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: December 31, 2021
Item 1. Reports to Stockholders.
| (a) | The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
Annual Report
December 31, 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
| Portfolio Review | 1 | |||
| Portfolio of Investments | 32 | |||
| Financial Statements | 44 | |||
| Notes to Financial Statements | 75 |
LOOMIS SAYLES INTERNATIONAL GROWTH FUND
| Manager | 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.
Market Conditions
International equities posted mixed results in 2021. The developed markets performed reasonably well, as investors reacted positively to rising vaccination rates and improving economic growth. In addition, world central banks maintained highly stimulative monetary policies for the majority of the year. Europe led the way, with notable strength for Switzerland, the UK and the oil-sensitive Nordic countries. Canada, which also has an above-average weighting in energy stocks, was another top performer for the year. However, Japan and other Asian markets lagged on a relative basis.
International equities trailed the US market for the fourth consecutive year, largely as a result of the lower representation of technology stocks outside of the US. The weakness in foreign currencies relative to the US dollar also took a sizable bite out of the developed markets’ returns for US-based investors in 2021.
Despite the positive showing for stocks elsewhere in the world, the emerging markets experienced a challenging year and finished with a loss. Improving global growth and higher commodity prices were tailwinds for the asset class, but these factors were outweighed by the prospect of rising US interest rates and strength in the US dollar. The slower vaccination rollout in many emerging countries was a further impediment to returns. China, which lagged considerably due to the combination of slowing growth, increased regulation and disruptions in the nation’s property market, was a key driver of the category’s underperformance.
Portfolio Results
For the 12 months ended December 31, 2021, Class Y shares of the Loomis Sayles International Growth Fund returned -3.81% at net asset value. The Fund underperformed its benchmark, the MSCI All Country World Index ex USA Index (Net), which returned 7.82%.
Explanation of Fund Performance
We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. Given the rare confluence of quality, growth, and valuation, we may study dozens of companies but may only invest in a select few businesses each year. We believe identifying those few businesses with these characteristics is an art, not a science. As a result of this rigorous approach, ours is a selective, high-conviction portfolio of typically 30–45 names.
The Fund’s positions in Alibaba, Vipshop, and Tencent detracted the most from performance. Stock selection in the consumer discretionary, communication services, consumer staples, and energy sectors, as well as our allocations in the consumer discretionary, energy, communication services, consumer staples, industrials, and healthcare sectors detracted from relative performance.
A Fund holding since inception, Alibaba Group is a leading China e-commerce and consumer-engagement platform provider. With approximately 60% of China’s e-commerce transactions estimated to take place through its marketplaces, Alibaba is the world’s largest retail platform, and we believe Alibaba’s scale and interconnected sites create an unparalleled and difficult-to-replicate business ecosystem. Shares have been under pressure since late 2020 due to investor concern regarding increasing regulatory intervention by the Chinese government. In April, China’s State Administration for Market Regulation (SAMR) concluded that Alibaba’s practices had violated antitrust law. The company was fined approximately $2.8 billion and ordered to carry out “comprehensive” self-inspections to standardize business practices and ensure compliance with anti-monopoly laws. Alibaba cooperated fully with the investigation and has changed certain business practices. In August, China passed the Personal Information Protection Law (PIPL), which is focused on protecting personal information rights and interests by standardizing the handling and usage of personal information by businesses. We believe the focus of PIPL is similar to the General Data Protection Regulation (GDPR), which went into effect in the European Union in 2018. The GDPR impacted companies we own in other portfolios such as Alphabet and Facebook, which incurred increased compliance costs and other disruptions as they adjusted certain business practices to comply with the new regulations. However, both companies continued to generate strong growth in revenue and free cash flow due to their competitive advantages and strong value
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propositions. While we expected that Alibaba would experience short-term disruptions as it modified its practices to fully comply with new regulatory changes, we did not believe the changes would ultimately impair the company’s difficult-to-replicate competitive advantages. More recently, we have observed increasing competitive pressure in two of the company’s smaller but faster-growing contributors: video streaming and penetration in lower-tier cities. Through the company’s Taobao Live, Alibaba offers a leading live-streaming social commercial platform, enabling merchants to interact with consumers. The relatively new medium has become a fast-growing vehicle for e-commerce sales, growing from less than 5% of China e-commerce two years earlier to almost 10% in 2020. While Alibaba continues to have a leadership position in live streaming and short video production, we have seen increased competition and market share gains from companies such as Douyin (China’s version of TikTok, owned by ByteDance) and Kuaishou. We expect this newer format will grow to represent approximately 25% of e-commerce sales over time. And while we expect Alibaba to remain a leader, we expect growing competition to take an increasing share of this fast-growing market over time. Growing competitive intensity has also impacted our assessment of Alibaba’s ongoing penetration of lower-tier cities. As internet access in lower-tier cities approaches that of higher-tier cities, we expect growth in e-commerce to be approximately twice that of overall China e-commerce growth. We believe Alibaba maintains leading market share in lower-tier cities, but is likely to face heightened competition from companies such as Pinduoduo, JD.com, and Meituan. We have long assumed that Alibaba’s disproportionate share of China e-commerce would decline, from over 80% at the time of our initial analysis in 2013, to a level closer to 50% of a still-growing market. While the company remains the dominant e-commerce platform in China, we estimate that a meaningful percentage of the company’s incremental growth in the most-recently reported quarter was from these markets where we are seeing signs of heightened competitive intensity. As a function of newer market entrants, faster growth from newer formats of e-commerce and lower-tier cities, and recent regulatory changes, we now expect the company’s market share to normalize at a lower level than we previously expected. While our ongoing analysis has lowered our assessment of intrinsic value for the company, it has not changed our assessment that Alibaba is a high-quality company that remains well positioned to benefit from secular growth in China e-commerce over our long-term investment horizon. We continue to believe that Alibaba trades at a discount to intrinsic value and offers asymmetric reward-to-risk. However, given our most recent analysis, it no longer justified the same degree of capital allocation relative to other opportunities, and we decreased our position size during the period.
Vipshop is a specialty internet retailer focused on off-season, off-price apparel and fashion items which it sells via flash sales. Founded in 2008 with the vision of introducing high-quality, branded fashion merchandise to the China market at value prices, the company is by far the largest flash retailer in China, and the largest player in the off-season, off-price category. In 2020, the company generated over $15 billion in net revenues across its core categories, and today the company is the 5th largest overall retailer in China. We believe that Vipshop creates a strong value proposition for both end customers and vendors alike, which in turn creates a strong network effect that has been difficult to replicate even by the largest e-commerce companies in China. A holding in the strategy since inception, Vipshop’s revenue growth decelerated throughout 2021, but still grew 27% year-over-year through the first three quarters, compared with an estimated 18.5% for total China e-commerce and 21% for the apparel and accessories category, indicating that the company continued to grow market share. The company provided guidance for lower-than-expected revenue growth in the fourth quarter, driven by a deterioration in China’s economic environment and weakening consumer sentiment. Shares have been under pressure throughout the year, first from the forced liquidation of Archegos Capital Management, which had Vipshop among its holdings, then from investor concern regarding increasing regulatory intervention by the Chinese government, and most recently from a slowdown in consumer demand in China. We believe that Vipshop remains a high-quality business benefiting from competitive advantages of brand, scale, and a positive network effect that should enable it to expand its market share as the leading discount branded apparel retailer in China. Further, management believes that the new regulatory restrictions on anti-competitive actions, such as merchant exclusivity provisions, will now enable merchants who were previously unable to sell through Vipshop to use its platform — further expanding its network. While the Covid-19 outbreak and resulting economic weakness have pressured growth over the past year, especially in the company’s smaller physical retail footprint, we believe the company’s reported growth rates reflect the resilience of the business, and that Vipshop will continue to benefit from structural growth in China e-commerce where it has a strong and defensible position in the off-season, off-price niche in which it competes. We believe the current market price embeds expectations for free cash flow growth that are well below our long-term assumptions. With its shares trading at a significant discount to our estimate of intrinsic value, we believe Vipshop offers a compelling reward-to-risk opportunity. We added to our position during the period.
Tencent Holdings is one of the largest internet services companies in China and globally, offering a wide array of value-added services that span social networking and communication, gaming, media and entertainment, and e-commerce and local services. The company also offers online advertising, cloud services, fintech solutions that include payment and wealth management offerings, and has investments in other related businesses. Founded in 1998, the company’s mission is to improve the quality of human life through internet services, and through its platform and ecosystem the company has become a leader in most segments of the internet industry in China. A Fund holding since inception, Tencent reported financial results during the period that were fundamentally solid but mixed with respect to consensus expectations, and growth decelerated due in part to macro and regulatory headwinds. Shares have been under pressure throughout the year due to investor concern regarding increased regulatory intervention by the Chinese government in a growing number of industries, including the internet, fintech, education, and gaming. In July, China’s SAMR fined
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LOOMIS SAYLES INTERNATIONAL GROWTH FUND
the company $1.5 billion for practices within its streaming music business. The fine represented a small portion of the approximately $40 billion of cash on Tencent’s balance sheet. In fintech, we believe regulatory changes are likely to result in increased licensing requirements and guidelines around consumer and micro lending, information sharing, and disclosures, all of which are focused on reducing systematic risk and promoting healthy market development. We believe Tencent is generally compliant with most of the proposed changes, and we do not expect these developments to impact its competitive position. Most recently, China implemented restrictions on the amount of time minors can spend playing online games. Tencent management has embraced the new regulatory framework and highlighted the tools and restrictions it has introduced over the past several years to enable parents to manage minors’ gaming activity and limit both time spent and spending levels – in addition to announcing further restrictions. While gaming represents the company’s single largest source of revenue, approximately 40% of revenue in 2020, we believe the potential impact to the company is small as children under 16 accounted for less than 3% of the company’s gaming revenues. We do not believe that the fine or any of the proposed regulations materially impact Tencent’s strong and sustainable competitive advantages, which include its massive network and ecosystem, distribution, scale, and brand. We believe Tencent is one of the best-positioned companies in the China internet services industry. We believe the near-term uncertainty regarding the regulatory environment does not change the long-term fundamentals; as a leading consumer platform provider, we believe the structural expansion of internet users in China will position Tencent to benefit from multiple growth drivers including gaming, media, advertising, payments, and cloud-computing growth. We believe Tencent’s strong growth prospects are not currently reflected in its share price. As a result, we believe the company’s shares are trading at a significant discount to our estimate of intrinsic value, offering a compelling reward-to-risk opportunity.
The Fund’s positions in Wisetech Global, Novo Nordisk, and Roche contributed the most to performance. Stock selection in the information technology, healthcare, and industrials sectors, along with our allocation in the information technology sector, contributed positively to relative performance.
Wisetech Global is the leading software solutions provider to the global logistics industry. Founded in 1994 to provide freight-forwarding and customs software to the Australian logistics industry, Wisetech solutions are used in whole or in part by over 85% of the world’s 50 largest third-party logistics providers (3PLs) and all of the 25 largest freight forwarders, led by the company’s primary SAAS (software-as-a-service) platform, CargoWise One (CW1). From a single unified platform the company offers function-specific and enterprise-wide modules that support the complex international movement of goods and create substantial efficiencies for its logistics clients. The company’s vision is to become the world’s operating system for global logistics. A holding since Fund inception, Wisetech’s most-recently reported financial results, for its fiscal year ending June 2021, exceeded consensus expectations for revenue, EBITDA (earnings before interest, taxes, depreciation, and amortization), and EPS, and the company provided strong revenue and margin guidance for the current fiscal year. Total revenues increased 18% over the prior-year period and included 12% year-over-year revenue growth from the company’s existing customers, with every calendar-year cohort of new clients showing growth over the prior year, continuing a multi-year trend. The company also had a very successful year signing large new forwarders to its CW1 platform with six wins during the period, and now has 10 of the top 25 that have rolled out CW1 as their global platform or are in the process of doing so. We believe Wisetech benefits from strong and sustainable competitive advantages that include an installed client base with high switching costs, its freight-forwarding industry expertise, significant investments in research and development (R&D), its brand, and network. We believe Wisetech will benefit from secular growth in logistics software and services as companies increasingly move towards outsourcing and away from less effective in-house solutions. With virtually no comparable off-the-shelf competition to its unified global platform, Wisetech is the dominant market share leader in its legacy freight-forwarding market, which still represents only a mid-single-digit share of the overall global logistics and transportation market spending on supply chain management solutions. Through underlying industry growth, continued market share gains in its legacy freight-forwarding market, and ongoing penetration of other parts of the logistics industry performed by 3PLs, including warehouse management, land transportation, and cargo handling, we believe the company can generate compounded annual revenue growth in the high teens over our long-term investment horizon, with faster growth in operating profits and free cash flow as the company benefits from scale and operating leverage. We believe the expectations embedded in Wisetech’s share price continue to underestimate the company’s superior positioning and the sustainability of its growth. As a result, we believe the shares trade at a meaningful discount to our estimate of intrinsic value and represent an attractive reward-to-risk opportunity.
Headquartered in Denmark, Novo Nordisk is a global healthcare company with nearly 100 years of innovation and leadership in diabetes care. Over this time, Novo has amassed unparalleled experience in the biology of diabetes, expertise in protein science, and developed significant competitive advantages as a result. Its diabetes products have captured approximately one-third of the global branded diabetes care market and account for about 80% of the company’s annual revenues. In its biopharmaceutical business segment, which represents almost 15% of annual revenues, Novo Nordisk has leading positions within hemophilia care, growth hormone therapy, and hormone replacement therapy. We believe Novo’s strong and sustainable advantages include its deep experience in diabetes care and therapeutic proteins, strong infrastructure that took decades to build, efficient manufacturing techniques, a robust pipeline, and economies of scale. A Fund holding since inception, Novo reported solid operating results throughout the period that
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were generally ahead of consensus expectations and reflected a rebound in activity that was depressed in the prior-year period due to Covid-19. In particular, growth was led by the company’s GLP-1 class of therapies — a quickly growing class of non-insulin, anti-diabetic treatments that can postpone the need for insulin for two to four years. Novo’s class-leading Ozempic, a once-weekly therapy with comparable safety and superior efficacy to existing therapies, has contributed to greater penetration of the GLP-1 market as well as share gains from its leading competitor, while Rybelsus, an oral version of Ozempic and the company’s newest GLP-1 innovation, has quickly captured almost 13% of all new prescriptions after its launch in late 2019. In addition to targeting diabetes with its GLP-1s, during the year, Novo received approval for semaglutide (the same molecule behind Ozempic and Rybelsus) in the obesity setting under the brand name Wegovy. While the company is navigating operational challenges that have limited the initial production of Wegovy, the company is seeing robust early demand. Diabetes is a global epidemic with an estimated population of 460 million. The market has been growing annually in the low double digits over the last ten years, driven by aging of the global population and increasing obesity. We believe Novo’s deep experience in diabetes care, differentiated product suite, and leading innovation should enable the company to grow revenues in the high single digits over our long-term investment horizon, with faster growth in free cash flow. We believe the company’s shares continue to sell at a meaningful discount to our estimate of intrinsic value and offer an attractive reward-to-risk opportunity.
Founded in Basel, Switzerland in 1896, Roche is a global biopharmaceutical and diagnostics company. An industry leader in the development and marketing of oncology products, Roche also has a broad product profile with industry-leading therapies and a robust development pipeline across major indications including immunology, infectious disease, ophthalmology, and neuroscience. We believe Roche has substantial and sustainable competitive advantages that include its expertise and reputation within oncology, an integrated diagnostics business, its biologics capability, and its commercialization experience which includes its regulatory experience and scale in manufacturing and distribution. A Fund holding since inception, Roche reported results during the period that were fundamentally solid and generally ahead of consensus expectations. The company benefited from faster growth in its smaller diagnostics division, where its success in rapid development and deployment of Covid-19 testing has highlighted its leadership position in the diagnostics market and has provided a valuable offset to the pandemic-related pressures in the pharmaceuticals division. While we expect pandemic-related demand to wane in the short-to-medium term, we believe the true long-term value of the diagnostics business will persist as it resides in its ability to support and differentiate the innovation within the company’s pharmaceuticals business. In pharmaceuticals, continued strength in the company’s more-recently launched growth products, including Ocrevus for multiple sclerosis and Hemlibra for hemophilia A, more than offset the ongoing decline in its mature oncology products. We believe Roche is successfully managing the inevitable decline for its leading off-patent oncology therapies, advancing its next-generation cancer therapy franchise through innovative follow-on and combination therapies as well as improved administration methods, and products launched since 2012 have collectively grown to reach 52% of sales as of the company’s most-recently reported financial results. In addition to its more-recently launched growth products, we believe Roche’s deep internally developed pipeline, which reflects over $100 billion invested in R&D over the past decade, combined with its ability to identify and capitalize on externally developed technologies such as its acquisition of Spark Therapeutics’ gene therapy platform, provides a significant platform for future growth. We believe Roche continues to execute well operationally, redeploying the cash flows from its mature core franchise to support product extensions and ongoing innovation. The company has a strong lineup of marketed biologic therapies, a growing suite of newly introduced products, and significant and robust pipeline assets that can drive significant long-term value for Roche. While the company now faces biosimilar competition in the US for its mature oncology franchise, we believe the current market price for Roche shares embeds expectations for key revenue and cash flow growth drivers that are well below our long-term assumptions. As a result, we believe the company is selling at a significant discount to our estimate of intrinsic value and offers a compelling reward-to-risk opportunity.
All aspects of our quality-growth-valuation investment thesis must be present simultaneously for us to make an investment. Often our research is completed well in advance of the opportunity to invest. We are patient investors and maintain coverage of high-quality businesses in order to take advantage of meaningful price dislocations if and when they occur. During the period we initiated a new position in CRISPR Therapeutics. We added to our existing holdings in Vipshop. We trimmed our existing positions in Alibaba, Kweichow Moutai, and Yum China. We also trimmed our position in MercadoLibre as it approached our maximum allowable position size. We sold our position in Kuehne + Nagel as it reached our view of intrinsic value.
Outlook
Our investment process is characterized by bottom-up fundamental research and a long-term investment time horizon. The nature of the process leads to a lower-turnover portfolio in which sector positioning is the result of stock selection. The Fund ended the year with overweight positions in the consumer staples, healthcare, consumer discretionary, information technology, and communication services sectors and was underweight in the industrials and energy sectors. We had no exposure to stocks in the financials, materials, utilities, or real estate sectors. From a geographic standpoint we were overweight in Europe and North America, underweight in developed Asia, and approximately equal weight in emerging markets.
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LOOMIS SAYLES INTERNATIONAL GROWTH FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 15, 2020 (inception) through December 31, 2021
Top Ten Holdings as of December 31, 2021
| Security Name | % of Net Assets | |||||||
| 1 | Roche Holding AG | 6.81 | % | |||||
| 2 | WiseTech Global Ltd. | 6.00 | % | |||||
| 3 | MercadoLibre, Inc. | 5.97 | % | |||||
| 4 | Adyen NV | 5.73 | % | |||||
| 5 | Tencent Holdings Ltd. | 5.50 | % | |||||
| 6 | Novartis AG, (Registered) | 4.79 | % | |||||
| 7 | Kweichow Moutai Co. Ltd., Class A | 4.28 | % | |||||
| 8 | Nestle S.A., (Registered) | 4.08 | % | |||||
| 9 | Novo Nordisk A/S, Class B | 3.97 | % | |||||
| 10 | Experian PLC | 3.76 | % | |||||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
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Average Annual Total Returns — December 31, 20213
1 Year | Life of Fund | Expense Ratios4 | ||||||||||||||
| Gross | Net | |||||||||||||||
| Class Y (Inception 12/15/20) | ||||||||||||||||
| NAV | -3.81 | % | -2.38 | % | 1.35 | % | 0.95 | % | ||||||||
| Class A (Inception 12/15/20) | ||||||||||||||||
| NAV | -4.07 | -2.64 | 1.60 | 1.20 | ||||||||||||
| With 5.75% Maximum Sales Charge | -9.60 | -8.01 | ||||||||||||||
| Class C (Inception 12/15/20) | ||||||||||||||||
| NAV | -4.79 | -3.37 | 2.35 | 1.95 | ||||||||||||
| With CDSC1 | -5.72 | -3.37 | ||||||||||||||
| Class N (Inception 12/15/20) | ||||||||||||||||
| NAV | -3.77 | -2.34 | 1.26 | 0.90 | ||||||||||||
| Comparative Performance | ||||||||||||||||
| MSCI ACWI ex USA Index (Net)2 | 7.82 | 9.89 | ||||||||||||||
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 and includes automatic conversion to Class A shares after eight years. |
| 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. |
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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. | ||
| * | Effective January 1, 2022 Kevin G. Grant no longer serves as portfolio manager of the Fund. |
Investment Goal
The Fund seeks long-term capital appreciation.
Market Conditions
Global markets moved higher in the first quarter of 2021 as vaccines reached more and more people. In the United States, newly elected US President Joe Biden signed off on his economic stimulus plan in March. The $1.9 trillion relief package sent $1,400 payments to qualifying Americans and extended unemployment benefits. In response, the Dow Jones Industrial Average and S&P 500® Index soared to record highs. By the end of the second quarter, global cases surpassed 180 million and global deaths approached 4 million. However, more than 800 million people reached full vaccination, representing about 10% of the global population.
That said, a new wave of Covid-19 cases brought on by the Delta variant resulted in a slowdown in economic reopenings around the world as well as new economic restrictions in Asia and Australia. Simultaneously, the Chinese government implemented increased regulations on a range of businesses, including technology companies, prompting unease across global markets. Later, energy suppliers rushed to ramp up production to meet growing demand. However, a supply shortage and bottlenecks at major US ports sent US oil prices in excess of $85 per barrel for the first time since 2014. Natural gas prices also spiked around the world, forcing the suspension of operations at factories in Europe and China. A shortage of semiconductors, in particular, significantly impaired worldwide automobile production. Simultaneously, the new and highly contagious Omicron variant of Covid-19 spread in the fourth quarter as countries across Europe implemented restrictions once again to combat the spread of the disease.
As previously announced, the Federal Reserve slowed its pace of asset purchases in November. The tapering came as the rate of inflation in the US quickened to 6.8% versus the year-ago period. The Fed’s dot plot now calls for three rate hikes each in 2022 and 2023. The Bank of Japan and European Central Bank echoed similar sentiments as they also left interest rates unchanged, while the Bank of England raised its main interest rate from 0.1% to 0.25% following a surge in UK inflation to a 10-year high of 5.1% annual growth in November. All things considered, the International Monetary Fund (IMF) slightly lowered its expectations for global economic growth from 6.0% to 5.9%, with a 4.9% growth rate expected in 2022. The IMF also lowered its outlook for economic growth in the US, Japan and China by 1.0%, 0.4% and 0.1% in October, but raised its estimates for growth in the euro zone by 0.4%.
Performance Results
For the 12 months ended December 31, 2021, Class Y shares of the Natixis Oakmark Fund returned 34.35% at net asset value. The Fund outperformed its benchmark, the S&P 500® Index, which returned 28.71%.
Explanation of Fund Performance
As value investors with an emphasis on individual stock selection, our sector weights are a byproduct of our bottom-up process. On an absolute-return basis, the energy sector gained the most value, while holdings in the consumer staples sector delivered the smallest positive collective return.
The leading contributors to fund performance for the year were Alphabet and Gartner. Toward the beginning of 2021, Alphabet’s fourth-quarter results showed faster than expected revenue growth across the board. Total revenue grew 23% year-over-year and reached $56.9 billion, which led to earnings per share of $22.30, and both exceeded market expectations. Revenue in the key search segment grew 17%, owing to “broad-based re-engagement” among advertisers following the Covid-19-related pullback. Importantly, for the first time Alphabet disclosed cloud segment profitability and revealed that the company made massive upfront investments in its go-to-market strategy and engineering resources, implying that the remaining segments are even more profitable than most analysts expected. Later, Alphabet’s results continued to positively surprise the market as the company’s first-quarter total revenue, operating income and earnings per share outpaced expectations by 7%, 39% and 67%, respectively. By segment, search revenue grew 30%,
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YouTube advertising revenue rose 49% and cloud revenue increased 46%. Furthermore, margin trends improved across all segments as underlying operational expenses appear progressively well controlled relative to history. In July, Alphabet’s second-quarter earnings report showed that revenue grew by 62%, again surpassing consensus expectations, and search revenue saw significant growth with a 67% increase year-over-year. Alphabet’s third-quarter earnings release resulted in the company’s share price moving higher into the end of the year. Reported revenue growth amounted to 41% and operating margins (ex-other bets) expanded 670 basis points. In addition, search and YouTube advertising revenue both grew over 40%. Management bought back $12.6 billion worth of stock in the third quarter, which puts the company on pace to meet our expectations for the full-year period. Although Alphabet’s share price declined on news that YouTube TV subscribers lost access to Disney-owned entertainment options, the issue resolved itself shortly thereafter. We believe Alphabet remains an attractive holding with upside potential despite its recent share price appreciation.
In February 2021, Gartner released positive fourth-quarter results, in our view. Revenue modestly surpassed consensus estimates; however, adjusted earnings of $245 million far exceeded expectations of $170 million. Significant margin improvement drove the company’s outperformance despite the disappearance of much of its conferences business, with underlying margins adjusted for conferences expanding by roughly 600 basis points. In May, Gartner reported first-quarter results that were solid, in our assessment. Reported revenue rose 8.4%, adjusted earnings advanced 50% and earnings per share grew nearly 67% from the prior year. We were most impressed that the earnings margin expanded to 29% in the quarter, a solid jump up from the previous typical level in the high teens. We also liked that revenue in both segments, global business sales and global technology sales, increased by 12% and 5%, respectively, despite reduced growth of investment spending and continued challenges from legacy product shutdowns in the global business sales segment. Later, following a strong second-quarter earnings report, Gartner’s share price advanced and finished the third quarter higher. Revenue ($1.17 billion versus $1.12 billion), adjusted earnings ($355 million versus $273.9 million) and earnings per share ($2.24 versus $1.73) all bested consensus estimates. Importantly, we appreciate that top line results are accelerating with improving sales force productivity driving growth. The company also increased its share repurchase authorization by $800 million in the second quarter. Prior to the report, we met with CEO Gene Hall and CFO Craig Safian. We came away impressed with the management team’s enthusiasm and conviction in their vision for the company’s future. We particularly like that Hall is a multi-faceted operator with a history of both consistently enhancing products to drive incremental customer demand and tightly managing the sales organization through significant growth. Strong performance continued toward the end of the year when Gartner released its third-quarter results that showed further organic growth as well as increased sales force productivity, which we believe has promising implications for underlying profitability. In addition, third quarter adjusted earnings of $305 million beat consensus expectations by $50 million. Even accounting for its recent price increase, we believe Gartner still offers a healthy amount of upside potential.
T-Mobile US and Fiserv were the largest detractors from Fund performance for the calendar year. T-Mobile US reported fourth-quarter revenue, adjusted earnings and earnings per share that were better than the market had expected. We were pleased that the company continued to outgrow its industry and achieved significant merger benefits faster than had been expected, realizing $1.3 billion of savings in 2020. We found it very important that the company continued to make headway in this buildout as we believe a large amount of T-Mobile’s growth potential rests on the expansion of its new network. We were further impressed that despite the company’s rapid network development, full-year 2020 free cash flow reached $3 billion, which far exceeded our estimates. In May, the company’s first-quarter earnings report showed above-consensus estimate numbers for customer additions and adjusted earnings, while also leading the industry across all customer metrics. We also appreciated the low brand churn the company boasted in comparison to competitors. Later in the year, T-Mobile’s second-quarter earnings report included results that aligned with our expectations. Post-paid net additions bested consensus estimates, service revenue growth of almost 6% led the industry and adjusted earnings exceeded analysts’ estimates. We thought the company’s third-quarter earnings results were impressive given that T-Mobile is at a peak point in its integration with Sprint and is operating in an elevated competitive environment. We appreciated that accounts grew 3.9% and organic service revenue grew 4.5%, both of which led the industry. In addition, management raised its guidance across the board, and the company’s adjusted earnings guidance now aligns with our estimates. We believe the valuation for T-Mobile remains attractive, offering a compelling reason to own.
Even though Fiserv’s first-quarter earnings disappointed investors, we saw the results as respectable considering the challenging operating environment. Importantly, organic revenue grew 4% from the prior year, earnings rose 15% and earnings per share advanced 18%. In merchant acquiring organic growth amounted to 8% and margins improved 650 basis points, while gross payment volume in Clover (Fiserv’s cloud-based point-of-sale product) grew 36%, ecommerce transactions grew 24% and the company won a record number of new customers during the period. In addition, we were pleased that Fiserv executed $612 million worth of share repurchases in the quarter (or about 0.8% of it share base). Later, Fiserv delivered strong second-quarter earnings results as exhibited by revenue, earnings and earnings per share that increased 18%, 41% and 47%, respectively. In addition, margins expanded 510 basis points to 33.9%. However, news that Amazon was reportedly developing a point-of-sale solution pressured Fiserv’s share price in September as investors feared increased competition. Fiserv’s third quarter earnings results were in line with market estimates, with organic revenue growth of 10%, operating margins increasing 130 basis points and adjusted earnings per share growing 23%. However, investors reacted poorly to the release, focusing on a client (speculated to be Stripe) that was part of a joint venture with Wells Fargo, which is serviced by Fiserv, deciding to leave. This likely stoked fears that other companies may decide to insource their payment
| 8
NATIXIS OAKMARK FUND
processing in the future. The departure is not expected to impact Fiserv’s financial results due to its minimal contribution and management anticipating the move. Despite the client loss, we appreciate that Fiserv still posted strong segment results and growth in customers, independent software vendors, and capabilities on its platform. We continue to believe the company is undervalued and find the investment attractive on a risk-to-reward basis.
Outlook
With seemingly constant uncertainty in politics, economics and market sentiment, we focus on finding undervalued and well-managed companies that will benefit from economic tailwinds while proving capable of weathering difficult environments. We believe this approach best services our goal of growing and protecting our investors’ capital over the long term.
Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 31, 2011 through December 31, 2021
Top Ten Holdings as of December 31, 2021
| Security Name | % of Net Assets | |||||||
| 1 | Alphabet, Inc., Class A | 3.53 | % | |||||
| 2 | Ally Financial, Inc. | 3.33 | % | |||||
| 3 | EOG Resources, Inc. | 2.89 | % | |||||
| 4 | Capital One Financial Corp. | 2.86 | % | |||||
| 5 | Charles Schwab Corp. (The) | 2.80 | % | |||||
| 6 | Gartner, Inc. | 2.51 | % | |||||
| 7 | Meta Platforms, Inc., Class A | 2.45 | % | |||||
| 8 | Citigroup, Inc. | 2.43 | % | |||||
| 9 | Goldman Sachs Group, Inc. (The) | 2.32 | % | |||||
| 10 | Humana, Inc. | 2.29 | % | |||||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
9 |
Average Annual Total Returns —December 31, 20213
| 1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios4 | ||||||||||||||||||||
| Gross | Net | |||||||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 34.35 | % | 15.35 | % | 15.35 | % | — | % | 0.95 | % | 0.80 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 33.97 | 15.05 | 15.05 | — | 1.20 | 1.05 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 26.25 | 13.70 | 14.37 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | 32.99 | 14.20 | 14.37 | — | 1.95 | 1.80 | ||||||||||||||||||
| With CDSC1 | 31.99 | 14.20 | 14.37 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 34.54 | — | — | 15.48 | 1.05 | 0.75 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| S&P 500® Index2 | 28.71 | 18.47 | 16.55 | 18.02 | ||||||||||||||||||||
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 and includes automatic conversion to Class A shares after eight years. |
| 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. |
| 10
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.
Market Conditions
Global markets moved higher in the first quarter of 2021 as vaccines reached more and more people. In the United States, newly elected US President Joe Biden signed off on his economic stimulus plan in March. The $1.9 trillion relief package sent $1,400 payments to qualifying Americans and extended unemployment benefits. In response, the Dow Jones Industrial Average and S&P 500® Index soared to record highs. By the end of the second quarter, global cases surpassed 180 million and global deaths approached 4 million. However, more than 800 million people reached full vaccination, representing about 10% of the global population.
That said, a new wave of Covid-19 cases brought on by the Delta variant resulted in a slowdown in economic reopenings around the world as well as new economic restrictions in Asia and Australia. Simultaneously, the Chinese government implemented increased regulations on a range of businesses, including technology companies, prompting unease across global markets. Later, energy suppliers rushed to ramp up production to meet growing demand. However, a supply shortage and bottlenecks at major US ports sent US oil prices in excess of $85 per barrel for the first time since 2014. Natural gas prices also spiked around the world, forcing the suspension of operations at factories in Europe and China. A shortage of semiconductors in particular significantly impaired worldwide automobile production. Simultaneously, the new and highly contagious Omicron variant of Covid-19 spread in the fourth quarter and countries across Europe implemented restrictions once again to combat the spread of the disease.
As previously announced, the Federal Reserve slowed its pace of asset purchases in November. The tapering came as the rate of inflation in the United States quickened to 6.8% versus the year-ago period. The Fed’s dot plot now calls for three rate hikes each in 2022 and 2023, and two in 2024. The Bank of Japan and European Central Bank echoed similar sentiments as they also left interest rates unchanged, while the Bank of England raised its main interest rate from 0.1% to 0.25% following a surge in UK inflation to a 10-year high of 5.1% annual growth in November. All things considered, the International Monetary Fund (IMF) slightly lowered its expectations for 2021 global economic growth from 6.0% to 5.9%, with a 4.9% growth rate expected in 2022. The IMF also lowered its outlook for 2021 economic growth in the United States, Japan and China by 1.0%, 0.4% and 0.1% respectively in October, but raised its estimates for growth in the euro zone by 0.4%.
Performance Results
For the 12 months ended December 31, 2021, Class Y shares of the Natixis Oakmark International Fund returned 8.97% at net asset value. The Fund underperformed its benchmark, the MSCI World ex USA Index (Net), which returned 12.62%.
Explanation of Fund Performance
Geographically, the Fund’s average weightings for the year were 83% in Europe, 3% in Canada and 3% in Australia. The remaining positions were in Japan, China, South Africa, South Korea, India, Mexico and Indonesia.
On an absolute-return basis, shares in the energy sector produced the largest positive collective return, while the consumer staples sector lost the most value.
The top contributors to the yearly return were Glencore and Lloyds Banking Group. Early in the year, Glencore’s full-year results showed that adjusted earnings in both the industrials and marketing segments exceeded our expectations by 10% and 4%, respectively. Full-year total adjusted earnings of $11.56 billion were also better than market estimates of $10.69 billion. The industrials segment benefited from both a recovery in commodities prices from Covid-19 lows and higher production. Management also proposed a $0.12 per share dividend, which surpassed analysts’ estimates for $0.0625 per share. Later, Glencore’s share price increased after the company released its first-quarter production report late in April, which showed that copper production increased 2.7% year-over-year. Glencore continued to outperform expectations in the third quarter, benefiting from rising commodity prices and a disciplined cost program. Copper, the company’s most important commodity, is benefiting from rising production and lower costs. Glencore held its annual investor day in December, where the company reinforced its plan to emphasize low-cost, large-scale assets in future-facing commodities, while responsibly running down its coal business over time. We appreciate management’s focus on increasing
11 |
risk-adjusted returns by exiting assets that require a lot of management’s time, are in high-risk jurisdictions, have limited mine-life or face other constraints while not being material financial contributors. Prior to the company’s investor day, we spoke with Chairman Kalidas Madhavpeddi who possesses a solid background within the industry, in our view. He emphasized his appreciation for Glencore’s anti-bureaucratic culture, which leads to innovative ideas from younger talent, and the focus on financial returns in decision making. We are optimistic about Madhavpeddi’s abilities and the company’s future.
Lloyds Banking Group delivered strong fourth-quarter results largely driven by lower-than-expected impairment charges, which reached GBP 128 million compared with market forecasts for GBP 586 million. Profit before tax and net income both surpassed market projections by 5%, while pre-provision profit was 7% better than market estimates. In addition, the company’s common equity Tier 1 ratio grew to 16.2% and management announced plans to resume capital distributions. Later, Lloyds’ share price soared upon the release of solid first-quarter earnings, which were driven by a reserve release of GBP 459 million for credit losses that resulted in a GBP 323 million net impairment credit and pointed to management’s view of an improving economic outlook in the UK. Lloyds’ first-quarter revenues reached GBP 3.6 billion, and the company’s common equity Tier 1 ratio expanded by 54 basis points to 16.7%, despite funding half of its full-year pension contribution in the first quarter. In addition, Lloyds saw strong inflows of low-cost deposits, while higher-than-expected mortgage underwriting margins led to the company increasing its net interest margin target to more than 245 basis points, which exceeded our estimate of 240 basis points. Operating expenditure trends were also positive, in our view. Following a conversation with new CEO Charlie Nunn, our confidence in the company’s leadership was solidified as he emphasized a desire to grow the firm in both a profitable and responsible manner in order to create shareholder value. With a higher interest rate environment approaching, we believe financial services companies that are well managed and fundamentally sound, such as Lloyds Banking Group, are positioned to recognize upside potential.
The largest detractors from return were Alibaba Group and Credit Suisse Group. In February, Alibaba Group reported fiscal third-quarter revenue of CNY 221.08 billion and adjusted earnings of CNY 68.38 billion, both of which outpaced market forecasts by slightly more than 3%. Soon after, news outlets reported that officials in China asked Alibaba to dispose of its media assets over concern about the company’s influence over public opinion. In addition, China’s State Administration introduced new regulations for e-commerce platforms. Subsequently, internet companies in China removed Alibaba’s popular UC internet browser from its application stores. In the second quarter of 2021, China’s State Administration for Market Regulation fined Alibaba $2.8 billion, which was the largest antitrust penalty issued in the country’s history. The fine (which represents 4% of the company’s 2019 annual domestic revenue) was imposed because the regulatory body found that Alibaba’s practice of requiring merchants to remain exclusive on its platforms hindered competition. The company stated it does not expect a material impact on its business as a result of the new regulations. Later, the company’s share price plunged upon the release of fiscal full-year earnings, even though results were largely in line with our full-year estimates on an organic basis. Along with the earnings release, management announced it would reinvest all incremental profits in the next fiscal year, which disappointed investors. While this strategy will likely produce low or no near-term profit growth, management believes these investments will help grow its user base over the long term. Most recently, Alibaba’s second-quarter earnings report disappointed investors as growth meaningfully decelerated during the quarter and management lowered its full-year revenue growth guidance. Factors causing the slowdown in growth include a decrease in the retail spending environment in China, increased competition in e-commerce and Alibaba’s reinvestments into its merchant base, which coincided with recent increased regulation from the Chinese government. At the company’s investor day, we were impressed by Alibaba’s presentation on its growing cloud business, where the company believes its technology lead is at least two years ahead of its peers. Despite the current headwinds facing the company, we remain shareholders of Alibaba as we believe it is an important driver of innovation in China and several of its businesses have yet to fully scale.
The share price of Credit Suisse Group suffered upon revelations about the company’s exposure to Greensill Capital followed by its association with Archegos Capital Management. Investors sold shares over concerns that an investment fund run by its asset management division had exposure to the now-insolvent Greensill Capital, which specialized in supply chain finance. The lost market cap far surpassed Credit Suisse’s direct exposure to Greensill and ignored the fact that a large portion of its clients’ exposure was in cash, highly rated securities or insured investments. At the end of March, Credit Suisse’s share price dropped again as New York-based hedge fund client Archegos Capital defaulted on its margin calls to the company’s prime brokerage business. Credit Suisse announced it incurred a CHF 4.4 billion charge related to the Archegos Capital incident in the first quarter. While the amount exceeded both our initial expectations and consensus estimates, first quarter pre-tax profit of about CHF 3.6 billion, excluding the charge, exceeded analysts’ estimates for about CHF 1.2–1.5 billion in pre-tax profit driven by strong underlying performance across all three business segments. That being said, the company guided for an additional CHF 600 million charge in the second quarter to cover further Archegos-related losses. The company ultimately executed a small capital raise in an effort to boost its CET1 ratio to 13.0%. Credit Suisse’s third-quarter earnings results tracked ahead of our fiscal year estimates. Importantly, net new money inflected positively following second-quarter outflows related to the Archegos Capital and Greensill Capital incidents, suggesting that the potential reputational damage is less than feared. Following the company’s capital markets day and subsequent conversations with management, we learned that Credit Suisse planned to take additional capital from the lower return / higher risk investment bank and
| 12
NATIXIS OAKMARK INTERNATIONAL FUND
allocate capital toward the higher return / lower risk wealth management segment, a strategy we fully support. The company is also looking to generate CHF 1 billion — CHF 1.5 billion in savings from procurement initiatives, along with a new organizational structure that will serve to simplify the organization, reduce costs and enhance risk functions. Given the addition of David Wildermuth (formerly at Goldman Sachs with more than 30 years of banking experience) as chief risk officer in January and the arrival of new Chairman António Horta-Osório, the former CEO of Lloyds Banking Group, we expect better governance and risk management going forward.
Outlook
With seemingly constant uncertainty in politics, economics and market sentiment, we focus on finding undervalued and well-managed companies that will benefit from economic tailwinds while proving capable of weathering difficult environments. We believe this approach best services our goal of growing and protecting our investors’ capital over the long term.
Hypothetical Growth of $100,000 Investment in Class Y Shares1,4
December 31, 2011 through December 31, 2021
13 |
Top Ten Holdings as of December 31, 2021
| Security Name | % of Net Assets | |||||||
| 1 | Lloyds Banking Group PLC | 3.70 | % | |||||
| 2 | Bayer AG, (Registered) | 3.70 | % | |||||
| 3 | BNP Paribas S.A. | 3.48 | % | |||||
| 4 | Allianz SE, (Registered) | 3.38 | % | |||||
| 5 | Intesa Sanpaolo SpA | 3.21 | % | |||||
| 6 | Credit Suisse Group AG, (Registered) | 3.20 | % | |||||
| 7 | Bayerische Motoren Werke AG | 3.13 | % | |||||
| 8 | Glencore PLC | 2.92 | % | |||||
| 9 | Continental AG | 2.74 | % | |||||
| 10 | CNH Industrial NV | 2.58 | % | |||||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
Average Annual Total Returns — December 31, 20214
| 1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios5 | ||||||||||||||||||||
| Gross | Net | |||||||||||||||||||||||
| Class Y (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV1 | 8.97 | % | 6.94 | % | 8.30 | % | — | % | 1.11 | % | 0.90 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 8.73 | 6.69 | 8.18 | — | 1.36 | 1.15 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 2.50 | 5.44 | 7.54 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | 7.92 | 5.89 | 7.54 | — | 2.11 | 1.90 | ||||||||||||||||||
| With CDSC2 | 6.92 | 5.89 | 7.54 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 9.01 | — | — | 4.36 | 1.17 | 0.85 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| MSCI World ex USA Index (Net)3 | 12.62 | 9.63 | 7.84 | 8.22 | ||||||||||||||||||||
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, and includes automatic conversion to Class A shares after eight years. |
| 3 | MSCI World ex USA 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. |
| 14
NATIXIS U.S. EQUITY OPPORTUNITIES FUND
| Managers | Symbols | |||
William C. Nygren, CFA® | Class A | NEFSX | ||
| Kevin G. Grant, CFA®* | Class C | NECCX | ||
M. Colin Hudson, CFA® | Class N | NESNX | ||
Michael J. Mangan, CFA®, CPA | Class Y | NESYX | ||
| Michael A. Nicolas, CFA® | ||||
| Harris Associates L.P. | ||||
| Aziz V. Hamzaogullari, CFA® | ||||
| Loomis, Sayles & Company, L.P. | ||||
| * | Effective January 1, 2022 Kevin G. Grant no longer serves as portfolio manager of the Fund. |
Investment Goal
The Fund seeks long-term growth of capital.
Market Conditions
U.S. equities produced strong returns in 2021, marking the eighth year of the past ten in which the major large-cap indexes posted a double-digit gain. The gradual lifting of virus-related restrictions led to a substantial improvement in economic growth and corporate earnings compared to their levels of the previous year, contributing to the gains for stocks. While rising inflation prompted the Federal Reserve (Fed) to adopt a more hawkish tone in the fourth quarter, leading to increased market volatility, the major large-cap indexes closed the year at or near their all-time highs. In the continuation of a long-standing trend, mega-cap technology and communication services stocks were the key drivers of U.S. market performance in 2021.
Performance Results
For the 12 months ended December 31, 2021, Class Y shares of the Natixis U.S. Equity Opportunities Fund returned 23.48% at net asset value. The Fund underperformed its primary benchmark, the S&P 500® Index, which returned 28.71%, and also underperformed its secondary benchmark, the Russell 1000® Index, which returned 26.45%.
Explanation of Fund Performance
Each of the portfolio’s segments uses a distinct investment style, providing shareholders with exposure to a variety of different stocks:
| • | The Harris Associates L.P. Large Cap Value segment invests primarily in the common stocks of larger-capitalization companies that Harris Associates L.P. (“Harris Associates”) believes are trading at a substantial discount to the company’s “true business value.” |
| • | The Loomis, Sayles & Company, L.P. All Cap Growth segment invests primarily in equity securities and may invest in companies of any size. The segment employs a growth style of equity management that emphasizes companies with sustainable competitive advantages versus others, long-term structural growth drivers that will lead to above-average future cash flow growth, attractive cash flow returns on invested capital, and management teams focused on creating long-term value for shareholders. The segment aims to invest in companies when they trade at a significant discount to the estimate of intrinsic value. |
Both segments contributed positively to the Fund’s performance.
Harris Associates Large Cap Value Segment
As value investors with an emphasis on individual stock selection, our sector weights are a byproduct of our bottom-up process. On an absolute-return basis, the energy sector gained the most value, while holdings in the industrials sector delivered the smallest positive collective return.
The largest contributors to fund performance for the year were Alphabet and Capital One Financial. Toward the beginning of the year, Alphabet’s fourth-quarter results showed faster than expected revenue growth across the board. Total revenue grew 23% year-over-year and reached $56.9 billion, which led to earnings per share of $22.30, and both exceeded market expectations. Revenue in the key search segment grew 17%, owing to “broad-based re-engagement” among advertisers following the Covid-19-related pullback. Importantly, for the first time Alphabet disclosed cloud segment profitability and revealed that the company made massive upfront
15 |
investments in its go-to-market strategy and engineering resources, implying that the remaining segments are even more profitable than most analysts expected. Later, Alphabet’s results continued to positively surprise the market as the company’s first-quarter total revenue, operating income and earnings per share outpaced expectations by 7%, 39% and 67%, respectively. By segment, search revenue grew 30%, YouTube advertising revenue rose 49% and cloud revenue increased 46%. Furthermore, margin trends improved across all segments as underlying operational expenses appear progressively well controlled relative to history. In July, Alphabet’s second-quarter earnings report showed that revenue grew by 62%, again surpassing consensus expectations, and search revenue saw significant growth with a 67% increase year-over-year. Alphabet’s third-quarter earnings release resulted in the company’s share price moving higher into the end of the year. Reported revenue growth amounted to 41% and operating margins (ex-Other Bets) expanded 670 basis points. In addition, search and YouTube advertising revenue both grew over 40%. Management bought back $12.6 billion worth of stock in the third quarter, which puts the company on pace to meet our expectations for the full-year period. Although Alphabet’s share price declined on news that YouTube TV subscribers lost access to Disney-owned entertainment options, the issue resolved itself shortly thereafter. We believe Alphabet remains an attractive holding with upside potential despite its recent share price appreciation.
Capital One Financial issued first-quarter results that we saw as very good and that built on positive trends from prior quarters. Likewise, the company’s total net revenue and net interest margin exceeded market projections, while earnings per share were about 70% ahead of forecasts. We were pleased that credit quality remained strong, and charge-offs across lending categories fell once again from historically low levels. Credit card purchase volume grew 8% from last year, while deposits grew 15.1% and the average consumer deposit cost ratio reached an all-time low of 0.36%. Impressively, Capital One released loan loss reserves of $1.6 billion in the quarter, which was larger than the reserve release we had estimated for the full year. Capital One delivered another solid set of earnings results for its second quarter, in our view. A $1.7 billion loan reserve release led to earnings per share of $7.62, and the card charge-off rate fell 23 basis points versus the previous quarter’s already historically low rate to 2.29%. In October, investors responded unfavorably to CEO Richard Fairbank’s emphatic commentary surrounding elevated spending, the need to invest defensively in technology and the costliness of doing so given the competition for technology talent. That said, we think the company’s third-quarter earnings report highlighted strong results as charge-offs fell further from already all-time low levels, card purchase volume grew 28% year-over-year, ending loan balance improved 5% sequentially and net interest margins grew 46 basis points. In addition, Capital One executed $2.7 billion in third-quarter share repurchases (equivalent to 3.5% of its share base) and still ended the period with excess capital equal to 13% of its market cap. Our investment thesis for the company remains intact, and we believe it trades at a discount to our perception of its intrinsic value.
The largest detractors to fund performance for the year were Ally Financial and Fiserv. As management had predicted and we had expected, Ally Financial released good fourth-quarter results early in the year. Total net revenue rose 21% from a year earlier while earnings per share advanced 68% and both exceeded market forecasts. In addition, total deposits grew 13% and average total earning assets (including auto loans and mortgages) rose 3% year-over-year. Notably, the company’s provision for credit losses decreased materially from $998 million in the fourth quarter of 2020 to $102 million in the fourth quarter of 2021. Ally announced a new $1.60 billion share repurchase authorization in January following favorable results from the most recent Federal Reserve board stress test. In April, Ally’s first-quarter earnings report included earnings per share ($2.09 ex-items vs. $1.17) that beat analysts’ estimates as well as a reported return on tangible common equity of 24%. In fact, most metrics came in well above increasingly elevated expectations. Net interest margins expanded 26 basis points sequentially to 3.18%, retail deposits grew 21% year-over-year and deposit customers grew 14%. The company’s second-quarter earnings report in July continued to show strength as shown by return on tangible common equity of around 27%. New retail auto originations finished at the highest level in 15 years, while new originated yields maintained above 7%. In addition, net interest margins expanded to nearly 3.6%. In October, Ally reported a positive third-quarter earnings report, in our view. Return on average tangible common equity was assisted by a low credit loss environment and expanding net interest margins. Record retail application flow continued to show strength for a fourth straight year. However, the wholesale business continued to show weakness with loan balances at roughly half pre-pandemic levels. Later in the fourth quarter, Ally announced its decision to acquire digital credit card provider Fair Square Financial (FSF) for $750 million. FSF has been growing balances rapidly, and we believe the deal can add at least 150 basis points to core return on average tangible common equity over the medium term.
Even though Fiserv’s first-quarter earnings disappointed investors, we saw the results as respectable considering the challenging operating environment. Importantly, organic revenue grew 4% from the prior year, earnings rose 15% and earnings per share advanced 18%. In merchant acquiring, organic growth amounted to 8% and margins improved 650 basis points, while gross payment volume in Clover (Fiserv’s cloud-based point-of-sale product) grew 36%, e-commerce transactions grew 24% and the company won a record number of new customers during the period. In addition, we were pleased that Fiserv executed $612 million worth of share repurchases in the quarter (or about 0.8% of its share base). Later, Fiserv delivered strong second-quarter earnings results as exhibited by revenue, earnings and earnings per share that increased 18%, 41% and 47%, respectively. In addition, margins expanded 510 basis points to 33.9%. However, news that Amazon was reportedly developing a point-of-sale solution pressured Fiserv’s share price in
| 16
NATIXIS U.S. EQUITY OPPORTUNITIES FUND
September as investors feared increased competition. Fiserv’s third-quarter earnings results were in line with market estimates, with organic revenue growth of 10%, operating margins increasing 130 basis points and adjusted earnings per share growing 23%. However, investors reacted poorly to the release, focusing on a client (speculated to be Stripe) that was part of a joint venture with Wells Fargo, which is serviced by Fiserv, deciding to leave. This likely stoked fears that other companies may decide to insource their payment processing in the future. The departure is not expected to impact Fiserv’s financial results due to its minimal contribution and management anticipating the move. Despite the client loss, we appreciate that Fiserv still posted strong segment results and growth in customers, independent software vendors, and capabilities on its platform. We continue to believe the company is undervalued and find the investment attractive on a risk-to-reward basis.
Loomis, Sayles & Company All Cap Growth Segment
We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. For the period, the All Cap Growth segment posted a positive absolute return. Our holdings in the information technology, communication services, industrials, healthcare, financials, energy, and consumer staples sectors contributed positively to results. Our holdings in the consumer discretionary sector detracted from the segment’s performance.
Nvidia and Alphabet were the largest contributors to performance during the period. Nvidia is the world leader in graphic processing units (GPUs), which enable computers to produce and utilize highly realistic 3D graphic imagery and models. We believe the company’s competitive advantages include its intellectual property, brands, and a large and growing ecosystem of developers and applications utilizing GPU technology. A segment holding since January 2019, Nvidia reported financial results during the period that were better than consensus expectations, driven by broad-based strength that included quarterly revenue records in the company’s gaming, data center, and professional visualization segments in the second half of the year. In gaming, Nvidia is benefiting from record sales of PCs and gaming laptops and the rollout of Turing, its newest GPU architecture, which is becoming the industry norm for the latest blockbuster titles. Data center revenue benefited from a pickup in demand from hyperscale data center customers and rising demand from industry verticals such as industrials and enterprise clients that are adopting more artificial intelligence capabilities. The company saw strong traction for its latest architecture, Ampere, which for the first time enables clients to address both training and inferencing through a single architecture with performance that surpasses its already leading T4 inferencing and V100 training products. The company’s professional visualization segment addresses a more mature market, but Nvidia has been able to drive greater adoption of its products through ongoing innovation. Over our investment horizon, we believe Nvidia can sustain total annualized revenue growth of approximately 20%, driven by secular growth in spending on GPUs. As Nvidia’s business mix shifts increasingly towards its more profitable data center segment, we believe operating profits and free cash flow will grow faster than revenues. We believe Nvidia’s strong free cash flow growth prospects are not currently reflected in its share price. As a result, we believe the company’s shares trade at a significant discount to our estimate of intrinsic value and offer a compelling long-term reward-to-risk opportunity.
Alphabet is a holding company that owns a collection of businesses — the largest and most important of which by far is Google. Google is the global leader in online search and advertising, and also offers online cloud solutions to businesses and consumers globally. We believe Alphabet’s competitive advantages include its scale, brand strength, the power of its network and business ecosystem, as well as its innovative culture that is reinforced by its massive investments in research and development (R&D). A holding in the segment since inception, Alphabet reported financial results during the period that reflected a strong recovery in advertising spending, which had been depressed due to Covid-19, while revenue growth accelerated and adjusted operating margins expanded. Beginning in 2021, the company began presenting results in three segments. Google Services represents approximately 93% of total revenue and is driven by the secular shift of advertising to online and mobile platforms. The segment’s search and YouTube businesses both benefited from strong growth in direct response ads — particularly for YouTube, where in just three years direct response ads have grown from almost nothing to become one of the largest drivers. YouTube is also benefiting from strong demand from brand advertisers due to its reach and engagement with over 2 billion monthly users who recently spent over 1 billion hours daily on the platform. Google Cloud revenue represents approximately 7% of total revenue, and is driven by Google Cloud Platform, the company’s infrastructure- and platform-as-a-service offerings. Other Bets includes a number of early-stage and pre-revenue businesses and represents less than 1% of revenues. Google’s attractive financial model generates strong free cash flow and earns high returns on invested capital, enabling it to reinvest significantly in its business. Over the past five years, Google has invested over $100 billion in R&D, an amount very few companies could replicate. We believe the global secular shift from traditional advertising to online advertising is the biggest long-term growth driver for Google. Online advertising accounts for approximately $330 billion, or around 20% of the $1.5 trillion annual spending on global advertising and marketing. Over our investment horizon, we believe this penetration will increase to over 40%. We believe investors underestimate Alphabet’s growth opportunities and the intrinsic value of the business given its unique and difficult-to-replicate attributes and business model. We believe the company’s shares trade at a significant discount to our estimate of intrinsic value, and offer a compelling reward-to-risk opportunity.
17 |
Alibaba and CRISPR Therapeutics were the largest detractors during the period. A segment holding since its initial public offering in the third quarter of 2014, Alibaba Group is a leading China e-commerce and consumer-engagement platform provider. With approximately 60% of China’s e-commerce transactions estimated to take place through its marketplaces, Alibaba is the world’s largest retail platform, and we believe its scale and interconnected sites create an unparalleled and difficult-to-replicate business ecosystem. Shares have been under pressure since late 2020 due to investor concern regarding increasing regulatory intervention by the Chinese government. In April, China’s State Administration for Market Regulation concluded that Alibaba’s practices had violated antitrust law. The company was fined approximately $2.8 billion and ordered to carry out “comprehensive” self-inspections to standardize business practices and ensure compliance with anti-monopoly laws. Alibaba cooperated fully with the investigation and has changed certain business practices. In August, China passed the Personal Information Protection Law (PIPL), which is focused on protecting personal information rights and interests by standardizing the handling and usage of personal information by businesses. We believe the focus of PIPL is similar to the General Data Protection Regulation (GDPR), which went into effect in the European Union in 2018. The GDPR impacted other portfolio holdings such as Alphabet and Facebook, which incurred increased compliance costs and other disruptions as they adjusted certain business practices to comply with the new regulations. However, both companies continued to generate strong growth in revenue and free cash flow due to their competitive advantages and strong value propositions. While we expected that Alibaba would experience short-term disruptions as it modified its practices to fully comply with new regulatory changes, we did not believe the changes would ultimately impair the company’s difficult-to-replicate competitive advantages. More recently, we have observed increasing competitive pressure in two of the company’s smaller but faster-growing contributors: video streaming and penetration in lower-tier cities. Through the company’s Taobao Live, Alibaba offers a leading live-streaming social commercial platform, enabling merchants to interact with consumers. The relatively new medium has become a fast-growing vehicle for e-commerce sales, growing from less than 5% of China’s e-commerce two years earlier to almost 10% in 2020. While Alibaba continues to have a leadership position in live streaming and short video production, we have seen increased competition and market share gains from companies such as Douyin (China’s version of TikTok, owned by ByteDance), and Kuaishou. We expect this newer format will grow to represent approximately 25% of e-commerce sales over time. And while we expect Alibaba to remain a leader, we expect growing competition to take an increasing share of this fast-growing market over time. Growing competitive intensity has also impacted our assessment of Alibaba’s ongoing penetration of lower-tier cities. As internet access in lower-tier cities approaches that of higher-tier cities, we expect growth in e-commerce to be approximately twice that of overall China e-commerce growth. We believe Alibaba maintains leading market share in lower-tier cities, but is likely to face heightened competition from companies such as Pinduoduo, JD.com, and Meituan. We have long assumed that Alibaba’s disproportionate share of China e-commerce would decline, from over 80% at the time of our initial analysis in 2013, to a level closer to 50% of a still-growing market. While the company remains the dominant e-commerce platform in China, we estimate that a meaningful percentage of the company’s incremental growth in the most recent quarter was from these markets where we are seeing signs of heightened competitive intensity. As a function of newer market entrants, faster growth from newer formats of e-commerce and lower-tier cities, and recent regulatory changes, we now expect the company’s market share to normalize at a lower level than we previously expected. While our ongoing analysis has lowered our assessment of intrinsic value for the company, it has not changed our assessment that Alibaba is a high-quality company that remains well positioned to benefit from secular growth in China e-commerce over our long-term investment horizon. We continue to believe that Alibaba trades at a discount to intrinsic value and offers asymmetric reward-to-risk. However, given our most recent analysis, it no longer justified the same degree of capital allocation relative to other opportunities. We trimmed the position and allocated the proceeds to our existing holdings in Boeing, Disney, Illumina, and Salesforce.
Founded in 2013, CRISPR Therapeutics (“CRSP”) is a leading gene editing company, based in Switzerland. CRISPR, an acronym for “Clustered Regularly Interspaced Short Palindromic Repeats,” is a naturally occurring defense mechanism that protects bacteria against viral infections. Functioning as a “molecular scissors,” the process enables the bacteria to cut viral DNA, thereby disabling the virus. Dr. Emmanuelle Charpentier, a CRSP co-founder, elucidated the mechanism and developed a methodology to adapt and simplify its use for human gene therapy — for which she and a collaborator were awarded the 2020 Nobel Prize in Chemistry. The resulting gene editing technology enables precise alteration of DNA that can “silence” or correct undesirable sequences, potentially enabling a next generation of curative therapies for genetic diseases. Today, the company is focused on developing transformative gene-based medicines for serious diseases in areas including hemoglobinopathies (a group of inherited blood disorders including sickle cell disease), oncology, regenerative medicine, and rare diseases. A new purchase in the second quarter of 2021, CRSP reported financial results that demonstrated continued progress across its clinical and pre-clinical therapies, including the expectation for year-end 2022 regulatory filings for its CTX001 therapy for blood disorders including sickle cell disease. In October 2021, the company reported that its CTX110 CAR-T program, which uses the body’s own immune system to fight cancer, showed good Phase 1 safety results that were comparable to but less efficacious than competing autologous therapies. While the numbers appeared below peer results, they showed promise and potential for the company to improve the results by refining its dosing regimen. CRSP’s therapy also remains differentiated from autologous therapies which are patient-specific and can only be used to treat a single patient, while CRSP’s allogenic “off-the-shelf” CAR-T therapies can be derived from a single healthy donor and then used to treat many patients. While the results could impact the timing of potential approval and ultimate market share opportunity for its CAR-T therapies, they
| 18
NATIXIS U.S. EQUITY OPPORTUNITIES FUND
do not impact our assessment of the quality of CRSP’s platform, and we continue to expect the company to realize significant value from its CAR-T program. We took advantage of near-term price weakness to add to our holdings during the period. While CRSP has a number of therapies currently undergoing clinical trials, it has not yet commercialized any therapies and remains pre-revenue. However, at scale, we believe the company can attain the economics of a successful biotech company, including operating margins that could exceed 40% and cash flow returns on investment that substantially exceed its cost of capital. We believe the expectations embedded in CRSP’s market price substantially underestimate the potential of its curative therapies, its ability to rapidly innovate, and its structural advantages in the development process that should lift its probability of success compared to traditional biopharmaceutical therapies. We believe management is executing on a sound investment strategy that we expect will eventually generate meaningful free cash flow growth that is not reflected in current expectations. As a result, we believe the company is selling at a substantial discount to our estimate of its intrinsic value and offers a compelling reward-to-risk opportunity.
Outlook
The Natixis U.S. Equity Opportunities Fund is composed of two separate segments combining the value expertise of Harris Associates with the growth expertise of Loomis Sayles. The two segments have common investment philosophies and a rigorous long-term, bottom-up research process focused on high quality businesses trading at a significant discount to intrinsic value. Coming out of the pandemic-driven selloff in 2020, the market’s appetite for risk and infatuation with companies benefiting from the “work from home” environment has been most analogous to behavior observed in the dot-com era of the late 1990s and early 2000s and the financial crisis and energy bubble in 2008. The thesis for each investment, almost by definition, differs from consensus. The fund managers have maintained, and continue to maintain, temperament and discipline, and monitor any new information to constantly challenge those theses. The managers are patient investors and maintain coverage of high-quality businesses in order to take advantage of meaningful price dislocations if and when they occur.
