9/25/2035, 144A(b)		2,968,101
	2,675,884	Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 0.856%, 11/16/2066, 144A(a)(c)		2,685,728
	408,099	Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(b)		408,474
	4,683,728	Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(b)		4,723,261
	1,761,873	Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(b)		1,766,988
	5,459,679	Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(a)(b)		5,663,343
	2,434,000	CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A		2,684,021
	4,353,755	CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A(a)		4,556,057
	2,929,000	CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A		3,113,949
	1,259,000	CoreVest American Finance Trust, Series 2020-2, Class C, 4.844%, 5/15/2052, 144A(b)		1,438,126
	4,175,084	Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(b)		4,228,869
	7,014,621	Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(b)		7,036,064
	1,515,000	FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A		1,541,316
	11,696,000	FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A		11,647,880
	3,083,000	FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 9/17/2025, 144A		3,110,241
	6,629,966	GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)(b)		6,829,701
	386,813	Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 0.597%, 8/25/2060, 144A(c)		387,148
	2,667,278	Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A		2,671,951
	2,523,761	Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A		2,486,508
	2,305,000	Invitation Homes Trust, Series 2018-SFR2, Class B, 1-month LIBOR + 1.080%, 1.153%, 6/17/2037, 144A(c)		2,310,102
	1,130,000	Invitation Homes Trust, Series 2018-SFR3, Class B, 1-month LIBOR + 1.150%, 1.232%, 7/17/2037, 144A(c)		1,133,338
	3,046,734	Invitation Homes Trust, Series 2018-SFR4, Class D, 1-month LIBOR + 1.650%, 1.732%, 1/17/2038, 144A(c)		3,052,432
	7,020,000	Lanark Master Issuer PLC, Series 2019-2A, Class 1A, 2.710%, 12/22/2069, 144A(a)(b)		7,157,978
	895,000	Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(b)		915,050
		ABS Home Equity — continued
	10,123,130	Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(b)		10,181,902
	326,289	Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.750%, 1/25/2059, 144A(b)		326,858
	3,371,400	Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(b)		3,399,441
	6,899,176	Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.438%, 5/25/2059, 144A(b)		6,912,802
	7,301,347	Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(b)		7,353,864
	1,893,016	Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A		1,928,696
	1,467,786	Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(a)(b)		1,560,424
	2,744,944	Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(b)		2,982,241
	3,742,621	Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(a)(b)		3,947,126
	8,805,175	Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(a)(b)		9,061,049
	5,168,898	OSW Structured Asset Trust, Series 2020-RPL1, Class A1, 3.072%, 12/26/2059, 144A(b)		5,208,237
	1,332,000	Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A		1,339,417
	2,290,000	Progress Residential Trust, Series 2018-SFR3, Class D, 4.427%, 10/17/2035, 144A		2,305,155
	2,530,000	Progress Residential Trust, Series 2018-SFR3, Class E, 4.873%, 10/17/2035, 144A		2,559,434
	2,830,000	Progress Residential Trust, Series 2019-SFR1, Class D, 4.168%, 8/17/2035, 144A		2,871,831
	4,732,000	Progress Residential Trust, Series 2019-SFR2, Class D, 3.794%, 5/17/2036, 144A		4,805,221
	1,690,000	Progress Residential Trust, Series 2019-SFR2, Class E, 4.142%, 5/17/2036, 144A		1,725,100
	3,860,000	Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A		3,917,364
	155,000	Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A		159,279
	295,000	Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A		297,829
	1,818,000	Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A		1,819,610
	5,780,000	Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A		5,834,667
	2,420,000	Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A		2,440,745
	2,015,000	Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A		2,027,609
	3,575,000	Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A		3,574,853
	1,795,000	Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A		1,794,734
	14,747,807	PRPM LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(b)		14,813,563
	1,958,555	PRPM LLC, Series 2020-2, Class A1, 3.671%, 8/25/2025, 144A(b)		1,971,818
	6,103,281	PRPM LLC, Series 2020-3, Class A1, 2.857%, 9/25/2025, 144A(b)		6,135,688
	5,675,858	PRPM LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025, 144A(b)		5,699,859
	11,991,600	PRPM LLC, Series 2020-5, Class A1, 3.104%, 11/25/2025, 144A(b)		12,071,113
	9,076,075	PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(b)		9,092,472

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
		ABS Home Equity — continued
$	361,003	PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(b)	$	365,414
	3,147,991	RCO V Mortgage LLC, Series 2020-1, Class A1, 3.105%, 9/25/2025, 144A(b)		3,173,206
	1,139,558	Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(a)(b)		1,157,992
	1,515,038	Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(a)(b)		1,527,364
	4,930,000	Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(b)		5,227,084
	6,390,000	Towd Point Mortgage Trust, Series 2017-5, Class M2, 1-month LIBOR + 1.500%, 1.592%, 2/25/2057, 144A(c)		6,481,210
	216,175	Towd Point Mortgage Trust, Series 2016-1, Class A1B, 2.750%, 2/25/2055, 144A(b)		216,530
	1,775,000	Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(b)		1,876,165
	1,943,340	Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(b)		2,027,497
	17,610,000	Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(b)		18,633,816
	7,783,391	Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a)(b)		8,049,138
	3,325,000	Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(b)		3,477,152
	3,950,000	Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A		3,982,746
	2,575,000	Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A		2,663,002
	2,536,984	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)		2,543,638
	3,103,139	VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b)		3,103,323
	8,327,020	VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(b)		8,317,493
	7,447,527	VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b)		7,454,843
	5,498,946	VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b)		5,501,861
	10,751,699	VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(b)		10,753,742
				339,866,855
		ABS Other — 3.2%
	5,313,430	Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A		5,354,274
	8,192,188	CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A		8,265,984
	7,875,546	CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A		7,937,122
	5,743,273	CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A		5,693,069
	940,000	Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A		952,041
	945,000	Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A		960,449
	36,369,563	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(d)(e)(f)		20,003,260
	2,685,770	Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A		2,640,077
	1,975,000	HPEFS Equipment Trust, Series 2019-1A, Class C, 2.490%, 9/20/2029, 144A(a)		2,006,827
	3,645,000	HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A		3,722,405
		ABS Other — continued
	1,980,000	HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A(a)		2,026,813
	2,795,000	HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A		2,787,045
	7,333,108	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A		7,297,152
	12,558,888	MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A		12,577,490
	3,678,169	MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A		3,687,429
	1,186,887	Marlette Funding Trust, Series 2019-4A, Class A, 2.390%, 12/17/2029, 144A		1,192,882
	134,889	Marlette Funding Trust, Series 2019-1A, Class A, 3.440%, 4/16/2029, 144A		135,164
	1,919,631	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b)		1,843,996
	867,546	MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A		920,208
	508,538	MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A		520,460
	8,040,000	OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A		8,086,377
	4,675,000	OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A		4,917,329
	6,585,000	OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A(a)		6,703,576
	14,599,366	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		14,438,583
	530,000	SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A		527,996
	1,712,949	Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A		1,718,806
	640,000	SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day ARS, 3.491%, 9/15/2032(c)		639,777
	1,000,000	SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day ARS, 3.604%, 9/15/2032(c)		999,652
	13,765,000	SoFi Consumer Loan Program Trust, Series 2019-1, Class C, 3.730%, 2/25/2028, 144A(a)		14,052,042
	2,481,519	SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A(a)		2,515,834
	6,720,000	SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A(a)		6,856,371
	6,805,000	SoFi Consumer Loan Program Trust, Series 2019-2, Class C, 3.460%, 4/25/2028, 144A(a)		6,973,904
	12,755,000	SoFi Consumer Loan Program Trust, Series 2019-3, Class C, 3.350%, 5/25/2028, 144A(a)		13,067,015
	7,370,000	SoFi Consumer Loan Program Trust, Series 2019-4, Class C, 2.840%, 8/25/2028, 144A(a)		7,571,901
	6,268,267	Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A		6,200,035

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
		ABS Other — continued
$	6,599,771	TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A	$	6,496,831
	13,286,531	Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.860%, 3/20/2046, 144A		13,201,800
				205,491,976
		ABS Student Loan — 1.0%
	745,000	College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A		760,478
	4,911,169	Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A(a)		4,906,611
	3,010,080	EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A(a)		3,016,468
	5,430,046	ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A(a)		5,531,733
	8,825,000	Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A(a)		8,806,232
	1,702,496	Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A(a)		1,713,816
	6,038,139	Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A(a)		6,027,096
	560,000	Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A		563,430
	534,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.583%, 6/15/2032(c)		533,885
	411,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day ARS, 3.600%, 6/15/2032(c)		410,912
	803,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 3.596%, 3/15/2033(c)		802,691
	544,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.486%, 3/15/2033(c)		543,791
	2,500,000	SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A		2,605,032
	565,000	SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A		615,509
	1,525,000	SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A		1,624,515
	8,701,500	SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A(a)		9,122,314
	14,643,272	SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A(a)		15,270,713
	1,100,000	SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A(a)		1,130,683
				63,985,909
		ABS Whole Business — 1.2%
	9,812,157	Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A		10,376,120
	3,595,000	Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A		3,727,837
		ABS Whole Business — continued
	7,169,303	DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A		7,918,638
	2,889,923	Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A		3,118,342
	5,178,225	Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A		5,632,304
	4,063,563	Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A		4,395,312
	15,470,000	Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A21, 2.662%, 4/25/2051, 144A		16,006,654
	199,000	Hardee’s Funding LLC, Series 2020-1A, Class A2, 3.981%, 12/20/2050, 144A		209,854
	1,663,665	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		1,681,932
	17,316,300	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A		18,330,981
	2,484,875	Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A		2,642,540
	2,024,925	Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841%, 12/05/2050, 144A		2,100,070
				76,140,584
		Aerospace & Defense – 3.2%
	13,620,000	BAE Systems PLC, 3.400%, 4/15/2030, 144A		14,803,639
	29,500,000	Boeing Co. (The), 2.196%, 2/04/2026		29,781,968
	3,780,000	Boeing Co. (The), 2.250%, 6/15/2026		3,859,004
	4,874,000	Boeing Co. (The), 2.950%, 2/01/2030		4,990,481
	655,000	Boeing Co. (The), 3.100%, 5/01/2026		692,441
	3,225,000	Boeing Co. (The), 3.200%, 3/01/2029		3,384,632
	9,088,000	Boeing Co. (The), 3.375%, 6/15/2046		8,754,925
	3,564,000	Boeing Co. (The), 3.625%, 3/01/2048		3,561,019
	14,352,000	Boeing Co. (The), 3.750%, 2/01/2050		14,804,806
	1,932,000	Boeing Co. (The), 3.825%, 3/01/2059		1,971,393
	3,241,000	Boeing Co. (The), 3.850%, 11/01/2048		3,325,884
	7,330,000	Boeing Co. (The), 3.900%, 5/01/2049		7,718,833
	1,825,000	Boeing Co. (The), 3.950%, 8/01/2059		1,909,378
	4,740,000	Boeing Co. (The), 5.150%, 5/01/2030		5,612,894
	32,173,000	Boeing Co. (The), 5.805%, 5/01/2050		43,325,160
	4,465,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		4,715,710
	4,350,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		4,635,534
	6,885,000	Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025		7,502,730
	4,245,000	Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030		4,848,263
	650,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039		839,462
	1,335,000	Spirit AeroSystems, Inc., 4.600%, 6/15/2028		1,308,300
	29,075,000	Textron, Inc., 3.000%, 6/01/2030		30,582,222
				202,928,678
		Airlines — 0.9%
	1,715,855	American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025		1,675,533
	6,470,547	American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025		6,354,853
	12,350,471	American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030		12,001,128
	1,415,848	American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027		1,360,007

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Airlines — continued
$	5,314,777	American Airlines Pass Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031	$	5,250,642
	3,106,502	American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		3,012,391
	18,996,916	American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029		18,070,247
	6,139,662	British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A		6,096,193
	2,513,448	United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031		2,559,860
	1,030,000	United Airlines, Inc., 4.375%, 4/15/2026, 144A		1,066,235
	1,540,000	United Airlines, Inc., 4.625%, 4/15/2029, 144A		1,593,900
				59,040,989
		Automotive — 1.9%
	25,580,000	American Honda Finance Corp., MTN, 0.550%, 7/12/2024		25,497,125
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,687,340
	9,966,000	General Motors Co., 5.200%, 4/01/2045		12,317,669
	27,915,000	General Motors Co., 5.400%, 4/01/2048		35,556,281
	205,000	General Motors Co., 5.950%, 4/01/2049		279,063
	9,600,000	General Motors Co., 6.250%, 10/02/2043		13,252,733
	24,360,000	Volkswagen Group of America Finance LLC, 0.875%, 11/22/2023, 144A		24,424,678
	2,895,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A		3,124,016
				121,138,905
		Banking — 9.2%
	300,000	Ally Financial, Inc., 3.875%, 5/21/2024		323,263
	39,613,000	Ally Financial, Inc., 4.625%, 3/30/2025		44,352,973
	2,835,000	Ally Financial, Inc., 5.750%, 11/20/2025		3,255,027
	1,468,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,062,787
	10,155,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A		11,522,269
	5,800,000	Banco Santander S.A., 2.749%, 12/03/2030		5,745,584
	49,304,000	Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028		53,697,450
	100,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		112,916
	25,627,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		28,712,423
	4,287,000	Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030		4,996,445
	18,255,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		19,018,789
	3,335,000	BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A		3,372,852
	22,500,000	BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A		24,862,500
	460,000	Capital One Financial Corp., 4.200%, 10/29/2025		513,675
	1,230,000	Citigroup, Inc., 4.125%, 7/25/2028		1,385,647
	7,155,000	Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A		7,778,773
	15,615,000	Credit Suisse AG, 0.495%, 2/02/2024		15,558,474
	14,200,000	Danske Bank A/S, 5.375%, 1/12/2024, 144A		15,745,733
	3,390,000	Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A		3,607,957
	2,640,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		2,847,029
	6,155,000	Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032		6,258,699
		Banking — continued
	9,260,000	Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024		9,510,213
	6,235,000	Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031		6,636,955
	23,870,000	Goldman Sachs Group, Inc. (The), Series FXD, 0.481%, 1/27/2023		23,883,162
	70,245,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		79,455,237
	28,715,000	JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031		34,006,501
	12,025,000	JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027		12,087,302
	100,000	KeyBank NA, 6.950%, 2/01/2028		127,312
	30,210,000	Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024		30,194,686
	1,845,000	Morgan Stanley, GMTN, 4.350%, 9/08/2026		2,089,031
	20,695,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		22,035,812
	25,560,000	Nationwide Building Society, 0.550%, 1/22/2024, 144A		25,451,881
	15,160,000	Santander Holdings USA, Inc., 3.244%, 10/05/2026		16,192,707
	20,295,000	Societe Generale S.A., 4.250%, 4/14/2025, 144A		22,049,097
	11,950,000	Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A		12,399,320
	16,790,000	Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A		16,841,257
	7,090,000	Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A		8,291,437
	3,865,000	Synchrony Financial, 4.375%, 3/19/2024		4,206,678
				581,189,853
		Brokerage — 0.8%
	19,498,000	Jefferies Group LLC, 6.250%, 1/15/2036		26,058,197
	8,760,000	Jefferies Group LLC, 6.450%, 6/08/2027		10,908,988
	13,940,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		13,762,429
				50,729,614
		Building Materials — 1.5%
	31,375,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		31,892,687
	16,180,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		17,791,528
	5,955,000	Cemex SAB de CV, 5.450%, 11/19/2029, 144A		6,547,523
	3,285,000	Ferguson Finance PLC, 3.250%, 6/02/2030, 144A		3,545,353
	23,975,000	Owens Corning, 7.000%, 12/01/2036		34,794,011
	2,655,000	Vulcan Materials Co., 3.500%, 6/01/2030		2,926,609
				97,497,711
		Cable Satellite — 1.9%
	9,425,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A		9,605,866
	2,826,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A		2,942,470
	315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032		326,419
	550,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A		601,205
	13,450,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061		14,451,828
	30,810,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050		35,386,792

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Cable Satellite — continued
$	6,695,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.750%, 4/01/2048	$	8,521,000
	240,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		249,300
	2,360,000	CSC Holdings LLC, 6.500%, 2/01/2029, 144A		2,613,936
	470,000	Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A		482,408
	2,416,000	Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A		2,531,364
	865,000	Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A		893,112
	200,000	Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A		217,940
	17,891,000	Time Warner Cable LLC, 4.500%, 9/15/2042		19,886,681
	15,815,000	Time Warner Cable LLC, 5.500%, 9/01/2041		19,602,370
	800,000	Videotron Ltd., 5.000%, 7/15/2022		832,080
	2,185,000	Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A		2,253,281
	1,421,000	Ziggo BV, 5.500%, 1/15/2027, 144A		1,476,419
				122,874,471
		Chemicals — 1.3%
	4,330,000	Alpek SAB de CV, 3.250%, 2/25/2031, 144A		4,382,003
	9,180,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		9,564,826
	6,060,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A		6,635,761
	27,205,000	CF Industries, Inc., 4.500%, 12/01/2026, 144A		31,226,582
	3,740,000	FMC Corp., 3.450%, 10/01/2029		4,065,936
	2,075,000	FMC Corp., 4.500%, 10/01/2049		2,518,718
	8,145,000	LYB International Finance III LLC, 4.200%, 10/15/2049		9,256,753
	12,285,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A		12,361,781
				80,012,360
		Consumer Cyclical Services — 1.3%
	16,000,000	Booking Holdings, Inc., 4.625%, 4/13/2030		19,092,414
	5,765,000	Expedia Group, Inc., 2.950%, 3/15/2031		5,841,754
	30,201,000	Expedia Group, Inc., 3.250%, 2/15/2030		31,546,358
	4,928,000	Expedia Group, Inc., 3.800%, 2/15/2028		5,359,648
	3,970,000	Expedia Group, Inc., 4.625%, 8/01/2027		4,486,677
	8,430,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		9,072,450
	5,015,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		5,511,385
				80,910,686
		Consumer Products — 0.3%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		9,323,073
	4,580,000	Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A		4,534,612
	6,970,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		7,144,250
				21,001,935
		Diversified Manufacturing — 0.4%
	13,920,000	Carrier Global Corp., 2.722%, 2/15/2030		14,431,092
	6,010,000	General Electric Co., 3.625%, 5/01/2030		6,701,626
	5,305,000	General Electric Co., Series A, MTN, 3-month LIBOR + 0.300%, 0.484%, 5/13/2024(c)		5,260,503
				26,393,221
		Electric — 2.5%
	7,435,000	AES Corp. (The), 2.450%, 1/15/2031, 144A		7,363,252
	3,695,000	AES Corp. (The), 3.950%, 7/15/2030, 144A		4,040,483
	16,043,935	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		18,185,189
	14,855,000	Calpine Corp., 3.750%, 3/01/2031, 144A		14,147,159
	13,025,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		18,216,273
		Electric — continued
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		13,139,907
	9,680,000	FirstEnergy Corp., Series C, 3.400%, 3/01/2050		9,462,200
	2,355,000	IPALCO Enterprises, Inc., 4.250%, 5/01/2030		2,644,805
	9,641,000	NRG Energy, Inc., 4.450%, 6/15/2029, 144A		10,641,535
	1,435,000	NRG Energy, Inc., 5.250%, 6/15/2029, 144A		1,526,481
	4,437,000	NRG Energy, Inc., 5.750%, 1/15/2028		4,725,405
	6,185,000	Pacific Gas & Electric Co., 3.250%, 6/01/2031		6,081,860
	8,915,000	Pacific Gas & Electric Co., 3.500%, 8/01/2050		7,945,590
	10,400,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		9,979,879
	1,250,000	Pacific Gas & Electric Co., 4.950%, 7/01/2050		1,285,708
	2,970,000	Southern California Edison Co., 3.650%, 2/01/2050		2,970,252
	850,000	Southern California Edison Co., 4.000%, 4/01/2047		894,116
	1,060,000	Southern California Edison Co., Series C, 4.125%, 3/01/2048		1,129,626
	24,465,000	Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A		26,138,682
				160,518,402
		Finance Companies — 3.4%
	860,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027		918,723
	23,900,000	Air Lease Corp., 3.125%, 12/01/2030		24,280,139
	2,235,000	Air Lease Corp., 3.250%, 10/01/2029		2,329,313
	10,270,000	Air Lease Corp., 3.375%, 7/01/2025		11,031,334
	345,000	Air Lease Corp., 4.625%, 10/01/2028		388,680
	8,426,000	Air Lease Corp., MTN, 3.000%, 2/01/2030		8,546,703
	12,430,000	Aircastle Ltd., 4.125%, 5/01/2024		13,253,436
	8,070,000	Aircastle Ltd., 4.400%, 9/25/2023		8,638,795
	8,160,000	Aircastle Ltd., 5.000%, 4/01/2023		8,728,384
	6,700,000	Antares Holdings LP, 6.000%, 8/15/2023, 144A		7,257,162
	24,045,000	Ares Capital Corp., 2.875%, 6/15/2028		24,406,156
	3,865,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		3,866,044
	7,510,000	Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A		8,488,776
	14,275,000	GE Capital Funding LLC, 4.400%, 5/15/2030		16,635,121
	7,675,000	GE Capital Funding LLC, 4.550%, 5/15/2032		9,161,785
	3,460,000	GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035		4,146,746
	3,425,000	Navient Corp., 5.000%, 3/15/2027		3,544,019
	50,000	Navient Corp., 5.875%, 10/25/2024		53,938
	35,000	Navient Corp., 6.500%, 6/15/2022		36,495
	145,000	Navient Corp., 6.750%, 6/15/2026		161,856
	370,000	Navient Corp., 7.250%, 9/25/2023		408,387
	20,000	Navient Corp., MTN, 6.125%, 3/25/2024		21,585
	165,000	Navient Corp., MTN, 7.250%, 1/25/2022		171,138
	7,855,000	Oaktree Specialty Lending Corp., 2.700%, 1/15/2027		7,858,239
	12,150,000	Owl Rock Capital Corp., 2.625%, 1/15/2027		12,181,289
	12,290,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		12,197,784
	7,805,000	Quicken Loans LLC, 5.250%, 1/15/2028, 144A		8,195,250
	6,810,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		6,724,875
	12,235,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		12,326,640
				215,958,792
		Financial Other — 0.1%
	1,860,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A		1,850,700
	2,415,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024		2,523,675

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Financial Other — continued
$	3,182,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027	$	3,285,399
				7,659,774
		Food & Beverage — 1.8%
	2,040,000	Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046		2,582,130
	14,470,000	Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050		17,609,850
	6,002,000	Anheuser-Busch InBev Worldwide, Inc., 4.600%, 4/15/2048		7,327,502
	15,285,000	Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050		16,076,152
	4,910,000	JBS USA LUX S.A./JBS USA Finance, Inc., 6.750%, 2/15/2028, 144A		5,394,862
	3,625,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A		3,709,281
	10,660,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A		11,921,931
	26,540,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		30,078,313
	6,470,000	NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A		6,974,725
	9,535,000	PepsiCo, Inc., 1.700%, 10/06/2021		9,561,050
	1,920,000	Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A		1,935,795
				113,171,591
		Gaming — 0.2%
	14,625,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		14,558,603
		Government Owned-No Guarantee — 0.7%
	4,000,000	Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A		3,452,640
	8,080,000	Equinor ASA, 3.700%, 4/06/2050		9,285,653
	11,710,000	Indian Railway Finance Corp. Ltd., 2.800%, 2/10/2031, 144A		11,376,733
	20,145,000	Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A		19,540,650
				43,655,676
		Health Insurance — 0.4%
	19,320,000	Centene Corp., 2.500%, 3/01/2031		19,054,350
	2,520,000	Centene Corp., 3.000%, 10/15/2030		2,588,746
	565,000	Centene Corp., 4.625%, 12/15/2029		621,370
				22,264,466
		Healthcare — 1.6%
	19,420,000	Cigna Corp., 4.375%, 10/15/2028		22,586,086
	1,261,000	Cigna Corp., 7.875%, 5/15/2027		1,691,325
	7,210,000	CVS Health Corp., 3.250%, 8/15/2029		7,823,146
	685,000	Encompass Health Corp., 4.750%, 2/01/2030		727,813
	2,671,000	HCA, Inc., 3.500%, 9/01/2030		2,845,603
	8,810,000	HCA, Inc., 4.125%, 6/15/2029		9,920,732
	16,050,000	HCA, Inc., 4.500%, 2/15/2027		18,137,705
	26,680,000	HCA, Inc., 5.250%, 6/15/2049		34,008,780
				97,741,190
		Home Construction — 0.4%
	2,450,000	Lennar Corp., 4.750%, 11/29/2027		2,831,876
	560,000	Lennar Corp., 4.875%, 12/15/2023		609,554
	55,000	Lennar Corp., 5.000%, 6/15/2027		63,824
	12,384,000	MDC Holdings, Inc., 6.000%, 1/15/2043		15,959,261
	6,130,000	Meritage Homes Corp., 3.875%, 4/15/2029, 144A		6,344,550
				25,809,065
		Independent Energy — 1.7%
	3,195,000	Aker BP ASA, 3.000%, 1/15/2025, 144A		3,353,560
	9,925,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		10,709,920
		Independent Energy — continued
	16,455,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		18,073,920
	9,310,000	Continental Resources, Inc., 3.800%, 6/01/2024		9,845,325
	4,685,000	Diamondback Energy, Inc., 3.125%, 3/24/2031		4,855,328
	6,910,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		7,098,090
	9,035,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		9,301,984
	925,000	EQT Corp., 3.125%, 5/15/2026, 144A		947,857
	1,970,000	EQT Corp., 3.625%, 5/15/2031, 144A		2,053,725
	10,475,000	Hess Corp., 4.300%, 4/01/2027		11,658,306
	4,675,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		5,132,308
	10,085,000	Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A		10,101,140
	7,360,000	Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A		7,434,601
	6,090,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		6,729,450
				107,295,514
		Leisure — 0.1%
	1,985,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		2,079,288
	2,750,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		2,880,075
				4,959,363
		Life Insurance — 3.6%
	11,800,000	Athene Global Funding, 1.608%, 6/29/2026, 144A		11,801,306
	21,550,000	Athene Global Funding, 2.550%, 11/19/2030, 144A		21,668,997
	7,385,000	Athene Holding Ltd., 3.500%, 1/15/2031		7,873,504
	8,255,000	CNO Financial Group, Inc., 5.250%, 5/30/2029		9,832,118
	19,600,000	Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A		22,567,444
	2,565,000	Massachusetts Mutual Life Insurance Co., 3.375%, 4/15/2050, 144A		2,677,440
	30,030,000	Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A		30,530,697
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		12,297,498
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(d)(f)		43,144,219
	23,335,000	New York Life Global Funding, 0.850%, 1/15/2026, 144A(a)		23,061,719
	5,760,000	New York Life Insurance Co., 3.750%, 5/15/2050, 144A		6,432,072
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(d)(f)		8,508,013
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,844,028
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		21,291,231
				225,530,286
		Local Authorities — 0.2%
	14,455,000	Province of Quebec Canada, 0.600%, 7/23/2025(a)		14,313,862
		Lodging — 0.2%
	1,795,000	Marriott International, Inc., Series FF, 4.625%, 6/15/2030		2,067,305
	3,525,000	Marriott International, Inc., Series HH, 2.850%, 4/15/2031		3,579,605
	975,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		988,406
	1,610,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		1,659,427
	205,000	Travel & Leisure Co., 6.000%, 4/01/2027		225,207

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Lodging — continued
$	235,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A	$	266,255
				8,786,205
		Media Entertainment — 1.0%
	2,610,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		2,685,037
	3,925,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		4,103,195
	1,530,000	iHeartCommunications, Inc., 6.375%, 5/01/2026		1,627,537
	4,640,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		4,970,600
	2,080,000	Netflix, Inc., 4.875%, 4/15/2028		2,418,000
	8,410,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		10,002,013
	1,745,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		2,119,471
	2,375,000	Netflix, Inc., 5.875%, 11/15/2028		2,915,146
	2,795,000	Netflix, Inc., 6.375%, 5/15/2029		3,569,914
	2,700,000	ViacomCBS, Inc., 4.200%, 6/01/2029		3,114,471
	3,010,000	ViacomCBS, Inc., 4.200%, 5/19/2032		3,473,916
	18,215,000	ViacomCBS, Inc., 4.950%, 1/15/2031		21,954,878
				62,954,178
		Metals & Mining — 3.1%
	550,000	Anglo American Capital PLC, 2.625%, 9/10/2030, 144A		552,080
	1,325,000	Anglo American Capital PLC, 2.875%, 3/17/2031, 144A		1,354,507
	6,260,000	Anglo American Capital PLC, 4.000%, 9/11/2027, 144A		6,940,303
	34,334,000	Anglo American Capital PLC, 4.500%, 3/15/2028, 144A		39,237,747
	8,785,000	Anglo American Capital PLC, 4.750%, 4/10/2027, 144A		10,097,775
	3,130,000	Antofagasta PLC, 2.375%, 10/14/2030, 144A		3,015,755
	11,405,000	ArcelorMittal S.A., 7.000%, 3/01/2041		15,840,883
	5,890,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		6,418,333
	6,325,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		6,766,675
	2,930,000	Freeport-McMoRan, Inc., 4.375%, 8/01/2028		3,094,812
	1,975,000	Freeport-McMoRan, Inc., 4.625%, 8/01/2030		2,162,625
	6,175,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		7,458,196
	1,770,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		2,163,506
	7,688,000	Glencore Funding LLC, 3.875%, 10/27/2027, 144A		8,469,331
	39,092,000	Glencore Funding LLC, 4.000%, 3/27/2027, 144A		43,327,737
	11,700,000	Glencore Funding LLC, 4.125%, 3/12/2024, 144A		12,613,155
	4,280,000	Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A		4,599,409
	1,855,000	Reliance Steel & Aluminum Co., 2.150%, 8/15/2030		1,827,542
	395,000	Steel Dynamics, Inc., 3.250%, 1/15/2031		423,820
	14,125,000	Steel Dynamics, Inc., 3.450%, 4/15/2030		15,365,849
	2,010,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		1,989,900
				193,719,940
		Midstream — 2.1%
	22,495,000	Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029		24,570,886
	650,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		760,500
	7,000,000	Energy Transfer LP, 4.950%, 6/15/2028		8,087,651
	6,405,000	Energy Transfer LP, 5.250%, 4/15/2029		7,565,392
	15,380,000	Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(a)		15,266,359
	1,435,000	Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A		1,508,231
		Midstream — continued
	14,660,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		15,467,310
	85,000	Kinder Morgan Energy Partners LP, 5.000%, 8/15/2042		101,755
	375,000	Kinder Morgan, Inc., 5.050%, 2/15/2046		454,988
	14,040,000	MPLX LP, 4.250%, 12/01/2027		15,909,848
	85,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		121,593
	225,000	Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023		230,816
	3,710,000	Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030		3,969,916
	7,365,000	Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043		7,440,143
	7,825,000	Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044		8,289,818
	620,000	Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045		673,804
	12,445,000	Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030		14,362,177
	8,405,000	Williams Cos., Inc. (The), 3.350%, 8/15/2022		8,606,651
				133,387,838
		Mortgage Related — 0.0%
	1,011	FNMA, 6.000%, 7/01/2029		1,151
		Non-Agency Commercial Mortgage-Backed Securities – 1.1%
	110,999	Barclays Commercial Mortgage Securities Trust, Series 2013-TYSN, Class A2, 3.756%, 9/05/2032, 144A		111,126
	785,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		783,154
	1,410,000	Commercial Mortgage Trust, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A		1,421,149
	405,000	Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.718%, 12/10/2044(b)		385,906
	3,205,000	Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.673%, 1/15/2034, 144A(c)		3,160,290
	12,790,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		12,268,542
	5,095,000	DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(b)		5,313,133
	9,406,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(b)		7,999,026
	2,390,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(b)		2,493,899
	6,079,000	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b)		5,958,227
	6,478,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.566%, 12/15/2047, 144A(b)		6,609,616
	340,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.566%, 12/15/2047, 144A(b)		334,612
	1,405,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.921%, 10/15/2046(b)		1,412,251
	5,050,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.296%, 8/15/2046(b)		5,285,698
	3,456,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.420%, 6/15/2044, 144A(b)(d)(f)		2,625,890

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	945,000	MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A	$	939,694
	965,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC, 4.972%, 5/10/2063, 144A(b)		907,213
	6,706,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 5.044%, 5/10/2063, 144A(b)(d)(f)		1,005,900
	879,434	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A(a)		879,800
	1,000,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(b)		1,003,992
	1,991,555	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.520%, 3/15/2044, 144A(b)		970,285
	2,585,000	WFRBS Commercial Mortgage Trust, Series 2012-C6, Class AS, 3.835%, 4/15/2045(a)		2,618,823
	1,746,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.957%, 6/15/2045(b)		1,345,970
	865,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.957%, 6/15/2045, 144A(b)(d)(f)		352,861
	3,620,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047		3,799,325
	1,290,000	WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b)		1,308,745
				71,295,127
		Paper — 0.5%
	10,460,000	Suzano Austria GmbH, 3.750%, 1/15/2031		10,969,925
	16,595,000	Weyerhaeuser Co., 4.000%, 4/15/2030		18,883,296
	2,745,000	WRKCo, Inc., 3.000%, 6/15/2033		2,873,543
				32,726,764
		Pharmaceuticals — 0.7%
	2,459,000	Mylan, Inc., 5.200%, 4/15/2048		3,025,935
	980,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		1,078,000
	9,335,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023		9,296,353
	15,105,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		14,368,631
	6,270,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		5,494,088
	4,291,000	Utah Acquisition Sub, Inc., 5.250%, 6/15/2046		5,225,955
	5,450,000	Viatris, Inc., 4.000%, 6/22/2050, 144A		5,763,533
				44,252,495
		Property & Casualty Insurance — 0.5%
	5,653,000	American International Group, Inc., 4.200%, 4/01/2028		6,498,573
	16,635,000	Fidelity National Financial, Inc., 3.400%, 6/15/2030		17,907,113
	2,740,000	Fidelity National Financial, Inc., 5.500%, 9/01/2022		2,892,876
	3,159,000	Sirius International Group Ltd., 4.600%, 11/01/2026, 144A		3,213,967
	1,605,000	Travelers Cos., Inc. (The), 2.550%, 4/27/2050		1,548,634
				32,061,163
		REITs – Apartments — 0.0%
	2,185,000	American Homes 4 Rent, 2.375%, 7/15/2031		2,152,509
		REITs – Health Care — 0.1%
	5,972,000	Welltower, Inc., 6.500%, 3/15/2041		8,451,103
		REITs – Office Property — 0.0%
	2,085,000	Corporate Office Properties LP, 2.750%, 4/15/2031		2,100,733
		REITs – Regional Malls — 0.2%
	6,815,000	Simon Property Group LP, 2.650%, 7/15/2030		7,058,612
	4,945,000	Simon Property Group LP, 3.800%, 7/15/2050		5,463,724
				12,522,336
		REITs – Shopping Centers — 0.1%
	1,600,000	Brixmor Operating Partnership LP, 2.250%, 4/01/2028		1,598,088
	2,280,000	Brixmor Operating Partnership LP, 4.050%, 7/01/2030		2,550,996
				4,149,084
		Restaurants — 0.1%
	2,375,000	Yum! Brands, Inc., 4.750%, 1/15/2030, 144A		2,570,961
	1,890,000	Yum! Brands, Inc., 7.750%, 4/01/2025, 144A		2,055,375
				4,626,336
		Retailers — 1.4%
	21,520,000	7-Eleven, Inc., 0.800%, 2/10/2024, 144A		21,466,717
	1,960,000	AutoNation, Inc., 4.750%, 6/01/2030		2,318,099
	9,720,000	AutoZone, Inc., 3.625%, 4/15/2025		10,637,761
	14,585,000	AutoZone, Inc., 4.000%, 4/15/2030		16,576,816
	359,974	CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A		426,926
	372,480	CVS Pass-Through Trust, 6.036%, 12/10/2028		429,830
	10,884,482	CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A		12,414,078
	1,141,617	CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A		1,256,292
	5,620,000	Dollar General Corp., 3.500%, 4/03/2030		6,173,985
	4,665,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		4,831,774
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,531,245
	3,755,000	PVH Corp., 7.750%, 11/15/2023		4,312,467
				90,375,990
		Sovereigns — 0.8%
	30,040,000	Mexico Government International Bond, 3.771%, 5/24/2061		27,991,572
	23,545,000	Mexico Government International Bond, 4.280%, 8/14/2041		24,713,774
				52,705,346
		Supermarkets — 0.0%
	325,000	Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040		441,224
		Technology – 4.1%
	27,985,000	Avnet, Inc., 4.625%, 4/15/2026		31,455,302
	17,895,000	Broadcom, Inc., 4.300%, 11/15/2032		20,377,493
	9,915,000	Broadcom, Inc., 5.000%, 4/15/2030		11,697,436
	1,620,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,658,475
	3,900,000	CommScope, Inc., 6.000%, 3/01/2026, 144A		4,117,230
	3,950,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		4,280,813
	10,115,000	Equinix, Inc., 2.150%, 7/15/2030		10,050,428
	17,195,000	Equinix, Inc., 3.200%, 11/18/2029		18,443,434
	4,402,000	IHS Markit Ltd., 4.250%, 5/01/2029		5,093,994
	5,320,000	Jabil, Inc., 1.700%, 4/15/2026		5,359,410
	4,610,000	Jabil, Inc., 3.000%, 1/15/2031		4,745,290
	7,440,000	Jabil, Inc., 4.700%, 9/15/2022		7,804,174
	16,735,000	KLA Corp., 5.650%, 11/01/2034		21,346,154

See accompanying notes to financial statements.

|  34

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
		Technology — continued
$	7,480,000	Marvell Technology, Inc., 2.450%, 4/15/2028, 144A	$	7,623,690
	6,390,000	Marvell Technology, Inc., 2.950%, 4/15/2031, 144A		6,622,411
	11,425,000	Microchip Technology, Inc., 0.983%, 9/01/2024, 144A		11,369,608
	25,479,000	Micron Technology, Inc., 4.663%, 2/15/2030		29,615,528
	10,622,000	Micron Technology, Inc., 5.327%, 2/06/2029		12,829,978
	3,980,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A		4,257,514
	2,225,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A		2,429,495
	1,055,000	Open Text Corp., 3.875%, 2/15/2028, 144A		1,072,017
	1,015,000	Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A		1,035,097
	25,480,000	Oracle Corp., 3.600%, 4/01/2050		26,164,199
	1,770,000	Skyworks Solutions, Inc., 1.800%, 6/01/2026		1,792,299
	970,000	SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A		1,027,909
	9,135,000	Verisk Analytics, Inc., 4.125%, 3/15/2029		10,361,505
				262,630,883
		Transportation Services — 0.2%
	9,670,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		10,074,008
		Treasuries — 11.1%
	206,825,000	U.S. Treasury Note, 0.125%, 4/30/2022(a)		206,889,633
	173,275,000	U.S. Treasury Note, 0.125%, 6/30/2022(a)		173,315,612
	119,815,000	U.S. Treasury Note, 0.125%, 12/31/2022(a)(g)		119,712,033
	79,165,000	U.S. Treasury Note, 0.125%, 4/30/2023		79,016,566
	123,030,000	U.S. Treasury Note, 0.375%, 3/31/2022(a)		123,299,128
				702,232,972
		Wireless — 2.1%
	21,805,000	American Tower Corp., 2.100%, 6/15/2030		21,442,853
	6,830,000	Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A		6,775,531
	2,295,000	Crown Castle International Corp., 2.250%, 1/15/2031		2,265,230
	3,725,000	Crown Castle International Corp., 3.300%, 7/01/2030		3,990,568
	22,660,000	Crown Castle International Corp., 3.650%, 9/01/2027		24,984,762
	6,615,000	Crown Castle International Corp., 4.000%, 3/01/2027		7,402,757
	730,000	Crown Castle International Corp., 4.150%, 7/01/2050		833,156
	610,000	Sprint Capital Corp., 6.875%, 11/15/2028		782,325
	1,545,000	Sprint Corp., 7.250%, 9/15/2021		1,567,835
	15,320,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		15,810,142
	7,565,000	T-Mobile USA, Inc., 3.500%, 4/15/2031		7,826,371
	36,385,000	T-Mobile USA, Inc., 3.875%, 4/15/2030		40,671,881
	980,000	T-Mobile USA, Inc., 4.500%, 2/01/2026		998,737
				135,352,148
		Wirelines — 1.3%
	9,487,000	AT&T, Inc., 3.500%, 9/15/2053, 144A		9,531,309
	364,000	AT&T, Inc., 3.550%, 9/15/2055, 144A		365,220
	20,495,000	AT&T, Inc., 3.650%, 6/01/2051		21,276,917
	515,000	AT&T, Inc., 3.650%, 9/15/2059, 144A		522,261
	910,000	AT&T, Inc., 3.800%, 12/01/2057, 144A		948,113
	857,000	Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A		889,498
	20,585,000	Telefonica Emisiones S.A., 5.520%, 3/01/2049		26,751,237
	3,225,000	Verizon Communications, Inc., 2.875%, 11/20/2050		3,063,483
		Wirelines — continued
	11,880,000	Verizon Communications, Inc., 3.000%, 11/20/2060		11,088,662
	9,275,000	Verizon Communications, Inc., 3.550%, 3/22/2051		9,909,102
				84,345,802
		Total Non-Convertible Bonds (Identified Cost $5,301,807,962)		5,647,766,158
	Convertible Bonds — 1.5%
		Airlines — 0.1%
	5,165,000	Southwest Airlines Co., 1.250%, 5/01/2025		7,821,747
		Cable Satellite – 0.3%
	9,050,000	DISH Network Corp., 2.375%, 3/15/2024		8,772,843
	13,110,000	DISH Network Corp., 3.375%, 8/15/2026		13,378,755
				22,151,598
		Consumer Cyclical Services — 0.2%
	4,300,000	Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(h)		4,644,000
	6,370,000	Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(i)		6,158,994
	3,845,000	Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(h)		3,898,830
				14,701,824
		Healthcare — 0.2%
	9,475,000	Teladoc Health, Inc., 1.250%, 6/01/2027		10,606,315
		Media Entertainment – 0.1%
	4,520,000	Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(h)		4,310,950
		Pharmaceuticals – 0.4%
	5,120,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		5,305,856
	13,985,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		14,011,951
	1,410,000	Livongo Health, Inc., 0.875%, 6/01/2025		2,239,884
	1,860,000	Neurocrine Biosciences, Inc., 2.250%, 5/15/2024		2,486,634
				24,044,325
		Technology — 0.2%
	8,000,000	Palo Alto Networks, Inc., 0.375%, 6/01/2025		10,880,000
		Total Convertible Bonds (Identified Cost $92,498,179)		94,516,759
	Municipals – 0.1%
		Virginia — 0.1%
	7,335,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $7,075,507)		7,705,274
		Total Bonds and Notes (Identified Cost $5,401,381,648)		5,749,988,191
	Senior Loans – 0.1%
		Airlines — 0.1%
	6,748,354	United Airlines, Inc., 2021 Term Loan B, 1-month LIBOR + 3.750%, 4.500%, 4/21/2028(c) (Identified Cost $6,715,378)		6,830,819
	Collateralized Loan Obligations – 2.6%
	1,585,000	522 Funding CLO Ltd., Series 2021-7A, Class D, 3-month LIBOR + 2.900%, 3.100%, 4/23/2034, 144A(c)		1,572,824

See accompanying notes to financial statements.

35  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
	Collateralized Loan Obligations — continued
$	14,785,000	Alinea CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.650%, 1.838%, 7/20/2031, 144A(a)(c)	$	14,798,284
	4,650,000	Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 1.854%, 7/15/2031, 144A(c)		4,642,753
	4,075,000	Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 1.684%, 10/15/2030, 144A(c)		4,071,779
	1,651,667	Atrium XV, Series 15A, Class D, 3-month LIBOR + 3.000%, 3.173%, 1/23/2031, 144A(c)		1,651,754
	2,240,000	Battalion CLO XIV Ltd., Series 2019-14A, Class B1, 3-month LIBOR + 2.100%, 2.288%, 4/20/2032, 144A(c)		2,241,613
	2,525,000	Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.700%, 1.884%, 7/15/2031, 144A(c)		2,525,258
	6,500,000	CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR + 1.800%, 1.990%, 10/17/2031, 144A(c)		6,500,733
	3,335,000	Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 1.584%, 1/15/2031, 144A(c)		3,302,600
	1,030,000	Dryden 86 CLO Ltd., Series 2020-86A, Class B, 3-month LIBOR + 2.200%, 2.390%, 7/17/2030, 144A(c)		1,030,478
	1,250,000	Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3-month LIBOR + 1.650%, 1.826%, 10/25/2031, 144A(c)		1,250,325
	4,465,000	Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3-month LIBOR + 1.700%, 1.850%, 11/22/2031, 144A(c)		4,467,333
	9,755,000	Gallatin CLO VIII Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.650%, 1.834%, 7/15/2027, 144A(a)(c)		9,768,918
	5,405,000	Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 1.738%, 4/20/2030, 144A(c)		5,391,251
	7,965,694	Halcyon Loan Advisors Funding Ltd., Series 2014-3A, Class B1R, 3-month LIBOR + 1.700%, 1.884%, 10/22/2025, 144A(a)(c)		7,971,765
	13,735,000	Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 1.668%, 4/20/2031, 144A(c)		13,477,073
	3,545,000	Invesco CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.050%, 3.215%, 4/15/2034, 144A(c)		3,544,807
	1,000,000	Jamestown CLO IX Ltd., Series 2016-9A, Class A2R, 3-month LIBOR + 1.850%, 2.038%, 10/20/2028, 144A(c)		1,000,437
	4,475,000	Madison Park Funding XII Ltd., Series 2014-12A, Class CR, 3-month LIBOR + 2.350%, 2.538%, 7/20/2026, 144A(a)(c)		4,475,673
	13,180,000	Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 1.884%, 10/22/2030, 144A(c)		13,179,953
	2,770,000	Madison Park Funding XVI Ltd., Series 2015-16A, Class A2R, 3-month LIBOR + 1.900%, 2.088%, 4/20/2026, 144A(c)		2,770,000
	2,105,000	Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 3.100%, 4/15/2034, 144A(c)		2,104,979
	Collateralized Loan Obligations — continued
	545,455	Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3-month LIBOR + 1.700%, 1.886%, 10/21/2030, 144A(c)		545,489
	1,750,000	OCP CLO Ltd., Series 2015-9A, Class BR, 3-month LIBOR + 1.750%, 1.934%, 7/15/2027, 144A(c)		1,743,613
	14,755,000	OCP CLO Ltd., Series 2020-8RA, Class A2, 3-month LIBOR + 1.550%, 1.770%, 1/17/2032, 144A(a)(c)		14,712,721
	2,000,000	Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.600%, 1.784%, 7/15/2030, 144A(c)		1,999,195
	1,986,282	Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.800%, 1.976%, 10/24/2030, 144A(c)		1,986,554
	7,170,000	Octagon Investment Partners Ltd., Series 2018-18A, Class A2, 3-month LIBOR + 1.470%, 1.654%, 4/16/2031, 144A(c)		7,103,751
	3,605,000	OZLM XXIV Ltd., Series 2019-24A, Class A2A, 3-month LIBOR + 2.250%, 2.438%, 7/20/2032, 144A(c)		3,606,727
	1,730,000	Recette CLO Ltd., Series 2015-1A, Class BRR, 3-month LIBOR + 1.400%, 1.588%, 4/20/2034, 144A(c)		1,705,713
	1,015,000	Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 2.026%, 10/25/2031, 144A(c)		1,014,952
	6,680,000	Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3-month LIBOR + 3.250%, 3.434%, 4/20/2034, 144A(c)		6,679,908
	3,335,000	Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 1.890%, 10/18/2031, 144A(c)		3,335,463
	1,610,000	Voya CLO Ltd., Series 2016-3A, Class A3R, 3-month LIBOR + 1.750%, 1.940%, 10/18/2031, 144A(c)		1,610,298
	6,235,000	Voya CLO Ltd., Series 2018-3A, Class B, 3-month LIBOR + 1.650%, 1.834%, 10/15/2031, 144A(c)		6,235,519
		Total Collateralized Loan Obligations (Identified Cost $161,088,143)		164,020,493
Shares
	Preferred Stocks – 1.4%
	Convertible Preferred Stocks — 1.4%
		Banking — 0.8%
	17,832	Bank of America Corp., Series L, 7.250%		25,250,112
	18,269	Wells Fargo & Co., Class A, Series L, 7.500%		27,882,330
				53,132,442
		Food & Beverage — 0.2%
	138,542	Bunge Ltd., 4.875%		16,079,184
		Wireless — 0.4%
	18,282	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(d)(f)		23,036,783
		Total Convertible Preferred Stocks (Identified Cost $87,077,725)		92,248,409
		Total Preferred Stocks (Identified Cost $87,077,725)		92,248,409

See accompanying notes to financial statements.

|  36

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 4.9%
$	311,131,660	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $311,131,660 on 7/01/2021 collateralized by $279,099,800 U.S. Treasury Inflation Indexed Note, 0.125% due 1/15/2030 valued at $317,354,377 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $311,131,660)	$	311,131,660
		Total Investments – 99.6% (Identified Cost $5,967,394,554)		6,324,219,572
		Other assets less liabilities – 0.4%		22,985,884
		Net Assets – 100.0%	$	6,347,205,456
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(b)	Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2021 is disclosed.
	(c)	Variable rate security. Rate as of June 30, 2021 is disclosed.
	(d)	Illiquid security.
	(e)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(f)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of these securities amounted to $98,676,926 or 1.6% of net assets. See Note 2 of Notes to Financial Statements.
	(g)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(h)	Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(i)	Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	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 June 30, 2021, the value of Rule 144A holdings amounted to $2,298,534,218 or 36.2% of net assets.
	ABS	Asset-Backed Securities
	ARS	Auction Rate Security
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	SLM	Sallie Mae

At June 30, 2021, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra 10 Year U.S. Treasury Note		9/21/2021		4,214	$	611,198,767	$	620,313,969	$	(9,115,202	)
Ultra Long U.S. Treasury Bond		9/21/2021		751		139,377,448		144,708,313		(5,330,865	)
Total									$	(14,446,067	)

Industry Summary at June 30, 2021 (Unaudited)

Treasuries	11.1	%
Banking	10.0
ABS Car Loan	7.6
ABS Home Equity	5.4
Technology	4.3
Life Insurance	3.6
Finance Companies	3.4
ABS Other	3.2
Aerospace & Defense	3.2
Metals & Mining	3.1
Electric	2.5
Wireless	2.5
Cable Satellite	2.2
Midstream	2.1
Food & Beverage	2.0
Other Investments, less than 2% each	25.9
Short-Term Investments	4.9
Collateralized Loan Obligations	2.6
Total Investments	99.6
Other assets less liabilities (including futures contracts)	0.4
Net Assets	100.0	%

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 79.6% of Net Assets
	Non-Convertible Bonds — 76.1%
		ABS Car Loan — 5.1%
$	2,590,000	American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A(a)	$	2,660,557
	2,660,000	American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A(a)		2,699,504
	2,805,000	AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024(a)		2,938,323
	3,845,000	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024(a)		4,050,146
	715,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026(a)		734,644
	1,210,000	Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A(a)		1,244,445
	1,035,000	Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A		1,074,069
	330,000	Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A(a)		350,422
	1,165,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C, 4.240%, 9/22/2025, 144A		1,247,052
	1,565,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A(a)		1,625,902
	1,200,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A(a)		1,272,184
	1,800,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A		1,961,737
	1,785,000	California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025(a)		1,851,245
	135,000	CarMax Auto Owner Trust, Series 2018-1, Class D, 3.370%, 7/15/2024(a)		137,446
	1,435,000	CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025(a)		1,476,228
	1,125,000	CarMax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025(a)		1,179,337
	2,350,000	CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025(a)		2,462,314
	1,205,000	Credit Acceptance Auto Loan Trust, Series 2018-2A, Class C, 4.160%, 9/15/2027, 144A(a)		1,216,005
	4,745,000	Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A(a)		4,892,440
	1,180,000	Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A(a)		1,204,756
	159,984	Drive Auto Receivables Trust, Series 2018-3, Class D, 4.300%, 9/16/2024(a)		163,697
	2,395,000	Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026(a)		2,499,906
	1,330,000	Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026(a)		1,380,349
	1,655,000	DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A(a)		1,713,382
	1,110,000	DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A		1,126,083
		ABS Car Loan — continued
	1,265,000	Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A(a)		1,355,682
	800,000	Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025(a)		807,854
	635,000	First Investors Auto Owner Trust , Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A(a)		652,213
	1,475,000	First Investors Auto Owner Trust , Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A		1,529,486
	3,305,000	Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A(a)		3,455,654
	499,764	GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A(a)		503,603
	5,030,000	GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A(a)		5,226,413
	4,540,000	GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A(a)		4,615,868
	910,000	Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A		936,184
	985,000	Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A		1,017,087
	4,140,000	Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025(a)		4,276,515
	3,210,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028(a)		3,481,929
	1,140,000	Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026(a)		1,166,904
	1,675,000	Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A(a)		1,696,018
				73,883,583
		ABS Credit Card — 0.8%
	775,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A(a)		779,940
	2,845,000	Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A(a)		2,853,592
	6,995,000	World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026(a)		7,162,173
				10,795,705
		ABS Home Equity — 7.1%
	185,359	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)		190,195
	210,390	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)		216,019
	317,091	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025		320,568
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)		323,246
	2,170,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)		2,382,677
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)		1,313,637
	3,138,000	American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A(a)		3,435,604
	342,217	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033(a)		351,993

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	402,247	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(a)	$	434,250
	211,449	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		210,325
	1,188,522	Bayview Opportunity Master Fund V Trust, Series 2020-RN3, Class A1, 3.228%, 9/25/2035, 144A(a)(b)		1,201,374
	2,935,390	CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a)(b)		2,948,474
	1,016,166	Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(a)(b)		1,017,100
	1,834,238	Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(a)(b)		1,849,720
	3,598,068	Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)(b)		3,608,515
	1,022,414	Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 2.142%, 1/25/2040, 144A(c)		1,026,615
	1,830,000	CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A(a)		1,965,335
	245,000	CoreVest American Finance Trust, Series 2020-2, Class C, 4.844%, 5/15/2052, 144A(a)(b)		279,858
	1,340,000	CoreVest American Finance Trust, Series 2020-4, Class C, 2.250%, 12/15/2052, 144A		1,313,468
	352,562	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)		364,108
	537,289	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		557,661
	41,059	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.847%, 9/20/2034(a)(b)		41,304
	2,357,919	Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 3.023%, 12/26/2059, 144A(a)(b)		2,373,799
	1,679,784	Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(a)(b)		1,701,424
	2,488,138	Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)(b)		2,500,796
	135,481	CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)		144,494
	413,221	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 0.423%, 9/19/2045(c)		312,096
	1,144,219	Dukinfield II PLC, Series 2, Class A, GBP 3-month LIBOR + 1.250%, 1.331%, 12/20/2052, (GBP)(a)(c)		1,584,533
	1,075,711	Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 2.292%, 1/25/2030(c)		1,092,859
	1,715,000	FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A		1,744,790
	4,165,000	FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A(a)		4,233,744
	110,625	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 1.892%, 7/25/2030(c)		111,315
		ABS Home Equity — continued
	3,995,844	GCAT LLC, Series 2020-4, Class A1, 2.611%, 12/25/2025, 144A(a)(b)		4,012,450
	354,300	GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)(b)		364,973
	485,883	IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 1.312%, 9/25/2034(c)		466,442
	2,066,148	IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.420%, 0.512%, 2/25/2046(c)		1,655,139
	914,838	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034		955,299
	200,744	Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.750%, 1/25/2059, 144A(a)(b)		201,094
	2,031,736	Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(a)(b)		2,048,634
	2,282,151	Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.438%, 5/25/2059, 144A(a)(b)		2,286,658
	1,816,738	Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(a)(b)		1,829,805
	1,218,917	Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(a)		1,241,892
	345,244	Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.520%, 0.612%, 2/25/2046(c)		317,458
	181,107	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.750%, 5/25/2034(a)(b)		183,998
	231,847	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)		237,495
	216,016	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)		221,401
	229,713	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)		236,979
	651,630	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		669,082
	35,936	Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 2.097%, 5/25/2036(a)(b)		36,529
	245,000	Mill City Mortgage Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060, 144A(a)(b)		253,321
	317,293	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		272,451
	648,857	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		675,455
	1,189,000	Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A		1,195,621
	715,000	Progress Residential Trust, Series 2018-SFR3, Class E, 4.873%, 10/17/2035, 144A		723,318
	2,803,000	Progress Residential Trust, Series 2019-SFR1, Class E, 4.466%, 8/17/2035, 144A(a)		2,856,987
	1,005,000	Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A(a)		1,015,102
	785,000	Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A		785,695
	795,000	Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038, 144A		798,926
	570,000	Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A(a)		574,886
	470,000	Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A		472,941
	930,000	Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A		922,731
	400,000	Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A		396,887

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	585,000	Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A	$	584,913
	3,035,408	PRPM LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(a)(b)		3,048,942
	5,151,480	PRPM LLC, Series 2020-5, Class A1, 3.104%, 11/25/2025, 144A(a)(b)		5,185,638
	1,505,764	PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(a)(b)		1,524,162
	3,007,179	PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)(b)		3,039,437
	3,927,878	PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(b)		3,967,101
	1,288,234	RCO V Mortgage LLC, Series 2020-1, Class A1, 3.105%, 9/25/2025, 144A(a)(b)		1,298,553
	2,398,608	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 0.402%, 7/25/2035(c)		1,771,412
	500,000	Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(a)(b)		521,653
	1,040,000	Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A		1,095,585
	1,170,000	Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A		1,139,093
	973,279	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)		975,832
	1,323,717	VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(a)(b)		1,323,795
	3,635,104	VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a)(b)		3,630,945
	1,736,937	VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(a)(b)		1,738,643
	2,382,589	VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(a)(b)		2,383,852
				102,291,101
		ABS Other — 4.9%
	651,188	Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A(a)		673,099
	995,000	Affirm Asset Securitization Trust, Series 2021-A, Class C, 1.660%, 8/15/2025, 144A		999,514
	2,218,114	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		936,227
	350,000	Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a)		352,512
	897,708	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(b)		895,853
	790,000	Chesapeake Funding II LLC, Series 2018-1A, Class C, 3.570%, 4/15/2030, 144A(a)		791,694
	2,125,000	Chesapeake Funding II LLC, Series 2018-1A, Class D, 3.920%, 4/15/2030, 144A(a)		2,129,825
	5,694,929	CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A(a)		5,645,147
	233,710	Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A		238,375
	912,107	Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A(a)		940,334
	1,213,214	Diamond Resorts Owner Trust, Series 2019-1, Class B, 3.530%, 2/20/2032, 144A(a)		1,253,239
	305,000	Freedom Financial Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A		305,109
		ABS Other — continued
	2,335,931	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)(f)(g)		2,102,338
	1,059,946	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)(f)(g)		794,959
	3,410,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, 1/05/2030, 144A(d)(e)(f)(g)(h)		170,500
	558,010	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(f)(i)		559,584
	399,513	Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A(a)		416,522
	975,000	HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A(a)		995,705
	5,900,000	HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A(a)		6,089,190
	700,000	HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A(a)		698,008
	2,047,720	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A(a)		2,037,680
	1,184,016	MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A(a)		1,185,769
	1,556,112	MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A		1,441,007
	399,225	MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A(a)		423,459
	355,280	MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A(a)		363,609
	3,120,000	OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a)		3,123,146
	3,230,000	OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A(a)		3,248,632
	1,110,000	OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A(a)		1,167,537
	1,020,000	OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A(a)		1,046,484
	810,000	OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A		814,525
	3,980,000	Republic Finance Issuance Trust, Series 2019-A, Class A, 3.430%, 11/22/2027, 144A(a)		4,022,499
	3,854,156	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a)		3,811,710
	1,634,228	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A(a)		1,687,462
	1,080,000	SLAM Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046, 144A		1,092,816
	393,354	SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A(a)		398,793
	910,852	SoFi Consumer Loan Program Trust, Series 2018-2, Class B, 3.790%, 4/26/2027, 144A(a)		920,958
	1,010,000	SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A(a)		1,030,496
	3,167,678	SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A(a)		3,208,287
	525,862	Sprite Ltd., Series 2017-1, Class A, 4.250%, 12/15/2037, 144A(a)		522,484

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	1,021,957	Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A	$	900,789
	401,851	Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A(a)		408,736
	2,735,067	Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A(a)		2,705,295
	4,185,339	TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A(a)		4,120,058
	2,042,564	Wave LLC, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A(a)		2,001,977
	603,129	Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(a)(b)		595,977
	790,655	Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A(a)		792,263
				70,060,182
		ABS Student Loan — 1.1%
	630,000	Commonbond Student Loan Trust, Series 2021-AGS, Class B, 1.400%, 3/25/2052, 144A(a)		629,606
	1,952,375	Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A(a)		2,002,877
	1,035,000	Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A(a)		1,058,732
	3,410,000	Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A(a)		3,484,240
	695,000	Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A(a)		717,882
	1,290,000	Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A(a)		1,344,128
	556,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.583%, 6/15/2032(a)(c)		555,881
	1,609,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 3.596%, 3/15/2033(a)(c)		1,608,381
	173,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.486%, 3/15/2033(a)(c)		172,933
	800,000	SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A(a)		833,610
	806,027	SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 0.851%, 10/15/2035, 144A(a)(c)		809,018
	190,000	SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A(a)		206,985
	510,000	SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A(a)		543,280
	448,684	SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a)		454,113
	125,000	SoFi Professional Loan Program LLC, Series 2016-C, Class B, 3.350%, 5/25/2037, 144A(a)(b)		126,924
		ABS Student Loan — continued
	1,350,000	SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A(a)		1,391,561
				15,940,151
		ABS Whole Business — 2.1%
	4,089,181	Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A(a)		4,324,211
	977,613	Arbys Funding LLC, Series 2020-1A, Class A2, 3.237%, 7/30/2050, 144A		1,021,458
	697,575	DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A(a)		770,485
	2,935,395	Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A(a)		3,167,409
	3,510,000	Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A21, 2.662%, 4/25/2051, 144A(a)		3,631,762
	2,283,525	Hardee’s Funding LLC, Series 2020-1A, Class A2, 3.981%, 12/20/2050, 144A(a)		2,408,071
	1,343,023	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A		1,347,992
	3,028,875	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		3,062,132
	2,549,100	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A(a)		2,698,469
	4,048,175	Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A(a)		4,305,032
	694,575	Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A(a)		753,600
	1,455,000	Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A		1,467,644
	897,750	Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841%, 12/05/2050, 144A		931,065
				29,889,330
		Aerospace & Defense — 2.9%
	6,430,000	Boeing Co. (The), 2.196%, 2/04/2026(a)		6,491,459
	1,635,000	Boeing Co. (The), 2.250%, 6/15/2026(a)		1,669,173
	700,000	Boeing Co. (The), 2.950%, 2/01/2030(a)		716,729
	70,000	Boeing Co. (The), 3.100%, 5/01/2026		74,001
	1,065,000	Boeing Co. (The), 3.375%, 6/15/2046(a)		1,025,968
	90,000	Boeing Co. (The), 3.625%, 3/01/2048		89,925
	2,135,000	Boeing Co. (The), 3.750%, 2/01/2050(a)		2,202,359
	375,000	Boeing Co. (The), 3.825%, 3/01/2059(a)		382,646
	325,000	Boeing Co. (The), 3.850%, 11/01/2048(a)		333,512
	1,420,000	Boeing Co. (The), 3.900%, 5/01/2049(a)		1,495,327
	215,000	Boeing Co. (The), 3.950%, 8/01/2059(a)		224,940
	1,870,000	Boeing Co. (The), 5.150%, 5/01/2030(a)		2,214,370
	8,950,000	Boeing Co. (The), 5.805%, 5/01/2050(a)		12,052,348
	1,220,000	Boeing Co. (The), 5.930%, 5/01/2060(a)		1,684,647
	1,340,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		1,415,241
	895,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		953,748
	2,550,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(a)		3,032,281
	305,000	Spirit AeroSystems, Inc., 4.600%, 6/15/2028		298,900
	2,580,000	Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A		2,754,150
	3,010,000	TransDigm, Inc., 6.250%, 3/15/2026, 144A		3,175,550
				42,287,274

See accompanying notes to financial statements.