Hypothetical Growth of $100,000 Investment in Class Y Shares4
December 31, 2011 through December 31, 2021
19 |
Top Ten Holdings as of December 31, 2021
| Security Name | % of Net Assets | |||||||
| 1 | Meta Platforms, Inc., Class A | 4.48 | % | |||||
| 2 | Alphabet, Inc., Class A | 4.12 | % | |||||
| 3 | NVIDIA Corp. | 3.53 | % | |||||
| 4 | Amazon.com, Inc. | 3.13 | % | |||||
| 5 | Regeneron Pharmaceuticals, Inc. | 2.80 | % | |||||
| 6 | Ally Financial, Inc. | 2.43 | % | |||||
| 7 | EOG Resources, Inc. | 2.12 | % | |||||
| 8 | Capital One Financial Corp. | 2.10 | % | |||||
| 9 | Boeing Co. (The) | 2.06 | % | |||||
| 10 | Charles Schwab Corp. (The) | 2.06 | % | |||||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
Average Annual Total Returns — December 31, 20214
| 1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios5 | ||||||||||||||||||||
| Gross | Net | |||||||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 23.48 | % | 18.69 | % | 17.70 | % | — | % | 0.92 | % | 0.92 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 23.14 | 18.40 | 17.40 | — | 1.17 | 1.17 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 16.07 | 17.00 | 16.71 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | 22.27 | 17.52 | 16.70 | — | 1.92 | 1.92 | ||||||||||||||||||
| With CDSC1 | 21.27 | 17.52 | 16.70 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 23.53 | — | — | 18.17 | 1.13 | 0.84 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| S&P 500® Index2 | 28.71 | 18.47 | 16.55 | 18.02 | ||||||||||||||||||||
| Russell 1000® Index3 | 26.45 | 18.43 | 16.54 | 17.96 | ||||||||||||||||||||
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.
| 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. |
| 20
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.
Market Conditions
During the fiscal year ended December 31, 2021, the equity market continued to recover from the global pandemic. Buoyed by a new round of stimulus checks and an accelerated rollout of Covid-19 vaccines, cyclical sectors and securities with high beta and high short interest led the equity market to new all-time highs. As we moved through the fiscal year, growth stocks resumed their leadership over value. The leadership shift to larger cap equities with growth characteristics is consistent with the modest decline in Treasury yields and flattening yield curve. As we neared the fiscal year-end, returns were mixed as global equity markets grappled with slowing economic growth, rising energy prices, and material supply chain disruptions, offset by falling Covid cases and improving employment conditions. With rising inflationary pressures becoming a political issue, the US Federal Reserve began modestly reducing their Quantitative Easing purchases and provided forward guidance that interest rate increases are on the horizon. Inflationary pressures have peaked in the US and emerging markets but continue to rise in Europe. Although upward pressure on inflation is easing, inflation remains at elevated levels and may limit monetary policy support going forward.
Performance Results
For the 12 months ended December 31, 2021, Class Y shares of the Vaughan Nelson Mid Cap Fund returned 21.65% at net asset value. The Fund underperformed its benchmark, the Russell Midcap® Value Index, which returned 28.34%.
Explanation of Fund Performance
The largest contributor to underperformance was the Fund’s consumer discretionary names. Leslie’s, Inc. was a relative detractor. Leslie’s is a provider of pool supplies and chemicals in the US, with a network of nearly 1,000 stores. While earnings were strongly revised higher throughout the year, the stock suffered from private equity sponsor selling. With the December secondary offering, the company concurrently announced a share buyback to absorb more than half the offering. We believe this should begin to relieve the sponsor overhang in 2022.
Selection within materials, namely FMC Corporation, was a relative detractor. FMC is a leading agricultural sciences company making insecticides, herbicides, and fungicides for crops. The company experienced price/cost pressures during the year but exited the fourth quarter with positive momentum.
A significant underweight to real estate, an outperforming sector, meaningfully impacted relative returns.
Information technology was a negative contributor driven by an overweight position and stock selection. Alliance Data Systems Corporation (ADS) was the most challenged name. ADS is a provider of private label credit cards, promotional financings and savings products. The company underwent a spinoff of Loyalty Ventures to create value, but still lagged its peers as the market doubts its longer-term receivables growth targets and worries about the threat of alternatives such as buy-now-pay-later. The company is also classified in a different sector than its peers.
Health care underperformance was driven by security selection. Within the sector, Aveanna Healthcare Holdings Inc. is a provider of home health solutions, with a focus on pediatric patients. The stock underperformed as the sector was under pressure due to labor difficulties, and Aveanna is also a new issue.
Financials outperformed, with Athene Holding Ltd. Class A the strongest name. Athene was acquired by Apollo during the year and benefited from Apollo’s newly stated goal of $1 trillion in AUM by 2026, a doubling of its current asset base.
Security selection within industrials aided performance, with WillScot Mobile Mini Holdings Corp. Class A the strongest performer. The company provides modular space and portable storage products including temporary workspace, furniture rental, and facilities services. The company held an investor day with a bullish outlook, and a final sponsor stock sale allowed the stock to lift off.
21 |
Energy was a positive relative sector, primarily due to Pioneer Natural Resources Company. Pioneer is an oil & gas exploration and production company with a focus in the Permian basin. The company completed two big mergers, then benefited from a commitment to no more deals, capital return, and rising oil prices throughout the year.
Utilities was the final outperforming sector due in part to Evergy, Inc. Evergy is a regulated utility that provides electric services to Kansas and Missouri. The company has activist involvement and benefited from strong execution.
Outlook
Economic growth continues to slow, and we expect supporting data to become visible as we exit the first quarter and move through the second quarter of 2022. As monetary policy becomes incrementally more restrictive, it is important for inflationary pressures to ease faster than economic growth so that real growth can remain supportive of equity markets. Should economic growth slow more quickly than inflation, earnings estimates and equity valuations may come under pressure in the first half of 2022.
Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 31, 2011 through December 31, 2021
See notes to chart on page 23.
| 22
VAUGHAN NELSON MID CAP FUND
Top Ten Holdings as of December 31, 2021
| Security Name | % of Net Assets | |||||||
| 1 | Motorola Solutions, Inc. | 4.82 | % | |||||
| 2 | Performance Food Group Co. | 3.70 | % | |||||
| 3 | Skechers U.S.A., Inc., Class A | 3.45 | % | |||||
| 4 | Elanco Animal Health, Inc. | 3.38 | % | |||||
| 5 | Avantor, Inc. | 2.93 | % | |||||
| 6 | Leslie's, Inc. | 2.78 | % | |||||
| 7 | Sotera Health Co. | 2.72 | % | |||||
| 8 | WillScot Mobile Mini Holdings Corp. | 2.67 | % | |||||
| 9 | Nexstar Media Group, Inc., Class A | 2.65 | % | |||||
| 10 | Crown Holdings, Inc. | 2.50 | % | |||||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
Average Annual Total Returns — December 31, 20213
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios4 | ||||||||||||||||||||
| Gross | Net | |||||||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 21.65 | % | 10.87 | % | 12.13 | % | — | % | 0.99 | % | 0.90 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 21.32 | 10.58 | 11.84 | — | 1.24 | 1.15 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 14.34 | 9.28 | 11.18 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | 20.44 | 9.76 | 11.18 | — | 1.99 | 1.90 | ||||||||||||||||||
| With CDSC1 | 19.44 | 9.76 | 11.18 | — | ||||||||||||||||||||
| Class N (Inception 5/1/13) | ||||||||||||||||||||||||
| NAV | 21.70 | 10.96 | — | 10.60 | 0.89 | 0.85 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Russell Midcap® Value Index2 | 28.34 | 11.22 | 13.44 | 11.66 | ||||||||||||||||||||
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 and includes automatic conversion to Class A shares after eight years. |
| 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. |
23 |
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.
Market Conditions
During the fiscal year ended December 31, 2021, the equity market continued to recover from the global pandemic. Buoyed by a new round of stimulus checks and an accelerated rollout of Covid-19 vaccines, cyclical sectors and securities with high beta and high short interest led the equity market to new all-time highs. As we moved through the fiscal year, growth stocks resumed their leadership over value. The leadership shift to larger cap equities with growth characteristics is consistent with the modest decline in Treasury yields and flattening yield curve. As we neared the fiscal year-end, returns were mixed as global equity markets grappled with slowing economic growth, rising energy prices, and material supply chain disruptions offset by falling Covid cases and improving employment conditions. With rising inflationary pressures becoming a political issue, the US Federal Reserve began modestly reducing their Quantitative Easing purchases and provided forward guidance that interest rate increases are on the horizon. Inflationary pressures have peaked in the US and emerging markets but continue to rise in Europe. Although upward pressure on inflation is easing, inflation remains at elevated levels and may limit monetary policy support going forward.
Performance Results
For the 12 months ended December 31, 2021, Class Y shares of the Vaughan Nelson Small Cap Value Fund returned 30.61% at net asset value. The Fund outperformed its benchmark, the Russell 2000® Value Index, which returned 28.27%.
Explanation of Fund Performance
The largest contributor to outperformance was healthcare, driven by security selection. Within the sector, Syneos Health, Inc. Class A drove the outperformance due to continued strength in their backlog of core clinical contract outsourcing business combined with industry strength with respect to biotech funding levels.
Information technology (IT) was a significant contributor, driven by an overweight position and stock selection. ExlService Holdings, Inc. led the way, resulting from strong third quarter 2021 execution on booked business, strong (95%) revenue visibility into 2022 and the continued secular shift for enterprise clients to outsource core operations to the company to save money and gain operational efficiency.
The Fund’s consumer discretionary names outperformed the sector, with International Game Technology PLC the largest contributor due primarily to strength in i-Lottery and sports betting industry assets that drove a re-rating of the stock by the market. Higher cash flow generation by the company also led to a significant reduction in net leverage from previously high levels.
Financials outperformed, with LPL Financial Holdings Inc. the strongest name because of a rise in equity markets driving higher assets under management and the market anticipating higher interest rates, which would increase the spread earned by the company on their client’s cash balances.
Utilities was the final outperforming sector, due in part to the Fund’s underweight position.
The largest detractor from returns was a significant underweight to real estate, an outperforming benchmark sector.
Both an overweight to and security selection within industrials hampered performance, with Ritchie Bros. Auctioneers the worst performer
Ritchie Bros. Auctioneers underperformed due to supply chain constraints limiting the amount of auction inventory (industrial capital equipment) the company could aggregate as owners of equipment were holding on to older assets longer. This led to lower earnings growth than the market anticipated.
Energy was a negative relative sector, primarily due to TechnipFMC Plc, which underperformed due to a pullback in natural gas prices throughout the world and a milder winter in Europe. Further, oil retreated from its 2021 highs made in October 2021.
| 24
VAUGHAN NELSON SMALL CAP VALUE FUND
The communication services underperformance was driven by security selection. Sinclair Broadcast Group, Inc. Class A was the most challenged name. The Delta and Omicron virus waves led to changes in sports viewing schedules, which is one of the primary revenue sources for the company as it owns several regional sports networks.
Security selection within a disappointing consumer staples sector detracted from returns led by Performance Food Group Company. The stock underperformed due to inflation effects as the company lags price increases by 1–2 quarters, as well as a deal with CoreMark that the market is waiting to see demonstrable benefits from.
Lastly, selection within materials, namely Axalta Coating Systems Ltd., was a relative detractor due to lower auto production volumes resulting in decreased demand for Axalta paint, combined with margin pressure due to inflation which the company mitigates with price increases on a 1–2 quarter lag.
Outlook
Economic growth continues to slow, and we expect supporting data to become visible as we exit the first quarter and move through the second quarter of 2022. As monetary policy becomes incrementally more restrictive, it is important for inflationary pressures to ease faster than economic growth so that real growth can remain supportive of equity markets. Should economic growth slow more quickly than inflation, earnings estimates and equity valuations may come under pressure in the first half of 2022.
Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 31, 2011 through December 31, 2021
25 |
Top Ten Holdings as of December 31, 2021
| Security Name | % of Net Assets | |||||||
| 1 | Insight Enterprises, Inc. | 3.50 | % | |||||
| 2 | Element Solutions, Inc. | 3.41 | ||||||
| 3 | ExlService Holdings, Inc. | 2.98 | ||||||
| 4 | Syneos Health, Inc. | 2.86 | ||||||
| 5 | Molina Healthcare, Inc. | 2.77 | ||||||
| 6 | ASGN, Inc. | 2.58 | ||||||
| 7 | LPL Financial Holdings, Inc. | 2.45 | ||||||
| 8 | Performance Food Group Co. | 2.40 | ||||||
| 9 | Capri Holdings Ltd. | 2.35 | ||||||
| 10 | Chemours Co. (The) | 2.09 | ||||||
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
Average Annual Total Returns — December 31, 20213
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios4 | ||||||||||||||||||||
| Gross | Net | |||||||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 30.61 | % | 10.15 | % | 13.09 | % | — | % | 1.23 | % | 1.00 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 30.24 | 9.86 | 12.80 | — | 1.48 | 1.25 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | 22.74 | 8.56 | 12.13 | — | ||||||||||||||||||||
| Class C |
| |||||||||||||||||||||||
| NAV | 29.45 | 9.05 | 12.12 | — | 2.23 | 2.00 | ||||||||||||||||||
| With CDSC1 | 28.62 | 9.05 | 12.12 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 30.64 | — | — | 11.13 | 6.49 | 0.95 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Russell 2000® Value Index2 | 28.27 | 9.07 | 12.03 | 9.54 | ||||||||||||||||||||
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 and includes automatic conversion to Class A shares after eight years. |
| 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 4/30/23. 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. |
| 26
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.
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
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.
27 |
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 July 1, 2021 through December 31, 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 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD 7/1/2021 – 12/31/2021* | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $912.30 | $5.78 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.16 | $6.11 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $909.70 | $9.39 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.38 | $9.91 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $914.20 | $4.34 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | $4.58 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $913.90 | $4.58 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | $4.84 | |||||||||
| * | 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 (184), divided by 365 (to reflect the half-year period). |
| 28
| NATIXIS OAKMARK FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD 7/1/2021 – 12/31/2021* | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,065.30 | $5.47 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.91 | $5.35 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,061.50 | $9.35 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,016.13 | $9.15 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,067.10 | $3.91 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.43 | $3.82 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,067.00 | $4.17 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | $4.08 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80%, 0.75% and 0.80% 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 (184), divided by 365 (to reflect the half-year period). |
| NATIXIS OAKMARK INTERNATIONAL FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD 7/1/2021 – 12/31/2021* | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $956.80 | $5.67 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.41 | $5.85 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $953.20 | $9.35 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.63 | $9.65 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $958.20 | $4.20 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | $4.33 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $957.70 | $4.44 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | $4.58 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% 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 (184), divided by 365 (to reflect the half-year period). |
29 |
| NATIXIS U.S. EQUITY OPPORTUNITIES FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD 7/1/2021 – 12/31/2021* | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,038.20 | $5.75 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.56 | $5.70 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,034.60 | $9.59 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.78 | $9.50 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,039.80 | $4.22 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.07 | $4.18 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,039.60 | $4.47 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.82 | $4.43 | |||||||||
| * | Expenses are equal to the Fund��s annualized expense ratio (after waiver/reimbursement): 1.12%, 1.87%, 0.82% and 0.87% 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 (184), divided by 365 (to reflect the half-year period). |
| VAUGHAN NELSON MID CAP FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD 7/1/2021 – 12/31/2021* | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,034.80 | $5.90 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.41 | $5.85 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,031.10 | $9.73 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.63 | $9.65 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,036.80 | $4.36 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | $4.33 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,036.60 | $4.62 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | $4.58 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% 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 (184), divided by 365 (to reflect the half-year period). |
| 30
| VAUGHAN NELSON SMALL CAP VALUE FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD 7/1/2021 – 12/31/2021* | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,082.00 | $6.56 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,018.90 | $6.36 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,078.50 | $10.48 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,015.12 | $10.16 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,083.70 | $4.99 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | $4.84 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,083.90 | $5.25 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.16 | $5.09 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.25%, 2.00%, 0.95% and 1.00% 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 (184), divided by 365 (to reflect the half-year period). |
31 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles International Growth Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 97.7% of Net Assets | ||||||||
| Argentina — 6.0% |
| |||||||
| 1,032 | MercadoLibre, Inc.(a) | $ | 1,391,549 | |||||
|
| |||||||
| Australia — 6.0% |
| |||||||
| 33,026 | WiseTech Global Ltd. | 1,400,680 | ||||||
|
| |||||||
| Belgium — 2.1% |
| |||||||
| 8,040 | Anheuser-Busch InBev S.A. | 484,731 | ||||||
|
| |||||||
| Brazil — 3.7% |
| |||||||
| 306,396 | Ambev S.A., ADR | 857,909 | ||||||
|
| |||||||
| China — 25.7% |
| |||||||
| 3,304 | Alibaba Group Holding Ltd., Sponsored ADR(a)(b) | 392,482 | ||||||
| 4,070 | Baidu, Inc., Sponsored ADR(a)(b) | 605,575 | ||||||
| 57,800 | Budweiser Brewing Co. APAC Ltd., 144A | 151,954 | ||||||
| 456,500 | Dali Foods Group Co. Ltd., 144A | 239,153 | ||||||
| 3,100 | Kweichow Moutai Co. Ltd., Class A | 998,693 | ||||||
| 3,517 | NXP Semiconductors NV | 801,102 | ||||||
| 22,000 | Tencent Holdings Ltd.(b) | 1,283,724 | ||||||
| 23,573 | Trip.com Group Ltd., ADR(a)(b) | 580,367 | ||||||
| 40,469 | Vipshop Holdings Ltd., ADR(a)(b) | 339,940 | ||||||
| 11,933 | Yum China Holdings, Inc. | 594,741 | ||||||
|
| |||||||
| 5,987,731 | ||||||||
|
| |||||||
| Denmark — 4.0% |
| |||||||
| 8,249 | Novo Nordisk A/S, Class B | 926,576 | ||||||
|
| |||||||
| France — 5.0% |
| |||||||
| 2,482 | EssilorLuxottica S.A. | 528,360 | ||||||
| 7,379 | Sodexo S.A. | 646,902 | ||||||
|
| |||||||
| 1,175,262 | ||||||||
|
| |||||||
| Germany — 3.3% |
| |||||||
| 5,548 | SAP SE | 780,823 | ||||||
|
| |||||||
| Japan — 4.7% |
| |||||||
| 4,100 | FANUC Corp. | 871,504 | ||||||
| 5,300 | Unicharm Corp. | 230,588 | ||||||
|
| |||||||
| 1,102,092 | ||||||||
|
| |||||||
| Macau — 0.9% |
| |||||||
| 39,000 | Galaxy Entertainment Group Ltd.(a) | 202,316 | ||||||
|
| |||||||
| Netherlands — 5.7% |
| |||||||
| 509 | Adyen NV, 144A(a) | 1,336,125 | ||||||
|
| |||||||
| Switzerland — 17.8% |
| |||||||
| 6,639 | CRISPR Therapeutics AG(a) | 503,103 | ||||||
| 6,811 | Nestle S.A., (Registered) | 950,933 | ||||||
| 12,727 | Novartis AG, (Registered) | 1,118,347 | ||||||
| 3,830 | Roche Holding AG | 1,588,918 | ||||||
|
| |||||||
| 4,161,301 | ||||||||
|
| |||||||
| United Kingdom — 11.1% |
| |||||||
| 6,459 | Diageo PLC | 353,152 | ||||||
| 17,805 | Experian PLC | 877,001 | ||||||
| 9,470 | Reckitt Benckiser Group PLC | 815,212 | ||||||
| 10,119 | Unilever PLC | 542,441 | ||||||
|
| |||||||
| 2,587,806 | ||||||||
|
| |||||||
| United States — 1.7% |
| |||||||
| 4,226 | Core Laboratories NV | 94,282 | ||||||
| 9,810 | Schlumberger NV | 293,809 | ||||||
|
| |||||||
| 388,091 | ||||||||
|
| |||||||
| Total Common Stocks (Identified Cost $23,841,001) | 22,782,992 | |||||||
|
| |||||||
| Principal Amount | Description | Value (†) | ||||||
| Short-Term Investments — 1.6% | ||||||||
| $ | 382,811 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $382,811 on 1/03/2022 collateralized by $323,400 U.S. Treasury Inflation Indexed Note, 0.125% due 07/15/2030 valued at $390,573 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $382,811) | $ | 382,811 | ||||
|
| |||||||
| Total Investments — 99.3% (Identified Cost $24,223,812) | 23,165,803 | |||||||
| Other assets less liabilities — 0.7% | 159,888 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 23,325,691 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Non-income producing security. |
| ||||||
| (b) | Security invests in variable interest entities based in China. See Note 10 of Notes to Financial Statements. |
| ||||||
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021, the value of Rule 144A holdings amounted to $1,727,232 or 7.4% 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 December 31, 2021
Pharmaceuticals | 15.6 | % | ||
Beverages | 12.3 | |||
Software | 9.3 | |||
Internet & Direct Marketing Retail | 9.2 | |||
Hotels, Restaurants & Leisure | 8.7 | |||
Interactive Media & Services | 8.1 | |||
IT Services | 5.7 | |||
Food Products | 5.1 | |||
Household Products | 4.5 | |||
Professional Services | 3.8 | |||
Machinery | 3.7 | |||
Semiconductors & Semiconductor Equipment | 3.4 | |||
Personal Products | 2.3 | |||
Textiles, Apparel & Luxury Goods | 2.2 | |||
Biotechnology | 2.1 | |||
Energy Equipment & Services | 1.7 | |||
Short-Term Investments | 1.6 | |||
|
| |||
Total Investments | 99.3 | |||
Other assets less liabilities | 0.7 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 32
Portfolio of Investments – as of December 31, 2021
Loomis Sayles International Growth Fund – (continued)
Currency Exposure Summary at December 31, 2021
United States Dollar | 29.3 | % | ||
Euro | 18.4 | |||
Swiss Franc | 15.7 | |||
British Pound | 8.8 | |||
Hong Kong Dollar | 8.1 | |||
Australian Dollar | 6.0 | |||
Japanese Yen | 4.7 | |||
Yuan Renminbi | 4.3 | |||
Danish Krone | 4.0 | |||
|
| |||
Total Investments | 99.3 | |||
Other assets less liabilities | 0.7 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
33 |
Portfolio of Investments – as of December 31, 2021
Natixis Oakmark Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 93.9% of Net Assets | ||||||||
| Aerospace & Defense — 0.9% |
| |||||||
| 16,300 | General Dynamics Corp. | $ | 3,398,061 | |||||
|
| |||||||
| Auto Components — 1.0% |
| |||||||
| 81,700 | BorgWarner, Inc. | 3,682,219 | ||||||
|
| |||||||
| Automobiles — 1.6% |
| |||||||
| 103,400 | General Motors Co.(a) | 6,062,342 | ||||||
|
| |||||||
| Banks — 6.4% |
| |||||||
| 178,700 | Bank of America Corp. | 7,950,363 | ||||||
| 149,600 | Citigroup, Inc. | 9,034,344 | ||||||
| 143,045 | Wells Fargo & Co. | 6,863,299 | ||||||
|
| |||||||
| 23,848,006 | ||||||||
|
| |||||||
| Beverages — 3.9% |
| |||||||
| 30,300 | Constellation Brands, Inc., Class A | 7,604,391 | ||||||
| 183,404 | Keurig Dr Pepper, Inc. | 6,760,271 | ||||||
|
| |||||||
| 14,364,662 | ||||||||
|
| |||||||
| Biotechnology — 1.9% |
| |||||||
| 10,987 | Regeneron Pharmaceuticals, Inc.(a) | 6,938,510 | ||||||
|
| |||||||
| Capital Markets — 12.9% |
| |||||||
| 92,600 | Bank of New York Mellon Corp. (The) | 5,378,208 | ||||||
| 124,000 | Charles Schwab Corp. (The) | 10,428,400 | ||||||
| 22,575 | Goldman Sachs Group, Inc. (The) | 8,636,066 | ||||||
| 49,000 | Intercontinental Exchange, Inc. | 6,701,730 | ||||||
| 60,657 | KKR & Co., Inc. | 4,518,947 | ||||||
| 8,005 | Moody’s Corp. | 3,126,593 | ||||||
| 4,210 | S&P Global, Inc. | 1,986,825 | ||||||
| 76,943 | State Street Corp. | 7,155,699 | ||||||
|
| |||||||
| 47,932,468 | ||||||||
|
| |||||||
| Consumer Finance — 8.0% |
| |||||||
| 260,544 | Ally Financial, Inc. | 12,404,500 | ||||||
| 41,644 | American Express Co. | 6,812,958 | ||||||
| 73,305 | Capital One Financial Corp. | 10,635,823 | ||||||
|
| |||||||
| 29,853,281 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components — 1.5% |
| |||||||
| 35,747 | TE Connectivity Ltd. | 5,767,421 | ||||||
|
| |||||||
| Entertainment — 3.2% |
| |||||||
| 13,855 | Netflix, Inc.(a) | 8,346,806 | ||||||
| 20,400 | Take-Two Interactive Software, Inc.(a) | 3,625,488 | ||||||
|
| |||||||
| 11,972,294 | ||||||||
|
| |||||||
| Health Care Providers & Services — 6.3% |
| |||||||
| 62,866 | CVS Health Corp. | 6,485,257 | ||||||
| 32,407 | HCA Healthcare, Inc. | 8,326,006 | ||||||
| 18,345 | Humana, Inc. | 8,509,512 | ||||||
|
| |||||||
| 23,320,775 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 4.3% |
| |||||||
| 3,405 | Booking Holdings, Inc.(a) | 8,169,378 | ||||||
| 50,545 | Hilton Worldwide Holdings, Inc.(a) | 7,884,515 | ||||||
|
| |||||||
| 16,053,893 | ||||||||
|
| |||||||
| Industrial Conglomerates — 1.3% |
| |||||||
| 51,625 | General Electric Co. | 4,877,014 | ||||||
|
| |||||||
| Insurance — 4.6% |
| |||||||
| 143,895 | American International Group, Inc. | 8,181,870 | ||||||
| 47,212 | Reinsurance Group of America, Inc. | 5,169,242 | ||||||
| 16,315 | Willis Towers Watson PLC | 3,874,649 | ||||||
|
| |||||||
| 17,225,761 | ||||||||
|
| |||||||
| Interactive Media & Services — 6.0% |
| |||||||
| 4,529 | Alphabet, Inc., Class A(a) | 13,120,694 | ||||||
| Interactive Media & Services — continued | ||||||||
| 27,155 | Meta Platforms, Inc., Class A(a) | $ | 9,133,584 | |||||
|
| |||||||
| 22,254,278 | ||||||||
|
| |||||||
| Internet & Direct Marketing Retail — 2.1% |
| |||||||
| 93,211 | eBay, Inc. | 6,198,531 | ||||||
| 196,930 | Qurate Retail, Inc., Class A | 1,496,668 | ||||||
|
| |||||||
| 7,695,199 | ||||||||
|
| |||||||
| IT Services — 8.8% |
| |||||||
| 19,320 | Automatic Data Processing, Inc. | 4,763,926 | ||||||
| 182,200 | DXC Technology Co.(a) | 5,865,018 | ||||||
| 77,600 | Fiserv, Inc.(a) | 8,054,104 | ||||||
| 27,959 | Gartner, Inc.(a) | 9,347,253 | ||||||
| 4,460 | MasterCard, Inc., Class A | 1,602,567 | ||||||
| 14,105 | Visa, Inc., Class A | 3,056,694 | ||||||
|
| |||||||
| 32,689,562 | ||||||||
|
| |||||||
| Machinery — 1.8% |
| |||||||
| 14,705 | Cummins, Inc. | 3,207,749 | ||||||
| 40,900 | PACCAR, Inc. | 3,609,834 | ||||||
|
| |||||||
| 6,817,583 | ||||||||
|
| |||||||
| Media — 3.7% |
| |||||||
| 11,409 | Charter Communications, Inc., Class A(a) | 7,438,326 | ||||||
| 127,700 | Comcast Corp., Class A | 6,427,141 | ||||||
|
| |||||||
| 13,865,467 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 8.2% |
| |||||||
| 261,517 | APA Corp. | 7,032,192 | ||||||
| 105,331 | ConocoPhillips | 7,602,791 | ||||||
| 48,248 | Diamondback Energy, Inc. | 5,203,547 | ||||||
| 120,924 | EOG Resources, Inc. | 10,741,679 | ||||||
|
| |||||||
| 30,580,209 | ||||||||
|
| |||||||
| Real Estate Management & Development — 1.1% |
| |||||||
| 38,200 | CBRE Group, Inc., Class A(a) | 4,145,082 | ||||||
|
| |||||||
| Software — 1.5% |
| |||||||
| 20,576 | Workday, Inc., Class A(a) | 5,620,952 | ||||||
|
| |||||||
| Tobacco — 1.6% |
| |||||||
| 122,469 | Altria Group, Inc. | 5,803,806 | ||||||
|
| |||||||
| Wireless Telecommunication Services — 1.3% |
| |||||||
| 40,870 | T-Mobile US, Inc.(a) | 4,740,103 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $239,400,200) | 349,508,948 | |||||||
|
| |||||||
| Principal Amount | ||||||||
| Short-Term Investments — 5.4% | ||||||||
| $ | 20,224,080 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $20,224,080 on 1/03/2022 collateralized by $14,758,200 U.S. Treasury Bond, 4.500% due 5/15/2038 valued at $20,628,613 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $20,224,080) | 20,224,080 | |||||
|
| |||||||
| Total Investments — 99.3% (Identified Cost $259,624,280) | 369,733,028 | |||||||
| Other assets less liabilities — 0.7% | 2,433,397 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 372,166,425 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Non-income producing security. |
| ||||||
See accompanying notes to financial statements.
| 34
Portfolio of Investments – as of December 31, 2021
Natixis Oakmark Fund – (continued)
Industry Summary at December 31, 2021
Capital Markets | 12.9 | % | ||
IT Services | 8.8 | |||
Oil, Gas & Consumable Fuels | 8.2 | |||
Consumer Finance | 8.0 | |||
Banks | 6.4 | |||
Health Care Providers & Services | 6.3 | |||
Interactive Media & Services | 6.0 | |||
Insurance | 4.6 | |||
Hotels, Restaurants & Leisure | 4.3 | |||
Beverages | 3.9 | |||
Media | 3.7 | |||
Entertainment | 3.2 | |||
Internet & Direct Marketing Retail | 2.1 | |||
Other Investments, less than 2% each | 15.5 | |||
Short-Term Investments | 5.4 | |||
|
| |||
Total Investments | 99.3 | |||
Other assets less liabilities | 0.7 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
35 |
Portfolio of Investments – as of December 31, 2021
Natixis Oakmark International Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 96.9% of Net Assets | ||||||||
| Australia — 2.0% |
| |||||||
| 508,300 | Brambles Ltd. | $ | 3,932,373 | |||||
| 668,820 | Orica Ltd. | 6,669,647 | ||||||
|
| |||||||
| 10,602,020 | ||||||||
|
| |||||||
| Belgium — 2.0% |
| |||||||
| 175,700 | Anheuser-Busch InBev S.A. | 10,592,944 | ||||||
|
| |||||||
| Canada — 1.9% |
| |||||||
| 115,700 | Open Text Corp. | 5,491,623 | ||||||
| 80,199 | Restaurant Brands International, Inc. | 4,866,475 | ||||||
|
| |||||||
| 10,358,098 | ||||||||
|
| |||||||
| China — 5.0% |
| |||||||
| 729,300 | Alibaba Group Holding Ltd.(a) | 10,717,486 | ||||||
| 126,975 | Prosus NV | 10,516,705 | ||||||
| 45,646 | Trip.com Group Ltd.(a) | 1,119,539 | ||||||
| 543,696 | Vipshop Holdings Ltd., ADR(a) | 4,567,047 | ||||||
|
| |||||||
| 26,920,777 | ||||||||
|
| |||||||
| Finland — 0.7% |
| |||||||
| 102,500 | UPM-Kymmene OYJ | 3,899,981 | ||||||
|
| |||||||
| France — 12.5% |
| |||||||
| 326,305 | Accor S.A.(a) | 10,576,657 | ||||||
| 269,491 | BNP Paribas S.A.(b) | 18,632,884 | ||||||
| 14,600 | Capgemini SE | 3,578,175 | ||||||
| 111,600 | Danone S.A. | 6,936,995 | ||||||
| 130,198 | Publicis Groupe S.A. | 8,771,965 | ||||||
| 261,612 | Valeo S.A. | 7,889,269 | ||||||
| 190,400 | Worldline S.A., 144A(a) | 10,597,694 | ||||||
|
| |||||||
| 66,983,639 | ||||||||
|
| |||||||
| Germany — 24.4% |
| |||||||
| 76,810 | Allianz SE, (Registered) | 18,116,300 | ||||||
| 371,130 | Bayer AG, (Registered) | 19,819,931 | ||||||
| 167,900 | Bayerische Motoren Werke AG | 16,797,089 | ||||||
| 139,959 | Continental AG(a) | 14,704,852 | ||||||
| 172,114 | Daimler AG, (Registered) | 13,150,223 | ||||||
| 115,907 | Daimler Truck Holding AG(a) | 4,260,991 | ||||||
| 161,900 | Fresenius Medical Care AG & Co. KGaA | 10,495,685 | ||||||
| 198,500 | Fresenius SE & Co. KGaA | 7,978,387 | ||||||
| 81,900 | Henkel AG & Co. KGaA | 6,384,195 | ||||||
| 62,900 | SAP SE | 8,852,515 | ||||||
| 822,300 | thyssenkrupp AG(a) | 9,008,785 | ||||||
| 26,511 | Vitesco Technologies Group AG, Class A(a) | 1,300,124 | ||||||
|
| |||||||
| 130,869,077 | ||||||||
|
| |||||||
| India — 1.0% |
| |||||||
| 620,975 | Axis Bank Ltd.(a) | 5,642,961 | ||||||
|
| |||||||
| Indonesia — 0.7% |
| |||||||
| 7,495,500 | Bank Mandiri Persero Tbk PT | 3,701,122 | ||||||
|
| |||||||
| Ireland — 1.4% |
| |||||||
| 68,638 | Ryanair Holdings PLC, Sponsored ADR(a) | 7,023,727 | ||||||
| 24,200 | Ryanair Holdings PLC(a) | 419,054 | ||||||
|
| |||||||
| 7,442,781 | ||||||||
|
| |||||||
| Italy — 3.2% |
| |||||||
| 6,667,700 | Intesa Sanpaolo SpA | 17,222,157 | ||||||
|
| |||||||
| Japan — 1.9% |
| |||||||
| 145,200 | Komatsu Ltd. | 3,395,645 | ||||||
| 363,900 | Toyota Motor Corp. | 6,725,813 | ||||||
|
| |||||||
| 10,121,458 | ||||||||
|
| |||||||
| Korea — 1.2% |
| |||||||
| 19,750 | NAVER Corp.(a) | 6,269,071 | ||||||
|
| |||||||
| Mexico — 1.1% |
| |||||||
| 621,800 | Grupo Televisa SAB, Sponsored ADR | $ | 5,826,266 | |||||
|
| |||||||
| Netherlands — 2.2% |
| |||||||
| 129,544 | EXOR NV | 11,596,474 | ||||||
|
| |||||||
| South Africa — 0.7% |
| |||||||
| 25,788 | Naspers Ltd., N Shares | 4,002,582 | ||||||
|
| |||||||
| Spain — 1.6% |
| |||||||
| 123,630 | Amadeus IT Group S.A.(a) | 8,365,329 | ||||||
|
| |||||||
| Sweden — 4.7% |
| |||||||
| 516,655 | H & M Hennes & Mauritz AB, B Shares | 10,137,859 | ||||||
| 334,800 | SKF AB, B Shares | 7,917,925 | ||||||
| 298,300 | Volvo AB, B Shares | 6,898,631 | ||||||
|
| |||||||
| 24,954,415 | ||||||||
|
| |||||||
| Switzerland — 12.2% |
| |||||||
| 8,200 | Cie Financiere Richemont S.A., (Registered) | 1,225,366 | ||||||
| 1,767,639 | Credit Suisse Group AG, (Registered)(b) | 17,138,354 | ||||||
| 3,067,780 | Glencore PLC(b) | 15,631,191 | ||||||
| 214,521 | Holcim Ltd., (Registered) | 10,910,330 | ||||||
| 118,500 | Novartis AG, (Registered) | 10,412,829 | ||||||
| 12,900 | Roche Holding AG | 5,351,709 | ||||||
| 15,299 | Swatch Group AG (The) | 4,659,095 | ||||||
|
| |||||||
| 65,328,874 | ||||||||
|
| |||||||
| United Kingdom — 16.5% |
| |||||||
| 716,392 | CNH Industrial NV | 13,850,865 | ||||||
| 218,100 | Compass Group PLC(a) | 4,910,235 | ||||||
| 568,377 | Informa PLC(a) | 3,979,535 | ||||||
| 350,432 | Liberty Global PLC, Class A(a) | 9,720,984 | ||||||
| 30,524,500 | Lloyds Banking Group PLC | 19,822,345 | ||||||
| 2,182,200 | NatWest Group PLC | 6,682,583 | ||||||
| 325,700 | Prudential PLC | 5,632,279 | ||||||
| 52,800 | Reckitt Benckiser Group PLC | 4,545,215 | ||||||
| 1,165,300 | Rolls-Royce Holdings PLC(a) | 1,945,044 | ||||||
| 162,989 | Schroders PLC | 7,867,052 | ||||||
| 148,400 | Smiths Group PLC | 3,176,543 | ||||||
| 407,500 | WPP PLC | 6,205,298 | ||||||
|
| |||||||
| 88,337,978 | ||||||||
|
| |||||||
| Total Common Stocks (Identified Cost $490,568,124) | 519,038,004 | |||||||
|
| |||||||
| Preferred Stocks — 1.3% | ||||||||
| Non-Convertible Preferred Stocks — 1.3% | ||||||||
| Korea — 1.3% | ||||||||
| 114,600 | Samsung Electronics Co. Ltd., 1.530%, (KRW) (Identified Cost $6,734,682) | 6,851,437 | ||||||
|
| |||||||
| Principal Amount | ||||||||
| Short-Term Investments – 1.0% | ||||||||
| $ | 5,581,234 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $5,581,234 on 1/03/2022 collateralized by $4,090,300 U.S. Treasury Bond, 4.375% due 11/15/2039 valued at $5,692,867 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,581,234) | 5,581,234 | |||||
|
| |||||||
| Total Investments — 99.2% (Identified Cost $502,884,040) | 531,470,675 | |||||||
| Other assets less liabilities — 0.8% | 4,398,273 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 535,868,948 | ||||||
|
| |||||||
See accompanying notes to financial statements.
| 36
Portfolio of Investments – as of December 31, 2021
Natixis Oakmark International Fund – (continued)
| (†) | 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 December 31, 2021, the value of Rule 144A holdings amounted to $10,597,694 or 2.0% 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 |
| ||||||
| KRW | South Korean Won |
| ||||||
At December 31, 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 | 6/15/2022 | CHF | $ | 6,786,000 | $ | 7,388,913 | $ | 7,483,240 | $ | (94,327 | ) | |||||||||||||
|
| |||||||||||||||||||||||
Industry Summary at December 31, 2021
Banks | 13.3 | % | ||
Automobiles | 6.9 | |||
Machinery | 6.8 | |||
Pharmaceuticals | 6.7 | |||
Internet & Direct Marketing Retail | 5.5 | |||
Capital Markets | 4.7 | |||
Media | 4.6 | |||
Metals & Mining | 4.6 | |||
Insurance | 4.5 | |||
Auto Components | 4.4 | |||
IT Services | 4.2 | |||
Hotels, Restaurants & Leisure | 4.0 | |||
Health Care Providers & Services | 3.5 | |||
Software | 2.6 | |||
Diversified Financial Services | 2.2 | |||
Household Products | 2.0 | |||
Construction Materials | 2.0 | |||
Beverages | 2.0 | |||
Other Investments, less than 2% each | 13.7 | |||
Short-Term Investments | 1.0 | |||
|
| |||
Total Investments | 99.2 | |||
Other assets less liabilities (including forward foreign currency contracts) | 0.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Currency Exposure Summary at December 31, 2021
Euro | 51.3 | % | ||
British Pound | 15.0 | |||
Swiss Franc | 9.3 | |||
United States Dollar | 6.9 | |||
Swedish Krona | 4.7 | |||
South Korean Won | 2.5 | |||
Hong Kong Dollar | 2.2 | |||
Australian Dollar | 2.0 | |||
Other, less than 2% each | 5.3 | |||
|
| |||
Total Investments | 99.2 | |||
Other assets less liabilities (including forward foreign currency contracts) | 0.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
37 |
Portfolio of Investments – as of December 31, 2021
Natixis U.S. Equity Opportunities Fund
| Shares | Description | Value (†) | ||||||
Common Stocks — 96.3% of Net Assets | ||||||||
| Aerospace & Defense — 2.1% |
| |||||||
| 110,342 | Boeing Co. (The)(a) | $ | 22,214,052 | |||||
|
| |||||||
| Air Freight & Logistics — 0.8% |
| |||||||
| 66,796 | Expeditors International of Washington, Inc. | 8,970,035 | ||||||
|
| |||||||
| Automobiles — 1.2% |
| |||||||
| 220,000 | General Motors Co.(a) | 12,898,600 | ||||||
|
| |||||||
| Banks — 4.7% |
| |||||||
| 380,260 | Bank of America Corp. | 16,917,767 | ||||||
| 318,405 | Citigroup, Inc. | 19,228,478 | ||||||
| 304,400 | Wells Fargo & Co. | 14,605,112 | ||||||
|
| |||||||
| 50,751,357 | ||||||||
|
| |||||||
| Beverages — 4.8% |
| |||||||
| 64,591 | Constellation Brands, Inc., Class A | 16,210,403 | ||||||
| 390,500 | Keurig Dr Pepper, Inc. | 14,393,830 | ||||||
| 213,493 | Monster Beverage Corp.(a) | 20,503,868 | ||||||
|
| |||||||
| 51,108,101 | ||||||||
|
| |||||||
| Biotechnology — 4.9% |
| |||||||
| 74,446 | Alnylam Pharmaceuticals, Inc.(a) | 12,624,552 | ||||||
| 53,174 | BioMarin Pharmaceutical, Inc.(a) | 4,697,923 | ||||||
| 76,519 | CRISPR Therapeutics AG(a) | 5,798,610 | ||||||
| 47,623 | Regeneron Pharmaceuticals, Inc.(a) | 30,074,877 | ||||||
|
| |||||||
| 53,195,962 | ||||||||
|
| |||||||
| Capital Markets — 7.2% |
| |||||||
| 263,945 | Charles Schwab Corp. (The) | 22,197,775 | ||||||
| 18,574 | FactSet Research Systems, Inc. | 9,027,150 | ||||||
| 104,300 | Intercontinental Exchange, Inc. | 14,265,111 | ||||||
| 15,718 | MSCI, Inc. | 9,630,261 | ||||||
| 115,433 | SEI Investments Co. | 7,034,487 | ||||||
| 163,700 | State Street Corp. | 15,224,100 | ||||||
|
| |||||||
| 77,378,884 | ||||||||
|
| |||||||
| Communications Equipment — 0.8% |
| |||||||
| 133,363 | Cisco Systems, Inc. | 8,451,213 | ||||||
|
| |||||||
| Consumer Finance — 5.9% |
| |||||||
| 549,000 | Ally Financial, Inc. | 26,137,890 | ||||||
| 88,500 | American Express Co. | 14,478,600 | ||||||
| 155,885 | Capital One Financial Corp. | 22,617,355 | ||||||
|
| |||||||
| 63,233,845 | ||||||||
|
| |||||||
| Energy Equipment & Services — 0.7% |
| |||||||
| 255,577 | Schlumberger NV | 7,654,531 | ||||||
|
| |||||||
| Entertainment — 3.4% |
| |||||||
| 29,510 | Netflix, Inc.(a) | 17,778,004 | ||||||
| 118,039 | Walt Disney Co. (The)(a) | 18,283,061 | ||||||
|
| |||||||
| 36,061,065 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies — 0.6% |
| |||||||
| 17,756 | Intuitive Surgical, Inc.(a) | 6,379,731 | ||||||
|
| |||||||
| Health Care Providers & Services — 3.3% |
| |||||||
| 68,700 | HCA Healthcare, Inc. | 17,650,404 | ||||||
| 39,120 | Humana, Inc. | 18,146,203 | ||||||
|
| |||||||
| 35,796,607 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 5.5% |
| |||||||
| 7,245 | Booking Holdings, Inc.(a) | 17,382,421 | ||||||
| 107,400 | Hilton Worldwide Holdings, Inc.(a) | 16,753,326 | ||||||
| 113,726 | Starbucks Corp. | 13,302,530 | ||||||
| 113,077 | Yum China Holdings, Inc. | 5,635,758 | ||||||
| 40,738 | Yum! Brands, Inc. | 5,656,879 | ||||||
|
| |||||||
| 58,730,914 | ||||||||
|
| |||||||
| Household Products — 0.4% |
| |||||||
| 56,019 | Colgate-Palmolive Co. | $ | 4,780,662 | |||||
|
| |||||||
| Industrial Conglomerates — 1.0% |
| |||||||
| 109,793 | General Electric Co. | 10,372,145 | ||||||
|
| |||||||
| Insurance — 2.5% |
| |||||||
| 306,155 | American International Group, Inc. | 17,407,973 | ||||||
| 90,700 | Reinsurance Group of America, Inc. | 9,930,743 | ||||||
|
| |||||||
| 27,338,716 | ||||||||
|
| |||||||
| Interactive Media & Services — 10.1% |
| |||||||
| 15,295 | Alphabet, Inc., Class A(a) | 44,310,227 | ||||||
| 5,763 | Alphabet, Inc., Class C(a) | 16,675,759 | ||||||
| 143,138 | Meta Platforms, Inc., Class A(a) | 48,144,466 | ||||||
|
| |||||||
| 109,130,452 | ||||||||
|
| |||||||
| Internet & Direct Marketing Retail — 3.8% |
| |||||||
| 62,111 | Alibaba Group Holding Ltd., Sponsored ADR(a) | 7,378,166 | ||||||
| 10,109 | Amazon.com, Inc.(a) | 33,706,843 | ||||||
|
| |||||||
| 41,085,009 | ||||||||
|
| |||||||
| IT Services — 5.7% |
| |||||||
| 16,981 | Automatic Data Processing, Inc. | 4,187,175 | ||||||
| 165,200 | Fiserv, Inc.(a) | 17,146,108 | ||||||
| 59,000 | Gartner, Inc.(a) | 19,724,880 | ||||||
| 94,470 | Visa, Inc., Class A | 20,472,594 | ||||||
|
| |||||||
| 61,530,757 | ||||||||
|
| |||||||
| Life Sciences Tools & Services — 1.2% |
| |||||||
| 33,944 | Illumina, Inc.(a) | 12,913,655 | ||||||
|
| |||||||
| Machinery — 1.1% |
| |||||||
| 34,297 | Deere & Co. | 11,760,098 | ||||||
|
| |||||||
| Media — 2.8% |
| |||||||
| 24,385 | Charter Communications, Inc., Class A(a) | 15,898,289 | ||||||
| 271,880 | Comcast Corp., Class A | 13,683,720 | ||||||
|
| |||||||
| 29,582,009 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 5.0% |
| |||||||
| 554,341 | APA Corp. | 14,906,229 | ||||||
| 224,200 | ConocoPhillips | 16,182,756 | ||||||
| 257,238 | EOG Resources, Inc. | 22,850,452 | ||||||
|
| |||||||
| 53,939,437 | ||||||||
|
| |||||||
| Pharmaceuticals — 2.9% |
| |||||||
| 146,692 | Novartis AG, Sponsored ADR | 12,831,149 | ||||||
| 48,248 | Novo Nordisk A/S, Sponsored ADR | 5,403,776 | ||||||
| 247,251 | Roche Holding AG, Sponsored ADR | 12,780,404 | ||||||
|
| |||||||
| 31,015,329 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 4.8% |
| |||||||
| 129,010 | NVIDIA Corp. | 37,943,131 | ||||||
| 72,233 | QUALCOMM, Inc. | 13,209,249 | ||||||
|
| |||||||
| 51,152,380 | ||||||||
|
| |||||||
| Software — 8.3% |
| |||||||
| 78,375 | Autodesk, Inc.(a) | 22,038,266 | ||||||
| 50,171 | Microsoft Corp. | 16,873,511 | ||||||
| 253,690 | Oracle Corp. | 22,124,305 | ||||||
| 56,864 | salesforce.com, Inc.(a) | 14,450,848 | ||||||
| 52,403 | Workday, Inc., Class A(a) | 14,315,452 | ||||||
|
| |||||||
| 89,802,382 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
| 422,554 | Under Armour, Inc., Class A(a) | 8,953,919 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $627,148,616) | 1,036,181,847 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 38
Portfolio of Investments – as of December 31, 2021
Natixis U.S. Equity Opportunities Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Short-Term Investments — 1.6% | ||||||||
| $ | 17,204,118 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $17,204,118 on 1/03/2022 collateralized by $7,134,500 U.S. Treasury Bond, 4.250% due 11/15/2040 valued at $9,838,918; $5,515,500 U.S. Treasury Bond, 4.500% due 5/15/2038 valued at $7,709,417 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $17,204,118) | $ | 17,204,118 | ||||
|
| |||||||
| Total Investments — 97.9% (Identified Cost $644,352,734) | 1,053,385,965 | |||||||
| Other assets less liabilities — 2.1% | 22,444,831 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 1,075,830,796 | ||||||
|
| |||||||
| (†) | 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 December 31, 2021
Interactive Media & Services | 10.1 | % | ||
Software | 8.3 | |||
Capital Markets | 7.2 | |||
Consumer Finance | 5.9 | |||
IT Services | 5.7 | |||
Hotels, Restaurants & Leisure | 5.5 | |||
Oil, Gas & Consumable Fuels | 5.0 | |||
Biotechnology | 4.9 | |||
Semiconductors & Semiconductor Equipment | 4.8 | |||
Beverages | 4.8 | |||
Banks | 4.7 | |||
Internet & Direct Marketing Retail | 3.8 | |||
Entertainment | 3.4 | |||
Health Care Providers & Services | 3.3 | |||
Pharmaceuticals | 2.9 | |||
Media | 2.8 | |||
Insurance | 2.5 | |||
Aerospace & Defense | 2.1 | |||
Other Investments, less than 2% each | 8.6 | |||
Short-Term Investments | 1.6 | |||
|
| |||
Total Investments | 97.9 | |||
Other assets less liabilities | 2.1 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
39 |
Portfolio of Investments – as of December 31, 2021
Vaughan Nelson Mid Cap Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 98.1% of Net Assets | ||||||||
| Banks — 3.2% |
| |||||||
| 91,990 | Bank of N.T. Butterfield & Son Ltd. (The) | $ | 3,505,739 | |||||
| 292,001 | Huntington Bancshares, Inc. | 4,502,655 | ||||||
| 86,270 | PacWest Bancorp | 3,896,816 | ||||||
|
| |||||||
| 11,905,210 | ||||||||
|
| |||||||
| Building Products — 1.0% |
| |||||||
| 27,885 | Allegion PLC | 3,693,089 | ||||||
|
| |||||||
| Capital Markets — 5.0% |
| |||||||
| 56,305 | Ares Management Corp., Class A | 4,575,908 | ||||||
| 129,117 | Brightsphere Investment Group, Inc. | 3,305,395 | ||||||
| 21,810 | Nasdaq, Inc. | 4,580,318 | ||||||
| 59,912 | Raymond James Financial, Inc. | 6,015,165 | ||||||
|
| |||||||
| 18,476,786 | ||||||||
|
| |||||||
| Chemicals — 4.2% |
| |||||||
| 169,660 | Axalta Coating Systems Ltd.(a) | 5,619,139 | ||||||
| 68,940 | FMC Corp. | 7,575,816 | ||||||
| 22,920 | LyondellBasell Industries NV, Class A | 2,113,912 | ||||||
|
| |||||||
| 15,308,867 | ||||||||
|
| |||||||
| Commercial Services & Supplies — 1.1% |
| |||||||
| 28,995 | Republic Services, Inc. | 4,043,353 | ||||||
|
| |||||||
| Communications Equipment — 4.8% |
| |||||||
| 65,215 | Motorola Solutions, Inc. | 17,718,916 | ||||||
|
| |||||||
| Construction & Engineering — 2.7% |
| |||||||
| 240,330 | WillScot Mobile Mini Holdings Corp.(a) | 9,815,077 | ||||||
|
| |||||||
| Consumer Finance — 1.6% |
| |||||||
| 129,140 | Synchrony Financial | 5,990,805 | ||||||
|
| |||||||
| Containers & Packaging — 3.5% |
| |||||||
| 16,845 | Avery Dennison Corp. | 3,648,122 | ||||||
| 83,080 | Crown Holdings, Inc. | 9,190,309 | ||||||
|
| |||||||
| 12,838,431 | ||||||||
|
| |||||||
| Diversified Consumer Services — 1.4% |
| |||||||
| 58,520 | Grand Canyon Education, Inc.(a) | 5,015,749 | ||||||
|
| |||||||
| Electric Utilities — 3.7% |
| |||||||
| 107,375 | Alliant Energy Corp. | 6,600,341 | ||||||
| 101,565 | Evergy, Inc. | 6,968,375 | ||||||
|
| |||||||
| 13,568,716 | ||||||||
|
| |||||||
| Electrical Equipment — 3.4% |
| |||||||
| 48,100 | AMETEK, Inc. | 7,072,624 | ||||||
| 17,335 | Hubbell, Inc. | 3,610,360 | ||||||
| 52,800 | nVent Electric PLC | 2,006,400 | ||||||
|
| |||||||
| 12,689,384 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components — 2.0% |
| |||||||
| 8,955 | CDW Corp. | 1,833,805 | ||||||
| 26,245 | Keysight Technologies, Inc.(a) | 5,419,855 | ||||||
|
| |||||||
| 7,253,660 | ||||||||
|
| |||||||
| Food & Staples Retailing — 3.7% |
| |||||||
| 296,055 | Performance Food Group Co.(a) | 13,585,964 | ||||||
|
| |||||||
| Health Care Equipment & Supplies — 2.7% |
| |||||||
| 13,210 | Cooper Cos., Inc. (The) | 5,534,198 | ||||||
| 56,390 | Hologic, Inc.(a) | 4,317,218 | ||||||
|
| |||||||
| 9,851,416 | ||||||||
|
| |||||||
| Health Care Providers & Services — 1.9% |
| |||||||
| 954,755 | Aveanna Healthcare Holdings, Inc.(a) | 7,065,187 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 1.0% |
| |||||||
| 96,600 | Aramark | 3,559,710 | ||||||
|
| |||||||
| Independent Power & Renewable Electricity Producers — 2.2% |
| |||||||
| 360,695 | Vistra Corp. | $ | 8,213,025 | |||||
|
| |||||||
| Insurance — 5.8% |
| |||||||
| 14,140 | Allstate Corp. (The) | 1,663,571 | ||||||
| 31,520 | Arthur J. Gallagher & Co. | 5,347,998 | ||||||
| 104,180 | Athene Holding Ltd., Class A(a) | 8,681,320 | ||||||
| 51,870 | Reinsurance Group of America, Inc. | 5,679,246 | ||||||
|
| |||||||
| 21,372,135 | ||||||||
|
| |||||||
| IT Services — 3.8% |
| |||||||
| 102,145 | Alliance Data Systems Corp. | 6,799,792 | ||||||
| 68,895 | MAXIMUS, Inc. | 5,488,865 | ||||||
| 121,030 | SolarWinds Corp. | 1,717,416 | ||||||
|
| |||||||
| 14,006,073 | ||||||||
|
| |||||||
| Life Sciences Tools & Services — 8.2% |
| |||||||
| 16,005 | Agilent Technologies, Inc. | 2,555,198 | ||||||
| 255,490 | Avantor, Inc.(a) | 10,766,349 | ||||||
| 24,347 | IQVIA Holdings, Inc.(a) | 6,869,262 | ||||||
| 424,620 | Sotera Health Co.(a) | 9,999,801 | ||||||
|
| |||||||
| 30,190,610 | ||||||||
|
| |||||||
| Machinery — 2.0% |
| |||||||
| 27,220 | Crane Co. | 2,769,091 | ||||||
| 54,485 | Otis Worldwide Corp. | 4,744,009 | ||||||
|
| |||||||
| 7,513,100 | ||||||||
|
| |||||||
| Media — 2.6% |
| |||||||
| 64,505 | Nexstar Media Group, Inc., Class A | 9,738,965 | ||||||
|
| |||||||
| Metals & Mining — 0.9% |
| |||||||
| 176,935 | Constellium SE(a) | 3,168,906 | ||||||
|
| |||||||
| Multi-Utilities — 3.7% |
| |||||||
| 73,770 | Ameren Corp. | 6,566,267 | ||||||
| 107,375 | CMS Energy Corp. | 6,984,744 | ||||||
|
| |||||||
| 13,551,011 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 3.9% |
| |||||||
| 47,660 | Diamondback Energy, Inc. | 5,140,131 | ||||||
| 50,230 | Pioneer Natural Resources Co. | 9,135,832 | ||||||
|
| |||||||
| 14,275,963 | ||||||||
|
| |||||||
| Pharmaceuticals — 3.4% |
| |||||||
| 438,230 | Elanco Animal Health, Inc.(a) | 12,436,967 | ||||||
|
| |||||||
| Professional Services — 1.8% |
| |||||||
| 24,075 | CACI International, Inc., Class A(a) | 6,481,231 | ||||||
|
| |||||||
| REITs – Diversified — 1.4% |
| |||||||
| 465,365 | New Residential Investment Corp. | 4,984,059 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 1.4% |
| |||||||
| 16,535 | Analog Devices, Inc. | 2,906,357 | ||||||
| 16,315 | Entegris, Inc. | 2,260,933 | ||||||
|
| |||||||
| 5,167,290 | ||||||||
|
| |||||||
| Software — 3.9% |
| |||||||
| 492,102 | N-Able, Inc.(a) | 5,462,332 | ||||||
| 107,330 | SS&C Technologies Holdings, Inc. | 8,798,914 | ||||||
|
| |||||||
| 14,261,246 | ||||||||
|
| |||||||
| Specialty Retail — 2.8% |
| |||||||
| 432,200 | Leslie’s, Inc.(a) | 10,225,852 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 3.4% |
| |||||||
| 292,330 | Skechers U.S.A., Inc., Class A(a) | 12,687,122 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $305,590,376) | 360,653,875 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 40
Portfolio of Investments – as of December 31, 2021
Vaughan Nelson Mid Cap Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Short-Term Investments — 2.0% | ||||||||
| $ | 7,086,204 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $7,086,204 on 1/03/2022 collateralized by $5,171,100 U.S. Treasury Bond, 4.500% due 5/15/2038 valued at $7,228,024 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,086,204) | $ | 7,086,204 | ||||
|
| |||||||
| Total Investments — 100.1% (Identified Cost $312,676,580) | 367,740,079 | |||||||
| Other assets less liabilities — (0.1)% | (201,426 | ) | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 367,538,653 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Non-income producing security. |
| ||||||
| REITs | Real Estate Investment Trusts |
| ||||||
Industry Summary at December 31, 2021
Life Sciences Tools & Services | 8.2 | % | ||
Insurance | 5.8 | |||
Capital Markets | 5.0 | |||
Communications Equipment | 4.8 | |||
Chemicals | 4.2 | |||
Oil, Gas & Consumable Fuels | 3.9 | |||
Software | 3.9 | |||
IT Services | 3.8 | |||
Food & Staples Retailing | 3.7 | |||
Electric Utilities | 3.7 | |||
Multi-Utilities | 3.7 | |||
Containers & Packaging | 3.5 | |||
Electrical Equipment | 3.4 | |||
Textiles, Apparel & Luxury Goods | 3.4 | |||
Pharmaceuticals | 3.4 | |||
Banks | 3.2 | |||
Specialty Retail | 2.8 | |||
Health Care Equipment & Supplies | 2.7 | |||
Construction & Engineering | 2.7 | |||
Media | 2.6 | |||
Independent Power & Renewable Electricity Producers | 2.2 | |||
Machinery | 2.0 | |||
Electronic Equipment, Instruments & Components | 2.0 | |||
Other Investments, less than 2% each | 13.5 | |||
Short-Term Investments | 2.0 | |||
|
| |||
Total Investments | 100.1 | |||
Other assets less liabilities | (0.1 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
41 |
Portfolio of Investments – as of December 31, 2021
Vaughan Nelson Small Cap Value Fund
| Shares | Description | Value (†) | ||||||
Common Stocks — 98.7% of Net Assets | ||||||||
| Banks — 7.7% |
| |||||||
| 78,100 | Cadence Bank | $ | 2,326,599 | |||||
| 119,570 | Old National Bancorp | 2,166,608 | ||||||
| 51,980 | PacWest Bancorp | 2,347,936 | ||||||
| 19,815 | SouthState Corp. | 1,587,380 | ||||||
| 41,770 | United Bankshares, Inc. | 1,515,416 | ||||||
| 46,285 | United Community Banks, Inc. | 1,663,483 | ||||||
|
| |||||||
| 11,607,422 | ||||||||
|
| |||||||
| Biotechnology — 0.6% |
| |||||||
| 18,948 | Emergent BioSolutions, Inc.(a) | 823,670 | ||||||
|
| |||||||
| Building Products — 1.7% |
| |||||||
| 13,135 | Builders FirstSource, Inc.(a) | 1,125,801 | ||||||
| 21,340 | Gibraltar Industries, Inc.(a) | 1,422,951 | ||||||
|
| |||||||
| 2,548,752 | ||||||||
|
| |||||||
| Capital Markets — 4.0% |
| |||||||
| 17,985 | Artisan Partners Asset Management, Inc., Class A | 856,805 | ||||||
| 22,955 | LPL Financial Holdings, Inc. | 3,674,866 | ||||||
| 22,610 | Moelis & Co., Class A | 1,413,351 | ||||||
|
| |||||||
| 5,945,022 | ||||||||
|
| |||||||
| Chemicals — 7.5% |
| |||||||
| 93,345 | Chemours Co. (The) | 3,132,658 | ||||||
| 210,815 | Element Solutions, Inc. | 5,118,588 | ||||||
| 27,525 | FMC Corp. | 3,024,723 | ||||||
|
| |||||||
| 11,275,969 | ||||||||
|
| |||||||
| Commercial Services & Supplies — 2.2% |
| |||||||
| 35,040 | Ritchie Bros. Auctioneers, Inc. | 2,144,798 | ||||||
| 5,630 | UniFirst Corp. | 1,184,552 | ||||||
|
| |||||||
| 3,329,350 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components — 7.5% |
| |||||||
| 19,815 | Advanced Energy Industries, Inc. | 1,804,354 | ||||||
| 13,300 | Fabrinet(a) | 1,575,651 | ||||||
| 38,485 | II-VI, Inc.(a) | 2,629,680 | ||||||
| 49,160 | Insight Enterprises, Inc.(a) | 5,240,456 | ||||||
|
| |||||||
| 11,250,141 | ||||||||
|
| |||||||
| Energy Equipment & Services — 0.6% |
| |||||||
| 149,015 | TechnipFMC PLC(a) | 882,169 | ||||||
|
| |||||||
| Food & Staples Retailing — 2.4% |
| |||||||
| 78,265 | Performance Food Group Co.(a) | 3,591,581 | ||||||
|
| |||||||
| Food Products — 1.5% |
| |||||||
| 90,270 | Nomad Foods Ltd.(a) | 2,291,955 | ||||||
|
| |||||||
| Gas Utilities — 2.7% |
| |||||||
| 29,360 | Southwest Gas Holdings, Inc. | 2,056,668 | ||||||
| 30,430 | Spire, Inc. | 1,984,645 | ||||||
|
| |||||||
| 4,041,313 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies — 1.3% |
| |||||||
| 26,310 | Hologic, Inc.(a) | 2,014,294 | ||||||
|
| |||||||
| Health Care Providers & Services — 2.8% |
| |||||||
| 13,050 | Molina Healthcare, Inc.(a) | 4,150,944 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 4.2% |
| |||||||
| 51,180 | Bally’s Corp.(a) | 1,947,911 | ||||||
| 73,330 | Everi Holdings, Inc.(a) | 1,565,596 | ||||||
| 97,529 | International Game Technology PLC | 2,819,563 | ||||||
|
| |||||||
| 6,333,070 | ||||||||
|
| |||||||
| Household Durables — 1.6% |
| |||||||
| 16,575 | Installed Building Products, Inc. | 2,315,859 | ||||||
|
| |||||||
| Insurance — 5.5% |
| |||||||
| 37,110 | Brown & Brown, Inc. | 2,608,091 | ||||||
| Insurance — continued | ||||||||
| 32,610 | First American Financial Corp. | $ | 2,551,080 | |||||
| 28,930 | Selective Insurance Group, Inc. | 2,370,524 | ||||||
| 85,380 | Trean Insurance Group, Inc.(a) | 760,736 | ||||||
|
| |||||||
| 8,290,431 | ||||||||
|
| |||||||
| IT Services — 4.4% |
| |||||||
| 30,880 | ExlService Holdings, Inc.(a) | 4,470,497 | ||||||
| 24,735 | WNS Holdings Ltd., ADR(a) | 2,182,122 | ||||||
|
| |||||||
| 6,652,619 | ||||||||
|
| |||||||
| Life Sciences Tools & Services — 3.9% |
| |||||||
| 37,695 | Avantor, Inc.(a) | 1,588,467 | ||||||
| 41,690 | Syneos Health, Inc.(a) | 4,280,729 | ||||||
|
| |||||||
| 5,869,196 | ||||||||
|
| |||||||
| Machinery — 4.6% |
| |||||||
| 13,880 | Alamo Group, Inc. | 2,042,858 | ||||||
| 69,455 | Federal Signal Corp. | 3,010,180 | ||||||
| 29,865 | SPX Corp.(a) | 1,782,343 | ||||||
|
| |||||||
| 6,835,381 | ||||||||
|
| |||||||
| Media — 2.8% |
| |||||||
| 76,130 | Sinclair Broadcast Group, Inc., Class A | 2,012,116 | ||||||
| 120,935 | TEGNA, Inc. | 2,244,554 | ||||||
|
| |||||||
| 4,256,670 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 3.5% |
| |||||||
| 48,135 | Antero Resources Corp.(a) | 842,363 | ||||||
| 86,460 | Comstock Resources, Inc.(a) | 699,461 | ||||||
| 52,920 | Ovintiv, Inc. | 1,783,404 | ||||||
| 20,860 | PDC Energy, Inc. | 1,017,551 | ||||||
| 185,370 | Southwestern Energy Co.(a) | 863,824 | ||||||
|
| |||||||
| 5,206,603 | ||||||||
|
| |||||||
| Personal Products — 1.7% |
| |||||||
| 239,870 | Coty, Inc., Class A(a) | 2,518,635 | ||||||
|
| |||||||
| Professional Services — 6.5% |
| |||||||
| 31,360 | ASGN, Inc.(a) | 3,869,824 | ||||||
| 11,425 | CACI International, Inc., Class A(a) | 3,075,724 | ||||||
| 18,240 | FTI Consulting, Inc.(a) | 2,798,381 | ||||||
|
| |||||||
| 9,743,929 | ||||||||
|
| |||||||
| Road & Rail — 2.6% |
| |||||||
| 11,985 | Landstar System, Inc. | 2,145,555 | ||||||
| 5,150 | Saia, Inc.(a) | 1,735,704 | ||||||
|
| |||||||
| 3,881,259 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 5.4% |
| |||||||
| 11,600 | CMC Materials, Inc. | 2,223,604 | ||||||
| 31,415 | Ichor Holdings Ltd.(a) | 1,446,032 | ||||||
| 17,250 | MKS Instruments, Inc. | 3,004,433 | ||||||
| 24,135 | Ultra Clean Holdings, Inc.(a) | 1,384,384 | ||||||
|
| |||||||
| 8,058,453 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 2.4% |
| |||||||
| 54,180 | Capri Holdings Ltd.(a) | 3,516,824 | ||||||
|
| |||||||
| Trading Companies & Distributors — 7.1% |
| |||||||
| 27,535 | Beacon Roofing Supply, Inc.(a) | 1,579,132 | ||||||
| 28,930 | GATX Corp. | 3,014,217 | ||||||
| 28,080 | Rush Enterprises, Inc., Class A | 1,562,371 | ||||||
| 103,585 | Univar Solutions, Inc.(a) | 2,936,635 | ||||||
| 5,080 | Watsco, Inc. | 1,589,430 | ||||||
|
| |||||||
| 10,681,785 | ||||||||
|
| |||||||
| Total Common Stocks (Identified Cost $123,342,022) | 147,913,296 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 42
Portfolio of Investments – as of December 31, 2021
Vaughan Nelson Small Cap Value Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Short-Term Investments — 1.6% | ||||||||
| $ | 2,415,684 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $2,415,684 on 1/03/2022 collateralized by $1,762,900 U.S. Treasury Bond, 4.500% due 5/15/2038 valued at $2,464,134 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,415,684) | $ | 2,415,684 | ||||
|
| |||||||
| Total Investments — 100.3% (Identified Cost $125,757,706) | 150,328,980 | |||||||
| Other assets less liabilities — (0.3)% | (432,966 | ) | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 149,896,014 | ||||||
|
| |||||||
| (†) | 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 December 31, 2021
Banks | 7.7 | % | ||
Chemicals | 7.5 | |||
Electronic Equipment, Instruments & Components | 7.5 | |||
Trading Companies & Distributors | 7.1 | |||
Professional Services | 6.5 | |||
Insurance | 5.5 | |||
Semiconductors & Semiconductor Equipment | 5.4 | |||
Machinery | 4.6 | |||
IT Services | 4.4 | |||
Hotels, Restaurants & Leisure | 4.2 | |||
Capital Markets | 4.0 | |||
Life Sciences Tools & Services | 3.9 | |||
Oil, Gas & Consumable Fuels | 3.5 | |||
Media | 2.8 | |||
Health Care Providers & Services | 2.8 | |||
Gas Utilities | 2.7 | |||
Road & Rail | 2.6 | |||
Food & Staples Retailing | 2.4 | |||
Textiles, Apparel & Luxury Goods | 2.4 | |||
Commercial Services & Supplies | 2.2 | |||
Other Investments, less than 2% each | 9.0 | |||
Short-Term Investments | 1.6 | |||
|
| |||
Total Investments | 100.3 | |||
Other assets less liabilities | (0.3 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
43 |
Statements of Assets and Liabilities
December 31, 2021
| International Growth Fund | Natixis Oakmark Fund | Natixis Oakmark International Fund | Natixis U.S. Equity Opportunities Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Investments at cost | $ | 24,223,812 | $ | 259,624,280 | $ | 502,884,040 | $ | 644,352,734 | ||||||||
Net unrealized appreciation (depreciation) | (1,058,009 | ) | 110,108,748 | 28,586,635 | 409,033,231 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Investments at value | 23,165,803 | 369,733,028 | 531,470,675 | 1,053,385,965 | ||||||||||||
Cash | — | 37,527 | — | 86,407 | ||||||||||||
Foreign currency at value (identified cost $27,044, $0, $11,947 and $0, respectively) | 27,091 | — | 11,949 | — | ||||||||||||
Receivable for Fund shares sold | 474 | 3,447,221 | 1,084,997 | 667,060 | ||||||||||||
Receivable for securities sold | 128,184 | — | 33,225 | 44,608,842 | ||||||||||||
Dividends receivable | 33,310 | 286,612 | 70,767 | 299,987 | ||||||||||||
Tax reclaims receivable | 25,754 | 36,194 | 4,349,440 | 575,999 | ||||||||||||
Prepaid expenses (Note 9) | 1 | 19 | 33 | 63 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL ASSETS | 23,380,617 | 373,540,601 | 537,021,086 | 1,099,624,323 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Payable for securities purchased | — | — | 142,505 | 22,242,085 | ||||||||||||
Payable for Fund shares redeemed | — | 347,103 | 173,558 | 125,022 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | — | 94,327 | — | ||||||||||||
Foreign taxes payable (Note 2) | — | — | 204,198 | — | ||||||||||||
Management fees payable (Note 6) | 1,953 | 208,207 | 246,640 | 677,734 | ||||||||||||
Deferred Trustees’ fees (Note 6) | 3,065 | 742,483 | 141,600 | 587,074 | ||||||||||||
Administrative fees payable (Note 6) | 838 | 13,081 | 19,054 | 38,359 | ||||||||||||
Payable to distributor (Note 6d) | 16 | 1,267 | 11,131 | 3,103 | ||||||||||||
Audit and tax services fees payable | 42,287 | 41,106 | 42,412 | 42,112 | ||||||||||||
Other accounts payable and accrued expenses | 6,767 | 20,929 | 76,713 | 78,038 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL LIABILITIES | 54,926 | 1,374,176 | 1,152,138 | 23,793,527 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 23,325,691 | $ | 372,166,425 | $ | 535,868,948 | $ | 1,075,830,796 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital | $ | 24,915,060 | $ | 264,080,538 | $ | 618,395,713 | $ | 631,467,096 | ||||||||
Accumulated earnings (loss) | (1,589,369 | ) | 108,085,887 | (82,526,765 | ) | 444,363,700 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 23,325,691 | $ | 372,166,425 | $ | 535,868,948 | $ | 1,075,830,796 | ||||||||
|
|
|
|
|
|
|
| |||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||||||||||||||
Class A shares: |
| |||||||||||||||
Net assets | $ | 112,615 | $ | 222,434,752 | $ | 152,899,962 | $ | 733,423,258 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 11,764 | 7,659,392 | 10,095,662 | 17,007,787 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value and redemption price per share | $ | 9.57 | $ | 29.04 | $ | 15.15 | $ | 43.12 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 10.15 | $ | 30.81 | $ | 16.07 | $ | 45.75 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||||||
Net assets | $ | 38,321 | $ | 50,042,066 | $ | 69,334,988 | $ | 57,491,976 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 4,029 | 2,129,686 | 4,665,960 | 2,635,266 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value and offering price per share | $ | 9.51 | $ | 23.50 | $ | 14.86 | $ | 21.82 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class N shares: |
| |||||||||||||||
Net assets | $ | 22,952,510 | $ | 681,854 | $ | 703,657 | $ | 177,216 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 2,395,482 | 21,906 | 46,647 | 3,273 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 9.58 | $ | 31.13 | $ | 15.08 | $ | 54.14 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y shares: |
| |||||||||||||||
Net assets | $ | 222,245 | $ | 99,007,753 | $ | 312,930,341 | $ | 284,738,346 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 23,197 | 3,189,957 | 20,766,145 | 5,273,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 9.58 | $ | 31.04 | $ | 15.07 | $ | 53.99 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
| 44
Statements of Assets and Liabilities (continued)
December 31, 2021
| Vaughan Nelson Mid Cap Fund | Vaughan Nelson Small Cap Value Fund | |||||||
ASSETS |
| |||||||
Investments at cost | $ | 312,676,580 | $ | 125,757,706 | ||||
Net unrealized appreciation | 55,063,499 | 24,571,274 | ||||||
|
|
|
| |||||
Investments at value | 367,740,079 | 150,328,980 | ||||||
Receivable for Fund shares sold | 54,565 | 74,457 | ||||||
Dividends receivable | 308,517 | 95,374 | ||||||
Prepaid expenses (Note 9) | 19 | 8 | ||||||
|
|
|
| |||||
TOTAL ASSETS | 368,103,180 | 150,498,819 | ||||||
|
|
|
| |||||
LIABILITIES |
| |||||||
Payable for securities purchased | 165 | 99,568 | ||||||
Payable for Fund shares redeemed | 37,531 | 83,109 | ||||||
Management fees payable (Note 6) | 227,831 | 93,313 | ||||||
Deferred Trustees’ fees (Note 6) | 217,464 | 256,541 | ||||||
Administrative fees payable (Note 6) | 12,941 | 5,216 | ||||||
Payable to distributor (Note 6d) | 2,274 | 705 | ||||||
Audit and tax services fees payable | 41,978 | 41,110 | ||||||
Other accounts payable and accrued expenses | 24,343 | 23,243 | ||||||
|
|
|
| |||||
TOTAL LIABILITIES | 564,527 | 602,805 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 367,538,653 | $ | 149,896,014 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF: |
| |||||||
Paid-in capital | $ | 308,797,941 | $ | 122,850,311 | ||||
Accumulated earnings | 58,740,712 | 27,045,703 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 367,538,653 | $ | 149,896,014 | ||||
|
|
|
| |||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||||||
Class A shares: |
| |||||||
Net assets | $ | 37,849,294 | $ | 81,492,958 | ||||
|
|
|
| |||||
Shares of beneficial interest | 1,667,174 | 4,559,072 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 22.70 | $ | 17.87 | ||||
|
|
|
| |||||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 24.08 | $ | 18.96 | ||||
|
|
|
| |||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||
Net assets | $ | 11,435,679 | $ | 966,228 | ||||
|
|
|
| |||||
Shares of beneficial interest | 555,631 | 139,326 | ||||||
|
|
|
| |||||
Net asset value and offering price per share | $ | 20.58 | $ | 6.94 | ||||
|
|
|
| |||||
Class N shares: |
| |||||||
Net assets | $ | 91,415,740 | $ | 1,382,591 | ||||
|
|
|
| |||||
Shares of beneficial interest | 3,966,719 | 72,911 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 23.05 | $ | 18.96 | ||||
|
|
|
| |||||
Class Y shares: |
| |||||||
Net assets | $ | 226,837,940 | $ | 66,054,237 | ||||
|
|
|
| |||||
Shares of beneficial interest | 9,825,086 | 3,486,289 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 23.09 | $ | 18.95 | ||||
|
|
|
| |||||
See accompanying notes to financial statements.
45 |
Statements of Operations
For the Year Ended December 31, 2021
| International Growth Fund | Natixis Oakmark Fund | Natixis Oakmark International Fund | Natixis U.S. Equity Opportunities Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Dividends | $ | 318,789 | $ | 4,244,879 | $ | 11,560,245 | $ | 9,393,885 | ||||||||
Non-cash dividends (Note 2b) | — | — | 3,482,440 | (a) | — | |||||||||||
Interest | — | — | 18,155 | — | ||||||||||||
Tax reclaims (Note 2e) | — | — | 1,916,315 | 94,347 | ||||||||||||
Less net foreign taxes withheld | (32,401 | ) | — | (1,409,101 | ) | (133,479 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| 286,388 | 4,244,879 | 15,568,054 | 9,354,753 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses |
| |||||||||||||||
Management fees (Note 6) | 181,065 | 2,106,551 | 4,216,094 | 7,835,017 | ||||||||||||
Service and distribution fees (Note 6) | 509 | 939,503 | 1,226,414 | 2,410,762 | ||||||||||||
Administrative fees (Note 6) | 10,285 | 131,502 | 231,005 | 446,102 | ||||||||||||
Trustees’ fees and expenses (Note 6) | 13,379 | 104,351 | 44,753 | 111,433 | ||||||||||||
Transfer agent fees and expenses (Notes 6 and 8) | 3,319 | 214,269 | 900,969 | 599,597 | ||||||||||||
Audit and tax services fees | 42,263 | 41,099 | 42,321 | 42,111 | ||||||||||||
Custodian fees and expenses (Note 7) | 16,515 | 9,489 | 196,517 | 44,883 | ||||||||||||
Legal fees (Note 9) | 788 | 9,817 | 18,472 | 35,355 | ||||||||||||
Registration fees | 73,966 | 88,389 | 88,575 | 84,720 | ||||||||||||
Shareholder reporting expenses | 11,969 | 21,325 | 104,354 | 53,586 | ||||||||||||
Tax reclaim professional fees (Note 2e) | — | — | 39,128 | 2,711 | ||||||||||||
Miscellaneous expenses (Note 7) | 31,502 | 33,689 | 51,161 | 53,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 385,560 | 3,699,984 | 7,159,763 | 11,719,335 | ||||||||||||
Less waiver and/or expense reimbursement (Notes 6 and 7) | (167,628 | ) | (88,369 | ) | (919,112 | ) | (1,048 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 217,932 | 3,611,615 | 6,240,651 | 11,718,287 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 68,456 | 633,264 | 9,327,403 | (2,363,534 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||||||
Net realized gain (loss) on: |
| |||||||||||||||
Investments | (202,920 | ) | 28,561,069 | 36,749,218 | 116,863,738 | |||||||||||
Forward foreign currency contracts (Note 2d) | — | — | 386,242 | — | ||||||||||||
Foreign currency transactions (Note 2c) | (693 | ) | — | (53,631 | ) | — | ||||||||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||||||||||
Investments | (1,246,544 | ) | 53,375,247 | (4,068,384 | ) | 97,063,562 | ||||||||||
Forward foreign currency contracts (Note 2d) | — | — | (85,208 | ) | — | |||||||||||
Foreign currency translations (Note 2c) | 177 | — | (323,842 | ) | (1,590 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions | (1,449,980 | ) | 81,936,316 | 32,604,395 | 213,925,710 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (1,381,524 | ) | $ | 82,569,580 | $ | 41,931,798 | $ | 211,562,176 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Includes a non-recurring stock dividend of $2,738,911. |
See accompanying notes to financial statements.
| 46
Statements of Operations (continued)
For the Year Ended December 31, 2021
| Vaughan Nelson Mid Cap Fund | Vaughan Nelson Small Cap Value Fund | |||||||
INVESTMENT INCOME |
| |||||||
Dividends | $ | 4,588,817 | $ | 1,422,401 | ||||
Non-cash dividends (Note 2b) | — | 363,704 | (a) | |||||
Less net foreign taxes withheld | — | (5,549 | ) | |||||
|
|
|
| |||||
| 4,588,817 | 1,780,556 | |||||||
|
|
|
| |||||
Expenses | ||||||||
Management fees (Note 6) | 2,560,977 | 1,202,924 | ||||||
Service and distribution fees (Note 6) | 220,531 | 197,232 | ||||||
Administrative fees (Note 6) | 141,096 | 58,651 | ||||||
Trustees’ fees and expenses (Note 6) | 46,745 | 46,227 | ||||||
Transfer agent fees and expenses (Notes 6 and 8) | 258,005 | 128,931 | ||||||
Audit and tax services fees | 41,875 | 41,096 | ||||||
Custodian fees and expenses (Note 7) | 13,570 | 10,529 | ||||||
Legal fees (Note 9) | 10,745 | 4,563 | ||||||
Registration fees | 70,168 | 91,539 | ||||||
Shareholder reporting expenses | 31,071 | 16,310 | ||||||
Miscellaneous expenses (Note 7) | 35,550 | 30,208 | ||||||
|
|
|
| |||||
Total expenses | 3,430,333 | 1,828,210 | ||||||
Less waiver and/or expense reimbursement (Notes 6 and 7) | (172,598 | ) | (222,089 | ) | ||||
|
|
|
| |||||
Net expenses | 3,257,735 | 1,606,121 | ||||||
|
|
|
| |||||
Net investment income | 1,331,082 | 174,435 | ||||||
|
|
|
| |||||
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS |
| |||||||
Net realized gain on: | ||||||||
Investments | 56,422,377 | 33,988,295 | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | 4,168,218 | 828,120 | ||||||
|
|
|
| |||||
Net realized and unrealized gain on investments | 60,590,595 | 34,816,415 | ||||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 61,921,677 | $ | 34,990,850 | ||||
|
|
|
| |||||
| (a) | Represents a non-recurring stock dividend. |
See accompanying notes to financial statements.
47 |
Statements of Changes in Net Assets
| International Growth Fund | Natixis Oakmark Fund | |||||||||||||||
| Year Ended December 31, 2021 | Period Ended December 31, 2020(a) | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
FROM OPERATIONS: |
| |||||||||||||||
Net investment income | $ | 68,456 | $ | 9,420 | $ | 633,264 | $ | 1,003,906 | ||||||||
Net realized gain (loss) on investments and foreign currency transactions | (203,613 | ) | 8,123 | 28,561,069 | 14,582,175 | |||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | (1,246,367 | ) | 188,539 | 53,375,247 | 5,121,754 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (1,381,524 | ) | 206,082 | 82,569,580 | 20,707,835 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class A | (1,712 | ) | (1 | ) | (14,668,177 | ) | (14,572,150 | ) | ||||||||
Class C | (540 | ) | — | (b) | (3,860,638 | ) | (3,470,297 | ) | ||||||||
Class N | (404,221 | ) | (12,450 | ) | (42,243 | ) | (30,687 | ) | ||||||||
Class Y | (3,739 | ) | (9 | ) | (6,180,207 | ) | (3,143,507 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (410,212 | ) | (12,460 | ) | (24,751,265 | ) | (21,216,641 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | 9,897,595 | 15,026,210 | 69,746,167 | (38,326,966 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 8,105,859 | 15,219,832 | 127,564,482 | (38,835,772 | ) | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the year | 15,219,832 | — | 244,601,943 | 283,437,715 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the year | $ | 23,325,691 | $ | 15,219,832 | $ | 372,166,425 | $ | 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.
| 48
Statements of Changes in Net Assets (continued)
| Natixis Oakmark International Fund | Natixis U.S. Equity Opportunities Fund | |||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 9,327,403 | $ | 245,748 | $ | (2,363,534 | ) | $ | (1,093,083 | ) | ||||||
Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions | 37,081,829 | (97,769,005 | ) | 116,863,738 | 130,277,857 | |||||||||||
Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations | (4,477,434 | ) | 79,782,696 | 97,061,972 | 34,019,289 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 41,931,798 | (17,740,561 | ) | 211,562,176 | 163,204,063 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class A | (2,330,358 | ) | (310,049 | ) | (76,697,366 | ) | (78,012,779 | ) | ||||||||
Class C | (418,451 | ) | — | (11,757,176 | ) | (13,186,942 | ) | |||||||||
Class N | (12,581 | ) | (1,852 | ) | (15,616 | ) | (21,295 | ) | ||||||||
Class Y | (5,540,267 | ) | (1,281,600 | ) | (23,677,132 | ) | (24,792,696 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (8,301,657 | ) | (1,593,501 | ) | (112,147,290 | ) | (116,013,712 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (1,920,547 | ) | (74,342,754 | ) | 20,061,764 | (70,200,600 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 31,709,594 | (93,676,816 | ) | 119,476,650 | (23,010,249 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the year | 504,159,354 | 597,836,170 | 956,354,146 | 979,364,395 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the year | $ | 535,868,948 | $ | 504,159,354 | $ | 1,075,830,796 | $ | 956,354,146 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
49 |
Statements of Changes in Net Assets (continued)
| Vaughan Nelson Mid Cap Fund | Vaughan Nelson Small Cap Value Fund | |||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
FROM OPERATIONS: |
| |||||||||||||||
Net investment income | $ | 1,331,082 | $ | 1,455,275 | $ | 174,435 | $ | 101,981 | ||||||||
Net realized gain (loss) on investments | 56,422,377 | 27,799,575 | 33,988,295 | (3,132,416 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on investments | 4,168,218 | (16,338,813 | ) | 828,120 | 10,854,499 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 61,921,677 | 12,916,037 | 34,990,850 | 7,824,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class A | (5,329,869 | ) | (3,468,834 | ) | (14,352,433 | ) | (376,748 | ) | ||||||||
Class C | (1,799,416 | ) | (1,857,110 | ) | (339,165 | ) | (14,118 | ) | ||||||||
Class N | (12,164,843 | ) | (2,038,286 | ) | (233,321 | ) | (179 | ) | ||||||||
Class Y | (33,148,269 | ) | (26,620,537 | ) | (11,433,578 | ) | (344,758 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (52,442,397 | ) | (33,984,767 | ) | (26,358,497 | ) | (735,803 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | 68,004,051 | (61,208,438 | ) | 29,370,496 | (8,673,052 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 77,483,331 | (82,277,168 | ) | 38,002,849 | (1,584,791 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the year | 290,055,322 | 372,332,490 | 111,893,165 | 113,477,956 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the year | $ | 367,538,653 | $ | 290,055,322 | $ | 149,896,014 | $ | 111,893,165 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
| 50
Financial Highlights
For a share outstanding throughout each period.
| International Growth Fund—Class A | ||||||||
| Year Ended December 31, 2021 | 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) | (0.01 | ) | 0.01 | |||||
Net realized and unrealized gain (loss) | (0.41 | ) | 0.13 | |||||
|
|
|
| |||||
Total from Investment Operations | (0.42 | ) | 0.14 | |||||
|
|
|
| |||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income | (0.01 | ) | (0.01 | ) | ||||
Net realized capital gains | (0.13 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.14 | ) | (0.01 | ) | ||||
|
|
|
| |||||
Net asset value, end of the period | $ | 9.57 | $ | 10.13 | ||||
|
|
|
| |||||
Total return(b)(c) | (4.07 | )% | 1.37 | %(d) | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) | $ | 113 | $ | 1 | ||||
Net expenses(e) | 1.20 | % | 1.20 | %(f) | ||||
Gross expenses | 2.71 | % | 13.05 | %(f) | ||||
Net investment income (loss) | (0.07 | )% | 1.28 | %(f) | ||||
Portfolio turnover rate | 9 | % | 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) | 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.
51 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| International Growth Fund—Class C | ||||||||
| Year Ended December 31, 2021 | 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) | (0.09 | ) | 0.00 | (b) | ||||
Net realized and unrealized gain (loss) | (0.40 | ) | 0.13 | |||||
|
|
|
| |||||
Total from Investment Operations | (0.49 | ) | 0.13 | |||||
|
|
|
| |||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income | (0.00 | )(b) | (0.00 | )(b) | ||||
Net realized capital gains | (0.13 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.13 | ) | (0.00 | ) | ||||
|
|
|
| |||||
Net asset value, end of the period | $ | 9.51 | $ | 10.13 | ||||
|
|
|
| |||||
Total return(c)(d) | (4.79 | )% | 1.33 | %(e) | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) | $ | 38 | $ | 1 | ||||
Net expenses(f) | 1.95 | % | 1.95 | %(g) | ||||
Gross expenses | 3.46 | % | 13.78 | %(g) | ||||
Net investment income (loss) | (0.90 | )% | 0.55 | %(g) | ||||
Portfolio turnover rate | 9 | % | 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.
| 52
Financial Highlights (continued)
For a share outstanding throughout each period.
| International Growth Fund—Class N | ||||||||
| Year Ended December 31, 2021 | 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) | (0.42 | ) | 0.13 | |||||
|
|
|
| |||||
Total from Investment Operations | (0.39 | ) | 0.14 | |||||
|
|
|
| |||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income | (0.03 | ) | (0.01 | ) | ||||
Net realized capital gains | (0.13 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.16 | ) | (0.01 | ) | ||||
|
|
|
| |||||
Net asset value, end of the period | $ | 9.58 | $ | 10.13 | ||||
|
|
|
| |||||
Total return(b) | (3.77 | )% | 1.38 | %(c) | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) | $ | 22,953 | $ | 15,206 | ||||
Net expenses(d) | 0.90 | % | 0.90 | %(e) | ||||
Gross expenses | 1.58 | % | 6.48 | %(e) | ||||
Net investment income | 0.29 | % | 1.43 | %(e) | ||||
Portfolio turnover rate | 9 | % | 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) | 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.
53 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| International Growth Fund—Class Y | ||||||||
| Year Ended December 31, 2021 | 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) | 0.02 | 0.01 | ||||||
Net realized and unrealized gain (loss) | (0.41 | ) | 0.13 | |||||
|
|
|
| |||||
Total from Investment Operations | (0.39 | ) | 0.14 | |||||
|
|
|
| |||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income | (0.03 | ) | (0.01 | ) | ||||
Net realized capital gains | (0.13 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.16 | ) | (0.01 | ) | ||||
|
|
|
| |||||
Net asset value, end of the period | $ | 9.58 | $ | 10.13 | ||||
|
|
|
| |||||
Total return(b) | (3.81 | )% | 1.38 | %(c) | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) | $ | 222 | $ | 12 | ||||
Net expenses(d) | 0.95 | % | 0.95 | %(e) | ||||
Gross expenses | 2.46 | % | 12.58 | %(e) | ||||
Net investment income | 0.19 | % | 1.63 | %(e) | ||||
Portfolio turnover rate | 9 | % | 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) | 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.
| 54
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 23.20 | $ | 22.45 | $ | 19.44 | $ | 24.72 | $ | 21.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income(a) | 0.07 | 0.11 | (b) | 0.18 | (c) | 0.10 | 0.11 | |||||||||||||
Net realized and unrealized gain (loss) | 7.81 | 2.78 | 4.93 | (3.28 | ) | 4.28 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 7.88 | 2.89 | 5.11 | (3.18 | ) | 4.39 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.05 | ) | (0.12 | ) | (0.21 | ) | (0.08 | ) | (0.10 | ) | ||||||||||
Net realized capital gains | (1.99 | ) | (2.02 | ) | (1.89 | ) | (2.02 | ) | (0.94 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (2.04 | ) | (2.14 | ) | (2.10 | ) | (2.10 | ) | (1.04 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 29.04 | $ | 23.20 | $ | 22.45 | $ | 19.44 | $ | 24.72 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 33.97 | %(e) | 13.01 | %(b) | 26.77 | %(c) | (13.01 | )% | 20.75 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 222,435 | $ | 170,702 | $ | 181,417 | $ | 164,748 | $ | 203,792 | ||||||||||
Net expenses | 1.12 | %(f)(g) | 1.20 | %(h) | 1.17 | % | 1.13 | % | 1.18 | % | ||||||||||
Gross expenses | 1.14 | % | 1.20 | %(h) | 1.17 | % | 1.13 | % | 1.18 | % | ||||||||||
Net investment income | 0.25 | % | 0.53 | %(b) | 0.85 | %(c) | 0.41 | % | 0.48 | % | ||||||||||
Portfolio turnover rate | 23 | % | 22 | % | 15 | % | 39 | % | 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 $0.05, total return would have been 12.72% and the ratio of net investment income to average net assets would have been 0.27%. |
| (c) | 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%. |
| (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) | 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, 2021, the expense limit decreased from 1.30% to 1.05%. |
| (h) | Includes refund of prior year service fee of 0.01%. |
See accompanying notes to financial statements.
55 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 19.17 | $ | 18.92 | $ | 16.66 | $ | 21.58 | $ | 18.83 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income (loss)(a) | (0.12 | ) | (0.04 | )(b) | 0.02 | (c) | (0.07 | ) | (0.05 | ) | ||||||||||
Net realized and unrealized gain (loss) | 6.44 | 2.31 | 4.20 | (2.83 | ) | 3.74 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 6.32 | 2.27 | 4.22 | (2.90 | ) | 3.69 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.00 | )(d) | — | (0.07 | ) | — | (0.00 | )(d) | ||||||||||||
Net realized capital gains | (1.99 | ) | (2.02 | ) | (1.89 | ) | (2.02 | ) | (0.94 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (1.99 | ) | (2.02 | ) | (1.96 | ) | (2.02 | ) | (0.94 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 23.50 | $ | 19.17 | $ | 18.92 | $ | 16.66 | $ | 21.58 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(e) | 32.99 | %(f) | 12.15 | %(b) | 25.82 | %(c) | (13.63 | )% | 19.85 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 50,042 | $ | 35,940 | $ | 54,384 | $ | 53,606 | $ | 62,272 | ||||||||||
Net expenses | 1.87 | %(g)(h) | 1.95 | % | 1.92 | % | 1.88 | % | 1.93 | % | ||||||||||
Gross expenses | 1.89 | % | 1.95 | % | 1.92 | % | 1.88 | % | 1.93 | % | ||||||||||
Net investment income (loss) | (0.49 | )% | (0.23 | )%(b) | 0.12 | %(c) | (0.33 | )% | (0.27 | )% | ||||||||||
Portfolio turnover rate | 23 | % | 22 | % | 15 | % | 39 | % | 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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (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, 2021, the expense limit decreased from 2.05% to 1.80%. |
See accompanying notes to financial statements.
| 56
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark Fund—Class N | ||||||||||||||||||||
| Year Ended December 31, 2021 | 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) | 0.23 | 0.18 | (b) | 0.22 | (c) | 0.22 | 0.14 | |||||||||||||
Net realized and unrealized gain (loss) | 8.31 | 2.98 | 5.25 | (3.45 | ) | 3.44 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 8.54 | 3.16 | 5.47 | (3.23 | ) | 3.58 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.14 | ) | (0.20 | ) | (0.29 | ) | (0.17 | ) | (0.17 | ) | ||||||||||
Net realized capital gains | (1.99 | ) | (2.02 | ) | (1.89 | ) | (2.02 | ) | (0.63 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (2.13 | ) | (2.22 | ) | (2.18 | ) | (2.19 | ) | (0.80 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 31.13 | $ | 24.72 | $ | 23.78 | $ | 20.49 | $ | 25.91 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 34.54 | % | 13.41 | %(b) | 27.16 | %(c) | (12.60 | )% | 15.46 | %(e) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 682 | $ | 364 | $ | 801 | $ | 10 | $ | 1 | ||||||||||
Net expenses(f) | 0.80 | %(g) | 0.86 | % | 0.83 | % | 0.75 | % | 0.75 | %(h) | ||||||||||
Gross expenses | 1.55 | % | 1.05 | % | 1.25 | % | 3.79 | % | 13.79 | %(h) | ||||||||||
Net investment income | 0.79 | % | 0.85 | %(b) | 0.93 | %(c) | 0.88 | % | 0.84 | %(h) | ||||||||||
Portfolio turnover rate | 23 | % | 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) | 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) | Effective July 1, 2021, the expense limit decreased from 1.00% to 0.75%. |
| (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.
57 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 24.68 | $ | 23.75 | $ | 20.46 | $ | 25.90 | $ | 22.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income(a) | 0.17 | 0.17 | (b) | 0.27 | (c) | 0.17 | 0.17 | |||||||||||||
Net realized and unrealized gain (loss) | 8.31 | 2.95 | 5.17 | (3.44 | ) | 4.48 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 8.48 | 3.12 | 5.44 | (3.27 | ) | 4.65 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.13 | ) | (0.17 | ) | (0.26 | ) | (0.15 | ) | (0.15 | ) | ||||||||||
Net realized capital gains | (1.99 | ) | (2.02 | ) | (1.89 | ) | (2.02 | ) | (0.94 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (2.12 | ) | (2.19 | ) | (2.15 | ) | (2.17 | ) | (1.09 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 31.04 | $ | 24.68 | $ | 23.75 | $ | 20.46 | $ | 25.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 34.35 | %(d) | 13.28 | %(b) | 27.06 | %(c)(d) | (12.76 | )% | 21.05 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 99,008 | $ | 37,595 | $ | 46,836 | $ | 53,829 | $ | 49,955 | ||||||||||
Net expenses | 0.86 | %(e)(f) | 0.95 | % | 0.91 | %(e) | 0.88 | % | 0.93 | % | ||||||||||
Gross expenses | 0.89 | % | 0.95 | % | 0.92 | % | 0.88 | % | 0.93 | % | ||||||||||
Net investment income | 0.56 | % | 0.79 | %(b) | 1.16 | %(c) | 0.68 | % | 0.71 | % | ||||||||||
Portfolio turnover rate | 23 | % | 22 | % | 15 | % | 39 | % | 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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (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, 2021, the expense limit decreased from 1.05% to 0.80%. |
See accompanying notes to financial statements.
| 58
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark International Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 14.15 | $ | 13.63 | $ | 11.29 | $ | 15.58 | $ | 12.15 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income (loss)(a) | 0.27 | (b) | (0.00 | )(c) | 0.37 | (d) | 0.25 | 0.18 | ||||||||||||
Net realized and unrealized gain (loss) | 0.96 | 0.55 | (e) | 2.38 | (4.02 | ) | 3.41 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.23 | 0.55 | 2.75 | (3.77 | ) | 3.59 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.23 | ) | (0.03 | ) | (0.41 | ) | (0.29 | ) | (0.16 | ) | ||||||||||
Net realized capital gains | — | — | — | (0.23 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.23 | ) | (0.03 | ) | (0.41 | ) | (0.52 | ) | (0.16 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 15.15 | $ | 14.15 | $ | 13.63 | $ | 11.29 | $ | 15.58 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(f) | 8.73 | %(b)(g) | 4.06 | %(g) | 24.35 | %(d) | (24.15 | )% | 29.56 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 152,900 | $ | 131,630 | $ | 172,906 | $ | 257,551 | $ | 603,988 | ||||||||||
Net expenses | 1.17 | %(h)(i) | 1.29 | %(h)(j) | 1.29 | % | 1.31 | % | 1.32 | % | ||||||||||
Gross expenses | 1.34 | % | 1.36 | % | 1.29 | % | 1.31 | % | 1.32 | % | ||||||||||
Net investment income (loss) | 1.73 | %(b) | (0.03 | )% | 2.91 | %(d) | 1.72 | % | 1.28 | % | ||||||||||
Portfolio turnover rate | 37 | % | 63 | % | 28 | % | 50 | % | 40 | % | ||||||||||
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.13, total return would have been 7.74% and the ratio of net investment income to average net assets would have been 0.84%. |
| (c) | Amount rounds to less than $0.01 per share. |
| (d) | 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%. |
| (e) | 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. |
| (f) | A sales charge for Class A shares is not reflected in total return calculations. |
| (g) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (h) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (i) | Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%. |
| (j) | Effective July 1, 2020, the expense limit decreased from 1.37% to 1.20%. |
See accompanying notes to financial statements.
59 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark International Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 13.85 | $ | 13.41 | $ | 11.11 | $ | 15.30 | $ | 11.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income (loss)(a) | 0.13 | (b) | (0.08 | ) | 0.26 | (c) | 0.13 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.97 | 0.52 | (d) | 2.34 | (3.92 | ) | 3.35 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.10 | 0.44 | 2.60 | (3.79 | ) | 3.41 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.09 | ) | — | (0.30 | ) | (0.17 | ) | (0.07 | ) | |||||||||||
Net realized capital gains | — | — | — | (0.23 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.09 | ) | — | (0.30 | ) | (0.40 | ) | (0.07 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 14.86 | $ | 13.85 | $ | 13.41 | $ | 11.11 | $ | 15.30 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(e) | 7.92 | %(b)(f) | 3.28 | %(f) | 23.44 | %(c) | (24.74 | )% | 28.55 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 69,335 | $ | 96,772 | $ | 179,533 | $ | 212,618 | $ | 363,018 | ||||||||||
Net expenses | 1.93 | %(g)(h) | 2.05 | %(g)(i) | 2.04 | % | 2.07 | % | 2.07 | % | ||||||||||
Gross expenses | 2.09 | % | 2.11 | % | 2.04 | % | 2.07 | % | 2.07 | % | ||||||||||
Net investment income (loss) | 0.85 | %(b) | (0.76 | )% | 2.09 | %(c) | 0.94 | % | 0.42 | % | ||||||||||
Portfolio turnover rate | 37 | % | 63 | % | 28 | % | 50 | % | 40 | % | ||||||||||
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.02, total return would have been 6.98% and the ratio of net investment income to average net assets would have been 0.13%. |
| (c) | 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%. |
| (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 contingent deferred sales charge for Class C 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) | 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, 2021, the expense limit decreased from 1.95% to 1.90%. |
| (i) | Effective July 1, 2020, the expense limit decreased from 2.12% to 1.95%. |
See accompanying notes to financial statements.
| 60
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark International Fund—Class N | ||||||||||||||||||||
| Year Ended December 31, 2021 | 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) | 0.38 | (b) | 0.04 | 0.33 | (c) | 0.28 | 0.15 | |||||||||||||
Net realized and unrealized gain (loss) | 0.89 | 0.56 | (d) | 2.45 | (4.02 | ) | 1.66 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.27 | 0.60 | 2.78 | (3.74 | ) | 1.81 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.28 | ) | (0.07 | ) | (0.47 | ) | (0.36 | ) | (0.21 | ) | ||||||||||
Net realized capital gains | — | — | — | (0.23 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.28 | ) | (0.07 | ) | (0.47 | ) | (0.59 | ) | (0.21 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 15.08 | $ | 14.09 | $ | 13.56 | $ | 11.25 | $ | 15.58 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(e) | 9.01 | %(b) | 4.44 | % | 24.75 | %(c) | (23.94 | )% | 12.96 | %(f) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 704 | $ | 290 | $ | 811 | $ | 758 | $ | 1 | ||||||||||
Net expenses(g) | 0.87 | %(h) | 0.92 | %(i) | 0.94 | % | 0.99 | % | 0.92 | %(j) | ||||||||||
Gross expenses | 1.25 | % | 1.17 | % | 1.08 | % | 1.02 | % | 25.21 | %(j) | ||||||||||
Net investment income | 2.49 | %(b) | 0.37 | % | 2.56 | %(c) | 2.04 | % | 1.54 | %(j) | ||||||||||
Portfolio turnover rate | 37 | % | 63 | % | 28 | % | 50 | % | 40 | %(k) | ||||||||||
| * | 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 and tax reclaims. Without these, net investment income per share would have been $0.11, total return would have been 8.09% and the ratio of net investment income to average net assets would have been 0.70%. |
| (c) | 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%. |
| (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) | Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%. |
| (i) | Effective July 1, 2020, the expense limit decreased from 1.07% to 0.90%. |
| (j) | Computed on an annualized basis for periods less than one year. |
| (k) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
61 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis Oakmark International Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2021 | 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) | 0.30 | (b) | 0.04 | 0.37 | (c) | 0.26 | 0.00 | (d) | ||||||||||||
Net realized and unrealized gain (loss) | 0.96 | 0.55 | (e) | 2.40 | (3.99 | ) | 1.79 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 1.26 | 0.59 | 2.77 | (3.73 | ) | 1.79 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.27 | ) | (0.07 | ) | (0.46 | ) | (0.35 | ) | (0.21 | ) | ||||||||||
Net realized capital gains | — | — | — | (0.23 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.27 | ) | (0.07 | ) | (0.46 | ) | (0.58 | ) | (0.21 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 15.07 | $ | 14.08 | $ | 13.56 | $ | 11.25 | $ | 15.56 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 8.97 | %(b)(f) | 4.32 | %(f) | 24.64 | %(c) | (23.93 | )% | 12.79 | %(g) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 312,930 | $ | 275,468 | $ | 244,586 | $ | 215,123 | $ | 172,978 | ||||||||||
Net expenses | 0.92 | %(h)(i) | 1.03 | %(h)(j) | 1.04 | % | 1.07 | % | 1.07 | %(k) | ||||||||||
Gross expenses | 1.09 | % | 1.11 | % | 1.04 | % | 1.07 | % | 1.07 | %(k) | ||||||||||
Net investment income | 1.96 | %(b) | 0.41 | % | 2.91 | %(c) | 1.85 | % | 0.03 | %(k) | ||||||||||
Portfolio turnover rate | 37 | % | 63 | % | 28 | % | 50 | % | 40 | %(l) | ||||||||||
| * | 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 and tax reclaims. Without these, net investment income per share would have been $0.17, total return would have been 8.04% and the ratio of net investment income to average net assets would have been 1.07%. |
| (c) | 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%. |
| (d) | Amount rounds to less than $0.01 per share. |
| (e) | 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. |
| (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) | Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%. |
| (j) | Effective July 1, 2020, the expense limit decreased from 1.12% to 0.95%. |
| (k) | Computed on an annualized basis for periods less than one year. |
| (l) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
| 62
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis U.S. Equity Opportunities Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 39.04 | $ | 36.53 | $ | 31.00 | $ | 36.90 | $ | 30.27 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income (loss)(a) | (0.11 | ) | (0.05 | ) | 0.15 | (b) | 0.08 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 8.99 | 7.66 | 9.34 | (2.51 | ) | 7.88 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 8.88 | 7.61 | 9.49 | (2.43 | ) | 7.94 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | — | — | (0.17 | ) | (0.05 | ) | (0.06 | ) | ||||||||||||
Net realized capital gains | (4.80 | ) | (5.10 | ) | (3.79 | ) | (3.42 | ) | (1.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (4.80 | ) | (5.10 | ) | (3.96 | ) | (3.47 | ) | (1.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 43.12 | $ | 39.04 | $ | 36.53 | $ | 31.00 | $ | 36.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(c) | 23.14 | % | 22.09 | % | 31.03 | %(b) | (6.48 | )% | 26.28 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 733,423 | $ | 649,754 | $ | 616,922 | $ | 523,665 | $ | 604,330 | ||||||||||
Net expenses | 1.14 | % | 1.17 | % | 1.17 | % | 1.16 | % | 1.21 | %(d) | ||||||||||
Gross expenses | 1.14 | % | 1.17 | % | 1.17 | % | 1.16 | % | 1.21 | % | ||||||||||
Net investment income (loss) | (0.25 | )% | (0.14 | )% | 0.42 | %(b) | 0.20 | % | 0.16 | % | ||||||||||
Portfolio turnover rate | 18 | % | 26 | % | 12 | % | 23 | % | 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) | Effective July 1, 2017, the expense limit decreased from 1.25% to 1.20%. |
See accompanying notes to financial statements.
63 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis U.S. Equity Opportunities Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 21.89 | $ | 22.65 | $ | 20.42 | $ | 25.73 | $ | 21.54 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment loss(a) | (0.24 | ) | (0.19 | ) | (0.07 | )(b) | (0.14 | ) | (0.14 | ) | ||||||||||
Net realized and unrealized gain (loss) | 4.97 | 4.53 | 6.10 | (1.75 | ) | 5.58 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.73 | 4.34 | 6.03 | (1.89 | ) | 5.44 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | — | — | (0.01 | ) | — | (0.00 | )(c) | |||||||||||||
Net realized capital gains | (4.80 | ) | (5.10 | ) | (3.79 | ) | (3.42 | ) | (1.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (4.80 | ) | (5.10 | ) | (3.80 | ) | (3.42 | ) | (1.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 21.82 | $ | 21.89 | $ | 22.65 | $ | 20.42 | $ | 25.73 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 22.27 | % | 21.15 | % | 30.06 | %(b) | (7.18 | )% | 25.35 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 57,492 | $ | 63,126 | $ | 77,924 | $ | 78,783 | $ | 112,615 | ||||||||||
Net expenses | 1.89 | % | 1.92 | % | 1.92 | % | 1.91 | % | 1.96 | %(e) | ||||||||||
Gross expenses | 1.89 | % | 1.92 | % | 1.92 | % | 1.91 | % | 1.96 | % | ||||||||||
Net investment loss | (0.99 | )% | (0.87 | )% | (0.31 | )%(b) | (0.54 | )% | (0.59 | )% | ||||||||||
Portfolio turnover rate | 18 | % | 26 | % | 12 | % | 23 | % | 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) | Effective July 1, 2017, the expense limit decreased from 2.00% to 1.95%. |
See accompanying notes to financial statements.
| 64
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis U.S. Equity Opportunities Fund—Class N | ||||||||||||||||||||
| Year Ended December 31, 2021 | 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) | 0.03 | 0.13 | 0.19 | (b) | 0.25 | 0.12 | ||||||||||||||
Net realized and unrealized gain (loss) | 11.07 | 9.20 | 11.14 | (2.91 | ) | 6.20 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 11.10 | 9.33 | 11.33 | (2.66 | ) | 6.32 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | — | — | (0.30 | ) | (0.18 | ) | (0.16 | ) | ||||||||||||
Net realized capital gains | (4.80 | ) | (5.10 | ) | (3.79 | ) | (3.42 | ) | (1.15 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (4.80 | ) | (5.10 | ) | (4.09 | ) | (3.60 | ) | (1.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 54.14 | $ | 47.84 | $ | 43.61 | $ | 36.37 | $ | 42.63 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(c) | 23.53 | % | 22.48 | % | 31.44 | %(b) | (6.11 | )% | 16.78 | %(d) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 177 | $ | 172 | $ | 654 | $ | 1 | $ | 1 | ||||||||||
Net expenses(e) | 0.83 | % | 0.84 | % | 0.83 | % | 0.76 | % | 0.78 | %(f)(g) | ||||||||||
Gross expenses | 1.38 | % | 1.13 | % | 1.42 | % | 13.35 | % | 13.41 | %(f) | ||||||||||
Net investment income | 0.06 | % | 0.31 | % | 0.44 | %(b) | 0.56 | % | 0.44 | %(f) | ||||||||||
Portfolio turnover rate | 18 | % | 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.
65 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Natixis U.S. Equity Opportunities Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 47.74 | $ | 43.56 | $ | 36.33 | $ | 42.61 | $ | 34.77 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income(a) | 0.00 | (b) | 0.05 | 0.29 | (c) | 0.20 | 0.16 | |||||||||||||
Net realized and unrealized gain (loss) | 11.05 | 9.23 | 10.99 | (2.92 | ) | 9.07 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 11.05 | 9.28 | 11.28 | (2.72 | ) | 9.23 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | — | — | (0.26 | ) | (0.14 | ) | (0.14 | ) | ||||||||||||
Net realized capital gains | (4.80 | ) | (5.10 | ) | (3.79 | ) | (3.42 | ) | (1.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (4.80 | ) | (5.10 | ) | (4.05 | ) | (3.56 | ) | (1.39 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 53.99 | $ | 47.74 | $ | 43.56 | $ | 36.33 | $ | 42.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 23.48 | % | 22.36 | % | 31.36 | %(c)(d) | (6.24 | )% | 26.60 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 284,738 | $ | 243,302 | $ | 283,864 | $ | 296,255 | $ | 285,008 | ||||||||||
Net expenses | 0.89 | % | 0.92 | % | 0.91 | %(e) | 0.91 | % | 0.95 | %(f) | ||||||||||
Gross expenses | 0.89 | % | 0.92 | % | 0.92 | % | 0.91 | % | 0.95 | % | ||||||||||
Net investment income | 0.00 | %(g) | 0.13 | % | 0.69 | %(c) | 0.45 | % | 0.40 | % | ||||||||||
Portfolio turnover rate | 18 | % | 26 | % | 12 | % | 23 | % | 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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (e) | 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. |
| (f) | Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%. |
| (g) | Amount rounds to less than 0.01%. |
See accompanying notes to financial statements.
| 66
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Mid Cap Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 21.79 | $ | 22.42 | $ | 17.37 | $ | 22.65 | $ | 20.55 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income(a) | 0.05 | 0.07 | 0.03 | 0.09 | 0.17 | (b) | ||||||||||||||
Net realized and unrealized gain (loss) | 4.52 | 1.96 | 5.21 | (3.71 | ) | 2.48 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.57 | 2.03 | 5.24 | (3.62 | ) | 2.65 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.04 | ) | (0.04 | ) | (0.02 | ) | (0.15 | ) | (0.18 | ) | ||||||||||
Net realized capital gains | (3.62 | ) | (2.62 | ) | (0.17 | ) | (1.51 | ) | (0.37 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.66 | ) | (2.66 | ) | (0.19 | ) | (1.66 | ) | (0.55 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 22.70 | $ | 21.79 | $ | 22.42 | $ | 17.37 | $ | 22.65 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(c) | 21.32 | %(d) | 10.46 | %(d) | 30.21 | %(d) | (16.10 | )% | 12.93 | %(b) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 37,849 | $ | 30,567 | $ | 33,434 | $ | 43,769 | $ | 67,186 | ||||||||||
Net expenses | 1.17 | %(e)(f) | 1.20 | %(e) | 1.25 | %(e)(g)(h) | 1.24 | % | 1.22 | % | ||||||||||
Gross expenses | 1.23 | % | 1.29 | % | 1.28 | %(g) | 1.24 | % | 1.22 | % | ||||||||||
Net investment income | 0.22 | % | 0.35 | % | 0.16 | % | 0.42 | % | 0.77 | %(b) | ||||||||||
Portfolio turnover rate | 71 | % | 52 | % | 52 | % | 44 | % | 42 | % | ||||||||||
| (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) | 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) | 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, 2021, the expense limit decreased from 1.20% to 1.15%. |
| (g) | 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%. |
| (h) | Effective July 1, 2019, the expense limit decreased from 1.40% to 1.20%. |
See accompanying notes to financial statements.
67 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Mid Cap Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 20.15 | $ | 21.06 | $ | 16.43 | $ | 21.50 | $ | 19.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income (loss)(a) | (0.13 | ) | (0.08 | ) | (0.10 | ) | (0.08 | ) | 0.00 | (b)(c) | ||||||||||
Net realized and unrealized gain (loss) | 4.18 | 1.79 | 4.90 | (3.48 | ) | 2.36 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.05 | 1.71 | 4.80 | (3.56 | ) | 2.36 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.00 | )(b) | — | (0.00 | )(b) | — | — | |||||||||||||
Net realized capital gains | (3.62 | ) | (2.62 | ) | (0.17 | ) | (1.51 | ) | (0.37 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.62 | ) | (2.62 | ) | (0.17 | ) | (1.51 | ) | (0.37 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 20.58 | $ | 20.15 | $ | 21.06 | $ | 16.43 | $ | 21.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 20.44 | %(e) | 9.60 | %(e) | 29.25 | %(e) | (16.71 | )% | 12.11 | %(c) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 11,436 | $ | 14,023 | $ | 21,932 | $ | 23,967 | $ | 47,559 | ||||||||||
Net expenses | 1.93 | %(f)(g) | 1.95 | %(f) | 1.99 | %(f)(h)(i) | 1.98 | % | 1.97 | % | ||||||||||
Gross expenses | 1.98 | % | 2.04 | % | 2.02 | %(h) | 1.98 | % | 1.97 | % | ||||||||||
Net investment income (loss) | (0.56 | )% | (0.42 | )% | (0.50 | )% | (0.36 | )% | 0.00 | %(c)(j) | ||||||||||
Portfolio turnover rate | 71 | % | 52 | % | 52 | % | 44 | % | 42 | % | ||||||||||
| (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) | 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, 2021, the expense limit decreased from 1.95% to 1.90%. |
| (h) | 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%. |
| (i) | Effective July 1, 2019, the expense limit decreased from 2.15% to 1.95%. |
| (j) | Amount rounds to less than 0.01%. |
See accompanying notes to financial statements.
| 68
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Mid Cap Fund—Class N | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 22.07 | $ | 22.66 | $ | 17.54 | $ | 22.87 | $ | 20.75 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income(a) | 0.14 | 0.13 | 0.11 | 0.17 | 0.25 | (b) | ||||||||||||||
Net realized and unrealized gain (loss) | 4.58 | 2.00 | 5.27 | (3.75 | ) | 2.51 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.72 | 2.13 | 5.38 | (3.58 | ) | 2.76 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.12 | ) | (0.10 | ) | (0.09 | ) | (0.24 | ) | (0.27 | ) | ||||||||||
Net realized capital gains | (3.62 | ) | (2.62 | ) | (0.17 | ) | (1.51 | ) | (0.37 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.74 | ) | (2.72 | ) | (0.26 | ) | (1.75 | ) | (0.64 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 23.05 | $ | 22.07 | $ | 22.66 | $ | 17.54 | $ | 22.87 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 21.70 | %(c) | 10.83 | %(c) | 30.67 | %(c) | (15.78 | )% | 13.31 | %(b) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 91,416 | $ | 17,965 | $ | 18,262 | $ | 70,902 | $ | 134,205 | ||||||||||
Net expenses | 0.86 | %(d)(e) | 0.90 | %(d) | 0.92 | %(d)(f)(g) | 0.88 | % | 0.88 | % | ||||||||||
Gross expenses | 0.89 | % | 0.94 | % | 0.93 | %(f) | 0.88 | % | 0.88 | % | ||||||||||
Net investment income | 0.55 | % | 0.65 | % | 0.51 | % | 0.76 | % | 1.16 | %(b) | ||||||||||
Portfolio turnover rate | 71 | % | 52 | % | 52 | % | 44 | % | 42 | % | ||||||||||
| (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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%. |
| (f) | 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%. |
| (g) | Effective July 1, 2019, the expense limit decreased from 1.10% to 0.90%. |
See accompanying notes to financial statements.
69 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Mid Cap Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 22.10 | $ | 22.69 | $ | 17.57 | $ | 22.89 | $ | 20.77 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income(a) | 0.11 | 0.12 | 0.10 | 0.15 | 0.23 | (b) | ||||||||||||||
Net realized and unrealized gain (loss) | 4.60 | 2.00 | 5.26 | (3.75 | ) | 2.51 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.71 | 2.12 | 5.36 | (3.60 | ) | 2.74 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.10 | ) | (0.09 | ) | (0.07 | ) | (0.21 | ) | (0.25 | ) | ||||||||||
Net realized capital gains | (3.62 | ) | (2.62 | ) | (0.17 | ) | (1.51 | ) | (0.37 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.72 | ) | (2.71 | ) | (0.24 | ) | (1.72 | ) | (0.62 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 23.09 | $ | 22.10 | $ | 22.69 | $ | 17.57 | $ | 22.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 21.65 | %(c) | 10.76 | %(c) | 30.52 | %(c) | (15.85 | )% | 13.19 | %(b) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 226,838 | $ | 227,501 | $ | 298,705 | $ | 453,085 | $ | 774,304 | ||||||||||
Net expenses | 0.93 | %(d)(e) | 0.95 | %(d) | 1.00 | %(d)(f)(g) | 0.99 | % | 0.97 | % | ||||||||||
Gross expenses | 0.98 | % | 1.04 | % | 1.02 | %(f) | 0.99 | % | 0.97 | % | ||||||||||
Net investment income | 0.45 | % | 0.60 | % | 0.48 | % | 0.66 | % | 1.04 | %(b) | ||||||||||
Portfolio turnover rate | 71 | % | 52 | % | 52 | % | 44 | % | 42 | % | ||||||||||
| (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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%. |
| (f) | 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%. |
| (g) | Effective July 1, 2019, the expense limit decreased from 1.15% to 0.95%. |
See accompanying notes to financial statements.
| 70
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Small Cap Value Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 16.69 | $ | 15.45 | $ | 12.48 | $ | 18.71 | $ | 19.79 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income (loss)(a) | 0.00 | (b)(c) | 0.00 | (c) | 0.02 | 0.01 | (0.01 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 4.98 | 1.33 | 3.06 | (2.76 | ) | 1.21 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 4.98 | 1.33 | 3.08 | (2.75 | ) | 1.20 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.01 | ) | (0.00 | )(c) | (0.03 | ) | (0.00 | )(c) | (0.00 | )(c) | ||||||||||
Net realized capital gains | (3.79 | ) | (0.09 | ) | (0.08 | ) | (3.48 | ) | (2.28 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.80 | ) | (0.09 | ) | (0.11 | ) | (3.48 | ) | (2.28 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 17.87 | $ | 16.69 | $ | 15.45 | $ | 12.48 | $ | 18.71 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 30.24 | %(b)(e) | 8.91 | %(e) | 24.66 | %(e) | (14.84 | )% | 6.28 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 81,493 | $ | 61,571 | $ | 67,525 | $ | 66,376 | $ | 93,751 | ||||||||||
Net expenses | 1.27 | %(f)(g) | 1.32 | %(f)(h) | 1.40 | %(f)(i) | 1.38 | % | 1.36 | % | ||||||||||
Gross expenses | 1.43 | % | 1.53 | % | 1.47 | % | 1.38 | % | 1.36 | % | ||||||||||
Net investment income (loss) | 0.01 | %(b) | 0.02 | % | 0.12 | % | 0.03 | % | (0.03 | )% | ||||||||||
Portfolio turnover rate | 92 | % | 105 | % | 61 | % | 70 | % | 92 | % | ||||||||||
| (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 $(0.05), total return would have been 29.95% and the ratio of net investment loss to average net assets would have been (0.25%). |
| (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) | 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, 2021, the expense limit decreased from 1.30% to 1.25%. |
| (h) | Effective July 1, 2020, the expense limit decreased from 1.34% to 1.30%. |
| (i) | Effective July 1, 2019, the expense limit decreased from 1.45% to 1.34%. |
See accompanying notes to financial statements.