41  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Airlines — 0.7%
$	640,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A	$	677,600
	735,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		794,719
	6,225,716	United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029(a)		6,148,517
	698,760	United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027(a)		741,056
	585,000	United Airlines, Inc., 4.375%, 4/15/2026, 144A		605,580
	880,000	United Airlines, Inc., 4.625%, 4/15/2029, 144A		910,800
				9,878,272
		Automotive — 0.9%
	1,775,000	Allison Transmission, Inc., 3.750%, 1/30/2031, 144A		1,744,594
	330,000	General Motors Co., 5.200%, 4/01/2045(a)		407,870
	2,530,000	General Motors Co., 5.400%, 4/01/2048(a)		3,222,547
	2,905,000	General Motors Co., 5.950%, 4/01/2049(a)		3,954,530
	1,825,000	General Motors Financial Co., Inc., 1.050%, 3/08/2024(a)		1,835,466
	1,455,000	General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(j)		1,583,608
	470,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(j)		526,400
				13,275,015
		Banking — 5.0%
	345,000	Ally Financial, Inc., 3.875%, 5/21/2024		371,752
	2,000,000	Ally Financial, Inc., 5.750%, 11/20/2025		2,296,316
	3,520,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(j)		3,645,664
	2,400,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(j)		2,430,720
	44,570,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 38.146%, 11/07/2022, 144A, (ARS)(c)		277,725
	21,970,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)		122,853
	1,200,000	Banco Santander S.A., 2.749%, 12/03/2030(a)		1,188,741
	6,000,000	Banco Santander S.A., (fixed rate to 6/30/2023, variable rate thereafter), 0.701%, 6/30/2024		6,011,981
	7,280,000	Bank of America Corp., MTN, (fixed rate to 6/14/2023, variable rate thereafter), 0.523%, 6/14/2024		7,278,471
	4,460,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a)		4,646,606
	685,000	BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A(a)		692,775
	1,330,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025(a)		1,333,165
	1,430,000	Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A(a)		1,521,941
	2,795,000	Deutsche Bank AG, (fixed rate to 1/14/2031, variable rate thereafter), 3.729%, 1/14/2032		2,844,281
	5,995,000	Deutsche Bank AG, (fixed rate to 4/01/2024, variable rate thereafter), 1.447%, 4/01/2025(a)		6,031,038
	1,270,000	Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032		1,291,397
	1,265,000	Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031(a)		1,346,551
		Banking — continued
	2,745,000	JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027(a)		2,759,222
	7,290,000	KeyBank NA, (fixed rate to 6/14/2023, variable rate thereafter), 0.433%, 6/14/2024		7,295,513
	6,615,000	Royal Bank of Canada, 1.200%, 4/27/2026(a)		6,610,446
	5,195,000	Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A(a)		5,390,332
	3,550,000	Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A(a)		3,560,837
	1,100,000	Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(a)		1,286,401
	2,255,000	UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A(a)		2,286,220
				72,520,948
		Brokerage — 0.1%
	1,415,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		1,396,975
		Building Materials — 1.1%
	1,712,000	Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A		1,833,980
	7,070,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		7,186,655
	3,360,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		3,694,656
	1,725,000	Cemex SAB de CV, 5.450%, 11/19/2029, 144A		1,896,638
	1,720,000	Cemex SAB de CV, (fixed rate to 6/8/2026, variable rate thereafter), 5.125%, 144A(j)		1,775,384
				16,387,313
		Cable Satellite — 2.7%
	5,670,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A		5,778,807
	1,585,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A		1,650,324
	1,050,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032		1,088,063
	310,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A		338,861
	14,425,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061		15,499,451
	1,610,000	CSC Holdings LLC, 4.125%, 12/01/2030, 144A		1,599,938
	2,710,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		2,658,808
	1,060,000	CSC Holdings LLC, 6.500%, 2/01/2029, 144A		1,174,056
	2,155,000	DISH DBS Corp., 5.125%, 6/01/2029, 144A		2,127,912
	1,355,000	Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A		1,419,701
	110,000	Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A		119,867
	1,660,000	Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A		1,677,081
	1,225,000	Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A		1,263,281
	1,725,000	Ziggo BV, 4.875%, 1/15/2030, 144A		1,769,678
	1,372,000	Ziggo BV, 5.500%, 1/15/2027, 144A		1,425,508
				39,591,336
		Chemicals — 0.5%
	1,045,000	Alpek SAB de CV, 3.250%, 2/25/2031, 144A		1,057,551
	2,115,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		2,203,661

See accompanying notes to financial statements.

|  42

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Chemicals — continued
$	1,335,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A	$	1,461,838
	210,000	INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A		212,778
	2,865,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A(a)		2,882,906
				7,818,734
		Construction Machinery — 0.4%
	5,460,000	United Rentals North America, Inc., 4.000%, 7/15/2030		5,623,800
		Consumer Cyclical Services — 2.0%
	1,205,000	Expedia Group, Inc., 2.950%, 3/15/2031		1,221,043
	7,420,000	Expedia Group, Inc., 3.250%, 2/15/2030(a)		7,750,537
	1,475,000	Expedia Group, Inc., 3.800%, 2/15/2028		1,604,197
	250,000	Expedia Group, Inc., 4.625%, 8/01/2027		282,536
	2,460,000	Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A		2,444,010
	2,255,000	TriNet Group, Inc., 3.500%, 3/01/2029, 144A		2,223,430
	515,000	Uber Technologies, Inc., 7.500%, 5/15/2025, 144A		555,788
	680,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		731,823
	5,440,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		5,978,451
	5,160,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		5,559,900
				28,351,715
		Consumer Products — 0.2%
	930,000	Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(a)		920,784
	1,605,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		1,645,125
				2,565,909
		Diversified Manufacturing — 0.1%
	1,515,000	General Electric Co., 3.625%, 5/01/2030(a)		1,689,345
		Electric — 1.7%
	5,295,000	Calpine Corp., 3.750%, 3/01/2031, 144A		5,042,693
	1,165,000	Calpine Corp., 5.125%, 3/15/2028, 144A		1,185,388
	5,205,000	Edison International, Series A, (fixed rate to 3/15/2026, variable rate thereafter), 5.375%(j)		5,242,997
	480,000	NRG Energy, Inc., 5.250%, 6/15/2029, 144A		510,600
	1,075,000	NRG Energy, Inc., 5.750%, 1/15/2028		1,144,875
	1,785,000	Pacific Gas & Electric Co., 3.500%, 8/01/2050		1,590,901
	2,135,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		2,048,754
	255,000	Pacific Gas & Electric Co., 4.950%, 7/01/2050		262,284
	605,000	Southern California Edison Co., 3.650%, 2/01/2050(a)		605,051
	170,000	Southern California Edison Co., 4.000%, 4/01/2047(a)		178,823
	215,000	Southern California Edison Co., Series C, 4.125%, 3/01/2048(a)		229,122
	6,485,000	Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A(a)		6,928,647
				24,970,135
		Finance Companies — 4.7%
	905,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027(a)		966,796
	2,430,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028(a)		2,600,990
	1,140,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025(a)		1,337,121
		Finance Companies — continued
	5,165,000	Air Lease Corp., 3.125%, 12/01/2030(a)		5,247,151
	2,755,000	Air Lease Corp., 3.375%, 7/01/2025(a)		2,959,233
	2,630,000	Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(j)		2,725,337
	6,000,000	Aircastle Ltd., 4.250%, 6/15/2026(a)		6,515,565
	855,000	Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(j)		863,550
	5,555,000	Ares Capital Corp., 2.875%, 6/15/2028		5,638,436
	875,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A(a)		875,236
	1,480,000	Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A(a)		1,672,888
	5,205,000	FS KKR Capital Corp., 3.400%, 1/15/2026(a)		5,382,067
	5,755,000	GE Capital Funding LLC, 4.400%, 5/15/2030(a)		6,706,488
	1,170,000	General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(j)		1,310,400
	90,000	Navient Corp., 5.875%, 10/25/2024		97,087
	1,125,000	Oaktree Specialty Lending Corp., 2.700%, 1/15/2027		1,125,464
	5,000	OneMain Finance Corp., 6.875%, 3/15/2025		5,643
	1,595,000	OneMain Finance Corp., 8.875%, 6/01/2025		1,768,361
	4,160,000	Owl Rock Capital Corp., 3.400%, 7/15/2026(a)		4,335,675
	2,840,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		2,818,691
	5,865,000	Quicken Loans LLC, 5.250%, 1/15/2028, 144A		6,158,250
	2,520,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		2,488,500
	4,785,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		4,820,840
				68,419,769
		Financial Other — 0.5%
	630,000	China Evergrande Group, 8.250%, 3/23/2022		538,965
	420,000	China Evergrande Group, 8.750%, 6/28/2025		280,087
	270,000	China Evergrande Group, 9.500%, 4/11/2022		230,985
	220,000	China Evergrande Group, 9.500%, 3/29/2024		154,112
	580,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A		577,100
	2,595,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024		2,711,775
	2,525,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		2,607,050
	485,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026		514,585
				7,614,659
		Food & Beverage — 1.6%
	3,256,000	Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050(a)		3,424,531
	7,250,000	Hormel Foods Corp., 0.650%, 6/03/2024		7,265,772
	1,150,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A		1,176,737
	1,455,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		1,648,981
	2,305,000	Kraft Heinz Foods Co., 4.875%, 10/01/2049		2,798,158
	715,000	Kraft Heinz Foods Co., 5.000%, 6/04/2042		871,992
	680,000	Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A		752,250
	3,300,000	MARB BondCo. PLC, 3.950%, 1/29/2031, 144A		3,181,860
	1,135,000	Post Holdings, Inc., 5.750%, 3/01/2027, 144A		1,187,494
	385,000	Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A(a)		388,167
				22,695,942

See accompanying notes to financial statements.

43  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Gaming — 0.8%
$	3,420,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A(a)	$	3,404,473
	2,670,000	MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 3.875%, 2/15/2029, 144A		2,711,572
	875,000	Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A		873,906
	2,940,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		3,211,068
	1,090,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		1,229,520
				11,430,539
		Government Owned – No Guarantee — 2.0%
	845,000	Antares Holdings LP, 3.950%, 7/15/2026, 144A		879,326
	103,800,000	Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(a)		1,419,384
	4,801,000,000	Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)(a)		1,298,934
	2,545,000	Indian Railway Finance Corp. Ltd., 2.800%, 2/10/2031, 144A		2,472,569
	12,050,000	Petroleos Mexicanos, 5.950%, 1/28/2031(a)		11,706,575
	5,290,000	Petroleos Mexicanos, 6.625%, 6/15/2035(a)		5,108,818
	4,075,000	Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(a)		3,952,750
	1,770,000	YPF S.A., 6.950%, 7/21/2027, 144A		1,246,788
				28,085,144
		Health Insurance — 0.9%
	4,830,000	Centene Corp., 2.500%, 3/01/2031(a)		4,763,587
	1,145,000	Centene Corp., 3.000%, 10/15/2030		1,176,236
	300,000	Centene Corp., 4.625%, 12/15/2029		329,931
	7,210,000	UnitedHealth Group, Inc., 0.550%, 5/15/2024		7,199,633
				13,469,387
		Healthcare — 0.7%
	765,000	Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A		740,811
	475,000	Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A		481,531
	505,000	Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A		525,367
	380,000	Encompass Health Corp., 4.750%, 2/01/2030		403,750
	1,935,000	HCA, Inc., 3.500%, 9/01/2030		2,061,491
	3,240,000	Hologic, Inc., 3.250%, 2/15/2029, 144A		3,211,650
	735,000	IQVIA, Inc., 5.000%, 5/15/2027, 144A		769,912
	890,000	Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A		915,988
	340,000	Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A		352,648
	625,000	Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A		666,025
	255,000	Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A		266,156
				10,395,329
		Home Construction — 0.0%
	310,000	Lennar Corp., 4.875%, 12/15/2023(a)		337,432
		Independent Energy — 1.9%
	4,360,000	Aker BP ASA, 3.750%, 1/15/2030, 144A(a)		4,704,811
	1,670,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		1,834,302
	3,060,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A(a)		3,664,350
	1,515,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		1,556,238
		Independent Energy — continued
	1,985,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		2,043,657
	215,000	EQT Corp., 3.125%, 5/15/2026, 144A		220,313
	450,000	EQT Corp., 3.625%, 5/15/2031, 144A		469,125
	140,000	EQT Corp., 5.000%, 1/15/2029		156,096
	1,300,000	Hess Corp., 5.600%, 2/15/2041		1,622,758
	1,790,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		1,965,098
	1,295,000	Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A		1,441,982
	2,285,000	Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A		2,288,657
	1,720,000	Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A		1,737,434
	62,000	Occidental Petroleum Corp., 2.700%, 2/15/2023		63,376
	885,000	Occidental Petroleum Corp., 2.900%, 8/15/2024		904,913
	340,000	Occidental Petroleum Corp., 3.500%, 6/15/2025		347,650
	75,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		82,875
	320,000	Ovintiv, Inc., 6.500%, 8/15/2034		422,437
	140,000	Ovintiv, Inc., 6.500%, 2/01/2038		186,389
	695,000	Ovintiv, Inc., 6.625%, 8/15/2037		927,324
	90,000	Ovintiv, Inc., 7.200%, 11/01/2031		118,428
	85,000	Ovintiv, Inc., 7.375%, 11/01/2031		112,855
	385,000	Ovintiv, Inc., 8.125%, 9/15/2030		524,675
				27,395,743
		Leisure — 0.6%
	2,735,000	Carnival Corp., 5.750%, 3/01/2027, 144A		2,864,912
	1,560,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		1,634,100
	570,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		597,332
	240,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		239,700
	3,090,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		3,236,157
				8,572,201
		Life Insurance — 0.7%
	1,530,000	Athene Holding Ltd., 3.500%, 1/15/2031(a)		1,631,206
	1,110,000	Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A(a)		1,224,933
	6,780,000	New York Life Global Funding, 3-month LIBOR + 0.320%, 0.495%, 8/06/2021, 144A(a)(c)		6,782,648
				9,638,787
		Local Authorities — 0.6%
	7,080,000	Province of Ontario Canada, 1.050%, 4/14/2026(a)		7,098,257
	67,000,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.750%, 37.875%, 4/12/2025, 144A, (ARS)(c)		335,836
	165,360,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 37.959%, 5/31/2022, (ARS)(c)		928,374
				8,362,467
		Lodging — 0.8%
	590,000	Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A		582,625
	2,055,000	Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A		2,075,283
	435,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		433,860
	1,435,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		1,467,288
	360,000	Hyatt Hotels Corp., 5.375%, 4/23/2025		406,458

See accompanying notes to financial statements.

|  44

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Lodging — continued
$	665,000	Hyatt Hotels Corp., 5.750%, 4/23/2030	$	807,230
	440,000	Marriott International, Inc., Series EE, 5.750%, 5/01/2025		507,892
	695,000	Marriott International, Inc., Series FF, 4.625%, 6/15/2030		800,433
	1,125,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		1,140,469
	1,535,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		1,582,124
	195,000	Travel & Leisure Co., 6.000%, 4/01/2027		214,221
	960,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		1,087,680
				11,105,563
		Media Entertainment — 1.7%
	1,240,000	AMC Networks, Inc., 4.250%, 2/15/2029		1,250,850
	2,745,000	Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A		2,814,229
	2,830,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		2,911,363
	2,400,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		2,508,960
	750,000	iHeartCommunications, Inc., 6.375%, 5/01/2026		797,813
	3,150,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		3,374,437
	415,000	Lamar Media Corp., 3.750%, 2/15/2028		422,263
	825,000	Lamar Media Corp., 4.000%, 2/15/2030		834,991
	1,040,000	Netflix, Inc., 4.875%, 4/15/2028		1,209,000
	3,525,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		4,192,282
	710,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		862,363
	665,000	Netflix, Inc., 5.875%, 11/15/2028		816,241
	780,000	Netflix, Inc., 6.375%, 5/15/2029		996,255
	1,075,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A		1,091,125
	600,000	Playtika Holding Corp., 4.250%, 3/15/2029, 144A		599,586
				24,681,758
		Metals & Mining — 1.9%
	2,655,000	ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028		2,860,099
	400,000	ABJA Investment Co. Pte Ltd., 5.950%, 7/31/2024		432,000
	690,000	Antofagasta PLC, 2.375%, 10/14/2030, 144A(a)		664,815
	4,515,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		4,723,187
	425,000	First Quantum Minerals Ltd., 7.250%, 4/01/2023, 144A		433,237
	1,755,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,820,812
	2,345,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		2,508,751
	1,270,000	Freeport-McMoRan, Inc., 4.375%, 8/01/2028		1,341,437
	885,000	Freeport-McMoRan, Inc., 4.625%, 8/01/2030		969,075
	2,720,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		3,285,230
	735,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		898,405
	6,035,000	Glencore Funding LLC, 2.850%, 4/27/2031, 144A(a)		6,137,202
	625,000	Novelis Corp., 4.750%, 1/30/2030, 144A		656,250
	435,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		430,650
				27,161,150
		Midstream — 1.0%
	5,460,000	Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029(a)		5,963,860
	3,335,000	Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(a)		3,310,358
		Midstream — continued
	290,000	Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A(a)		304,799
	3,745,000	Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030(a)		4,321,925
	795,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A		817,777
				14,718,719
		Non-Agency Commercial Mortgage-Backed Securities — 3.2%
	2,995,000	Barclays Commercial Mortgage Securities, Series 2020-BID, Class B, 1-month LIBOR + 2.540%, 2.613%, 10/15/2037, 144A(a)(c)		3,013,781
	1,510,000	Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A		1,508,644
	140,000	Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.718%, 12/10/2044(a)(b)		133,399
	790,000	Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.673%, 1/15/2034, 144A(c)		778,979
	5,680,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		5,085,886
	750,000	DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(b)		782,110
	615,000	Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 2.325%, 7/15/2038, 144A(c)		617,647
	3,195,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(b)		2,717,084
	540,000	GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.428%, 8/10/2044, 144A(b)		448,276
	3,905,000	GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.428%, 8/10/2044, 144A(b)		2,147,835
	845,000	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b)		828,212
	300,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(a)(b)		290,319
	405,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class C, 4.777%, 10/15/2045, 144A(a)(b)		382,700
	2,435,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.566%, 12/15/2047, 144A(a)(b)		2,484,473
	1,246,483	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.420%, 6/15/2044, 144A(b)		1,230,404
	2,515,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.420%, 6/15/2044, 144A(b)(f)(i)		1,910,913
	2,041,379	Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 7.000%, 8/15/2024, 144A(c)		1,973,716
	1,350,000	RBS Commercial Funding, Inc., Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(a)(b)		1,430,921
	1,060,000	Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 2.823%, 11/15/2027, 144A(c)(d)(f)(g)		500,809

See accompanying notes to financial statements.

45  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	4,243,654	Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.573%, 11/15/2027, 144A(c)(d)(f)(g)	$	1,045,994
	3,575,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.473%, 11/15/2027, 144A(c)(d)(f)(g)		340,882
	1,370,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 5.044%, 5/10/2063, 144A(b)(f)(i)		205,500
	440,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.325%, 11/15/2059(a)(b)		372,757
	2,989,293	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(b)		3,001,227
	545,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a)(b)		540,366
	4,885,000	Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.139%, 9/15/2031, 144A(a)(b)		4,929,333
	3,504,376	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.520%, 3/15/2044, 144A(b)		1,707,332
	1,699,593	WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 5.266%, 6/15/2044, 144A(b)		1,038,789
	2,245,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.508%, 12/15/2045(b)		1,926,919
	725,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.957%, 6/15/2045(b)		558,893
	1,875,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class D, 4.957%, 6/15/2045, 144A(b)		1,220,107
	975,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.957%, 6/15/2045, 144A(b)(f)(i)		397,734
	1,105,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047(a)		1,159,739
				46,711,680
		Paper — 0.2%
	2,235,000	Suzano Austria GmbH, 3.750%, 1/15/2031		2,343,956
		Pharmaceuticals — 1.4%
	555,000	Jazz Securities DAC, 4.375%, 1/15/2029, 144A		575,424
	1,665,000	Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR)		2,125,385
	5,970,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023		5,945,284
	10,035,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		8,793,169
	1,015,000	Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025		1,119,037
	1,130,000	Viatris, Inc., 4.000%, 6/22/2050, 144A(a)		1,195,008
				19,753,307
		Property & Casualty Insurance — 0.4%
	5,240,000	American International Group, Inc., 4.375%, 6/30/2050(a)		6,369,802
		REITs – Health Care — 0.0%
	455,000	National Health Investors, Inc., 3.000%, 2/01/2031		440,086
		REITs – Mortgage — 0.1%
	1,630,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A		1,627,694
	390,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A		396,825
				2,024,519
		Restaurants — 0.9%
	435,000	1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A		440,438
	5,765,000	1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A		5,844,269
	2,100,000	Yum! Brands, Inc., 3.625%, 3/15/2031		2,089,500
	2,680,000	Yum! Brands, Inc., 4.625%, 1/31/2032		2,814,000
	920,000	Yum! Brands, Inc., 4.750%, 1/15/2030, 144A		995,909
				12,184,116
		Retailers — 0.3%
	1,325,000	Carvana Co., 5.625%, 10/01/2025, 144A		1,377,549
	1,325,000	Carvana Co., 5.875%, 10/01/2028, 144A		1,393,794
	1,070,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		1,108,253
	420,000	Lithia Motors, Inc., 4.375%, 1/15/2031, 144A		449,866
	570,000	Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A		563,422
				4,892,884
		Sovereigns — 0.8%
	6,270,000	Mexico Government International Bond, 3.771%, 5/24/2061(a)		5,842,449
	5,430,000	Mexico Government International Bond, 4.280%, 8/14/2041(a)		5,699,545
				11,541,994
		Supermarkets — 0.0%
	402,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 5.750%, 3/15/2025		411,045
		Supranational — 0.1%
	119,540,000	International Finance Corp., 5.850%, 11/25/2022, (INR)(a)		1,629,141
		Technology — 3.7%
	6,185,000	Broadcom, Inc., 4.300%, 11/15/2032(a)		7,043,017
	370,000	Broadcom, Inc., 5.000%, 4/15/2030		436,516
	1,615,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,653,356
	3,815,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		4,134,506
	7,180,000	Equinix, Inc., 1.450%, 5/15/2026		7,214,396
	330,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		330,000
	1,365,000	Gartner, Inc., 3.750%, 10/01/2030, 144A		1,396,545
	1,375,000	Iron Mountain, Inc., 5.000%, 7/15/2028, 144A		1,427,181
	1,375,000	Iron Mountain, Inc., 5.250%, 7/15/2030, 144A		1,455,548
	1,450,000	Marvell Technology, Inc., 2.950%, 4/15/2031, 144A		1,502,738
	1,315,000	Microchip Technology, Inc., 0.983%, 9/01/2024, 144A		1,308,624
	1,585,000	Micron Technology, Inc., 4.663%, 2/15/2030		1,842,325
	5,645,000	Micron Technology, Inc., 5.327%, 2/06/2029(a)		6,818,417
	2,305,000	MSCI, Inc., 3.625%, 9/01/2030, 144A		2,357,231
	1,660,000	Nokia OYJ, EMTN, 2.000%, 3/11/2026, (EUR)		2,076,026
	330,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A(a)		360,330
	570,000	Open Text Corp., 3.875%, 2/15/2028, 144A		579,194
	530,000	Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A		540,494
	1,550,000	Qorvo, Inc., 3.375%, 4/01/2031, 144A		1,615,441

See accompanying notes to financial statements.

|  46

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	240,000	Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A	$	285,319
	4,875,000	salesforce.com, Inc., 0.625%, 7/15/2024		4,876,996
	1,325,000	Sensata Technologies BV, 4.000%, 4/15/2029, 144A		1,344,985
	405,000	Skyworks Solutions, Inc., 1.800%, 6/01/2026		410,102
	1,545,000	Square, Inc., 3.500%, 6/01/2031, 144A		1,558,519
	535,000	SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A		566,940
				53,134,746
		Transportation Services — 0.5%
	1,855,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		1,932,501
	425,000	GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A		412,982
	2,650,000	GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A		2,691,737
	1,645,000	GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024		1,702,707
				6,739,927
		Treasuries — 2.4%
	35,003(†††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)		7,423,541
	1,346,875(††††)	Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(a)		6,877,481
	338,660,000	Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR)		20,387,650
				34,688,672
		Wireless — 2.3%
	1,480,000	Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A		1,468,197
	4,365,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		4,643,400
	3,769,000	Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		4,005,354
	225,000	Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A		232,875
	657,000	Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A		683,280
	3,680,000	SBA Communications Corp., 3.125%, 2/01/2029, 144A		3,547,763
	330,000	Sprint Capital Corp., 6.875%, 11/15/2028		423,225
	6,780,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		6,996,917
	3,350,000	T-Mobile USA, Inc., 3.500%, 4/15/2031		3,465,742
	6,700,000	T-Mobile USA, Inc., 3.875%, 4/15/2030		7,489,394
	550,000	T-Mobile USA, Inc., 4.500%, 2/01/2026		560,516
				33,516,663
		Wirelines — 0.0%
	470,000	Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A		487,822
		Total Non-Convertible Bonds (Identified Cost $1,086,921,029)		1,100,171,772
	Convertible Bonds — 3.5%
		Airlines — 0.3%
	915,000	JetBlue Airways Corp., 0.500%, 4/01/2026, 144A		911,797
	2,170,000	Southwest Airlines Co., 1.250%, 5/01/2025(a)		3,286,194
				4,197,991
		Cable Satellite — 1.0%
	1,635,000	DISH Network Corp., Zero Coupon, 0.000%, 12/15/2025, 144A(k)		1,903,957
	4,280,000	DISH Network Corp., 2.375%, 3/15/2024		4,148,925
		Cable Satellite — continued
	7,230,000	DISH Network Corp., 3.375%, 8/15/2026		7,378,215
	1,195,000	Liberty Media Corp., 0.500%, 12/01/2050, 144A		1,374,848
				14,805,945
		Consumer Cyclical Services — 0.3%
	1,250,000	Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(k)		1,350,000
	1,385,000	Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(l)		1,339,122
	1,670,000	Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(k)		1,693,380
				4,382,502
		Healthcare — 0.3%
	4,145,000	Teladoc Health, Inc., 1.250%, 6/01/2027		4,639,913
		Media Entertainment — 0.1%
	1,960,000	Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(k)		1,869,350
		Pharmaceuticals — 0.9%
	1,270,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		1,316,101
	7,130,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		7,143,741
	855,000	Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027, 144A(k)		973,097
	1,285,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(k)		1,258,914
	620,000	Livongo Health, Inc., 0.875%, 6/01/2025		984,913
	715,000	Neurocrine Biosciences, Inc., 2.250%, 5/15/2024		955,884
				12,632,650
		Technology — 0.6%
	6,045,000	Palo Alto Networks, Inc., 0.375%, 6/01/2025		8,221,200
	515,000	Splunk, Inc., 1.125%, 6/15/2027		501,803
				8,723,003
		Total Convertible Bonds (Identified Cost $49,928,950)		51,251,354
		Total Bonds and Notes (Identified Cost $1,136,849,979)		1,151,423,126
	Senior Loans — 1.0%
		Airlines — 0.1%
	1,531,163	United Airlines, Inc., 2021 Term Loan B, 1-month LIBOR + 3.750%, 4.500%, 4/21/2028(c)		1,549,873
		Cable Satellite — 0.2%
	1,930,000	Ziggo BV, 2019 EUR Term Loan H, EURIBOR + 3.000%, 3.000%, 1/31/2029, (EUR)(c)		2,268,679
		Consumer Products — 0.1%
	1,189,025	Weber-Stephen Products LLC, Term Loan B, 1-month LIBOR + 3.250%, 4.000%, 10/30/2027(c)		1,190,511
		Gaming — 0.2%
	3,216,938	Playtika Holding Corp., 2021 Term Loan, 1-month LIBOR + 2.750%, 2.854%, 3/13/2028(c)		3,200,499
		Lodging — 0.1%
	1,620,000	Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 5/19/2028(m)		1,620,502

See accompanying notes to financial statements.

47  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — 0.1%
$	1,345,000	Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(c)	$	1,348,780
		Property & Casualty Insurance — 0.0%
	621,706	AmWINS Group, Inc., 2021 Term Loan B, 1-month LIBOR + 2.250%, 3.000%, 2/19/2028(c)		617,559
		Technology — 0.2%
	2,635,000	CoreLogic, Inc., Term Loan, 1-month LIBOR + 3.500%, 4.000%, 6/02/2028(c)		2,625,778
		Total Senior Loans (Identified Cost $14,243,947)		14,422,181
	Collateralized Loan Obligations — 5.0%
	1,350,000	AGL CLO 3 Ltd., Series 2020-3A, Class C, 3-month LIBOR + 2.150%, 2.334%, 1/15/2033, 144A(a)(c)		1,351,202
	1,740,000	AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 3.484%, 1/15/2033, 144A(c)		1,740,471
	1,155,000	AIG CLO Ltd., Series 2019-1A, Class E, 3-month LIBOR + 6.620%, 6.804%, 4/15/2032, 144A(c)		1,147,127
	865,000	Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class DR, 3-month LIBOR + 4.000%, 4.184%, 7/15/2032, 144A(c)		865,500
	480,000	Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 2.134%, 7/16/2031, 144A(a)(c)		480,018
	3,175,000	Apidos CLO XXIII, Series 2015-23A, Class CR, 3-month LIBOR + 2.000%, 2.184%, 4/15/2033, 144A(a)(c)		3,177,609
	500,000	Ares LIX CLO Ltd., Series 2021-59A, Class E, 3-month LIBOR + 6.250%, 6.435%, 4/25/2034, 144A(c)		499,112
	1,105,000	Atlas Senior Loan Fund Ltd., Series 2021-16A, Class D, 3-month LIBOR + 3.700%, 3.843%, 1/20/2034, 144A(c)		1,108,405
	400,000	Ballyrock CLO Ltd., Series 2018-1A, Class C, 3-month LIBOR + 3.150%, 3.338%, 4/20/2031, 144A(c)		397,120
	850,000	Barings CLO Ltd., Series 2019-4A, Class C, 3-month LIBOR + 2.800%, 2.984%, 1/15/2033, 144A(a)(c)		854,206
	1,830,000	Basswood Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.650%, 2.861%, 4/20/2034, 144A(c)		1,829,921
	2,145,000	Battalion CLO XIV Ltd., Series 2019-14A, Class E, 3-month LIBOR + 6.680%, 6.868%, 4/20/2032, 144A(c)		2,145,018
	500,000	Battalion CLO XVI Ltd., Series 2019-16A, Class D, 3-month LIBOR + 4.360%, 4.548%, 12/19/2032, 144A(c)		502,533
	915,000	Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.134%, 4/15/2029, 144A(a)(c)		916,587
	455,000	Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 2.150%, 2.338%, 10/20/2029, 144A(a)(c)		455,147
	400,000	Carbone CLO Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 1.988%, 1/20/2031, 144A(a)(c)		399,236
	970,000	CarVal CLO IV Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.250%, 7/20/2034, 144A(c)(d)(n)		970,000
	Collateralized Loan Obligations — continued
	500,000	Catamaran CLO Ltd., Series 2013-1A, Class CR, 3-month LIBOR + 1.800%, 1.981%, 1/27/2028, 144A(a)(c)		500,239
	730,000	CIFC Funding II Ltd., Series 2013-2A, Class A3LR, 3-month LIBOR + 1.950%, 2.140%, 10/18/2030, 144A(a)(c)		728,165
	265,000	CIFC Funding II Ltd., Series 2014-2RA, Class A3, 3-month LIBOR + 1.900%, 2.076%, 4/24/2030, 144A(a)(c)		263,746
	875,000	Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 6.034%, 10/15/2030, 144A(c)		857,563
	250,000	Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3-month LIBOR + 1.750%, 1.940%, 4/18/2031, 144A(a)(c)		247,888
	615,000	Dryden 80 CLO Ltd., Series 2019-80A, Class D1, 3-month LIBOR + 4.100%, 4.290%, 1/17/2033, 144A(c)		619,233
	300,000	Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3-month LIBOR + 1.850%, 2.034%, 4/15/2029, 144A(a)(c)		299,645
	330,000	Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, 3-month LIBOR + 2.400%, 2.556%, 11/15/2026, 144A(a)(c)		329,708
	1,405,000	Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 6.000%, 11/22/2031, 144A(c)		1,394,035
	650,000	Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 3.134%, 10/15/2030, 144A(c)		649,994
	320,000	Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3-month LIBOR + 1.900%, 2.088%, 4/20/2030, 144A(a)(c)		320,635
	990,000	Hayfin Kingsland XI Ltd., Series 2019-2A, Class E, 3-month LIBOR + 6.900%, 7.088%, 7/20/2032, 144A(c)		993,372
	310,000	LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 3.000%, 3.160%, 4/20/2031, 144A(c)		309,999
	475,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 2.323%, 1/23/2031, 144A(a)(c)		475,038
	300,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.173%, 1/23/2031, 144A(c)		300,015
	3,300,000	Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2, 3-month LIBOR + 1.900%, 2.084%, 1/28/2030, 144A(a)(c)		3,292,150
	2,100,000	Oaktree CLO Ltd., Series 2019-4A, Class E, 3-month LIBOR + 7.230%, 7.418%, 10/20/2032, 144A(c)		2,096,532
	495,000	Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 5.938%, 10/20/2030, 144A(c)		489,943
	1,420,000	Octagon Investment Partners 40 Ltd., Series 2019-1A, Class D, 3-month LIBOR + 3.800%, 3.988%, 4/20/2031, 144A(c)		1,421,914
	920,000	Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3-month LIBOR + 1.900%, 2.084%, 1/22/2030, 144A(a)(c)		918,569
	445,000	OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 6.546%, 4/21/2034, 144A(c)		445,012

See accompanying notes to financial statements.

|  48

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Collateralized Loan Obligations — continued
$	1,980,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class E1, 3-month LIBOR + 5.000%, 5.188%, 7/20/2032, 144A(c)	$	1,969,422
	1,900,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 7/02/2035, 144A(c)(d)(n)		1,900,000
	1,585,000	OHA Credit Funding 4 Ltd., Series 2019-4A, Class E, 3-month LIBOR + 6.100%, 6.322%, 10/22/2032, 144A(c)		1,585,032
	1,745,000	OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3-month LIBOR + 2.000%, 2.190%, 4/18/2033, 144A(a)(c)		1,744,994
	2,245,000	OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3-month LIBOR + 3.050%, 3.223%, 7/23/2031, 144A(c)		2,245,246
	1,570,000	OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.138%, 1/20/2033, 144A(a)(c)		1,565,650
	2,050,000	OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 3.934%, 4/15/2034, 144A(c)		2,059,178
	300,000	Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3-month LIBOR + 1.950%, 2.138%, 7/20/2030, 144A(a)(c)		300,034
	1,870,000	Palmer Square CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 4.400%, 4.556%, 8/15/2026, 144A(c)		1,870,005
	1,620,000	Palmer Square Loan Funding Ltd., Series 2020-3A, Class D, 3-month LIBOR + 4.230%, 4.418%, 7/20/2028, 144A(a)(c)		1,625,478
	2,610,000	Parallel Ltd., Series 2017-1A, Class CR, 3-month LIBOR + 2.000%, 2.188%, 7/20/2029, 144A(a)(c)		2,598,798
	1,645,000	Parallel Ltd., Series 2018-2A, Class B, 3-month LIBOR + 2.150%, 2.338%, 10/20/2031, 144A(a)(c)		1,635,133
	1,045,000	Pikes Peak CLO 1, Series 2018-1A, Class D, 3-month LIBOR + 3.150%, 3.326%, 7/24/2031, 144A(c)		1,042,419
	3,885,000	Pikes Peak CLO 3, Series 2019-3A, Class E, 3-month LIBOR + 6.860%, 7.036%, 4/25/2030, 144A(c)		3,887,117
	340,000	Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 3.438%, 4/20/2034, 144A(c)		342,148
	920,000	Regatta XIII Funding Ltd., Series 2018-2A, Class C, 3-month LIBOR + 3.100%, 3.284%, 7/15/2031, 144A(c)		920,099
	2,565,000	Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3-month LIBOR + 1.900%, 2.084%, 10/15/2029, 144A(a)(c)		2,555,550
	920,000	TCW CLO Ltd., Series 2018-1, Class D, 3-month LIBOR + 2.910%, 3.086%, 4/25/2031, 144A(c)		911,646
	1,030,000	TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 2.334%, 4/15/2033, 144A(a)(c)		1,030,470
	610,000	TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 2.338%, 4/20/2033, 144A(a)(c)		610,281
	895,000	TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 5.926%, 7/25/2031, 144A(c)		869,454
	695,000	Voya CLO Ltd, Series 2019-3A, Class D, 3-month LIBOR + 3.850%, 4.040%, 10/17/2032, 144A(c)		698,443
	Collateralized Loan Obligations — continued
	2,435,000	York CLO-7 Ltd., Series 2019-2A, Class D, 3-month LIBOR + 3.800%, 3.984%, 1/22/2033, 144A(c)		2,442,997
		Total Collateralized Loan Obligations (Identified Cost $68,729,512)		72,202,201
Shares
	Common Stocks — 4.0%
		Air Freight & Logistics — 0.1%
	6,552	Expeditors International of Washington, Inc.		829,483
	2,680	United Parcel Service, Inc., Class B		557,360
				1,386,843
		Banks — 0.2%
	7,859	Citigroup, Inc.		556,024
	3,038	Citizens Financial Group, Inc.		139,353
	3,531	JPMorgan Chase & Co.		549,212
	9,474	Truist Financial Corp.		525,807
	15,626	Umpqua Holdings Corp.		288,300
				2,058,696
		Beverages — 0.0%
	9,567	Coca-Cola Co. (The)		517,670
		Capital Markets — 0.1%
	1,489	Artisan Partners Asset Management, Inc., Class A		75,671
	5,371	Blackstone Group, Inc. (The), Class A		521,739
	6,103	Morgan Stanley		559,584
				1,156,994
		Chemicals — 0.2%
	138,555	Hexion Holdings Corp., Class B(h)		2,563,268
	5,144	LyondellBasell Industries NV, Class A		529,163
				3,092,431
		Communications Equipment — 0.0%
	10,937	Cisco Systems, Inc.		579,661
		Construction Materials — 0.2%
	362,679	Cemex SAB de CV, Sponsored ADR(h)		3,046,504
		Consumer Finance — 0.0%
	9,001	OneMain Holdings, Inc.		539,250
		Diversified Telecommunication Services — 0.0%
	9,261	Verizon Communications, Inc.		518,894
		Entertainment — 0.0%
	5,504	Activision Blizzard, Inc.		525,302
		Food & Staples Retailing — 0.1%
	1,289	Costco Wholesale Corp.		510,019
	3,822	Walmart, Inc.		538,978
				1,048,997
		Food Products — 0.0%
	6,817	Tyson Foods, Inc., Class A		502,822
		Health Care Equipment & Supplies — 0.0%
	3,051	Abbott Laboratories		353,702
		Health Care Providers & Services — 0.1%
	1,440	Anthem, Inc.		549,792
	1,404	UnitedHealth Group, Inc.		562,218
				1,112,010
		Hotels, Restaurants & Leisure — 0.1%
	305	Booking Holdings, Inc.(h)		667,367
	11,312	Starbucks Corp.		1,264,795
				1,932,162

See accompanying notes to financial statements.

49  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Shares		Description	Value (†)
		Household Products — 0.1%
	7,993	Procter & Gamble Co. (The)	$	1,078,495
		Independent Power & Renewable Electricity Producers — 0.0%
	20,255	AES Corp. (The)		528,048
		Insurance — 0.1%
	4,140	Allstate Corp. (The)		540,022
	11,600	Fidelity National Financial, Inc.		504,136
				1,044,158
		IT Services — 0.2%
	1,809	Accenture PLC, Class A		533,275
	3,275	MasterCard, Inc., Class A		1,195,670
	2,990	Visa, Inc., Class A		699,122
				2,428,067
		Life Sciences Tools & Services — 0.0%
	1,078	Thermo Fisher Scientific, Inc.		543,819
		Machinery — 0.2%
	2,508	Caterpillar, Inc.		545,816
	2,219	Cummins, Inc.		541,014
	1,623	Deere & Co.		572,448
	1,687	Parker-Hannifin Corp.		518,095
				2,177,373
		Media — 0.1%
	9,847	Comcast Corp., Class A		561,476
	14,108	Fox Corp., Class A		523,830
	16,177	Interpublic Group of Cos., Inc. (The)		525,591
	1,561	Nexstar Media Group, Inc., Class A		230,840
				1,841,737
		Metals & Mining — 0.1%
	8,101	Newmont Corp.		513,441
	1,353	Reliance Steel & Aluminum Co.		204,168
				717,609
		Multiline Retail — 0.0%
	2,268	Target Corp.		548,266
		Oil, Gas & Consumable Fuels — 0.3%
	14,685	California Resources Corp.(h)		442,606
	5,290	Chevron Corp.		554,074
	8,334	ConocoPhillips		507,541
	47,898	Energy Transfer LP		509,156
	9,324	Exxon Mobil Corp.		588,158
	32,298	Whiting Petroleum Corp.(h)		1,761,856
				4,363,391
		Personal Products — 0.1%
	2,679	Estee Lauder Cos., Inc. (The), Class A		852,136
		Pharmaceuticals — 0.2%
	7,618	Bristol-Myers Squibb Co.		509,035
	11,713	Johnson & Johnson		1,929,599
	13,331	Pfizer, Inc.		522,042
				2,960,676
		REITs – Diversified — 0.0%
	2,069	American Tower Corp.		558,920
		REITs – Health Care — 0.0%
	14,484	Omega Healthcare Investors, Inc.		525,624
		REITs – Storage — 0.0%
	11,610	Iron Mountain, Inc.		491,335
		Road & Rail — 0.1%
	1,974	Norfolk Southern Corp.		523,919
	7,082	Ryder System, Inc.		526,405
				1,050,324
		Semiconductors & Semiconductor Equipment — 0.3%
	4,049	Applied Materials, Inc.		576,577
	1,647	KLA Corp.		533,974
	806	Lam Research Corp.		524,464
	701	NVIDIA Corp.		560,870
	2,657	NXP Semiconductors NV		546,598
	3,904	QUALCOMM, Inc.		557,999
	2,632	Texas Instruments, Inc.		506,134
				3,806,616
		Software — 0.1%
	920	Intuit, Inc.		450,956
	1,994	Microsoft Corp.		540,175
	6,857	Oracle Corp.		533,749
				1,524,880
		Specialty Retail — 0.2%
	1,613	Home Depot, Inc. (The)		514,369
	2,669	Lowe’s Cos., Inc.		517,706
	4,492	Ross Stores, Inc.		557,008
	8,197	TJX Cos., Inc. (The)		552,642
				2,141,725
		Technology Hardware, Storage & Peripherals — 0.2%
	13,532	Apple, Inc.		1,853,343
	18,395	HP, Inc.		555,345
				2,408,688
		Textiles, Apparel & Luxury Goods — 0.1%
	1,234	LVMH Moet Hennessy Louis Vuitton SE		970,734
	4,001	NIKE, Inc., Class B		618,115
				1,588,849
		Tobacco — 0.0%
	5,161	Philip Morris International, Inc.		511,507
		Wireless Telecommunication Services — 0.5%
	47,102	T-Mobile US, Inc.(h)		6,821,783
		Total Common Stocks (Identified Cost $51,441,210)		58,885,964
	Preferred Stocks — 1.6%
	Convertible Preferred Stocks — 1.6%
		Banking — 0.7%
	2,914	Bank of America Corp., Series L, 7.250%(a)		4,126,224
	3,705	Wells Fargo & Co., Class A, Series L, 7.500%(a)		5,654,608
				9,780,832
		Food & Beverage — 0.2%
	31,289	Bunge Ltd., 4.875%		3,631,402
		Healthcare — 0.2%
	18,872	Boston Scientific Corp., Series A, 5.500%		2,190,284
		Midstream — 0.0%
	2,329	El Paso Energy Capital Trust I, 4.750%		117,032
		Technology — 0.2%
	30,745	Clarivate PLC, Series A, 5.250%		3,219,001
		Wireless — 0.3%
	3,246	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(f)(i)		4,090,220
		Total Convertible Preferred Stocks (Identified Cost $21,307,661)		23,028,771
		Total Preferred Stocks (Identified Cost $21,307,661)		23,028,771

See accompanying notes to financial statements.

|  50

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

Shares		Description	Value (†)
	Other Investments — 0.1%
		Aircraft ABS — 0.1%
	900	ECAF I Blocker Ltd.(d)(e)(f)(g) (Identified Cost $9,000,000)	$	1,034,460
Principal Amount (‡)
	Short-Term Investments — 7.8%
$	72,488,211	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $72,488,211 on 7/01/2021 collateralized by $53,883,300 U.S. Treasury Bond 4.375% due 2/15/2038 valued at $73,938,017 including accrued interest (Note 2 of Notes to Financial Statements)		72,488,211
	17,410,000	U.S. Treasury Bills, 0.056%, 3/24/2022(a)(o)(p)		17,403,825
	17,950,000	U.S. Treasury Bills, 0.071%, 6/16/2022(o)		17,936,911
	4,670,000	U.S. Treasury Bills, 0.105%, 11/04/2021(a)(o)		4,669,128
		Total Short-Term Investments (Identified Cost $112,496,900)		112,498,075
		Total Investments — 99.1% (Identified Cost $1,414,069,209)		1,433,494,778
		Other assets less liabilities — 0.9%		13,255,744
		Net Assets — 100.0%	$	1,446,750,522

Written Options — (0.0%)
Description	Expiration Date		Exercise Price		Shares(††)			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – (0.0%)
Accenture PLC, Call		8/20/2021		300.00		(1,200	)	$	(353,748	)	$	(4,281	)	$	(5,400	)
Activision Blizzard, Inc., Call		8/20/2021		105.00		(4,400	)		(419,936	)		(4,079	)		(5,566	)
AES Corp. (The), Call		8/20/2021		27.00		(8,100	)		(211,167	)		(5,161	)		(4,860	)
American Tower Corp., Call		8/20/2021		280.00		(1,600	)		(432,224	)		(6,027	)		(6,720	)
Anthem, Inc., Call		8/20/2021		400.00		(700	)		(267,260	)		(3,617	)		(4,165	)
Apple, Inc., Call		8/20/2021		145.00		(3,100	)		(424,576	)		(3,317	)		(5,751	)
Applied Materials, Inc., Call		8/20/2021		150.00		(3,200	)		(455,680	)		(6,809	)		(14,800	)
Bristol-Myers Squibb Co., Call		8/20/2021		70.00		(5,300	)		(354,146	)		(4,172	)		(3,392	)
Chevron Corp., Call		8/20/2021		115.00		(4,200	)		(439,908	)		(5,533	)		(3,906	)
Cisco Systems, Inc., Call		8/20/2021		55.00		(7,600	)		(402,800	)		(8,262	)		(6,536	)
Citizens Financial Group, Inc., Call		8/20/2021		50.00		(1,500	)		(68,805	)		(956	)		(937	)
Coca-Cola Co. (The), Call		8/20/2021		57.50		(7,600	)		(411,236	)		(3,018	)		(2,052	)
Comcast Corp., Call		8/20/2021		60.00		(7,800	)		(444,756	)		(6,920	)		(5,889	)
ConocoPhillips, Call		8/20/2021		65.00		(6,600	)		(401,940	)		(7,904	)		(9,702	)
Energy Transfer LP, Call		8/20/2021		12.00		(23,900	)		(254,057	)		(6,987	)		(5,258	)
Exxon Mobil Corp., Call		8/20/2021		70.00		(6,500	)		(410,020	)		(3,509	)		(3,900	)
Iron Mountain, Inc., Call		8/20/2021		47.50		(5,800	)		(601,982	)		(5,436	)		(1,305	)
Lam Research Corp., Call		8/20/2021		710.00		(400	)		(260,280	)		(3,738	)		(5,650	)
LyondellBasell Industries NV, Call		8/20/2021		110.00		(2,000	)		(205,740	)		(4,134	)		(4,150	)
MasterCard, Inc., Call		8/20/2021		395.00		(1,100	)		(401,599	)		(7,774	)		(3,437	)
Microsoft Corp., Call		8/20/2021		275.00		(900	)		(243,810	)		(3,615	)		(5,895	)
Morgan Stanley, Call		8/20/2021		97.50		(4,200	)		(385,098	)		(2,803	)		(6,195	)
Newmont Corp., Call		8/20/2021		72.50		(4,000	)		(253,520	)		(2,198	)		(1,900	)
NVIDIA Corp., Call		8/20/2021		830.00		(300	)		(240,030	)		(4,460	)		(11,243	)
Pfizer, Inc., Call		8/20/2021		41.00		(7,900	)		(309,364	)		(3,865	)		(3,239	)
QUALCOMM, Inc., Call		8/20/2021		155.00		(1,900	)		(271,567	)		(1,667	)		(4,237	)
Starbucks Corp., Call		8/20/2021		120.00		(2,800	)		(313,068	)		(2,883	)		(2,828	)
Target Corp., Call		8/20/2021		250.00		(1,300	)		(314,262	)		(4,565	)		(7,345	)
Texas Instruments, Inc., Call		8/20/2021		200.00		(1,300	)		(249,990	)		(2,869	)		(4,518	)
Thermo Fisher Scientific, Inc., Call		8/20/2021		510.00		(500	)		(252,235	)		(4,337	)		(7,900	)
Total											$	(134,896	)	$	(158,676	)

See accompanying notes to financial statements.

51  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

(‡)	Principal Amount/Par Value stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	Options on securities are expressed as shares.
(†††)	Amount shown represents units. One unit represents a principal amount of 1,000.
(††††)	Amount shown represents units. One unit represents a principal amount of 100.
(a)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
(b)	Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2021 is disclosed.
(c)	Variable rate security. Rate as of June 30, 2021 is disclosed.
(d)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
(e)	Securities subject to restriction on resale. At June 30, 2021, the restricted securities held by the Fund are as follows:

	Acquisition Date		Acquisition Cost		Value		% of Net Assets
ECAF I Blocker Ltd.		6/18/2015	$	9,000,000	$	1,034,460		0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class C		12/18/2014		2,341,451		2,102,338		0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class D		12/18/2014		1,059,946		794,959		0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class E		12/18/2014		2,657,606		170,500		Less than 0.1	%

(f)	Illiquid security.
(g)	Fair valued by the Fund’s adviser. At June 30, 2021, the value of these securities amounted to $5,989,942 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.
(h)	Non-income producing security.
(i)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of these securities amounted to $7,163,951 or 0.5% of net assets. See Note 2 of Notes to Financial Statements.
(j)	Perpetual bond with no specified maturity date.
(k)	Interest rate represents annualized yield at time of purchase; not a coupon rate.
(l)	Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
(m)	Position is unsettled. Contract rate was not determined at June 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
(n)	New issue unsettled as of June 30, 2021. Coupon rate does not take effect until settlement date.
(o)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(p)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
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 June 30, 2021, the value of Rule 144A holdings amounted to $683,894,746 or 47.3% of net assets.
ABS	Asset-Backed Securities
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ARS	Auction Rate Security
EMTN	Euro Medium Term Note
EURIBOR	Euro Interbank Offered Rate
JIBAR	Johannesburg Interbank Agreed Rate
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
SAFEX	South African Futures Exchange
SLM	Sallie Mae
ARS	Argentine Peso
BRL	Brazilian Real
COP	Colombian Peso
EUR	Euro
GBP	British Pound
INR	Indian Rupee
MXN	Mexican Peso
ZAR	South African Rand

At June 30, 2021, the Fund had the following open bilateral credit default swap agreements:

Buy Protection

Counterparty	Reference Obligation	(Pay)/ Receive Fixed  Rate1			Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)		Market Value			Unrealized Appreciation (Depreciation)
Barclays Bank PLC	United Mexican States		(1.00	%)		6/20/2026		21,525,000	$	82,426	$	(70,624	)	$	(153,050	)

At June 30, 2021, the Fund had the following open centrally cleared interest rate swap agreements:

Notional Value	Currency		Expiration Date		Fund Pays1			Fund Receives1		Market Value			Unrealized Appreciation (Depreciation)2
330,000,000		ZAR		5/07/2030		7.580	%		3-month SAFEX-JIBAR	$	(847,667	)	$	(849,143	)

(‡) Notional value stated in U.S. dollars unless otherwise noted.

¹  Payments are made quarterly.

² Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

See accompanying notes to financial statements.

|  52

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2021, the Fund had the following open forward foreign currency contracts:

Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America, N.A.		9/02/2021	BRL		S	17,876,000	$	3,334,639	$	3,567,352	$	(232,713	)
Bank of America, N.A.		7/26/2021	EUR		S	1,665,000		2,006,752		1,975,258		31,494
Barclays Bank PLC		7/26/2021	EUR		S	1,955,000		2,355,724		2,319,296		36,428
Deutsche Bank AG		7/30/2021	GBP		S	1,400,000		1,944,123		1,936,785		7,338
HSBC Bank USA		8/17/2021	EUR		S	590,000		714,496		700,247		14,249
Morgan Stanley Capital Services, Inc.		7/08/2021	COP		S	5,186,874,000		1,421,373		1,381,670		39,703
Morgan Stanley Capital Services, Inc.		7/30/2021	EUR		S	1,480,000		1,789,479		1,755,927		33,552
Morgan Stanley Capital Services, Inc.		7/30/2021	ZAR		S	315,790,000		21,797,411		22,037,725		(240,314	)
Total											$	(310,263	)

At June 30, 2021, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		9/21/2021		556	$	87,234,257	$	89,377,000	$	(2,142,743	)
Ultra 10 Year U.S. Treasury Note		9/21/2021		517		75,894,233		76,104,015		(209,782	)
Ultra Long U.S. Treasury Bond		9/21/2021		353		67,025,697		68,018,688		(992,991	)
Total									$	(3,345,516	)

Industry Summary at June 30, 2021 (Unaudited)

ABS Home Equity	7.1	%
Banking	5.7
ABS Car Loan	5.1
ABS Other	4.9
Finance Companies	4.7
Technology	4.7
Cable Satellite	3.9
Non-Agency Commercial Mortgage-Backed Securities	3.2
Aerospace & Defense	2.9
Wireless	2.6
Pharmaceuticals	2.6
Treasuries	2.4
Consumer Cyclical Services	2.3
ABS Whole Business	2.1
Government Owned – No Guarantee	2.0
Metals & Mining	2.0
Other Investments, less than 2% each	28.1
Short-Term Investments	7.8
Collateralized Loan Obligations	5.0
Total Investments	99.1
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)	0.9
Net Assets	100.0	%

See accompanying notes to financial statements.

53  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 82.0% of Net Assets
	Non-Convertible Bonds — 74.4%
		ABS Car Loan — 0.2%
$	7,500,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A	$	7,542,150
	5,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A		5,075,250
				12,617,400
		ABS Credit Card — 0.0%
	975,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A		981,215
		ABS Home Equity — 1.6%
	11,250,000	510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a)(b)		11,249,998
	5,350,000	CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A		5,408,058
	13,573,904	Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)		13,642,954
	1,965,000	FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2028, 144A		1,964,984
	1,975,000	Invitation Homes Trust, Series 2018-SFR2, Class B, 1-month LIBOR + 1.080%, 1.153%, 6/17/2037, 144A(c)(d)		1,979,372
	960,000	Invitation Homes Trust, Series 2018-SFR3, Class B, 1-month LIBOR + 1.150%, 1.232%, 7/17/2037, 144A(c)		962,836
	550,340	Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(a)		554,918
	4,025,000	Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(a)		4,069,484
	9,252,000	Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A		9,234,877
	2,320,000	Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A		2,302,408
	5,465,000	Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A		5,464,016
	2,513,000	PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(a)		2,536,803
	8,085,432	PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)		8,172,164
	8,510,000	PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a)		8,499,048
	8,130,000	Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a)		8,134,272
	369,016	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(a)		369,984
				84,546,176
		ABS Other — 1.4%
	24,147,935	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(e)(f)(g)		21,733,141
	10,967,324	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(e)(f)(g)		8,225,493
	42,000,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, 1/05/2030, 144A(b)(e)(f)(g)(h)		2,100,000
	4,758,426	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(e)(i)		4,771,849
	15,330,000	MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A		15,364,079
		ABS Other — continued
	11,100,000	SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A		11,115,018
	9,318,729	Willis Engine Structured Trust, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A(d)		9,389,225
				72,698,805
		ABS Whole Business — 0.1%
	5,490,000	Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A		5,537,708
		Aerospace & Defense — 2.4%
	14,845,000	Boeing Co. (The), 3.625%, 2/01/2031		15,966,215
	1,995,000	Boeing Co. (The), 3.625%, 3/01/2048		1,993,331
	2,660,000	Boeing Co. (The), 3.750%, 2/01/2050		2,743,923
	4,190,000	Boeing Co. (The), 3.825%, 3/01/2059		4,275,432
	415,000	Boeing Co. (The), 3.850%, 11/01/2048		425,869
	6,000,000	Boeing Co. (The), 3.900%, 5/01/2049		6,318,281
	6,209,000	Boeing Co. (The), 3.950%, 8/01/2059		6,496,069
	2,795,000	Boeing Co. (The), 5.150%, 5/01/2030		3,309,713
	39,862,000	Boeing Co. (The), 5.805%, 5/01/2050(d)		53,679,406
	3,145,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		3,351,438
	9,576,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		11,387,109
	8,815,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A		11,384,396
	6,485,000	TransDigm, Inc., 5.500%, 11/15/2027		6,760,613
	370,000	TransDigm, Inc., 7.500%, 3/15/2027		393,588
				128,485,383
		Airlines — 2.1%
	16,395,411	Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A(d)		17,754,755
	240,000	American Airlines Group, Inc., 3.750%, 3/01/2025, 144A		221,100
	20,000,000	American Airlines Group, Inc., 5.000%, 6/01/2022, 144A		20,025,400
	1,415,848	American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027		1,360,007
	813,724	American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		789,072
	2,655,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A		2,810,981
	3,055,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		3,303,219
	26,975,000	Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A		29,699,475
	120,264	Northwest Airlines Pass Through Trust, Series 2002-1, Class G2, (MBIA Insured), 6.264%, 5/20/2023(d)		121,894
	23,872,140	United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(d)		26,554,175
	3,081,338	United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		3,267,851
	2,280,000	United Airlines, Inc., 4.375%, 4/15/2026, 144A		2,360,210
	3,415,000	United Airlines, Inc., 4.625%, 4/15/2029, 144A		3,534,525
				111,802,664
		Automotive — 2.3%
	1,210,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		1,256,912
	18,505,000	Ford Motor Co., 4.750%, 1/15/2043		19,661,562
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,417,823
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,583,953

See accompanying notes to financial statements.

|  54

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	1,500,000	Ford Motor Credit Co. LLC, 5.113%, 5/03/2029	$	1,679,220
	2,845,000	General Motors Co., 5.200%, 4/01/2045		3,516,332
	2,120,000	General Motors Co., 6.250%, 10/02/2043		2,926,645
	29,835,000	General Motors Financial Co., Inc., 3.600%, 6/21/2030(d)		32,303,886
	540,000	General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(j)		587,731
	865,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(j)		968,800
	3,870,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		4,438,387
	53,485,000	Toyota Motor Credit Corp., MTN, 0.500%, 6/18/2024		53,249,595
				123,590,846
		Banking — 6.4%
	6,000,000	Ally Financial, Inc., 8.000%, 11/01/2031		8,622,290
	13,515,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(j)		13,997,485
	10,840,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(j)		10,978,752
	13,200,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A(d)		14,977,248
	22,800,000	Banco Santander S.A., (fixed rate to 6/30/2023, variable rate thereafter), 0.701%, 6/30/2024		22,845,528
	9,275,000	Bank of America Corp., (fixed rate to 10/24/2030, variable rate thereafter), MTN, 1.922%, 10/24/2031(d)		9,039,001
	983,000	Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028(d)		1,070,595
	8,355,000	Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter), 2.592%, 4/29/2031(d)		8,613,480
	5,895,000	Bank of America Corp., (fixed rate to 7/23/2030, variable rate thereafter), MTN, 1.898%, 7/23/2031(d)		5,731,401
	31,380,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(d)		32,692,939
	19,940,000	BNP Paribas S.A., 2.824%, 1/26/2041, 144A(d)		18,833,529
	18,860,000	BNP Paribas S.A., (fixed rate to 6/30/2026, variable rate thereafter), 1.675%, 6/30/2027, 144A		18,842,531
	9,462,000	BNP Paribas S.A., (fixed rate to 8/12/2030, variable rate thereafter), 2.588%, 8/12/2035, 144A(d)		9,229,235
	26,680,000	Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031(d)		31,153,366
	5,670,000	Credit Agricole S.A., 2.811%, 1/11/2041, 144A(d)		5,379,723
	6,740,000	Credit Agricole S.A., 3.250%, 1/14/2030, 144A(d)		7,104,836
	5,325,000	Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), EMTN, 4.000%, 1/10/2033(d)		5,781,624
	1,709,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		1,843,020
	6,610,000	Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032		6,721,365
	19,245,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		20,941,694
		Banking — continued
	18,750,000	JPMorgan Chase & Co., (fixed rate to 11/19/2030, variable rate thereafter), 1.764%, 11/19/2031(d)		17,981,465
	26,645,000	JPMorgan Chase & Co., (fixed rate to 2/04/2031, variable rate thereafter), 1.953%, 2/04/2032(d)		25,877,589
	13,265,000	Natwest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027		13,263,340
	14,965,000	NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035(d)		14,971,734
	13,520,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		14,741,419
				341,235,189
		Brokerage — 0.5%
	14,755,000	Jefferies Group LLC, 6.250%, 1/15/2036		19,719,392
	7,155,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		7,866,282
				27,585,674
		Building Materials — 1.3%
	37,210,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		37,823,965
	2,395,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		2,633,542
	6,090,000	Cemex SAB de CV, (fixed rate to 6/8/2026, variable rate thereafter), 5.125%, 144A(j)		6,286,098
	3,255,000	JELD-WEN, Inc., 4.875%, 12/15/2027, 144A		3,382,661
	1,859,000	Masco Corp., 6.500%, 8/15/2032		2,472,853
	1,226,000	Masco Corp., 7.750%, 8/01/2029		1,681,591
	10,800,000	Owens Corning, 7.000%, 12/01/2036		15,673,632
				69,954,342
		Cable Satellite — 2.9%
	3,905,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 2.800%, 4/01/2031		3,992,126
	71,120,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051		70,342,415
	9,570,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061		9,392,923
	4,940,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.900%, 6/01/2052		5,029,940
	3,900,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.125%, 7/01/2049		4,644,512
	17,880,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		18,916,146
	6,470,000	DISH DBS Corp., 5.125%, 6/01/2029, 144A		6,388,672
	6,568,000	DISH DBS Corp., 5.875%, 11/15/2024		7,052,390
	15,865,000	DISH DBS Corp., 7.750%, 7/01/2026		17,967,113
	4,835,000	Time Warner Cable LLC, 4.500%, 9/15/2042		5,374,328
	135,000	Time Warner Cable LLC, 5.875%, 11/15/2040		174,629
	4,915,000	Ziggo BV, 5.500%, 1/15/2027, 144A		5,106,685
				154,381,879
		Chemicals — 0.6%
	4,205,000	Alpek SAB de CV, 3.250%, 2/25/2031, 144A		4,255,502
	1,320,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		1,375,334
	6,735,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A		7,374,892
	905,000	INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A		916,973

See accompanying notes to financial statements.