71 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Small Cap Value Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 8.34 | $ | 7.84 | $ | 6.41 | $ | 11.67 | $ | 13.26 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment loss(a) | (0.06 | )(b) | (0.05 | ) | (0.05 | ) | (0.09 | ) | (0.10 | ) | ||||||||||
Net realized and unrealized gain (loss) | 2.45 | 0.64 | 1.57 | (1.69 | ) | 0.79 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 2.39 | 0.59 | 1.52 | (1.78 | ) | 0.69 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | — | (0.00 | )(c) | (0.01 | ) | (0.00 | )(c) | (0.00 | )(c) | |||||||||||
Net realized capital gains | (3.79 | ) | (0.09 | ) | (0.08 | ) | (3.48 | ) | (2.28 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.79 | ) | (0.09 | ) | (0.09 | ) | (3.48 | ) | (2.28 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 6.94 | $ | 8.34 | $ | 7.84 | $ | 6.41 | $ | 11.67 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 29.45 | %(b)(e) | 8.08 | %(e) | 23.69 | %(e) | (15.51 | )% | 5.50 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 966 | $ | 983 | $ | 1,450 | $ | 3,480 | $ | 15,756 | ||||||||||
Net expenses | 2.03 | %(f)(g) | 2.07 | %(f)(h) | 2.16 | %(f)(i) | 2.12 | % | 2.11 | % | ||||||||||
Gross expenses | 2.19 | % | 2.28 | % | 2.23 | % | 2.12 | % | 2.11 | % | ||||||||||
Net investment loss | (0.67 | )%(b) | (0.71 | )% | (0.68 | )% | (0.83 | )% | (0.79 | )% | ||||||||||
Portfolio turnover rate | 92 | % | 105 | % | 61 | % | 70 | % | 92 | % | ||||||||||
| (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 $(0.10), total return would have been 29.09% and the ratio of net investment loss to average net assets would have been (0.99%). |
| (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) | 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, 2021, the expense limit decreased from 2.05% to 2.00%. |
| (h) | Effective July 1, 2020, the expense limit decreased from 2.09% to 2.05%. |
| (i) | Effective July 1, 2019, the expense limit decreased from 2.20% to 2.09%. |
See accompanying notes to financial statements.
| 72
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Small Cap Value Fund—Class N | ||||||||||||||||||||
| Year Ended December 31, 2021 | 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) | 0.01 | (b) | 0.04 | 0.08 | 0.08 | 0.07 | ||||||||||||||
Net realized and unrealized gain (loss) | 5.29 | 1.42 | 3.20 | (2.86 | ) | 1.35 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 5.30 | 1.46 | 3.28 | (2.78 | ) | 1.42 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.07 | ) | (0.05 | ) | (0.08 | ) | (0.03 | ) | (0.02 | ) | ||||||||||
Net realized capital gains | (3.79 | ) | (0.09 | ) | (0.08 | ) | (3.48 | ) | (1.58 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.86 | ) | (0.14 | ) | (0.16 | ) | (3.51 | ) | (1.60 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 18.96 | $ | 17.52 | $ | 16.20 | $ | 13.08 | $ | 19.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(c) | 30.64 | %(b) | 9.27 | % | 25.08 | % | (14.48 | )% | 7.17 | %(d) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 1,383 | $ | 23 | $ | 21 | $ | 1 | $ | 1 | ||||||||||
Net expenses(e) | 0.97 | %(f) | 1.02 | %(g) | 1.03 | %(h) | 0.96 | % | 0.96 | %(i) | ||||||||||
Gross expenses | 1.19 | % | 6.54 | % | 11.80 | % | 15.17 | % | 14.68 | %(i) | ||||||||||
Net investment income | 0.03 | %(b) | 0.31 | % | 0.52 | % | 0.43 | % | 0.56 | %(i) | ||||||||||
Portfolio turnover rate | 92 | % | 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 income per share would have been $0.01, total return would have been 30.37% and the ratio of net investment income to average net assets would have been 0.03%. |
| (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) | Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%. |
| (g) | Effective July 1, 2020, the expense limit decreased from 1.04% to 1.00%. |
| (h) | Effective July 1, 2019, the expense limit decreased from 1.15% to 1.04%. |
| (i) | Computed on an annualized basis for periods less than one year. |
| (j) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
73 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Vaughan Nelson Small Cap Value Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 17.51 | $ | 16.19 | $ | 13.08 | $ | 19.37 | $ | 20.36 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income(a) | 0.06 | (b) | 0.04 | 0.05 | 0.04 | 0.05 | ||||||||||||||
Net realized and unrealized gain (loss) | 5.23 | 1.41 | 3.21 | (2.84 | ) | 1.25 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 5.29 | 1.45 | 3.26 | (2.80 | ) | 1.30 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income | (0.06 | ) | (0.04 | ) | (0.07 | ) | (0.01 | ) | (0.01 | ) | ||||||||||
Net realized capital gains | (3.79 | ) | (0.09 | ) | (0.08 | ) | (3.48 | ) | (2.28 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (3.85 | ) | (0.13 | ) | (0.15 | ) | (3.49 | ) | (2.29 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 18.95 | $ | 17.51 | $ | 16.19 | $ | 13.08 | $ | 19.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 30.61 | %(b)(c) | 9.23 | %(c) | 24.88 | %(c) | (14.61 | )% | 6.60 | % | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 66,054 | $ | 49,315 | $ | 44,482 | $ | 58,538 | $ | 176,940 | ||||||||||
Net expenses | 1.02 | %(d)(e) | 1.07 | %(d)(f) | 1.15 | %(d)(g) | 1.12 | % | 1.11 | % | ||||||||||
Gross expenses | 1.18 | % | 1.28 | % | 1.23 | % | 1.12 | % | 1.11 | % | ||||||||||
Net investment income | 0.28 | %(b) | 0.26 | % | 0.35 | % | 0.22 | % | 0.23 | % | ||||||||||
Portfolio turnover rate | 92 | % | 105 | % | 61 | % | 70 | % | 92 | % | ||||||||||
| (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 $0.00, total return would have been 30.26% and the ratio of net investment income to average net assets would have been 0.01%. |
| (c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Effective July 1, 2021, the expense limit decreased from 1.05% to 1.00%. |
| (f) | Effective July 1, 2020, the expense limit decreased from 1.09% to 1.05%. |
| (g) | Effective July 1, 2019, the expense limit decreased from 1.20% to 1.09%. |
See accompanying notes to financial statements.
| 74
December 31, 2021
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 year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser 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, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available,
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Notes to Financial Statements (continued)
December 31, 2021
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 December 31, 2021, securities held by the Funds were fair valued as follows:
Fund | Equity securities1 | Percentage of | ||||||
International Growth Fund | $ | 16,328,133 | 70.0 | % | ||||
Natixis Oakmark International Fund | 484,132,328 | 90.3 | % | |||||
| 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, are 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 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.
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Notes to Financial Statements (continued)
December 31, 2021
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. A Fund 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. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
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 December 31, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts 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.
Certain Funds have filed tax reclaims for previously withheld taxes on dividends earned in certain European Union 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. EU reclaims are recognized by a Fund when deemed more likely than not to be collected, and are reflected as tax reclaims in the Statements of Operations. Any related receivable is reflected as tax reclaims receivable in the Statements of Assets and Liabilities. Amounts paid to service providers for filing tax reclaims on the Funds’ behalf are reflected on the Statements of Operations as tax reclaim professional fees. Under certain circumstances, EU reclaims may be subject to closing agreements with the Internal Revenue Service (IRS), which may materially reduce the reclaim amounts realized by the Funds. Fees and expenses associated with closing agreements will be reflected in the Statements of Operations when it is determined that a closing agreement with the IRS is required.
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Notes to Financial Statements (continued)
December 31, 2021
f. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as deferred Trustees’ fees, distributions in excess of income and/or capital gain, forward foreign currency contract mark-to-market, 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 deferral of EU reclaims. 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, foreign currency gains and losses, forward foreign currency contract mark-to-market, return of capital distributions received, net operating losses, deferral of EU reclaims, 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 years ended December 31, 2021 and 2020 was as follows:
2021 Distributions | 2020 Distributions | |||||||||||||||||||||||
Fund | Ordinary | Long-Term | Total | Ordinary | Long-Term | Total | ||||||||||||||||||
International Growth Fund | $ | 410,212 | $ | — | $ | 410,212 | $ | 12,460 | $ | — | $ | 12,460 | ||||||||||||
Natixis Oakmark Fund | 1,954,068 | 22,797,197 | 24,751,265 | 3,185,140 | 18,031,501 | 21,216,641 | ||||||||||||||||||
Natixis Oakmark International Fund | 8,301,657 | — | 8,301,657 | 1,593,501 | — | 1,593,501 | ||||||||||||||||||
U.S. Equity Opportunities Fund | 7,131,636 | 105,015,654 | 112,147,290 | 297,964 | 115,715,748 | 116,013,712 | ||||||||||||||||||
Mid Cap Fund | 11,228,135 | 41,214,262 | 52,442,397 | 965,830 | 33,018,937 | 33,984,767 | ||||||||||||||||||
Small Cap Value Fund | 20,173,469 | 6,185,028 | 26,358,497 | 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, 2021, the components of distributable earnings on a tax basis were as follows:
International | Natixis | Natixis | U.S. Equity | |||||||||||||
Undistributed ordinary income | $ | — | $ | 73,142 | $ | — | $ | 885,380 | ||||||||
Undistributed long-term capital gains | — | 6,353,070 | — | 38,289,306 | ||||||||||||
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Total undistributed earnings | — | 6,426,212 | — | 39,174,686 | ||||||||||||
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Capital loss carryforward: | ||||||||||||||||
Long-term: | ||||||||||||||||
No expiration date | — | — | (88,513,660 | ) | — | |||||||||||
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Late-year ordinary and post-October capital loss deferrals* | (462,102 | ) | — | (37,409 | ) | — | ||||||||||
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Unrealized appreciation (depreciation) | (1,124,202 | ) | 102,402,158 | 6,165,904 | 405,776,088 | |||||||||||
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Total accumulated earnings (losses) | $ | (1,586,304 | ) | $ | 108,828,370 | $ | (82,385,165 | ) | $ | 444,950,774 | ||||||
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Capital loss carryforward utilized in the current year | $ | — | $ | — | $ | 21,965,851 | $ | — | ||||||||
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| 78
Notes to Financial Statements (continued)
December 31, 2021
Mid Cap | Small Cap | |||||||
Undistributed ordinary income | $ | 4,016 | $ | 1,191,709 | ||||
Undistributed long-term capital gains | 7,716,860 | 2,043,203 | ||||||
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Total undistributed earnings | 7,720,876 | 3,234,912 | ||||||
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Late-year ordinary and post-October capital loss deferrals* | (747,693 | ) | — | |||||
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Unrealized appreciation | 51,984,993 | 24,067,332 | ||||||
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Total accumulated earnings | $ | 58,958,176 | $ | 27,302,244 | ||||
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Capital loss carryforward utilized in the current year | $ | — | $ | 4,096,025 | ||||
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| * | 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. Loomis Sayles International Growth Fund, Natixis Oakmark International Fund and Mid Cap Fund are deferring capital and foreign currency losses. |
As of December 31, 2021, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
International | Natixis | Natixis | U.S. Equity | Mid Cap | Small Cap | |||||||||||||||||||
Federal tax cost | $ | 24,290,186 | $ | 267,330,870 | $ | 524,940,385 | $ | 647,608,287 | $ | 315,755,086 | $ | 126,261,648 | ||||||||||||
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Gross tax appreciation | $ | 2,472,822 | $ | 105,350,186 | $ | 55,637,629 | $ | 417,190,540 | $ | 61,967,349 | $ | 27,479,047 | ||||||||||||
Gross tax depreciation | (3,597,205 | ) | (2,948,028 | ) | (49,107,156 | ) | (11,412,862 | ) | (9,982,356 | ) | (3,411,715 | ) | ||||||||||||
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Net tax appreciation (depreciation) | $ | (1,124,383 | ) | $ | 102,402,158 | $ | 6,530,473 | $ | 405,777,678 | $ | 51,984,993 | $ | 24,067,332 | |||||||||||
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The difference between these amounts and those reported in the components of distributable earnings, if any, are primarily attributable to foreign currency mark-to-market and foreign capital gains taxes.
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 December 31, 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 year ended December 31, 2021, none of the Funds had loaned securities under this agreement.
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Notes to Financial Statements (continued)
December 31, 2021
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.
The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2021, at value:
International Growth Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 1,400,680 | $ | — | $ | 1,400,680 | ||||||||
Belgium | — | 484,731 | — | 484,731 | ||||||||||||
China | 3,314,207 | 2,673,524 | — | 5,987,731 | ||||||||||||
Denmark | — | 926,576 | — | 926,576 | ||||||||||||
France | — | 1,175,262 | — | 1,175,262 | ||||||||||||
Germany | — | 780,823 | — | 780,823 | ||||||||||||
Japan | — | 1,102,092 | — | 1,102,092 | ||||||||||||
Macau | — | 202,316 | — | 202,316 | ||||||||||||
Netherlands | — | 1,336,125 | — | 1,336,125 | ||||||||||||
Switzerland | 503,103 | 3,658,198 | — | 4,161,301 | ||||||||||||
United Kingdom | — | 2,587,806 | — | 2,587,806 | ||||||||||||
All Other Common Stocks(a) | 2,637,549 | — | — | 2,637,549 | ||||||||||||
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Total Common Stocks | 6,454,859 | 16,328,133 | — | 22,782,992 | ||||||||||||
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Short-Term Investments | — | 382,811 | — | 382,811 | ||||||||||||
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Total | $ | 6,454,859 | $ | 16,710,944 | $ | — | $ | 23,165,803 | ||||||||
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| (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) | $ | 349,508,948 | $ | — | $ | — | $ | 349,508,948 | ||||||||
Short-Term Investments | — | 20,224,080 | — | 20,224,080 | ||||||||||||
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Total | $ | 349,508,948 | $ | 20,224,080 | $ | — | $ | 369,733,028 | ||||||||
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| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| 80
Notes to Financial Statements (continued)
December 31, 2021
Natixis Oakmark International Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 10,602,020 | $ | — | $ | 10,602,020 | ||||||||
Belgium | — | 10,592,944 | — | 10,592,944 | ||||||||||||
China | 4,567,047 | 22,353,730 | — | 26,920,777 | ||||||||||||
Finland | — | 3,899,981 | — | 3,899,981 | ||||||||||||
France | — | 66,983,639 | — | 66,983,639 | ||||||||||||
Germany | 4,260,991 | 126,608,086 | — | 130,869,077 | ||||||||||||
India | — | 5,642,961 | — | 5,642,961 | ||||||||||||
Indonesia | — | 3,701,122 | — | 3,701,122 | ||||||||||||
Ireland | 7,023,727 | 419,054 | — | 7,442,781 | ||||||||||||
Italy | — | 17,222,157 | — | 17,222,157 | ||||||||||||
Japan | — | 10,121,458 | — | 10,121,458 | ||||||||||||
Korea | — | 6,269,071 | — | 6,269,071 | ||||||||||||
Netherlands | — | 11,596,474 | — | 11,596,474 | ||||||||||||
South Africa | — | 4,002,582 | — | 4,002,582 | ||||||||||||
Spain | — | 8,365,329 | — | 8,365,329 | ||||||||||||
Sweden | — | 24,954,415 | — | 24,954,415 | ||||||||||||
Switzerland | — | 65,328,874 | — | 65,328,874 | ||||||||||||
United Kingdom | 9,720,984 | 78,616,994 | — | 88,337,978 | ||||||||||||
All Other Common Stocks(a) | 16,184,364 | — | — | 16,184,364 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 41,757,113 | 477,280,891 | — | 519,038,004 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks(a) | — | 6,851,437 | — | 6,851,437 | ||||||||||||
Short-Term Investments | — | 5,581,234 | — | 5,581,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 41,757,113 | $ | 489,713,562 | $ | — | $ | 531,470,675 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs
|
| |||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (94,327 | ) | $ | — | $ | (94,327 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (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) | $ | 1,036,181,847 | $ | — | $ | — | $ | 1,036,181,847 | ||||||||
Short-Term Investments | — | 17,204,118 | — | 17,204,118 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,036,181,847 | $ | 17,204,118 | $ | — | $ | 1,053,385,965 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (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) | $ | 360,653,875 | $ | — | $ | — | $ | 360,653,875 | ||||||||
Short-Term Investments | — | 7,086,204 | — | 7,086,204 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 360,653,875 | $ | 7,086,204 | $ | — | $ | 367,740,079 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
81 |
Notes to Financial Statements (continued)
December 31, 2021
Small Cap Value Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 147,913,296 | $ | — | $ | — | $ | 147,913,296 | ||||||||
Short-Term Investments | — | 2,415,684 | — | 2,415,684 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 147,913,296 | $ | 2,415,684 | $ | — | $ | 150,328,980 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (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 year ended December 31, 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 December 31, 2021, as reflected within the Statements of Assets and Liabilities:
Liabilities | Unrealized | |||
Over-the-counter liability derivatives | ||||
Foreign exchange contracts | $ | (94,327 | ) | |
Transactions in derivative instruments for Natixis Oakmark International Fund during the year ended December 31, 2021, as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Forward foreign | |||
Foreign exchange contracts | $ | 386,242 | ||
Net Change in Unrealized | Forward foreign | |||
Foreign exchange contracts | $ | (85,208 | ) | |
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 year ended December 31, 2021:
Natixis Oakmark International Fund | Forwards | |||
Average Notional Amount Outstanding | 1.24 | % | ||
Highest Notional Amount Outstanding | 1.40 | % | ||
Lowest Notional Amount Outstanding | 1.16 | % | ||
Notional Amount Outstanding as of December 31, 2021 | 1.40 | % | ||
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 the Fund’s net assets.
| 82
Notes to Financial Statements (continued)
December 31, 2021
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 December 31, 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 | Offset | Net | |||||||||
State Street Bank and Trust Company | $ | (94,327 | ) | $ | — | $ | (94,327 | ) | ||||
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 December 31, 2021:
Fund | Maximum Amount | Maximum Amount | ||||||
Natixis Oakmark International Fund | $ | — | $ | — | ||||
5. Purchases and Sales of Securities. For the year ended December 31, 2021, purchases and sales of securities (excluding short-term investments) were as follows:
Fund | Purchases | Sales | ||||||
International Growth Fund | $ | 11,283,579 | $ | 2,058,975 | ||||
Natixis Oakmark Fund | 97,254,108 | 66,240,862 | ||||||
Natixis Oakmark International Fund | 193,166,499 | 193,866,549 | ||||||
U.S. Equity Opportunities Fund | 181,532,952 | 278,132,376 | ||||||
Mid Cap Fund | 243,267,097 | 230,953,070 | ||||||
Small Cap Value Fund | 125,323,757 | 121,931,217 | ||||||
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.
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 | 0.75 | % | 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 | % | ||||||||||||
83 |
Notes to Financial Statements (continued)
December 31, 2021
Prior to July 1, 2021, Mid Cap Fund and Small Cap Value Fund paid 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 | 0.80 | % | 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 | % | ||||||||||||
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 | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.44 | % | |||||||||||
Small Cap Value Fund | Vaughan Nelson | 0.52 | % | 0.52 | % | 0.52 | % | 0.52 | % | 0.52 | % | |||||||||||
Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.
Prior to July 1, 2021, Mid Cap Fund and Small Cap Value Fund each paid 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 | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.47 | % | |||||||||||
Small Cap Value Fund | Vaughan Nelson | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | |||||||||||
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 for International Growth Fund and U.S. Equity Opportunities Fund, and until April 30, 2023 for Natixis Oakmark Fund, Natixis Oakmark International Fund, Mid Cap Fund and Small Cap Value Fund, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
| 84
Notes to Financial Statements (continued)
December 31, 2021
For the year ended December 31, 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 | 1.05 | % | 1.80 | % | 0.75 | % | 0.80 | % | ||||||||
Natixis Oakmark International Fund | 1.15 | % | 1.90 | % | 0.85 | % | 0.90 | % | ||||||||
U.S. Equity Opportunities Fund | 1.20 | % | 1.95 | % | 0.90 | % | 0.95 | % | ||||||||
Mid Cap Fund | 1.15 | % | 1.90 | % | 0.85 | % | 0.90 | % | ||||||||
Small Cap Value Fund | 1.25 | % | 2.00 | % | 0.95 | % | 1.00 | % | ||||||||
Prior to 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 were as follows:
| Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Natixis Oakmark Fund | 1.30 | % | 2.05 | % | 1.00 | % | 1.05 | % | ||||||||
Natixis Oakmark International 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 | % | ||||||||
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.
For the year ended December 31, 2021, the management fees and waiver of management fees for each Fund were as follows:
Fund | Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||||||||||||||||
| Gross | Net | |||||||||||||||||||
International Growth Fund | $ | 181,065 | $ | 145,776 | $ | 35,289 | 0.75 | % | 0.15 | % | ||||||||||
Natixis Oakmark Fund | 2,106,551 | 87,307 | 2,019,244 | 0.68 | % | 0.65 | % | |||||||||||||
Natixis Oakmark International Fund | 4,216,094 | 918,026 | 3,298,068 | 0.78 | % | 0.61 | % | |||||||||||||
U.S. Equity Opportunities Fund | 7,835,017 | — | 7,835,017 | 0.75 | % | 0.75 | % | |||||||||||||
Mid Cap Fund | 2,560,977 | 172,115 | 2,388,862 | 0.77 | % | 0.72 | % | |||||||||||||
Small Cap Value Fund | 1,202,924 | 221,039 | 981,885 | 0.87 | % | 0.71 | % | |||||||||||||
| 1 | Management fee waivers are subject to possible recovery until December 31, 2022. |
No expenses were recovered for any of the Funds during the year ended December 31, 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.
85 |
Notes to Financial Statements (continued)
December 31, 2021
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 year ended December 31, 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 | $ | 196 | $ | 78 | $ | 235 | ||||||
Natixis Oakmark Fund | 516,720 | 105,696 | 317,087 | |||||||||
Natixis Oakmark International Fund | 372,099 | 213,579 | 640,736 | |||||||||
U.S. Equity Opportunities Fund | 1,792,773 | 154,497 | 463,492 | |||||||||
Mid Cap Fund | 87,562 | 33,242 | 99,727 | |||||||||
Small Cap Value Fund | 187,732 | 2,375 | 7,125 | |||||||||
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.
For the year ended December 31, 2021, the administrative fees for each Fund were as follows:
Fund | Administrative | |||
International Growth Fund | $ | 10,285 | ||
Natixis Oakmark Fund | 131,502 | |||
Natixis Oakmark International Fund | 231,005 | |||
U.S. Equity Opportunities Fund | 446,102 | |||
Mid Cap Fund | 141,096 | |||
Small Cap Value Fund | 58,651 | |||
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 year ended December 31, 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 | |||
International Growth Fund | $ | 59 | ||
Natixis Oakmark Fund | 98,476 | |||
Natixis Oakmark International Fund | 865,845 | |||
U.S. Equity Opportunities Fund | 310,467 | |||
Mid Cap Fund | 233,280 | |||
Small Cap Value Fund | 73,461 | |||
| 86
Notes to Financial Statements (continued)
December 31, 2021
As of December 31, 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 | |||
International Growth Fund | $ | 16 | ||
Natixis Oakmark Fund | 1,267 | |||
Natixis Oakmark International Fund | 11,131 | |||
U.S. Equity Opportunities Fund | 3,103 | |||
Mid Cap Fund | 2,274 | |||
Small Cap Value Fund | 705 | |||
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 year ended December 31, 2021 was as follows:
Fund | Commissions | |||
International Growth Fund | $ | 128 | ||
Natixis Oakmark Fund | 25,774 | |||
Natixis Oakmark International Fund | 10,743 | |||
U.S. Equity Opportunities Fund | 26,294 | |||
Mid Cap Fund | 575 | |||
Small Cap Value Fund | 1,257 | |||
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 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.
Effective January 1, 2022, each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $210,000. All other Trustees fees will remain unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF 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 December 31, 2021, Natixis and affiliates held shares of International Growth Fund representing 98.53% of the Fund’s net assets.
Investment activities of affiliated shareholders could have material impacts on the Fund.
87 |
Notes to Financial Statements (continued)
December 31, 2021
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 year ended December 31, 2021 (for the period May 1, 2021 through December 31, 2021 for Mid Cap Fund), Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:
Reimbursement of | ||||
Fund | Class N | |||
International Growth Fund | $ | 768 | ||
Natixis Oakmark Fund | 1,062 | |||
Natixis Oakmark International Fund | 1,086 | |||
U.S. Equity Opportunities Fund | 1,048 | |||
Mid Cap Fund | 483 | |||
Small Cap Value Fund | 1,050 | |||
i. Payment by Affiliates. For the year ended December 31, 2021, Harris reimbursed Natixis Oakmark International Fund $1,896 in connection with trading errors.
7. Custodian and Regulatory Filing Fees and Expenses. State Street Bank, custodian and sub-administrator to the Funds, agreed to waive its fees and expenses for the first 12 months of operations for International Growth Fund. For the year ended December 31, 2021, total fees waived for the Fund were $21,084. Regulatory filing fees and expenses are included in miscellaneous expenses on the Statements of Operations.
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.
For the year ended December 31, 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 | $ | 689 | $ | 273 | $ | 768 | $ | 1,589 | ||||||||
Natixis Oakmark Fund | 143,286 | 29,310 | 1,062 | 40,611 | ||||||||||||
Natixis Oakmark International Fund | 247,297 | 141,567 | 1,086 | 511,019 | ||||||||||||
U.S. Equity Opportunities Fund | 410,917 | 35,779 | 1,048 | 151,853 | ||||||||||||
Mid Cap Fund | 31,293 | 12,007 | 1,157 | 213,548 | ||||||||||||
Small Cap Value Fund | 70,214 | 897 | 1,050 | 56,770 | ||||||||||||
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 certain 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 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 year ended December 31, 2021, Mid Cap Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $7,860,000 at a weighted average interest rate of 1.17%. Interest expense incurred on the line of credit was $1,272.
| 88
Notes to Financial Statements (continued)
December 31, 2021
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.
The International Growth Fund may invest to a significant extent in variable interest entity (“VIE”) structures. VIE structures can vary, but generally consist of a U.S.-listed company with contractual arrangements, through one or more wholly-owned special purpose vehicles, with a Chinese company that ultimately provides the U.S.-listed company with contractual rights to obtain economic benefits from the Chinese company. The VIE structure enables foreign investors, such as the Fund, to obtain investment exposure similar to that of an equity owner in a Chinese company in situations in which the Chinese government has restricted or prohibited the ownership of such company by foreign investors. The Fund’s exposure to VIE structures may pose additional risks because the VIE structure is not formally recognized under Chinese law. The Chinese government may cease to tolerate VIE structures at any time or impose new restrictions. In addition, Chinese companies using the VIE structure, and listed on stock exchanges in the U.S., could also face delisting or other ramifications for failure to meet the expectations and/or requirements of the U.S. Securities and Exchange Commission, the Public Company Accounting Oversight Board, or other U.S. regulators. Any of these risks could reduce the liquidity and value of these investments or render them valueless.
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 December 31, 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:
Number of 5% | Percentage of | |||||||
Fund | ||||||||
Natixis Oakmark International Fund | 1 | 28.22 | % | |||||
Mid Cap Fund | 2 | 30.76 | % | |||||
Small Cap Value Fund | 2 | 12.54 | % | |||||
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.
89 |
Notes to Financial Statements (continued)
December 31, 2021
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:
Year Ended | Period Ended | |||||||||||||||
International Growth Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 11,486 | $ | 119,493 | 100 | $ | 1,000 | ||||||||||
Issued in connection with the reinvestment of distributions | 178 | 1,712 | — | (b) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 11,664 | $ | 121,205 | 100 | $ | 1,001 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 5,141 | $ | 52,756 | 100 | $ | 1,000 | ||||||||||
Issued in connection with the reinvestment of distributions | 56 | 540 | — | (b) | — | (c) | ||||||||||
Redeemed | (1,268 | ) | (12,908 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 3,929 | $ | 40,388 | 100 | $ | 1,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class N |
| |||||||||||||||
Issued from the sale of shares | 940,733 | $ | 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 | (46,992 | ) | (500,000 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 894,258 | $ | 9,505,372 | 1,501,224 | $ | 15,012,450 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 24,598 | $ | 256,782 | 1,163 | $ | 11,750 | ||||||||||
Issued in connection with the reinvestment of distributions | 388 | 3,739 | 1 | 9 | ||||||||||||
Redeemed | (2,953 | ) | (29,891 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 22,033 | $ | 230,630 | 1,164 | $ | 11,759 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 931,884 | $ | 9,897,595 | 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. |
Year Ended | Year Ended | |||||||||||||||
Natixis Oakmark Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 691,558 | $ | 20,206,685 | 583,622 | $ | 11,675,703 | ||||||||||
Issued in connection with the reinvestment of distributions | 463,894 | 13,477,187 | 589,672 | 13,475,622 | ||||||||||||
Redeemed | (855,457 | ) | (24,491,426 | ) | (1,895,350 | ) | (37,988,760 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 299,995 | $ | 9,192,446 | (722,056 | ) | $ | (12,837,435 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 546,929 | $ | 13,338,620 | 196,466 | $ | 3,196,499 | ||||||||||
Issued in connection with the reinvestment of distributions | 147,029 | 3,458,822 | 166,000 | 3,131,121 | ||||||||||||
Redeemed | (439,521 | ) | (10,138,945 | ) | (1,362,306 | ) | (22,568,463 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 254,437 | $ | 6,658,497 | (999,840 | ) | $ | (16,240,843 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class N |
| |||||||||||||||
Issued from the sale of shares | 20,230 | $ | 668,794 | 26 | $ | 561 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,354 | 42,243 | 1,266 | 30,687 | ||||||||||||
Redeemed | (14,413 | ) | (395,951 | ) | (20,248 | ) | (414,541 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 7,171 | $ | 315,086 | (18,956 | ) | $ | (383,293 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 2,239,599 | $ | 69,629,845 | 898,502 | $ | 17,536,595 | ||||||||||
Issued in connection with the reinvestment of distributions | 194,941 | 6,059,178 | 88,591 | 2,151,945 | ||||||||||||
Redeemed | (767,848 | ) | (22,108,885 | ) | (1,435,875 | ) | (28,553,935 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,666,692 | $ | 53,580,138 | (448,782 | ) | $ | (8,865,395 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 2,228,295 | $ | 69,746,167 | (2,189,634 | ) | $ | (38,326,966 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| 90
Notes to Financial Statements (continued)
December 31, 2021
12. Capital Shares (continued).
Year Ended | Year Ended | |||||||||||||||
Natixis Oakmark International Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 2,335,450 | $ | 36,472,444 | 2,770,572 | $ | 30,737,529 | ||||||||||
Issued in connection with the reinvestment of distributions | 105,442 | 1,593,676 | 14,764 | 209,645 | ||||||||||||
Redeemed | (1,647,832 | ) | (25,699,049 | ) | (6,172,183 | ) | (66,211,902 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 793,060 | $ | 12,367,071 | (3,386,847 | ) | $ | (35,264,728 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 335,969 | $ | 5,138,230 | 471,769 | $ | 5,126,354 | ||||||||||
Issued in connection with the reinvestment of distributions | 25,276 | 376,368 | — | — | ||||||||||||
Redeemed | (2,680,195 | ) | (40,587,344 | ) | (6,873,953 | ) | (71,978,638 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (2,318,950 | ) | $ | (35,072,746 | ) | (6,402,184 | ) | $ | (66,852,284 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class N |
| |||||||||||||||
Issued from the sale of shares | 27,769 | $ | 415,638 | 7,236 | $ | 76,266 | ||||||||||
Issued in connection with the reinvestment of distributions | 837 | 12,581 | 131 | 1,852 | ||||||||||||
Redeemed | (2,541 | ) | (37,341 | ) | (46,592 | ) | (500,123 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 26,065 | $ | 390,878 | (39,225 | ) | $ | (422,005 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 5,468,533 | $ | 86,311,348 | 22,716,726 | $ | 249,354,124 | ||||||||||
Issued in connection with the reinvestment of distributions | 353,698 | 5,316,490 | 87,587 | 1,237,605 | ||||||||||||
Redeemed | (4,621,536 | ) | (71,233,588 | ) | (21,280,488 | ) | (222,395,466 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,200,695 | $ | 20,394,250 | 1,523,825 | $ | 28,196,263 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (299,130 | ) | $ | (1,920,547 | ) | (8,304,431 | ) | $ | (74,342,754 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Year Ended | Year Ended | |||||||||||||||
U.S. Equity Opportunities Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 706,028 | $ | 30,893,730 | 809,852 | $ | 28,587,906 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,609,947 | 68,881,940 | 1,934,829 | 70,589,892 | ||||||||||||
Redeemed | (1,953,593 | ) | (84,776,070 | ) | (2,986,385 | ) | (103,892,894 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 362,382 | $ | 14,999,600 | (241,704 | ) | $ | (4,715,096 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 226,043 | $ | 5,356,200 | 289,975 | $ | 6,110,793 | ||||||||||
Issued in connection with the reinvestment of distributions | 475,273 | 10,545,794 | 553,577 | 11,519,306 | ||||||||||||
Redeemed | (949,764 | ) | (22,561,088 | ) | (1,400,383 | ) | (29,908,911 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (248,448 | ) | $ | (6,659,094 | ) | (556,831 | ) | $ | (12,278,812 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class N |
| |||||||||||||||
Issued from the sale of shares | — | $ | — | 947 | $ | 37,836 | ||||||||||
Issued in connection with the reinvestment of distributions | 293 | 15,616 | 500 | 21,295 | ||||||||||||
Redeemed | (620 | ) | (35,725 | ) | (12,852 | ) | (496,375 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (327 | ) | $ | (20,109 | ) | (11,405 | ) | $ | (437,244 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 1,490,330 | $ | 81,108,161 | 1,666,973 | $ | 71,953,482 | ||||||||||
Issued in connection with the reinvestment of distributions | 370,262 | 19,743,173 | 465,008 | 20,643,018 | ||||||||||||
Redeemed | (1,682,880 | ) | (89,109,967 | ) | (3,552,649 | ) | (145,365,948 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 177,712 | $ | 11,741,367 | (1,420,668 | ) | $ | (52,769,448 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 291,319 | $ | 20,061,764 | (2,230,608 | ) | $ | (70,200,600 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
91 |
Notes to Financial Statements (continued)
December 31, 2021
12. Capital Shares (continued).
Year Ended | Year Ended | |||||||||||||||
Mid Cap Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 261,646 | $ | 6,416,364 | 226,127 | $ | 4,488,446 | ||||||||||
Issued in connection with the reinvestment of distributions | 216,292 | 4,872,528 | 162,666 | 3,228,512 | ||||||||||||
Redeemed | (213,572 | ) | (5,159,634 | ) | (477,370 | ) | (9,158,673 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 264,366 | $ | 6,129,258 | (88,577 | ) | $ | (1,441,715 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 16,158 | $ | 374,819 | 18,169 | $ | 328,156 | ||||||||||
Issued in connection with the reinvestment of distributions | 85,496 | 1,752,803 | 92,379 | 1,686,307 | ||||||||||||
Redeemed | (241,770 | ) | (5,500,556 | ) | (456,387 | ) | (8,272,196 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (140,116 | ) | $ | (3,372,934 | ) | (345,839 | ) | $ | (6,257,733 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class N |
| |||||||||||||||
Issued from the sale of shares | 2,826,157 | $ | 72,192,384 | 94,843 | $ | 1,960,180 | ||||||||||
Issued in connection with the reinvestment of distributions | 531,924 | 12,118,098 | 99,203 | 2,004,292 | ||||||||||||
Redeemed | (205,461 | ) | (5,123,004 | ) | (185,807 | ) | (3,709,379 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 3,152,620 | $ | 79,187,478 | 8,239 | $ | 255,093 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 1,675,522 | $ | 41,044,197 | 2,378,301 | $ | 47,273,465 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,387,574 | 31,819,928 | 1,248,965 | 25,109,423 | ||||||||||||
Redeemed | (3,531,602 | ) | (86,803,876 | ) | (6,496,334 | ) | (126,146,971 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (468,506 | ) | $ | (13,939,751 | ) | (2,869,068 | ) | $ | (53,764,083 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 2,808,364 | $ | 68,004,051 | (3,295,245 | ) | $ | (61,208,438 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Year Ended | Year Ended | |||||||||||||||
Small Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 642,790 | $ | 12,042,869 | 158,490 | $ | 2,085,145 | ||||||||||
Issued in connection with the reinvestment of distributions | 782,913 | 13,763,408 | 31,711 | 358,304 | ||||||||||||
Redeemed | (555,154 | ) | (10,594,338 | ) | (872,436 | ) | (11,688,128 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 870,549 | $ | 15,211,939 | (682,235 | ) | $ | (9,244,679 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 6,936 | $ | 66,135 | 40,156 | $ | 298,734 | ||||||||||
Issued in connection with the reinvestment of distributions | 49,731 | 339,165 | 1,869 | 10,560 | ||||||||||||
Redeemed | (35,173 | ) | (333,625 | ) | (109,068 | ) | (738,265 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 21,494 | $ | 71,675 | (67,043 | ) | $ | (428,971 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class N |
| |||||||||||||||
Issued from the sale of shares | 59,076 | $ | 1,134,239 | — | $ | — | ||||||||||
Issued in connection with the reinvestment of distributions | 12,510 | 233,321 | 14 | 179 | ||||||||||||
Redeemed | (1 | ) | (27 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 71,585 | $ | 1,367,533 | 14 | $ | 179 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 793,405 | $ | 16,230,504 | 1,175,448 | $ | 16,303,249 | ||||||||||
Issued in connection with the reinvestment of distributions | 591,535 | 11,020,292 | 25,025 | 327,632 | ||||||||||||
Redeemed | (714,903 | ) | (14,531,447 | ) | (1,131,163 | ) | (15,630,462 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 670,037 | $ | 12,719,349 | 69,310 | $ | 1,000,419 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 1,633,665 | $ | 29,370,496 | (679,954 | ) | $ | (8,673,052 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| 92
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Loomis Sayles Funds II, Natixis Funds Trust I and Natixis Funds Trust II and Shareholders of Loomis Sayles International Growth Fund, Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund, Vaughan Nelson Small Cap Value Fund, Natixis Oakmark Fund and Vaughan Nelson Mid Cap Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles International Growth Fund (one of the funds constituting Loomis Sayles Funds II), Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund and Vaughan Nelson Small Cap Value Fund (three of the funds constituting Natixis Funds Trust I), and Natixis Oakmark Fund and Vaughn Nelson Mid Cap Fund (two of the funds constituting Natixis Funds Trust II) (hereafter collectively referred to as the “Funds”) as of December 31, 2021, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
| Fund | Statements of operations | Statements of changes in net assets | ||
Loomis Sayles International Growth Fund | For the year ended December 31, 2021 | For the year ended December 31, 2021 and the period from December 15, 2020 (commencement of operations) through December 31, 2020 | ||
Natixis Oakmark International Fund | For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 | ||
Natixis U.S. Equity Opportunities Fund | For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 | ||
Vaughan Nelson Small Cap Value Fund | For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 | ||
Natixis Oakmark Fund | For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 | ||
Vaughan Nelson Mid Cap Fund | For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
February 22, 2022
We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.
93 |
2021 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2021, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
Fund | Qualifying | |||
International Growth Fund | 1.44 | % | ||
Natixis Oakmark Fund | 100.00 | % | ||
U.S. Equity Opportunities Fund | 100.00 | % | ||
Mid Cap Fund | 34.22 | % | ||
Small Cap Value Fund | 6.62 | % | ||
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2021.
Fund | Amount | |||
Natixis Oakmark Fund | $ | 22,797,197 | ||
U.S. Equity Opportunities Fund | 105,015,654 | |||
Mid Cap Fund | 41,214,262 | |||
Small Cap Value Fund | 6,185,028 | |||
Qualified Dividend Income. For the fiscal year ended December 31, 2021, a percentage of the ordinary income dividends paid by the Funds are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds paid a distribution during calendar year 2021, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:
Fund | Qualifying | |||
International Growth Fund | 60.62 | % | ||
Natixis Oakmark Fund | 100.00 | % | ||
Natixis Oakmark International Fund | 100.00 | % | ||
U.S. Equity Opportunities Fund | 100.00 | % | ||
Mid Cap Fund | 38.22 | % | ||
Small Cap Value Fund | 8.99 | % | ||
Foreign Tax Credit. For the year ended December 31, 2021, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:
Fund | Foreign Tax | Foreign Source | ||||||
International Growth Fund | $ | 31,758 | $ | 312,432 | ||||
Natixis Oakmark International Fund | 1,138,609 | 16,958,997 | ||||||
| 94
Trustee and Officer Information
The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust I, Natixis Funds Trust II and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statements of Additional Information include additional information about the Trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.
Name and Year of Birth | Position(s) Held with Term of Office1 | Principal | Number of Portfolios | Experience, | ||||
| INDEPENDENT TRUSTEES | ||||||||
| Edmond J. English (1953) | Trustee since 2013 Chairperson of the Governance Committee and Contract Review Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 55 Director, Burlington Stores, Inc. (retail) and Director, Rue Gilt Groupe, Inc. (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) | ||||
Richard A. Goglia (1951) | Trustee since 2015 Contract Review Committee Member and Governance Committee Member | Retired | 55 Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) | ||||
Wendell J. Knox (1948) | Trustee since 2009 Chairperson of the Contract Review Committee | Retired | 55 Director, Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); Formerly, Director, Eastern Bank (bank) | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) | ||||
95 |
Trustee and Officer Information
Name and Year of Birth | Position(s) Held with Term of Office1 | Principal | Number of Portfolios | Experience, | ||||
| INDEPENDENT TRUSTEES – continued | ||||||||
| Martin T. Meehan (1956) | Trustee since 2012 Audit Committee Member and Governance Committee Member | President, University of Massachusetts | 55 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience | ||||
Maureen B. Mitchell (1951) | Trustee since 2017 Audit Committee Member and Governance Committee Member | Retired | 55 Director, Sterling Bancorp (bank) | Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) | ||||
James P. Palermo (1955) | Trustee since 2016 Audit Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 55 Director, FutureFuel.io (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) | ||||
Erik R. Sirri (1958) | Chairperson of the Board of Trustees since January 2021 Trustee since 2009 Ex Officio member of the Audit Committee, Contract Review Committee and Governance Committee | Professor of Finance at Babson College | 55 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist | ||||
| 96
Trustee and Officer Information
Name and Year of Birth | Position(s) Held with Term of Office1 | Principal | Number of Portfolios | Experience, | ||||
| INDEPENDENT TRUSTEES – continued | ||||||||
Peter J. Smail (1952) | Trustee since 2009 Audit Committee Member | Retired | 55 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) | ||||
Kirk A. Sykes (1958) | Trustee since 2019 Contract Review Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 55 Trustee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); Formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) | ||||
Cynthia L. Walker (1956) | Trustee since 2005 Chairperson of the Audit Committee | Retired; Formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 55 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
| INTERESTED TRUSTEES | ||||||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 55 None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. | ||||
97 |
Trustee and Officer Information
Name and Year of Birth | Position(s) Held with Term of Office1 | Principal | Number of Portfolios | Experience, | ||||
| INTERESTED TRUSTEES – continued | ||||||||
| David L. Giunta4 (1965) | Trustee since 2011 President and Chief Executive Officer of Natixis Funds Trust I, Natixis Funds Trust IIand President of Loomis Sayles Funds II; Chief Executive Officer of Loomis Sayles Funds II since 2015 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 55 None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC | ||||
| 1 | Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
| 2 | The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
| 3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
| 4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
| 98
Trustee and Officer Information
Name and Year of Birth | Position(s) Held | Term of Office1 and Length | Principal Occupation(s) | |||
| OFFICERS OF THE TRUSTS | ||||||
Michael C. Kardok (1959) | Treasurer, Principal Financial and Accounting Officer | Since 2004 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC | |||
Natalie R. Wagner (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer
Chief Legal Officer | Since May 2021
Since July 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group | |||
| 1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
| 2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
99 |
Annual Report
December 31, 2021
AlphaSimplex Global Alternatives Fund
AlphaSimplex Managed Futures Strategy Fund
| 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.
Market Conditions
Inflation was a central theme throughout 2021. At the beginning of the year, central banks were uncertain as to whether the recent inflation was merely transitory; yet, as the year went on, the consensus emerged that inflation would likely be more persistent, based on concerns regarding the Covid-19 pandemic (including new variants) and ongoing supply chain issues.
The inflationary theme was seen across markets. In equities, developed markets continued to do well as broad markets recovered from the original Covid-19 correction in early 2020. However, emerging markets underperformed in comparison as they felt the effect of inflation before developed markets. Commodity prices generally increased due to various supply/demand issues, including scarcity related to economies not being fully reopened and labor and production shortages. Some of the strongest moves in commodities were in energy markets, which increased dramatically over the year.
In general, the US dollar strengthened over the year relative to many markets including, notably, the euro and the yen, in part thanks to its role as a safe haven/reserve currency; emerging markets and European currencies generally weakened over the course of 2021. Bond prices and interest rates fluctuated , with the yield curve flattening overall as markets grappled with the future trajectory of rates. Towards year-end, as central banks began to discuss tapering, bond prices began to fall, foreshadowing rising interest rates.
These general themes were occasionally interrupted over the year, such as the market reversals following the June Federal Reserve announcements, and a similar reversal in September. However, the largest correction was at the end of November, when fears around the Omicron variant of the coronavirus caused a dramatic disruption in markets. In December, these late-November shocks generally reversed, with market trends resuming the longer-term themes from earlier in the year.
Performance Results
During the 12 months ended December 31, 2021, Class Y shares of the AlphaSimplex Global Alternatives Fund returned 1.29%. Although the Fund does not seek to track any particular index, the Barclay Fund of Funds Index may be used as a benchmark for performance analysis. The Fund underperformed this benchmark, which returned 2.98% for the same period. It is important to note that there are material differences between the Fund and this benchmark.
Explanation of Fund Performance
The Fund seeks to earn returns from sources like those that drive a typical diversified portfolio of hedge funds. Accordingly, the Fund employs two primary sets of strategies. The hedge fund replication component seeks to take on exposures that reflect the liquid, broad market exposures of the hedge fund industry as identified by a proprietary quantitative process. The Fund’s alternative risk premia (ARP) component attempts to provide uncorrelated returns reflective of the diversifying and opportunistic trading strategies employed by hedge funds.
When the Fund takes on a “long” exposure to a market, the long exposure generally profits as the price of the underlying security rises but incurs losses when the price falls. When the Fund takes on a “short” exposure, the short exposure generally experiences losses as the price of the underlying security rises but profits as the price falls. The Fund typically makes extensive use of futures and forward contracts on global stock indices, fixed income securities, currencies, and commodities, as well as long and short (through equity basket total return swaps and/or short sales) positions in single-name equities. As market events unfold, these exposures result in a profit or loss for the Fund.
1 |
During 2021, the Fund’s gains were driven by the hedge fund replication models, particularly through equities and commodities. The Fund’s alternative risk premia strategies detracted overall.
Hedge Fund Replication. The Fund’s Hedge Fund Replication models provided positive performance, returning approximately 4.0% in total. Gains were driven primarily by long exposure to developed US and international equities, with long exposure to energy contracts and copper providing additional gains. The sleeve saw losses in long currency positions, particularly the Australian dollar and Swedish krone, as the US dollar appreciated over the course of the year. Finally, losses from a long position in the Bund outweighed gains from short exposure to the US 2-Year Note.
Alternative Risk Premia. The alternative risk premia (ARP) component of the portfolio returned approximately -2.8% for the year. The Structural/Flow category detracted most from performance, as the low volatility and commodity contrarian factors underperformed. Carry/Curve models primarily saw losses from long exposure to the Australian and US 10-Year Notes during sharp yield spikes. The Event category also contributed to losses, as models that short stocks embroiled in ESG (Environmental, Social & Governance) controversies underperformed. Trend/Momentum models provided gains, as futures trend-following models contributed positively. Finally, the Value category saw strong gains from both the equity profitability and currency value models.
The contribution from the Fund’s cash portfolio was approximately 0.05%, as short-maturity interest rates stayed near zero due to the Federal Reserve continuing to add liquidity throughout the year. The Fund’s portfolio is adjusted on a daily and monthly basis to incorporate new information about hedge funds’ exposures and changing market dynamics or to update risk premia positioning, and on a daily basis to control risk. The risk control mechanism is designed to target an average annual volatility of 9% or less — greater than the typical volatility of bonds, but less than the typical volatility of stocks. The Fund’s realized volatility in 2021 was 7.4%, which is in line with our expectations and consistent with its long-term average. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.
Outlook
Given the persistence of inflation during 2021, investors will be focused on central bank policy. The question of 2022 will be not whether inflation is transitory, but how much monetary policy will need to adjust to deal with persistent inflation, and whether central banks respond with tapering their various asset purchase programs or require more significant tightening by raising interest rates. Should a larger tightening policy response be required, long-term growth in equity markets and commodity prices could be adversely impacted. This may cause economic growth to slow from its recent expansion. The current environment may be underestimating how much policy could or may be tightened to deal with inflation.
Markets may also continue to respond to concerns about Covid-19 variants and supply/demand imbalances in 2022, which may also affect long-term economic growth.
| 2
ALPHASIMPLEX GLOBAL ALTERNATIVES FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 31, 2011 through December 31, 2021
Average Annual Total Returns – December 31, 20213
Life of Class N | Expense Ratios4 | |||||||||||||||||||||||
| 1 Year | 5 Year | 10 Year | Gross | Net | ||||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 1.29 | % | 2.69 | % | 2.91 | % | — | % | 1.31 | % | 1.26 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 1.03 | 2.42 | 2.66 | — | 1.56 | 1.51 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | -4.77 | 1.22 | 2.05 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | 0.30 | 1.66 | 2.04 | — | 2.31 | 2.26 | ||||||||||||||||||
| With CDSC1 | -0.70 | 1.66 | 2.04 | — | ||||||||||||||||||||
| Class N (Inception 5/1/13) | ||||||||||||||||||||||||
| NAV | 1.39 | 2.72 | — | 2.12 | 1.67 | 1.21 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Barclay Fund of Funds Index2 | 2.98 | 4.07 | 3.58 | 3.10 | ||||||||||||||||||||
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, and includes automatic conversion to Class A shares after eight years. |
| 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. |
3 |
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.
Market Conditions
Inflation was a central theme throughout 2021. At the beginning of the year, central banks were uncertain as to whether the recent inflation was merely transitory; yet, as the year went on, the consensus emerged that inflation would likely be more persistent, based on concerns regarding the Covid-19 pandemic (including new variants) and ongoing supply chain issues.
The inflationary theme was seen across markets. In equities, developed markets continued to do well as broad markets recovered from the original Covid-19 correction in early 2020. However, emerging markets underperformed in comparison as they felt the effect of inflation before developed markets. Commodity prices generally increased due to various supply/demand issues, including scarcity related to economies not being fully reopened and labor and production shortages. Some of the strongest moves in commodities were in energy markets, which increased dramatically over the year.
In general, the US dollar strengthened over the year relative to many markets including, notably, the euro and the yen, in part thanks to its role as a safe haven/reserve currency; emerging markets and European currencies generally weakened over the course of 2021. Bond prices and interest rates fluctuated , with the yield curve flattening overall as markets grappled with the future trajectory of rates. Towards year-end, as central banks began to discuss tapering, bond prices began to fall, foreshadowing rising interest rates.
These general themes were occasionally interrupted over the year, such as the market reversals following the June Federal Reserve announcements, and a similar reversal in September. However, the largest correction was at the end of November, when fears around the Omicron variant of the coronavirus caused a dramatic disruption in markets. In December, these late-November shocks generally reversed, with market trends resuming the longer-term themes from earlier in the year.
Performance Results
For the 12 months ended December 31, 2021, Class Y shares of the AlphaSimplex Managed Futures Strategy Fund returned 3.53%. Although the Fund does not seek to track any particular index, one index that may be used for performance analysis is the SG Trend Index as it reflects a peer group of diversified, primarily trend-following investment managers. The Fund underperformed this benchmark, which returned 9.25% over the same period. The Credit Suisse Managed Futures Liquid Index may also be used as a benchmark for performance analysis; this benchmark returned 7.50% over the same period. It is important to note that there are material differences between the Fund and these benchmarks.
Explanation of Fund Performance
The Fund uses a set of proprietary quantitative models to identify trends in global stock, fixed income, currency, and commodity markets. When the Fund takes on a “long” exposure to a market, that exposure generally profits as the price of the underlying security rises but suffers losses when its price falls; when it takes on a “short” exposure, that exposure generally suffers losses as the price of the underlying security rises but profits as its price falls. The Fund uses derivative instruments, such as futures and forward contracts, to capture these exposures.
The Fund’s performance benefited from the more consistent trends in global markets, especially within commodities and equities. Fixed income and currencies, which fluctuated more over the course of the year, detracted from performance.
In commodities, the largest gains came from long positions in energies, with long positions in base metals and agricultural commodities also contributing positively. Precious metals and livestock detracted overall. Equity gains came from long positions in both international developed markets and US markets, while emerging markets detracted from performance. The best performing assets were the S&P 500® and the S&P/TSX 60 (Canada). In fixed income, the largest losses came from long positions in international developed markets, especially German bonds and French 10-Year Notes (OAT). Long positions in US bonds detracted
| 4
ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND
overall, outweighing gains from some short positions in the same contracts over the year. While the Fund had gains from short positions in the Japanese yen and euro, these gains were outweighed by losses from long positions in most other currencies (short US dollar) as the dollar strengthened over the year.
During 2021, the Adaptive and Basic Multi-Trend approaches contributed positively to performance, while the Short-Horizon models detracted slightly.
The contribution from the Fund’s cash portfolio was approximately 0.09%, as short-maturity interest rates stayed near zero due to the Federal Reserve continuing to add liquidity throughout the year. The Fund’s portfolio is adjusted on a daily basis to reflect market trends as well as to control risk. The risk control mechanism is designed to target an annualized portfolio volatility of 17% or less. The Fund’s realized volatility in 2021 was 13.2%, which is consistent with our risk management objectives. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.
Outlook
Given the persistence of inflation during 2021, investors will be focused on central bank policy. The question of 2022 will be not whether inflation is transitory, but how much monetary policy will need to adjust to deal with persistent inflation, and whether central banks respond with tapering their various asset purchase programs or require more significant tightening by raising interest rates. Should a larger tightening policy response be required, long-term growth in equity markets and commodity prices could be adversely impacted. This may cause economic growth to slow from its recent expansion. The current environment may be underestimating how much policy could or may be tightened to deal with inflation.
Markets may also continue to respond to concerns about Covid-19 variants and supply/demand imbalances in 2022, which may also affect long-term economic growth.
Hypothetical Growth of $100,000 Investment in Class Y Shares4
December 31, 2011 through December 31, 2021
5 |
Average Annual Total Returns – December 31, 20214
| 1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios5 | ||||||||||||||||||||
| Gross | Net | |||||||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 3.53 | % | 3.52 | % | 3.14 | % | — | % | 1.55 | % | 1.46 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 3.30 | 3.26 | 2.89 | — | 1.81 | 1.71 | ||||||||||||||||||
| With 5.75% Maximum Sales Charge | -2.64 | 2.04 | 2.28 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | 2.54 | 2.51 | 2.27 | — | 2.55 | 2.46 | ||||||||||||||||||
| With CDSC1 | 1.57 | 2.51 | 2.27 | — | ||||||||||||||||||||
| Class N (Inception 5/01/17) | ||||||||||||||||||||||||
| NAV | 3.63 | — | — | 3.94 | 1.36 | 1.36 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Credit Suisse Managed Futures Liquid Index2 | 7.50 | -0.48 | 1.89 | 0.68 | ||||||||||||||||||||
| SG Trend Index3 | 9.25 | 3.56 | 2.86 | 4.29 | ||||||||||||||||||||
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, and includes automatic conversion to Class A shares after eight years. |
| 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. |
| 6
ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis 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 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 July 1, 2021 through December 31, 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 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,005.60 | $7.63 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,017.59 | $7.68 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,002.00 | $11.40 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,013.81 | $11.47 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,008.30 | $6.13 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.11 | $6.16 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,007.30 | $6.37 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,018.85 | $6.41 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.51%, 2.26%, 1.21% 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 (184), divided by 365 (to reflect the half-year period). |
| 8
| ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $963.80 | $8.56 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,016.48 | $8.79 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $960.60 | $12.26 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,012.70 | $12.58 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $965.10 | $6.84 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,018.25 | $7.02 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $964.90 | $7.33 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,017.75 | $7.53 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.73%, 2.48%, 1.38% and 1.48% 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 (184), divided by 365 (to reflect the half-year period). |
9 |
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund
| Shares | Description | Value (†) | ||||||
| Common Stocks — 22.1% of Net Assets | ||||||||
| Aerospace & Defense — 0.2% |
| |||||||
| 6,216 | Howmet Aerospace, Inc. | $ | 197,855 | |||||
| 799 | Lockheed Martin Corp. | 283,973 | ||||||
| 202 | Northrop Grumman Corp. | 78,188 | ||||||
|
| |||||||
| 560,016 | ||||||||
|
| |||||||
| Air Freight & Logistics — 0.2% |
| |||||||
| 2,033 | C.H. Robinson Worldwide, Inc. | 218,812 | ||||||
| 3,064 | Expeditors International of Washington, Inc. | 411,464 | ||||||
|
| |||||||
| 630,276 | ||||||||
|
| |||||||
| Auto Components — 0.1% |
| |||||||
| 5,472 | Gentex Corp. | 190,699 | ||||||
|
| |||||||
| Automobiles — 0.1% |
| |||||||
| 727 | Ferrari NV | 188,162 | ||||||
| 168 | Tesla, Inc.(a) | 177,539 | ||||||
|
| |||||||
| 365,701 | ||||||||
|
| |||||||
| Banks — 2.9% |
| |||||||
| 45,552 | Atlantic Capital Bancshares, Inc.(a) | 1,310,531 | ||||||
| 28,905 | Bryn Mawr Bank Corp. | 1,301,014 | ||||||
| 4,212 | Citigroup, Inc. | 254,363 | ||||||
| 5,926 | Eastern Bankshares, Inc. | 119,527 | ||||||
| 64,498 | First Midwest Bancorp, Inc. | 1,320,919 | ||||||
| 84,355 | Investors Bancorp, Inc. | 1,277,978 | ||||||
| 73,619 | People’s United Financial, Inc. | 1,311,891 | ||||||
| 16,117 | Reliant Bancorp, Inc. | 572,154 | ||||||
| 645 | Signature Bank | 208,638 | ||||||
| 49,823 | Sterling Bancorp | 1,284,935 | ||||||
| 34,869 | TriState Capital Holdings, Inc.(a) | 1,055,136 | ||||||
|
| |||||||
| 10,017,086 | ||||||||
|
| |||||||
| Beverages — 0.5% |
| |||||||
| 4,943 | Brown-Forman Corp., Class B | 360,147 | ||||||
| 1,305 | Coca-Cola Co. (The) | 77,269 | ||||||
| 5,721 | Keurig Dr Pepper, Inc. | 210,876 | ||||||
| 2,225 | Monster Beverage Corp.(a) | 213,689 | ||||||
| 3,470 | PepsiCo, Inc. | 602,774 | ||||||
| 13,390 | Primo Water Corp. | 236,066 | ||||||
|
| |||||||
| 1,700,821 | ||||||||
|
| |||||||
| Biotechnology — 0.2% |
| |||||||
| 2,830 | AbbVie, Inc. | 383,182 | ||||||
| 2,835 | Gilead Sciences, Inc. | 205,849 | ||||||
|
| |||||||
| 589,031 | ||||||||
|
| |||||||
| Building Products — 0.2% |
| |||||||
| 1,058 | Allegion PLC | 140,121 | ||||||
| 2,737 | Masco Corp. | 192,192 | ||||||
| 1,841 | Masonite International Corp.(a) | 217,146 | ||||||
| 4,861 | Resideo Technologies, Inc.(a) | 126,532 | ||||||
|
| |||||||
| 675,991 | ||||||||
|
| |||||||
| Capital Markets — 0.5% |
| |||||||
| 1,971 | Houlihan Lokey, Inc. | 204,038 | ||||||
| 1,250 | Intercontinental Exchange, Inc. | 170,962 | ||||||
| 8,738 | Invesco Ltd. | 201,149 | ||||||
| 5,294 | Janus Henderson Group PLC | 222,030 | ||||||
| 1,035 | LPL Financial Holdings, Inc. | 165,693 | ||||||
| 439 | MarketAxess Holdings, Inc. | 180,548 | ||||||
| 627 | Morningstar, Inc. | 214,428 | ||||||
| 395 | Nasdaq, Inc. | 82,954 | ||||||
| 3,921 | SEI Investments Co. | 238,946 | ||||||
|
| |||||||
| 1,680,748 | ||||||||
|
| |||||||
| Chemicals — 0.9% |
| |||||||
| 50,310 | Atotech Ltd.(a) | 1,283,911 | ||||||
| 4,695 | Corteva, Inc. | 221,980 | ||||||
| 1,668 | International Flavors & Fragrances, Inc. | 251,284 | ||||||
| 614 | Linde PLC | 212,708 | ||||||
| 5,279 | Olin Corp. | 303,648 | ||||||
| 753 | RPM International, Inc. | 76,053 | ||||||
| 1,999 | Sherwin-Williams Co. (The) | 703,968 | ||||||
|
| |||||||
| 3,053,552 | ||||||||
|
| |||||||
| Commercial Services & Supplies — 0.4% |
| |||||||
| 718 | Cintas Corp. | 318,196 | ||||||
| 4,245 | Copart, Inc.(a) | 643,627 | ||||||
| 1,970 | Republic Services, Inc. | 274,717 | ||||||
| 5,454 | Rollins, Inc. | 186,581 | ||||||
| 572 | Waste Management, Inc. | 95,467 | ||||||
|
| |||||||
| 1,518,588 | ||||||||
|
| |||||||
| Communications Equipment — 0.2% |
| |||||||
| 3,473 | Cisco Systems, Inc. | 220,084 | ||||||
| 9,679 | Radware Ltd.(a) | 403,034 | ||||||
|
| |||||||
| 623,118 | ||||||||
|
| |||||||
| Construction & Engineering — 0.1% |
| |||||||
| 3,040 | AECOM(a) | 235,144 | ||||||
|
| |||||||
| Consumer Finance — 0.1% |
| |||||||
| 2,405 | Green Dot Corp., Class A(a) | 87,157 | ||||||
| 2,102 | Nelnet, Inc., Class A | 205,323 | ||||||
| 2,768 | OneMain Holdings, Inc. | 138,511 | ||||||
|
| |||||||
| 430,991 | ||||||||
|
| |||||||
| Containers & Packaging — 0.1% |
| |||||||
| 1,255 | AptarGroup, Inc. | 153,713 | ||||||
| 659 | Avery Dennison Corp. | 142,720 | ||||||
| 2,139 | Sealed Air Corp. | 144,318 | ||||||
| 1,742 | Silgan Holdings, Inc. | 74,627 | ||||||
|
| |||||||
| 515,378 | ||||||||
|
| |||||||
| Distributors — 0.1% |
| |||||||
| 4,214 | LKQ Corp. | 252,966 | ||||||
| 233 | Pool Corp. | 131,878 | ||||||
|
| |||||||
| 384,844 | ||||||||
|
| |||||||
| Diversified Consumer Services — 0.1% |
| |||||||
| 2,768 | Service Corp. International | 196,500 | ||||||
|
| |||||||
| Diversified Telecommunication Services — 0.1% |
| |||||||
| 3,376 | AT&T, Inc. | 83,050 | ||||||
| 5,188 | Verizon Communications, Inc. | 269,568 | ||||||
|
| |||||||
| 352,618 | ||||||||
|
| |||||||
| Electric Utilities — 0.4% |
| |||||||
| 1,720 | Alliant Energy Corp. | 105,728 | ||||||
| 3,240 | American Electric Power Co., Inc. | 288,263 | ||||||
| 1,305 | Avangrid, Inc. | 65,093 | ||||||
| 985 | Duke Energy Corp. | 103,326 | ||||||
| 8,764 | Exelon Corp. | 506,209 | ||||||
| 687 | IDACORP, Inc. | 77,844 | ||||||
| 1,153 | Southern Co. (The) | 79,073 | ||||||
| 1,131 | Xcel Energy, Inc. | 76,569 | ||||||
|
| |||||||
| 1,302,105 | ||||||||
|
| |||||||
| Electrical Equipment — 0.1% |
| |||||||
| 1,353 | AMETEK, Inc. | 198,945 | ||||||
| 576 | Generac Holdings, Inc.(a) | 202,706 | ||||||
|
| |||||||
| 401,651 | ||||||||
|
| |||||||
See accompanying notes to consolidated financial statements.
| 10
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
| 2,305 | Amphenol Corp., Class A | $ | 201,595 | |||||
| 1,475 | CDW Corp. | 302,051 | ||||||
| 11,466 | Flex Ltd.(a) | 210,172 | ||||||
|
| |||||||
| 713,818 | ||||||||
|
| |||||||
| Entertainment — 0.2% |
| |||||||
| 1,502 | Electronic Arts, Inc. | 198,114 | ||||||
| 6,769 | Lions Gate Entertainment Corp., Class A(a) | 112,636 | ||||||
| 725 | Roku, Inc.(a) | 165,445 | ||||||
| 1,739 | Walt Disney Co. (The)(a) | 269,354 | ||||||
|
| |||||||
| 745,549 | ||||||||
|
| |||||||
| Food & Staples Retailing — 0.2% |
| |||||||
| 284 | Costco Wholesale Corp. | 161,227 | ||||||
| 3,259 | Sysco Corp. | 255,994 | ||||||
| 5,216 | U.S. Foods Holding Corp.(a) | 181,673 | ||||||
| 1,369 | Walmart, Inc. | 198,081 | ||||||
|
| |||||||
| 796,975 | ||||||||
|
| |||||||
| Food Products — 1.0% |
| |||||||
| 5,400 | Cal-Maine Foods, Inc. | 199,746 | ||||||
| 1,748 | Campbell Soup Co. | 75,968 | ||||||
| 14,942 | Conagra Brands, Inc. | 510,269 | ||||||
| 2,834 | Flowers Foods, Inc. | 77,850 | ||||||
| 1,550 | General Mills, Inc. | 104,439 | ||||||
| 4,793 | Hain Celestial Group, Inc. (The)(a) | 204,230 | ||||||
| 404 | Hershey Co. (The) | 78,162 | ||||||
| 1,853 | Hormel Foods Corp. | 90,445 | ||||||
| 9,362 | Hostess Brands, Inc.(a) | 191,172 | ||||||
| 615 | J.M. Smucker Co. (The) | 83,529 | ||||||
| 1,176 | John B Sanfilippo & Son, Inc. | 106,028 | ||||||
| 1,257 | Kellogg Co. | 80,976 | ||||||
| 528 | Lancaster Colony Corp. | 87,437 | ||||||
| 1,100 | McCormick & Co., Inc. | 106,271 | ||||||
| 12,758 | Mondelez International, Inc., Class A | 845,983 | ||||||
| 8,217 | Nomad Foods Ltd.(a) | 208,629 | ||||||
| 2,026 | Post Holdings, Inc.(a) | 228,391 | ||||||
| 19,246 | SunOpta, Inc.(a) | 133,760 | ||||||
|
| |||||||
| 3,413,285 | ||||||||
|
| |||||||
| Gas Utilities — 0.1% |
| |||||||
| 2,876 | Atmos Energy Corp. | 301,319 | ||||||
|
| |||||||
| Health Care Equipment & Supplies — 0.8% |
| |||||||
| 1,268 | Baxter International, Inc. | 108,845 | ||||||
| 658 | Becton Dickinson & Co. | 165,474 | ||||||
| 503 | Cooper Cos., Inc. (The) | 210,727 | ||||||
| 1,692 | Inmode Ltd.(a) | 119,421 | ||||||
| 1,845 | Medtronic PLC | 190,865 | ||||||
| 3,281 | Merit Medical Systems, Inc.(a) | 204,406 | ||||||
| 2,041 | Novocure Ltd.(a) | 153,238 | ||||||
| 51,835 | Ortho Clinical Diagnostics Holdings PLC, Class H(a) | 1,108,751 | ||||||
| 905 | Shockwave Medical, Inc.(a) | 161,389 | ||||||
| 1,997 | STAAR Surgical Co.(a) | 182,326 | ||||||
| 331 | STERIS PLC | 80,569 | ||||||
|
| |||||||
| 2,686,011 | ||||||||
|
| |||||||
| Health Care Providers & Services — 0.3% |
| |||||||
| 2,367 | Apollo Medical Holdings, Inc.(a) | 173,927 | ||||||
| 329 | Chemed Corp. | 174,054 | ||||||
| 2,287 | Encompass Health Corp. | 149,250 | ||||||
| 640 | Laboratory Corp. of America Holdings(a) | 201,094 | ||||||
| 2,454 | Quest Diagnostics, Inc. | 424,567 | ||||||
|
| |||||||
| 1,122,892 | ||||||||
|
| |||||||
| Health Care Technology — 0.1% |
| |||||||
| 6,502 | Evolent Health, Inc., Class A(a) | 179,910 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 0.6% |
| |||||||
| 135 | Chipotle Mexican Grill, Inc.(a) | 236,014 | ||||||
| 833 | Domino’s Pizza, Inc. | 470,087 | ||||||
| 1,505 | Hilton Worldwide Holdings, Inc.(a) | 234,765 | ||||||
| 1,486 | McDonald’s Corp. | 398,352 | ||||||
| 1,373 | Papa John’s International, Inc. | 183,254 | ||||||
| 7,114 | Wendy’s Co. (The) | 169,669 | ||||||
| 1,579 | Yum! Brands, Inc. | 219,260 | ||||||
|
| |||||||
| 1,911,401 | ||||||||
|
| |||||||
| Household Durables — 0.2% |
| |||||||
| 2,854 | Garmin Ltd. | 388,629 | ||||||
| 1,491 | Installed Building Products, Inc. | 208,322 | ||||||
| 11,115 | Newell Brands, Inc. | 242,752 | ||||||
|
| |||||||
| 839,703 | ||||||||
|
| |||||||
| Household Products — 0.5% |
| |||||||
| 1,050 | Church & Dwight Co., Inc. | 107,625 | ||||||
| 1,577 | Clorox Co. (The) | 274,966 | ||||||
| 2,829 | Colgate-Palmolive Co. | 241,427 | ||||||
| 548 | Kimberly-Clark Corp. | 78,320 | ||||||
| 4,871 | Procter & Gamble Co. (The) | 796,798 | ||||||
| 3,971 | Reynolds Consumer Products, Inc. | 124,689 | ||||||
|
| |||||||
| 1,623,825 | ||||||||
|
| |||||||
| Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
| 2,224 | NextEra Energy Partners LP | 187,706 | ||||||
|
| |||||||
| Industrial Conglomerates — 0.2% |
| |||||||
| 2,875 | 3M Co. | 510,686 | ||||||
| 1,703 | General Electric Co. | 160,883 | ||||||
| 207 | Roper Technologies, Inc. | 101,815 | ||||||
|
| |||||||
| 773,384 | ||||||||
|
| |||||||
| Insurance — 0.9% |
| |||||||
| 1,733 | Aon PLC, Class A | 520,871 | ||||||
| 15,867 | Athene Holding Ltd., Class A(a) | 1,322,197 | ||||||
| 1,140 | Brown & Brown, Inc. | 80,119 | ||||||
| 1,054 | Erie Indemnity Co., Class A | 203,064 | ||||||
| 3,960 | Marsh & McLennan Cos., Inc. | 688,327 | ||||||
| 2,860 | Progressive Corp. (The) | 293,579 | ||||||
|
| |||||||
| 3,108,157 | ||||||||
|
| |||||||
| Interactive Media & Services — 0.3% |
| |||||||
| 195 | Alphabet, Inc., Class A(a) | 564,923 | ||||||
| 1,249 | IAC/InterActiveCorp.(a) | 163,257 | ||||||
| 683 | Meta Platforms, Inc., Class A(a) | 229,727 | ||||||
| 3,743 | Snap, Inc., Class A(a) | 176,033 | ||||||
|
| |||||||
| 1,133,940 | ||||||||
|
| |||||||
| Internet & Direct Marketing Retail — 0.1% |
| |||||||
| 159 | Amazon.com, Inc.(a) | 530,160 | ||||||
|
| |||||||
| IT Services — 1.1% |
| |||||||
| 545 | Accenture PLC, Class A | 225,930 | ||||||
| 4,601 | Amdocs Ltd. | 344,339 | ||||||
| 946 | Block, Inc., Class A(a) | 152,788 | ||||||
| 2,911 | Broadridge Financial Solutions, Inc. | 532,189 | ||||||
| 3,696 | CSG Systems International, Inc. | 212,963 | ||||||
| 2,438 | Fiserv, Inc.(a) | 253,040 | ||||||
| 83,563 | GreenSky, Inc., Class A(a) | 949,276 | ||||||
| 2,516 | MAXIMUS, Inc. | 200,450 | ||||||
| 2,168 | Paychex, Inc. | 295,932 | ||||||
| 564 | Twilio, Inc., Class A(a) | 148,524 | ||||||
| 826 | VeriSign, Inc.(a) | 209,655 | ||||||
| 1,454 | Visa, Inc., Class A | 315,096 | ||||||
|
| |||||||
| 3,840,182 | ||||||||
|
| |||||||
See accompanying notes to consolidated financial statements.