55  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Chemicals — continued
$	6,275,000	Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A	$	6,528,134
	10,239,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A		10,302,994
				30,753,829
		Construction Machinery — 0.0%
	1,310,000	United Rentals North America, Inc., 4.875%, 1/15/2028		1,389,255
		Consumer Cyclical Services — 2.3%
	3,430,000	Expedia Group, Inc., 2.950%, 3/15/2031		3,475,667
	28,355,000	Expedia Group, Inc., 3.250%, 2/15/2030		29,618,124
	6,720,000	Expedia Group, Inc., 3.800%, 2/15/2028		7,308,611
	10,550,000	Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A		10,481,425
	5,500,000	Terminix Co. LLC (The), 7.450%, 8/15/2027		6,435,000
	9,620,000	TriNet Group, Inc., 3.500%, 3/01/2029, 144A		9,485,320
	18,350,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		19,748,454
	34,335,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		37,733,478
				124,286,079
		Consumer Products — 0.4%
	11,880,000	Avon Products, Inc., 8.450%, 3/15/2043		15,406,578
	6,110,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		6,262,750
				21,669,328
		Electric — 1.0%
	21,956,057	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		24,886,354
	3,570,000	Enel Generacion Chile S.A., 7.875%, 2/01/2027(d)		4,447,466
	1,635,000	Pacific Gas & Electric Co., 3.250%, 6/01/2031		1,607,735
	4,365,000	Pacific Gas & Electric Co., 3.500%, 8/01/2050		3,890,353
	5,515,000	Pacific Gas & Electric Co., 4.250%, 3/15/2046		5,243,641
	7,435,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		7,134,654
	7,860,000	Pacific Gas & Electric Co., 4.750%, 2/15/2044		7,935,802
				55,146,005
		Finance Companies — 5.4%
	780,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027		833,260
	6,980,000	Air Lease Corp., 3.125%, 12/01/2030		7,091,020
	4,298,000	Air Lease Corp., 4.625%, 10/01/2028		4,842,159
	2,645,000	Air Lease Corp., MTN, 3.000%, 2/01/2030		2,682,890
	11,210,000	Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(j)		11,616,362
	3,585,000	Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(j)		3,620,850
	1,020,000	Antares Holdings LP, 6.000%, 8/15/2023, 144A		1,104,822
	20,000,000	Antares Holdings LP, 8.500%, 5/18/2025, 144A		23,882,207
	20,380,000	Ares Capital Corp., 2.875%, 6/15/2028		20,686,108
	5,315,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		5,316,436
	7,225,000	FS KKR Capital Corp., 3.400%, 1/15/2026		7,470,784
	40,505,000	GE Capital Funding LLC, 4.550%, 5/15/2032(d)		48,351,547
	11,150,000	GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035(d)		13,363,068
	135,000	Navient Corp., 5.000%, 3/15/2027		139,691
	3,030,000	Navient Corp., 5.875%, 10/25/2024		3,268,613
	950,000	Navient Corp., 6.750%, 6/15/2026		1,060,438
	32,700,000	Navient Corp., MTN, 5.625%, 8/01/2033		31,614,033
		Finance Companies — continued
	11,424,000	Navient Corp., MTN, 6.125%, 3/25/2024		12,329,466
	5,355,000	OneMain Finance Corp., 6.875%, 3/15/2025		6,043,653
	4,075,000	OneMain Finance Corp., 7.125%, 3/15/2026		4,746,193
	8,425,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		8,361,785
	14,750,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		15,935,121
	4,360,000	Quicken Loans LLC, 5.250%, 1/15/2028, 144A		4,578,000
	11,965,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		11,815,437
	36,940,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		37,216,681
				287,970,624
		Financial Other — 0.8%
	1,800,000	China Evergrande Group, 8.250%, 3/23/2022		1,539,900
	1,845,000	China Evergrande Group, 8.750%, 6/28/2025		1,230,384
	1,405,000	China Evergrande Group, 9.500%, 4/11/2022		1,201,977
	335,000	China Evergrande Group, 9.500%, 3/29/2024		234,670
	25,740,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A		25,611,300
	3,580,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		3,696,332
	11,820,000	Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A		11,916,097
				45,430,660
		Food & Beverage — 1.3%
	4,310,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A		4,410,208
	45,450,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		51,509,394
	14,805,000	MARB BondCo. PLC, 3.950%, 1/29/2031, 144A		14,274,981
				70,194,583
		Gaming — 0.7%
	12,960,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		12,901,161
	5,475,000	International Game Technology PLC, 6.250%, 1/15/2027, 144A		6,241,500
	3,265,000	Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A		3,260,919
	12,590,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		13,750,798
	740,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		834,720
				36,989,098
		Government Owned – No Guarantee — 1.1%
	455,800,000	Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(d)		6,232,708
	6,535,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		8,514,011
	6,586,000	Petroleos Mexicanos, 6.625%, 6/15/2035		6,360,430
	12,239,000	Petroleos Mexicanos, 6.950%, 1/28/2060		10,830,291
	30,245,000	Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(d)		29,337,650
				61,275,090
		Health Insurance — 0.5%
	21,450,000	Centene Corp., 2.500%, 3/01/2031		21,155,062
	4,510,000	Centene Corp., 3.000%, 10/15/2030		4,633,033
				25,788,095
		Healthcare — 1.1%
	3,285,000	Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A		3,181,128
	1,980,000	Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A		2,007,225

See accompanying notes to financial statements.

|  56

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Healthcare — continued
$	2,110,000	Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A	$	2,195,096
	16,025,000	HCA, Inc., 5.250%, 6/15/2049		20,426,938
	28,194,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		32,000,190
				59,810,577
		Home Construction — 1.5%
	47,260,000	PulteGroup, Inc., 6.000%, 2/15/2035(d)		62,025,442
	13,190,000	PulteGroup, Inc., 6.375%, 5/15/2033		17,420,824
				79,446,266
		Independent Energy — 3.2%
	9,350,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		10,089,446
	17,065,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		18,743,935
	6,638,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 9.000%, 11/01/2027, 144A		9,169,335
	9,380,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		11,232,550
	2,678,000	Devon Energy Corp., 4.500%, 1/15/2030, 144A		2,944,185
	3,575,000	Diamondback Energy, Inc., 3.125%, 3/24/2031		3,704,973
	2,340,000	Diamondback Energy, Inc., 3.500%, 12/01/2029		2,505,080
	6,210,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		6,379,036
	8,120,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		8,359,946
	810,000	EQT Corp., 3.125%, 5/15/2026, 144A		830,015
	1,720,000	EQT Corp., 3.625%, 5/15/2031, 144A		1,793,100
	12,640,000	Hess Corp., 5.600%, 2/15/2041		15,778,198
	550,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		603,801
	10,835,000	Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A		12,064,773
	8,530,000	Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A		8,543,651
	6,160,000	Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A		6,222,437
	17,908,000	Mesquite Energy, Inc., 6.125%, 1/15/2023(b)(e)(g)(k)		327,716
	9,520,000	Mesquite Energy, Inc., 7.750%, 6/15/2021(b)(e)(g)(k)		174,216
	540,000	Occidental Petroleum Corp., 4.500%, 7/15/2044		522,374
	32,720,000	Occidental Petroleum Corp., 6.625%, 9/01/2030		39,264,000
	1,245,000	Ovintiv, Inc., 6.500%, 8/15/2034		1,643,543
	540,000	Ovintiv, Inc., 6.500%, 2/01/2038		718,930
	2,715,000	Ovintiv, Inc., 6.625%, 8/15/2037		3,622,569
	360,000	Ovintiv, Inc., 7.200%, 11/01/2031		473,714
	325,000	Ovintiv, Inc., 7.375%, 11/01/2031		431,505
	1,495,000	Ovintiv, Inc., 8.125%, 9/15/2030		2,037,374
	1,110,000	Southwestern Energy Co., 6.450%, 1/23/2025		1,228,770
				169,409,172
		Leisure — 0.7%
	11,785,000	Carnival Corp., 5.750%, 3/01/2027, 144A		12,344,787
	6,575,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		6,887,313
	2,415,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		2,530,799
	230,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		229,713
	12,300,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		12,881,790
				34,874,402
		Life Insurance — 1.4%
	9,880,000	Athene Global Funding, 1.608%, 6/29/2026, 144A		9,881,093
	3,575,000	Brighthouse Financial, Inc., 4.700%, 6/22/2047(d)		3,970,490
		Life Insurance — continued
	13,830,000	Brighthouse Financial, Inc., 5.625%, 5/15/2030(d)		16,827,478
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(e)(i)		32,060,800
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(e)(i)		11,784,391
				74,524,252
		Lodging — 0.7%
	7,620,000	Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A		7,524,750
	1,745,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		1,740,428
	5,385,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		5,506,163
	7,440,000	Marriott International, Inc., Series HH, 2.850%, 4/15/2031		7,555,250
	4,155,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		4,212,131
	7,670,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		7,905,469
	970,000	Travel & Leisure Co., 6.000%, 4/01/2027		1,065,613
	1,120,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		1,268,960
				36,778,764
		Media Entertainment — 1.3%
	5,500,000	AMC Networks, Inc., 4.250%, 2/15/2029		5,548,125
	3,925,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		4,037,844
	1,925,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		2,012,395
	4,635,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		4,965,244
	1,325,000	Netflix, Inc., 4.875%, 4/15/2028		1,540,313
	11,680,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		13,891,024
	1,305,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		1,585,048
	6,520,000	Netflix, Inc., 5.875%, 11/15/2028		8,002,844
	7,670,000	Netflix, Inc., 6.375%, 5/15/2029		9,796,507
	3,956,000	ViacomCBS, Inc., 4.375%, 3/15/2043		4,577,318
	4,469,000	ViacomCBS, Inc., 4.900%, 8/15/2044		5,420,560
	4,600,000	ViacomCBS, Inc., 4.950%, 5/19/2050		5,808,419
				67,185,641
		Metals & Mining — 3.3%
	8,090,000	Anglo American Capital PLC, 2.625%, 9/10/2030, 144A		8,120,599
	13,790,000	Anglo American Capital PLC, 2.875%, 3/17/2031, 144A		14,097,094
	22,016,000	ArcelorMittal S.A., 7.000%, 3/01/2041		30,578,945
	2,630,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		2,751,269
	35,930,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		39,152,921
	1,810,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,877,875
	9,590,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		10,259,670
	22,815,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		27,556,071
	12,330,000	Glencore Funding LLC, 2.500%, 9/01/2030, 144A(d)		12,283,763
	29,695,000	Glencore Funding LLC, 2.850%, 4/27/2031, 144A(d)		30,197,880
	1,900,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		1,881,000
				178,757,087

See accompanying notes to financial statements.

57  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Midstream — 0.6%
$	14,530,000	Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(d)	$	14,422,640
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		722,404
	1,425,000	Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030		1,524,833
	185,000	Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043		186,887
	11,340,000	Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044		12,013,614
	1,180,000	Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045		1,282,401
	3,515,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A		3,615,705
				33,768,484
		Non-Agency Commercial Mortgage-Backed Securities — 0.2%
	3,065,000	Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 5.038%, 9/10/2045, 144A(a)		3,077,173
	2,005,000	Commercial Mortgage Trust, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A(d)		2,020,855
	2,570,000	Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a)		2,579,524
	2,085,000	Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 2.325%, 7/15/2038, 144A(c)		2,093,974
	290,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.566%, 12/15/2047, 144A(a)(d)		285,404
	1,550,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(a)		1,556,188
	1,725,000	WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.646%, 8/15/2046(a)		1,722,548
				13,335,666
		Packaging — 0.2%
	8,750,000	Owens-Brockway Glass Container, Inc., 6.625%, 5/13/2027, 144A		9,515,625
		Paper — 0.8%
	15,225,000	Georgia-Pacific LLC, 7.750%, 11/15/2029(d)		21,944,314
	4,865,000	WestRock MWV LLC, 7.950%, 2/15/2031		6,941,474
	8,750,000	WestRock MWV LLC, 8.200%, 1/15/2030		12,378,884
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,669,724
				44,934,396
		Pharmaceuticals — 0.2%
	1,995,000	Jazz Securities DAC, 4.375%, 1/15/2029, 144A		2,068,416
	9,700,000	Viatris, Inc., 4.000%, 6/22/2050, 144A		10,258,032
				12,326,448
		Property & Casualty Insurance — 0.2%
	12,510,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 11.444%, 1/15/2033, 144A(b)(c)(e)(h)(i)		3,674,812
	6,220,000	Radian Group, Inc., 6.625%, 3/15/2025		7,019,208
				10,694,020
		REITs – Apartments — 0.0%
	1,855,000	American Homes 4 Rent, 2.375%, 7/15/2031		1,827,416
		REITs – Office Property — 0.0%
	1,910,000	Corporate Office Properties LP, 2.750%, 4/15/2031		1,924,412
		Restaurants — 0.4%
	19,175,000	Yum! Brands, Inc., 4.625%, 1/31/2032		20,133,750
		Retailers — 0.6%
	3,665,000	Carvana Co., 5.500%, 4/15/2027, 144A		3,784,956
	3,250,000	Carvana Co., 5.625%, 10/01/2025, 144A		3,378,895
	6,245,000	Carvana Co., 5.875%, 10/01/2028, 144A		6,569,240
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,960,009
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,806,795
	3,975,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		4,117,106
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,523,112
	2,555,000	Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A		2,525,515
				33,665,628
		Sovereigns — 0.9%
	30,640,000	Mexico Government International Bond, 3.771%, 5/24/2061(d)		28,550,659
	20,885,000	Mexico Government International Bond, 4.280%, 8/14/2041(d)		21,921,731
				50,472,390
		Supermarkets — 0.1%
	2,290,000	Safeway, Inc., 7.250%, 2/01/2031		2,673,575
		Supranational — 0.1%
	525,240,000	International Finance Corp., 5.850%, 11/25/2022, (INR)(d)		7,158,188
		Technology — 2.0%
	23,110,000	Broadcom, Inc., 4.300%, 11/15/2032		26,315,947
	1,025,000	Broadcom, Inc., 5.000%, 4/15/2030		1,209,266
	15,295,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		15,658,256
	1,215,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		1,215,000
	13,195,000	Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		13,619,879
	3,990,000	Jabil, Inc., 3.600%, 1/15/2030		4,317,388
	6,335,000	Jabil, Inc., 3.950%, 1/12/2028		7,042,209
	15,170,000	KLA Corp., 5.650%, 11/01/2034(d)		19,349,935
	5,655,000	Marvell Technology, Inc., 2.950%, 4/15/2031, 144A		5,860,678
	5,200,000	Sensata Technologies BV, 4.000%, 4/15/2029, 144A		5,278,433
	5,770,000	Square, Inc., 3.500%, 6/01/2031, 144A		5,820,487
				105,687,478
		Transportation Services — 0.4%
	4,150,000	Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A		3,955,697
	14,685,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		15,298,533
	1,234,000	Fenix Marine Service Holdings Ltd., 8.000%, 1/15/2024		1,357,400
	1,240,000	GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A		1,204,935
	255,000	GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A		259,016
				22,075,581
		Treasuries — 14.7%
	142,342(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)		30,188,317
	5,454,785(†††)	Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(d)		27,853,499
	135,835,000	U.S. Treasury Note, 0.125%, 11/30/2022(d)		135,744,797
	109,525,000	U.S. Treasury Note, 0.125%, 12/31/2022(l)		109,430,876
	117,000,000	U.S. Treasury Note, 0.125%, 1/31/2023(d)		116,885,743
	250,000,000	U.S. Treasury Note, 0.125%, 2/28/2023(d)		249,687,500
	80,985,000	U.S. Treasury Note, 0.125%, 4/30/2023		80,833,153
	40,355,000	U.S. Treasury Note, 0.125%, 5/31/2023		40,268,300
				790,892,185

See accompanying notes to financial statements.

|  58

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wireless — 2.9%
$	6,300,000	Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A	$	6,249,758
	16,660,000	Crown Castle International Corp., 2.500%, 7/15/2031		16,778,595
	1,200,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		1,276,536
	20,720,000	HTA Group Ltd., 7.000%, 12/18/2025		22,041,522
	7,228,000	IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A		7,863,920
	2,580,000	Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A		2,593,648
	5,345,000	Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		5,680,185
	490,000	Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A		502,049
	1,903,500	Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A		1,979,640
	4,225,500	Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A		4,619,950
	16,600,000	SBA Communications Corp., 3.125%, 2/01/2029, 144A		16,003,497
	27,610,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		28,493,343
	13,640,000	T-Mobile USA, Inc., 3.500%, 4/15/2031		14,111,262
	25,025,000	T-Mobile USA, Inc., 3.875%, 4/15/2030		27,973,446
				156,167,351
		Wirelines — 1.6%
	27,835,000	AT&T, Inc., 3.500%, 9/15/2053, 144A(d)		27,965,004
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		386,694
	2,160,000	Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A		2,270,700
	1,240,000	Lumen Technologies, Inc., 5.625%, 4/01/2025		1,345,400
	30,646,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		35,357,823
	16,440,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		19,604,700
				86,930,321
		Total Non-Convertible Bonds (Identified Cost $3,863,934,400)		3,999,279,002
	Convertible Bonds — 6.3%
		Airlines — 0.4%
	3,695,000	JetBlue Airways Corp., 0.500%, 4/01/2026, 144A		3,682,068
	11,670,000	Southwest Airlines Co., 1.250%, 5/01/2025(d)		17,672,756
				21,354,824
		Cable Satellite — 3.0%
	14,660,000	DISH Network Corp., 2.375%, 3/15/2024		14,211,037
	143,750,000	DISH Network Corp., 3.375%, 8/15/2026		146,696,875
				160,907,912
		Consumer Cyclical Services — 0.4%
	5,370,000	Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(m)		5,799,600
	5,830,000	Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(n)		5,636,881
	7,860,000	Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(m)		7,970,040
				19,406,521
		Healthcare — 0.5%
	25,010,000	Teladoc Health, Inc., 1.250%, 6/01/2027		27,996,194
		Media Entertainment — 0.1%
	8,280,000	Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(m)		7,897,050
		Oil Field Services — 0.2%
	10,424,449	Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash, 11/15/2025, 144A(b)(e)(f)(g)(o)(p)		7,933,006
		Pharmaceuticals — 0.9%
	8,280,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		8,580,564
	27,195,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		27,247,409
	5,015,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(m)		4,913,195
	3,735,000	Livongo Health, Inc., 0.875%, 6/01/2025		5,933,309
	835,000	Neurocrine Biosciences, Inc., 2.250%, 5/15/2024		1,116,312
				47,790,789
		Technology — 0.8%
	23,210,000	Palo Alto Networks, Inc., 0.375%, 6/01/2025		31,565,600
	2,885,000	Splunk, Inc., 1.125%, 6/15/2027		2,811,072
	9,150,000	Western Digital Corp., 1.500%, 2/01/2024		9,773,344
				44,150,016
		Total Convertible Bonds (Identified Cost $335,053,881)		337,436,312
	Municipals — 1.3%
		Virginia — 1.3%
	66,375,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $66,369,205)		69,725,637
		Total Bonds and Notes (Identified Cost $4,265,357,486)		4,406,440,951
	Senior Loans — 0.7%
		Airlines — 0.1%
	5,898,705	United Airlines, Inc., 2021 Term Loan B, 1-month LIBOR + 3.750%, 4.500%, 4/21/2028(c)		5,970,787
		Chemicals — 0.1%
	7,037,600	Aruba Investments, Inc., 2020 2nd Lien Term Loan, 3-month LIBOR + 7.750%, 8.500%, 11/24/2028(c)		7,061,035
		Independent Energy — 0.3%
	12,660,000	Ascent Resources – Utica, 2020 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 10.000%, 11/01/2025(c)		13,962,967
		Lodging — 0.1%
	6,025,787	Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 5/19/2028(q)		6,027,655
		Pharmaceuticals — 0.1%
	5,210,000	Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(c)		5,224,640
		Total Senior Loans (Identified Cost $36,649,948)		38,247,084
	Collateralized Loan Obligations — 2.5%
	4,475,000	AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 1.730%, 7/20/2034, 144A(c)		4,454,774
	4,955,000	AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 2.980%, 7/20/2034, 144A(c)		4,954,921

See accompanying notes to financial statements.

59  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

Principal Amount (‡)		Description	Value (†)
	Collateralized Loan Obligations — continued
$	1,245,000	AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 7/15/2034, 144A(b)(c)(r)	$	1,245,000
	9,390,000	AIG CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 3.134%, 4/22/2034, 144A(c)		9,389,449
	6,730,000	Assurant CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 3.201%, 10/20/2031, 144A(b)(c)		6,730,000
	3,025,000	Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 7/25/2034, 144A(b)(c)(r)		3,025,000
	7,130,000	Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class CR, 3-month LIBOR + 2.000%, 2.000%, 1/17/2032, 144A(c)		7,092,261
	1,505,000	Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 3.000%, 1/17/2032, 144A(c)		1,504,994
	3,095,000	CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 7/15/2034, 144A(b)(c)(e)(i)(r)		3,095,000
	5,230,000	Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 10/20/2034, 144A(b)(c)(r)		5,230,000
	2,890,000	Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 2.966%, 1/20/2034, 144A(c)		2,887,344
	2,195,000	KVK CLO Ltd., Series 2013-1A, Class DR, 3-month LIBOR + 2.950%, 3.136%, 1/14/2028, 144A(c)		2,194,982
	5,980,000	LCM 30 Ltd., Series 30A, Class BR, 3-month LIBOR + 1.500%, 1.660%, 4/20/2031, 144A(c)		5,962,558
	980,000	LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 2.160%, 4/20/2031, 144A(c)		970,813
	2,965,000	LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 3.000%, 3.160%, 4/20/2031, 144A(c)		2,964,991
	10,665,000	Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 3.355%, 7/27/2031, 144A(c)		10,664,965
	990,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.173%, 1/23/2031, 144A(c)		990,050
	3,480,000	Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 3.100%, 4/15/2034, 144A(c)		3,479,964
	6,010,000	Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 1.850%, 7/15/2034, 144A(c)		6,016,015
	8,055,000	OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 7/20/2032, 144A(b)(c)(e)(i)(r)		8,055,000
	7,155,000	Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 7/15/2034, 144A(b)(c)(e)(i)(r)		7,155,000
	8,250,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 7/02/2035, 144A(b)(c)(r)		8,250,000
	6,450,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 7/02/2035, 144A(b)(c)(r)		6,450,000
	9,695,000	Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 1.655%, 10/17/2031, 144A(c)(d)		9,695,466
	Collateralized Loan Obligations — continued
	3,330,000	Palmer Square CLO Ltd., Series 2013-2A, Class CR3, 3-month LIBOR + 2.700%, 2.855%, 10/17/2031, 144A(c)		3,329,983
	970,000	Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 2.138%, 5/21/2034, 144A(c)		969,903
	7,615,000	Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%, 2.975%, 5/21/2034, 144A(c)		7,614,853
	1,130,000	Parallel Ltd., Series 2015-1A, Class DR, 3-month LIBOR + 2.550%, 2.738%, 7/20/2027, 144A(c)		1,130,549
	400,000	THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 3.138%, 1/20/2031, 144A(c)		397,198
		Total Collateralized Loan Obligations (Identified Cost $135,981,881)		135,901,033
Shares
	Common Stocks — 10.3%
		Aerospace & Defense — 0.3%
	37,988	Lockheed Martin Corp.		14,372,760
		Air Freight & Logistics — 0.3%
	68,588	United Parcel Service, Inc., Class B		14,264,246
		Beverages — 0.3%
	268,690	Coca-Cola Co. (The)		14,538,816
		Capital Markets — 0.5%
	16,898	BlackRock, Inc.		14,785,243
	164,431	Morgan Stanley		15,076,678
				29,861,921
		Chemicals — 0.2%
	664,252	Hexion Holdings Corp., Class B(h)		12,288,662
		Communications Equipment — 0.3%
	275,878	Cisco Systems, Inc.		14,621,534
		Electric Utilities — 0.5%
	142,353	Duke Energy Corp.		14,053,088
	198,965	NextEra Energy, Inc.		14,580,155
				28,633,243
		Electronic Equipment, Instruments & Components — 0.3%
	363,031	Corning, Inc.		14,847,968
		Food & Staples Retailing — 0.3%
	103,481	Walmart, Inc.		14,592,891
		Health Care Equipment & Supplies — 0.3%
	125,614	Abbott Laboratories		14,562,431
		Health Care Providers & Services — 0.5%
	37,353	Anthem, Inc.		14,261,375
	35,848	UnitedHealth Group, Inc.		14,354,973
				28,616,348
		Hotels, Restaurants & Leisure — 0.3%
	130,385	Starbucks Corp.		14,578,347
		Household Products — 0.3%
	106,741	Procter & Gamble Co. (The)		14,402,563
		Insurance — 0.3%
	151,146	Progressive Corp. (The)		14,844,049

See accompanying notes to financial statements.

|  60

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

Shares		Description	Value (†)
		IT Services — 0.5%
	51,712	Accenture PLC, Class A	$	15,244,181
	74,726	Automatic Data Processing, Inc.		14,842,078
				30,086,259
		Machinery — 0.3%
	41,003	Deere & Co.		14,462,168
		Media — 0.5%
	264,617	Comcast Corp., Class A		15,088,462
	461,939	iHeartMedia, Inc., Class A(h)		12,440,017
				27,528,479
		Metals & Mining — 0.2%
	198,433	Newmont Corp.		12,576,684
		Oil Field Services — 0.0%
	60,638	Pioneer Energy Services Corp.(b)(e)(f)(g)(h)(p)		—
		Oil, Gas & Consumable Fuels — 0.8%
	9,229	Battalion Oil Corp.(h)		123,669
	137,373	Chevron Corp.		14,388,448
	500,544	Lonestar Resources U.S., Inc.(b)(e)(f)(g)(h)(p)		4,955,386
	225,503	Paragon Offshore Ltd., Litigation Units, Class B(b)(f)(g)(h)		1,761,178
	158,206	Whiting Petroleum Corp.(h)		8,630,137
	554,466	Williams Cos., Inc. (The)		14,721,072
				44,579,890
		Pharmaceuticals — 1.3%
	639,907	Bristol-Myers Squibb Co.		42,758,586
	85,748	Johnson & Johnson		14,126,126
	186,252	Merck & Co., Inc.		14,484,818
	18,625	Organon & Co.(h)		563,592
				71,933,122
		REITs – Diversified — 0.3%
	58,263	American Tower Corp.		15,739,167
		Road & Rail — 0.3%
	65,908	Union Pacific Corp.		14,495,146
		Software — 0.3%
	23,768	iQor Holdings, Inc.(e)(h)(i)		318,800
	58,610	Microsoft Corp.		15,877,449
				16,196,249
		Specialty Retail — 0.3%
	46,793	Home Depot, Inc. (The)		14,921,820
		Technology Hardware, Storage & Peripherals — 0.3%
	115,898	Apple, Inc.		15,873,390
		Wireless Telecommunication Services — 0.5%
	184,918	T-Mobile US, Inc.(h)		26,781,674
		Total Common Stocks (Identified Cost $564,095,931)		550,199,827
	Preferred Stocks — 1.9%
	Convertible Preferred Stocks — 1.6%
		Banking — 0.7%
	19,083	Bank of America Corp., Series L, 7.250%		27,021,528
	7,500	Wells Fargo & Co., Class A, Series L, 7.500%		11,446,575
				38,468,103
		Food & Beverage — 0.1%
	37,280	Bunge Ltd., 4.875%		4,326,717
		Healthcare — 0.1%
	57,041	Boston Scientific Corp., Series A, 5.500%		6,620,178
		Midstream — 0.2%
	242,297	El Paso Energy Capital Trust I, 4.750%		12,175,424
		Technology — 0.2%
	115,400	Clarivate PLC, Series A, 5.250%		12,082,380
		Wireless — 0.3%
	11,832	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(e)(i)		14,909,267
		Total Convertible Preferred Stocks (Identified Cost $79,074,646)		88,582,069
	Non-Convertible Preferred Stocks — 0.3%
		Finance Companies — 0.0%
	10,425	iStar, Inc., Series G, 7.650%		268,861
		Home Construction — 0.1%
	208,246	Hovnanian Enterprises, Inc., 7.625%(h)		3,858,798
		REITs – Office Property — 0.0%
	1,596	Highwoods Properties, Inc., Series A, 8.625%		1,995,000
		REITs – Warehouse/Industrials — 0.2%
	116,192	Prologis, Inc., Series Q, 8.540%		8,435,539
		Total Non-Convertible Preferred Stocks (Identified Cost $8,540,568)		14,558,198
		Total Preferred Stocks (Identified Cost $87,615,214)		103,140,267
	Closed-End Investment Companies — 0.1%
	170,282	NexPoint Strategic Opportunities Fund (Identified Cost $10,230,310)		2,343,080
Principal Amount (‡)
	Short-Term Investments — 2.5%
	1,693,051,726	Central Bank of Iceland, 0.000%, (ISK)(c)(s)		13,685,650
	122,806,152	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $122,806,152 on 7/01/2021 collateralized by $91,867,200 U.S. Treasury Bond, 4.250% due 5/15/2039 valued at $125,262,397 including accrued interest (Note 2 of Notes to Financial Statements)		122,806,152
		Total Short-Term Investments (Identified Cost $136,586,485)		136,491,802
		Total Investments — 100.0% (Identified Cost $5,236,517,255)		5,372,764,044
		Other assets less liabilities — (0.0)%		(81,148	)
		Net Assets — 100.0%	$	5,372,682,896
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 1,000.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2021 is disclosed.

See accompanying notes to financial statements.

61  |

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

(b)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
(c)	Variable rate security. Rate as of June 30, 2021 is disclosed.
(d)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
(e)	Illiquid security.
(f)	Securities subject to restriction on resale. At June 30, 2021, the restricted securities held by the Fund are as follows:

	Acquisition Date		Acquisition Cost			Value		% of Net Assets
GCA2014 Holdings Ltd., Series 2014-1, Class C		12/18/2014	$	24,204,995		$	21,733,141		0.4%
GCA2014 Holdings Ltd., Series 2014-1, Class D		12/18/2014		10,967,324			8,225,493		0.2%
GCA2014 Holdings Ltd., Series 2014-1, Class E		12/18/2014		32,732,982			2,100,000		Less than 0.1%
Lonestar Resources U.S., Inc.		12/01/2020		3,473,775	*		4,955,386		0.1%
Paragon Offshore Ltd., Litigation Units, Class B		7/18/2017		22,768,653			1,761,178		Less than 0.1%
Pioneer Energy Services Corp. 5.000% PIK or 5.000% Cash		5/29/2020		9,688,450			7,933,006		0.2%
Pioneer Energy Services Corp.		5/29/2020		17,677,239	**		—		—

*	Represents basis assigned upon receipt in a taxable restructuring.
**	Represents basis carried over in a non-taxable restructuring.
(g)	Fair valued by the Fund’s adviser. At June 30, 2021, the value of these securities amounted to $47,210,136 or 0.9% of net assets. See Note 2 of Notes to Financial Statements.
(h)	Non-income producing security.
(i)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of these securities amounted to $85,824,919 or 1.6% of net assets. See Note 2 of Notes to Financial Statements.
(j)	Perpetual bond with no specified maturity date.
(k)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(l)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(m)	Interest rate represents annualized yield at time of purchase; not a coupon rate.
(n)	Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
(o)	Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2021, interest payments were made in principal.
(p)	Affiliated issuer. See Note 6i for a summary of transactions in securities of affiliated issuers.
(q)	Position is unsettled. Contract rate was not determined at June 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
(r)	New issue unsettled as of June 30, 2021. Coupon rate does not take effect until settlement date.
(s)	Security callable by issuer at any time. No specified maturity date.
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 June 30, 2021, the value of Rule 144A holdings amounted to $1,619,251,473 or 30.1% of net assets.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
LIBOR	London Interbank Offered Rate
MBIA	Municipal Bond Investors Assurance Corp.
MTN	Medium Term Note
PIK	Payment-in-Kind
REITs	Real Estate Investment Trusts
BRL	Brazilian Real
INR	Indian Rupee
ISK	Icelandic Krona
MXN	Mexican Peso

At June 30, 2021, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection

Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)		Market Value		Unrealized Appreciation (Depreciation)
CDX.NA HY* Series 36 500, 5-Year	5.00%		6/20/2026		2.73	%		266,000,000	$	22,504,039	$	27,511,552	$	5,007,513

(‡) Notional value stated in U.S. dollars unless otherwise noted.

^ Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

* CDX.NA.HY is an index composed of North American high yield credit default swaps.

At June 30, 2021, the Fund had the following open forward foreign currency contracts:

Counterparty

Delivery Date

Currency Bought/ Sold (B/S)

Units of Currency

In Exchange for

Notional Value

Unrealized Appreciation (Depreciation)

Bank of America, N.A.

9/02/2021

BRL

S75,391,000

$

14,063,648

$

15,045,100

$

(981,452

)

See accompanying notes to financial statements.

|  62

Portfolio of Investments – as of June 30, 2021 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

At June 30, 2021, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra 10 Year U.S. Treasury Note		9/21/2021		4,688	$	679,947,750	$	690,088,250	$	(10,140,500	)
Ultra Long U.S. Treasury Bond		9/21/2021		68		12,620,062		13,102,750		(482,688	)
Total									$	(10,623,188	)

Industry Summary at June 30, 2021 (Unaudited)

Treasuries	14.7	%
Banking	7.1
Cable Satellite	5.9
Finance Companies	5.4
Metals & Mining	3.5
Independent Energy	3.5
Wireless	3.2
Technology	3.0
Consumer Cyclical Services	2.7
Aerospace & Defense	2.7
Airlines	2.6
Pharmaceuticals	2.5
Automotive	2.3
Other Investments, less than 2% each	35.8
Short-Term Investments	2.5
Collateralized Loan Obligations	2.5
Closed-End Investment Companies	0.1
Total Investments	100.0
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)	(0.0	)*
Net Assets	100.0	%

* Less than 0.1%

See accompanying notes to financial statements.

63  |

Statements of Assets and Liabilities

June 30, 2021 (Unaudited)

	High Income Fund			Intermediate Municipal Bond Fund		Investment Grade Bond Fund		Strategic Alpha Fund
ASSETS
Investments at cost	$	112,793,204		$	38,553,554	$	5,967,394,554	$	1,414,069,209
Net unrealized appreciation		1,861,763			1,487,200		356,825,018		19,425,569
Investments at value		114,654,967			40,040,754		6,324,219,572		1,433,494,778
Cash		767			—		2,883,411		7,168
Due from brokers (Note 2)		1,375,010			—		—		10,695,498
Foreign currency at value (identified cost $0, $0, $0 and $4,179,463, respectively)		—			—		—		4,022,862
Receivable for Fund shares sold		316,957			7,435		15,020,513		1,849,066
Receivable from investment adviser (Note 6)		—			1,453		—		—
Receivable for securities sold		411,132			—		1,471,935		575,939
Dividends and interest receivable		1,520,030			380,520		36,103,825		10,736,901
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—		—		162,764
Tax reclaims receivable		—			—		11,197		673
Receivable for variation margin on centrally cleared swap agreements (Note 2)		—			—		—		7,348
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		—			—		—		82,426
Prepaid expenses (Note 8)		19			5		910		207
TOTAL ASSETS		118,278,882			40,430,167		6,379,711,363		1,461,635,630
LIABILITIES
Options written, at value (premiums received $0, $0, $0 and $134,896, respectively) (Note 2)		—			—		—		158,676
Payable for securities purchased		2,248,412			834,587		15,686,984		11,759,409
Unrealized depreciation on bilateral swap agreements (Note 2)		—			—		—		153,050
Payable for Fund shares redeemed		130,151			8,293		10,179,859		434,641
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—		—		473,027
Payable for variation margin on futures contracts (Note 2)		—			—		2,886,033		800,521
Distributions payable		—			15,457		—		—
Management fees payable (Note 6)		44,633			—		1,898,685		701,495
Deferred Trustees’ fees (Note 6)		230,359			77,267		1,250,216		237,563
Administrative fees payable (Note 6)		4,204			1,378		222,062		50,549
Payable to distributor (Note 6d)		1,033			163		44,047		5,921
Audit and tax services fees payable		34,317			28,205		38,998		44,097
Other accounts payable and accrued expenses		31,282			12,355		299,023		66,159
TOTAL LIABILITIES		2,724,391			977,705		32,505,907		14,885,108
NET ASSETS	$	115,554,491		$	39,452,462	$	6,347,205,456	$	1,446,750,522
NET ASSETS CONSIST OF:
Paid-in capital	$	122,476,935		$	38,421,932	$	5,919,454,318	$	1,458,840,710
Accumulated earnings (loss)		(6,922,444	)		1,030,530		427,751,138		(12,090,188	)
NET ASSETS	$	115,554,491		$	39,452,462	$	6,347,205,456	$	1,446,750,522
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	21,418,978		$	7,765,066	$	859,920,818	$	41,978,896
Shares of beneficial interest		4,865,021			739,687		74,632,031		3,987,562
Net asset value and redemption price per share	$	4.40		$	10.50	$	11.52	$	10.53
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	4.60		$	10.82	$	12.03	$	11.00
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	2,129,616		$	805,297	$	91,086,301	$	5,125,502
Shares of beneficial interest		481,818			76,683		8,003,918		487,952
Net asset value and offering price per share	$	4.42		$	10.50	$	11.38	$	10.50
Class N shares:
Net assets	$	77,164		$	—	$	1,388,886,181	$	576,638,973
Shares of beneficial interest		17,520			—		120,520,513		54,896,723
Net asset value, offering and redemption price per share	$	4.40		$	—	$	11.52	$	10.50
Class Y shares:
Net assets	$	91,928,733		$	30,882,099	$	3,878,853,228	$	823,007,151
Shares of beneficial interest		20,924,482			2,937,121		336,382,168		78,391,165
Net asset value, offering and redemption price per share	$	4.39		$	10.51	$	11.53	$	10.50
Admin Class shares:
Net assets	$	—		$	—	$	128,458,928	$	—
Shares of beneficial interest		—			—		11,182,143		—
Net asset value, offering and redemption price per share	$	—		$	—	$	11.49	$	—

See accompanying notes to financial statements.

|  64

Statements of Assets and Liabilities (continued)

June 30, 2021 (Unaudited)

	Strategic Income Fund
ASSETS
Unaffiliated investments at cost	$	5,205,550,896
Affiliated investments at cost		30,966,359
Net unrealized appreciation on unaffiliated investments		154,324,756
Net unrealized appreciation on affiliated investments		(18,077,967	)
Investments at value		5,372,764,044
Cash		1,146,775
Due from brokers (Note 2)		28,785,000
Receivable for Fund shares sold		4,583,033
Receivable for securities sold		9,405,078
Dividends and interest receivable		39,354,918
Receivable for variation margin on centrally cleared swap agreements (Note 2)		48,702
Prepaid expenses (Note 8)		786
TOTAL ASSETS		5,456,088,336
LIABILITIES
Payable for securities purchased		65,461,507
Payable for Fund shares redeemed		9,467,617
Unrealized depreciation on forward foreign currency contracts (Note 2)		981,452
Payable for variation margin on futures contracts (Note 2)		2,347,249
Management fees payable (Note 6)		2,522,813
Deferred Trustees’ fees (Note 6)		2,112,408
Administrative fees payable (Note 6)		188,775
Payable to distributor (Note 6d)		48,062
Audit and tax services fees payable		39,849
Other accounts payable and accrued expenses		235,708
TOTAL LIABILITIES		83,405,440
NET ASSETS	$	5,372,682,896
NET ASSETS CONSIST OF:
Paid-in capital	$	5,480,622,249
Accumulated loss		(107,939,353	)
NET ASSETS	$	5,372,682,896
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	1,613,943,541
Shares of beneficial interest		112,774,050
Net asset value and redemption price per share	$	14.31
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	14.95
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	150,540,980
Shares of beneficial interest		10,401,726
Net asset value and offering price per share	$	14.47
Class N shares:
Net assets	$	247,817,229
Shares of beneficial interest		17,335,924
Net asset value, offering and redemption price per share	$	14.30
Class Y shares:
Net assets	$	3,263,858,322
Shares of beneficial interest		228,363,262
Net asset value, offering and redemption price per share	$	14.29
Admin Class shares:
Net assets	$	96,522,824
Shares of beneficial interest		6,769,812
Net asset value, offering and redemption price per share	$	14.26

See accompanying notes to financial statements.

65  |

Statements of Operations

For the Six Months Ended June 30, 2021 (Unaudited)

	High Income Fund			Intermediate Municipal Bond Fund			Investment Grade Bond Fund			Strategic Alpha Fund
INVESTMENT INCOME
Interest	$	2,823,289		$	367,088		$	93,296,618		$	23,926,508
Dividends		79,096			—			2,032,844			985,946
Less net foreign taxes withheld		(427	)		—			—			(3,263	)
		2,901,958			367,088			95,329,462			24,909,191
Expenses
Management fees (Note 6)		361,288			77,190			12,292,653			4,089,926
Service and distribution fees (Note 6)		44,542			15,310			1,938,558			83,435
Administrative fees (Note 6)		25,748			8,285			1,326,542			293,866
Trustees’ fees and expenses (Note 6)		31,489			14,978			222,457			50,165
Transfer agent fees and expenses (Notes 6 and 7)		47,114			14,247			1,856,718			237,560
Audit and tax services fees		26,103			26,177			31,539			41,667
Custodian fees and expenses		9,006			2,971			80,176			33,167
Legal fees (Note 8)		2,048			683			116,068			25,011
Registration fees		51,256			25,089			152,816			54,131
Shareholder reporting expenses		22,150			2,813			178,908			17,813
Miscellaneous expenses (Note 8)		17,862			14,930			96,672			33,634
Total expenses		638,606			202,673			18,293,107			4,960,375
Less waiver and/or expense reimbursement (Note 6)		(145,550	)		(100,514	)		(1,309,981	)		—
Net expenses		493,056			102,159			16,983,126			4,960,375
Net investment income		2,408,902			264,929			78,346,336			19,948,816
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		2,051,285			(46,990	)		56,498,358			13,017,088
Futures contracts		—			—			31,143,427			(2,257,537	)
Options written		—			—			—			(132,499	)
Swap agreements		199,712			—			—			5,065,649
Forward foreign currency contracts (Note 2d)		—			—			—			(3,894,601	)
Foreign currency transactions (Note 2c)		—			—			—			494,725
Net change in unrealized appreciation (depreciation) on:
Investments		(661,798	)		(115,050	)		(137,621,733	)		(2,308,587	)
Futures contracts		—			—			(14,446,067	)		(3,323,082	)
Options written		—			—			—			(32,112	)
Swap agreements		—			—			—			(3,220,922	)
Forward foreign currency contracts (Note 2d)		—			—			—			2,751,304
Foreign currency translations (Note 2c)		—			—			—			(400,001	)
Net realized and unrealized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		1,589,199			(162,040	)		(64,426,015	)		5,759,425
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	3,998,101		$	102,889		$	13,920,321		$	25,708,241

See accompanying notes to financial statements.

|  66

Statements of Operations (continued)

For the Six Months Ended June 30, 2021 (Unaudited)

	Strategic Income Fund
INVESTMENT INCOME
Interest from unaffiliated investments	$	79,317,192
Interest from affiliated investments (Note 6)		314,867
Dividends		11,732,228
Less net foreign taxes withheld		(13,856	)
		91,350,431
Expenses
Management fees (Note 6)		15,802,434
Service and distribution fees (Note 6)		3,311,400
Administrative fees (Note 6)		1,184,509
Trustees’ fees and expenses (Note 6)		296,415
Transfer agent fees and expenses (Notes 6 and 7)		2,054,188
Audit and tax services fees		31,698
Custodian fees and expenses		111,212
Legal fees (Note 8)		114,756
Registration fees		54,036
Shareholder reporting expenses		208,872
Miscellaneous expenses (Note 8)		99,063
Total expenses		23,268,583
Net investment income		68,081,848
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Unaffiliated investments		(23,276,994	)
Futures contracts		11,522,672
Swap agreements		2,472,346
Forward foreign currency contracts (Note 2d)		(936,517	)
Foreign currency transactions (Note 2c)		184,799
Net change in unrealized appreciation (depreciation) on:
Unaffiliated investments		128,047,612
Affiliated investments		2,770,426
Futures contracts		(10,623,188	)
Swap agreements		5,007,513
Forward foreign currency contracts (Note 2d)		(981,452	)
Foreign currency translations (Note 2c)		(306	)
Net realized and unrealized gain on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions		114,186,911
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	182,268,759

See accompanying notes to financial statements.

67  |

Statements of Changes in Net Assets

	High Income Fund						Intermediate Municipal Bond Fund
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020
FROM OPERATIONS:
Net investment income	$	2,408,902		$	5,806,947		$	264,929		$	414,488
Net realized gain (loss) on investments and swap agreements		2,250,997			(4,673,658	)		(46,990	)		184,411
Net change in unrealized appreciation (depreciation) on investments		(661,798	)		2,338,998			(115,050	)		430,359
Net increase in net assets resulting from operations		3,998,101			3,472,287			102,889			1,029,258
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(471,349	)		(1,244,423	)		(55,062	)		(151,821	)
Class C		(37,807	)		(131,410	)		(2,638	)		(13,774	)
Class N		(273,540	)		(739,980	)		—			—
Class Y		(1,697,858	)		(4,149,317	)		(224,001	)		(249,452	)
Total distributions		(2,480,554	)		(6,265,130	)		(281,701	)		(415,047	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		1,318,917			(31,816,114	)		2,439,811			17,552,248
Net increase (decrease) in net assets		2,836,464			(34,608,957	)		2,260,999			18,166,459
NET ASSETS
Beginning of the period		112,718,027			147,326,984			37,191,463			19,025,004
End of the period	$	115,554,491		$	112,718,027		$	39,452,462		$	37,191,463

See accompanying notes to financial statements.

|  68

Statements of Changes in Net Assets (continued)

	Investment Grade Bond Fund						Strategic Alpha Fund
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020
FROM OPERATIONS:
Net investment income	$	78,346,336		$	164,483,540		$	19,948,816		$	36,177,393
Net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		87,641,785			275,303,966			12,292,825			(1,064,890	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations		(152,067,800	)		176,877,424			(6,533,400	)		71,358,169
Net increase in net assets resulting from operations		13,920,321			616,664,930			25,708,241			106,470,672
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(10,247,094	)		(66,337,702	)		(312,908	)		(708,457	)
Class C		(934,022	)		(10,552,630	)		(20,481	)		(158,470	)
Class N		(17,773,907	)		(96,560,712	)		(5,202,634	)		(11,490,422	)
Class Y		(50,203,392	)		(284,270,221	)		(6,945,926	)		(15,871,781	)
Admin Class		(1,367,196	)		(8,996,534	)		—			—
Total distributions		(80,525,611	)		(466,717,799	)		(12,481,949	)		(28,229,130	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		389,048,702			300,818,816			118,507,881			(63,947,948	)
Net increase in net assets		322,443,412			450,765,947			131,734,173			14,293,594
NET ASSETS
Beginning of the period		6,024,762,044			5,573,996,097			1,315,016,349			1,300,722,755
End of the period	$	6,347,205,456		$	6,024,762,044		$	1,446,750,522		$	1,315,016,349

See accompanying notes to financial statements.

69  |

Statements of Changes in Net Assets (continued)

	Strategic Income Fund
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020(a)			Year Ended September 30, 2020
FROM OPERATIONS:
Net investment income	$	68,081,848		$	44,046,477		$	229,871,606
Net realized loss on investments, futures contracts, swap agreements, forward currency contracts and foreign currency transactions		(10,033,694	)		(327,238,965	)		(100,631,884	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency translations		124,220,605			595,874,403			(199,460,920	)
Net increase (decrease) in net assets resulting from operations		182,268,759			312,681,915			(70,221,198	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(20,715,770	)		(33,250,024	)		(60,755,051	)
Class C		(1,821,270	)		(4,600,466	)		(12,091,933	)
Class N		(3,492,026	)		(4,334,379	)		(7,404,708	)
Class Y		(47,704,214	)		(75,910,796	)		(150,040,710	)
Admin Class		(1,168,398	)		(1,932,234	)		(3,669,167	)
Total distributions		(74,901,678	)		(120,027,899	)		(233,961,569	)
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(723,848,976	)		(255,047,276	)		(797,576,770	)
Net decrease in net assets		(616,481,895	)		(62,393,260	)		(1,101,759,537	)
NET ASSETS
Beginning of the period		5,989,164,791			6,051,558,051			7,153,317,588
End of the period	$	5,372,682,896		$	5,989,164,791		$	6,051,558,051

(a) For the three month period ended December 31, 2020.

See accompanying notes to financial statements.

|  70

Financial Highlights

For a share outstanding throughout each period.

	High Income Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	4.35		$	4.25		$	3.99		$	4.25		$	4.37		$	4.23		$	3.99
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.20			0.20			0.05			0.20			0.22			0.20
Net realized and unrealized gain (loss)		0.05			0.12	(b)		0.27			(0.24	)		(0.14	)		0.12			0.21
Total from Investment Operations		0.13			0.32			0.47			(0.19	)		0.06			0.34			0.41
LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.22	)		(0.21	)		(0.06	)		(0.18	)		(0.20	)		(0.16	)
Net realized capital gains		—			—			—			(0.01	)		—			—			(0.01	)
Total Distributions		(0.08	)		(0.22	)		(0.21	)		(0.07	)		(0.18	)		(0.20	)		(0.17	)
Net asset value, end of the period	$	4.40		$	4.35		$	4.25		$	3.99		$	4.25		$	4.37		$	4.23
Total return(c)(d)		3.14	%(e)		8.16	%		11.94	%		(4.54	)%(e)		1.41	%		8.17	%		10.66	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	21,419		$	41,547		$	23,199		$	23,125		$	26,175		$	34,039		$	34,820
Net expenses(f)		1.00	%(g)		1.00	%		1.03	%(h)		1.05	%(g)		1.05	%		1.09	%(i)		1.10	%
Gross expenses		1.24	%(g)		1.22	%		1.18	%		1.27	%(g)		1.16	%		1.15	%		1.14	%
Net investment income		3.72	%(g)		4.91	%		4.84	%		5.13	%(g)		4.73	%		5.03	%		5.16	%
Portfolio turnover rate		52	%		99	%(j)		48	%		17	%		55	%		46	%		38	%

* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

(h) Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%.

(i) Effective July 1, 2017, the expense limit decreased to 1.05%.

(j) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

71  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	High Income Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	4.37		$	4.27		$	4.00		$	4.27		$	4.38		$	4.24		$	4.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.17			0.17			0.05			0.17			0.18			0.18
Net realized and unrealized gain (loss)		0.05			0.12	(b)		0.28			(0.26	)		(0.13	)		0.12			0.20
Total from Investment Operations		0.12			0.29			0.45			(0.21	)		0.04			0.30			0.38
LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.19	)		(0.18	)		(0.05	)		(0.15	)		(0.16	)		(0.13	)
Net realized capital gains		—			—			—			(0.01	)		—			—			(0.01	)
Total Distributions		(0.07	)		(0.19	)		(0.18	)		(0.06	)		(0.15	)		(0.16	)		(0.14	)
Net asset value, end of the period	$	4.42		$	4.37		$	4.27		$	4.00		$	4.27		$	4.38		$	4.24
Total return(c)(d)		2.75	%(e)		7.30	%		11.32	%		(4.95	)%(e)		0.86	%		7.33	%		9.81	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,130		$	2,933		$	3,836		$	5,351		$	6,248		$	11,227		$	12,288
Net expenses(f)		1.75	%(g)		1.75	%		1.78	%(h)		1.80	%(g)		1.80	%		1.84	%(i)		1.85	%
Gross expenses		1.99	%(g)		1.97	%		1.93	%		2.02	%(g)		1.91	%		1.90	%		1.89	%
Net investment income		3.08	%(g)		4.24	%		4.11	%		4.38	%(g)		3.99	%		4.29	%		4.43	%
Portfolio turnover rate		52	%		99	%(j)		48	%		17	%		55	%		46	%		38	%

* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

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

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

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

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

(h) Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%.

(i) Effective July 1, 2017, the expense limit decreased to 1.80%.

(j) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

|  72

Financial Highlights (continued)

For a share outstanding throughout each period.

	High Income Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Period Ended September 30, 2017**
Net asset value, beginning of the period	$	4.36		$	4.25		$	3.99		$	4.25		$	4.36		$	4.16
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.21			0.22			0.06			0.20			0.19
Net realized and unrealized gain (loss)		0.04			0.14	(b)		0.26			(0.25	)		(0.12	)		0.18
Total from Investment Operations		0.13			0.35			0.48			(0.19	)		0.08			0.37
LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.24	)		(0.22	)		(0.06	)		(0.19	)		(0.17	)
Net realized capital gains		—			—			—			(0.01	)		—			—
Total Distributions		(0.09	)		(0.24	)		(0.22	)		(0.07	)		(0.19	)		(0.17	)
Net asset value, end of the period	$	4.40		$	4.36		$	4.25		$	3.99		$	4.25		$	4.36
Total return(c)		3.05	%(d)(e)		8.73	%		12.28	%		(4.47	)%(d)		1.96	%		8.99	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	77		$	14,783		$	11,977		$	10,417		$	10,338		$	1
Net expenses(f)		0.70	%(g)		0.70	%		0.72	%(h)		0.75	%(g)		0.75	%		0.75	%(g)(i)
Gross expenses		0.92	%(g)		0.88	%		0.82	%		0.89	%(g)		0.79	%		31.73	%(g)
Net investment income		4.06	%(g)		5.28	%		5.13	%		5.45	%(g)		4.65	%		5.19	%(g)
Portfolio turnover rate		52	%		99	%(j)		48	%		17	%		55	%		46	%(k)

* For the three month period ended December 31, 2018 due to change in fiscal year end.

** From commencement of Class operations on November 30, 2016 through September 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) Generally accepted accounting principles require certain adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns based on the adjusted net asset values per share may differ from the total returns reported in the average annual total return table.

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

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

(h) Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%.

(i) Effective July 1, 2017, the expense limit decreased to 0.75%.

(j) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k) Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

See accompanying notes to financial statements.

73  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	High Income Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	4.34		$	4.25		$	3.98		$	4.24		$	4.36		$	4.22		$	3.98
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.22			0.21			0.06			0.21			0.23			0.21
Net realized and unrealized gain (loss)		0.05			0.10	(b)		0.28			(0.25	)		(0.14	)		0.12			0.21
Total from Investment Operations		0.14			0.32			0.49			(0.19	)		0.07			0.35			0.42
LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.23	)		(0.22	)		(0.06	)		(0.19	)		(0.21	)		(0.17	)
Net realized capital gains		—			—			—			(0.01	)		—			—			(0.01	)
Total Distributions		(0.09	)		(0.23	)		(0.22	)		(0.07	)		(0.19	)		(0.21	)		(0.18	)
Net asset value, end of the period	$	4.39		$	4.34		$	4.25		$	3.98		$	4.24		$	4.36		$	4.22
Total return(c)		3.28	%(d)		8.19	%		12.52	%		(4.49	)%(d)		1.68	%		8.47	%		10.98	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	91,929		$	53,456		$	108,315		$	97,585		$	127,699		$	133,940		$	129,169
Net expenses(e)		0.75	%(f)		0.75	%		0.77	%(g)		0.80	%(f)		0.80	%		0.84	%(h)		0.85	%
Gross expenses		1.00	%(f)		0.98	%		0.93	%		1.02	%(f)		0.91	%		0.90	%		0.89	%
Net investment income		4.11	%(f)		5.32	%		5.07	%		5.39	%(f)		4.98	%		5.28	%		5.43	%
Portfolio turnover rate		52	%		99	%(i)		48	%		17	%		55	%		46	%		38	%

* For the three month period ended December 31, 2018 due to change in fiscal year end.

(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, 2019, the expense limit decreased from 0.80% to 0.75%.

(h) Effective July 1, 2017, the expense limit decreased to 0.80%.

(i) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

|  74

Financial Highlights (continued)

For a share outstanding throughout each period.

	Intermediate Municipal Bond Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.55		$	10.38		$	9.97		$	10.17		$	9.89		$	10.09
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.06			0.19			0.24			0.22			0.19			0.12
Net realized and unrealized gain (loss)		(0.04	)		0.17			0.41			(0.19	)		0.28			(0.20	)
Total from Investment Operations		0.02			0.36			0.65			0.03			0.47			(0.08	)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.19	)		(0.24	)		(0.23	)		(0.19	)		(0.12	)
Net asset value, end of the period	$	10.50		$	10.55		$	10.38		$	9.97		$	10.17		$	9.89
Total return(b)(c)		0.17	%(d)		3.48	%		6.54	%		0.33	%		4.77	%		(0.79	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	7,765		$	8,941		$	7,567		$	6,019		$	6,004		$	5,474
Net expenses(e)		0.70	%(f)		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%
Gross expenses		1.22	%(f)		1.42	%		1.84	%		1.30	%		1.10	%		0.88	%
Net investment income		1.20	%(f)		1.78	%		2.31	%		2.24	%		1.87	%		1.19	%
Portfolio turnover rate		28	%		41	%		11	%		65	%		34	%		48	%

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

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

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

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

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

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

See accompanying notes to financial statements.

75  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Intermediate Municipal Bond Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.55		$	10.38		$	9.98		$	10.18		$	9.90		$	10.09
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.02			0.11			0.16			0.15			0.11			0.04
Net realized and unrealized gain (loss)		(0.04	)		0.17			0.40			(0.19	)		0.28			(0.18	)
Total from Investment Operations		(0.02	)		0.28			0.56			(0.04	)		0.39			(0.14	)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.11	)		(0.16	)		(0.16	)		(0.11	)		(0.05	)
Net asset value, end of the period	$	10.50		$	10.55		$	10.38		$	9.98		$	10.18		$	9.90
Total return(b)(c)		(0.20	)%(d)		2.71	%		5.64	%		(0.42	)%		3.98	%		(1.44	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	805		$	1,050		$	1,420		$	1,675		$	2,395		$	4,015
Net expenses(e)		1.45	%(f)		1.45	%		1.45	%		1.45	%		1.45	%		1.45	%
Gross expenses		1.97	%(f)		2.18	%		2.60	%		2.05	%		1.83	%		1.63	%
Net investment income		0.45	%(f)		1.08	%		1.57	%		1.49	%		1.10	%		0.44	%
Portfolio turnover rate		28	%		41	%		11	%		65	%		34	%		48	%

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

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

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

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

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

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

See accompanying notes to financial statements.

|  76

Financial Highlights (continued)

For a share outstanding throughout each period.

	Intermediate Municipal Bond Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.56		$	10.40		$	9.99		$	10.19		$	9.90		$	10.10
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.19			0.26			0.25			0.21			0.15
Net realized and unrealized gain (loss)		(0.05	)		0.18			0.41			(0.20	)		0.29			(0.20	)
Total from Investment Operations		0.03			0.37			0.67			0.05			0.50			(0.05	)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.21	)		(0.26	)		(0.25	)		(0.21	)		(0.15	)
Net asset value, end of the period	$	10.51		$	10.56		$	10.40		$	9.99		$	10.19		$	9.90
Total return(b)		0.30	%(c)		3.63	%		6.80	%		0.58	%		5.13	%		(0.55	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	30,882		$	27,200		$	10,039		$	14,510		$	28,960		$	49,179
Net expenses(d)		0.45	%(e)		0.45	%		0.45	%		0.45	%		0.45	%		0.45	%
Gross expenses		0.97	%(e)		1.16	%		1.60	%		1.04	%		0.83	%		0.63	%
Net investment income		1.45	%(e)		1.86	%		2.57	%		2.47	%		2.09	%		1.44	%
Portfolio turnover rate		28	%		41	%		11	%		65	%		34	%		48	%

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

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

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

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

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

See accompanying notes to financial statements.

77  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Investment Grade Bond Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	11.65		$	11.33		$	10.77		$	10.98		$	11.30		$	11.59		$	11.10
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.13			0.32			0.35			0.08			0.30			0.36			0.39
Net realized and unrealized gain (loss)		(0.12	)		0.94			0.58			(0.16	)		(0.28	)		0.05			0.48
Total from Investment Operations		0.01			1.26			0.93			(0.08	)		0.02			0.41			0.87
LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.32	)		(0.36	)		(0.08	)		(0.21	)		(0.26	)		(0.23	)
Net realized capital gains		(0.01	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)		(0.15	)
Total Distributions		(0.14	)		(0.94	)		(0.37	)		(0.13	)		(0.34	)		(0.70	)		(0.38	)
Net asset value, end of the period	$	11.52		$	11.65		$	11.33		$	10.77		$	10.98		$	11.30		$	11.59
Total return(b)		0.08	%(c)(d)		11.41	%(c)		8.78	%(c)		(0.66	)%(c)(d)		0.19	%(c)		3.88	%		8.06	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	859,921		$	872,976		$	772,485		$	721,110		$	777,391		$	902,955		$	1,130,260
Net expenses		0.75	%(e)(f)		0.76	%(f)(g)		0.77	%(f)(h)		0.78	%(e)(f)		0.80	%(f)(i)		0.82	%(j)		0.85	%
Gross expenses		0.80	%(e)		0.80	%		0.81	%		0.82	%(e)		0.82	%		0.82	%		0.85	%
Net investment income		2.35	%(e)		2.73	%		3.10	%		3.09	%(e)		2.73	%		3.23	%		3.49	%
Portfolio turnover rate		17	%		70	%(k)		44	%(l)		39	%(l)		3	%		10	%		11	%

* For the three month period ended December 31, 2018 due to change in fiscal year end.

(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) Effective July 1, 2020, the expense limit decreased from 0.76% to 0.75%.

(h) Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%.

(i) Effective July 1, 2018, the expense limit decreased to 0.78%.

(j) Effective July 1, 2017, the expense limit decreased to 0.80%.

(k) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(l) The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

|  78

Financial Highlights (continued)

For a share outstanding throughout each period.

	Investment Grade Bond Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	11.51		$	11.20		$	10.65		$	10.86		$	11.19		$	11.48		$	11.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.23			0.26			0.06			0.22			0.27			0.30
Net realized and unrealized gain (loss)		(0.12	)		0.93			0.58			(0.16	)		(0.28	)		0.06			0.47
Total from Investment Operations		(0.03	)		1.16			0.84			(0.10	)		(0.06	)		0.33			0.77
LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.23	)		(0.28	)		(0.06	)		(0.14	)		(0.18	)		(0.14	)
Net realized capital gains		(0.01	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)		(0.15	)
Total Distributions		(0.10	)		(0.85	)		(0.29	)		(0.11	)		(0.27	)		(0.62	)		(0.29	)
Net asset value, end of the period	$	11.38		$	11.51		$	11.20		$	10.65		$	10.86		$	11.19		$	11.48
Total return(b)		(0.30	)%(c)(d)		10.61	%(c)		7.94	%(c)		(0.86	)%(c)(d)		(0.53	)%(c)		3.12	%		7.18	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	91,086		$	132,606		$	204,395		$	366,068		$	412,788		$	689,798		$	1,001,522
Net expenses		1.50	%(e)(f)		1.51	%(f)(g)		1.52	%(f)(h)		1.53	%(e)(f)		1.55	%(f)(i)		1.57	%(j)		1.60	%
Gross expenses		1.55	%(e)		1.55	%		1.56	%		1.57	%(e)		1.57	%		1.57	%		1.60	%
Net investment income		1.60	%(e)		2.01	%		2.35	%		2.34	%(e)		1.96	%		2.49	%		2.74	%
Portfolio turnover rate		17	%		70	%(k)		44	%(l)		39	%(l)		3	%		10	%		11	%

* For the three month period ended December 31, 2018 due to change in fiscal year end.

(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) Effective July 1, 2020, the expense limit decreased from 1.51% to 1.50%.

(h) Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%.

(i) Effective July 1, 2018, the expense limit decreased to 1.53%.

(j) Effective July 1, 2017, the expense limit decreased to 1.55%.

(k) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(l) The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

79  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Investment Grade Bond Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	11.65		$	11.33		$	10.78		$	10.98		$	11.30		$	11.58		$	11.11
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15			0.35			0.38			0.09			0.34			0.39			0.43
Net realized and unrealized gain (loss)		(0.12	)		0.94			0.58			(0.15	)		(0.28	)		0.07			0.47
Total from Investment Operations		0.03			1.29			0.96			(0.06	)		0.06			0.46			0.90
LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.35	)		(0.40	)		(0.09	)		(0.25	)		(0.30	)		(0.28	)
Net realized capital gains		(0.01	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)		(0.15	)
Total Distributions		(0.16	)		(0.97	)		(0.41	)		(0.14	)		(0.38	)		(0.74	)		(0.43	)
Net asset value, end of the period	$	11.52		$	11.65		$	11.33		$	10.78		$	10.98		$	11.30		$	11.58
Total return		0.22	%(b)(c)		11.74	%(b)		9.11	%		(0.58	)%(c)		0.50	%		4.34	%		8.31	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,388,886		$	1,188,772		$	1,367,172		$	1,216,690		$	1,251,189		$	1,203,169		$	47,343
Net expenses		0.45	%(d)(e)		0.46	%(e)(f)		0.47	%(g)		0.48	%(d)		0.47	%(h)		0.48	%(i)		0.47	%
Gross expenses		0.47	%(d)		0.47	%		0.47	%		0.48	%(d)		0.47	%		0.48	%		0.47	%
Net investment income		2.65	%(d)		3.04	%		3.40	%		3.40	%(d)		3.05	%		3.51	%		3.88	%
Portfolio turnover rate		17	%		70	%(j)		44	%(k)		39	%(k)		3	%		10	%		11	%

* For the three month period ended December 31, 2018 due to change in fiscal year end.

(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) Effective July 1, 2020, the expense limit decreased from 0.46% to 0.45%.

(g) Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%.

(h) Effective July 1, 2018, the expense limit decreased to 0.48%.

(i) Effective July 1, 2017, the expense limit decreased to 0.50%.

(j) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k) The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

|  80

Financial Highlights (continued)

For a share outstanding throughout each period.

	Investment Grade Bond Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	11.66		$	11.34		$	10.78		$	10.99		$	11.31		$	11.59		$	11.11
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15			0.35			0.37			0.09			0.33			0.39			0.42
Net realized and unrealized gain (loss)		(0.12	)		0.94			0.59			(0.16	)		(0.28	)		0.06			0.47
Total from Investment Operations		0.03			1.29			0.96			(0.07	)		0.05			0.45			0.89
LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.35	)		(0.39	)		(0.09	)		(0.24	)		(0.29	)		(0.26	)
Net realized capital gains		(0.01	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)		(0.15	)
Total Distributions		(0.16	)		(0.97	)		(0.40	)		(0.14	)		(0.37	)		(0.73	)		(0.41	)
Net asset value, end of the period	$	11.53		$	11.66		$	11.34		$	10.78		$	10.99		$	11.31		$	11.59
Total return		0.20	%(b)(c)		11.68	%(b)		9.04	%(b)		(0.59	)%(b)(c)		0.43	%(b)		4.24	%		8.25	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,878,853		$	3,704,948		$	3,118,505		$	2,912,537		$	3,001,906		$	3,453,137		$	4,571,167
Net expenses		0.50	%(d)(e)		0.51	%(e)(f)		0.52	%(e)(g)		0.53	%(d)(e)		0.55	%(e)(h)		0.57	%(i)		0.60	%
Gross expenses		0.55	%(d)		0.55	%		0.56	%		0.57	%(d)		0.57	%		0.57	%		0.60	%
Net investment income		2.60	%(d)		2.98	%		3.35	%		3.35	%(d)		2.98	%		3.48	%		3.74	%
Portfolio turnover rate		17	%		70	%(j)		44	%(k)		39	%(k)		3	%		10	%		11	%

* For the three month period ended December 31, 2018 due to change in fiscal year end.

(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) Effective July 1, 2020, the expense limit decreased from 0.51% to 0.50%.

(g) Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%.

(h) Effective July 1, 2018, the expense limit decreased to 0.53%.

(i) Effective July 1, 2017, the expense limit decreased to 0.55%.