11 |
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Leisure Products — 0.1% |
| |||||||
| 3,513 | Acushnet Holdings Corp. | $ | 186,470 | |||||
| 2,124 | Brunswick Corp. | 213,950 | ||||||
| 3,835 | Peloton Interactive, Inc., Class A(a) | 137,140 | ||||||
|
| |||||||
| 537,560 | ||||||||
|
| |||||||
| Life Sciences Tools & Services — 0.2% |
| |||||||
| 2,208 | Agilent Technologies, Inc. | 352,507 | ||||||
| 1,479 | Danaher Corp. | 486,606 | ||||||
|
| |||||||
| 839,113 | ||||||||
|
| |||||||
| Machinery — 0.6% |
| |||||||
| 5,696 | Graco, Inc. | 459,211 | ||||||
| 430 | IDEX Corp. | 101,618 | ||||||
| 1,141 | Illinois Tool Works, Inc. | 281,599 | ||||||
| 1,483 | Lincoln Electric Holdings, Inc. | 206,834 | ||||||
| 2,302 | PACCAR, Inc. | 203,175 | ||||||
| 9,891 | Titan International, Inc.(a) | 108,405 | ||||||
| 3,842 | Toro Co. (The) | 383,854 | ||||||
| 6,214 | Trinity Industries, Inc. | 187,663 | ||||||
|
| |||||||
| 1,932,359 | ||||||||
|
| |||||||
| Media — 0.3% |
| |||||||
| 476 | Charter Communications, Inc., Class A(a) | 310,338 | ||||||
| 5,300 | Comcast Corp., Class A | 266,749 | ||||||
| 2,464 | Liberty Broadband Corp.(a) | 396,457 | ||||||
|
| |||||||
| 973,544 | ||||||||
|
| |||||||
| Metals & Mining — 0.1% |
| |||||||
| 7,506 | United States Steel Corp. | 178,718 | ||||||
|
| |||||||
| Multi-Utilities — 0.2% |
| |||||||
| 867 | Ameren Corp. | 77,171 | ||||||
| 1,614 | CMS Energy Corp. | 104,991 | ||||||
| 3,312 | Consolidated Edison, Inc. | 282,580 | ||||||
| 1,084 | Dominion Energy, Inc. | 85,159 | ||||||
| 1,248 | Public Service Enterprise Group, Inc. | 83,279 | ||||||
| 1,086 | WEC Energy Group, Inc. | 105,418 | ||||||
|
| |||||||
| 738,598 | ||||||||
|
| |||||||
| Multiline Retail — 0.4% |
| |||||||
| 663 | Dillard’s, Inc., Class A | 162,448 | ||||||
| 1,974 | Dollar General Corp. | 465,529 | ||||||
| 7,457 | Macy’s, Inc. | 195,224 | ||||||
| 1,936 | Target Corp. | 448,068 | ||||||
|
| |||||||
| 1,271,269 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 0.8% |
| |||||||
| 3,389 | Cheniere Energy Partners LP | 143,151 | ||||||
| 2,395 | Cheniere Energy, Inc. | 242,901 | ||||||
| 3,866 | Continental Resources, Inc. | 173,042 | ||||||
| 5,556 | Enviva Partners LP | 391,254 | ||||||
| 7,239 | New Fortress Energy, Inc. | 174,749 | ||||||
| 5,307 | Peabody Energy Corp.(a) | 53,442 | ||||||
| 35,134 | Phillips 66 Partners LP | 1,267,283 | ||||||
| 127 | Texas Pacific Land Corp. | 158,607 | ||||||
|
| |||||||
| 2,604,429 | ||||||||
|
| |||||||
| Personal Products — 0.1% |
| |||||||
| 1,011 | Estee Lauder Cos., Inc. (The), Class A | 374,272 | ||||||
|
| |||||||
| Pharmaceuticals — 0.4% |
| |||||||
| 3,501 | Bristol-Myers Squibb Co. | 218,287 | ||||||
| 7,635 | Elanco Animal Health, Inc.(a) | 216,681 | ||||||
| 1,673 | Johnson & Johnson | 286,200 | ||||||
| 1,279 | Merck & Co., Inc. | 98,023 | ||||||
| 2,880 | Pfizer, Inc. | 170,064 | ||||||
| 2,118 | Zoetis, Inc. | 516,856 | ||||||
|
| |||||||
| 1,506,111 | ||||||||
|
| |||||||
| Professional Services — 0.2% |
| |||||||
| 7,504 | Booz Allen Hamilton Holding Corp. | 636,264 | ||||||
| 770 | CoStar Group, Inc.(a) | 60,853 | ||||||
| 321 | Verisk Analytics, Inc. | 73,423 | ||||||
|
| |||||||
| 770,540 | ||||||||
|
| |||||||
| Real Estate Management & Development — 0.1% |
| |||||||
| 2,189 | CBRE Group, Inc., Class A(a) | 237,528 | ||||||
| 116 | Howard Hughes Corp. (The)(a) | 11,807 | ||||||
|
| |||||||
| 249,335 | ||||||||
|
| |||||||
| REITs – Diversified — 0.0% |
| |||||||
| 5,439 | Broadstone Net Lease, Inc. | 134,996 | ||||||
|
| |||||||
| REITs – Mortgage — 0.1% |
| |||||||
| 25,145 | AGNC Investment Corp. | 378,181 | ||||||
|
| |||||||
| REITs – Office Property — 0.2% |
| |||||||
| 356 | Alexandria Real Estate Equities, Inc. | 79,373 | ||||||
| 3,426 | Easterly Government Properties, Inc. | 78,524 | ||||||
| 15,272 | Equity Commonwealth(a) | 395,545 | ||||||
|
| |||||||
| 553,442 | ||||||||
|
| |||||||
| REITs – Shopping Centers — 0.1% |
| |||||||
| 8,923 | NETSTREIT Corp. | 204,337 | ||||||
|
| |||||||
| REITs – Warehouse/Industrials — 0.1% |
| |||||||
| 2,553 | Terreno Realty Corp. | 217,745 | ||||||
|
| |||||||
| Road & Rail — 0.2% |
| |||||||
| 15,739 | Heartland Express, Inc. | 264,730 | ||||||
| 475 | Old Dominion Freight Line, Inc. | 170,230 | ||||||
| 2,174 | Uber Technologies, Inc.(a) | 91,156 | ||||||
| 1,127 | Union Pacific Corp. | 283,925 | ||||||
|
| |||||||
| 810,041 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 0.5% |
| |||||||
| 631 | Ambarella, Inc.(a) | 128,023 | ||||||
| 5,507 | CMC Materials, Inc. | 1,055,637 | ||||||
| 3,596 | Intel Corp. | 185,194 | ||||||
| 1,715 | ON Semiconductor Corp.(a) | 116,483 | ||||||
| 1,096 | Texas Instruments, Inc. | 206,563 | ||||||
|
| |||||||
| 1,691,900 | ||||||||
|
| |||||||
| Software — 1.7% |
| |||||||
| 5,907 | ACI Worldwide, Inc.(a) | 204,973 | ||||||
| 2,263 | Asana, Inc., Class A(a) | 168,707 | ||||||
| 2,678 | Black Knight, Inc.(a) | 221,979 | ||||||
| 7,099 | Box, Inc., Class A(a) | 185,923 | ||||||
| 3,528 | Check Point Software Technologies Ltd.(a) | 411,224 | ||||||
| 2,444 | CommVault Systems, Inc.(a) | 168,440 | ||||||
| 905 | Crowdstrike Holdings, Inc., Class A(a) | 185,299 | ||||||
| 533 | Fortinet, Inc.(a) | 191,560 | ||||||
| 373 | Intuit, Inc. | 239,921 | ||||||
| 1,337 | Microsoft Corp. | 449,660 | ||||||
| 57,115 | Momentive Global, Inc.(a) | 1,207,982 | ||||||
| 4,028 | NCR Corp.(a) | 161,925 | ||||||
| 1,234 | New Relic, Inc.(a) | 135,691 | ||||||
| 9,013 | NortonLifeLock, Inc. | 234,158 | ||||||
| 4,251 | Open Text Corp. | 201,837 | ||||||
| 1,903 | Oracle Corp. | 165,960 | ||||||
| 2,034 | Pegasystems, Inc. | 227,442 | ||||||
| 1,340 | PTC, Inc.(a) | 162,341 | ||||||
| 335 | ServiceNow, Inc.(a) | 217,452 | ||||||
| 338 | Tyler Technologies, Inc.(a) | 181,827 | ||||||
| 1,136 | Workiva, Inc.(a) | 148,237 | ||||||
| 672 | Zscaler, Inc.(a) | 215,934 | ||||||
|
| |||||||
| 5,688,472 | ||||||||
|
| |||||||
See accompanying notes to consolidated financial statements.
| 12
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Specialty Retail — 0.3% |
| |||||||
| 79 | AutoZone, Inc.(a) | $ | 165,615 | |||||
| 1,973 | Best Buy Co., Inc. | 200,457 | ||||||
| 483 | Home Depot, Inc. (The) | 200,450 | ||||||
| 1,003 | Lowe’s Cos., Inc. | 259,255 | ||||||
| 285 | O’Reilly Automotive, Inc.(a) | 201,275 | ||||||
| 2,844 | Rent-A-Center, Inc. | 136,626 | ||||||
|
| |||||||
| 1,163,678 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals — 0.1% |
| |||||||
| 963 | Apple, Inc. | 171,000 | ||||||
| 1,374 | Seagate Technology Holdings PLC | 155,234 | ||||||
|
| |||||||
| 326,234 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 0.1% |
| |||||||
| 1,010 | Crocs, Inc.(a) | 129,502 | ||||||
| 1,105 | NIKE, Inc., Class B | 184,171 | ||||||
|
| |||||||
| 313,673 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 24,048 | Flagstar Bancorp, Inc. | 1,152,861 | ||||||
| 18,226 | Waterstone Financial, Inc. | 398,421 | ||||||
|
| |||||||
| 1,551,282 | ||||||||
|
| |||||||
| Tobacco — 0.1% |
| |||||||
| 3,072 | Altria Group, Inc. | 145,582 | ||||||
| 2,984 | Philip Morris International, Inc. | 283,480 | ||||||
|
| |||||||
| 429,062 | ||||||||
|
| |||||||
| Trading Companies & Distributors — 0.2% |
| |||||||
| 5,700 | Fastenal Co. | 365,142 | ||||||
| 403 | W.W. Grainger, Inc. | 208,851 | ||||||
| 623 | Watsco, Inc. | 194,924 | ||||||
|
| |||||||
| 768,917 | ||||||||
|
| |||||||
| Water Utilities — 0.1% |
| |||||||
| 972 | American Water Works Co., Inc. | 183,572 | ||||||
|
| |||||||
| Wireless Telecommunication Services — 0.0% |
| |||||||
| 1,452 | T-Mobile US, Inc.(a) | 168,403 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $68,699,060) | 75,892,858 | |||||||
|
| |||||||
| Closed-End Investment Companies — 0.1% | ||||||||
| 25,080 | Golub Capital BDC, Inc. (Identified Cost $384,474) | 387,235 | ||||||
|
| |||||||
| Principal Amount | ||||||||
| Short-Term Investments — 69.8% | ||||||||
| Certificates of Deposit — 39.6% |
| |||||||
| $ | 11,000,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), 0.120%, 1/13/2022 | 11,000,139 | |||||
| 15,000,000 | Sumitomo Mitsui Banking Corp. (NY), 0.120%, 1/18/2022(b) | 15,000,232 | ||||||
| 10,000,000 | Canadian Imperial Bank of Commerce (NY), 0.210%, 1/26/2022(b) | 10,000,880 | ||||||
| 10,000,000 | Cooperatieve Rabobank U.A., 0.120%, 2/15/2022 | 10,000,178 | ||||||
| 3,000,000 | Cooperatieve Rabobank U.A., 0.120%, 2/15/2022 | 3,000,053 | ||||||
| 15,000,000 | Toronto-Dominion Bank (NY), 0.140%, 2/17/2022(b) | 15,000,479 | ||||||
| 14,000,000 | Skandinaviska Enskilda Banken (NY), 0.140%, 2/18/2022 | 14,000,152 | ||||||
| 10,000,000 | Sumitomo Mitsui Trust (NY), 0.230%, 4/12/2022 | 9,999,717 | ||||||
| 10,000,000 | Westpac Banking Corp. (NY), 0.150%, 4/14/2022 | 9,999,132 | ||||||
| 5,000,000 | Bank of Nova Scotia (NY), 0.220%, 4/14/2022(b) | 4,999,793 | ||||||
| Certificates of Deposit — continued |
| |||||||
| 10,000,000 | Commonwealth Bank of Australia (NY), 0.160%, 4/22/2022(b) | 9,998,226 | ||||||
| 10,000,000 | Mizuho Bank Ltd. (NY), 0.290%, 5/18/2022 | 10,000,000 | ||||||
| 2,500,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), 0.320%, 6/06/2022 | 2,500,141 | ||||||
| 5,000,000 | Bank of Montreal (IL), 0.200%, 6/23/2022 | 4,996,613 | ||||||
| 5,000,000 | Bank of America, N.A., 0.330%, 7/13/2022 | 5,000,563 | ||||||
|
| |||||||
| 135,496,298 | ||||||||
|
| |||||||
| Treasuries — 23.8% |
| |||||||
| 7,500,000 | U.S. Treasury Bills, 0.035%, 1/06/2022(c)(d)(e) | 7,499,997 | ||||||
| 20,000,000 | U.S. Treasury Bills, 0.020%, 3/01/2022(c) | 19,998,892 | ||||||
| 4,000,000 | U.S. Treasury Bills, 0.043%, 3/03/2022(c)(d) | 3,999,689 | ||||||
| 10,000,000 | U.S. Treasury Bills, 0.035%, 3/10/2022(c) | 9,999,221 | ||||||
| 10,000,000 | U.S. Treasury Bills, 0.040%, 3/22/2022(c) | 9,998,527 | ||||||
| 10,000,000 | U.S. Treasury Bills, 0.045%, 3/31/2022(c) | 9,998,727 | ||||||
| 20,000,000 | U.S. Treasury Bills, 0.155%-0.160%, 6/23/2022(c)(f) | 19,984,087 | ||||||
|
| |||||||
| 81,479,140 | ||||||||
|
| |||||||
| Repurchase Agreements — 6.4% |
| |||||||
| 21,998,261 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $21,998,261 on 1/03/2022 collateralized by $1,863,600 U.S. Treasury Bond, 4.375% due 11/15/2039 valued at $2,593,753; $1,899,300 U.S. Treasury Note, 1.000% due 7/31/2028 valued at $1,857,562; $7,915,100 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $17,987,133 including accrued interest (Note 2 of Notes to Consolidated Financial Statements)(e) | 21,998,261 | ||||||
|
| |||||||
| Total Short-Term Investments (Identified Cost $238,979,682) | 238,973,699 | |||||||
|
| |||||||
| Total Investments — 92.0% (Identified Cost $308,063,216) | 315,253,792 | |||||||
| Other assets less liabilities — 8.0% | 27,227,476 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 342,481,268 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Consolidated 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 Consolidated Financial Statements. |
| ||||||
| (f) | 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. |
| ||||||
| 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 consolidated financial statements.
13 |
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund – (continued)
At December 31, 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 | 3/16/2022 | CHF | B | 4,500,000 | $ | 4,894,169 | $ | 4,947,737 | $ | 53,568 | ||||||||||||||||
UBS AG | 3/16/2022 | CHF | S | 6,000,000 | 6,551,985 | 6,596,982 | (44,997 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | NOK | B | 142,000,000 | 15,683,489 | 16,102,970 | 419,481 | |||||||||||||||||||
UBS AG | 3/16/2022 | NOK | S | 64,000,000 | 7,108,905 | 7,257,677 | (148,772 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | NZD | B | 9,500,000 | 6,403,066 | 6,499,470 | 96,404 | |||||||||||||||||||
UBS AG | 3/16/2022 | NZD | S | 16,300,000 | 11,031,441 | 11,151,722 | (120,281 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | PLN | S | 7,000,000 | 1,705,375 | 1,728,051 | (22,676 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | SEK | B | 212,000,000 | 23,327,757 | 23,475,017 | 147,260 | |||||||||||||||||||
UBS AG | 3/16/2022 | SEK | B | 34,000,000 | 3,765,854 | 3,764,861 | (993 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | SEK | S | 8,000,000 | 876,270 | 885,850 | (9,580 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | SGD | S | 2,750,000 | 2,011,072 | 2,039,900 | (28,828 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | ZAR | S | 7,500,000 | 463,730 | 465,923 | (2,193 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total |
| $ | 338,393 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||
At December 31, 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 | 3/15/2022 | 23 | $ | 1,910,095 | $ | 1,910,148 | $ | 53 | ||||||||||||
5 Year U.S. Treasury Note | 3/31/2022 | 66 | 7,984,969 | 7,984,453 | (516 | ) | ||||||||||||||
AEX-Index® | 1/21/2022 | 7 | 1,251,211 | 1,271,438 | 20,227 | |||||||||||||||
ASX SPI 200™ | 3/17/2022 | 10 | 1,328,142 | 1,336,327 | 8,185 | |||||||||||||||
Australian Dollar | 3/14/2022 | 279 | 19,649,357 | 20,305,620 | 656,263 | |||||||||||||||
CAC 40® | 1/21/2022 | 13 | 1,030,373 | 1,057,199 | 26,826 | |||||||||||||||
Canadian Dollar | 3/15/2022 | 327 | 25,549,084 | 25,849,350 | 300,266 | |||||||||||||||
DAX | 3/18/2022 | 16 | 7,130,338 | 7,220,820 | 90,482 | |||||||||||||||
E-mini NASDAQ 100 | 3/18/2022 | 3 | 969,074 | 979,245 | 10,171 | |||||||||||||||
E-mini Russell 2000 | 3/18/2022 | 688 | 76,142,482 | 77,152,320 | 1,009,838 | |||||||||||||||
E-mini S&P 500® | 3/18/2022 | 47 | 10,969,330 | 11,182,475 | 213,145 | |||||||||||||||
E-mini S&P MidCap 400® | 3/18/2022 | 4 | 1,108,585 | 1,135,080 | 26,495 | |||||||||||||||
Euribor | 3/14/2022 | 15 | 4,291,361 | 4,292,642 | 1,281 | |||||||||||||||
Euro Schatz | 3/08/2022 | 25 | 3,192,427 | 3,188,653 | (3,774 | ) | ||||||||||||||
EURO STOXX 50® | 3/18/2022 | 77 | 3,665,909 | 3,758,614 | 92,705 | |||||||||||||||
Euro-BTP | 3/08/2022 | 150 | 25,490,653 | 25,105,624 | (385,029 | ) | ||||||||||||||
Euro-Buxl® 30 Year Bond | 3/08/2022 | 4 | 985,986 | 941,493 | (44,493 | ) | ||||||||||||||
Euro-OAT | 3/08/2022 | 139 | 26,032,636 | 25,818,723 | (213,913 | ) | ||||||||||||||
Eurodollar | 3/14/2022 | 183 | 45,635,625 | 45,592,163 | (43,462 | ) | ||||||||||||||
FTSE 100 Index | 3/18/2022 | 160 | 15,611,953 | 15,861,439 | 249,486 | |||||||||||||||
FTSE MIB | 3/18/2022 | 7 | 1,059,744 | 1,085,764 | 26,020 | |||||||||||||||
FTSE Taiwan Index | 1/25/2022 | 16 | 1,007,920 | 1,026,240 | 18,320 | |||||||||||||||
FTSE/JSE Top 40 Index | 3/17/2022 | 11 | 454,597 | 462,449 | 7,852 | |||||||||||||||
German Euro BOBL | 3/08/2022 | 9 | 1,374,465 | 1,365,243 | (9,222 | ) | ||||||||||||||
German Euro Bund | 3/08/2022 | 56 | 11,016,657 | 10,925,862 | (90,795 | ) | ||||||||||||||
Hang Seng Index® | 1/28/2022 | 20 | 2,965,419 | 3,007,483 | 42,064 | |||||||||||||||
IBEX 35 | 1/21/2022 | 6 | 571,105 | 593,231 | 22,126 | |||||||||||||||
Mexican Peso | 3/14/2022 | 108 | 2,500,200 | 2,606,040 | 105,840 | |||||||||||||||
MSCI EAFE Index | 3/18/2022 | 14 | 1,599,850 | 1,625,260 | 25,410 | |||||||||||||||
MSCI Emerging Markets Index | 3/18/2022 | 129 | 7,992,517 | 7,909,635 | (82,882 | ) | ||||||||||||||
Nikkei 225™ | 3/10/2022 | 2 | 482,248 | 500,391 | 18,143 | |||||||||||||||
OMXS30® | 1/21/2022 | 38 | 974,386 | 1,017,369 | 42,983 | |||||||||||||||
S&P/TSX 60 Index | 3/17/2022 | 9 | 1,791,608 | 1,822,697 | 31,089 | |||||||||||||||
Short-Term Euro-BTP | 3/08/2022 | 19 | 2,449,767 | 2,442,412 | (7,355 | ) | ||||||||||||||
TOPIX | 3/10/2022 | 27 | 4,561,693 | 4,675,650 | 113,957 | |||||||||||||||
U.S. Dollar Index | 3/14/2022 | 125 | 12,038,750 | 11,949,125 | (89,625 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 2,188,161 | |||||||||||||||||
|
| |||||||||||||||||||
See accompanying notes to consolidated financial statements.
| 14
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund – (continued)
| Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Aluminum LME | 3/16/2022 | 18 | $ | 1,204,837 | $ | 1,263,600 | $ | 58,763 | ||||||||||||
Brent Crude Oil | 1/31/2022 | 46 | 3,481,990 | 3,577,880 | 95,890 | |||||||||||||||
Coffee | 3/21/2022 | 6 | 513,431 | 508,725 | (4,706 | ) | ||||||||||||||
Copper | 3/29/2022 | 4 | 436,337 | 446,350 | 10,013 | |||||||||||||||
Copper LME | 3/16/2022 | 77 | 18,392,119 | 18,733,137 | 341,018 | |||||||||||||||
Corn | 3/14/2022 | 125 | 3,456,063 | 3,707,813 | 251,750 | |||||||||||||||
Gasoline | 1/31/2022 | 17 | 1,515,734 | 1,588,364 | 72,630 | |||||||||||||||
Gold | 2/24/2022 | 36 | 6,709,730 | 6,582,960 | (126,770 | ) | ||||||||||||||
Natural Gas | 2/24/2022 | 35 | 1,290,510 | 1,244,950 | (45,560 | ) | ||||||||||||||
New York Harbor ULSD | 1/31/2022 | 56 | 5,175,568 | 5,469,106 | 293,538 | |||||||||||||||
Nickel LME | 3/16/2022 | 27 | 3,193,338 | 3,368,547 | 175,209 | |||||||||||||||
Silver | 3/29/2022 | 12 | 1,326,400 | 1,401,120 | 74,720 | |||||||||||||||
Soybean Meal | 3/14/2022 | 24 | 974,070 | 957,840 | (16,230 | ) | ||||||||||||||
Soybean Oil | 3/14/2022 | 108 | 3,758,862 | 3,663,144 | (95,718 | ) | ||||||||||||||
WTI Crude Oil | 1/20/2022 | 88 | 6,262,990 | 6,618,480 | 355,490 | |||||||||||||||
Zinc LME | 3/16/2022 | 53 | 4,439,114 | 4,701,100 | 261,986 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 1,702,023 | |||||||||||||||||
|
| |||||||||||||||||||
At December 31, 2021, open short futures contracts were as follows:
| Financial and Currency Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
10 Year Australia Government Bond | 3/15/2022 | 65 | $ | 6,617,103 | $ | 6,581,327 | $ | 35,776 | ||||||||||||
10 Year Canada Government Bond | 3/22/2022 | 70 | 7,766,046 | 7,892,328 | (126,282 | ) | ||||||||||||||
10 Year U.S. Treasury Note | 3/22/2022 | 166 | 21,617,109 | 21,657,812 | (40,703 | ) | ||||||||||||||
2 Year U.S. Treasury Note | 3/31/2022 | 404 | 88,220,367 | 88,141,438 | 78,929 | |||||||||||||||
3-month SONIA Index | 6/14/2022 | 54 | 18,185,925 | 18,162,373 | 23,552 | |||||||||||||||
30 Year U.S. Treasury Bond | 3/22/2022 | 30 | 4,807,031 | 4,813,125 | (6,094 | ) | ||||||||||||||
British Pound | 3/14/2022 | 90 | 7,442,509 | 7,611,187 | (168,678 | ) | ||||||||||||||
Euro | 3/14/2022 | 211 | 29,889,994 | 30,074,094 | (184,100 | ) | ||||||||||||||
Japanese Yen | 3/14/2022 | 496 | 54,492,275 | 53,927,600 | 564,675 | |||||||||||||||
UK Long Gilt | 3/29/2022 | 204 | 34,826,340 | 34,487,911 | 338,429 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 515,504 | |||||||||||||||||
|
| |||||||||||||||||||
| Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Aluminum LME | 3/16/2022 | 24 | $ | 1,585,230 | $ | 1,684,800 | $ | (99,570 | ) | |||||||||||
Cocoa | 3/16/2022 | 87 | 2,243,410 | 2,192,400 | 51,010 | |||||||||||||||
Copper LME | 3/16/2022 | 37 | 8,855,804 | 9,001,638 | (145,834 | ) | ||||||||||||||
Live Cattle | 2/28/2022 | 84 | 4,609,760 | 4,693,920 | (84,160 | ) | ||||||||||||||
Low Sulfur Gasoil | 2/10/2022 | 2 | 126,250 | 133,250 | (7,000 | ) | ||||||||||||||
Nickel LME | 3/16/2022 | 15 | 1,780,830 | 1,871,415 | (90,585 | ) | ||||||||||||||
Soybean | 3/14/2022 | 138 | 8,955,013 | 9,240,825 | (285,812 | ) | ||||||||||||||
Sugar | 2/28/2022 | 80 | 1,775,222 | 1,691,648 | 83,574 | |||||||||||||||
Wheat | 3/14/2022 | 44 | 1,762,325 | 1,695,650 | 66,675 | |||||||||||||||
Zinc LME | 3/16/2022 | 10 | 790,138 | 887,000 | (96,862 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (608,564 | ) | ||||||||||||||||
|
| |||||||||||||||||||
| 1 | Commodity futures are held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Consolidated Financial Statements. |
See accompanying notes to consolidated financial statements.
15 |
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund – (continued)
At December 31, 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 | $ | (69,136,823 | ) | $ | — | $ | (69,136,823 | ) | (20.2 | %) | ||||||||||
|
|
|
|
|
| |||||||||||||||||
| (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%-0.58% as calculated on the notional amount. See Note 2 of Notes to Consolidated Financial Statements. |
The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of December 31, 2021:
| Common Stocks — Short | Shares | Value | % of Basket Value | |||||||||
Aerospace & Defense | ||||||||||||
| Boeing Co. (The) | (1,270 | ) | $ | (255,676 | ) | (0.4 | %) | |||||
| Maxar Technologies, Inc. | (9,340 | ) | (275,810 | ) | (0.4 | %) | ||||||
| Spirit AeroSystems Holdings, Inc., Class A | (4,595 | ) | (197,999 | ) | (0.3 | %) | ||||||
| Triumph Group, Inc. | (6,945 | ) | (128,691 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (858,176 | ) | |||||||||||
|
| |||||||||||
| Airlines | ||||||||||||
| Delta Air Lines, Inc. | (8,348 | ) | (326,240 | ) | (0.5 | %) | ||||||
| JetBlue Airways Corp. | (11,994 | ) | (170,794 | ) | (0.2 | %) | ||||||
| Southwest Airlines Co. | (7,983 | ) | (341,992 | ) | (0.5 | %) | ||||||
| United Airlines Holdings, Inc. | (22,577 | ) | (988,421 | ) | (1.4 | %) | ||||||
|
| |||||||||||
| (1,827,447 | ) | |||||||||||
|
| |||||||||||
| Auto Components | ||||||||||||
| American Axle & Manufacturing Holdings, Inc. | (24,309 | ) | (226,803 | ) | (0.3 | %) | ||||||
| Patrick Industries, Inc. | (1,426 | ) | (115,064 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (341,867 | ) | |||||||||||
|
| |||||||||||
| Automobiles | ||||||||||||
| Harley-Davidson, Inc. | (5,969 | ) | (224,972 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| Banks | ||||||||||||
| Berkshire Hills Bancorp, Inc. | (7,357 | ) | (209,160 | ) | (0.3 | %) | ||||||
| Citizens Financial Group, Inc. | (25,053 | ) | (1,183,754 | ) | (1.7 | %) | ||||||
| Dime Community Bancshares, Inc. | (7,558 | ) | (265,739 | ) | (0.4 | %) | ||||||
| Huntington Bancshares, Inc. | (12,902 | ) | (198,949 | ) | (0.3 | %) | ||||||
| M & T Bank Corp. | (8,687 | ) | (1,334,149 | ) | (1.9 | %) | ||||||
| Old National Bancorp | (73,114 | ) | (1,324,826 | ) | (1.9 | %) | ||||||
| Silvergate Capital Corp., Class A | (1,402 | ) | (207,776 | ) | (0.3 | %) | ||||||
| South State Corp. | (16,398 | ) | (1,313,644 | ) | (1.9 | %) | ||||||
| United Community Banks | (15,888 | ) | (571,015 | ) | (0.8 | %) | ||||||
| Webster Financial Corp. | (23,068 | ) | (1,288,117 | ) | (1.9 | %) | ||||||
|
| |||||||||||
| (7,897,129 | ) | |||||||||||
|
| |||||||||||
| Biotechnology | ||||||||||||
| Allogene Therapeutics, Inc. | (12,787 | ) | (190,782 | ) | (0.3 | %) | ||||||
| Biogen, Inc. | (973 | ) | (233,442 | ) | (0.3 | %) | ||||||
| CRISPR Therapeutics AG | (2,411 | ) | (182,705 | ) | (0.3 | %) | ||||||
| Denali Therapeutics, Inc. | (4,099 | ) | (182,815 | ) | (0.3 | %) | ||||||
| Exact Sciences Corp. | (2,024 | ) | (157,528 | ) | (0.2 | %) | ||||||
| Fate Therapeutics, Inc. | (3,611 | ) | (211,280 | ) | (0.3 | %) | ||||||
| Insmed, Inc. | (14,811 | ) | (403,452 | ) | (0.6 | %) | ||||||
| Novavax, Inc. | (968 | ) | (138,492 | ) | (0.2 | %) | ||||||
| PTC Therapeutics, Inc. | (4,448 | ) | (177,164 | ) | (0.3 | %) | ||||||
| Turning Point Therapeutics | (2,980 | ) | (142,146 | ) | (0.2 | %) | ||||||
| Ultragenyx Pharmaceutical, Inc. | (2,279 | ) | (191,641 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (2,211,447 | ) | |||||||||||
|
| |||||||||||
| Building Products | ||||||||||||
| JELD-WEN Holding, Inc. | (35,851 | ) | (945,032 | ) | (1.4 | %) | ||||||
|
| |||||||||||
| Capital Markets | ||||||||||||
| Apollo Global Management, Inc. | (18,231 | ) | (1,320,471 | ) | (1.9 | %) | ||||||
| Brookfield Asset Management, Inc., Class A | (3,468 | ) | (209,398 | ) | (0.3 | %) | ||||||
| Cohen & Steers, Inc. | (1,371 | ) | (126,831 | ) | (0.2 | %) | ||||||
| Focus Financial Partners, Inc., Class A | (3,311 | ) | (197,733 | ) | (0.3 | %) | ||||||
| Goldman Sachs Group, Inc. (The) | (2,506 | ) | (958,670 | ) | (1.4 | %) | ||||||
| Raymond James Financial, Inc. | (8,524 | ) | (855,810 | ) | (1.2 | %) | ||||||
|
| |||||||||||
| (3,668,913 | ) | |||||||||||
|
| |||||||||||
| Chemicals | ||||||||||||
| Chemours Co. (The) | (14,854 | ) | (498,500 | ) | (0.7 | %) | ||||||
| Livent Corp. | (5,173 | ) | (126,118 | ) | (0.2 | %) | ||||||
| Tronox Holdings PLC, Class A | (4,663 | ) | (112,052 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (736,670 | ) | |||||||||||
|
| |||||||||||
| Commercial Services & Supplies | ||||||||||||
| ADT, Inc. | (26,540 | ) | (223,201 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| Communications Equipment | ||||||||||||
| ViaSat, Inc. | (5,420 | ) | (241,407 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| Consumer Finance | ||||||||||||
| Capital One Financial Corp. | (1,888 | ) | (273,930 | ) | (0.4 | %) | ||||||
|
| |||||||||||
| Diversified Consumer Services | ||||||||||||
| Bright Horizons Family Solutions, Inc. | (1,495 | ) | (188,191 | ) | (0.3 | %) | ||||||
| Strategic Education, Inc. | (3,756 | ) | (217,247 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (405,438 | ) | |||||||||||
|
| |||||||||||
| Diversified Financial Services | ||||||||||||
| Cannae Holdings, Inc. | (5,239 | ) | (184,151 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| Diversified Telecommunication Services | ||||||||||||
| Echostar Corp. | (6,767 | ) | (178,310 | ) | (0.3 | %) | ||||||
| Lumen Technologies, Inc. | (15,821 | ) | (198,554 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (376,864 | ) | |||||||||||
|
| |||||||||||
| Electric Utilities | ||||||||||||
| Entergy Corp. | (1,182 | ) | (133,152 | ) | (0.2 | %) | ||||||
| PG&E Corp. | (15,116 | ) | (183,508 | ) | (0.3 | %) | ||||||
| Pinnacle West Capital Corp. | (2,559 | ) | (180,640 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (497,300 | ) | |||||||||||
|
| |||||||||||
| Electrical Equipment | ||||||||||||
| Bloom Energy Corp., Class A | (26,843 | ) | (588,667 | ) | (0.9 | %) | ||||||
| Sunrun, Inc. | (6,168 | ) | (211,562 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (800,229 | ) | |||||||||||
|
| |||||||||||
See accompanying notes to consolidated financial statements.
| 16
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund – (continued)
| Common Stocks — Short | Shares | Value | % of Basket Value | |||||||||
| Energy Equipment & Services | ||||||||||||
| Halliburton Co. | (9,907 | ) | $ | (226,573 | ) | (0.3 | %) | |||||
| Helix Energy Solutions Group, Inc. | (25,163 | ) | (78,509 | ) | (0.1 | %) | ||||||
| Helmerich & Payne, Inc. | (10,829 | ) | (256,647 | ) | (0.4 | %) | ||||||
| NexTier Oilfield Solutions, Inc. | (17,971 | ) | (63,797 | ) | (0.1 | %) | ||||||
| NOV, Inc. | (13,710 | ) | (185,770 | ) | (0.3 | %) | ||||||
| Patterson-UTI Energy, Inc. | (32,704 | ) | (276,349 | ) | (0.4 | %) | ||||||
| TechnipFMC PLC | (130,992 | ) | (775,473 | ) | (1.1 | %) | ||||||
|
| |||||||||||
| (1,863,118 | ) | |||||||||||
|
| |||||||||||
| Entertainment | ||||||||||||
| Live Nation Entertainment, Inc. | (1,420 | ) | (169,960 | ) | (0.2 | %) | ||||||
| Madison Square Garden Entertainment Corp., Class A | (2,933 | ) | (206,307 | ) | (0.3 | %) | ||||||
| Spotify Technology S.A. | (952 | ) | (222,797 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (599,064 | ) | |||||||||||
|
| |||||||||||
| Equity Real Estate Investment Trusts | ||||||||||||
| Acadia Realty Trust | (9,306 | ) | (203,150 | ) | (0.3 | %) | ||||||
| Apple Hospitality REIT, Inc. | (12,605 | ) | (203,571 | ) | (0.3 | %) | ||||||
| Boston Properties, Inc. | (1,464 | ) | (168,623 | ) | (0.2 | %) | ||||||
| DiamondRock Hospitality Co. | (21,555 | ) | (207,144 | ) | (0.3 | %) | ||||||
| Digitalbridge Group, Inc. | (34,991 | ) | (291,475 | ) | (0.4 | %) | ||||||
| Douglas Emmett, Inc. | (6,170 | ) | (206,695 | ) | (0.3 | %) | ||||||
| Host Hotels & Resorts, Inc. | (11,902 | ) | (206,976 | ) | (0.3 | %) | ||||||
| Kilroy Realty Corp. | (2,717 | ) | (180,572 | ) | (0.3 | %) | ||||||
| Mack-Cali Realty Corp. | (10,720 | ) | (197,034 | ) | (0.3 | %) | ||||||
| Park Hotels & Resorts, Inc. | (10,652 | ) | (201,110 | ) | (0.3 | %) | ||||||
| Pebblebrook Hotel Trust | (9,316 | ) | (208,399 | ) | (0.3 | %) | ||||||
| RLJ Lodging Trust | (12,629 | ) | (175,922 | ) | (0.3 | %) | ||||||
| Service Properties Trust | (17,637 | ) | (155,029 | ) | (0.2 | %) | ||||||
| Sunstone Hotel Investors, Inc. | (17,435 | ) | (204,512 | ) | (0.3 | %) | ||||||
| Xenia Hotels & Resorts, Inc. | (15,949 | ) | (288,836 | ) | (0.4 | %) | ||||||
|
| |||||||||||
| (3,099,048 | ) | |||||||||||
|
| |||||||||||
| Food & Staples Retailing | ||||||||||||
| Chefs’ Warehouse, Inc. (The) | (6,451 | ) | (214,818 | ) | (0.3 | %) | ||||||
| Sprouts Farmers Markets Holdings LLC | (5,253 | ) | (155,909 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (370,727 | ) | |||||||||||
|
| |||||||||||
| Food Products | ||||||||||||
| Darling Ingredients, Inc. | (3,860 | ) | (267,459 | ) | (0.4 | %) | ||||||
| Lamb Weston Holdings, Inc. | (3,307 | ) | (209,598 | ) | (0.3 | %) | ||||||
| Pilgrim’s Pride Corp. | (19,043 | ) | (537,013 | ) | (0.8 | %) | ||||||
|
| |||||||||||
| (1,014,070 | ) | |||||||||||
|
| |||||||||||
| Health Care Equipment & Supplies | ||||||||||||
| Align Technology, Inc. | (681 | ) | (447,540 | ) | (0.6 | %) | ||||||
| NuVasive, Inc. | (3,296 | ) | (172,974 | ) | (0.3 | %) | ||||||
| Quidel Corp. | (5,449 | ) | (735,560 | ) | (1.1 | %) | ||||||
|
| |||||||||||
| (1,356,074 | ) | |||||||||||
|
| |||||||||||
| Health Care Providers & Services | ||||||||||||
| Accolade, Inc. | (8,062 | ) | (212,514 | ) | (0.3 | %) | ||||||
| Centene Corp. | (2,512 | ) | (206,989 | ) | (0.3 | %) | ||||||
| National Research Corp. | (4,185 | ) | (173,761 | ) | (0.3 | %) | ||||||
| Oak Street Health, Inc. | (7,047 | ) | (233,538 | ) | (0.3 | %) | ||||||
| Tenet Healthcare Corp. | (2,883 | ) | (235,512 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (1,062,314 | ) | |||||||||||
|
| |||||||||||
| Hotels, Restaurants & Leisure | ||||||||||||
| Carnival Corp. | (14,070 | ) | (283,088 | ) | (0.4 | %) | ||||||
| Cracker Barrel Old Country Store, Inc. | (1,471 | ) | (189,229 | ) | (0.3 | %) | ||||||
| Everi Holdings, Inc. | (4,092 | ) | (87,364 | ) | (0.1 | %) | ||||||
| Golden Entertainment, Inc. | (12,433 | ) | (628,240 | ) | (0.9 | %) | ||||||
| Hyatt Hotels Corp., Class A | (2,113 | ) | (202,637 | ) | (0.3 | %) | ||||||
| Las Vegas Sands Corp. | (4,884 | ) | (183,834 | ) | (0.3 | %) | ||||||
| MGM Resorts International | (6,800 | ) | (305,184 | ) | (0.4 | %) | ||||||
| Norwegian Cruise Line Holdings Ltd. | (9,043 | ) | (187,552 | ) | (0.3 | %) | ||||||
| Penn National Gaming, Inc. | (3,720 | ) | (192,882 | ) | (0.3 | %) | ||||||
| RCI Hospitality Holdings, Inc. | (1,481 | ) | (115,340 | ) | (0.2 | %) | ||||||
| Royal Caribbean Cruises Ltd. | (10,373 | ) | (797,684 | ) | (1.2 | %) | ||||||
|
| |||||||||||
| (3,173,034 | ) | |||||||||||
|
| |||||||||||
| Household Durables | ||||||||||||
| Hovnanian Enterprises, Inc., Class A | (4,767 | ) | (606,791 | ) | (0.9 | %) | ||||||
| Meritage Homes Corp. | (1,513 | ) | (184,677 | ) | (0.3 | %) | ||||||
| Taylor Morrison Home Corp. | (5,437 | ) | (190,078 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (981,546 | ) | |||||||||||
|
| |||||||||||
| Independent Power & Renewable Electricity Producers | ||||||||||||
| Sunnova Energy International, Inc. | (7,942 | ) | (221,741 | ) | (0.3 | %) | ||||||
| Vistra Corp. | (10,524 | ) | (239,631 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (461,372 | ) | |||||||||||
|
| |||||||||||
| Insurance | ||||||||||||
| Alleghany Corp. | (185 | ) | (123,504 | ) | (0.2 | %) | ||||||
| Arch Captial Group Ltd. | (3,941 | ) | (175,178 | ) | (0.3 | %) | ||||||
| Brighthouse Financial, Inc. | (5,305 | ) | (274,799 | ) | (0.4 | %) | ||||||
| Kemper Corp. | (3,309 | ) | (194,536 | ) | (0.3 | %) | ||||||
| Kinsale Capital Group, Inc. | (844 | ) | (200,779 | ) | (0.3 | %) | ||||||
| RenaissanceRe Holdings Ltd. | (1,269 | ) | (214,880 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (1,183,676 | ) | |||||||||||
|
| |||||||||||
| Interactive Media & Entertainment | ||||||||||||
| Match Group, Inc. | (1,616 | ) | (213,716 | ) | (0.3 | %) | ||||||
| Pinterest, Inc., Class A | (4,765 | ) | (173,208 | ) | (0.3 | %) | ||||||
| TripAdvisor, Inc. | (7,530 | ) | (205,268 | ) | (0.3 | %) | ||||||
| Twitter, Inc. | (2,146 | ) | (92,750 | ) | (0.1 | %) | ||||||
|
| |||||||||||
| (684,942 | ) | |||||||||||
|
| |||||||||||
| Internet & Direct Marketing Retail | ||||||||||||
| Expedia Group, Inc. | (2,119 | ) | (382,946 | ) | (0.6 | %) | ||||||
| Farfetch Ltd., Class A | (5,287 | ) | (176,744 | ) | (0.3 | %) | ||||||
| RealReal, Inc. (The) | (16,352 | ) | (189,847 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (749,537 | ) | |||||||||||
|
| |||||||||||
| IT Services | ||||||||||||
| DXC Technology Co. | (7,524 | ) | (242,197 | ) | (0.4 | %) | ||||||
| LiveRamp Holdings, Inc. | (3,682 | ) | (176,552 | ) | (0.3 | %) | ||||||
| Stoneco Ltd., Class A | (33,984 | ) | (572,970 | ) | (0.8 | %) | ||||||
| Wix.com Ltd. | (1,221 | ) | (192,662 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (1,184,381 | ) | |||||||||||
|
| |||||||||||
| Leisure Products | ||||||||||||
| Mattel, Inc. | (28,588 | ) | (616,357 | ) | (0.9 | %) | ||||||
|
| |||||||||||
| Life Sciences Tools & Services | ||||||||||||
| Adaptive Biotechnologies Corp. | (6,754 | ) | (189,517 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| Marine | ||||||||||||
| Kirby Corp. | (3,076 | ) | (182,776 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| Media | ||||||||||||
| Altice USA, Inc., Class A | (10,933 | ) | (176,896 | ) | (0.3 | %) | ||||||
| Cardlytics, Inc. | (3,069 | ) | (202,830 | ) | (0.3 | %) | ||||||
| Fox Corp., Class A | (14,867 | ) | (548,592 | ) | (0.8 | %) | ||||||
| Magnite, Inc. | (29,903 | ) | (523,303 | ) | (0.8 | %) | ||||||
|
| |||||||||||
| (1,451,621 | ) | |||||||||||
|
| |||||||||||
See accompanying notes to consolidated financial statements.
17 |
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund – (continued)
| Common Stocks — Short | Shares | Value | % of Basket Value | |||||||||
| Metals & Mining | ||||||||||||
| Barrick Gold Corp. | (23,187 | ) | $ | (440,553 | ) | (0.6 | %) | |||||
| Carpenter Technology Corp. | (14,271 | ) | (416,570 | ) | (0.6 | %) | ||||||
| Century Aluminum Co. | (25,001 | ) | (414,017 | ) | (0.6 | %) | ||||||
| Constellium SE | (8,511 | ) | (152,432 | ) | (0.2 | %) | ||||||
| Ferroglobe PLC | (32,036 | ) | (198,944 | ) | (0.3 | %) | ||||||
| Hecla Mining Co. | (42,570 | ) | (222,215 | ) | (0.3 | %) | ||||||
| Kinross Gold Corp. | (37,321 | ) | (216,835 | ) | (0.3 | %) | ||||||
| Pan American Silver Corp. | (16,722 | ) | (417,548 | ) | (0.6 | %) | ||||||
|
| |||||||||||
| (2,479,114 | ) | |||||||||||
|
| |||||||||||
| Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
| Biohaven Pharmaceutical Holding Co. Ltd. | (1,723 | ) | (237,447 | ) | (0.3 | %) | ||||||
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. | (3,830 | ) | (203,450 | ) | (0.3 | %) | ||||||
| Ladder Capital Corp. | (17,552 | ) | (210,448 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (651,345 | ) | |||||||||||
|
| |||||||||||
| Multi-Utilities | ||||||||||||
| NiSource, Inc. | (3,554 | ) | (98,126 | ) | (0.1 | %) | ||||||
|
| |||||||||||
| Multiline Retail | ||||||||||||
| Kohl’s Corp. | (4,303 | ) | (212,525 | ) | (0.3 | %) | ||||||
| Ollie’s Bargain Outlet Holdings, Inc. | (3,571 | ) | (182,800 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (395,325 | ) | |||||||||||
|
| |||||||||||
| Oil, Gas & Consumable Fuels | ||||||||||||
| APA Corp. | (8,520 | ) | (229,103 | ) | (0.3 | %) | ||||||
| Coterra Energy, Inc. | (9,178 | ) | (174,382 | ) | (0.3 | %) | ||||||
| CVR Energy, Inc. | (10,538 | ) | (177,144 | ) | (0.3 | %) | ||||||
| Denbury, Inc. | (3,924 | ) | (300,539 | ) | (0.4 | %) | ||||||
| Devon Energy Corp. | (11,437 | ) | (503,800 | ) | (0.7 | %) | ||||||
| Energy Transfer LP | (55,407 | ) | (456,000 | ) | (0.7 | %) | ||||||
| EOG Resources, Inc. | (2,534 | ) | (225,095 | ) | (0.3 | %) | ||||||
| Equitrans Midstream Corp. | (22,727 | ) | (234,997 | ) | (0.3 | %) | ||||||
| Hess Corp. | (3,378 | ) | (250,073 | ) | (0.4 | %) | ||||||
| HollyFrontier Corp. | (6,775 | ) | (222,085 | ) | (0.3 | %) | ||||||
| Kinder Morgan, Inc. | (10,774 | ) | (170,876 | ) | (0.2 | %) | ||||||
| Kosmos Energy Ltd. | (128,762 | ) | (445,517 | ) | (0.6 | %) | ||||||
| Marathon Oil Corp. | (22,167 | ) | (363,982 | ) | (0.5 | %) | ||||||
| Marathon Petroleum Corp. | (3,193 | ) | (204,320 | ) | (0.3 | %) | ||||||
| Matador Resources Co. | (2,285 | ) | (84,362 | ) | (0.1 | %) | ||||||
| Occidental Petroleum Corp. | (11,365 | ) | (329,471 | ) | (0.5 | %) | ||||||
| PBF Energy, Inc., Class A | (14,463 | ) | (187,585 | ) | (0.3 | %) | ||||||
| Phillips 66 | (24,627 | ) | (1,784,472 | ) | (2.6 | %) | ||||||
| Plains All American Pipeline LP | (19,217 | ) | (179,487 | ) | (0.3 | %) | ||||||
| Tellurian, Inc. | (98,421 | ) | (303,137 | ) | (0.4 | %) | ||||||
| Valero Energy Corp. | (7,784 | ) | (584,656 | ) | (0.8 | %) | ||||||
|
| |||||||||||
| (7,411,083 | ) | |||||||||||
|
| |||||||||||
| Personal Products | ||||||||||||
| Coty, Inc., Class A | (23,187 | ) | (243,463 | ) | (0.4 | %) | ||||||
| Herbalife Nutrition Ltd. | (11,259 | ) | (460,831 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (704,294 | ) | |||||||||||
|
| |||||||||||
| Pharmaceuticals | ||||||||||||
| Nektar Therapeutics | (15,510 | ) | (209,540 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| Professional Services | ||||||||||||
| TriNet Group, Inc. | (1,856 | ) | (176,803 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| Real Estate Management & Development | ||||||||||||
| Realogy Holdings Corp. | (5,740 | ) | (96,489 | ) | (0.1 | %) | ||||||
| Redfin Corp. | (4,420 | ) | (169,684 | ) | (0.2 | %) | ||||||
| Zillow Group, Inc., Class A | (2,728 | ) | (169,736 | ) | (0.2 | %) | ||||||
|
| |||||||||||
| (435,909 | ) | |||||||||||
|
| |||||||||||
| Road & Rail | ||||||||||||
| Avis Budget Group, Inc. | (882 | ) | (182,900 | ) | (0.3 | %) | ||||||
| Lyft, Inc., Class A | (11,727 | ) | (501,095 | ) | (0.7 | %) | ||||||
|
| |||||||||||
| (683,995 | ) | |||||||||||
|
| |||||||||||
| Semiconductors & Semiconductor Equipment | ||||||||||||
| Applied Materials, Inc. | (949 | ) | (149,335 | ) | (0.2 | %) | ||||||
| Entegris, Inc. | (2,506 | ) | (347,282 | ) | (0.5 | %) | ||||||
| First Solar, Inc. | (2,218 | ) | (193,321 | ) | (0.3 | %) | ||||||
| Ichor Holdings Ltd. | (4,774 | ) | (219,747 | ) | (0.3 | %) | ||||||
| MKS Instruments, Inc. | (2,777 | ) | (483,670 | ) | (0.7 | %) | ||||||
| Monolithic Power Systems, Inc. | (749 | ) | (369,504 | ) | (0.5 | %) | ||||||
| NVIDIA Corp. | (340 | ) | (99,997 | ) | (0.1 | %) | ||||||
| Universal Display Corp. | (1,126 | ) | (185,824 | ) | (0.3 | %) | ||||||
| Veeco Instruments, Inc. | (13,092 | ) | (372,729 | ) | (0.5 | %) | ||||||
|
| |||||||||||
| (2,421,409 | ) | |||||||||||
|
| |||||||||||
| Software | ||||||||||||
| Blackbaud, Inc. | (4,270 | ) | (337,245 | ) | (0.5 | %) | ||||||
| Ceridian HCM Holding, Inc. | (3,683 | ) | (384,726 | ) | (0.6 | %) | ||||||
| Coupa Software, Inc. | (1,141 | ) | (180,335 | ) | (0.3 | %) | ||||||
| Digital Turbine, Inc. | (3,337 | ) | (203,524 | ) | (0.3 | %) | ||||||
| Fair Isaac Corp. | (435 | ) | (188,646 | ) | (0.3 | %) | ||||||
| Paycom Software, Inc. | (991 | ) | (411,453 | ) | (0.6 | %) | ||||||
| PROS Holdings, Inc. | (5,050 | ) | (174,174 | ) | (0.3 | %) | ||||||
| Q2 Holdings, Inc. | (2,099 | ) | (166,745 | ) | (0.2 | %) | ||||||
| RingCentral, Inc., Class A | (957 | ) | (179,294 | ) | (0.3 | %) | ||||||
| Verint Systems, Inc. | (4,544 | ) | (238,605 | ) | (0.3 | %) | ||||||
| Zendesk, Inc. | (12,851 | ) | (1,340,231 | ) | (1.9 | %) | ||||||
|
| |||||||||||
| (3,804,978 | ) | |||||||||||
|
| |||||||||||
| Specialty Retail | ||||||||||||
| Caleres, Inc. | (11,817 | ) | (268,010 | ) | (0.4 | %) | ||||||
| Carvana Co. | (1,009 | ) | (233,876 | ) | (0.3 | %) | ||||||
| Conn’s, Inc. | (13,773 | ) | (323,941 | ) | (0.5 | %) | ||||||
| Designer Brands, Inc., Class A | (32,246 | ) | (458,216 | ) | (0.7 | %) | ||||||
| Dick’s Sporting Goods, Inc. | (1,686 | ) | (193,873 | ) | (0.3 | %) | ||||||
| Gap, Inc. (The) | (25,851 | ) | (456,270 | ) | (0.7 | %) | ||||||
| Guess?, Inc. | (20,935 | ) | (495,741 | ) | (0.7 | %) | ||||||
| Williams-Sonoma, Inc. | (3,281 | ) | (554,915 | ) | (0.8 | %) | ||||||
|
| |||||||||||
| (2,984,842 | ) | |||||||||||
|
| |||||||||||
| Technology Hardware, Storage & Peripherals | ||||||||||||
| Diebold Nixdorf, Inc | (23,084 | ) | (208,910 | ) | (0.3 | %) | ||||||
| Xerox Holdings Corp. | (8,926 | ) | (202,085 | ) | (0.3 | %) | ||||||
|
| |||||||||||
| (410,995 | ) | |||||||||||
|
| |||||||||||
| Textiles, Apparel & Luxury Goods | ||||||||||||
| Hanesbrands, Inc. | (13,715 | ) | (229,314 | ) | (0.2 | %) | ||||||
| Lululemon Athletica, Inc. | (1,073 | ) | (420,026 | ) | (0.5 | %) | ||||||
| PVH Corp. | (4,266 | ) | (454,969 | ) | (0.6 | %) | ||||||
| Ralph Lauren Corp. | (3,636 | ) | (432,175 | ) | (0.5 | %) | ||||||
|
| |||||||||||
| (1,536,484 | ) | |||||||||||
|
| |||||||||||
| Thrifts & Mortgage Finance | ||||||||||||
| New York Community Bancorp, Inc. | (95,605 | ) | (1,167,337 | ) | (1.6 | %) | ||||||
| WSFS Financial Corp. | (26,014 | ) | (1,303,822 | ) | (1.8 | %) | ||||||
|
| |||||||||||
| (2,471,159 | ) | |||||||||||
|
| |||||||||||
| Trading Companies & Distributors | ||||||||||||
| Veritiv Corp. | (2,644 | ) | (324,075 | ) | (0.4 | %) | ||||||
|
| |||||||||||
| Total Common Stocks — Short |
| $ | (69,136,823 | ) | ||||||||
|
| |||||||||||
See accompanying notes to consolidated financial statements.
| 18
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Global Alternatives Fund – (continued)
Investment Summary at December 31, 2021
Certificates of Deposit | 39.6 | % | ||
Treasuries | 23.8 | |||
Common Stocks | 22.1 | |||
Repurchase Agreements | 6.4 | |||
Closed-End Investment Companies | 0.1 | |||
|
| |||
Total Investments | 92.0 | |||
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) | 8.0 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Net Exposures by Asset Class as a Percentage of Net Assets at December 31, 20211
Equity | 44.3 | % | ||
Fixed Income | (24.5 | ) | ||
Short-Term Interest Rate | 9.3 | |||
Commodity | 9.0 | |||
Currency | (1.8 | ) |
| 1 | The Fund gains its investment exposures primarily through the use of futures contracts, forward contracts and swap contracts and may have net exposure that is materially less than or greater than its net asset value. Portfolio exposures presented above illustrate the Fund’s exposure to certain asset classes. The portfolio exposure percentage represents the notional contract value in U.S. dollars of the Fund’s futures and/or forward positions divided by the Fund’s total net assets. Notional contract values represent the aggregate exposure that a futures or forward currency contract provides to the underlying reference asset or currency, respectively. Exposure to equity securities also includes long and short equity positions held in conjunction with the Fund’s investment in bilateral equity basket total return swaps, and is represented by the U.S. dollar value of the securities in the basket. |
See accompanying notes to consolidated financial statements.
19 |
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Managed Futures Strategy Fund
| Principal Amount | Description | Value (†) | ||||||
| Short-Term Investments — 90.6% of Net Assets | ||||||||
| Treasuries — 44.6% |
| |||||||
| $ | 63,000,000 | U.S. Treasury Bills, 0.029%-0.045%,��1/06/2022(a)(b)(c)(d) | $ | 62,999,979 | ||||
| 10,000,000 | U.S. Treasury Bills, 0.040%, 1/13/2022(a) | 9,999,958 | ||||||
| 30,000,000 | U.S. Treasury Bills, 0.040%, 1/18/2022(a) | 29,999,812 | ||||||
| 40,000,000 | U.S. Treasury Bills, 0.055%, 1/27/2022(a) | 39,999,267 | ||||||
| 25,000,000 | U.S. Treasury Bills, 0.045%, 2/01/2022(a) | 24,999,497 | ||||||
| 72,000,000 | U.S. Treasury Bills, 0.032%-0.045%, 2/03/2022(a)(b)(c)(d) | 71,998,140 | ||||||
| 30,000,000 | U.S. Treasury Bills, 0.052%, 2/08/2022(a) | 29,999,137 | ||||||
| 25,000,000 | U.S. Treasury Bills, 0.035%, 2/10/2022(a) | 24,999,142 | ||||||
| 10,000,000 | U.S. Treasury Bills, 0.060%, 2/24/2022(a) | 9,999,603 | ||||||
| 50,000,000 | U.S. Treasury Bills, 0.020%-0.035%, 3/01/2022(a)(b) | 49,997,229 | ||||||
| 30,000,000 | U.S. Treasury Bills, 0.043%-0.045%, 3/03/2022(a)(b)(d) | 29,997,664 | ||||||
| 45,000,000 | U.S. Treasury Bills, 0.035%-0.045%, 3/10/2022(a)(b) | 44,996,494 | ||||||
| 25,000,000 | U.S. Treasury Bills, 0.040%, 3/22/2022(a) | 24,996,317 | ||||||
| 30,000,000 | U.S. Treasury Bills, 0.045%, 3/31/2022(a) | 29,996,182 | ||||||
| 40,000,000 | U.S. Treasury Bills, 0.050%-0.055%, 4/07/2022(a)(b)(d) | 39,992,376 | ||||||
| 16,000,000 | U.S. Treasury Bills, 0.055%, 4/28/2022(a) | 15,996,103 | ||||||
| 25,000,000 | U.S. Treasury Bills, 0.060%, 5/05/2022(a) | 24,993,328 | ||||||
| 4,000,000 | U.S. Treasury Bills, 0.060%, 5/12/2022(a) | 3,998,710 | ||||||
| 40,000,000 | U.S. Treasury Bills, 0.055%, 5/19/2022(a) | 39,985,229 | ||||||
| 20,000,000 | U.S. Treasury Bills, 0.085%, 5/26/2022(a) | 19,992,532 | ||||||
| 20,000,000 | U.S. Treasury Bills, 0.085%, 6/02/2022(a) | 19,991,146 | ||||||
| 20,000,000 | U.S. Treasury Bills, 0.155%, 6/23/2022(a) | 19,984,087 | ||||||
|
| |||||||
| 669,911,932 | ||||||||
|
| |||||||
| Certificates of Deposit — 41.2% |
| |||||||
| 13,000,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), 0.120%, 1/13/2022 | 13,000,164 | ||||||
| 15,000,000 | Sumitomo Mitsui Banking Corp. (NY), 0.120%, 1/18/2022 | 15,000,232 | ||||||
| 20,000,000 | Toronto-Dominion Bank (NY), 0.130%, 1/20/2022 | 20,000,555 | ||||||
| 40,000,000 | Sumitomo Mitsui Banking Corp. (NY), 0.130%, 1/24/2022 | 40,000,799 | ||||||
| 20,000,000 | Canadian Imperial Bank of Commerce (NY), 0.210%, 1/26/2022(e) | 20,001,760 | ||||||
| 30,000,000 | Royal Bank of Canada (NY), 0.100%, 2/08/2022 | 30,000,258 | ||||||
| 25,000,000 | Cooperatieve Rabobank U.A., 0.120%, 2/15/2022 | 25,000,446 | ||||||
| 15,000,000 | Cooperatieve Rabobank U.A., 0.120%, 2/15/2022 | 15,000,267 | ||||||
| 15,000,000 | Toronto-Dominion Bank (NY), 0.140%, 2/17/2022 | 15,000,479 | ||||||
| 40,000,000 | Skandinaviska Enskilda Banken (NY), 0.140%, 2/18/2022 | 40,000,434 | ||||||
| 12,000,000 | Canadian Imperial Bank of Commerce (NY), 0.140%, 2/24/2022 | 12,000,604 | ||||||
| 25,000,000 | Oversea-Chinese Banking Corp. Ltd. (NY), 0.140%, 3/01/2022 | 25,001,249 | ||||||
| 30,000,000 | Svenska Handelsbanken (NY), 0.120%, 3/07/2022(e) | 29,998,567 | ||||||
| 35,000,000 | Sumitomo Mitsui Trust (NY), 0.230%, 4/12/2022 | 34,999,008 | ||||||
| 9,000,000 | Westpac Banking Corp. (NY), 0.150%, 4/14/2022 | 8,999,219 | ||||||
| 30,000,000 | Bank of Nova Scotia (NY), 0.220%, 4/14/2022(e) | 29,998,755 | ||||||
| 25,000,000 | Commonwealth Bank of Australia (NY), 0.160%, 4/22/2022(e) | 24,995,565 | ||||||
| 20,000,000 | Sumitomo Mitsui Trust (NY), 0.250%, 5/16/2022 | 19,997,652 | ||||||
| 65,000,000 | Mizuho Bank Ltd. (NY), 0.260%, 5/16/2022 | 64,993,354 | ||||||
| 5,000,000 | Mizuho Bank Ltd. (NY), 0.290%, 5/18/2022 | 5,000,000 | ||||||
| 30,000,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), 0.320%, 6/06/2022 | 30,001,689 | ||||||
| 25,000,000 | Royal Bank of Canada (NY), 0.180%, 6/08/2022(e) | 24,990,164 | ||||||
| 50,000,000 | Bank of Montreal (IL), 0.200%, 6/23/2022(e) | 49,966,135 | ||||||
| Certificates of Deposit — continued |
| |||||||
| $ | 25,000,000 | Bank of America, N.A., 0.330%, 7/13/2022 | $ | 25,002,818 | ||||
|
| |||||||
| 618,950,173 | ||||||||
|
| |||||||
| Repurchase Agreements — 4.8% |
| |||||||
| 72,335,133 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $72,335,133 on 1/03/2022 collateralized by $33,549,500 U.S. Treasury Note, 1.000% due 7/31/2028 valued at $32,812,237; $7,983,900 U.S. Treasury Bond, 4.250% due 5/15/2039 valued at $10,932,019; $21,582,000 U.S. Treasury Bond, 4.375% due 11/15/2039 valued at $30,037,763 including accrued interest (Note 2 of Notes to Consolidated Financial Statements)(c) | 72,335,133 | ||||||
|
| |||||||
| Total Short-Term Investments (Identified Cost $1,361,261,706) | 1,361,197,238 | |||||||
|
| |||||||
| Total Investments — 90.6% (Identified Cost $1,361,261,706) | 1,361,197,238 | |||||||
| Other assets less liabilities — 9.4% | 141,591,938 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 1,502,789,176 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Consolidated Financial Statements. |
| ||||||
| (a) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| ||||||
| (b) | 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. |
| ||||||
| (c) | 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 Consolidated Financial Statements. |
| ||||||
| (d) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| ||||||
| (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 consolidated financial statements.
| 20
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Managed Futures Strategy Fund – (continued)
At December 31, 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 | 3/16/2022 | CHF | B | 4,000,000 | $ | 4,369,918 | $ | 4,397,988 | $ | 28,070 | ||||||||||||||||
UBS AG | 3/16/2022 | CHF | S | 64,500,000 | 69,905,514 | 70,917,561 | (1,012,047 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | CNH | B | 598,000,000 | 93,188,222 | 93,644,270 | 456,048 | |||||||||||||||||||
UBS AG | 3/16/2022 | CNH | S | 47,000,000 | 7,314,727 | 7,360,001 | (45,274 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | MXN | B | 904,500,000 | 42,991,990 | 43,621,081 | 629,091 | |||||||||||||||||||
UBS AG | 3/16/2022 | MXN | S | 1,167,000,000 | 53,992,580 | 56,280,598 | (2,288,018 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | NOK | B | 132,000,000 | 14,802,227 | 14,968,958 | 166,731 | |||||||||||||||||||
UBS AG | 3/16/2022 | NOK | S | 798,000,000 | 88,082,144 | 90,494,159 | (2,412,015 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | NZD | B | 46,300,000 | 31,490,703 | 31,676,363 | 185,660 | |||||||||||||||||||
UBS AG | 3/16/2022 | NZD | S | 318,900,000 | 215,655,543 | 218,176,939 | (2,521,396 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | PLN | B | 20,000,000 | 4,865,718 | 4,937,288 | 71,570 | |||||||||||||||||||
UBS AG | 3/16/2022 | PLN | S | 347,500,000 | 84,659,668 | 85,785,383 | (1,125,715 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | SEK | S | 1,656,000,000 | 181,985,714 | 183,370,887 | (1,385,173 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | SGD | B | 61,250,000 | 45,259,205 | 45,434,131 | 174,926 | |||||||||||||||||||
UBS AG | 3/16/2022 | SGD | S | 214,625,000 | 156,955,018 | 159,204,905 | (2,249,887 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | TRY | S | 45,000,000 | 3,079,298 | 3,196,699 | (117,401 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | ZAR | B | 47,000,000 | 2,954,937 | 2,919,785 | (35,152 | ) | ||||||||||||||||||
UBS AG | 3/16/2022 | ZAR | S | 1,015,000,000 | 62,767,778 | 63,054,920 | (287,142 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total |
| $ | (11,767,124 | ) | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||
At December 31, 2021, open long futures contracts were as follows:
| Financial and Currency Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
10 Year Canada Government Bond | 3/22/2022 | 369 | $ | 41,777,122 | $ | 41,603,842 | $ | (173,280 | ) | |||||||||||
30 Year U.S. Treasury Bond | 3/22/2022 | 585 | 94,915,531 | 93,855,937 | (1,059,594 | ) | ||||||||||||||
AEX-Index® | 1/21/2022 | 223 | 39,860,010 | 40,504,371 | 644,361 | |||||||||||||||
ASX SPI 200™ | 3/17/2022 | 414 | 54,961,509 | 55,323,956 | 362,447 | |||||||||||||||
CAC 40® | 1/21/2022 | 694 | 55,068,281 | 56,438,181 | 1,369,900 | |||||||||||||||
DAX | 3/18/2022 | 52 | 23,235,952 | 23,467,665 | 231,713 | |||||||||||||||
E-mini Dow | 3/18/2022 | 530 | 94,572,325 | 95,998,900 | 1,426,575 | |||||||||||||||
E-mini NASDAQ 100 | 3/18/2022 | 384 | 123,729,668 | 125,343,360 | 1,613,692 | |||||||||||||||
E-mini Russell 2000 | 3/18/2022 | 61 | 6,806,585 | 6,840,540 | 33,955 | |||||||||||||||
E-mini S&P 500® | 3/18/2022 | 748 | 174,134,268 | 177,967,900 | 3,833,632 | |||||||||||||||
E-mini S&P MidCap 400® | 3/18/2022 | 179 | 49,594,150 | 50,794,830 | 1,200,680 | |||||||||||||||
Euribor | 3/14/2022 | 2,884 | 825,267,832 | 825,331,901 | 64,069 | |||||||||||||||
Euro Schatz | 3/08/2022 | 1,878 | 239,879,655 | 239,531,599 | (348,056 | ) | ||||||||||||||
EURO STOXX 50® | 3/18/2022 | 639 | 30,422,283 | 31,191,616 | 769,333 | |||||||||||||||
Euro-Buxl® 30 Year Bond | 3/08/2022 | 334 | 82,293,120 | 78,614,719 | (3,678,401 | ) | ||||||||||||||
FTSE 100 Index | 3/18/2022 | 634 | 61,871,702 | 62,850,955 | 979,253 | |||||||||||||||
FTSE MIB | 3/18/2022 | 239 | 36,251,422 | 37,071,096 | 819,674 | |||||||||||||||
FTSE Taiwan Index | 1/25/2022 | 1,177 | 74,354,320 | 75,492,780 | 1,138,460 | |||||||||||||||
FTSE/JSE Top 40 Index | 3/17/2022 | 684 | 28,291,104 | 28,755,901 | 464,797 | |||||||||||||||
German Euro Bund | 3/08/2022 | 116 | 23,059,194 | 22,632,143 | (427,051 | ) | ||||||||||||||
MSCI EAFE Index | 3/18/2022 | 228 | 26,258,310 | 26,468,520 | 210,210 | |||||||||||||||
Nikkei 225™ | 3/10/2022 | 54 | 13,020,699 | 13,510,562 | 489,863 | |||||||||||||||
OMXS30® | 1/21/2022 | 1,293 | 33,517,366 | 34,617,320 | 1,099,954 | |||||||||||||||
S&P/TSX 60 Index | 3/17/2022 | 749 | 149,125,946 | 151,688,857 | 2,562,911 | |||||||||||||||
STOXX Europe 600 | 3/18/2022 | 936 | 25,174,376 | 25,921,587 | 747,211 | |||||||||||||||
TOPIX | 3/10/2022 | 120 | 20,371,942 | 20,780,666 | 408,724 | |||||||||||||||
UK Long Gilt | 3/29/2022 | 202 | 34,832,985 | 34,149,794 | (683,191 | ) | ||||||||||||||
Ultra 10 Year U.S. Treasury Note | 3/22/2022 | 699 | 102,871,860 | 102,359,813 | (512,047 | ) | ||||||||||||||
Ultra Long U.S. Treasury Bond | 3/22/2022 | 325 | 65,045,656 | 64,065,625 | (980,031 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 12,609,763 | |||||||||||||||||
|
| |||||||||||||||||||
See accompanying notes to consolidated financial statements.
21 |
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Managed Futures Strategy Fund – (continued)
| Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Aluminum LME | 3/16/2022 | 543 | $ | 37,105,531 | $ | 38,118,600 | $ | 1,013,069 | ||||||||||||
Brent Crude Oil | 1/31/2022 | 657 | 49,301,250 | 51,101,460 | 1,800,210 | |||||||||||||||
Coffee | 3/21/2022 | 338 | 28,183,669 | 28,658,175 | 474,506 | |||||||||||||||
Copper | 3/29/2022 | 357 | 38,915,413 | 39,836,738 | 921,325 | |||||||||||||||
Copper LME | 3/16/2022 | 73 | 17,447,730 | 17,759,988 | 312,258 | |||||||||||||||
Corn | 3/14/2022 | 1,522 | 44,570,825 | 45,146,325 | 575,500 | |||||||||||||||
Cotton | 3/09/2022 | 551 | 31,002,830 | 31,021,300 | 18,470 | |||||||||||||||
EUA Emissions | 12/19/2022 | 255 | 20,925,384 | 23,414,099 | 2,488,715 | |||||||||||||||
Gasoline | 1/31/2022 | 516 | 45,480,502 | 48,211,531 | 2,731,029 | |||||||||||||||
Lean Hog | 2/14/2022 | 113 | 3,750,520 | 3,682,670 | (67,850 | ) | ||||||||||||||
Live Cattle | 2/28/2022 | 57 | 3,198,910 | 3,185,160 | (13,750 | ) | ||||||||||||||
Low Sulfur Gasoil | 2/10/2022 | 667 | 43,084,625 | 44,438,875 | 1,354,250 | |||||||||||||||
New York Harbor ULSD | 1/31/2022 | 349 | 32,718,554 | 34,084,247 | 1,365,693 | |||||||||||||||
Nickel LME | 3/16/2022 | 202 | 23,984,808 | 25,201,722 | 1,216,914 | |||||||||||||||
Soybean | 3/14/2022 | 699 | 47,008,750 | 46,806,788 | (201,962 | ) | ||||||||||||||
Soybean Meal | 3/14/2022 | 899 | 35,571,920 | 35,879,090 | 307,170 | |||||||||||||||
Soybean Oil | 3/14/2022 | 226 | 8,130,426 | 7,665,468 | (464,958 | ) | ||||||||||||||
Sugar | 2/28/2022 | 769 | 17,264,979 | 16,260,966 | (1,004,013 | ) | ||||||||||||||
Wheat | 3/14/2022 | 520 | 21,648,638 | 20,039,500 | (1,609,138 | ) | ||||||||||||||
WTI Crude Oil | 1/20/2022 | 511 | 36,974,550 | 38,432,310 | 1,457,760 | |||||||||||||||
Zinc LME | 3/16/2022 | 359 | 29,842,331 | 31,843,300 | 2,000,969 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 14,676,167 | |||||||||||||||||
|
| |||||||||||||||||||
At December 31, 2021, open short futures contracts were as follows:
| Financial and Currency Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
3 Year Australia Government Bond | 3/15/2022 | 4,842 | $ | 402,106,388 | $ | 402,127,671 | $ | (21,283 | ) | |||||||||||
3-month SONIA Index | 6/14/2022 | 657 | 221,399,879 | 220,975,541 | 424,338 | |||||||||||||||
3-month SOFR Index | 6/14/2022 | 623 | 155,523,013 | 155,376,200 | 146,813 | |||||||||||||||
2 Year U.S. Treasury Note | 3/31/2022 | 4,603 | 1,004,821,034 | 1,004,245,145 | 575,889 | |||||||||||||||
5 Year U.S. Treasury Note | 3/31/2022 | 4,672 | 564,808,662 | 565,202,502 | (393,840 | ) | ||||||||||||||
10 Year Australia Government Bond | 3/15/2022 | 153 | 15,532,402 | 15,491,432 | 40,970 | |||||||||||||||
10 Year U.S. Treasury Note | 3/22/2022 | 490 | 63,605,859 | 63,929,687 | (323,828 | ) | ||||||||||||||
Australian Dollar | 3/14/2022 | 2,228 | 156,083,866 | 162,153,840 | (6,069,974 | ) | ||||||||||||||
Brazilian Real | 1/31/2022 | 314 | 5,449,470 | 5,589,200 | (139,730 | ) | ||||||||||||||
British Pound | 3/14/2022 | 2,199 | 182,184,287 | 185,966,681 | (3,782,394 | ) | ||||||||||||||
Canadian Dollar | 3/15/2022 | 3,094 | 242,879,380 | 244,580,700 | (1,701,320 | ) | ||||||||||||||
Euro | 3/14/2022 | 1,768 | 250,563,369 | 251,995,250 | (1,431,881 | ) | ||||||||||||||
Euro-BTP | 3/08/2022 | 297 | 50,153,287 | 49,709,136 | 444,151 | |||||||||||||||
Euro-OAT | 3/08/2022 | 16 | 2,977,039 | 2,971,939 | 5,100 | |||||||||||||||
Eurodollar | 3/14/2022 | 10,041 | 2,502,849,238 | 2,501,589,638 | 1,259,600 | |||||||||||||||
FTSE China A50 Index | 1/27/2022 | 123 | 1,945,096 | 1,930,977 | 14,119 | |||||||||||||||
German Euro BOBL | 3/08/2022 | 847 | 128,645,481 | 128,484,554 | 160,927 | |||||||||||||||
Hang Seng China Enterprises Index | 1/28/2022 | 1,058 | 55,650,044 | 56,084,834 | (434,790 | ) | ||||||||||||||
Hang Seng Index® | 1/28/2022 | 428 | 63,533,270 | 64,360,139 | (826,869 | ) | ||||||||||||||
IBEX 35 | 1/21/2022 | 2 | 190,266 | 197,744 | (7,478 | ) | ||||||||||||||
Indian Rupee | 1/27/2022 | 218 | 5,730,348 | 5,849,812 | (119,464 | ) | ||||||||||||||
Japanese Yen | 3/14/2022 | 2,310 | 253,972,050 | 251,154,750 | 2,817,300 | |||||||||||||||
MSCI Emerging Markets Index | 3/18/2022 | 678 | 41,491,757 | 41,571,570 | (79,813 | ) | ||||||||||||||
MSCI Singapore | 1/28/2022 | 299 | 7,461,881 | 7,547,110 | (85,229 | ) | ||||||||||||||
Short-Term Euro-BTP | 3/08/2022 | 832 | 106,989,477 | 106,951,929 | 37,548 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (9,491,138 | ) | ||||||||||||||||
|
| |||||||||||||||||||
See accompanying notes to consolidated financial statements.
| 22
Consolidated Portfolio of Investments – as of December 31, 2021
AlphaSimplex Managed Futures Strategy Fund – (continued)
| Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Aluminum LME | 3/16/2022 | 101 | $ | 6,525,447 | $ | 7,090,200 | $ | (564,753 | ) | |||||||||||
Cocoa | 3/16/2022 | 378 | 9,284,670 | 9,525,600 | (240,930 | ) | ||||||||||||||
Gold | 2/24/2022 | 30 | 5,358,990 | 5,485,800 | (126,810 | ) | ||||||||||||||
Iron Ore | 2/28/2022 | 39 | 446,940 | 470,886 | (23,946 | ) | ||||||||||||||
Natural Gas | 2/24/2022 | 128 | 4,732,000 | 4,552,960 | 179,040 | |||||||||||||||
Palladium | 3/29/2022 | 34 | 6,261,730 | 6,501,140 | (239,410 | ) | ||||||||||||||
Platinum | 4/27/2022 | 294 | 13,583,465 | 14,203,140 | (619,675 | ) | ||||||||||||||
Silver | 3/29/2022 | 353 | 39,205,225 | 41,216,280 | (2,011,055 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (3,647,539 | ) | ||||||||||||||||
|
| |||||||||||||||||||
| 1 | Commodity futures are held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Consolidated Financial Statements. |
Investment Summary at December 31, 2021
Treasuries | 44.6 | % | ||
Certificates of Deposit | 41.2 | |||
Repurchase Agreements | 4.8 | |||
|
| |||
Total Investments | 90.6 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) | 9.4 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Net Exposures by Asset Class as a Percentage of Net Assets at December 31, 20211
Equity | 64.5 | % | ||
Fixed Income | (110.6 | ) | ||
Short-Term Interest Rate | (136.6 | ) | ||
Commodity | 36.1 | |||
Currency | (120.0 | ) |
| 1 | The Fund gains its investment exposures primarily through the use of futures contracts and forward contracts and may have net exposure that is materially less than or greater than its net asset value. Portfolio exposures presented above are intended to illustrate the Fund’s exposure to certain asset classes. The portfolio exposure percentage represents the notional contract value in U.S. dollars of the Fund’s futures and/or forward positions divided by the Fund’s total net assets. Notional contract values represent the aggregate exposure that a futures or forward currency contract provides to the underlying reference asset or currency, respectively. |
See accompanying notes to consolidated financial statements.
23 |
Consolidated Statements of Assets and Liabilities
December 31, 2021
| AlphaSimplex Global Alternatives Fund | AlphaSimplex Managed Futures Strategy Fund | |||||||
ASSETS | ||||||||
Investments at cost | $ | 308,063,216 | $ | 1,361,261,706 | ||||
Net unrealized appreciation (depreciation) | 7,190,576 | (64,468 | ) | |||||
|
|
|
| |||||
Investments at value | 315,253,792 | 1,361,197,238 | ||||||
Cash | 333,198 | — | ||||||
Due from brokers (including variation margin on futures contracts) (Note 2) | 22,898,671 | 135,207,329 | ||||||
Receivable for Fund shares sold | 542,562 | 6,846,680 | ||||||
Receivable for securities sold | 723,890 | — | ||||||
Dividends and interest receivable | 116,115 | 316,333 | ||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | 716,713 | 1,712,096 | ||||||
Unrealized appreciation on futures contracts (Note 2) | 6,392,854 | 44,615,047 | ||||||
Prepaid expenses | 28,131 | 30,666 | ||||||
|
|
|
| |||||
TOTAL ASSETS | 347,005,926 | 1,549,925,389 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Payable for Fund shares redeemed | 705,693 | 934,118 | ||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 378,320 | 13,479,220 | ||||||
Unrealized depreciation on futures contracts (Note 2) | 2,595,730 | 30,467,794 | ||||||
Management fees payable (Note 6) | 289,113 | 1,558,421 | ||||||
Deferred Trustees’ fees (Note 6) | 355,183 | 345,799 | ||||||
Administrative fees payable (Note 6) | 32,049 | 85,156 | ||||||
Payable to distributor (Note 6d) | 2,985 | 15,283 | ||||||
Other accounts payable and accrued expenses | 165,585 | 250,422 | ||||||
|
|
|
| |||||
TOTAL LIABILITIES | 4,524,658 | 47,136,213 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 342,481,268 | $ | 1,502,789,176 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 360,666,360 | $ | 1,568,273,829 | ||||
Accumulated loss | (18,185,092 | ) | (65,484,653 | ) | ||||
|
|
|
| |||||
NET ASSETS | $ | 342,481,268 | $ | 1,502,789,176 | ||||
|
|
|
| |||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||
Class A shares: | ||||||||
Net assets | $ | 16,881,955 | $ | 51,356,059 | ||||
|
|
|
| |||||
Shares of beneficial interest | 1,565,459 | 5,165,198 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 10.78 | $ | 9.94 | ||||
|
|
|
| |||||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 11.44 | $ | 10.55 | ||||
|
|
|
| |||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||
Net assets | $ | 3,108,507 | $ | 17,400,301 | ||||
|
|
|
| |||||
Shares of beneficial interest | 309,120 | 1,855,199 | ||||||
|
|
|
| |||||
Net asset value and offering price per share | $ | 10.06 | $ | 9.38 | ||||
|
|
|
| |||||
Class N shares: | ||||||||
Net assets | $ | 141,826 | $ | 188,562,103 | ||||
|
|
|
| |||||
Shares of beneficial interest | 12,930 | 18,737,949 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 10.97 | $ | 10.06 | ||||
|
|
|
| |||||
Class Y shares: | ||||||||
Net assets | $ | 322,348,980 | $ | 1,245,470,713 | ||||
|
|
|
| |||||
Shares of beneficial interest | 29,349,431 | 124,002,812 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 10.98 | $ | 10.04 | ||||
|
|
|
| |||||
See accompanying notes to consolidated financial statements.
| 24
Consolidated Statements of Operations
For the Year Ended December 31, 2021
| AlphaSimplex Global Alternatives Fund | AlphaSimplex Managed Futures Strategy Fund | |||||||
INVESTMENT INCOME | ||||||||
Interest | $ | 264,983 | $ | 1,366,112 | ||||
Dividends | 2,815,748 | — | ||||||
Less net foreign taxes withheld | (4,544 | ) | — | |||||
|
|
|
| |||||
| 3,076,187 | 1,366,112 | |||||||
|
|
|
| |||||
Expenses | ||||||||
Management fees (Note 6) | 5,140,087 | 18,696,619 | ||||||
Service and distribution fees (Note 6) | 78,263 | 367,916 | ||||||
Administrative fees (Note 6) | 281,223 | 740,842 | ||||||
Trustees’ and directors’ fees and expenses (Note 6) | 86,561 | 115,225 | ||||||
Transfer agent fees and expenses (Notes 6 and 7) | 353,609 | 1,787,183 | ||||||
Audit and tax services fees | 87,160 | 75,650 | ||||||
Custodian fees and expenses | 133,352 | 162,337 | ||||||
Interest expense (Note 10) | 91,221 | 347,799 | ||||||
Legal fees (Note 8) | 17,479 | 51,032 | ||||||
Registration fees | 81,918 | 110,779 | ||||||
Shareholder reporting expenses | 55,830 | 158,338 | ||||||
Miscellaneous expenses | 79,580 | 102,683 | ||||||
|
|
|
| |||||
Total expenses | 6,486,283 | 22,716,403 | ||||||
Less waiver and/or expense reimbursement (Note 6) | (522,597 | ) | (455,604 | ) | ||||
|
|
|
| |||||
Net expenses | 5,963,686 | 22,260,799 | ||||||
|
|
|
| |||||
Net investment loss | (2,887,499 | ) | (20,894,687 | ) | ||||
|
|
|
| |||||
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 | 58,502,751 | 16,770 | ||||||
Futures contracts | 10,917,747 | 153,654,630 | ||||||
Swap agreements | (24,511,192 | ) | — | |||||
Forward foreign currency contracts (Note 2e) | (4,732,102 | ) | (24,583,454 | ) | ||||
Foreign currency transactions (Note 2d) | (12,452 | ) | 924,350 | |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | (23,492,578 | ) | (92,824 | ) | ||||
Futures contracts | (6,161,703 | ) | (43,303,514 | ) | ||||
Forward foreign currency contracts (Note 2e) | (294,427 | ) | (18,580,110 | ) | ||||
Foreign currency translations (Note 2d) | (2,466 | ) | (71,843 | ) | ||||
|
|
|
| |||||
Net realized and unrealized gain on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions | 10,213,578 | 67,964,005 | ||||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 7,326,079 | $ | 47,069,318 | ||||
|
|
|
| |||||
See accompanying notes to consolidated financial statements.
25 |
Consolidated Statements of Changes in Net Assets
| AlphaSimplex Global Alternatives Fund | AlphaSimplex Managed Futures Strategy Fund | |||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment loss | $ | (2,887,499 | ) | $ | (834,566 | ) | $ | (20,894,687 | ) | $ | (12,925,917 | ) | ||||
Net realized gain (loss) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions | 40,164,752 | (55,324,490 | ) | 130,012,296 | 146,793,410 | |||||||||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations | (29,951,174 | ) | 23,735,368 | (62,048,291 | ) | 56,812,203 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 7,326,079 | (32,423,688 | ) | 47,069,318 | 190,679,696 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | — | (350,065 | ) | (2,840,442 | ) | (5,200,492 | ) | |||||||||
Class C | — | (63,850 | ) | (887,877 | ) | (498,058 | ) | |||||||||
Class N | — | (3,354 | ) | (11,323,277 | ) | (4,653,921 | ) | |||||||||
Class Y | — | (12,812,860 | ) | (73,166,897 | ) | (38,834,778 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (13,230,129 | ) | (88,218,493 | ) | (49,187,249 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (188,134,426 | ) | (252,979,174 | ) | 57,851,676 | (229,316,445 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (180,808,347 | ) | (298,632,991 | ) | 16,702,501 | (87,823,998 | ) | |||||||||
NET ASSETS | ||||||||||||||||
Beginning of the year | 523,289,615 | 821,922,606 | 1,486,086,675 | 1,573,910,673 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the year | $ | 342,481,268 | $ | 523,289,615 | $ | 1,502,789,176 | $ | 1,486,086,675 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to consolidated financial statements.
| 26
Consolidated Financial Highlights
For a share outstanding throughout each period.
| AlphaSimplex Global Alternatives Fund— Class A | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.67 | $ | 11.18 | $ | 10.24 | $ | 11.04 | $ | 10.02 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.10 | ) | (0.03 | ) | 0.11 | 0.06 | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.21 | (0.24 | ) | 0.93 | (0.75 | ) | 1.10 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.11 | (0.27 | ) | 1.04 | (0.69 | ) | 1.07 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | — | (0.24 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.78 | $ | 10.67 | $ | 11.18 | $ | 10.24 | $ | 11.04 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 1.03 | %(c) | (2.38 | )%(c) | 10.26 | %(c) | (6.35 | )%(c) | 10.66 | % | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 16,882 | $ | 15,584 | $ | 25,341 | $ | 33,649 | $ | 49,904 | ||||||||||
Net expenses | 1.51 | %(d)(e)(f) | 1.52 | %(d)(g) | 1.54 | %(d) | 1.54 | %(d) | 1.57 | %(h)(i) | ||||||||||
Gross expenses | 1.62 | %(e)(f) | 1.58 | % | 1.57 | % | 1.55 | % | 1.57 | %(h) | ||||||||||
Net investment income (loss) | (0.91 | )% | (0.33 | )% | 0.97 | % | 0.58 | % | (0.26 | )% | ||||||||||
Portfolio turnover rate(j) | 115 | % | 232 | %(k) | 125 | % | 59 | % | — | % | ||||||||||
| (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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.49% and the ratio of gross expenses would have been 1.60%. |
| (f) | 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 1.63%, respectively. |
| (g) | Effective July 1, 2020, the expense limit decreased from 1.54% to 1.49%. |
| (h) | 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%. |
| (i) | Effective July 1, 2017, the expense limit decreased from 1.60% to 1.54%. |
| (j) | Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments. |
| (k) | 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. |
See accompanying notes to consolidated financial statements.
27 |
Consolidated Financial Highlights (continued)
For a share outstanding throughout each period.
| AlphaSimplex Global Alternatives Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.02 | $ | 10.48 | $ | 9.59 | $ | 10.33 | $ | 9.40 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.16 | ) | (0.11 | ) | 0.02 | (0.02 | ) | (0.10 | ) | |||||||||||
Net realized and unrealized gain (loss) | 0.20 | (0.22 | ) | 0.88 | (0.70 | ) | 1.03 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.04 | (0.33 | ) | 0.90 | (0.72 | ) | 0.93 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | — | (0.13 | ) | (0.01 | ) | (0.02 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.06 | $ | 10.02 | $ | 10.48 | $ | 9.59 | $ | 10.33 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 0.30 | %(c) | (3.17 | )%(c) | 9.48 | %(c) | (7.09 | )%(c) | 9.89 | % | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 3,109 | $ | 5,059 | $ | 11,171 | $ | 15,537 | $ | 24,521 | ||||||||||
Net expenses | 2.26 | %(d)(e)(f) | 2.27 | %(d)(g) | 2.29 | %(d) | 2.29 | %(d) | 2.32 | %(h)(i) | ||||||||||
Gross expenses | 2.37 | %(e)(f) | 2.33 | % | 2.32 | % | 2.30 | % | 2.32 | %(i) | ||||||||||
Net investment income (loss) | (1.61 | )% | (1.08 | )% | 0.23 | % | (0.17 | )% | (1.00 | )% | ||||||||||
Portfolio turnover rate(j) | 115 | % | 232 | %(k) | 125 | % | 59 | % | — | % | ||||||||||
| (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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 2.24% and the ratio of gross expenses would have been 2.35%. |
| (f) | 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 2.38%, respectively. |
| (g) | Effective July 1, 2020, the expense limit decreased from 2.29% to 2.24%. |
| (h) | Effective July 1, 2017, the expense limit decreased from 2.35% to 2.29%. |
| (i) | 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%. |
| (j) | Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments. |
| (k) | 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. |
See accompanying notes to consolidated financial statements.
| 28
Consolidated Financial Highlights (continued)
For a share outstanding throughout each period.
| AlphaSimplex Global Alternatives Fund—Class N | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.82 | $ | 11.35 | $ | 10.40 | $ | 11.22 | $ | 10.19 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.08 | ) | 0.00 | (b) | 0.15 | 0.10 | 0.01 | |||||||||||||
Net realized and unrealized gain (loss) | 0.23 | (0.24 | ) | 0.94 | (0.77 | ) | 1.11 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.15 | (0.24 | ) | 1.09 | (0.67 | ) | 1.12 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | — | (0.29 | ) | (0.14 | ) | (0.15 | ) | (0.09 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.97 | $ | 10.82 | $ | 11.35 | $ | 10.40 | $ | 11.22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 1.39 | %(c) | (2.06 | )%(c) | 10.48 | %(c) | (6.08 | )%(c) | 10.98 | % | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 142 | $ | 131 | $ | 526 | $ | 14,377 | $ | 10,376 | ||||||||||
Net expenses | 1.21 | %(d)(e)(f) | 1.22 | %(d)(g) | 1.24 | %(d) | 1.24 | %(d) | 1.26 | %(h)(i) | ||||||||||
Gross expenses | 1.98 | %(e)(f) | 1.68 | % | 1.26 | % | 1.25 | % | 1.26 | %(i) | ||||||||||
Net investment income (loss) | (0.70 | )% | 0.02 | % | 1.38 | % | 0.94 | % | 0.09 | % | ||||||||||
Portfolio turnover rate(j) | 115 | % | 232 | %(k) | 125 | % | 59 | % | — | % | ||||||||||
| (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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.19% and the ratio of gross expenses would have been 1.96%. |
| (f) | 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 1.22% and 1.99%, respectively. |
| (g) | Effective July 1, 2020, the expense limit decreased from 1.24% to 1.19%. |
| (h) | Effective July 1, 2017, the expense limit decreased from 1.30% to 1.24%. |
| (i) | 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%. |
| (j) | Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments. |
| (k) | 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. |
See accompanying notes to consolidated financial statements.
29 |
Consolidated Financial Highlights (continued)
For a share outstanding throughout each period.
| AlphaSimplex Global Alternatives Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.84 | $ | 11.36 | $ | 10.40 | $ | 11.22 | $ | 10.19 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.07 | ) | (0.01 | ) | 0.14 | 0.09 | 0.00 | (b) | ||||||||||||
Net realized and unrealized gain (loss) | 0.21 | (0.23 | ) | 0.95 | (0.77 | ) | 1.11 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.14 | (0.24 | ) | 1.09 | (0.68 | ) | 1.11 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | — | (0.28 | ) | (0.13 | ) | (0.14 | ) | (0.08 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.98 | $ | 10.84 | $ | 11.36 | $ | 10.40 | $ | 11.22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 1.29 | %(c) | (2.12 | )%(c) | 10.49 | %(c) | (6.04 | )%(c) | 10.93 | % | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 322,349 | $ | 502,517 | $ | 784,884 | $ | 1,132,058 | $ | 1,559,650 | ||||||||||
Net expenses | 1.26 | %(d)(e)(f) | 1.27 | %(d)(g) | 1.29 | %(d) | 1.29 | %(d) | 1.32 | %(h)(i) | ||||||||||
Gross expenses | 1.37 | %(e)(f) | 1.33 | % | 1.32 | % | 1.30 | % | 1.32 | %(i) | ||||||||||
Net investment income (loss) | (0.60 | )% | (0.11 | )% | 1.23 | % | 0.85 | % | 0.02 | % | ||||||||||
Portfolio turnover rate(j) | 115 | % | 232 | %(k) | 125 | % | 59 | % | — | % | ||||||||||
| (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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.24% and the ratio of gross expenses would have been 1.35%. |
| (f) | 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 1.38%, respectively. |
| (g) | Effective July 1, 2020, the expense limit decreased from 1.29% to 1.24%. |
| (h) | Effective July 1, 2017, the expense limit decreased from 1.35% to 1.29%. |
| (i) | 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%. |
| (j) | Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments. |
| (k) | 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. |
See accompanying notes to consolidated financial statements.
| 30
Consolidated Financial Highlights (continued)
For a share outstanding throughout each period.
| AlphaSimplex Managed Futures Strategy Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.17 | $ | 9.26 | $ | 8.97 | $ | 10.38 | $ | 9.78 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.18 | ) | (0.10 | ) | 0.04 | 0.02 | (0.06 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.52 | 1.33 | 0.69 | (1.31 | ) | 0.66 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.34 | 1.23 | 0.73 | (1.29 | ) | 0.60 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.57 | ) | (0.32 | ) | (0.44 | ) | — | — | ||||||||||||
Net realized capital gains | — | — | — | (0.12 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.57 | ) | (0.32 | ) | (0.44 | ) | (0.12 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 9.94 | $ | 10.17 | $ | 9.26 | $ | 8.97 | $ | 10.38 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 3.30 | %(c) | 13.27 | %(c) | 8.09 | %(c) | (12.55 | )% | 6.13 | % | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 51,356 | $ | 170,442 | $ | 222,059 | $ | 133,996 | $ | 299,505 | ||||||||||
Net expenses | 1.72 | %(d)(e) | 1.70 | %(d) | 1.70 | %(d) | 1.70 | % | 1.75 | %(f)(g) | ||||||||||
Gross expenses | 1.76 | %(e) | 1.80 | % | 1.79 | % | 1.70 | % | 1.75 | %(f)(g) | ||||||||||
Net investment income (loss) | (1.63 | )% | (0.99 | )% | 0.47 | % | 0.21 | % | (0.61 | )% | ||||||||||
Portfolio turnover rate(h) | — | % | — | % | — | % | — | % | — | % | ||||||||||
| (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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.74%. |
| (f) | 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%. |
| (g) | Includes fee/expense recovery of 0.01%. |
| (h) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
See accompanying notes to consolidated financial statements.
31 |
Consolidated Financial Highlights (continued)
For a share outstanding throughout each period.
| AlphaSimplex Managed Futures Strategy Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 9.63 | $ | 8.78 | $ | 8.51 | $ | 9.93 | $ | 9.42 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss(a) | (0.24 | ) | (0.16 | ) | (0.02 | ) | (0.05 | ) | (0.13 | ) | ||||||||||
Net realized and unrealized gain (loss) | 0.49 | 1.26 | 0.64 | (1.25 | ) | 0.64 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.25 | 1.10 | 0.62 | (1.30 | ) | 0.51 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.50 | ) | (0.25 | ) | (0.35 | ) | — | — | ||||||||||||
Net realized capital gains | — | — | — | (0.12 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.50 | ) | (0.25 | ) | (0.35 | ) | (0.12 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 9.38 | $ | 9.63 | $ | 8.78 | $ | 8.51 | $ | 9.93 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 2.54 | %(c) | 12.48 | %(c) | 7.30 | %(c) | (13.22 | )% | 5.41 | % | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 17,400 | $ | 19,793 | $ | 21,621 | $ | 29,421 | $ | 53,661 | ||||||||||
Net expenses | 2.47 | %(d)(e) | 2.45 | %(d) | 2.45 | %(d) | 2.45 | % | 2.50 | %(f)(g) | ||||||||||
Gross expenses | 2.51 | %(e) | 2.54 | % | 2.53 | % | 2.45 | % | 2.50 | %(f)(g) | ||||||||||
Net investment loss | (2.38 | )% | (1.78 | )% | (0.24 | )% | (0.52 | )% | (1.36 | )% | ||||||||||
Portfolio turnover rate(h) | — | % | — | % | — | % | — | % | — | % | ||||||||||
| (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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.48%. |
| (f) | 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%. |
| (g) | Includes fee/expense recovery of 0.01%. |
| (h) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
See accompanying notes to consolidated financial statements.
| 32
Consolidated Financial Highlights (continued)
For a share outstanding throughout each period.
| AlphaSimplex Managed Futures Strategy Fund—Class N | ||||||||||||||||||||
| Year Ended December 31, 2021 | 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) | (0.14 | ) | (0.07 | ) | 0.08 | 0.08 | (0.01 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.52 | 1.35 | 0.70 | (1.35 | ) | 0.67 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.38 | 1.28 | 0.78 | (1.27 | ) | 0.66 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.62 | ) | (0.36 | ) | (0.47 | ) | — | (0.01 | ) | |||||||||||
Net realized capital gains | — | — | — | (0.12 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.62 | ) | (0.36 | ) | (0.47 | ) | (0.12 | ) | (0.01 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.06 | $ | 10.30 | $ | 9.38 | $ | 9.07 | $ | 10.46 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 3.63 | % | 13.77 | % | 8.45 | % | (12.26 | )% | 6.76 | %(b)(c) | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 188,562 | $ | 133,731 | $ | 117,258 | $ | 67,957 | $ | 1,017 | ||||||||||
Net expenses | 1.38 | %(d) | 1.35 | % | 1.36 | % | 1.36 | % | 1.34 | %(e)(f)(g) | ||||||||||
Gross expenses | 1.38 | %(d) | 1.35 | % | 1.36 | % | 1.36 | % | 14.83 | %(e)(g) | ||||||||||
Net investment income (loss) | (1.29 | )% | (0.73 | )% | 0.79 | % | 0.83 | % | (0.17 | )%(e) | ||||||||||
Portfolio turnover rate(h) | — | % | — | % | — | % | — | % | — | % | ||||||||||
| * | 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) | 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%. |
| (e) | Computed on an annualized basis for periods less than one year. |
| (f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (g) | Includes interest expense. 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 consolidated financial statements.
33 |
Consolidated Financial Highlights (continued)
For a share outstanding throughout each period.
| AlphaSimplex Managed Futures Strategy Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.28 | $ | 9.36 | $ | 9.06 | $ | 10.46 | $ | 9.83 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss)(a) | (0.15 | ) | (0.08 | ) | 0.07 | 0.05 | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.52 | 1.35 | 0.69 | (1.33 | ) | 0.67 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.37 | 1.27 | 0.76 | (1.28 | ) | 0.64 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.61 | ) | (0.35 | ) | (0.46 | ) | — | (0.01 | ) | |||||||||||
Net realized capital gains | — | — | — | (0.12 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.61 | ) | (0.35 | ) | (0.46 | ) | (0.12 | ) | (0.01 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.04 | $ | 10.28 | $ | 9.36 | $ | 9.06 | $ | 10.46 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 3.53 | %(b) | 13.56 | %(b) | 8.35 | %(b) | (12.35 | )% | 6.48 | % | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 1,245,471 | $ | 1,162,122 | $ | 1,212,973 | $ | 1,836,962 | $ | 3,102,626 | ||||||||||
Net expenses | 1.47 | %(c)(d) | 1.45 | %(c) | 1.45 | %(c) | 1.45 | % | 1.50 | %(e)(f) | ||||||||||
Gross expenses | 1.51 | %(d) | 1.54 | % | 1.53 | % | 1.45 | % | 1.50 | %(e)(f) | ||||||||||
Net investment income (loss) | (1.38 | )% | (0.80 | )% | 0.77 | % | 0.49 | % | (0.34 | )% | ||||||||||
Portfolio turnover rate(g) | — | % | — | % | — | % | — | % | — | % | ||||||||||
| (a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (d) | 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 1.48%. |
| (e) | 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%. |
| (f) | Includes fee/expense recovery of 0.01%. |
| (g) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
See accompanying notes to consolidated financial statements.
| 34
Notes to Consolidated Financial Statements
December 31, 2021
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 December 31, 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 | $ | 6,288,687 | 1.84 | % | ||||
Managed Futures Strategy Fund | 86,261,023 | 5.74 | % | |||||
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. 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 Consolidated Financial Statements (continued)
December 31, 2021
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 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 December 31, 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 | $ | 41,087,118 | $ | 761,056 | 0.22 | % | ||||||
Managed Futures Strategy Fund | 525,652,827 | 9,008,504 | 0.60 | % | ||||||||
| * | 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, are 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 Consolidated Financial Statements (continued)
December 31, 2021
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 Consolidated 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 Consolidated 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’ Consolidated 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. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
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 Consolidated 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 Consolidated 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 outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
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
37 |
Notes to Consolidated Financial Statements (continued)
December 31, 2021
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.
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. Swap agreements outstanding at the end of the period, if any, are listed in the Fund’s Portfolio of Investments.
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 Consolidated 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 December 31, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Consolidated 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 Consolidated 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 Consolidated Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Consolidated Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Consolidated 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 Consolidated 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, futures commissions adjustment, net operating losses, 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 Consolidated Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, partnership
| 38
Notes to Consolidated Financial Statements (continued)
December 31, 2021
basis adjustments, wash sales, forward foreign currency contract mark-to-market, foreign currency gains and losses, passive foreign investment company adjustments, capital gain and return of capital distributions received, futures commissions adjustment 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.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2021 and 2020 was as follows:
2021 Distributions | 2020 Distributions | |||||||||||||||||||||||
Fund | Ordinary | Long-Term | Total | Ordinary | Long-Term | Total | ||||||||||||||||||
Global Alternatives Fund | $ | — | $ | — | $ | — | $ | 13,230,129 | $ | — | $ | 13,230,129 | ||||||||||||
Managed Futures Strategy Fund | 88,218,493 | — | 88,218,493 | 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 Consolidated 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, 2021, the components of distributable earnings on a tax basis were as follows:
Global | Managed | |||||||
Undistributed ordinary income | $ | — | $ | 5,206,673 | ||||
|
|
|
| |||||
Capital loss carryforward: | ||||||||
Short-term: | ||||||||
No expiration date | (26,985,191 | ) | (64,228,879 | ) | ||||
Long-term: |
| |||||||
No expiration date | — | (41,452,998 | ) | |||||
|
|
|
| |||||
Total capital loss carryforward | (26,985,191 | ) | (105,681,877 | ) | ||||
|
|
|
| |||||
Unrealized appreciation | 9,155,282 | 35,336,351 | ||||||
|
|
|
| |||||
Total accumulated losses | $ | (17,829,909 | ) | $ | (65,138,853 | ) | ||
|
|
|
| |||||
Capital loss carryforward utilized in the current year | $ | 56,564,109 | $ | — | ||||
|
|
|
| |||||
As of December 31, 2021, the tax cost of investments (including derivatives) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Global | Managed | |||||||
Federal tax cost | $ | 308,256,959 | $ | 1,361,643,253 | ||||
|
|
|
| |||||
Gross tax appreciation | $ | 10,206,612 | $ | 20,405,301 | ||||
Gross tax depreciation | (1,847,637 | ) | (2,125,396 | ) | ||||
|
|
|
| |||||
Net tax appreciation | $ | 8,358,975 | $ | 18,279,905 | ||||
|
|
|
| |||||
The difference between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currency mark-to-market and Cayman blocker adjustments.
39 |
Notes to Consolidated Financial Statements (continued)
December 31, 2021
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 December 31, 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 Consolidated Statements of Assets and Liabilities for financial reporting purposes.
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.
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 December 31, 2021, at value:
Global Alternatives Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 75,892,858 | $ | — | $ | — | $ | 75,892,858 | ||||||||
Closed-End Investment Companies | 387,235 | — | — | 387,235 | ||||||||||||
Short-Term Investments(a) | — | 238,973,699 | — | 238,973,699 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 716,713 | — | 716,713 | ||||||||||||
Futures Contracts (unrealized appreciation) | 5,631,798 | 761,056 | — | 6,392,854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 81,911,891 | $ | 240,451,468 | $ | — | $ | 322,363,359 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Basket Total Return Swap | $ | — | (b) | $ | — | $ | — | $ | — | |||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (378,320 | ) | — | (378,320 | ) | ||||||||||
Futures Contracts (unrealized depreciation) | (2,595,730 | ) | — | — | (2,595,730 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,595,730 | ) | $ | (378,320 | ) | $ | — | $ | (2,974,050 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (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 Consolidated Financial Statements (continued)
December 31, 2021
Managed Futures Strategy Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments(a) | $ | — | $ | 1,361,197,238 | $ | — | $ | 1,361,197,238 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 1,712,096 | — | 1,712,096 | ||||||||||||
Futures Contracts (unrealized appreciation) | 36,960,909 | 7,654,138 | — | 44,615,047 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 36,960,909 | $ | 1,370,563,472 | $ | — | $ | 1,407,524,381 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (13,479,220 | ) | $ | — | $ | (13,479,220 | ) | ||||||
Futures Contracts (unrealized depreciation) | (29,113,428 | ) | (1,354,366 | ) | — | (30,467,794 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (29,113,428 | ) | $ | (14,833,586 | ) | $ | — | $ | (43,947,014 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (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 year ended December 31, 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 year ended December 31, 2021, the Fund used long and short contracts on foreign equity market indices, 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. market indices to capture the exposures suggested by the quantitative investment models.
41 |
Notes to Consolidated Financial Statements (continued)
December 31, 2021
The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 2021, as reflected within the Consolidated Statements of Assets and Liabilities:
Assets | Unrealized | Unrealized | ||||||
Over-the-counter asset derivatives | ||||||||
Foreign exchange contracts | $ | 716,713 | $ | — | ||||
|
|
|
| |||||
Exchange-traded asset derivatives |
| |||||||
Interest rate contracts | $ | — | $ | 478,020 | ||||
Foreign exchange contracts | — | 1,627,044 | ||||||
Commodity contracts | — | 2,192,266 | ||||||
Equity contracts | — | 2,095,524 | ||||||
|
|
|
| |||||
Total exchange-traded asset derivatives | $ | — | $ | 6,392,854 | ||||
|
|
|
| |||||
Total asset derivatives | $ | 716,713 | $ | 6,392,854 | ||||
|
|
|
| |||||
Liabilities | Unrealized | Unrealized | Swap | |||||||||
Over-the-counter liability derivatives | ||||||||||||
Foreign exchange contracts | $ | (378,320 | ) | $ | — | $ | — | |||||
Equity contracts | — | — | (69,136,823 | ) | ||||||||
|
|
|
|
|
| |||||||
Total over-the counter liability derivatives | $ | (378,320 | ) | $ | — | $ | (69,136,823 | ) | ||||
|
|
|
|
|
| |||||||
Exchange-traded liability derivatives |
| |||||||||||
Interest rate contracts | $ | — | $ | (971,638 | ) | $ | — | |||||
Foreign exchange contracts | — | (442,403 | ) | — | ||||||||
Commodity contracts | — | (1,098,807 | ) | — | ||||||||
Equity contracts | — | (82,882 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total exchange-traded liability derivatives | $ | — | $ | (2,595,730 | ) | $ | — | |||||
|
|
|
|
|
| |||||||
Total liability derivatives | $ | (378,320 | ) | $ | (2,595,730 | ) | $ | (69,136,823 | ) | |||
|
|
|
|
|
| |||||||
| 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 year ended December 31, 2021, as reflected within the Consolidated Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Futures | Forward foreign | Swap | |||||||||
Interest rate contracts | $ | (6,218,646 | ) | $ | — | $ | — | |||||
Foreign exchange contracts | 1,245,176 | (4,732,102 | ) | — | ||||||||
Commodity contracts | 15,162,464 | — | — | |||||||||
Equity contracts | 728,753 | — | (24,511,192 | ) | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 10,917,747 | $ | (4,732,102 | ) | $ | (24,511,192 | ) | ||||
|
|
|
|
|
| |||||||
| 42
Notes to Consolidated Financial Statements (continued)
December 31, 2021
Net Change in Unrealized | Futures | Forward foreign | ||||||
Interest rate contracts | $ | (2,013,010 | ) | $ | — | |||
Foreign exchange contracts | 974,854 | (294,427 | ) | |||||
Commodity contracts | (4,991,276 | ) | — | |||||
Equity contracts | (132,271 | ) | — | |||||
|
|
|
| |||||
Total | $ | (6,161,703 | ) | $ | (294,427 | ) | ||
|
|
|
| |||||
The following is a summary of derivative instruments for Managed Futures Strategy Fund as of December 31, 2021, as reflected within the Consolidated Statements of Assets and Liabilities:
Assets | Unrealized | Unrealized | ||||||
Over-the-counter asset derivatives |
| |||||||
Foreign exchange contracts | $ | 1,712,096 | $ | — | ||||
|
|
|
| |||||
Exchange-traded asset derivatives |
| |||||||
Interest rate contracts | $ | — | $ | 3,159,405 | ||||
Foreign exchange contracts | — | 2,817,300 | ||||||
Commodity contracts | — | 18,216,878 | ||||||
Equity contracts | — | 20,421,464 | ||||||
|
|
|
| |||||
Total exchange-traded asset derivatives | $ | — | $ | 44,615,047 | ||||
|
|
|
| |||||
Total asset derivatives | $ | 1,712,096 | $ | 44,615,047 | ||||
|
|
|
| |||||
Liabilities | Unrealized | Unrealized | ||||||
Over-the-counter liability derivatives |
| |||||||
Foreign exchange contracts | $ | (13,479,220 | ) | $ | — | |||
|
|
|
| |||||
Exchange-traded liability derivatives |
| |||||||
Interest rate contracts | $ | — | $ | (8,600,602 | ) | |||
Foreign exchange contracts | — | (13,244,763 | ) | |||||
Commodity contracts | — | (7,188,250 | ) | |||||
Equity contracts | — | (1,434,179 | ) | |||||
|
|
|
| |||||
Total exchange-traded liability derivatives | $ | — | $ | (30,467,794 | ) | |||
|
|
|
| |||||
Total liability derivatives | $ | (13,479,220 | ) | $ | (30,467,794 | ) | ||
|
|
|
| |||||
43 |
Notes to Consolidated Financial Statements (continued)
December 31, 2021
Transactions in derivative instruments for Managed Futures Strategy Fund during the year ended December 31, 2021, as reflected within the Consolidated Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Futures | Forward foreign | ||||||
Interest rate contracts | $ | (76,177,741 | ) | $ | — | |||
Foreign exchange contracts | 9,062,946 | (24,583,454 | ) | |||||
Commodity contracts | 142,298,158 | — | ||||||
Equity contracts | 78,471,267 | — | ||||||
|
|
|
| |||||
Total | $ | 153,654,630 | $ | (24,583,454 | ) | |||
|
|
|
| |||||
Net Change in Unrealized | Futures | Forward foreign | ||||||
Interest rate contracts | $ | (9,974,896 | ) | $ | — | |||
Foreign exchange contracts | (17,048,255 | ) | (18,580,110 | ) | ||||
Commodity contracts | (23,506,845 | ) | — | |||||
Equity contracts | 7,226,482 | — | ||||||
|
|
|
| |||||
Total | $ | (43,303,514 | ) | $ | (18,580,110 | ) | ||
|
|
|
| |||||
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 year ended December 31, 2021:
Global Alternatives Fund | Forwards | Futures | Total Return | |||||||||
Average Notional Amount Outstanding | 87.76 | % | 400.91 | % | 28.06 | % | ||||||
Highest Notional Amount Outstanding | 140.09 | % | 478.22 | % | 43.79 | % | ||||||
Lowest Notional Amount Outstanding | 24.79 | % | 205.92 | % | 20.19 | % | ||||||
Notional Amount Outstanding as of December 31, 2021 | 24.79 | % | 205.92 | % | 20.19 | % | ||||||
Managed Futures Strategy Fund | Forwards | Futures | ||||||||||
Average Notional Amount Outstanding | 95.17 | % | 447.76 | % | ||||||||
Highest Notional Amount Outstanding | 191.26 | % | 699.96 | % | ||||||||
Lowest Notional Amount Outstanding | 44.79 | % | 269.79 | % | ||||||||
Notional Amount Outstanding as of December 31, 2021 | 78.48 | % | 656.05 | % | ||||||||
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 Consolidated Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Consolidated Statements of Assets and Liabilities, and therefore are not included in the Funds’ 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 Consolidated Statements of Assets and Liabilities.
| 44
Notes to Consolidated Financial Statements (continued)
December 31, 2021
As of December 31, 2021, gross amounts of over-the-counter derivative assets and liabilities not offset in the Consolidated 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 | Offset | Net Asset | Collateral | Net | |||||||||||||||
UBS AG | $ | 716,713 | $ | (378,320 | ) | $ | 338,393 | $ | — | $ | 338,393 | |||||||||
Counterparty | Gross Amounts of | Offset | Net Liability | Collateral | Net | |||||||||||||||
UBS AG | $ | (378,320 | ) | $ | 378,320 | $ | — | $ | — | $ | — | |||||||||
Managed Futures Strategy Fund
Counterparty | Gross Amounts of | Offset | Net Asset | Collateral | Net | |||||||||||||||
UBS AG | $ | 1,712,096 | $ | (1,712,096 | ) | $ | — | $ | — | $ | — | |||||||||
Counterparty | Gross Amounts of | Offset | Net Liability | Collateral | Net | |||||||||||||||
UBS AG | $ | (13,479,220 | ) | $ | 1,712,096 | $ | (11,767,124 | ) | $ | 11,767,124 | $ | — | ||||||||
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 December 31, 2021, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:
Independent | Increase | Required | Collateral | Excess/ | ||||||||||||||||
Global Alternatives Fund | $ | 1,570,747 | $ | (341,700 | ) | $ | 1,229,047 | $ | 1,253,013 | $ | 23,966 | |||||||||
Managed Futures Strategy Fund | 44,392,135 | 11,667,785 | 56,059,920 | 54,789,428 | (1,270,492 | ) | ||||||||||||||
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 Consolidated 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
45 |
Notes to Consolidated Financial Statements (continued)
December 31, 2021
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 Consolidated 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 December 31, 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 | $ | 716,713 | $ | 338,393 | ||||
Collateral pledged to UBS AG | 1,253,013 | 1,253,013 | ||||||
Collateral pledged to Morgan Stanley | 19,805,038 | 19,805,038 | ||||||
|
|
|
| |||||
Total over-the-counter counterparty credit risk | 21,774,764 | 21,396,444 | ||||||
|
|
|
| |||||
Exchange-traded counterparty credit risk | ||||||||
Futures contracts | 6,392,854 | 6,392,854 | ||||||
Margin with brokers | 17,615,373 | 17,615,373 | ||||||
|
|
|
| |||||
Total exchange-traded counterparty credit risk | 24,008,227 | 24,008,227 | ||||||
|
|
|
| |||||
Total counterparty credit risk | $ | 45,782,991 | $ | 45,404,671 | ||||
|
|
|
| |||||
Managed Futures Strategy Fund | ||||||||
Over-the-counter counterparty credit risk | ||||||||
Forward foreign currency contracts | $ | 1,712,096 | $ | — | ||||
Collateral pledged to UBS AG | 54,789,428 | 54,789,428 | ||||||
|
|
|
| |||||
Total over-the-counter counterparty credit risk | 56,501,524 | 54,789,428 | ||||||
|
|
|
| |||||
Exchange-traded counterparty credit risk | ||||||||
Futures contracts | 44,615,047 | 44,615,047 | ||||||
Margin with brokers | 179,196,570 | 179,196,570 | ||||||
|
|
|
| |||||
Total exchange-traded counterparty credit risk | 223,811,617 | 223,811,617 | ||||||
|
|
|
| |||||
Total counterparty credit risk | $ | 280,313,141 | $ | 278,601,045 | ||||
|
|
|
| |||||
5. Purchases and Sales of Securities. For the year ended December 31, 2021, purchases and sales of securities (excluding short-term investments) were as follows:
Fund | Purchases | Sales | ||||||
Global Alternatives Fund | $ | 224,000,718 | $ | 453,522,188 | ||||
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 Consolidated Financial Statements (continued)
December 31, 2021
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 Consolidated 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 Consolidated Statements of Assets and Liabilities as receivable from investment adviser.