(j) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k) The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

81  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Investment Grade Bond Fund—Admin Class
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	11.62		$	11.30		$	10.75		$	10.95		$	11.28		$	11.56		$	11.08
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.29			0.32			0.08			0.28			0.34			0.37
Net realized and unrealized gain (loss)		(0.12	)		0.94			0.58			(0.15	)		(0.28	)		0.06			0.47
Total from Investment Operations		0.00	(b)		1.23			0.90			(0.07	)		0.00	(b)		0.40			0.84
LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.29	)		(0.34	)		(0.08	)		(0.20	)		(0.24	)		(0.21	)
Net realized capital gains		(0.01	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)		(0.15	)
Total Distributions		(0.13	)		(0.91	)		(0.35	)		(0.13	)		(0.33	)		(0.68	)		(0.36	)
Net asset value, end of the period	$	11.49		$	11.62		$	11.30		$	10.75		$	10.95		$	11.28		$	11.56
Total return		(0.04	)%(c)(d)		11.17	%(c)		8.43	%(c)		(0.63	)%(c)(d)		(0.07	)%(c)		3.76	%(c)		7.73	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	128,459		$	125,460		$	111,439		$	111,864		$	115,301		$	25,521		$	35,294
Net expenses		1.00	%(e)(f)		1.01	%(f)(g)		1.02	%(f)(h)		1.03	%(e)(f)		1.02	%(f)(i)(j)		1.02	%(f)(k)(l)		1.07	%(m)
Gross expenses		1.05	%(e)		1.05	%		1.06	%		1.07	%(e)		1.05	%(j)		1.03	%(l)		1.07	%(m)
Net investment income		2.10	%(e)		2.48	%		2.85	%		2.85	%(e)		2.56	%		3.03	%		3.27	%
Portfolio turnover rate		17	%		70	%(n)		44	%(o)		39	%(o)		3	%		10	%		11	%

* For the three month period ended December 31, 2018 due to change in fiscal year end.

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

(b) Amount rounds to less than $0.01 per share.

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

(d) 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) Effective July 1, 2020, the expense limit decreased from 1.01% to 1.00%.

(h) Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%.

(i) Effective July 1, 2018, the expense limit decreased to 1.03%.

(j) Includes refund of prior year service fee of 0.02%.

(k) Effective July 1, 2017, the expense limit decreased to 1.05%.

(l) Includes refund of prior year service fee of 0.05%.

(m) Includes refund of prior year service fee of 0.03%.

(n) The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(o) The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

|  82

Financial Highlights (continued)

For a share outstanding throughout each period.

	Strategic Alpha Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.43		$	9.69		$	9.62		$	9.92		$	9.86		$	9.45
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.28			0.30			0.33			0.32			0.30
Net realized and unrealized gain (loss)		0.04			0.67			0.04			(0.30	)		(0.01	)		0.31
Total from Investment Operations		0.18			0.95			0.34			0.03			0.31			0.61
LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.21	)		(0.27	)		(0.33	)		(0.25	)		(0.20	)
Net asset value, end of the period	$	10.53		$	10.43		$	9.69		$	9.62		$	9.92		$	9.86
Total return(b)		1.74	%(c)		9.97	%		3.58	%		0.39	%		3.22	%(d)		6.57	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	41,979		$	36,067		$	48,815		$	36,528		$	28,020		$	67,746
Net expenses		0.98	%(e)		0.99	%		0.99	%		1.00	%(f)		1.05	%(g)(h)		1.10	%
Gross expenses		0.98	%(e)		0.99	%		0.99	%		1.00	%(f)		1.06	%		1.10	%
Net investment income		2.64	%(e)		2.81	%		3.10	%		3.29	%		3.26	%		3.14	%
Portfolio turnover rate		200	%		498	%		414	%(i)		379	%(i)		178	%(j)		72	%

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

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

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

(d) 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) Includes fee/expense recovery of less than 0.01%.

(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, 2017, the expense limit decreased from 1.30% to 1.00%.

(i) The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(j) The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

83  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Strategic Alpha Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.40		$	9.66		$	9.58		$	9.88		$	9.82		$	9.42
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.21			0.23			0.26			0.25			0.23
Net realized and unrealized gain (loss)		0.03			0.66			0.04			(0.31	)		0.00	(b)(c)		0.30
Total from Investment Operations		0.13			0.87			0.27			(0.05	)		0.25			0.53
LESS DISTRIBUTIONS FROM:
Net investment income		(0.03	)		(0.13	)		(0.19	)		(0.25	)		(0.19	)		(0.13	)
Net asset value, end of the period	$	10.50		$	10.40		$	9.66		$	9.58		$	9.88		$	9.82
Total return(d)		1.29	%(e)		9.12	%		2.87	%(f)		(0.42	)%		2.53	%		5.70	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	5,126		$	8,962		$	16,337		$	26,883		$	33,759		$	45,674
Net expenses		1.73	%(g)		1.74	%		1.73	%(h)		1.75	%(i)		1.81	%(j)		1.85	%
Gross expenses		1.73	%(g)		1.74	%		1.74	%		1.75	%(i)		1.81	%		1.85	%
Net investment income		1.85	%(g)		2.14	%		2.33	%		2.61	%		2.52	%		2.40	%
Portfolio turnover rate		200	%		498	%		414	%(k)		379	%(k)		178	%(l)		72	%

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

(i) Includes fee/expense recovery of less than 0.01%.

(j) Effective July 1, 2017, the expense limit decreased from 2.05% to 1.75%.

(k) The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(l) The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

|  84

Financial Highlights (continued)

For a share outstanding throughout each period.

	Strategic Alpha Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	10.41		$	9.67		$	9.60		$	9.90		$	9.90
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15			0.31			0.33			0.34			0.25
Net realized and unrealized gain (loss)		0.04			0.67			0.04			(0.28	)		(0.04	)
Total from Investment Operations		0.19			0.98			0.37			0.06			0.21
LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.24	)		(0.30	)		(0.36	)		(0.21	)
Net asset value, end of the period	$	10.50		$	10.41		$	9.67		$	9.60		$	9.90
Total return		1.79	%(b)		10.36	%		3.92	%		0.68	%		2.11	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	576,639		$	527,494		$	297,300		$	255,226		$	59,282
Net expenses		0.68	%(d)		0.68	%		0.67	%		0.70	%(e)		0.70	%(d)(f)(g)
Gross expenses		0.68	%(d)		0.68	%		0.67	%		0.70	%(e)		0.72	%(d)
Net investment income		2.95	%(d)		3.13	%		3.39	%		3.44	%		3.83	%(d)
Portfolio turnover rate		200	%		498	%		414	%(h)		379	%(h)		178	%(i)

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

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

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

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

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

(e) Includes fee/expense recovery of 0.01%.

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

(g) Effective July 1, 2017, the expense limit decreased from 1.00% to 0.70%.

(h) The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

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

See accompanying notes to financial statements.

85  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Strategic Alpha Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017			Year Ended December 31, 2016
Net asset value, beginning of the period	$	10.41		$	9.67		$	9.59		$	9.90		$	9.85		$	9.44
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15			0.30			0.32			0.35			0.35			0.32
Net realized and unrealized gain (loss)		0.03			0.68			0.06			(0.31	)		(0.01	)		0.32
Total from Investment Operations		0.18			0.98			0.38			0.04			0.34			0.64
LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.24	)		(0.30	)		(0.35	)		(0.29	)		(0.23	)
Net asset value, end of the period	$	10.50		$	10.41		$	9.67		$	9.59		$	9.90		$	9.85
Total return		1.86	%(b)		10.19	%		3.96	%		0.53	%		3.48	%(c)		6.86	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	823,007		$	742,493		$	938,271		$	1,186,322		$	1,031,537		$	1,083,527
Net expenses		0.73	%(d)		0.74	%		0.74	%		0.75	%(e)		0.80	%(f)(g)		0.85	%
Gross expenses		0.73	%(d)		0.74	%		0.74	%		0.75	%(e)		0.81	%		0.85	%
Net investment income		2.89	%(d)		3.05	%		3.33	%		3.51	%		3.53	%		3.39	%
Portfolio turnover rate		200	%		498	%		414	%(h)		379	%(h)		178	%(i)		72	%

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

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

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

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

(e) Includes fee/expense recovery of less than 0.01%.

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

(g) Effective July 1, 2017, the expense limit decreased from 1.05% to 0.75%.

(h) The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(i) The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

|  86

Financial Highlights (continued)

For a share outstanding throughout each period.

	Strategic Income Fund—Class A
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	14.03		$	13.58		$	14.25		$	14.39		$	14.84		$	14.70		$	14.70
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.16			0.10			0.47			0.57			0.52			0.56			0.57
Net realized and unrealized gain (loss)		0.30			0.63			(0.66	)		(0.16	)		(0.33	)		0.42			0.61
Total from Investment Operations		0.46			0.73			(0.19	)		0.41			0.19			0.98			1.18
LESS DISTRIBUTIONS FROM:
Net investment income		(0.18	)		(0.16	)		(0.45	)		(0.48	)		(0.57	)		(0.52	)		(0.36	)
Net realized capital gains		—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)		(0.82	)
Total Distributions		(0.18	)		(0.28	)		(0.48	)		(0.55	)		(0.64	)		(0.84	)		(1.18	)
Net asset value, end of the period	$	14.31		$	14.03		$	13.58		$	14.25		$	14.39		$	14.84		$	14.70
Total return(b)		3.39	%(c)		5.37	%(c)		(1.39	)%		3.02	%		1.34	%		7.01	%		8.72	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,613,944		$	1,682,562		$	1,683,547		$	1,835,813		$	1,986,300		$	1,999,385		$	2,514,770
Net expenses		0.97	%(d)		0.97	%(d)		0.97	%(e)		0.96	%		0.96	%		0.96	%		0.96	%
Gross expenses		0.97	%(d)		0.97	%(d)		0.97	%		0.96	%		0.96	%		0.96	%		0.96	%
Net investment income		2.31	%(d)		2.78	%(d)		3.42	%		4.03	%		3.57	%		3.82	%		4.01	%
Portfolio turnover rate		61	%(g)		30	%(f)		30	%		13	%		6	%		11	%		17	%

* For the three month period ended December 31, 2020.

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

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

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

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

(e) Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%.

(f) The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(g) The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

87  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Strategic Income Fund—Class C
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	14.18		$	13.72		$	14.39		$	14.52		$	14.97		$	14.81		$	14.80
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.07			0.38			0.47			0.41			0.45			0.47
Net realized and unrealized gain (loss)		0.30			0.64			(0.68	)		(0.16	)		(0.33	)		0.44			0.61
Total from Investment Operations		0.41			0.71			(0.30	)		0.31			0.08			0.89			1.08
LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.13	)		(0.34	)		(0.37	)		(0.46	)		(0.41	)		(0.25	)
Net realized capital gains		—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)		(0.82	)
Total Distributions		(0.12	)		(0.25	)		(0.37	)		(0.44	)		(0.53	)		(0.73	)		(1.07	)
Net asset value, end of the period	$	14.47		$	14.18		$	13.72		$	14.39		$	14.52		$	14.97		$	14.81
Total return(b)		3.08	%(c)		5.17	%(c)		(2.18	)%		2.27	%		0.60	%		6.20	%		7.91	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	150,541		$	259,780		$	277,896		$	676,602		$	1,153,853		$	2,248,939		$	3,433,204
Net expenses		1.72	%(d)		1.72	%(d)		1.72	%(e)		1.71	%		1.71	%		1.71	%		1.71	%
Gross expenses		1.72	%(d)		1.72	%(d)		1.72	%		1.71	%		1.71	%		1.71	%		1.71	%
Net investment income		1.61	%(d)		2.04	%(d)		2.75	%		3.30	%		2.79	%		3.08	%		3.26	%
Portfolio turnover rate		61	%(g)		30	%(f)		30	%		13	%		6	%		11	%		17	%

* For the three month period ended December 31, 2020.

(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) Periods less than one year are not annualized.

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

(e) Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%.

(f) The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(g) The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

|  88

Financial Highlights (continued)

For a share outstanding throughout each period.

	Strategic Income Fund—Class N
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	14.01		$	13.57		$	14.24		$	14.38		$	14.83		$	14.69		$	14.69
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.18			0.11			0.52			0.61			0.56			0.60			0.61
Net realized and unrealized gain (loss)		0.31			0.62			(0.66	)		(0.16	)		(0.32	)		0.43			0.62
Total from Investment Operations		0.49			0.73			(0.14	)		0.45			0.24			1.03			1.23
LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.17	)		(0.50	)		(0.52	)		(0.62	)		(0.57	)		(0.41	)
Net realized capital gains		—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)		(0.82	)
Total Distributions		(0.20	)		(0.29	)		(0.53	)		(0.59	)		(0.69	)		(0.89	)		(1.23	)
Net asset value, end of the period	$	14.30		$	14.01		$	13.57		$	14.24		$	14.38		$	14.83		$	14.69
Total return		3.63	%(b)		5.39	%(b)		(1.06	)%		3.37	%		1.67	%		7.38	%		9.09	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	247,817		$	247,697		$	212,804		$	202,989		$	176,456		$	141,695		$	130,637
Net expenses		0.65	%(c)		0.65	%(c)		0.64	%(d)		0.63	%		0.63	%		0.63	%		0.63	%
Gross expenses		0.65	%(c)		0.65	%(c)		0.64	%		0.63	%		0.63	%		0.63	%		0.63	%
Net investment income		2.64	%(c)		3.13	%(c)		3.77	%		4.36	%		3.91	%		4.13	%		4.34	%
Portfolio turnover rate		61	%(f)		30	%(e)		30	%		13	%		6	%		11	%		17	%

* For the three month period ended December 31, 2020.

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

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

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

(d) Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%.

(e) The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(f) The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

89  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Strategic Income Fund—Class Y
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	14.01		$	13.56		$	14.23		$	14.38		$	14.83		$	14.69		$	14.69
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.18			0.11			0.51			0.60			0.55			0.59			0.61
Net realized and unrealized gain (loss)		0.30			0.62			(0.66	)		(0.17	)		(0.32	)		0.43			0.61
Total from Investment Operations		0.48			0.73			(0.15	)		0.43			0.23			1.02			1.22
LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.16	)		(0.49	)		(0.51	)		(0.61	)		(0.56	)		(0.40	)
Net realized capital gains		—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)		(0.82	)
Total Distributions		(0.20	)		(0.28	)		(0.52	)		(0.58	)		(0.68	)		(0.88	)		(1.22	)
Net asset value, end of the period	$	14.29		$	14.01		$	13.56		$	14.23		$	14.38		$	14.83		$	14.69
Total return		3.59	%(b)		5.44	%(b)		(1.14	)%		3.22	%		1.66	%		7.22	%		9.00	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,263,858		$	3,693,954		$	3,774,113		$	4,316,010		$	5,118,016		$	5,702,607		$	5,350,759
Net expenses		0.72	%(c)		0.72	%(c)		0.72	%(d)		0.71	%		0.71	%		0.71	%		0.71	%
Gross expenses		0.72	%(c)		0.72	%(c)		0.72	%		0.71	%		0.71	%		0.71	%		0.71	%
Net investment income		2.57	%(c)		3.03	%(c)		3.68	%		4.28	%		3.82	%		4.04	%		4.26	%
Portfolio turnover rate		61	%(f)		30	%(e)		30	%		13	%		6	%		11	%		17	%

* For the three month period ended December 31, 2020.

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

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

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

(d) Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%.

(e) The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(f) The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

|  90

Financial Highlights (continued)

For a share outstanding throughout each period.

	Strategic Income Fund—Admin Class
	Six Months Ended June 30, 2021 (Unaudited)			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Net asset value, beginning of the period	$	13.97		$	13.53		$	14.20		$	14.34		$	14.79		$	14.65		$	14.66
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.09			0.44			0.53			0.48			0.52			0.53
Net realized and unrealized gain (loss)		0.31			0.62			(0.66	)		(0.16	)		(0.33	)		0.43			0.61
Total from Investment Operations		0.45			0.71			(0.22	)		0.37			0.15			0.95			1.14
LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.15	)		(0.42	)		(0.44	)		(0.53	)		(0.49	)		(0.33	)
Net realized capital gains		—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)		(0.82	)
Total Distributions		(0.16	)		(0.27	)		(0.45	)		(0.51	)		(0.60	)		(0.81	)		(1.15	)
Net asset value, end of the period	$	14.26		$	13.97		$	13.53		$	14.20		$	14.34		$	14.79		$	14.65
Total return		3.35	%(b)		5.24	%(b)		(1.64	)%		2.78	%		1.09	%		6.79	%		8.42	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	96,523		$	105,172		$	103,197		$	121,903		$	133,220		$	142,871		$	143,275
Net expenses		1.22	%(c)		1.22	%(c)		1.22	%(d)		1.20	%(e)		1.20	%(e)		1.19	%(f)		1.20	%(e)
Gross expenses		1.22	%(c)		1.22	%(c)		1.22	%		1.20	%(e)		1.20	%(e)		1.19	%(f)		1.20	%(e)
Net investment income		2.07	%(c)		2.53	%(c)		3.19	%		3.80	%		3.33	%		3.57	%		3.76	%
Portfolio turnover rate		61	%(h)		30	%(g)		30	%		13	%		6	%		11	%		17	%

* For the three month period ended December 31, 2020.

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

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

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

(d) Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%.

(e) Includes refund of prior year service fee of 0.01%.

(f) Includes refund of prior year service fee of 0.02%.

(g) The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

(h) The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the six months ended June 30, 2021 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

91  |

Notes to Financial Statements

June 30, 2021 (Unaudited)

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

Loomis Sayles Funds II:

Loomis Sayles High Income Fund (the “High Income Fund”)

Loomis Sayles Investment Grade Bond Fund (the “Investment Grade Bond Fund”)

Loomis Sayles Strategic Income Fund (the “Strategic Income Fund”)

Natixis Funds Trust II:

Loomis Sayles Intermediate Municipal Bond Fund (the “Intermediate Municipal Bond Fund”)

Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares, except for Intermediate Municipal Bond Fund, which does not offer Class N shares. In addition, Investment Grade Bond Fund and Strategic Income Fund also offer Admin Class shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for each Fund, except Intermediate Municipal Bond Fund, which are sold with a maximum front-end sales charge of 3.00%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.

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

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

a.  Valuation.  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 or sub-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 or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are

|  92

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

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. Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available. Equity linked notes are valued using broker-dealer bid prices. Broker-dealer bid prices may be used to value debt, unlisted equity securities, senior loans and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared swap agreements are valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source. Domestic exchange-traded index and single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations as determined by the Options Price Reporting Authority. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Option contracts on foreign indices are priced at the most recent settlement price. Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers. Shares of open-end investment companies are valued at net asset value per share.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (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 June 30, 2021, securities and other investments of the funds included in net assets were fair valued as follows:

Fund	Equity Securities1		Percentage of Net Assets			Securities classified as fair valued		Percentage of Net Assets			Securities fair valued by the Fund’s adviser		Percentage of Net Assets
High Income Fund	$	—		—		$	1,506,842		1.3	%	$	250,752		0.2	%
Investment Grade Bond Fund		—		—			98,676,926		1.6	%		—		—
Strategic Alpha Fund		970,734		0.1	%		7,163,951		0.5	%		5,989,942		0.4	%
Strategic Income Fund		—		—			85,824,919		1.6	%		47,210,136		0.9	%

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 on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statement of

93  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For payment-in-kind securities, income received in-kind is reflected as an increase to the principal and cost basis of the securities. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded 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 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.

For the six months ended June 30, 2021, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:

Strategic Alpha Fund	$	6,485,730
Strategic Income Fund		1,484,377

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

d.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

e.  Futures Contracts.  The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

|  94

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f.  Option Contracts.  Intermediate Municipal Bond Fund and Strategic Alpha Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-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 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 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 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 or index underlying the written option.

Exchange-traded options 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. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

g.  Swap Agreements.  The Funds may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

95  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

h.  Swaptions.  The Funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

There were no swaptions held by the Funds as of June 30, 2021.

i.  Due from Brokers.  Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for High Income Fund represents cash pledged as initial margin for closed centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for forward foreign currency contracts and options, and as initial margin for futures contracts and centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Income Fund represents cash pledged as collateral for forward foreign currency contracts, and as initial

|  96

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

margin for centrally cleared swap agreements. In certain circumstances the Funds’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2021 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

k. Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, defaulted and/or non-income producing securities, swap adjustments, foreign currency gains and losses, distribution re-designations, deferred Trustees’ fees, non-deductible expenses, distributions in excess of income and/or capital gains, forward foreign currency contract mark-to-market, futures contract mark-to-market, net operating losses, return of capital distributions received, partnership basis adjustments, capital gain distributions received, trust preferred securities, convertible bond adjustments, corporate actions, contingent payment debt instruments and premium amortization. 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, premium amortization, defaulted and/or non-income producing securities, swap adjustments, wash sales, foreign currency gains and losses, paydown gains and losses, distributions in excess of income and/or capital gains, forward foreign currency contract mark-to-market, futures contract mark-to-market, return of capital distributions received, net operating losses, partnership basis adjustments, capital gain distributions received, trust preferred securities, convertible bond adjustments, corporate actions, contingent payment debt instruments and straddle loss deferral adjustments. 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 December 31, 2020 (period ended for Strategic Income Fund) was as follows:

	2020 Distributions
Fund	Ordinary Income		Tax Exempt Income		Long-Term Capital Gains		Total
High Income Fund	$	6,265,130	$	—	$	—	$	6,265,130
Intermediate Municipal Bond Fund		791		414,256		—		415,047
Investment Grade Bond Fund		312,629,628		—		154,088,171		466,717,799
Strategic Alpha Fund		28,229,130		—		—		28,229,130
Strategic Income Fund		77,888,540		—		42,139,359		120,027,899

97  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

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

As of December 31, 2020, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:

	High Income Fund			Intermediate Municipal Bond Fund			Investment Grade Bond Fund		Strategic Alpha Fund			Strategic Income Fund
Capital loss carryforward:
Short-term:
No expiration date	$	—		$	(343,372	)	$	—	$	—		$	—
Long-term:
No expiration date		(10,466,344	)		—			—		(45,069,017	)		—
Total capital loss carryforward	$	(10,466,344	)	$	(343,372	)	$	—	$	(45,069,017	)	$	—
Late-year ordinary and post-October capital loss deferrals*	$	—		$	—		$	—	$	(3,300,526	)	$	(189,804,643	)

* Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Strategic Alpha Fund is deferring capital and foreign currency losses. Strategic Income Fund is deferring capital losses. Strategic Income Fund elected not to defer foreign currency losses in the amount of $382,266,817.

As of June 30, 2021, unrealized appreciation (depreciation) on a tax basis was approximately as follows:

	High Income Fund		Intermediate Municipal Bond Fund		Investment Grade Bond Fund		Strategic Alpha Fund			Strategic Income Fund
Unrealized appreciation (depreciation)
Investments	$	1,722,528	$	1,486,203	$	339,450,584	$	35,365,471		$	123,096,310
Foreign currency translations		—		—		—		(21,281,104	)		1,558,621
Total unrealized appreciation	$	1,722,528	$	1,486,203	$	339,450,584	$	14,084,367		$	124,654,931

As of June 30, 2021, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

	High Income Fund			Intermediate Municipal Bond Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Federal tax cost	$	112,932,439		$	38,554,551		$	5,970,322,921		$	1,414,550,549		$	5,241,510,971
Gross tax appreciation	$	6,081,354		$	1,503,400		$	394,018,385		$	70,185,067		$	329,374,956
Gross tax depreciation		(4,358,826	)		(17,197	)		(54,567,801	)		(55,922,590	)		(204,719,010	)
Net tax appreciation	$	1,722,528		$	1,486,203		$	339,450,584		$	14,262,477		$	124,655,946

The difference between these amounts and those reported in the preceding table are primarily attributable to foreign currency mark-to-market.

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

l.  Senior Loans.  Each Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the

|  98

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

m.  Loan Participations.  A Fund’s investments in senior loans may be in the form of participations in loans. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. The Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, the Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

The Funds did not hold any loan participations as of June 30, 2021.

n.  Collateralized Loan Obligations.  Each Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. The intent of the Funds when investing in CLOs is to purchase only higher level, investment grade level select tranches. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

o.  Equity Linked Notes.  Strategic Alpha Fund may invest in equity linked notes. An equity linked note is a structured product that differs from a standard debt instrument where the cash payouts will be based on the return of an underlying equity. An equity linked note is typically purchased at a full nominal amount and includes a coupon with an enhanced yield relative to the dividend yield of the underlying security. At maturity the Fund will receive a redemption amount based on the final price of the underlying equity. The risk of investment in an equity linked note depends on the principal protection offered. Some equity linked notes may guarantee total principal or partial principal amounts while others may not provide any guarantee of principal. The maturity value may also be impacted to the extent of any limit on the return value as part of the note structure. Equity linked notes outstanding at the end of the period, if any, are listed in the Fund’s Portfolio of Investments.

The Fund did not hold any equity linked notes as of June 30, 2021.

p.  Repurchase Agreements.  Each Fund, except International Growth Fund, may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2021, 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.

q.  When-Issued and Delayed Delivery Transactions.  The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

99  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2021.

r.  Stripped Securities.  Each Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs.

The Funds did not hold any stripped securities as of June 30, 2021.

s.  Securities Lending.  High Income Fund, Investment Grade Bond Fund and Strategic Income Fund have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2021, the Funds did not loan securities under this agreement.

t.  Unfunded Loan Commitments.  The Funds 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 Statements 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 June 30, 2021, the Funds did not have any unfunded loan commitments.

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

v.  New Accounting Pronouncement.  In March 2020, the Financial Accounting Standards Board issued Accounting Standard Update 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than June 30, 2023, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.

|  100

Notes to Financial Statements (continued)

June 30, 2021 (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 Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

101  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2021, at value:

High Income Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	$	1,064,433	$	—	(b)	$	1,064,433
Non-Agency Commercial Mortgage-Backed Securities		—		1,659,747		133,712	(c)		1,793,459
All Other Non-Convertible Bonds(a)		—		92,747,427		—			92,747,427
Total Non-Convertible Bonds		—		95,471,607		133,712			95,605,319
Convertible Bonds(a)		—		6,395,161		—			6,395,161
Total Bonds and Notes		—		101,866,768		133,712			102,000,480
Collateralized Loan Obligations		—		1,647,032		310,000	(d)		1,957,032
Senior Loans(a)		—		408,403		—			408,403
Preferred Stocks
Food & Beverage		—		731,990		—			731,990
Wireless		—		1,262,600		—			1,262,600
All Other Preferred Stocks(a)		397,254		—		—			397,254
Total Preferred Stocks		397,254		1,994,590		—			2,391,844
Common Stocks
Chemicals		—		225,275		—			225,275
All Other Common Stocks(a)		522,964		—		—			522,964
Total Common Stocks		522,964		225,275		—			748,239
Other Investments(a)		—		—		114,940	(c)		114,940
Warrants		—		—		2,100	(c)		2,100
Exchange-Traded Funds		1,144,520		—		—			1,144,520
Short-Term Investments		—		5,887,409		—			5,887,409
Total	$	2,064,738	$	112,029,477	$	560,752		$	114,654,967

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

(b) Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs.

(c) Fair valued by the Fund’s adviser.

(d) Valued using broker-dealer bid prices.

Intermediate Municipal Bond Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	37,574,148	$	—	$	37,574,148
Short-Term Investments		—		2,466,606		—		2,466,606
Total	$	—	$	40,040,754	$	—	$	40,040,754

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

|  102

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Investment Grade Bond Fund

Asset Valuation Inputs

Description	Level 1			Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—		$	185,488,716	$	20,003,260	(b)	$	205,491,976
All Other Non-Convertible Bonds(a)		—			5,442,274,182		—			5,442,274,182
Total Non-Convertible Bonds		—			5,627,762,898		20,003,260			5,647,766,158
Convertible Bonds(a)		—			94,516,759		—			94,516,759
Municipals(a)		—			7,705,274		—			7,705,274
Total Bonds and Notes		—			5,729,984,931		20,003,260			5,749,988,191
Senior Loans(a)		—			6,830,819		—			6,830,819
Collateralized Loan Obligations		—			164,020,493		—			164,020,493
Preferred Stocks
Banking		53,132,442			—		—			53,132,442
Food & Beverage		—			16,079,184		—			16,079,184
Wireless		—			23,036,783		—			23,036,783
Total Preferred Stocks		53,132,442			39,115,967		—			92,248,409
Short-Term Investments		—			311,131,660		—			311,131,660
Total	$	53,132,442		$	6,251,083,870	$	20,003,260		$	6,324,219,572
Liability Valuation Inputs
Description	Level 1			Level 2		Level 3			Total
Futures Contracts (unrealized depreciation)	$	(14,446,067	)	$	—	$	—		$	(14,446,067	)

(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.

Strategic Alpha Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	66,992,385	$	3,067,797	(b)	$	70,060,182
Non-Agency Commercial Mortgage-Backed Securities		—		44,823,995		1,887,685	(b)		46,711,680
All Other Non-Convertible Bonds(a)		—		983,399,910		—			983,399,910
Total Non-Convertible Bonds		—		1,095,216,290		4,955,482			1,100,171,772
Convertible Bonds(a)		—		51,251,354		—			51,251,354
Total Bonds and Notes		—		1,146,467,644		4,955,482			1,151,423,126
Senior Loans(a)		—		14,422,181		—			14,422,181
Collateralized Loan Obligations		—		69,332,201		2,870,000	(c)		72,202,201
Common Stocks
Chemicals		529,163		2,563,268		—			3,092,431
Textiles, Apparel & Luxury Goods		618,115		970,734		—			1,588,849
All Other Common Stocks(a)		54,204,684		—		—			54,204,684
Total Common Stocks		55,351,962		3,534,002		—			58,885,964

103  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Preferred Stocks
Food & Beverage	$	—		$	3,631,402		$	—		$	3,631,402
Wireless		—			4,090,220			—			4,090,220
All Other Preferred Stocks(a)		15,307,149			—			—			15,307,149
Total Preferred Stocks		15,307,149			7,721,622			—			23,028,771
Other Investments(a)		—			—			1,034,460	(b)		1,034,460
Short-Term Investments		—			112,498,075			—			112,498,075
Total Investments		70,659,111			1,353,975,725			8,859,942			1,433,494,778
Forward Foreign Currency Contracts (unrealized appreciation)		—			162,764			—			162,764
Total	$	70,659,111		$	1,354,138,489		$	8,859,942		$	1,433,657,542
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3			Total
Written Options(a)	$	(158,676	)	$	—		$	—		$	(158,676	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(153,050	)		—			(153,050	)
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation)		—			(849,143	)		—			(849,143	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(473,027	)		—			(473,027	)
Futures Contracts (unrealized depreciation)		(3,345,516	)		—			—			(3,345,516	)
Total	$	(3,504,192	)	$	(1,475,220	)	$	—		$	(4,979,412	)

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

(b) Fair valued by the Fund’s adviser.

(c) Valued using broker-dealer bid prices.

Strategic Income Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	73,296,178	$	11,249,998	(b)	$	84,546,176
ABS Other		—		40,640,171		32,058,634	(c)		72,698,805
Independent Energy		—		168,907,240		501,932	(c)		169,409,172
Property & Casualty Insurance		—		7,019,208		3,674,812	(b)		10,694,020
All Other Non-Convertible Bonds(a)		—		3,661,930,829		—			3,661,930,829
Total Non-Convertible Bonds		—		3,951,793,626		47,485,376			3,999,279,002
Convertible Bonds
Oil Field Services		—		—		7,933,006	(c)		7,933,006
All Other Convertible Bonds(a)		—		329,503,306		—			329,503,306
Total Convertible Bonds		—		329,503,306		7,933,006			337,436,312
Municipals(a)		—		69,725,637		—			69,725,637
Total Bonds and Notes		—		4,351,022,569		55,418,382			4,406,440,951
Senior Loans(a)		—		38,247,084		—			38,247,084
Collateralized Loan Obligations		—		86,666,033		49,235,000	(b)		135,901,033
Common Stocks
Chemicals		—		12,288,662		—			12,288,662
Oil Field Services		—		—		—	(d)		—
Oil, Gas & Consumable Fuels		37,863,326		—		6,716,564	(c)		44,579,890
Software		15,877,449		318,800		—			16,196,249
All Other Common Stocks(a)		477,135,026		—		—			477,135,026
Total Common Stocks		530,875,801		12,607,462		6,716,564			550,199,827

|  104

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Preferred Stocks
Convertible Preferred Stocks
Food & Beverage	$	—		$	4,326,717		$	—	$	4,326,717
Wireless		—			14,909,267			—		14,909,267
All Other Convertible Preferred Stocks(a)		69,346,085			—			—		69,346,085
Total Convertible Preferred Stocks		69,346,085			19,235,984			—		88,582,069
Non-Convertible Preferred Stocks
REITs – Office Property		—			1,995,000			—		1,995,000
REITs – Warehouse/Industrials		—			8,435,539			—		8,435,539
All Other Non-Convertible Preferred Stocks(a)		4,127,659			—			—		4,127,659
Total Non-Convertible Preferred Stocks		4,127,659			10,430,539			—		14,558,198
Total Preferred Stocks		73,473,744			29,666,523			—		103,140,267
Closed-End Investment Companies		2,343,080			—			—		2,343,080
Short-Term Investments		—			136,491,802			—		136,491,802
Total Investments		606,692,625			4,654,701,473			111,369,946		5,372,764,044
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)		—			5,007,513			—		5,007,513
Total	$	606,692,625		$	4,659,708,986		$	111,369,946	$	5,377,771,557
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(981,452	)	$	—	$	(981,452	)
Futures Contracts (unrealized depreciation)		(10,623,188	)		—			—		(10,623,188	)
Total	$	(10,623,188	)	$	(981,452	)	$	—	$	(11,604,640	)

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

(b) Valued using broker-dealer bid prices.