For the year ended December 31, 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 | ||||||||||||||||
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 year ended December 31, 2021, the management fees and waivers of management fees for each Fund were as follows:
Fund | Gross | Contractual | Net | Percentage | ||||||||||||||||
Gross | Net | |||||||||||||||||||
Global Alternatives Fund | $ | 5,140,087 | $ | 521,507 | $ | 4,618,580 | 1.10 | % | 0.99 | % | ||||||||||
Managed Futures Strategy Fund | 18,696,619 | — | 18,696,619 | 1.25 | % | 1.25 | % | |||||||||||||
| 1 | Management fee waivers are subject to possible recovery until December 31, 2022. |
For the year ended December 31, 2021, class-specific expenses have been reimbursed as follows:
Reimbursement1 | ||||||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | Total | |||||||||||||||
Managed Futures Strategy Fund | $ | 26,883 | $ | 6,633 | $ | — | $ | 422,088 | $ | 455,604 | ||||||||||
| 1 | Expense reimbursement is subject to possible recovery until December 31, 2022. |
No expenses were recovered for either Fund during the year ended December 31, 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 Consolidated Financial Statements (continued)
December 31, 2021
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 year ended December 31, 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 | $ | 39,165 | $ | 9,774 | $ | 29,324 | ||||||
Managed Futures Strategy Fund | 174,185 | 48,433 | 145,298 | |||||||||
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 year ended December 31, 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 | |||
Global Alternatives Fund | $ | 199,199 | ||
Managed Futures Strategy Fund | 637,298 | |||
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 year ended December 31, 2021, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Consolidated Statements of Operations) for each Fund were as follows:
Fund | Sub-Transfer | |||
Global Alternatives Fund | $ | 273,037 | ||
Managed Futures Strategy Fund | 1,279,183 | |||
As of December 31, 2021, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Consolidated Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements | |||
Global Alternatives Fund | $ | 2,985 | ||
Managed Futures Strategy Fund | 15,283 | |||
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 Consolidated Financial Statements (continued)
December 31, 2021
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended December 31, 2021 were as follows:
Fund | Commissions | |||
Global Alternatives Fund | $ | 1,206 | ||
Managed Futures Strategy Fund | 5,473 | |||
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.
Effective January 1, 2022, each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $210,000. All other Trustees fees will remain unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF 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 Consolidated Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Consolidated 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 year ended December 31, 2021, Natixis Advisors reimbursed the Fund $1,090 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 year ended December 31, 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 | $ | 11,851 | $ | 2,928 | $ | 1,090 | $ | 337,740 | ||||||||
Managed Futures Strategy Fund | 97,372 | 25,891 | 3,146 | 1,660,774 | ||||||||||||
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
49 |
Notes to Consolidated Financial Statements (continued)
December 31, 2021
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 certain 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 on the Consolidated Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Consolidated 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 year ended December 31, 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 year ended December 31, 2021 is reflected on the Consolidated 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 December 31, 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% | Total | ||||||
Global Alternatives Fund | 3 | 30.67 | %(a) | |||||
Managed Futures Strategy Fund | 1 | 8.90 | %(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 Consolidated Financial Statements (continued)
December 31, 2021
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:
| | Year Ended December 31, 2021 | | Year Ended December 31, 2020 | |||||||||||||
Global Alternatives Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 459,499 | $ | 4,938,680 | 1,623,558 | $ | 17,678,688 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 22,575 | 240,420 | ||||||||||||
Redeemed | (355,085 | ) | (3,811,424 | ) | (2,451,082 | ) | (25,713,402 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 104,414 | $ | 1,127,256 | (804,949 | ) | $ | (7,794,294 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 28,713 | $ | 288,346 | 26,154 | $ | 257,854 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 6,287 | 62,874 | ||||||||||||
Redeemed | (224,383 | ) | (2,259,493 | ) | (593,632 | ) | (5,826,318 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (195,670 | ) | $ | (1,971,147 | ) | (561,191 | ) | $ | (5,505,590 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class N | ||||||||||||||||
Issued from the sale of shares | 8,628 | $ | 94,221 | 6,700 | $ | 71,749 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 311 | 3,354 | ||||||||||||
Redeemed | (7,764 | ) | (84,245 | ) | (41,302 | ) | (460,526 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 864 | $ | 9,976 | (34,291 | ) | $ | (385,423 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 9,216,999 | $ | 100,270,504 | 15,988,607 | $ | 171,911,642 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 585,919 | 6,333,788 | ||||||||||||
Redeemed | (26,242,761 | ) | (287,571,015 | ) | (39,266,251 | ) | (417,539,297 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (17,025,762 | ) | $ | (187,300,511 | ) | (22,691,725 | ) | $ | (239,293,867 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (17,116,154 | ) | $ | (188,134,426 | ) | (24,092,156 | ) | $ | (252,979,174 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| | Year Ended December 31, 2021 | | Year Ended December 31, 2020 | |||||||||||||
Managed Futures Strategy Fund | Shares | Amount | Shares | Amount | ||||||||||||
| Class A | ||||||||||||||||
Issued from the sale of shares | 1,542,465 | $ | 16,496,076 | 8,897,011 | $ | 87,245,646 | ||||||||||
Issued in connection with the reinvestment of distributions | 244,668 | 2,454,017 | 482,693 | 4,913,814 | ||||||||||||
Redeemed | (13,377,468 | ) | (139,593,521 | ) | (16,594,015 | ) | (161,779,589 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (11,590,335 | ) | $ | (120,643,428 | ) | (7,214,311 | ) | $ | (69,620,129 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class C | ||||||||||||||||
Issued from the sale of shares | 322,670 | $ | 3,275,655 | 266,678 | $ | 2,459,016 | ||||||||||
Issued in connection with the reinvestment of distributions | 89,455 | 847,142 | 47,343 | 455,914 | ||||||||||||
Redeemed | (612,785 | ) | (6,248,949 | ) | (719,340 | ) | (6,694,265 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (200,660 | ) | $ | (2,126,152 | ) | (405,319 | ) | $ | (3,779,335 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class N | ||||||||||||||||
Issued from the sale of shares | 7,813,512 | $ | 84,071,121 | 3,733,338 | $ | 36,574,955 | ||||||||||
Issued in connection with the reinvestment of distributions | 423,441 | 4,302,164 | 168,681 | 1,737,419 | ||||||||||||
Redeemed | (2,485,684 | ) | (26,772,732 | ) | (3,418,614 | ) | (33,981,990 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 5,751,269 | $ | 61,600,553 | 483,405 | $ | 4,330,384 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y | ||||||||||||||||
Issued from the sale of shares | 44,142,151 | $ | 479,627,227 | 68,367,766 | $ | 676,556,286 | ||||||||||
Issued in connection with the reinvestment of distributions | 4,820,549 | 48,880,364 | 2,517,010 | 25,900,036 | ||||||||||||
Redeemed | (38,028,977 | ) | (409,486,888 | ) | (87,378,412 | ) | (862,703,687 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 10,933,723 | $ | 119,020,703 | (16,493,636 | ) | $ | (160,247,365 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 4,893,997 | $ | 57,851,676 | (23,629,861 | ) | $ | (229,316,445 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
51 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Natixis Funds Trust II and Shareholders of AlphaSimplex Global Alternatives Fund and AlphaSimplex Managed Futures Strategy Fund
Opinions on the Financial Statements
We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated portfolios of investments, of AlphaSimplex Global Alternatives Fund and AlphaSimplex Managed Futures Strategy Fund and their subsidiaries (two of the funds constituting Natixis Funds Trust II, hereafter collectively referred to as the “Funds”) as of December 31, 2021, the related consolidated statements of operations for the year ended December 31, 2021, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the consolidated financial highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These consolidated financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
February 22, 2022
We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.
| 52
Trustee and Officer Information
The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust II (the “Trust”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the Trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.
Name and Year of Birth | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios Overseen2 and Other During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership | ||||
| INDEPENDENT TRUSTEES | ||||||||
| Edmond J. English (1953) | Trustee since 2013 Chairperson of the Governance Committee and Contract Review Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 55 Director, Burlington Stores, Inc. (retail), Rue Gilt Groupe, Inc. (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) | ||||
Richard A. Goglia (1951) | Trustee since 2015 Contract Review Committee Member and Governance Committee Member | Retired | 55 Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) | ||||
Wendell J. Knox (1948) | Trustee since 2009 Chairperson of the Contract Review Committee | Retired | 55 Director, Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); Formerly, Director, Eastern Bank (bank) | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) | ||||
53 |
Trustee and Officer Information
Name and Year of Birth | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios Overseen2 and Other During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership | ||||
| INDEPENDENT TRUSTEES – continued | ||||||||
| Martin T. Meehan (1956) | Trustee since 2012 Audit Committee Member and Governance Committee Member | President, University of Massachusetts | 55 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience | ||||
Maureen B. Mitchell (1951) | Trustee since 2017 Audit Committee Member and Governance Committee Member | Retired | 55 Director, Sterling Bancorp (bank) | Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) | ||||
James P. Palermo (1955) | Trustee since 2016 Audit Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 55 Director, FutureFuel.io (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) | ||||
Erik R. Sirri (1958) | Chairperson of the Board of Trustees since January 2021 Trustee since 2009 Ex Officio member of the Audit Committee, Contract Review Committee and Governance Committee | Professor of Finance at Babson College | 55 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist | ||||
| 54
Trustee and Officer Information
Name and Year of Birth | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios Overseen2 and Other During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership | ||||
| INDEPENDENT TRUSTEES – continued | ||||||||
Peter J. Smail (1952) | Trustee since 2009 Audit Committee Member | Retired | 55 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) | ||||
Kirk A. Sykes (1958) | Trustee since 2019 Contract Review Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 55 Trustee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) | ||||
Cynthia L. Walker (1956) | Trustee since 2005 Chairperson of the Audit Committee | Retired; Formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 55 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
| INTERESTED TRUSTEES | ||||||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 55 None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. | ||||
55 |
Trustee and Officer Information
Name and Year of Birth | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios Overseen2 and Other During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership | ||||
| INTERESTED TRUSTEES – continued | ||||||||
| David L. Giunta4 (1965) | Trustee since 2011 President and Chief Executive Officer | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 55 None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC | ||||
| 1 | Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
| 2 | The Trustees of the Trust serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
| 3 | Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
| 4 | Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
| 56
Trustee and Officer Information
Name and Year of Birth | Position(s) Held | Term of Office1 and Length | Principal Occupation(s) | |||
| OFFICERS OF THE TRUST | ||||||
Michael C. Kardok (1959) | Treasurer, Principal Financial and Accounting Officer | Since 2004 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC | |||
Natalie R. Wagner (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer Chief Legal Officer | Since May 2021
Since July 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group | |||
| 1 | Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
| 2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
57 |
Annual Report
December 31, 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
| Portfolio Review | 1 | |||
| Portfolio of Investments | 24 | |||
| Financial Statements | 76 | |||
| Notes to Financial Statements | 104 |
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.
Market Conditions
Bonds produced muted returns in 2021, with the most interest rate-sensitive investments generally experiencing the weakest performance. The strong recovery in economic growth, which occurred as the rollout of multiple vaccines for Covid-19 allowed for a gradual restoration of normal business conditions, was an important headwind for the market. Despite the improving economy, the US Federal Reserve (Fed) remained committed to an ultra-accommodative monetary policy for much of the year. The Fed retained this stance through the third calendar quarter even as inflation started to accelerate, stating that the price pressures were likely to be “transitory.” However, a continued increase in inflation in the autumn prompted the Fed to shift toward a tighter policy in November. In addition to reducing the extent of the stimulative bond-buying program known as quantitative easing (a process referred to as “tapering”), the Fed began to signal the likelihood of interest rate increases in 2022. Together, these developments depressed returns across the bond market.
US Treasuries posted negative returns in 2021. The first part of the year brought rising yields (and falling prices) for longer-term Treasuries, which tend to be highly sensitive to the outlook for economic growth. Later in the year, short-term bonds — which are heavily influenced by Fed policy — experienced a selloff of their own in response to the unfavorable shift in the interest rate outlook. The ten-year note, which entered the year with a yield of 0.93%, moved up to 1.74% at the end of the first quarter before closing 2021 at 1.52%. The yield on the two-year note, in contrast, only moved from 0.13% to 0.20% in the first eight months of the year, but the subsequent selloff caused its yield to surge to 0.73% by year-end. The Treasury yield curve flattened dramatically as a result of these shifts.
Investment grade corporate debt experienced a modest loss for the year. Although the category benefited from improving credit conditions and investors’ appetite for both risk and yield, it was adversely affected by the downturn in US Treasuries.
Investors’ heightened risk tolerance translated to strong returns for high yield corporates. The category tends to have lower interest rate sensitivity than investment grade bonds, which helped relative performance. High yield further benefited from the general improvement in corporations’ earnings and balance sheets, as well as the surge in oil prices. Leveraged loans, which typically offer yields that adjust upward with prevailing interest rates, also outperformed the broader market by a wide margin.
Securitized credit — including asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), collateralized loan obligations (CLO), and residential mortgage-backed securities (RMBS) — produced positive excess returns over US Treasuries. The category’s underlying fundamentals remained firm, with continued strength in both real estate prices and consumer credit. Agency mortgage-backed securities (MBS) produced negative excess returns versus US Treasuries as interest rate volatility increased.
Emerging market bonds lost ground in 2021. Although the category offers above-average yields, the benefit was outweighed by weak price performance. Slowing growth in China and Brazil, together with a persistent uptrend in the US dollar, were key factors weighing on the asset class.
Portfolio Results
For the 12 months ended December 31, 2021, Class Y shares of the Loomis Sayles High Income Fund returned 3.15% at net asset value. The Fund underperformed its benchmark, the Bloomberg U.S. Corporate High-Yield Bond Index, which returned 5.28%.
Explanation of Fund Performance
Security selection was a source of underperformance for the Fund. Exposure to emerging market corporate credit was the main detractor of relative return. Here, underperformance was driven by holdings in Chinese property names as this sector came under pressure amid falling sale prices and tighter restrictions. Communications and consumer non-cyclical names within both convertible securities and high yield corporate credit weighed on performance. Selected capital goods holdings in the investment grade corporate credit sector were negative, as was a small allocation to defensive, reserve-like positions.
1 |
An allocation to equity securities, particularly within the utility, banking, and communication sectors, was positive as stock markets posted strong gains for the period.
Outlook
In our view, the macroeconomic outlook remains positive, as a healthy consumer, strong corporate fundamentals and relatively easy financial conditions have continued to be a tailwind to economic activity. Although confirmed Covid-19 cases spiked at the end of 2021, driven largely by the Omicron variant, we do not expect a material disruption in the demand for goods and services going forward. We believe US growth will remain above its long-term trend and unemployment will likely fall as wage growth draws participants back into the workforce. This macroeconomic backdrop appears positive for risk assets; however, elevated inflation readings have increased the risk of a central bank policy mistake. Any tightening of policy to fight inflation will need to balance the impact to growth, which has lingering uncertainties related to Covid-19, slowing Chinese growth (and deleveraging within its property sector), and ongoing global supply chain disruptions. While we do not expect the tightening cycle to put growth at risk, we do believe market volatility could potentially increase provided the market reprices evolving central bank policies globally.
Under our base case of economic expansion, we believe inflation will remain elevated and above the Fed’s target throughout 2022. The Fed’s hawkish pivot to concern over inflation could drive a faster tapering of asset purchases, which should conclude in March, before the anticipated liftoff in the benchmark fed funds rate in the second quarter. The pace and magnitude of rate hikes will largely be dependent on whether inflation eases throughout the year provided that supply chain disruptions subside. We anticipate that interest rates will likely move higher and remain defensive on interest rate risk, positioned shorter than broad market benchmarks from a duration perspective to help minimize any negative performance impact from rising rates.
We believe we are currently in the expansion phase of the credit cycle1 with credit fundamentals, technical factors and default expectations continuing to appear attractive. We remain “pro risk” on credit exposure for higher carry potential and believe that individual issuer selection will be key in seeking to deliver attractive performance in 2022. Strong corporate profits, debt repayment and continued strong investor appetite for yield could help to provide a tailwind to credit markets. From a sector perspective, we are targeting those that have strong carry potential, less interest rate sensitivity and positive convexity (i.e., a favorable risk/reward profile in a changing rate environment). As such, we currently favor high yield corporates and convertible securities, as well as securitized debt, which can provide diversification away from pure corporate risk, attractive yield potential and shorter duration profiles.
During the fourth quarter, credit markets were generally resilient to a significant hawkish pivot in Fed policy as well as concerns over Chinese growth, which could indicate that there is a strong demand for yield. We believe this dynamic will likely hold going forward given our outlook that downgrades, defaults and losses will trend meaningfully below long-term averages. Given our macroeconomic expectations and credit cycle outlook, in our view, embracing credit risk over interest rate risk is a reasonable approach for 2022. We recognize, however, that valuations have been elevated, credit spreads have been through their long-term averages and market volatility will likely increase as Fed policy evolves. As a result, we have built flexibility into our portfolios in seeking to take advantage of opportunities that may arise as a result of short-term disruptions.
| 1 | A credit cycle is a cyclical pattern that follows credit availability and corporate health. |
| 2
LOOMIS SAYLES HIGH INCOME FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares3
December 31, 2011 through December 31, 2021
3 |
Average Annual Total Returns — December 31, 20213
| Expense Ratios4 | ||||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | Life of Class N | Gross | Net | |||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 3.15 | % | 5.55 | % | 6.61 | % | — | % | 0.98 | % | 0.75 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 2.87 | 5.27 | 6.35 | — | 1.22 | 1.00 | ||||||||||||||||||
| With 4.25% Maximum Sales Charge | -1.44 | 4.34 | 5.89 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | 2.07 | 4.45 | 5.72 | — | 1.97 | 1.75 | ||||||||||||||||||
| With CDSC1 | 1.08 | 4.45 | 5.72 | — | ||||||||||||||||||||
| Class N (Inception 11/30/16) | ||||||||||||||||||||||||
| NAV | 3.18 | 5 | 5.59 | — | 5.84 | 0.88 | 0.70 | |||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Bloomberg U.S. Corporate High-Yield Bond Index2 | 5.28 | 6.30 | 6.83 | 6.55 | ||||||||||||||||||||
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% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
| 2 | The Bloomberg 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 U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg U.S. Universal and Global High-Yield Indices. |
| 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. |
| 4
LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND
| Managers | Symbols | |
| Dawn Mangerson | Class A MIMAX | |
| James Grabovac, CFA®* | Class C MIMCX | |
| James LeBuhn* | Class Y MIMYX | |
| Lawrence Jones* | ||
| Pramila Agrawal, CFA®, Ph.D.* | ||
| Loomis, Sayles & Company, L.P. | ||
| * | Effective September 30, 2021, James Grabovac and Lawrence Jones no longer served as portfolio managers of the Fund, and Pramila Agrawal and James LeBuhn joined the portfolio management team of the Fund. |
Investment Goal
The Fund seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.
Market Conditions
Fiscal fortunes for state and local governments improved markedly over the past 12 months. Passage of the American Rescue Plan in the first quarter targeted $650B of direct federal aid to state and local governments. This, combined with much stronger-than-anticipated tax revenues, resulted in a sharply improved financial position for many issuers compared to earlier in the pandemic economy. In addition, robust performance in the capital markets helped reduce long-term underfunded liabilities providing relief on both sides of the balance sheet. Improving credit fundamentals helped drive municipal performance for the period with credit spreads narrowing sharply and municipals generating outperformance versus both Treasuries and investment grade corporates. Base rates moved modestly higher during the year, with high-grade municipal yields increasing by 10 basis points on the short and long end of the yield curve, and increasing by 35 basis points in the intermediate portion of the yield curve. Progress on the pandemic was uneven. The swift rollout of effective vaccines was positive, but the expected benefits of reopening schools was hindered significantly by the emersion of new Covid variants. As a consequence, state and local education remains one of the major sectors of the economy that has yet to regain its pre-pandemic levels of employment. The implications of hybrid school arrangements, while significantly improving over the year, continue to present economic challenges as parents and other caregivers face demands that in many instances prevent them from fully re-engaging in the labor market.
In the fourth quarter, bipartisan agreement was reached on the Investment in Infrastructure and Jobs Act (IIJA), which was passed and signed into law in November. The legislation will fund more than $1.1T of infrastructure investment over the next decade. Among targeted areas of investment are highways, rail modernization, mass transit, airports, water, broadband, and power grid improvements, among others. We expect the IIJA will have a modestly positive impact on municipal issuance as state and local governments consider companion projects to complement the federal infrastructure investment being undertaken. Technical conditions elsewhere in the market continued to be characterized by ‘supply constrained’ conditions. Issuance for the year was strong, down less than 2% from last year’s record pace, however, the amount of taxable issuance remains sizeable, accounting for 25% of last year’s total. Demand remained consistently strong throughout the year as it has since the market and economic recovery began.
The economic expansion continues apace, but a sharp rise in inflation has been an unfortunate companion along the way. Supply-chain bottlenecks are a significant contributing factor, and a pandemic-induced shift in consumer behavior favoring the purchase of durable goods over services (i.e., restaurants, lodging, entertainment, etc.) has intensified the supply and price pressures.
Portfolio Results
For the 12 months ended December 31, 2021, Class Y shares of the Loomis Sayles Intermediate Municipal Bond Fund returned 0.57% at net asset value. The Fund underperformed its benchmark, the Bloomberg Municipal Bond Index, which returned 1.52%.
Explanation of Fund Performance
The Fund’s yield curve posture was detrimental to performance in 2021. Underweight exposure to maturities 10 years and greater hindered performance significantly during the period.
Security selection of BBB-rated securities detracted from the Fund’s relative performance. Underweight posture in the higher quality ratings tranches acted as a drag on performance as well. An overweight and security selection within the Fund’s A-rated holdings partially offset this underperformance.
5 |
From a sector perspective, underweight in the state general obligation (GO) sector was a drag on performance. Security selection within the leasing, education, and water & sewer sectors also detracted during the period. However, security selection and overweight posture in the transportation sector were beneficial and partially offset the Fund’s underperformance.
Underweight positions in New York and California were the largest detractors to performance from a state perspective. Security selection within Massachusetts holdings was also a drag. This underperformance was partially offset by an overweight posture in Florida, Washington, and Utah. Security selection within the states of Florida and Utah further benefitted performance.
Outlook
While the immediate economic path forward faces the hurdles of the virulent Omicron variant and higher-than-expected levels of inflation, we anticipate progress on both fronts over the medium term and believe that underlying economic fundamentals are strong enough to drive the economic expansion forward. We remain positive about growth prospects and expect modest upward pressure on rates as the Fed adjusts policy and the expansion moves forward. With strong credit and economic fundamentals, the municipal market is likely positioned to perform well from a credit standpoint, and we anticipate that income and yield curve positioning will be critical factors over the medium term.
The inflationary uptick has been a global phenomenon and has impacted most developed market economies. And although the Federal Reserve (Fed) initially expected the inflation uptick to be ‘transitory’ it has shifted its view and is now expected to undertake a policy response. The Fed is prepared to conclude its purchases of Treasuries and mortgage-backed securities in the first quarter of 2022 and begin a gradual lifting of the policy rate from the zero lower bound. We expect the expansion to continue as the Fed begins to remove accommodative monetary policy and anticipate a moderation in inflation as supply pressures ease.
LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares1,4
December 31, 2012 (inception) through December 31, 2021
See notes to chart on page 7.
| 6
LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND
Average Annual Total Returns — December 31, 20214
| Expense Ratios5 | ||||||||||||||||||||
| 1 Year | 5 Years | Life of Fund | Gross | Net | ||||||||||||||||
| Class Y (Inception 12/31/12)1 | ||||||||||||||||||||
| NAV | 0.57 | % | 3.31 | % | 2.50 | % | 1.17 | % | 0.46 | % | ||||||||||
| Class A (Inception 12/31/12)1 | ||||||||||||||||||||
| NAV | 0.23 | 3.04 | 2.21 | 1.43 | 0.71 | |||||||||||||||
| With 3.00% Maximum Sales Charge | -2.81 | 2.40 | 1.86 | |||||||||||||||||
| Class C (Inception 12/31/12)1 | ||||||||||||||||||||
| NAV | -0.52 | 2.25 | 1.53 | 2.18 | 1.46 | |||||||||||||||
| With CDSC2 | -1.51 | 2.25 | 1.53 | |||||||||||||||||
| Comparative Performance | ||||||||||||||||||||
| Bloomberg Municipal Bond Index3 | 1.52 | 4.17 | 3.38 | |||||||||||||||||
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, and includes automatic conversion to Class A shares after eight years. |
| 3 | Bloomberg Municipal Bond Index is a market value-weighted index of investment-grade municipal bonds with maturities of one year or more. |
| 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. |
7 |
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.
Market Conditions
Bonds produced muted returns in 2021, with the most interest rate-sensitive investments generally experiencing the weakest performance. The strong recovery in economic growth, which occurred as the rollout of multiple vaccines for Covid-19 allowed for a gradual restoration of normal business conditions, was an important headwind for the market. Despite the improving economy, the US Federal Reserve (Fed) remained committed to an ultra-accommodative monetary policy for much of the year. The Fed retained this stance through the third calendar quarter even as inflation started to accelerate, stating that the price pressures were likely to be “transitory.” However, a continued increase in inflation in the autumn prompted the Fed to shift toward a tighter policy in November. In addition to reducing the extent of the stimulative bond-buying program known as quantitative easing (a process referred to as “tapering”), the Fed began to signal the likelihood of interest rate increases in 2022. Together, these developments depressed returns across the bond market.
US Treasuries posted negative returns in 2021. The first part of the year brought rising yields (and falling prices) for longer-term Treasuries, which tend to be highly sensitive to the outlook for economic growth. Later in the year, short-term bonds — which are heavily influenced by Fed policy — experienced a selloff of their own in response to the unfavorable shift in the interest rate outlook. The ten-year note, which entered the year with a yield of 0.93%, moved up to 1.74% at the end of the first quarter before closing 2021 at 1.52%. The yield on the two-year note, in contrast, only moved from 0.13% to 0.20% in the first eight months of the year, but the subsequent selloff caused its yield to surge to 0.73% by year-end. The Treasury yield curve flattened dramatically as a result of these shifts.
Investment grade corporate debt experienced a modest loss for the year. Although the category benefited from improving credit conditions and investors’ appetite for both risk and yield, it was adversely affected by the downturn in US Treasuries.
Investors’ heightened risk tolerance translated to strong returns for high yield corporates. The category tends to have lower interest rate sensitivity than investment grade bonds, which helped relative performance. High yield further benefited from the general improvement in corporations’ earnings and balance sheets, as well as the surge in oil prices. Leveraged loans, which typically offer yields that adjust upward with prevailing interest rates, also outperformed the broader market by a wide margin.
Securitized credit — including asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), collateralized loan obligations (CLO), and residential mortgage-backed securities (RMBS) — produced positive excess returns over US Treasuries. The category’s underlying fundamentals remained firm, with continued strength in both real estate prices and consumer credit. Agency mortgage-backed securities (MBS) produced negative excess returns versus US Treasuries as interest rate volatility increased.
Emerging market bonds lost ground in 2021. Although the category offers above-average yields, the benefit was outweighed by weak price performance. Slowing growth in China and Brazil, together with a persistent uptrend in the US dollar, were key factors weighing on the asset class.
Portfolio Results
For the 12 months ended December 31, 2021, Class Y shares of the Loomis Sayles Investment Grade Bond Fund returned 0.24% at net asset value. The Fund outperformed its primary benchmark, the Bloomberg U.S. Government/Credit Bond Index, which returned -1.75%. The Fund also outperformed its secondary benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -1.54%.
Explanation of Fund Performance
Security selection was the primary source of outperformance for the Fund. An allocation to securitized credit was the biggest contributor to relative return, led by asset-backed securities as this sector fared better than many other broad fixed income markets. The Fund’s shorter duration positioning within US Treasuries was beneficial as interest rates rose earlier in the year, with most of this outperformance occurring during the first quarter of 2021. We continue to utilize Treasury futures as part of a larger effort to manage
| 8
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
the Fund’s overall duration positioning. High yield and investment grade corporate credit were also helpful for returns. Consumer non-cyclical, transportation and basic industry names aided relative return in high yield. Within investment grade, consumer cyclical and insurance holdings were positive contributors to performance.
An allocation to defensive, reserve-like positions was a modest detractor of relative performance for the period.
Outlook
In our view, the macroeconomic outlook remains positive, as a healthy consumer, strong corporate fundamentals and relatively easy financial conditions have continued to be a tailwind to economic activity. Although confirmed Covid-19 cases spiked at the end of 2021, driven largely by the Omicron variant, we do not expect a material disruption in the demand for goods and services going forward. We believe US growth will remain above its long-term trend and unemployment will likely fall as wage growth draws participants back into the workforce. This macroeconomic backdrop appears positive for risk assets; however, elevated inflation readings have increased the risk of a central bank policy mistake. Any tightening of policy to fight inflation will need to balance the impact to growth, which has lingering uncertainties related to Covid-19, slowing Chinese growth (and deleveraging within its property sector), and ongoing global supply chain disruptions. While we do not expect the tightening cycle to put growth at risk, we do believe market volatility could potentially increase provided the market reprices evolving central bank policies globally.
Under our base case of economic expansion, we believe inflation will remain elevated and above the Fed’s target throughout 2022. The Fed’s hawkish pivot to concern over inflation could drive a faster tapering of asset purchases, which should conclude in March, before the anticipated liftoff in the benchmark fed funds rate in the second quarter. The pace and magnitude of rate hikes will largely be dependent on whether inflation eases throughout the year provided that supply chain disruptions subside. We anticipate that interest rates will likely move higher and remain defensive on interest rate risk, positioned shorter than broad market benchmarks from a duration perspective to help minimize any negative performance impact from rising rates.
We believe we are currently in the expansion phase of the credit cycle1 with credit fundamentals, technical factors and default expectations continuing to appear attractive. We remain “pro risk” on credit exposure for higher carry potential and believe that individual issuer selection will be key in seeking to deliver attractive performance in 2022. Strong corporate profits, debt repayment and continued strong investor appetite for yield could help to provide a tailwind to credit markets. From a sector perspective, we are targeting those that have strong carry potential, less interest rate sensitivity and positive convexity (i.e., a favorable risk/reward profile in a changing rate environment). As such, we currently favor high yield corporates and convertible securities, as well as securitized debt, which can provide diversification away from pure corporate risk, attractive yield potential and shorter duration profiles.
During the fourth quarter, credit markets were generally resilient to a significant hawkish pivot in Fed policy as well as concerns over Chinese growth, which could indicate that there is a strong demand for yield. We believe this dynamic will likely hold going forward given our outlook that downgrades, defaults and losses will trend meaningfully below long-term averages. Given our macroeconomic expectations and credit cycle outlook, in our view, embracing credit risk over interest rate risk is a reasonable approach for 2022. We recognize, however, that valuations have been elevated, credit spreads have been through their long-term averages and market volatility will likely increase as Fed policy evolves. As a result, we have built flexibility into our portfolios in seeking to take advantage of opportunities that may arise as a result of short-term disruptions.
| 1 | A credit cycle is a cyclical pattern that follows credit availability and corporate health. |
9 |
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares4
December 31, 2011 through December 31, 2021
See notes to chart on page 11.
| 10
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
Average Annual Total Returns — December 31, 20214
| Expense Ratios5 | ||||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | Life of Class N | Gross | Net | |||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 0.24 | % | 5.35 | % | 4.58 | % | — | % | 0.55 | % | 0.50 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 0.07 | 5.09 | 4.32 | — | 0.80 | 0.75 | ||||||||||||||||||
| With 4.25% Maximum Sales Charge | -4.21 | 4.18 | 3.87 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | -0.70 | 4.32 | 3.69 | — | 1.55 | 1.50 | ||||||||||||||||||
| With CDSC1 | -1.66 | 4.32 | 3.69 | — | ||||||||||||||||||||
| Class N (Inception 2/1/13) | ||||||||||||||||||||||||
| NAV | 0.37 | 5.44 | — | 3.80 | 0.47 | 0.45 | ||||||||||||||||||
| Admin Class | ||||||||||||||||||||||||
| NAV | -0.26 | 4.84 | 4.07 | — | 1.05 | 1.00 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Bloomberg U.S. Government/Credit Bond Index2 | -1.75 | 3.99 | 3.13 | 3.08 | ||||||||||||||||||||
| Bloomberg U.S. Aggregate Bond Index3 | -1.54 | 3.57 | 2.90 | 2.86 | ||||||||||||||||||||
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit 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, and includes automatic conversion to Class A shares after eight years. |
| 2 | The Bloomberg 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 U.S. Aggregate Index. |
| 3 | The Bloomberg 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. |
| 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. |
11 |
LOOMIS SAYLES STRATEGIC ALPHA FUND
| Managers | Symbols | |
| Matthew J. Eagan, CFA® | Class A LABAX | |
Brian P. Kennedy | Class C LABCX | |
Elaine M. Stokes | Class N LASNX | |
Todd P. Vandam, CFA® | Class Y LASYX | |
Loomis, Sayles & Company, L.P. | ||
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.
Market Conditions
Bonds produced muted returns in 2021, with the most interest rate-sensitive investments generally experiencing the weakest performance. The strong recovery in economic growth, which occurred as the rollout of multiple vaccines for Covid-19 allowed for a gradual restoration of normal business conditions, was an important headwind for the market. Despite the improving economy, the US Federal Reserve (Fed) remained committed to an ultra-accommodative monetary policy for much of the year. The Fed retained this stance through the third calendar quarter even as inflation started to accelerate, stating that the price pressures were likely to be “transitory.” However, a continued increase in inflation in the autumn prompted the Fed to shift toward a tighter policy in November. In addition to reducing the extent of the stimulative bond-buying program known as quantitative easing (a process referred to as “tapering”), the Fed began to signal the likelihood of interest-rate increases in 2022. Together, these developments depressed returns across the bond market.
Securitized credit — including asset backed securities (ABS), commercial mortgage-backed securities (CMBS), collateralized loan obligations, and residential mortgage-backed securities (RMBS) — produced positive excess returns over US Treasuries. The category’s underlying fundamentals remained firm, with continued strength in both real estate prices and consumer credit. Agency mortgage-backed securities (MBS) produced negative excess returns versus US treasuries as interest rate volatility increased.
Investors’ heightened risk tolerance translated to strong returns for high-yield corporates. The category tends to have lower interest-rate sensitivity than investment-grade bonds, which helped relative performance. High yield further benefited from the general improvement in corporations’ earnings and balance sheets, as well as the surge in oil prices. Leveraged loans, which typically offer yields that adjust upward with prevailing interest rates, also outperformed the broader market by a wide margin.
Emerging market bonds lost ground in 2021. Although the category offers above-average yields, the benefit was outweighed by weak price performance. Slowing growth in China and Brazil, together with a persistent uptrend in the US dollar, were key factors weighing on the asset class.
Performance Results
For the 12 months ended December 31, 2021, Class Y shares of the Loomis Sayles Strategic Alpha Fund returned 1.32% at net asset value. The Fund outperformed its primary benchmark, 3-Month LIBOR, which returned 0.16%. The Fund follows an absolute return strategy and is not managed to an index.
Explanation of Fund Performance
Equities added to the Fund’s performance for the year as consumer, technology and banking names made positive contributions throughout the period. Given our view that we were in the expansion phase of the credit cycle1, we established and held a diversified, high quality, higher dividend allocation to equities through out the year. This allocation was the primary source of positive contribution to return. We also maintained several equity positions received in previous exchanges-two positions-specialty chemicals, energy had very large returns in 2021 resulting in attractive recoveries and added to the equity contribution.
Exposure to securitized assets including ABS, Non-Agency Residential MBS and collateralized loan obligations contributed positively to performance for the period. 2021 saw a continued flurry of home buying as many renters took advantage of historically low mortgage rates to become first time homeowners. Housing, whole business and auto loans within ABS particularly aided returns. The securitized category’s underlying fundamentals remained firm with continued strength in both real estate prices and consumer credit.
| 12
High yield corporates added to return as credit spreads (the incremental yield provided by lower quality bonds) tightened during the year. Within the portfolio, consumer, communications and basic industry names led positive contributions. January was the busiest month ever for new issuance in the US high yield bond market. High yield bonds have outperformed stocks during the past few economic recoveries, but that has not happened this time around. With the coronavirus continuing to spread and disrupt markets, the Fed intervened with interest rate cuts and purchases of high yield bonds. Although the Fed’s bond purchase program is set to conclude in March 2022, the central bank’s purchases of high-yield bonds have assisted corporations in raising capital and supported performance of the segment.
Our duration positioning was a detractor for the year. We established a defensive position in rates early in the year expecting interest rates to rise from positive economic growth, emergence from the worst of Covid-19 and signs of returning inflation. We established short Treasury futures positions 10 years and out on the yield curve. We also favored cash bonds with less interest rate sensitivity. Over the course of the year, the yield curve (which depicts the relationship among bond yields across the maturity spectrum) flattened-rising in the short part of the curve while declining in the long end of the curve. Our long-dated short Treasury futures positions were negatively impacted by this flattening.
Emerging market bonds lost ground in 2021. Although the category offers above-average yields, the benefit was outweighed by weak price performance. China’s efforts to de-lever and stabilize property markets have put liquidity pressure on issuers across the sector, increased credit concerns and resulted in significant bond price erosion.
Outlook
In our view, the macroeconomic outlook remains positive, as a healthy consumer, strong corporate fundamentals and relatively easy financial conditions have continued to be a tailwind to economic activity. Although confirmed Covid-19 cases spiked at the end of 2021, driven largely by the Omicron variant, we do not expect a material disruption in the demand for goods and services going forward. We believe US growth will remain above its long-term trend and unemployment will likely fall as wage growth draws participants back into the workforce. This macroeconomic backdrop appears positive for risk assets; however, elevated inflation readings have increased the risk of a central bank policy mistake. Any tightening of policy to fight inflation will need to balance the impact to growth, which has lingering uncertainties related to Covid-19, slowing Chinese growth (and deleveraging within its property sector) and ongoing global supply chain disruptions. While we do not expect the tightening cycle to put growth at risk, we do believe market volatility could potentially increase provided that the market reprices evolving central bank policies globally.
Under our base case of economic expansion, we believe inflation will remain elevated and above the Fed’s target throughout 2022. The Fed’s hawkish pivot to concern over inflation could drive a faster tapering of asset purchases, which should conclude in March, before the anticipated liftoff in the benchmark fed funds rate in the second quarter. The pace and magnitude of rate hikes will largely be dependent on whether supply chain disruptions subside, allowing inflation to ease throughout the year. We anticipate that interest rates will likely move higher and the Fund remains defensive on interest rate risk, positioned shorter than broad market benchmarks from a duration perspective to help minimize any negative performance impact from rising rates.
We believe we are currently in the expansion phase of the credit cycle1 with credit fundamentals, technical factors and default expectations continuing to appear attractive. With the credit cycle firmly in the expansion phase, we believe high yield bonds will be supported by the ongoing investor demand for yield. We remain “pro risk” on credit exposure for higher carry potential and believe that individual issuer selection will be key in seeking to deliver attractive performance in 2022. Strong corporate profits, debt repayment and continued strong investor appetite for yield could help to provide a tailwind to credit markets. From a sector perspective, we are targeting areas with strong carry potential, less interest rate sensitivity and positive convexity (i.e. a favorable risk/reward profile in a changing rate environment). As such, we currently favor high yield corporates and convertible securities, as well as securitized debt, which can provide diversification away from pure corporate risk, attractive yield potential and shorter duration profiles.
During the fourth quarter, credit markets were generally resilient to a significant hawkish pivot in Fed policy as well as concerns over Chinese growth, which suggests that there remains a strong demand for yield. We believe this dynamic will likely hold going forward given our outlook that downgrades, defaults and losses will trend meaningfully below long-term averages. Given our macroeconomic expectations and credit cycle outlook, in our view embracing credit risk over interest rate risk is a reasonable approach for 2022. We recognize, however, that valuations are elevated, credit spreads have fallen below their long-term averages and market volatility will likely increase as Fed policy evolves. As a result, we have built flexibility into the portfolio in order to be prepared to take advantage of opportunities that may arise because of any short-term disruptions.
During periods in which the US dollar appreciates relative to foreign currencies, funds that hold non-US-dollar-denominated bonds, foreign currency or foreign currency based derivative securities (“Foreign Currency Exposures”) may realize currency losses in
13 |
| 1 | A credit cycle is a cyclical pattern that follows credit availability and corporate health. |
connection with the maturity or sale of certain Foreign Currency Exposures. These losses impact a fund’s ordinary income distributions (to the extent that losses are not offset by realized currency gains within the fund’s fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a fund has available to distribute, even though non – US –dollar denominated bonds continue to generate coupon income.
Fund officers have analyzed the fund’s current portfolio of investments, realized currency gains and losses, schedule of maturities, and the corresponding amounts of unrealized currency losses that may become realized during the current fiscal year. This analysis is performed regularly to determine how realized currency losses have and will impact periodic ordinary income distributions for the fund. Based on the most recent quarterly analysis (as of December 31, 2021), realized currency losses will continue to have an impact on the distributions in the 2022 fiscal year. This analysis is based on certain assumptions including, but not limited to, the amount of Foreign Currency Exposures held by the fund, the level of foreign currency exchange rates, security prices, interest rates, the fund advisers’ ability to manage realized currency losses, and the net asset level of the fund. Changes to these assumptions could materially impact the analysis and the amounts of future fund distributions. Fund officers will continue to monitor these amounts on a regular basis and take the necessary actions required to manage the fund’s distributions to address realized currency losses while seeking to avoid a return of capital distribution.
LOOMIS SAYLES STRATEGIC ALPHA FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares4
December 31, 2011 through December 31, 2021
See notes to chart on page 15.
| 14
LOOMIS SAYLES STRATEGIC ALPHA FUND
Average Annual Total Returns — December 31, 20214
| Expense Ratios5 | ||||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | Life of Class N | Gross | Net | |||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 1.32 | % | 3.82 | % | 4.02 | % | — | % | 0.74 | % | 0.74 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 1.07 | 3.57 | 3.76 | — | 0.99 | 0.99 | ||||||||||||||||||
| With 4.25% Maximum Sales Charge | -3.20 | 2.67 | 3.32 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | 0.30 | 2.81 | 3.15 | — | 1.74 | 1.74 | ||||||||||||||||||
| With CDSC1 | -0.69 | 2.81 | 3.15 | — | ||||||||||||||||||||
| Class N (Inception 5/1/17) | ||||||||||||||||||||||||
| NAV | 1.38 | — | — | 3.87 | 0.68 | 0.68 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| 3-Month LIBOR2 | 0.16 | 1.34 | 0.87 | 1.35 | ||||||||||||||||||||
| 3-Month LIBOR + 300 basis points3 | 3.16 | 4.34 | 3.87 | 4.34 | ||||||||||||||||||||
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. 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, and includes automatic conversion to Class A shares after eight years. |
| 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. |
15 |
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 | ||
Investment Goal
The Fund seeks high current income with a secondary objective of capital growth.
Market Conditions
Bonds produced muted returns in 2021, with the most interest rate-sensitive investments generally experiencing the weakest performance. The strong recovery in economic growth, which occurred as the rollout of multiple vaccines for Covid-19 allowed for a gradual restoration of normal business conditions, was an important headwind for the market. Despite the improving economy, the US Federal Reserve (Fed) remained committed to an ultra-accommodative monetary policy for much of the year. The Fed retained this stance through the third calendar quarter even as inflation started to accelerate, stating that the price pressures were likely to be “transitory.” However, a continued increase in inflation in the autumn prompted the Fed to shift toward a tighter policy in November. In addition to reducing the extent of the stimulative bond-buying program known as quantitative easing (a process referred to as “tapering”), the Fed began to signal the likelihood of interest rate increases in 2022. Together, these developments depressed returns across the bond market.
US Treasuries posted negative returns in 2021. The first part of the year brought rising yields (and falling prices) for longer-term Treasuries, which tend to be highly sensitive to the outlook for economic growth. Later in the year, short-term bonds — which are heavily influenced by Fed policy — experienced a selloff of their own in response to the unfavorable shift in the interest rate outlook. The ten-year note, which entered the year with a yield of 0.93%, moved up to 1.74% at the end of the first quarter before closing 2021 at 1.52%. The yield on the two-year note, in contrast, only moved from 0.13% to 0.20% in the first eight months of the year, but the subsequent selloff caused its yield to surge to 0.73% by year-end. The Treasury yield curve flattened dramatically as a result of these shifts.
Investment grade corporate debt experienced a modest loss for the year. Although the category benefited from improving credit conditions and investors’ appetite for both risk and yield, it was adversely affected by the downturn in US Treasuries.
Investors’ heightened risk tolerance translated to strong returns for high yield corporates. The category tends to have lower interest rate sensitivity than investment grade bonds, which helped relative performance. High yield further benefited from the general improvement in corporations’ earnings and balance sheets, as well as the surge in oil prices. Leveraged loans, which typically offer yields that adjust upward with prevailing interest rates, also outperformed the broader market by a wide margin.
Securitized credit — including asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), collateralized loan obligations (CLO), and residential mortgage-backed securities (RMBS) — produced positive excess returns over US Treasuries. The category’s underlying fundamentals remained firm, with continued strength in both real estate prices and consumer credit. Agency mortgage-backed securities (MBS) produced negative excess returns versus US Treasuries as interest rate volatility increased.
Emerging market bonds lost ground in 2021. Although the category offers above-average yields, the benefit was outweighed by weak price performance. Slowing growth in China and Brazil, together with a persistent uptrend in the US dollar, were key factors weighing on the asset class.
Portfolio Results
For the 12 months ended December 31, 2021, Class Y shares of the Loomis Sayles Strategic Income Fund returned 4.12% at net asset value. The Fund outperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, which returned -1.54%.
Explanation of Fund Performance
Security selection was the primary source of outperformance for the Fund. Within corporate credit, high yield was a notable contributor to relative return, aided by consumer non-cyclical, and energy holdings. An allocation to equity securities, particularly within the utility, consumer non-cyclical, and technology sectors, was positive as stock markets posted strong gains for the period. Selected communications names within investment grade corporate credit were also beneficial for performance. Finally, performance
| 16
LOOMIS SAYLES STRATEGIC INCOME FUND
was helped by the Fund’s exposure to asset-backed securities within securitized credit as this sector fared better than many other broad fixed income markets.
Exposure to emerging market corporate credit was the main detractor of relative return. Here, underperformance was driven by holdings in Chinese property names as this sector came under pressure amid falling sale prices and tighter restrictions. Duration positioning in US Treasuries was also a laggard. The Fund began the first quarter of 2021 with notably longer duration relative to the benchmark within US Treasuries. This longer duration stance was decreased in subsequent months using Treasury futures as part of a larger effort to decrease the Fund’s overall duration positioning.
Outlook
In our view, the macroeconomic outlook remains positive, as a healthy consumer, strong corporate fundamentals and relatively easy financial conditions have continued to be a tailwind to economic activity. Although confirmed Covid-19 cases spiked at the end of 2021, driven largely by the Omicron variant, we do not expect a material disruption in the demand for goods and services going forward. We believe US growth will remain above its long-term trend and unemployment will likely fall as wage growth draws participants back into the workforce. This macroeconomic backdrop appears positive for risk assets; however, elevated inflation readings have increased the risk of a central bank policy mistake. Any tightening of policy to fight inflation will need to balance the impact to growth, which has lingering uncertainties related to Covid-19, slowing Chinese growth (and deleveraging within its property sector), and ongoing global supply chain disruptions. While we do not expect the tightening cycle to put growth at risk, we do believe market volatility could potentially increase provided the market reprices evolving central bank policies globally.
Under our base case of economic expansion, we believe inflation will remain elevated and above the Fed’s target throughout 2022. The Fed’s hawkish pivot to concern over inflation could drive a faster tapering of asset purchases, which should conclude in March, before the anticipated liftoff in the benchmark fed funds rate in the second quarter. The pace and magnitude of rate hikes will largely be dependent on whether inflation eases throughout the year provided that supply chain disruptions subside. We anticipate that interest rates will likely move higher and remain defensive on interest rate risk, positioned shorter than broad market benchmarks from a duration perspective to help minimize any negative performance impact from rising rates.
We believe we are currently in the expansion phase of the credit cycle1 with credit fundamentals, technical factors and default expectations continuing to appear attractive. We remain “pro risk” on credit exposure for higher carry potential and believe that individual issuer selection will be key in seeking to deliver attractive performance in 2022. Strong corporate profits, debt repayment and continued strong investor appetite for yield could help to provide a tailwind to credit markets. From a sector perspective, we are targeting those that have strong carry potential, less interest rate sensitivity and positive convexity (i.e., a favorable risk/reward profile in a changing rate environment). As such, we currently favor high yield corporates and convertible securities, as well as securitized debt, which can provide diversification away from pure corporate risk, attractive yield potential and shorter duration profiles.
During the fourth quarter, credit markets were generally resilient to a significant hawkish pivot in Fed policy as well as concerns over Chinese growth, which could indicate that there is a strong demand for yield. We believe this dynamic will likely hold going forward given our outlook that downgrades, defaults and losses will trend meaningfully below long-term averages. Given our macroeconomic expectations and credit cycle outlook, in our view, embracing credit risk over interest rate risk is a reasonable approach for 2022. We recognize, however, that valuations have been elevated, credit spreads have been through their long-term averages and market volatility will likely increase as Fed policy evolves. As a result, we have built flexibility into our portfolios in seeking to take advantage of opportunities that may arise as a result of short-term disruptions.
During periods in which the US dollar appreciates relative to foreign currencies, Funds that hold non-US-dollar-denominated bonds, foreign currency, or foreign currency-based derivative securities (“Foreign Currency Exposures”) may realize currency losses in connection with the maturity or sale of certain Foreign Currency Exposures. These losses impact a Fund’s ordinary income distributions (to the extent that losses are not offset by realized currency gains within the Fund’s fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a Fund has available to distribute, even though non-US-dollar-denominated bonds continue to generate coupon income. Fund officers have analyzed the Fund’s current portfolio of investments, realized currency gains and losses, schedule of maturities, and the corresponding amounts of unrealized currency losses that may become realized during the current fiscal year. This analysis is performed regularly to determine how realized currency losses have and will impact periodic ordinary income distributions for the Fund. Based on the most recent quarterly analysis (as of December 31, 2021), realized currency losses will continue to have an impact on the distributions in the 2022 fiscal year. This analysis is based on certain assumptions including, but not limited to, the amount of Foreign Currency Exposures held by the Fund, the level of foreign currency exchange rates, security prices, interest rates, the Fund advisers’ ability to manage realized currency losses, and the net asset level of the Fund. Changes to these assumptions could materially impact the analysis and the amounts of future Fund distributions. Fund officers will continue to monitor these amounts on a regular basis and take the necessary actions required to manage the Fund’s distributions to address realized currency losses while seeking to avoid a return of capital distribution.
| 1 | A credit cycle is a cyclical pattern that follows credit availability and corporate health. |
17 |
LOOMIS SAYLES STRATEGIC INCOME FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares4
December 31, 2011 through December 31, 2021
See notes to chart on page 19.
| 18
LOOMIS SAYLES STRATEGIC INCOME FUND
Average Annual Total Returns — December 31, 20214
| Expense Ratios5 | ||||||||||||||||||||||||
| 1 Year | 5 Years | 10 Years | Life of Class N | Gross | Net | |||||||||||||||||||
| Class Y | ||||||||||||||||||||||||
| NAV | 4.12 | % | 4.17 | % | 5.15 | % | — | % | 0.72 | % | 0.70 | % | ||||||||||||
| Class A | ||||||||||||||||||||||||
| NAV | 3.85 | 3.90 | 4.88 | — | 0.97 | 0.95 | ||||||||||||||||||
| With 4.25% Maximum Sales Charge | -0.54 | 3.00 | 4.43 | — | ||||||||||||||||||||
| Class C | ||||||||||||||||||||||||
| NAV | 3.13 | 3.13 | 4.25 | — | 1.72 | 1.70 | ||||||||||||||||||
| With CDSC1 | 2.13 | 3.13 | 4.25 | — | ||||||||||||||||||||
| Class N (Inception 2/1/13) | ||||||||||||||||||||||||
| NAV | 4.19 | 4.25 | — | 4.06 | 0.65 | 0.65 | ||||||||||||||||||
| Admin Class | ||||||||||||||||||||||||
| NAV | 3.68 | 3.66 | 4.64 | — | 1.22 | 1.20 | ||||||||||||||||||
| Comparative Performance | ||||||||||||||||||||||||
| Bloomberg U.S. Aggregate Bond Index2 | -1.54 | 3.57 | 2.90 | 2.86 | ||||||||||||||||||||
| Bloomberg U.S. Universal Bond Index3 | -1.10 | 3.84 | 3.31 | 3.15 | ||||||||||||||||||||
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 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. |
| 3 | The Bloomberg 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. |
| 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 4/30/23. 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. |
19 |
ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis 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.
| 20
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 July 1, 2021 through December 31, 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 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $997.40 | $5.03 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.16 | $5.09 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $993.40 | $8.79 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,016.38 | $8.89 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $998.90 | $3.53 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | $3.57 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $998.70 | $3.78 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.43 | $3.82 | |||||||||
| * | 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 (184), divided by 365 (to reflect the half-year period). |
21 |
| LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,000.50 | $3.53 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | $3.57 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $996.70 | $7.30 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,017.90 | $7.38 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,002.70 | $2.27 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,022.94 | $2.29 | |||||||||
| * | 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 (184), divided by 365 (to reflect the half-year period). |
| LOOMIS SAYLES INVESTMENT GRADE BOND FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $999.90 | $3.78 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.43 | $3.82 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $996.00 | $7.55 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,017.64 | $7.63 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,001.50 | $2.27 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,022.94 | $2.29 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,000.40 | $2.52 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,022.69 | $2.55 | |||||||||
| Admin Class | ||||||||||||
| Actual | $1,000.00 | $997.80 | $5.04 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.16 | $5.09 | |||||||||
| * | 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 (184), divided by 365 (to reflect the half-year period). |
| 22
| LOOMIS SAYLES STRATEGIC ALPHA FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $993.50 | $4.87 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.32 | $4.94 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $990.30 | $8.58 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,016.59 | $8.69 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $995.90 | $3.37 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.83 | $3.41 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $994.70 | $3.62 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.58 | $3.67 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio: 0.97%, 1.71%, 0.67% and 0.72% 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 (184), divided by 365 (to reflect the half-year period). |
| LOOMIS SAYLES STRATEGIC INCOME FUND | BEGINNING ACCOUNT VALUE 7/1/2021 | ENDING ACCOUNT VALUE 12/31/2021 | EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 | |||||||||
| Class A | ||||||||||||
| Actual | $1,000.00 | $1,004.50 | $4.80 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | $4.84 | |||||||||
| Class C | ||||||||||||
| Actual | $1,000.00 | $1,000.50 | $8.57 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,016.64 | $8.64 | |||||||||
| Class N | ||||||||||||
| Actual | $1,000.00 | $1,005.40 | $3.29 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.93 | $3.31 | |||||||||
| Class Y | ||||||||||||
| Actual | $1,000.00 | $1,005.10 | $3.54 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | $3.57 | |||||||||
| Admin Class | ||||||||||||
| Actual | $1,000.00 | $1,003.30 | $6.11 | |||||||||
| Hypothetical (5% return before expenses) | $1,000.00 | $1,019.11 | $6.16 | |||||||||
| * | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.95%, 1.70%, 0.65%, 0.70% and 1.21% 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 (184), divided by 365 (to reflect the half-year period). |
23 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles High Income Fund
| Principal Amount | Description | Value (†) | ||||||
| Bonds and Notes — 90.1% of Net Assets | ||||||||
| Non-Convertible Bonds — 84.4% | ||||||||
| ABS Home Equity — 0.1% |
| |||||||
| $ | 119,437 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 0.764%, 9/19/2045(a) | $ | 89,017 | ||||
| 100,000 | VOLT XCVI LLC, Series 2021-NPL5, Class A2, 4.826%, 3/27/2051, 144A(b) | 99,012 | ||||||
|
| |||||||
| 188,029 | ||||||||
|
| |||||||
| Aerospace & Defense — 2.2% |
| |||||||
| 100,000 | Bombardier, Inc., 6.000%, 2/15/2028, 144A | 100,303 | ||||||
| 635,000 | Bombardier, Inc., 7.125%, 6/15/2026, 144A | 658,755 | ||||||
| 95,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | 98,206 | ||||||
| 140,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 145,775 | ||||||
| 263,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 305,580 | ||||||
| 60,000 | Moog, Inc., 4.250%, 12/15/2027, 144A | 60,450 | ||||||
| 620,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 621,550 | ||||||
| 190,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | 199,263 | ||||||
| 235,000 | TransDigm, Inc., 4.625%, 1/15/2029 | 234,220 | ||||||
| 110,000 | TransDigm, Inc., 4.875%, 5/01/2029 | 110,473 | ||||||
| 100,000 | TransDigm, Inc., 5.500%, 11/15/2027 | 103,000 | ||||||
| 120,000 | Triumph Group, Inc., 6.250%, 9/15/2024, 144A | 120,750 | ||||||
|
| |||||||
| 2,758,325 | ||||||||
|
| |||||||
| Airlines — 1.9% |
| |||||||
| 30,000 | American Airlines Group, Inc., 5.000%, 6/01/2022, 144A | 30,062 | ||||||
| 160,000 | American Airlines, Inc., 11.750%, 7/15/2025, 144A | 197,400 | ||||||
| 225,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 233,972 | ||||||
| 1,240,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 1,325,213 | ||||||
| 111,000 | Delta Air Lines, Inc., 7.375%, 1/15/2026 | 130,680 | ||||||
| 260,000 | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.750%, 1/20/2026, 144A | 272,025 | ||||||
| 105,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 109,487 | ||||||
| 155,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A | 159,843 | ||||||
|
| |||||||
| 2,458,682 | ||||||||
|
| |||||||
| Automotive — 2.4% |
| |||||||
| 105,000 | Clarios Global LP/Clarios U.S. Finance Co., 8.500%, 5/15/2027, 144A | 111,300 | ||||||
| 75,000 | Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A | 76,781 | ||||||
| 265,000 | Ford Motor Co., 3.250%, 2/12/2032 | 271,360 | ||||||
| 1,280,000 | Ford Motor Co., 9.000%, 4/22/2025 | 1,564,928 | ||||||
| 105,000 | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027 | 111,169 | ||||||
| 115,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026 | 118,019 | ||||||
| 55,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 7/15/2029, 144A | 59,081 | ||||||
| 180,000 | Goodyear Tire & Rubber Co. (The), 5.250%, 7/15/2031, 144A | 195,427 | ||||||
| 300,000 | Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028 | 305,250 | ||||||
| 40,000 | Meritor, Inc., 4.500%, 12/15/2028, 144A | 40,100 | ||||||
| 65,000 | Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A | 64,898 | ||||||
| 40,000 | Tenneco, Inc., 7.875%, 1/15/2029, 144A | 43,200 | ||||||
| 85,000 | Wheel Pros, Inc., 6.500%, 5/15/2029, 144A | 81,600 | ||||||
|
| |||||||
| 3,043,113 | ||||||||
|
| |||||||
| Banking — 0.8% |
| |||||||
| 600,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 648,281 | ||||||
| 400,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 435,813 | ||||||
|
| |||||||
| 1,084,094 | ||||||||
|
| |||||||
| Brokerage — 0.2% |
| |||||||
| 60,000 | Coinbase Global, Inc., 3.625%, 10/01/2031, 144A | 55,200 | ||||||
| 200,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.000%, 8/15/2028, 144A | 205,000 | ||||||
|
| |||||||
| 260,200 | ||||||||
|
| |||||||
| Building Materials — 1.8% |
| |||||||
| 215,000 | Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A | 222,568 | ||||||
| 265,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A | 284,315 | ||||||
| 270,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 269,009 | ||||||
| 285,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 306,019 | ||||||
| 125,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A | 133,606 | ||||||
| 50,000 | CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A | 49,750 | ||||||
| 315,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A | 309,487 | ||||||
| 170,000 | LBM Acquisition LLC, 6.250%, 1/15/2029, 144A | 168,088 | ||||||
| 185,000 | Park River Holdings, Inc., 5.625%, 2/01/2029, 144A | 176,675 | ||||||
| 125,000 | Patrick Industries, Inc., 4.750%, 5/01/2029, 144A | 124,375 | ||||||
| 105,000 | Standard Industries, Inc., 4.375%, 7/15/2030, 144A | 107,153 | ||||||
| 45,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | 47,133 | ||||||
| 165,000 | Victors Merger Corp., 6.375%, 5/15/2029, 144A | 155,100 | ||||||
|
| |||||||
| 2,353,278 | ||||||||
|
| |||||||
| Cable Satellite — 6.6% |
| |||||||
| 210,000 | Altice Financing S.A., 5.000%, 1/15/2028, 144A | 204,937 | ||||||
| 80,000 | Block Communications, Inc., 4.875%, 3/01/2028, 144A | 80,000 | ||||||
| 600,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 606,396 | ||||||
| 610,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 600,135 | ||||||
| 1,005,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A | 1,045,200 | ||||||
| 205,000 | Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.750%, 10/01/2026, 144A | 215,506 | ||||||
| 435,000 | CSC Holdings LLC, 4.500%, 11/15/2031, 144A | 429,562 | ||||||
| 555,000 | CSC Holdings LLC, 4.625%, 12/01/2030 | 525,169 | ||||||
| 1,220,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 1,154,425 | ||||||
| 205,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 197,569 | ||||||
| 595,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A | 609,107 | ||||||
| 150,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 136,500 | ||||||
| 150,000 | DISH DBS Corp., 7.375%, 7/01/2028 | 151,875 | ||||||
| 675,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 712,125 | ||||||
| 273,707 | Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(c) | 222,412 | ||||||
| 83,081 | Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(c) | 37,775 | ||||||
| 185,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A | 185,839 | ||||||
| 125,000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A | 117,388 | ||||||
| 310,000 | UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A | 316,200 | ||||||
| 110,000 | ViaSat, Inc., 6.500%, 7/15/2028, 144A | 110,275 | ||||||
| 225,000 | Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A | 223,875 | ||||||
| 200,000 | Ziggo BV, 4.875%, 1/15/2030, 144A | 205,006 | ||||||
| 296,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 304,140 | ||||||
|
| |||||||
| 8,391,416 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 24
Portfolio of Investments – as of December 31, 2021
Loomis Sayles High Income Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Chemicals — 1.5% |
| |||||||
| $ | 55,000 | Chemours Co. (The), 5.375%, 5/15/2027 | $ | 58,850 | ||||
| 150,000 | Consolidated Energy Finance S.A., 5.625%, 10/15/2028, 144A | 146,625 | ||||||
| 150,000 | Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A | 152,812 | ||||||
| 75,000 | Diamond BC BV, 4.625%, 10/01/2029, 144A | 74,390 | ||||||
| 330,000 | Hercules LLC, 6.500%, 6/30/2029 | 369,673 | ||||||
| 200,000 | Herens Holdco S.a.r.l., 4.750%, 5/15/2028, 144A | 196,000 | ||||||
| 140,000 | Hexion, Inc., 7.875%, 7/15/2027, 144A | 147,700 | ||||||
| 80,000 | Methanex Corp., 5.125%, 10/15/2027 | 84,000 | ||||||
| 20,000 | Methanex Corp., 5.250%, 12/15/2029 | 21,090 | ||||||
| 185,000 | Olin Corp., 5.000%, 2/01/2030 | 194,250 | ||||||
| 65,000 | Olin Corp., 5.125%, 9/15/2027 | 66,706 | ||||||
| 5,000 | Olin Corp., 5.625%, 8/01/2029 | 5,415 | ||||||
| 220,000 | Olympus Water U.S. Holding Corp., 4.250%, 10/01/2028, 144A | 218,764 | ||||||
| 150,000 | Unifrax Escrow Issuer Corp., 5.250%, 9/30/2028, 144A | 151,612 | ||||||
|
| |||||||
| 1,887,887 | ||||||||
|
| |||||||
| Construction Machinery — 0.2% |
| |||||||
| 75,000 | Ritchie Bros Holdings, Inc., 4.750%, 12/15/2031, 144A | 78,253 | ||||||
| 125,000 | Titan International, Inc., 7.000%, 4/30/2028 | 133,125 | ||||||
|
| |||||||
| 211,378 | ||||||||
|
| |||||||
| Consumer Cyclical Services — 1.9% |
| |||||||
| 485,000 | ADT Security Corp. (The), 4.125%, 8/01/2029, 144A | 477,725 | ||||||
| 95,000 | ANGI Group LLC, 3.875%, 8/15/2028, 144A | 92,862 | ||||||
| 35,000 | Arches Buyer, Inc., 6.125%, 12/01/2028, 144A | 35,219 | ||||||
| 330,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A | 338,250 | ||||||
| 185,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 7.625%, 6/15/2025, 144A | 196,100 | ||||||
| 80,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 9.375%, 4/01/2027, 144A | 86,400 | ||||||
| 240,000 | Terminix Co. LLC (The), 7.450%, 8/15/2027 | 300,000 | ||||||
| 60,000 | TKC Holdings, Inc., 10.500%, 5/15/2029, 144A | 64,800 | ||||||
| 760,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 815,860 | ||||||
|
| |||||||
| 2,407,216 | ||||||||
|
| |||||||
| Consumer Products — 0.6% |
| |||||||
| 20,000 | Coty, Inc., 6.500%, 4/15/2026, 144A | 20,625 | ||||||
| 255,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029, 144A | 259,144 | ||||||
| 160,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A | 156,152 | ||||||
| 175,000 | Prestige Brands, Inc., 5.125%, 1/15/2028, 144A | 182,219 | ||||||
| 135,000 | Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A | 135,255 | ||||||
|
| |||||||
| 753,395 | ||||||||
|
| |||||||
| Diversified Manufacturing — 0.4% |
| |||||||
| 120,000 | Madison IAQ LLC, 5.875%, 6/30/2029, 144A | 120,000 | ||||||
| 120,000 | Resideo Funding, Inc., 4.000%, 9/01/2029, 144A | 117,718 | ||||||
| 200,000 | TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A | 210,250 | ||||||
|
| |||||||
| 447,968 | ||||||||
|
| |||||||
| Electric — 1.3% |
| |||||||
| 915,000 | Calpine Corp., 5.125%, 3/15/2028, 144A | 928,871 | ||||||
| 315,000 | NRG Energy, Inc., 3.625%, 2/15/2031, 144A | 307,125 | ||||||
| 140,000 | PG&E Corp., 5.000%, 7/01/2028 | 147,255 | ||||||
| 25,000 | PG&E Corp., 5.250%, 7/01/2030 | 26,218 | ||||||
| 315,000 | Talen Energy Supply LLC, 7.625%, 6/01/2028, 144A | 280,381 | ||||||
|
| |||||||
| 1,689,850 | ||||||||
|
| |||||||
| Environmental — 0.1% |
| |||||||
| 175,000 | GFL Environmental, Inc., 4.000%, 8/01/2028, 144A | 171,500 | ||||||
|
| |||||||
| Finance Companies — 4.0% |
| |||||||
| 365,000 | Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A | 360,437 | ||||||
| 105,000 | Fortress Transportation & Infrastructure Investors LLC, 5.500%, 5/01/2028, 144A | 107,006 | ||||||
| 265,000 | Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A | 270,634 | ||||||
| 150,000 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(d) | 144,750 | ||||||
| 115,000 | LFS Topco LLC, 5.875%, 10/15/2026, 144A | 118,738 | ||||||
| 385,000 | Midcap Financial Issuer Trust, 6.500%, 5/01/2028, 144A | 401,362 | ||||||
| 655,000 | Navient Corp., 4.875%, 3/15/2028 | 653,362 | ||||||
| 170,000 | Navient Corp., 5.000%, 3/15/2027 | 173,376 | ||||||
| 380,000 | Navient Corp., 5.500%, 3/15/2029 | 379,050 | ||||||
| 95,000 | Navient Corp., 6.750%, 6/25/2025 | 104,500 | ||||||
| 620,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 609,696 | ||||||
| 170,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A | 172,975 | ||||||
| 390,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 387,075 | ||||||
| 620,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 629,300 | ||||||
| 260,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 263,349 | ||||||
| 380,000 | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 3.625%, 3/01/2029 | 381,425 | ||||||
|
| |||||||
| 5,157,035 | ||||||||
|
| |||||||
| Financial Other — 2.6% |
| |||||||
| 210,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 125,353 | ||||||
| 200,000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(e) | 54,278 | ||||||
| 200,000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(e) | 54,396 | ||||||
| 200,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(f)(g) | 38,924 | ||||||
| 200,000 | China Evergrande Group, 8.750%, 6/28/2025(e) | 29,980 | ||||||
| 200,000 | Easy Tactic Ltd., 8.125%, 2/27/2023 | 74,596 | ||||||
| 105,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 102,375 | ||||||
| 1,130,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 1,162,126 | ||||||
| 200,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(e) | 52,604 | ||||||
| 200,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(e) | 52,344 | ||||||
| 400,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(e) | 104,900 | ||||||
| 225,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A | 222,188 | ||||||
| 435,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A | 432,825 | ||||||
| 120,000 | Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A | 125,004 | ||||||
| 200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024 | 128,242 | ||||||
| 200,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026 | 126,498 | ||||||
| 200,000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024 | 128,202 | ||||||
| 200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 136,388 | ||||||
| 400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027 | 111,936 | ||||||
|
| |||||||
| 3,263,159 | ||||||||
|
| |||||||
| Food & Beverage — 2.5% |
| |||||||
| 65,000 | Aramark Services, Inc., 5.000%, 2/01/2028, 144A | 67,194 | ||||||
| 324,000 | Kraft Heinz Foods Co., 3.000%, 6/01/2026 | 338,889 | ||||||
| 725,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 692,382 | ||||||
| 140,000 | Performance Food Group, Inc., 4.250%, 8/01/2029, 144A | 138,888 | ||||||
| 120,000 | Performance Food Group, Inc., 5.500%, 10/15/2027, 144A | 125,250 | ||||||
| 270,000 | Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A | 285,104 | ||||||
| 370,000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A | 367,225 | ||||||
| 425,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A | 432,863 | ||||||
See accompanying notes to financial statements.