(c) Fair valued by the Fund’s adviser.

(d) Includes a security fair valued at zero by the Fund’s adviser using level 3 inputs

105  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2020 and/or June 30, 2021:

High Income Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2020			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2021			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2021
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	(a)	$	22,744	$	—		$	(22,744	)	$	—	$	—		$	—	$	—	$	—	(a)	$	(22,744	)
Non-Agency Commercial Mortgage-Backed Securities		390,104			—		—			(256,392	)		—		—			—		—		133,712			(256,392	)
Collateralized Loan Obligations		—			—		—			—			310,000		—			—		—		310,000			—
Loan Participations
ABS Other		161,345			3		(114,111	)		132,886			9,535		(189,658	)		—		—		—			—
Preferred Stocks
Energy		—	(a)		—		(752,373	)		752,373			—		—			—		—		—			—
Other Investments
Aircraft ABS		125,600			—		—			(10,660	)		—		—			—		—		114,940			(10,660	)
Warrants		37,995			—		—			(28,497	)		—		(7,398	)		—		—		2,100			(29,847	)
Total	$	715,044		$	22,747	$	(866,484	)	$	566,966		$	319,535	$	(197,056	)	$	—	$	—	$	560,752		$	(319,643	)

(a) Includes a security fair valued at zero using level 3 inputs.

Investment Grade Bond Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2020			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2021		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2021
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	21,594,566		$	—	$	2,599		$	1,299,380	$	—	$	(2,893,285	)	$	—	$	—		$	20,003,260	$	1
Collateralized Loan Obligations		14,755,000			—		—			—		—		—			—		(14,755,000	)		—		—
Preferred Stocks
Energy		—	(a)		—		(3,487,753	)		3,487,753		—		—			—		—			—		—
Total	$	36,349,566		$	—	$	(3,485,154	)	$	4,787,133	$	—	$	(2,893,285	)	$	—	$	(14,755,000	)	$	20,003,260	$	1

(a) Includes a security fair valued at zero using level 3 inputs.

A debt security valued at $14,755,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2021. At December 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2021 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.

|  106

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Strategic Alpha Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2020			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2021		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2021
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	1,475,243	(a)	$	—	$	—		$	2,062,741		$	100,953	$	—		$	—	$	(571,140	)	$	3,067,797	$	2,062,741
Non-Agency Commercial Mortgage-Backed Securities		4,742,511			—		—			(2,854,826	)		—		—			—		—			1,887,685		(2,854,826	)
Collateralized Loan Obligations		—			—		—			—			2,870,000		—			—		—			2,870,000		—
Loan Participations
ABS Other		580,841			46		(410,923	)		478,390			34,327		(682,681	)		—		—			—		—
Preferred Stocks
Energy		—	(a)		—		(1,062,020	)		1,062,020			—		—			—		—			—		—
Other Investments
Aircraft ABS		1,130,400			—		—			(95,940	)		—		—			—		—			1,034,460		(95,940	)
Total	$	7,928,995		$	46	$	(1,472,943	)	$	652,385		$	3,005,280	$	(682,681	)	$	—	$	(571,140	)	$	8,859,942	$	(888,025	)

(a) Includes a security fair valued at zero using level 3 inputs.

A debt security valued at $571,140 was transferred from Level 3 to Level 2 during the period ended June 30, 2021. At December 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At June 30, 2021, 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.

107  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Strategic Income Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2020			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2021			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2021
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—		$	—	$	—		$	—		$	11,249,998	$	—		$	—	$	—		$	11,249,998		$	—
ABS Other		14,217,962	(a)		—		—			21,667,146			1,043,916		—			—		(4,870,390	)		32,058,634			21,667,146
Independent Energy		—			162,771		—			247,699			—		—			91,462		—			501,932			247,699
Property & Casualty Insurance		—			27,163		—			(730,851	)		—		—			4,378,500		—			3,674,812			(730,851	)
Convertible Bonds
Oil Field Services		6,330,947			58,987		—			1,288,817			254,255		—			—		—			7,933,006			1,288,817
Senior Loans
Construction Machinery		9,862,216			436,973		(6,497,335	)		6,069,631			—		(9,871,485	)		—		—			—			—
Collateralized Loan Obligations		—			—		—			—			49,235,000		—			—		—			49,235,000			—
Common Stocks
Oil Field Services		—	(a)		—		—			—			—		—			—		—			—	(a)		—
Oil, Gas & Consumable Fuels		3,473,775	(a)		—		(1,167,146	)		2,944,165			—		—			1,465,770		—			6,716,564			1,777,019
Specialty Retail		—	(a)		—		—			—			—		—			—		—			—			—
Preferred Stocks
Convertible Preferred Stocks
Energy		—	(a)		—		(122,532,800	)		122,532,800			—		—			—		—			—			—
Warrants		9,760,259			—		—			8,285,057			—		(18,045,316	)		—		—			—			—
Total	$	43,645,159		$	685,894	$	(130,197,281	)	$	162,304,464		$	61,783,169	$	(27,916,801	)	$	5,935,732	$	(4,870,390	)	$	111,369,946		$	24,249,830

(a) Includes a security fair valued at zero using Level 3 inputs.

A debt security valued at $4,870,390 was transferred from Level 3 to Level 2 during the period ended June 30, 2021. At December 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At June 30, 2021, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $91,462 were transferred from Level 2 to Level 3 during the period ended June 30, 2021. At December 31, 2020, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2021, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the securities.

A debt security valued at $4,378,500 was transferred from Level 2 to Level 3 during the period ended June 30, 2021. At December 31, 2020, 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 June 30, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

A common stock valued at $1,465,770 was transferred from Level 2 to Level 3 during the period ended June 30, 2021. At December 31, 2020, 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 June 30, 2021, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that High Income Fund, Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

|  108

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

High Income Fund, Strategic Alpha Fund and Strategic Income Fund are subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Funds may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Funds may also use credit default swaps, as a protection seller, to gain investment exposure. During the six months ended June 30, 2021, High Income Fund, Strategic Alpha Fund and Strategic Income Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure. Strategic Alpha Fund also engaged in credit default swap agreements (as a protection buyer) to hedge its credit exposure.

Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the six months ended June 30, 2021, the Funds engaged in forward foreign currency contracts for hedging purposes and to gain exposure to foreign currencies.

Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Funds may also use futures contracts and interest rate swap agreements to gain investment exposure. During the six months ended June 30, 2021, Strategic Alpha Fund engaged in futures contracts and interest rate swap agreements for hedging purposes and to manage duration and interest rate swap agreements to gain investment exposure. During the six months ended June 30, 2021, Investment Grade Bond Fund and Strategic Income Fund used futures contracts to manage duration.

Strategic Alpha 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 futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes and use futures and option contracts to gain investment exposure. During the six months ended June 30, 2021, the Fund engaged in option contracts for hedging purposes.

Transactions in derivative instruments for High Income Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Swap Agreements
Credit contracts	$	199,712

The following is a summary of derivative instruments for Investment Grade Bond Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

Liabilities	Unrealized depreciation on futures contracts1
Exchange-traded liability derivatives
Interest rate contracts	$	(14,446,067	)

¹  Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Investment Grade Bond Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations, were as follows:

Net Realized Gain (Loss) on:	Futures Contracts
Interest rate contracts	$	31,143,427

109  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Net Change in Unrealized Appreciation (Depreciation) on:	Futures Contracts
Interest rate contracts	$	(14,446,067	)

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	162,764

Liabilities	Options written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts1			Swap agreements at value2			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	—		$	(473,027	)	$	—		$	—		$	(473,027	)
Credit contracts		—			—			—			(70,624	)		(70,624	)
Total over-the counter liability derivatives	$	—		$	(473,027	)	$	—		$	(70,624	)	$	(543,651	)
Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(3,345,516	)	$	(847,667	)	$	(4,193,183	)
Equity contracts		(158,676	)		—			—			—			(158,676	)
Total exchange-traded/cleared liability derivatives	$	(158,676	)	$	—		$	(3,345,516	)	$	(847,667	)	$	(4,351,859	)
Total liability derivatives	$	(158,676	)	$	(473,027	)	$	(3,345,516	)	$	(918,291	)	$	(4,895,510	)

¹   Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

²  Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day’s variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Strategic Alpha Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures contracts			Options written			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	(2,257,537	)	$	—		$	(473,046	)	$	—
Foreign exchange contracts		—			—			—			(3,894,601	)
Credit contracts		—			—			5,538,695			—
Equity contracts		—			(132,499	)		—			—
Total	$	(2,257,537	)	$	(132,499	)	$	5,065,649		$	(3,894,601	)

|  110

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Options written			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	(3,323,082	)	$	—		$	331		$	—
Foreign exchange contracts		—			—			—			2,751,304
Credit contracts		—			—			(3,221,253	)		—
Equity contracts		—			(32,112	)		—			—
Total	$	(3,323,082	)	$	(32,112	)	$	(3,220,922	)	$	2,751,304

The following is a summary of derivative instruments for Strategic Income Fund as of June 30, 2021, as reflected within the Statements of Assets and Liabilities:

Assets	Swap agreements at value1
Exchange-traded/cleared asset derivatives
Credit contracts	$	27,511,552

Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts2
Over-the-counter liability derivatives
Foreign exchange contracts	$	(981,452	)	$	—
Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(10,623,188	)
Total liability derivatives	$	(981,452	)	$	(10,623,188	)

¹   Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day’s variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

²  Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Strategic Income Fund during the six months ended June 30, 2021, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Futures contracts		Swap agreements		Forward foreign currency contracts
Interest rate contracts	$	11,522,672	$	—	$	—
Foreign exchange contracts		—		—		(936,517	)
Credit contracts		—		2,472,346		—
Total	$	11,522,672	$	2,472,346	$	(936,517	)

111  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Swap agreements		Forward foreign currency contracts
Interest rate contracts	$	(10,623,188	)	$	—	$	—
Foreign exchange contracts		—			—		(981,452	)
Credit contracts		—			5,007,513		—
Total	$	(10,623,188	)	$	5,007,513	$	(981,452	)

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for High Income Fund, Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2021:

High Income Fund	Credit Default Swaps
Average Notional Amount Outstanding		3.68	%
Highest Notional Amount Outstanding		10.24	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of June 30, 2021		0.00	%

Investment Grade Bond Fund	Futures
Average Notional Amount Outstanding		9.64	%
Highest Notional Amount Outstanding		13.27	%
Lowest Notional Amount Outstanding		5.55	%
Notional Amount Outstanding as of June 30, 2021		12.05	%

Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		3.08	%		13.25	%		4.89	%		1.63	%
Highest Notional Amount Outstanding		3.52	%		22.02	%		8.18	%		1.65	%
Lowest Notional Amount Outstanding		2.43	%		8.55	%		1.48	%		1.58	%
Notional Amount Outstanding as of June 30, 2021		2.47	%		16.14	%		1.49	%		1.60	%

Strategic Income Fund	Forwards			Futures			Credit Default Swaps
Average Notional Amount Outstanding		0.22	%		8.12	%		3.39	%
Highest Notional Amount Outstanding		0.80	%		15.87	%		4.95	%
Lowest Notional Amount Outstanding		0.00	%		3.35	%		0.00	%
Notional Amount Outstanding as of June 30, 2021		0.28	%		13.09	%		4.95	%

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in net assets.

|  112

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2021:

Strategic Alpha Fund	Call Options Written*
Average Market Value of Underlying Instruments		0.80	%
Highest Market Value of Underlying Instruments		1.05	%
Lowest Market Value of Underlying Instruments		0.66	%
Market Value of Underlying Instruments as of June 30, 2021		0.67	%

* Market value of underlying instruments is determined by multiplying option shares by the price of the option’s underlying security.

Amounts outstanding at the end of the prior period, if applicable, are included in the average amount outstanding.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of June 30, 2021, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Strategic Alpha Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	31,494		$	(31,494	)	$	—		$	—	$	—
Barclays Bank PLC		36,428			(36,428	)		—			—		—
Deutsche Bank AG		7,338			—			7,338			—		7,338
HSBC Bank USA		14,249			—			14,249			—		14,249
Morgan Stanley Capital Services, Inc.		73,255			(73,255	)		—			—		—
	$	162,764		$	(141,177	)	$	21,587		$	—	$	21,587
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(232,713	)	$	31,494		$	(201,219	)	$	201,219	$	—
Barclays Bank PLC		(70,624	)		36,428			(34,196	)		—		(34,196	)
Morgan Stanley Capital Services, Inc.		(240,314	)		73,255			(167,059	)		130,498		(36,561	)
	$	(543,651	)	$	141,177		$	(402,474	)	$	331,717	$	(70,757	)

Strategic Income Fund
Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(981,452	)	$	—	$	(981,452	)	$	981,452	$	—

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The

113  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2021:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
High Income Fund	$	1,375,010	$	1,375,010
Investment Grade Bond Fund		24,718,739		24,718,739
Strategic Alpha Fund		18,997,725		18,524,831
Strategic Income Fund		50,050,453		49,069,001

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2021, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:

	U.S. Government/Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
High Income Fund	$	2,475,487	$	—	$	59,736,303	$	57,233,136
Intermediate Municipal Bond Fund		—		—		11,669,539		9,952,498
Investment Grade Bond Fund		79,138,888		147,926,173		1,205,292,120		864,247,571
Strategic Alpha Fund		2,094,360,522		2,095,102,670		543,877,484		301,854,619
Strategic Income Fund		763,186,242		763,180,407		2,690,255,732		2,380,997,279

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to High Income Fund, Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $1.05 billion			Next $750 million			Next $13 billion			Next $10 billion			Over $25 billion
High Income Fund		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%
Investment Grade Bond Fund		0.40	%		0.40	%		0.40	%		0.40	%		0.38	%		0.38	%
Strategic Alpha Fund		0.60	%		0.60	%		0.55	%		0.55	%		0.55	%		0.55	%
Strategic Income Fund		0.65	%		0.60	%		0.60	%		0.55	%		0.54	%		0.53	%

|  114

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

Natixis Advisors, LLC (“Natixis Advisors”) serves as investment adviser to Intermediate Municipal Bond Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC.

Under the terms of the management agreement, Intermediate Municipal Bond Fund pays a management fee at the annual rate of 0.40% of the Fund’s average daily net assets, calculated daily and payable monthly.

Natixis Advisors has entered into a subadvisory agreement for the Fund with Loomis Sayles. Under the terms of the subadvisory agreement, the Fund has agreed to pay Loomis Sayles a subadvisory fee at the annual rate of 0.20% of the Fund’s average daily net assets, calculated daily and payable monthly.

Payments to Natixis Advisors are reduced by the amounts of payments to Loomis Sayles, as calculated based on the above.

Natixis Advisors and Loomis Sayles 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, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2022, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:

	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y			Admin Class
High Income Fund		1.00	%		1.75	%		0.70	%		0.75	%		—
Intermediate Municipal Bond Fund		0.70	%		1.45	%		—			0.45	%		—
Investment Grade Bond Fund		0.75	%		1.50	%		0.45	%		0.50	%		1.00	%
Strategic Alpha Fund		1.00	%		1.75	%		0.70	%		0.75	%		—
Strategic Income Fund		1.00	%		1.75	%		0.70	%		0.75	%		1.25	%

Effective July 1, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Strategic Income Fund are as follows:

	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y			Admin Class
Strategic Income Fund		0.95	%		1.70	%		0.65	%		0.70	%		1.20	%

This new undertaking is in effect until April 30, 2023, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

Natixis Advisors and Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For six months ended June 30, 2021, the management fees and waivers of management fees for each Fund were as follows:

	Gross Management Fees		Contractual Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
Fund							Gross			Net
High Income Fund	$	361,288	$	144,649	$	216,639		0.60	%		0.36	%
Intermediate Municipal Bond Fund		77,190		77,190		—		0.40	%		—	%
Investment Grade Bond Fund		12,292,653		1,309,981		10,982,672		0.40	%		0.36	%
Strategic Alpha Fund		4,089,926		—		4,089,926		0.60	%		0.60	%
Strategic Income Fund		15,802,434		—		15,802,434		0.57	%		0.57	%

¹  Management fee waivers are subject to possible recovery until December 31, 2022.

115  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

For the six months ended June 30, 2021, expenses have been reimbursed as follows:

Fund	Reimbursement2
Intermediate Municipal Bond Fund	$	23,324

²   Expense reimbursements are subject to possible recovery until December 31, 2022.

No expenses were recovered for any of the Funds during the six months ended June 30, 2021 under the terms of the expense limitation agreements.

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

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”), and Investment Grade Bond Fund and Strategic Income Fund have adopted a Distribution Plan relating to their Admin Class shares (the “Admin Class 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 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.

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

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

For six months ended June 30, 2021, the service and distribution fees for each Fund were as follows:

	Service Fees						Distribution Fees
Fund	Class A		Class C		Admin Class		Class C		Admin Class
High Income Fund	$	32,171	$	3,093	$	—	$	9,278	$	—
Intermediate Municipal Bond Fund		10,507		1,201		—		3,602		—
Investment Grade Bond Fund		1,060,915		141,269		156,283		423,808		156,283
Strategic Alpha Fund		48,642		8,698		—		26,095		—
Strategic Income Fund		2,004,999		264,252		124,697		792,755		124,697

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

|  116

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

For the six months ended June 30, 2021, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
High Income Fund	$	25,748
Intermediate Municipal Bond Fund		8,285
Investment Grade Bond Fund		1,326,542
Strategic Alpha Fund		293,866
Strategic Income Fund		1,184,509

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

For the six months ended June 30, 2021, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

Fund	Sub-Transfer Agent Fees
High Income Fund	$	33,430
Intermediate Municipal Bond Fund		6,877
Investment Grade Bond Fund		1,763,658
Strategic Alpha Fund		220,776
Strategic Income Fund		1,930,727

As of June 30, 2021, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

Fund	Reimbursements of Sub-Transfer Agent Fees
High Income Fund	$	1,033
Intermediate Municipal Bond Fund		163
Investment Grade Bond Fund		44,047
Strategic Alpha Fund		5,921
Strategic Income Fund		48,062

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

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2021 were as follows:

Fund	Commissions
High Income Fund	$	465
Intermediate Municipal Bond Fund		7,500
Investment Grade Bond Fund		16,612
Strategic Alpha Fund		866
Strategic Income Fund		12,904

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance

117  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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 Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

g.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to High Income Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2022 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2021, Natixis Advisors reimbursed the Fund $901 for transfer agency expenses related to Class N shares.

h.  Affiliated Ownership.  As of June 30, 2021, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund and Strategic Alpha Fund representing 0.13% and 0.21%, respectively, of the Funds’ net assets.

i.   Affiliated Transactions.  As a result of business restructurings, Strategic Income Fund received common shares of Pioneer Energy Services Corp. (the “Company”) and Lonestar Resources U.S., Inc. (the “Company”) constituting more than 5% of the voting securities of the Company. As such, the Company is considered to be an affiliate at June 30, 2021. A summary of affiliated transactions for the six months ended June 30, 2021, is as follows:

	Beginning Value		Purchase Cost			Sales Proceeds		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Gain (Loss)		Ending Value		Investment Income
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash	$	6,330,947	$	254,256	*	$	—	$	58,988	$	—	$	1,288,815	$	7,933,006	$	255,879
Pioneer Energy Services Corp.		—		—			—		—		—		—		—		—
Lonestar Resources U.S., Inc.		3,473,775		—			—		—		—		1,481,611		4,955,386		—
	$	9,804,722	$	254,256		$	—	$	58,988	$	—	$	2,770,426	$	12,888,392	$	255,879

* Represents interest paid in additional principal.

7.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses for High Income Fund, Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund attributable to Class A, Class C, Class Y and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

Intermediate Municipal Bond Fund allocates transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

|  118

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

For the six months ended June 30, 2021, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y		Admin Class
High Income Fund	$	10,732	$	1,034	$	901	$	34,447	$	—
Investment Grade Bond Fund		324,315		43,195		2,964		1,438,479		47,765
Strategic Alpha Fund		11,299		2,038		1,720		222,503		—
Strategic Income Fund		619,484		82,350		2,156		1,311,614		38,584

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 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 $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 8, 2021, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 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.

For the six months ended June 30, 2021, none of the Funds had borrowings under this agreement.

9.  Risk.  The Fund’s investments in foreign securities, as applicable, may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Funds’ investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Global markets have experienced periods of high volatility triggered by the Covid-19 pandemic. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Such effects could impair the Funds’ ability to maintain operational standards, disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments and negatively impact the Funds’ performance.

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 June 30, 2021, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

Fund	Number of 5% Account Holders		Percentage of Ownership
High Income Fund		3		32.29	%
Intermediate Municipal Bond Fund		4		70.55	%
Investment Grade Bond Fund		1		9.98	%
Strategic Alpha Fund		4		50.47	%

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the 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.

119  |

Notes to Financial Statements (continued)

June 30, 2021 (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:

High Income Fund

	Six Months Ended June 30, 2021						Year Ended December 31, 2020
	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		367,875		$	1,606,561			5,472,929		$	23,366,332
Issued in connection with the reinvestment of distributions		93,974			408,680			265,043			1,081,552
Redeemed		(5,143,119	)		(22,529,101	)		(1,646,663	)		(6,698,230	)
Net change		(4,681,270	)	$	(20,513,860	)		4,091,309		$	17,749,654
Class C
Issued from the sale of shares		43,107		$	188,626			204,929		$	851,367
Issued in connection with the reinvestment of distributions		7,161			31,297			27,930			113,438
Redeemed		(239,439	)		(1,050,064	)		(460,672	)		(1,851,801	)
Net change		(189,171	)	$	(830,141	)		(227,813	)	$	(886,996	)
Class N
Issued from the sale of shares		713,447		$	3,093,487			636,909		$	2,492,319
Issued in connection with the reinvestment of distributions		62,883			273,540			182,577			739,980
Redeemed		(4,152,897	)		(18,269,333	)		(240,181	)		(982,234	)
Net change		(3,376,567	)	$	(14,902,306	)		579,305		$	2,250,065
Class Y
Issued from the sale of shares		11,222,231		$	48,886,885			8,276,302		$	32,427,807
Issued in connection with the reinvestment of distributions		328,818			1,427,793			953,466			3,824,624
Redeemed		(2,931,754	)		(12,749,454	)		(22,428,758	)		(87,181,268	)
Net change		8,619,295		$	37,565,224			(13,198,990	)	$	(50,928,837	)
Increase (decrease) from capital share transactions		372,287		$	1,318,917			(8,756,189	)	$	(31,816,114	)

Intermediate Municipal Bond Fund

	Six Months Ended June 30, 2021						Year Ended December 31, 2020
	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		62,308		$	653,232			269,748		$	2,831,550
Issued in connection with the reinvestment of distributions		4,433			46,403			11,723			121,983
Redeemed		(174,657	)		(1,828,510	)		(162,733	)		(1,679,297	)
Net change		(107,916	)	$	(1,128,875	)		118,738		$	1,274,236
Class C
Issued from the sale of shares		12		$	122			47,897		$	494,485
Issued in connection with the reinvestment of distributions		231			2,420			777			8,083
Redeemed		(23,035	)		(241,767	)		(85,913	)		(898,719	)
Net change		(22,792	)	$	(239,225	)		(37,239	)	$	(396,151	)
Class Y
Issued from the sale of shares		779,778		$	8,202,345			2,146,197		$	22,275,909
Issued in connection with the reinvestment of distributions		13,820			144,926			19,854			207,580
Redeemed		(431,230	)		(4,539,360	)		(556,921	)		(5,809,326	)
Net change		362,368		$	3,807,911			1,609,130		$	16,674,163
Increase from capital share transactions		231,660		$	2,439,811			1,690,629		$	17,552,248

|  120

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

11.  Capital Shares (continued).

Investment Grade Bond Fund

	Six Months Ended June 30, 2021						Year Ended December 31, 2020
	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		8,384,927		$	96,429,891			20,934,113		$	243,643,227
Issued in connection with the reinvestment of distributions		691,112			7,928,386			4,472,710			51,487,111
Redeemed		(9,370,290	)		(107,661,014	)		(18,660,738	)		(215,501,248	)
Net change		(294,251	)	$	(3,302,737	)		6,746,085		$	79,629,090
Class C
Issued from the sale of shares		539,503		$	6,121,176			1,837,724		$	21,073,918
Issued in connection with the reinvestment of distributions		76,755			869,372			812,986			9,217,940
Redeemed		(4,134,473	)		(46,904,758	)		(9,377,842	)		(108,032,709	)
Net change		(3,518,215	)	$	(39,914,210	)		(6,727,132	)	$	(77,740,851	)
Class N
Issued from the sale of shares		34,500,974		$	397,703,374			35,059,681		$	407,348,565
Issued in connection with the reinvestment of distributions		1,430,045			16,410,172			8,107,642			93,301,449
Redeemed		(17,431,568	)		(200,606,457	)		(61,802,905	)		(713,421,603	)
Net change		18,499,451		$	213,507,089			(18,635,582	)	$	(212,771,589	)
Class Y
Issued from the sale of shares		67,144,759		$	773,265,694			116,069,530		$	1,338,576,662
Issued in connection with the reinvestment of distributions		3,760,431			43,172,128			21,359,279			246,149,320
Redeemed		(52,279,659	)		(602,041,020	)		(94,728,720	)		(1,084,178,153	)
Net change		18,625,531		$	214,396,802			42,700,089		$	500,547,829
Admin Class
Issued from the sale of shares		1,349,757		$	15,493,810			2,273,836		$	26,516,127
Issued in connection with the reinvestment of distributions		117,924			1,348,640			764,671			8,774,511
Redeemed		(1,084,756	)		(12,480,692	)		(2,101,154	)		(24,136,301	)
Net change		382,925		$	4,361,758			937,353		$	11,154,337
Increase from capital share transactions		33,695,441		$	389,048,702			25,020,813		$	300,818,816

121  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

11.  Capital Shares (continued).

Strategic Alpha Fund

	Six Months Ended June 30, 2021						Year Ended December 31, 2020
	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		910,365		$	9,511,491			1,023,731		$	10,060,502
Issued in connection with the reinvestment of distributions		24,560			256,320			62,078			605,195
Redeemed		(403,857	)		(4,218,446	)		(2,666,522	)		(25,934,557	)
Net change		531,068		$	5,549,365			(1,580,713	)	$	(15,268,860	)
Class C
Issued from the sale of shares		51,260		$	533,938			126,434		$	1,222,512
Issued in connection with the reinvestment of distributions		1,575			16,357			10,648			103,121
Redeemed		(426,256	)		(4,442,929	)		(966,909	)		(9,480,056	)
Net change		(373,421	)	$	(3,892,634	)		(829,827	)	$	(8,154,423	)
Class N
Issued from the sale of shares		10,309,033		$	107,567,677			29,423,113		$	288,816,017
Issued in connection with the reinvestment of distributions		315,465			3,281,576			814,373			7,933,168
Redeemed		(6,396,873	)		(67,044,022	)		(10,308,071	)		(98,238,299	)
Net change		4,227,625		$	43,805,231			19,929,415		$	198,510,886
Class Y
Issued from the sale of shares		17,460,729		$	181,967,203			25,133,973		$	249,260,831
Issued in connection with the reinvestment of distributions		584,971			6,087,252			1,488,360			14,469,017
Redeemed		(11,011,229	)		(115,008,536	)		(52,322,387	)		(502,765,399	)
Net change		7,034,471		$	73,045,919			(25,700,054	)	$	(239,035,551	)
Increase (decrease) from capital share transactions		11,419,743		$	118,507,881			(8,181,179	)	$	(63,947,948	)

|  122

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

11.  Capital Shares (continued).

Strategic Income Fund

	Six Months Ended June 30, 2021						Period Ended December 31, 2020(a)
	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		8,805,434		$	123,996,403			3,166,668		$	43,973,781
Issued in connection with the reinvestment of distributions		1,021,390			14,339,194			1,651,138			22,982,383
Redeemed		(17,018,180	)		(238,637,661	)		(8,809,951	)		(122,112,304	)
Net change		(7,191,356	)	$	(100,302,064	)		(3,992,145	)	$	(55,156,140	)
Class C
Issued from the sale of shares		303,003		$	4,292,453			264,507		$	3,697,602
Issued in connection with the reinvestment of distributions		115,554			1,636,912			294,227			4,142,720
Redeemed		(8,340,118	)		(118,671,857	)		(2,483,699	)		(34,767,841	)
Net change		(7,921,561	)	$	(112,742,492	)		(1,924,965	)	$	(26,927,519	)
Class N
Issued from the sale of shares		1,641,717		$	23,068,735			3,263,554		$	45,457,643
Issued in connection with the reinvestment of distributions		222,403			3,118,652			271,195			3,768,709
Redeemed		(2,209,137	)		(30,882,384	)		(1,539,785	)		(21,376,606	)
Net change		(345,017	)	$	(4,694,997	)		1,994,964		$	27,849,746
Class Y
Issued from the sale of shares		32,634,347		$	454,046,320			10,433,588		$	144,445,628
Issued in connection with the reinvestment of distributions		2,399,049			33,629,271			3,910,477			54,349,355
Redeemed		(70,393,522	)		(983,173,104	)		(28,856,379	)		(398,330,570	)
Net change		(35,360,126	)	$	(495,497,513	)		(14,512,314	)	$	(199,535,587	)
Admin Class
Issued from the sale of shares		207,489		$	2,889,385			315,634		$	4,401,178
Issued in connection with the reinvestment of distributions		81,977			1,146,217			136,204			1,889,249
Redeemed		(1,046,002	)		(14,647,512	)		(551,434	)		(7,568,203	)
Net change		(756,536	)	$	(10,611,910	)		(99,596	)	$	(1,277,776	)
Decrease from capital share transactions		(51,574,596	)	$	(723,848,976	)		(18,534,056	)	$	(255,047,276	)

(a) For the period October 1, 2020 through December 31, 2020.

123  |

Notes to Financial Statements (continued)

June 30, 2021 (Unaudited)

11.  Capital Shares (continued).

Strategic Income Fund

	Year Ended September 30, 2020
	Shares			Amount
Class A
Issued from the sale of shares		32,299,438		$	444,080,248
Issued in connection with the reinvestment of distributions		3,167,184			43,610,276
Redeemed		(40,330,246	)		(554,003,991	)
Net change		(4,863,624	)	$	(66,313,467	)
Class C
Issued from the sale of shares		1,902,282		$	26,312,714
Issued in connection with the reinvestment of distributions		600,408			8,382,443
Redeemed		(29,280,757	)		(408,234,280	)
Net change		(26,778,067	)	$	(373,539,123	)
Class N
Issued from the sale of shares		8,682,262		$	119,974,137
Issued in connection with the reinvestment of distributions		464,321			6,391,355
Redeemed		(7,719,864	)		(106,340,515	)
Net change		1,426,719		$	20,024,977
Class Y
Issued from the sale of shares		85,620,721		$	1,132,582,915
Issued in connection with the reinvestment of distributions		8,028,339			110,319,204
Redeemed		(118,624,705	)		(1,608,285,687	)
Net change		(24,975,645	)	$	(365,383,568	)
Admin Class
Issued from the sale of shares		1,076,312		$	15,079,460
Issued in connection with the reinvestment of distributions		252,576			3,465,330
Redeemed		(2,287,176	)		(30,910,379	)
Net change		(958,288	)	$	(12,365,589	)
Decrease from capital share transactions		(56,148,905	)	$	(797,576,770	)

|  124

(b) Not applicable.

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

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

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

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

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

Not applicable.

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

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

Item 11. Controls and Procedures.

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

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

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

Not applicable.

Item 13. Exhibits.

(a)	(1)	Not applicable.
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

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

Natixis Funds Trust II
By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	August 23, 2021

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

By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	August 23, 2021
By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer and Principal Financial and Accounting Officer
Date:	August 23, 2021