25 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles High Income Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Food & Beverage — continued |
| |||||||
| $ | 135,000 | Post Holdings, Inc., 5.500%, 12/15/2029, 144A | $ | 141,835 | ||||
| 105,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A | 103,425 | ||||||
| 120,000 | TreeHouse Foods, Inc., 4.000%, 9/01/2028 | 115,200 | ||||||
| 140,000 | Triton Water Holdings, Inc., 6.250%, 4/01/2029, 144A | 134,274 | ||||||
| 205,000 | US Foods, Inc., 4.750%, 2/15/2029, 144A | 208,331 | ||||||
|
| |||||||
| 3,150,860 | ||||||||
|
| |||||||
| Gaming — 3.2% |
| |||||||
| 375,000 | Boyd Gaming Corp., 4.750%, 12/01/2027 | 382,500 | ||||||
| 165,000 | Boyd Gaming Corp., 4.750%, 6/15/2031, 144A | 168,300 | ||||||
| 180,000 | Caesars Entertainment, Inc., 4.625%, 10/15/2029, 144A | 180,000 | ||||||
| 220,000 | Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A | 230,917 | ||||||
| 190,000 | Caesars Entertainment, Inc., 8.125%, 7/01/2027, 144A | 210,414 | ||||||
| 100,000 | Caesars Resort Collection LLC/CRC Finco, Inc., 5.750%, 7/01/2025, 144A | 104,432 | ||||||
| 220,000 | International Game Technology PLC, 5.250%, 1/15/2029, 144A | 233,101 | ||||||
| 200,000 | Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A | 194,000 | ||||||
| 200,000 | MGM China Holdings Ltd., 4.750%, 2/01/2027, 144A | 198,104 | ||||||
| 205,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.500%, 1/15/2028 | 221,400 | ||||||
| 255,000 | MGM Resorts International, 5.500%, 4/15/2027 | 271,575 | ||||||
| 110,000 | Mohegan Gaming & Entertainment, 8.000%, 2/01/2026, 144A | 115,488 | ||||||
| 410,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 436,650 | ||||||
| 330,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 367,950 | ||||||
| 200,000 | Studio City Finance Ltd., 5.000%, 1/15/2029, 144A | 179,000 | ||||||
| 230,000 | Studio City Finance Ltd., 6.500%, 1/15/2028, 144A | 220,800 | ||||||
| 250,000 | Wynn Macau Ltd., 5.125%, 12/15/2029, 144A | 227,112 | ||||||
| 165,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A | 167,475 | ||||||
|
| |||||||
| 4,109,218 | ||||||||
|
| |||||||
| Government Owned – No Guarantee — 0.5% |
| |||||||
| 135,000 | EcoPetrol S.A., 4.625%, 11/02/2031 | 131,247 | ||||||
| 340,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 330,386 | ||||||
| 280,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 183,316 | ||||||
|
| |||||||
| 644,949 | ||||||||
|
| |||||||
| Healthcare — 3.9% |
| |||||||
| 100,000 | AdaptHealth LLC, 5.125%, 3/01/2030, 144A | 101,750 | ||||||
| 110,000 | AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A | 108,900 | ||||||
| 270,000 | CHS/Community Health Systems, Inc., 6.125%, 4/01/2030, 144A | 267,117 | ||||||
| 195,000 | CHS/Community Health Systems, Inc., 6.875%, 4/15/2029, 144A | 198,656 | ||||||
| 235,000 | CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A | 247,044 | ||||||
| 240,000 | DaVita, Inc., 3.750%, 2/15/2031, 144A | 233,839 | ||||||
| 180,000 | DaVita, Inc., 4.625%, 6/01/2030, 144A | 184,275 | ||||||
| 155,000 | Encompass Health Corp., 4.500%, 2/01/2028 | 159,456 | ||||||
| 300,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 309,000 | ||||||
| 160,000 | HCA, Inc., 7.050%, 12/01/2027 | 196,000 | ||||||
| 145,000 | HCA, Inc., 7.500%, 11/06/2033 | 208,075 | ||||||
| 115,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 159,706 | ||||||
| 270,000 | LifePoint Health, Inc., 5.375%, 1/15/2029, 144A | 268,650 | ||||||
| 75,000 | ModivCare Escrow Issuer, Inc., 5.000%, 10/01/2029, 144A | 76,595 | ||||||
| 40,000 | ModivCare, Inc., 5.875%, 11/15/2025, 144A | 42,000 | ||||||
| Healthcare — continued |
| |||||||
| 210,000 | Mozart Debt Merger Sub, Inc., 5.250%, 10/01/2029, 144A | 212,864 | ||||||
| 230,000 | MPH Acquisition Holdings LLC, 5.750%, 11/01/2028, 144A | 218,730 | ||||||
| 75,000 | RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A | 75,656 | ||||||
| 75,000 | Select Medical Corp., 6.250%, 8/15/2026, 144A | 79,443 | ||||||
| 615,000 | Tenet Healthcare Corp., 4.375%, 1/15/2030, 144A | 623,419 | ||||||
| 100,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A | 102,750 | ||||||
| 345,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | 364,393 | ||||||
| 355,000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A | 367,425 | ||||||
| 95,000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A | 99,513 | ||||||
|
| |||||||
| 4,905,256 | ||||||||
|
| |||||||
| Home Construction — 1.2% |
| |||||||
| 215,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A | 219,916 | ||||||
| 75,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 6.250%, 9/15/2027, 144A | 78,285 | ||||||
| 1,200,000 | Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(e)(h)(i) | — | ||||||
| 100,000 | Empire Communities Corp., 7.000%, 12/15/2025, 144A | 103,500 | ||||||
| 220,000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(e) | 51,678 | ||||||
| 40,000 | Forestar Group, Inc., 3.850%, 5/15/2026, 144A | 40,100 | ||||||
| 230,000 | KB Home, 4.800%, 11/15/2029 | 251,045 | ||||||
| 165,000 | Mattamy Group Corp., 4.625%, 3/01/2030, 144A | 168,095 | ||||||
| 185,000 | Taylor Morrison Communities, Inc., 5.750%, 1/15/2028, 144A | 206,738 | ||||||
| 400,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026 | 256,868 | ||||||
| 200,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026 | 127,652 | ||||||
|
| |||||||
| 1,503,877 | ||||||||
|
| |||||||
| Independent Energy — 6.4% |
| |||||||
| 85,000 | Antero Resources Corp., 5.375%, 3/01/2030, 144A | 90,865 | ||||||
| 190,000 | Apache Corp., 4.250%, 1/15/2030 | 206,188 | ||||||
| 25,000 | Apache Corp., 4.750%, 4/15/2043 | 27,463 | ||||||
| 190,000 | Apache Corp., 5.350%, 7/01/2049 | 217,075 | ||||||
| 130,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/2029, 144A | 125,085 | ||||||
| 115,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A | 116,581 | ||||||
| 155,000 | Baytex Energy Corp., 8.750%, 4/01/2027, 144A | 162,362 | ||||||
| 45,000 | California Resources Corp., 7.125%, 2/01/2026, 144A | 46,750 | ||||||
| 265,000 | Callon Petroleum Co., 8.000%, 8/01/2028, 144A | 267,650 | ||||||
| 115,000 | Centennial Resource Production LLC, 6.875%, 4/01/2027, 144A | 117,300 | ||||||
| 45,000 | Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A | 47,363 | ||||||
| 105,000 | Comstock Resources, Inc., 6.750%, 3/01/2029, 144A | 113,883 | ||||||
| 50,000 | Endeavor Energy Resources LP/EER Finance, Inc., 6.625%, 7/15/2025, 144A | 52,902 | ||||||
| 165,000 | Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A | 163,556 | ||||||
| 85,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 83,725 | ||||||
| 81,000 | Energy Ventures GoM LLC/EnVen Finance Corp., 11.750%, 4/15/2026, 144A | 83,274 | ||||||
| 20,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 20,531 | ||||||
| 40,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 41,500 | ||||||
| 5,000 | EQT Corp., 5.000%, 1/15/2029 | 5,538 | ||||||
| 55,000 | EQT Corp., 6.625%, 2/01/2025 | 62,013 | ||||||
| 225,000 | EQT Corp., 7.500%, 2/01/2030 | 289,125 | ||||||
| 150,000 | Independence Energy Finance LLC, 7.250%, 5/01/2026, 144A | 155,812 | ||||||
| 60,000 | Laredo Petroleum, Inc., 7.750%, 7/31/2029, 144A | 58,500 | ||||||
| 85,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 90,026 | ||||||
See accompanying notes to financial statements.
| 26
Portfolio of Investments – as of December 31, 2021
Loomis Sayles High Income Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Independent Energy — continued |
| |||||||
| $ | 235,000 | Matador Resources Co., 5.875%, 9/15/2026 | $ | 242,050 | ||||
| 125,000 | MEG Energy Corp., 5.875%, 2/01/2029, 144A | 130,866 | ||||||
| 230,000 | MEG Energy Corp., 7.125%, 2/01/2027, 144A | 244,932 | ||||||
| 130,000 | Murphy Oil Corp., 6.375%, 12/01/2042 | 130,001 | ||||||
| 130,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A | 137,150 | ||||||
| 65,000 | Oasis Petroleum, Inc., 6.375%, 6/01/2026, 144A | 68,088 | ||||||
| 40,000 | Occidental Petroleum Corp., 3.000%, 2/15/2027 | 40,600 | ||||||
| 155,000 | Occidental Petroleum Corp., 3.500%, 8/15/2029 | 159,231 | ||||||
| 300,000 | Occidental Petroleum Corp., 4.100%, 2/15/2047 | 294,000 | ||||||
| 210,000 | Occidental Petroleum Corp., 4.200%, 3/15/2048 | 210,000 | ||||||
| 50,000 | Occidental Petroleum Corp., 4.400%, 4/15/2046 | 51,250 | ||||||
| 145,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 161,428 | ||||||
| 225,000 | Occidental Petroleum Corp., 5.875%, 9/01/2025 | 248,062 | ||||||
| 340,000 | Occidental Petroleum Corp., 6.600%, 3/15/2046 | 441,150 | ||||||
| 85,000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 | 111,828 | ||||||
| 40,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 53,400 | ||||||
| 110,000 | Occidental Petroleum Corp., 8.500%, 7/15/2027 | 137,225 | ||||||
| 215,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 289,962 | ||||||
| 220,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 283,067 | ||||||
| 10,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 12,974 | ||||||
| 90,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 117,819 | ||||||
| 95,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 123,803 | ||||||
| 45,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 58,658 | ||||||
| 35,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 46,541 | ||||||
| 115,000 | PDC Energy, Inc., 5.750%, 5/15/2026 | 118,840 | ||||||
| 120,000 | Penn Virginia Holdings LLC, 9.250%, 8/15/2026, 144A | 124,500 | ||||||
| 38,000 | Range Resources Corp., 5.000%, 3/15/2023 | 38,855 | ||||||
| 85,000 | Range Resources Corp., 8.250%, 1/15/2029 | 94,775 | ||||||
| 135,000 | Range Resources Corp., 9.250%, 2/01/2026 | 145,502 | ||||||
| 110,000 | SM Energy Co., 5.625%, 6/01/2025 | 110,825 | ||||||
| 205,000 | SM Energy Co., 6.500%, 7/15/2028 | 212,175 | ||||||
| 105,000 | SM Energy Co., 6.750%, 9/15/2026 | 107,888 | ||||||
| 25,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 26,328 | ||||||
| 205,000 | Southwestern Energy Co., 5.375%, 2/01/2029 | 216,787 | ||||||
| 140,000 | Southwestern Energy Co., 5.375%, 3/15/2030 | 150,007 | ||||||
| 20,000 | Southwestern Energy Co., 7.750%, 10/01/2027 | 21,575 | ||||||
| 115,000 | Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A | 113,036 | ||||||
| 95,000 | Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A | 98,800 | ||||||
| 120,000 | Vine Energy Holdings LLC, 6.750%, 4/15/2029, 144A | 130,200 | ||||||
|
| |||||||
| 8,149,245 | ||||||||
|
| |||||||
| Industrial Other — 0.3% |
| |||||||
| 125,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A | 130,000 | ||||||
| 65,000 | Hillenbrand, Inc., 5.750%, 6/15/2025 | 67,925 | ||||||
| 130,000 | Installed Building Products, Inc., 5.750%, 2/01/2028, 144A | 135,200 | ||||||
|
| |||||||
| 333,125 | ||||||||
|
| |||||||
| Leisure — 3.3% |
| |||||||
| 65,000 | AMC Entertainment Holdings, Inc., 10.500%, 4/15/2025, 144A | 69,225 | ||||||
| 80,000 | Boyne USA, Inc., 4.750%, 5/15/2029, 144A | 82,400 | ||||||
| 650,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 650,000 | ||||||
| 260,000 | Carnival Corp., 6.000%, 5/01/2029, 144A | 258,700 | ||||||
| 145,000 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium OP, 6.500%, 10/01/2028 | 154,425 | ||||||
| 125,000 | Cinemark USA, Inc., 5.250%, 7/15/2028, 144A | 121,875 | ||||||
| 110,000 | Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A | 109,175 | ||||||
| 220,000 | Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A | 226,050 | ||||||
| 505,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 502,763 | ||||||
| Leisure — continued |
| |||||||
| 10,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 | 9,956 | ||||||
| 70,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 68,950 | ||||||
| 125,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 | 117,173 | ||||||
| 325,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 314,793 | ||||||
| 690,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 697,976 | ||||||
| 120,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A | 122,191 | ||||||
| 180,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A | 183,600 | ||||||
| 115,000 | Viking Cruises Ltd., 5.875%, 9/15/2027, 144A | 109,503 | ||||||
| 255,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A | 254,681 | ||||||
| 110,000 | VOC Escrow Ltd., 5.000%, 2/15/2028, 144A | 108,900 | ||||||
|
| |||||||
| 4,162,336 | ||||||||
|
| |||||||
| Lodging — 2.0% |
| |||||||
| 150,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 150,000 | ||||||
| 415,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 425,375 | ||||||
| 100,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 100,652 | ||||||
| 605,000 | Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 | 614,075 | ||||||
| 1,195,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 1,205,140 | ||||||
| 20,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 20,100 | ||||||
| 15,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 16,301 | ||||||
|
| |||||||
| 2,531,643 | ||||||||
|
| |||||||
| Media Entertainment — 3.6% |
| |||||||
| 305,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | 303,094 | ||||||
| 290,000 | Audacy Capital Corp., 6.750%, 3/31/2029, 144A | 283,362 | ||||||
| 60,000 | Clear Channel Outdoor Holdings, Inc., 7.500%, 6/01/2029, 144A | 64,050 | ||||||
| 210,000 | Clear Channel Outdoor Holdings, Inc., 7.750%, 4/15/2028, 144A | 224,700 | ||||||
| 130,000 | Deluxe Corp., 8.000%, 6/01/2029, 144A | 135,850 | ||||||
| 240,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A | 120,000 | ||||||
| 140,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A | 39,200 | ||||||
| 170,000 | Gray Escrow II, Inc., 5.375%, 11/15/2031, 144A | 174,887 | ||||||
| 265,000 | Gray Television, Inc., 4.750%, 10/15/2030, 144A | 263,344 | ||||||
| 280,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 283,954 | ||||||
| 160,000 | Lamar Media Corp., 3.750%, 2/15/2028 | 160,400 | ||||||
| 55,000 | Lions Gate Capital Holdings LLC, 5.500%, 4/15/2029, 144A | 55,962 | ||||||
| 175,000 | McGraw-Hill Education, Inc., 5.750%, 8/01/2028, 144A | 173,250 | ||||||
| 175,000 | McGraw-Hill Education, Inc., 8.000%, 8/01/2029, 144A | 173,661 | ||||||
| 120,000 | Midas OpCo Holdings LLC, 5.625%, 8/15/2029, 144A | 122,801 | ||||||
| 745,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 868,856 | ||||||
| 5,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 5,938 | ||||||
| 45,000 | Netflix, Inc., 5.875%, 11/15/2028 | 54,112 | ||||||
| 60,000 | Netflix, Inc., 6.375%, 5/15/2029 | 74,550 | ||||||
| 105,000 | Nexstar Media, Inc., 5.625%, 7/15/2027, 144A | 110,683 | ||||||
| 120,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A | 119,700 | ||||||
| 35,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A | 36,400 | ||||||
| 65,000 | Playtika Holding Corp., 4.250%, 3/15/2029, 144A | 63,700 | ||||||
| 120,000 | Scripps Escrow II, Inc., 5.375%, 1/15/2031, 144A | 121,950 | ||||||
See accompanying notes to financial statements.
27 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles High Income Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Media Entertainment — continued |
| |||||||
| $ | 185,000 | Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A | $ | 179,450 | ||||
| 170,000 | Terrier Media Buyer, Inc., 8.875%, 12/15/2027, 144A | 183,731 | ||||||
| 45,000 | Townsquare Media, Inc., 6.875%, 2/01/2026, 144A | 47,756 | ||||||
| 100,000 | Univision Communications, Inc., 6.625%, 6/01/2027, 144A | 107,750 | ||||||
|
| |||||||
| 4,553,091 | ||||||||
|
| |||||||
| Metals & Mining — 2.9% |
| |||||||
| 120,000 | Allegheny Technologies, Inc., 4.875%, 10/01/2029 | 120,120 | ||||||
| 125,000 | Allegheny Technologies, Inc., 5.125%, 10/01/2031 | 125,937 | ||||||
| 60,000 | Allegheny Technologies, Inc., 5.875%, 12/01/2027 | 62,550 | ||||||
| 25,000 | Carpenter Technology Corp., 6.375%, 7/15/2028 | 26,577 | ||||||
| 200,000 | Cia de Minas Buenaventura SAA, 5.500%, 7/23/2026, 144A | 195,200 | ||||||
| 180,000 | Cleveland-Cliffs, Inc., 4.625%, 3/01/2029, 144A | 183,600 | ||||||
| 139,000 | Cleveland-Cliffs, Inc., 9.875%, 10/17/2025, 144A | 157,319 | ||||||
| 845,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 877,744 | ||||||
| 455,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 489,694 | ||||||
| 210,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 216,027 | ||||||
| 340,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 358,700 | ||||||
| 20,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 24,350 | ||||||
| 60,000 | GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A | 60,900 | ||||||
| 285,000 | Mineral Resources Ltd., 8.125%, 5/01/2027, 144A | 307,281 | ||||||
| 320,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 336,400 | ||||||
| 50,000 | SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A | 49,750 | ||||||
| 100,000 | United States Steel Corp., 6.875%, 3/01/2029 | 107,625 | ||||||
| 40,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 38,550 | ||||||
|
| |||||||
| 3,738,324 | ||||||||
|
| |||||||
| Midstream — 3.8% |
| |||||||
| 250,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A | 265,000 | ||||||
| 185,000 | Buckeye Partners LP, 4.500%, 3/01/2028, 144A | 186,388 | ||||||
| 80,000 | Buckeye Partners LP, 5.600%, 10/15/2044 | 77,896 | ||||||
| 55,000 | Buckeye Partners LP, 5.850%, 11/15/2043 | 53,969 | ||||||
| 115,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A | 119,456 | ||||||
| 40,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 45,200 | ||||||
| 230,000 | DCP Midstream Operating LP, 5.625%, 7/15/2027 | 261,061 | ||||||
| 130,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 131,115 | ||||||
| 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 | 224,000 | ||||||
| 105,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 | 127,576 | ||||||
| 160,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | 174,801 | ||||||
| 115,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A | 110,975 | ||||||
| 225,000 | Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028 | 226,687 | ||||||
| 120,000 | Harvest Midstream I LP, 7.500%, 9/01/2028, 144A | 128,400 | ||||||
| 150,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 148,875 | ||||||
| 665,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | 684,950 | ||||||
| 135,000 | New Fortress Energy, Inc., 6.500%, 9/30/2026, 144A | 133,988 | ||||||
| 225,000 | New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A | 227,250 | ||||||
| 105,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025 | 89,775 | ||||||
| 145,000 | NuStar Logistics LP, 5.750%, 10/01/2025 | 156,037 | ||||||
| 125,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A | 126,406 | ||||||
| Midstream — continued |
| |||||||
| 5,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 1/15/2028, 144A | 4,956 | ||||||
| 110,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.000%, 3/01/2027, 144A | 114,400 | ||||||
| 155,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 168,322 | ||||||
| 255,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 278,587 | ||||||
| 200,000 | Western Midstream Operating LP, 5.300%, 2/01/2030 | 219,808 | ||||||
| 110,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 131,450 | ||||||
| 105,000 | Western Midstream Operating LP, 6.500%, 2/01/2050 | 124,163 | ||||||
|
| |||||||
| 4,861,116 | ||||||||
|
| |||||||
| Non-Agency Commercial Mortgage-Backed Securities — 2.0% |
| |||||||
| 98,304 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 3.610%, 11/15/2031, 144A(a)(f)(g) | 84,709 | ||||||
| 221,184 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 4.610%, 11/15/2031, 144A(a)(f)(g) | 187,056 | ||||||
| 260,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.943%, 5/10/2047, 144A(b) | 240,592 | ||||||
| 100,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A | 98,982 | ||||||
| 1,020,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A | 907,597 | ||||||
| 45,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.158%, 8/10/2044, 144A(b) | 37,971 | ||||||
| 100,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.689%, 6/10/2047, 144A(b) | 88,869 | ||||||
| 100,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(b) | 98,780 | ||||||
| 250,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.672%, 10/15/2045, 144A(b) | 246,669 | ||||||
| 100,000 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.282%, 10/15/2030, 144A(b) | 86,883 | ||||||
| 380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.610%, 11/15/2027, 144A(a)(g)(h)(i) | 98,073 | ||||||
| 420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.510%, 11/15/2027, 144A(a)(g)(h)(i) | 40,884 | ||||||
| 145,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050 | 88,450 | ||||||
| 60,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.172%, 11/15/2059(b) | 53,716 | ||||||
| 121,836 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.425%, 3/15/2044, 144A(b) | 58,140 | ||||||
| 80,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.347%, 12/15/2045(b) | 71,716 | ||||||
| 125,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.792%, 6/15/2045, 144A(b)(f)(g) | 25,463 | ||||||
|
| |||||||
| 2,514,550 | ||||||||
|
| |||||||
| Oil Field Services — 0.9% |
| |||||||
| 35,000 | Nabors Industries Ltd., 7.250%, 1/15/2026, 144A | 32,375 | ||||||
| 125,000 | Nabors Industries, Inc., 7.375%, 5/15/2027, 144A | 129,276 | ||||||
| 90,000 | Precision Drilling Corp., 6.875%, 1/15/2029, 144A | 91,730 | ||||||
| 10,000 | Precision Drilling Corp., 7.125%, 1/15/2026, 144A | 10,175 | ||||||
| 55,000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A | 57,887 | ||||||
See accompanying notes to financial statements.
| 28
Portfolio of Investments – as of December 31, 2021
Loomis Sayles High Income Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Oil Field Services — continued |
| |||||||
| $ | 160,800 | Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A | $ | 157,182 | ||||
| 305,000 | Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A | 294,706 | ||||||
| 47,500 | Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A | 46,788 | ||||||
| 140,000 | Transocean, Inc., 8.000%, 2/01/2027, 144A | 100,800 | ||||||
| 60,000 | Transocean, Inc., 11.500%, 1/30/2027, 144A | 58,800 | ||||||
| 180,000 | Weatherford International Ltd., 8.625%, 4/30/2030, 144A | 186,867 | ||||||
| 20,000 | Weatherford International Ltd., 11.000%, 12/01/2024, 144A | 20,600 | ||||||
|
| |||||||
| 1,187,186 | ||||||||
|
| |||||||
| Packaging — 1.2% |
| |||||||
| 570,000 | ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(d) | 587,100 | ||||||
| 500,000 | Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/2027, 144A | 503,125 | ||||||
| 75,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A | 77,631 | ||||||
| 80,000 | Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A | 82,200 | ||||||
| 290,000 | Mauser Packaging Solutions Holding Co., 7.250%, 4/15/2025, 144A | 290,735 | ||||||
|
| |||||||
| 1,540,791 | ||||||||
|
| |||||||
| Pharmaceuticals — 3.9% |
| |||||||
| 275,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 253,000 | ||||||
| 725,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 638,000 | ||||||
| 585,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 514,069 | ||||||
| 200,000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A | 202,216 | ||||||
| 175,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A | 130,375 | ||||||
| 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 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 204,044 | ||||||
| 200,000 | Jazz Securities DAC, 4.375%, 1/15/2029, 144A | 207,088 | ||||||
| 335,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A | 349,968 | ||||||
| 107,000 | Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A | 109,347 | ||||||
| 325,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 340,697 | ||||||
| 285,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 267,900 | ||||||
| 1,980,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 1,673,100 | ||||||
|
| |||||||
| 4,958,404 | ||||||||
|
| |||||||
| Property & Casualty Insurance — 0.7% |
| |||||||
| 180,000 | Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A | 177,750 | ||||||
| 190,000 | AmWINS Group, Inc., 4.875%, 6/30/2029, 144A | 191,900 | ||||||
| 226,387 | Ardonagh Midco 2 PLC, 12.750% PIK or 11.500% Cash, 1/15/2027, 144A(j) | 252,125 | ||||||
| 105,000 | AssuredPartners, Inc., 5.625%, 1/15/2029, 144A | 102,113 | ||||||
| 125,000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A | 122,812 | ||||||
|
| |||||||
| 846,700 | ||||||||
|
| |||||||
| Refining — 0.5% |
| |||||||
| 55,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A | 59,331 | ||||||
| 50,000 | CVR Energy, Inc., 5.250%, 2/15/2025, 144A | 48,250 | ||||||
| 395,000 | Parkland Corp., 5.875%, 7/15/2027, 144A | 416,725 | ||||||
| 65,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.000%, 2/15/2028 | 41,763 | ||||||
| Refining — continued |
| |||||||
| 80,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.250%, 5/15/2025, 144A | 76,100 | ||||||
|
| |||||||
| 642,169 | ||||||||
|
| |||||||
| REITs – Hotels — 0.3% |
| |||||||
| 240,000 | Service Properties Trust, 4.750%, 10/01/2026 | 233,401 | ||||||
| 135,000 | Service Properties Trust, 7.500%, 9/15/2025 | 146,264 | ||||||
|
| |||||||
| 379,665 | ||||||||
|
| |||||||
| REITs – Mortgage — 0.3% |
| |||||||
| 45,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 45,294 | ||||||
| 215,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 217,150 | ||||||
| 75,000 | Starwood Property Trust, Inc., 3.625%, 7/15/2026, 144A | 74,625 | ||||||
|
| |||||||
| 337,069 | ||||||||
|
| |||||||
| Restaurants — 0.6% |
| |||||||
| 540,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A | 530,550 | ||||||
| 100,000 | Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A | 101,556 | ||||||
| 90,000 | Papa John’s International, Inc., 3.875%, 9/15/2029, 144A | 89,550 | ||||||
|
| |||||||
| 721,656 | ||||||||
|
| |||||||
| Retailers — 2.4% |
| |||||||
| 75,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 76,500 | ||||||
| 145,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029, 144A | 147,719 | ||||||
| 83,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 84,349 | ||||||
| 90,000 | Asbury Automotive Group, Inc., 5.000%, 2/15/2032, 144A | 93,393 | ||||||
| 70,000 | At Home Group, Inc., 4.875%, 7/15/2028, 144A | 68,950 | ||||||
| 130,000 | At Home Group, Inc., 7.125%, 7/15/2029, 144A | 127,725 | ||||||
| 140,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 154,700 | ||||||
| 75,000 | Bath & Body Works, Inc., 6.625%, 10/01/2030, 144A | 84,937 | ||||||
| 100,000 | Bath & Body Works, Inc., 6.750%, 7/01/2036 | 123,500 | ||||||
| 55,000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 | 68,338 | ||||||
| 90,000 | Carvana Co., 4.875%, 9/01/2029, 144A | 85,725 | ||||||
| 180,000 | Carvana Co., 5.500%, 4/15/2027, 144A | 178,200 | ||||||
| 95,000 | Carvana Co., 5.875%, 10/01/2028, 144A | 95,092 | ||||||
| 35,000 | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A | 34,869 | ||||||
| 50,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A | 50,063 | ||||||
| 90,000 | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A | 96,075 | ||||||
| 85,000 | Michaels Cos., Inc. (The), 7.875%, 5/01/2029, 144A | 83,725 | ||||||
| 115,000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A | 122,058 | ||||||
| 250,000 | PetSmart, Inc./PetSmart Finance Corp., 4.750%, 2/15/2028, 144A | 256,562 | ||||||
| 250,000 | PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A | 271,562 | ||||||
| 10,000 | QVC, Inc., 4.450%, 2/15/2025 | 10,550 | ||||||
| 10,000 | QVC, Inc., 4.850%, 4/01/2024 | 10,676 | ||||||
| 115,000 | Rite Aid Corp., 7.500%, 7/01/2025, 144A | 118,220 | ||||||
| 240,000 | Sonic Automotive, Inc., 4.625%, 11/15/2029, 144A | 242,280 | ||||||
| 160,000 | Sonic Automotive, Inc., 4.875%, 11/15/2031, 144A | 161,552 | ||||||
| 180,000 | Victoria’s Secret & Co., 4.625%, 7/15/2029, 144A | 183,677 | ||||||
|
| |||||||
| 3,030,997 | ||||||||
|
| |||||||
| Technology — 4.7% |
| |||||||
| 185,000 | Block, Inc., 2.750%, 6/01/2026, 144A | 185,220 | ||||||
| 145,000 | Camelot Finance S.A., 4.500%, 11/01/2026, 144A | 150,075 | ||||||
| 215,000 | Clarivate Science Holdings Corp., 4.875%, 7/01/2029, 144A | 218,036 | ||||||
See accompanying notes to financial statements.
29 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles High Income Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Technology — continued |
| |||||||
| $ | 1,240,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | $ | 1,159,400 | ||||
| 86,000 | CommScope Technologies LLC, 6.000%, 6/15/2025, 144A | 86,000 | ||||||
| 520,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 510,900 | ||||||
| 75,000 | Dun & Bradstreet Corp. (The), 5.000%, 12/15/2029, 144A | 76,727 | ||||||
| 235,000 | Elastic NV, 4.125%, 7/15/2029, 144A | 232,504 | ||||||
| 360,000 | Endure Digital, Inc., 6.000%, 2/15/2029, 144A | 334,800 | ||||||
| 60,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 60,600 | ||||||
| 205,000 | II-VI, Inc., 5.000%, 12/15/2029, 144A | 209,350 | ||||||
| 465,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 481,266 | ||||||
| 95,000 | LogMeIn, Inc., 5.500%, 9/01/2027, 144A | 96,140 | ||||||
| 60,000 | NCR Corp., 5.000%, 10/01/2028, 144A | 61,800 | ||||||
| 70,000 | NCR Corp., 5.250%, 10/01/2030, 144A | 71,925 | ||||||
| 190,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A | 196,175 | ||||||
| 180,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A | 190,051 | ||||||
| 310,000 | Open Text Corp., 3.875%, 12/01/2029, 144A | 313,875 | ||||||
| 175,000 | Pitney Bowes, Inc., 6.875%, 3/15/2027, 144A | 181,737 | ||||||
| 110,000 | Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A | 113,300 | ||||||
| 110,000 | Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A | 117,150 | ||||||
| 90,000 | Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A | 87,750 | ||||||
| 175,000 | Rocket Software, Inc., 6.500%, 2/15/2029, 144A | 170,730 | ||||||
| 65,000 | Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A | 67,925 | ||||||
| 260,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | 293,800 | ||||||
| 60,000 | Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.625%, 11/01/2026, 144A | 62,161 | ||||||
| 105,000 | Xerox Holdings Corp., 5.000%, 8/15/2025, 144A | 111,300 | ||||||
| 105,000 | Xerox Holdings Corp., 5.500%, 8/15/2028, 144A | 110,644 | ||||||
| 70,000 | Ziff Davis, Inc., 4.625%, 10/15/2030, 144A | 71,795 | ||||||
|
| |||||||
| 6,023,136 | ||||||||
|
| |||||||
| Transportation Services — 0.3% |
| |||||||
| 185,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A | 191,937 | ||||||
| 190,000 | Hertz Corp. (The), 4.625%, 12/01/2026, 144A | 191,188 | ||||||
|
| |||||||
| 383,125 | ||||||||
|
| |||||||
| Treasuries — 1.5% |
| |||||||
| 1,945,000 | U.S. Treasury Note, 0.125%, 12/15/2023 | 1,922,663 | ||||||
|
| |||||||
| Wireless — 1.7% |
| |||||||
| 440,000 | Altice France S.A., 5.125%, 1/15/2029, 144A | 429,000 | ||||||
| 200,000 | Altice France S.A., 5.125%, 7/15/2029, 144A | 195,090 | ||||||
| 245,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 255,045 | ||||||
| 200,000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 201,700 | ||||||
| 200,000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A | 202,500 | ||||||
| 305,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 317,835 | ||||||
| 615,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 597,494 | ||||||
|
| |||||||
| 2,198,664 | ||||||||
|
| |||||||
| Wirelines — 1.2% |
| |||||||
| 200,000 | Cablevision Lightpath LLC, 5.625%, 9/15/2028, 144A | 197,162 | ||||||
| 130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 138,461 | ||||||
| 135,000 | Embarq Corp., 7.995%, 6/01/2036 | 151,200 | ||||||
| 210,000 | Iliad Holding SASU, 6.500%, 10/15/2026, 144A | 220,653 | ||||||
| 25,000 | Lumen Technologies, Inc., 5.125%, 12/15/2026, 144A | 26,016 | ||||||
| 150,000 | Lumen Technologies, Inc., 5.375%, 6/15/2029, 144A | 150,000 | ||||||
| 225,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 242,281 | ||||||
| 120,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 | 137,587 | ||||||
| Wirelines — continued |
| |||||||
| 210,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A | 208,263 | ||||||
| 100,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.750%, 8/15/2028, 144A | 106,046 | ||||||
|
| |||||||
| 1,577,669 | ||||||||
|
| |||||||
| Total Non-Convertible Bonds (Identified Cost $107,686,169) | 107,434,009 | |||||||
|
| |||||||
| Convertible Bonds — 5.7% | ||||||||
| Airlines — 0.6% |
| |||||||
| 80,000 | JetBlue Airways Corp., 0.500%, 4/01/2026, 144A | 74,577 | ||||||
| 500,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 666,500 | ||||||
|
| |||||||
| 741,077 | ||||||||
|
| |||||||
| Cable Satellite — 1.5% |
| |||||||
| 2,080,000 | DISH Network Corp., 3.375%, 8/15/2026 | 1,968,830 | ||||||
|
| |||||||
| Consumer Cyclical Services — 0.3% |
| |||||||
| 120,000 | Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(k) | 101,700 | ||||||
| 275,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(k) | 271,967 | ||||||
| 30,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 48,206 | ||||||
|
| |||||||
| 421,873 | ||||||||
|
| |||||||
| Gaming — 0.1% |
| |||||||
| 60,000 | Penn National Gaming, Inc., 2.750%, 5/15/2026 | 142,200 | ||||||
|
| |||||||
| Healthcare — 0.4% |
| |||||||
| 610,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 555,481 | ||||||
|
| |||||||
| Leisure — 0.2% |
| |||||||
| 305,000 | NCL Corp. Ltd., 1.125%, 2/15/2027, 144A | 286,621 | ||||||
|
| |||||||
| Media Entertainment — 0.5% |
| |||||||
| 145,000 | Bilibili, Inc., 0.500%, 12/01/2026, 144A | 123,395 | ||||||
| 175,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(l) | 156,730 | ||||||
| 380,000 | Zynga, Inc., Zero Coupon, 0.456%-1.992%, 12/15/2026(k) | 346,785 | ||||||
|
| |||||||
| 626,910 | ||||||||
|
| |||||||
| Pharmaceuticals — 1.4% |
| |||||||
| 340,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 355,504 | ||||||
| 970,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 1,011,807 | ||||||
| 115,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(l) | 101,131 | ||||||
| 225,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 258,026 | ||||||
|
| |||||||
| 1,726,468 | ||||||||
|
| |||||||
| Technology — 0.7% |
| |||||||
| 130,000 | Nutanix, Inc., 0.250%, 10/01/2027, 144A | 118,300 | ||||||
| 245,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 464,128 | ||||||
| 320,000 | Splunk, Inc., 1.125%, 6/15/2027 | 298,400 | ||||||
|
| |||||||
| 880,828 | ||||||||
|
| |||||||
| Total Convertible Bonds (Identified Cost $7,507,084) | 7,350,288 | |||||||
|
| |||||||
| Total Bonds and Notes (Identified Cost $115,193,253) | 114,784,297 | |||||||
|
| |||||||
| Collateralized Loan Obligations — 1.6% | ||||||||
| 295,000 | AIG CLO Ltd., Series 2021-2A, Class E, 3-month LIBOR + 6.500%, 6.590%, 7/20/2034, 144A(a) | 294,985 | ||||||
| 250,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3-month LIBOR + 6.750%, 6.704%, 12/19/2032, 144A(a)(h) | 250,000 | ||||||
See accompanying notes to financial statements.
| 30
Portfolio of Investments – as of December 31, 2021
Loomis Sayles High Income Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| $ | 250,000 | NYACK Park CLO Ltd., Series 2021-1A, Class E, 3-month LIBOR + 6.100%, 6.224%, 10/20/2034, 144A(a) | $ | 249,956 | ||||
| 250,000 | Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, 3-month LIBOR + 6.750%, 6.874%, 10/15/2034, 144A(a) | 249,987 | ||||||
| 260,000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 6.490%, 4/21/2034, 144A(a) | 254,667 | ||||||
| 310,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 6.382%, 7/02/2035, 144A(a) | 302,289 | ||||||
| 260,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 6.186%, 10/15/2034, 144A(a) | 249,443 | ||||||
| 250,000 | Palmer Square CLO Ltd., Series 2021-3A, Class E, 3-month LIBOR + 6.150%, 6.383%, 1/15/2035, 144A(a) | 247,489 | ||||||
|
| |||||||
| Total Collateralized Loan Obligations (Identified Cost $2,122,374) | 2,098,816 | |||||||
|
| |||||||
| Senior Loans — 0.3% | ||||||||
| Airlines — 0.1% |
| |||||||
| 134,661 | United Airlines, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 4/21/2028(a)(m) | 134,845 | ||||||
|
| |||||||
| Chemicals — 0.1% |
| |||||||
| 154,225 | Lonza Group AG, USD Term Loan B, 6-month LIBOR + 4.000%, 4.750%, 7/03/2028(a)(m) | 154,015 | ||||||
|
| |||||||
| Pharmaceuticals — 0.1% |
| |||||||
| 115,420 | Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(a)(n) | 115,788 | ||||||
|
| |||||||
| Total Senior Loans (Identified Cost $401,734) | 404,648 | |||||||
|
| |||||||
| Shares | ||||||||
| Preferred Stocks — 1.3% | ||||||||
| Convertible Preferred Stocks — 1.3% | ||||||||
| Food & Beverage — 0.1% |
| |||||||
| 865 | Bunge Ltd., 4.875% | 109,466 | ||||||
|
| |||||||
| Healthcare — 0.1% |
| |||||||
| 480 | Boston Scientific Corp., Series A, 5.500% | 55,037 | ||||||
|
| |||||||
| Technology — 0.1% |
| |||||||
| 1,341 | Clarivate PLC, Series A, 5.250% | 121,843 | ||||||
|
| |||||||
| Wireless — 1.0% |
| |||||||
| 1,252 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(f)(g) | 1,305,473 | ||||||
|
| |||||||
| Total Convertible Preferred Stocks (Identified Cost $1,761,767) | 1,591,819 | |||||||
|
| |||||||
| Total Preferred Stocks (Identified Cost $1,761,767) | 1,591,819 | |||||||
|
| |||||||
| Common Stocks — 0.4% | ||||||||
| Chemicals — 0.2% |
| |||||||
| 9,445 | Hexion Holdings Corp., Class B(o) | 264,460 | ||||||
|
| |||||||
| Energy Equipment & Services — 0.0% |
| |||||||
| 10,149 | McDermott International Ltd.(o) | 4,161 | ||||||
|
| |||||||
| Media — 0.1% |
| |||||||
| 9,786 | iHeartMedia, Inc., Class A(o) | 205,898 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 0.1% |
| |||||||
| 3,650 | Battalion Oil Corp.(o) | 35,770 | ||||||
| 500 | Whiting Petroleum Corp.(o) | 32,340 | ||||||
|
| |||||||
| 68,110 | ||||||||
|
| |||||||
| Total Common Stocks (Identified Cost $1,085,011) | 542,629 | |||||||
|
| |||||||
| Other Investments — 0.1% | ||||||||
| Aircraft ABS — 0.1% |
| |||||||
| 100 | ECAF I Blocker Ltd.(g)(h)(i)(p) (Identified Cost $1,000,000) | 87,030 | ||||||
|
| |||||||
| Warrants — 0.0% | ||||||||
| 20,319 | McDermott International Ltd., Tranche A, Expiration on 5/1/2024(h)(i)(o) | 813 | ||||||
| 22,577 | McDermott International Ltd., Tranche B, Expiration on 5/1/2024(h)(i)(o) | 451 | ||||||
|
| |||||||
| Total Warrants (Identified Cost $31,517) | 1,264 | |||||||
|
| |||||||
| Exchange-Traded Funds — 0.9% | ||||||||
| 13,000 | iShares® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $1,141,379) | 1,131,130 | ||||||
|
| |||||||
| Principal Amount | ||||||||
| Short-Term Investments — 3.0% | ||||||||
| $ | 3,795,992 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $3,795,992 on 1/03/2022 collateralized by $2,807,700 U.S. Treasury Bond, 4.25% due 11/15/2040 valued at $3,871,992 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,795,992) | 3,795,992 | |||||
|
| |||||||
| Total Investments — 97.7% (Identified Cost $126,533,027) | 124,437,625 | |||||||
| Other assets less liabilities — 2.3% | 2,890,294 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 127,327,919 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Variable rate security. Rate as of December 31, 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 December 31, 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 December 31, 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) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2021, the value of these securities amounted to $1,641,625 or 1.3% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
See accompanying notes to financial statements.
31 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles High Income Fund – (continued)
| (g) | Illiquid security. (Unaudited) | |||||
| (h) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |||||
| (i) | Fair valued by the Fund’s adviser. At December 31, 2021, the value of these securities amounted to $227,251 or 0.2% of net assets. See Note 2 of Notes to Financial Statements. | |||||
| (j) | 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 December 31, 2021, interest payments were made in principal. | |||||
| (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) | Interest rate represents annualized yield at time of purchase; not a coupon rate. | |||||
| (m) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added. See Note 9 of Notes to Financial Statements. | |||||
| (n) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.50%, to which the spread is added. See Note 9 of Notes to Financial Statements. | |||||
| (o) | Non-income producing security. | |||||
| (p) | Securities subject to restriction on resale. At December 31, 2021, the restricted securities held by the Fund are as follows: | |||||
| Acquisition Date | Acquisition Cost | Value | % of Assets | |||||||||||
| ECAF I Blocker Ltd. | 12/20/2016 | $1,000,000 | $ | 87,030 | 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 December 31, 2021, the value of Rule 144A holdings amounted to $79,457,714 or 62.4% 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 |
Industry Summary at December 31, 2021
Cable Satellite | 8.1 | % | ||
Independent Energy | 6.4 | |||
Technology | 5.5 | |||
Pharmaceuticals | 5.4 | |||
Healthcare | 4.4 | |||
Media Entertainment | 4.1 | |||
Finance Companies | 4.0 | |||
Midstream | 3.8 | |||
Leisure | 3.5 | |||
Gaming | 3.3 | |||
Metals & Mining | 2.9 | |||
Wireless | 2.7 | |||
Airlines | 2.6 | |||
Financial Other | 2.6 | |||
Food & Beverage | 2.6 | |||
Automotive | 2.4 | |||
Retailers | 2.4 | |||
Consumer Cyclical Services | 2.2 | |||
Aerospace & Defense | 2.2 | |||
Lodging | 2.0 | |||
Non-Agency Commercial Mortgage-Backed Securities | 2.0 | |||
Other Investments, less than 2% each | 17.1 | |||
Short-Term Investments | 3.0 | |||
Collateralized Loan Obligations | 1.6 | |||
Exchange-Traded Funds | 0.9 | |||
|
| |||
Total Investments | 97.7 | |||
Other assets less liabilities | 2.3 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 32
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Intermediate Municipal Bond Fund
| Principal Amount | Description | Value (†) | ||||||
| Bonds and Notes — 97.0% of Net Assets | ||||||||
| Municipals — 97.0% | ||||||||
| Alaska — 1.8% |
| |||||||
| $ | 565,000 | Alaska International Airports System Revenue, Refunding, Series C, AMT, 5.000%, 10/01/2030 | $ | 730,613 | ||||
|
| |||||||
| California — 3.1% |
| |||||||
| 140,000 | California Municipal Finance Authority Revenue, California Institute of the Arts, 4.000%, 10/01/2034 | 167,127 | ||||||
| 120,000 | California Municipal Finance Authority Revenue, California Institute of the Arts, 4.000%, 10/01/2033 | 144,123 | ||||||
| 500,000 | California State, GO, Various Purpose, Refunding, 4.000%, 3/01/2037 | 600,085 | ||||||
| 250,000 | California State, GO, Various Purpose, Refunding, 4.000%, 10/01/2033 | 310,168 | ||||||
|
| |||||||
| 1,221,503 | ||||||||
|
| |||||||
| Colorado — 5.6% |
| |||||||
| 260,000 | Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033 | 281,531 | ||||||
| 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 | 417,510 | ||||||
| 250,000 | Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030 | 303,619 | ||||||
| 500,000 | Regional Transportation District Sales Tax Revenue, Series A, 5.000%, 11/01/2028 | 634,250 | ||||||
| 500,000 | State of Colorado, Certificate of Participation, Series A, 4.000%, 12/15/2035 | 604,488 | ||||||
|
| |||||||
| 2,241,398 | ||||||||
|
| |||||||
| Delaware — 0.7% |
| |||||||
| 225,000 | Delaware Municipal Electric Corp. Revenue, Beasley Power Station Project, Refunding, 5.000%, 7/01/2028 | 281,012 | ||||||
|
| |||||||
| Florida — 13.3% |
| |||||||
| 500,000 | Alachua County School Board, Certificate of Participation, (AGM Insured), 5.000%, 7/01/2028 | 626,254 | ||||||
| 340,000 | Bay County School Board, Certificate of Participation, Series A, (AGM Insured), 5.000%, 7/01/2033 | 437,342 | ||||||
| 205,000 | City of Cape Coral Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, Refunding, (AGM Insured), 3.000%, 9/01/2027 | 228,912 | ||||||
| 75,000 | City of Cape Coral Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, Refunding, (AGM Insured), 3.000%, 9/01/2028 | 84,673 | ||||||
| 200,000 | Clay County, Sales Surtax Revenue, 4.000%, 10/01/2039 | 234,262 | ||||||
| 225,000 | County of Collier Special Obligation, Revenue Bonds, Series A, 4.000%, 10/01/2036 | 273,057 | ||||||
| 500,000 | Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027 | 537,859 | ||||||
| 240,000 | Greater Orlando Aviation Authority, Series A, AMT, 4.000%, 10/01/2039 | 278,088 | ||||||
| 500,000 | Lee County Airport Revenue, Refunding, Series A, AMT, 5.000%, 10/01/2028 | 621,519 | ||||||
| 500,000 | Miami-Dade County Aviation Revenue, Refunding, Series A, 4.000%, 10/01/2039 | 592,377 | ||||||
| 400,000 | Sarasota County Utility System Revenue, 5.000%, 10/01/2023 | 432,679 | ||||||
| 225,000 | Sarasota County Utility System Revenue, Series A, 5.000%, 10/01/2027 | 277,317 | ||||||
| 400,000 | Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025 | 462,865 | ||||||
| Florida — continued |
| |||||||
| 150,000 | Wildwood Utility Dependent District Revenue, Senior South Sumter Utility Project, (BAM), 5.000%, 10/01/2031 | 196,268 | ||||||
|
| |||||||
| 5,283,472 | ||||||||
|
| |||||||
| Georgia — 2.7% |
| |||||||
| 160,000 | Municipal Electric Authority of Georgia Revenue, Plant Vogtle Units 3&4 Project, Series A, 5.000%, 1/01/2028 | 194,790 | ||||||
| 165,000 | Municipal Electric Authority of Georgia Revenue, Plant Vogtle Units 3&4 Project, Series A, 5.000%, 1/01/2029 | 205,332 | ||||||
| 165,000 | Municipal Electric Authority of Georgia Revenue, Plant Vogtle Units 3&4 Project, Series A, 5.000%, 1/01/2030 | 208,646 | ||||||
| 165,000 | Municipal Electric Authority of Georgia Revenue, Plant Vogtle Units 3&4 Project, Series A, 5.000%, 1/01/2031 | 208,202 | ||||||
| 250,000 | Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027 | 269,440 | ||||||
|
| |||||||
| 1,086,410 | ||||||||
|
| |||||||
| Idaho — 0.8% |
| |||||||
| 250,000 | Idaho Health Facilities Authority, Series A, 4.000%, 3/01/2035 | 302,586 | ||||||
|
| |||||||
| Illinois — 6.6% |
| |||||||
| 540,000 | Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031 | 585,237 | ||||||
| 500,000 | Chicago O’Hare International Airport, Series C, AMT, 5.000%, 1/01/2046 | 556,623 | ||||||
| 620,000 | Illinois Finance Authority Revenue, Bradley University Project, Series A, 4.000%, 8/01/2036 | 723,687 | ||||||
| 400,000 | Illinois Finance Authority, Presbyterian Homes Obligation Group, Revenue Bonds, Series A, 3.000%, 5/01/2025 | 428,889 | ||||||
| 300,000 | State of Illinois, GO, 5.000%, 6/01/2028 | 349,928 | ||||||
|
| |||||||
| 2,644,364 | ||||||||
|
| |||||||
| Indiana — 2.2% |
| |||||||
| 750,000 | Indiana Finance Authority Revenue, BHI Senior Living, Series A, 4.000%, 11/15/2041 | 868,077 | ||||||
|
| |||||||
| Iowa — 0.3% |
| |||||||
| 100,000 | Iowa Tobacco Settlement Authority Revenue, Refunding, Series A-2, Class 1, 5.000%, 6/01/2027 | 121,347 | ||||||
|
| |||||||
| Kentucky — 1.8% |
| |||||||
| 700,000 | Trimble County Pollution Control, Louisville Gas & Electric Project, Revenue Bonds, Series B, AMT, 1.350%, 11/01/2027 | 706,931 | ||||||
|
| |||||||
| Louisiana — 1.3% |
| |||||||
| 250,000 | New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036 | 295,551 | ||||||
| 200,000 | New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035 | 236,397 | ||||||
|
| |||||||
| 531,948 | ||||||||
|
| |||||||
| Maryland — 1.1% |
| |||||||
| 360,000 | Maryland Health & Higher Educational Facilities Authority, Series B2, 5.000%, 7/01/2045 | 430,219 | ||||||
|
| |||||||
See accompanying notes to financial statements.
33 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Intermediate Municipal Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Michigan — 1.8% |
| |||||||
| $ | 600,000 | University of Michigan, Revenue Bonds, 5.000%, 4/01/2032 | $ | 705,714 | ||||
|
| |||||||
| Minnesota — 1.0% |
| |||||||
| 385,000 | Minnesota Housing Finance Agency, Revenue Bonds, Series A, AMT, 1.350%, 1/01/2027 | 385,819 | ||||||
|
| |||||||
| Nebraska — 0.8% |
| |||||||
| 250,000 | Douglas County Hospital Authority No. 2, Series A, 5.000%, 11/15/2030 | 323,786 | ||||||
|
| |||||||
| Nevada — 2.6% |
| |||||||
| 500,000 | City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026 | 555,204 | ||||||
| 240,000 | Las Vegas Convention & Visitors Authority, Refunding, Series C, 5.000%, 7/01/2032 | 262,219 | ||||||
| 200,000 | Washoe County School District, GO, Series A, 5.000%, 10/01/2025 | 232,840 | ||||||
|
| |||||||
| 1,050,263 | ||||||||
|
| |||||||
| New Jersey — 1.3% |
| |||||||
| 265,000 | New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023 | 283,759 | ||||||
| 270,000 | New Jersey Transportation Trust Fund Authority, Capital Appreciation Transportation System, Revenue Bonds, Series A, Zero Coupon, 0.000%, 12/15/2029(a) | 234,832 | ||||||
|
| |||||||
| 518,591 | ||||||||
|
| |||||||
| New Mexico — 2.2% |
| |||||||
| 250,000 | New Mexico Hospital Equipment Loan Council Revenue, 5.000%, 6/01/2029 | 313,846 | ||||||
| 500,000 | New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031 | 571,554 | ||||||
|
| |||||||
| 885,400 | ||||||||
|
| |||||||
| New York — 4.4% |
| |||||||
| 500,000 | Metropolitan Transportation Authority, Series D, 4.000%, 11/15/2032 | 555,998 | ||||||
| 400,000 | New York City, GO, Refunding, Series A1, 5.000%, 8/01/2030 | 525,403 | ||||||
| 200,000 | New York State Dormitory Authority, Series D, 4.000%, 2/15/2038 | 236,406 | ||||||
| 350,000 | Troy Capital Resource Corp. Revenue, Rensselaer Polytechnic Institute Project, 4.000%, 9/01/2032 | 418,255 | ||||||
|
| |||||||
| 1,736,062 | ||||||||
|
| |||||||
| North Carolina — 1.7% |
| |||||||
| 180,000 | Buncombe County, Limited Obligation, Revenue, Series A, 4.000%, 6/01/2034 | 219,659 | ||||||
| 400,000 | North Carolina Agricultural & Technical University System Revenue, Series A, 4.000%, 10/01/2045 | 439,117 | ||||||
|
| |||||||
| 658,776 | ||||||||
|
| |||||||
| North Dakota — 1.9% |
| |||||||
| 250,000 | City of West Fargo, GO, Refunding, Series A, 4.000%, 5/01/2026 | 284,254 | ||||||
| 350,000 | North Dakota Building Authority, Series A, 5.000%, 12/01/2030 | 463,646 | ||||||
|
| |||||||
| 747,900 | ||||||||
|
| |||||||
| Ohio — 4.2% |
| |||||||
| 500,000 | American Municipal Power, Inc. Revenue, Prairie State Energy Campus Project, Series A, 4.000%, 2/15/2036 | 592,391 | ||||||
| 500,000 | Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023 | 538,074 | ||||||
| Ohio — continued |
| |||||||
| 500,000 | Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024 | 545,719 | ||||||
|
| |||||||
| 1,676,184 | ||||||||
|
| |||||||
| Oregon — 0.7% |
| |||||||
| 230,000 | Port of Portland, Airport Revenue, Portland International Airport, Series 25-B, 5.000%, 7/01/2028 | 285,136 | ||||||
|
| |||||||
| Pennsylvania — 1.3% |
| |||||||
| 270,000 | Allegheny County Higher Education Building Authority, Refunding, Series A, 5.000%, 3/01/2029 | 304,337 | ||||||
| 150,000 | Pennsylvania Turnpike Commission, Series C, 5.000%, 12/01/2031 | 201,612 | ||||||
|
| |||||||
| 505,949 | ||||||||
|
| |||||||
| 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 | 541,031 | ||||||
|
| |||||||
| Tennessee — 5.3% |
| |||||||
| 185,000 | Greeneville Health & Educational Facilities Board, Series A, 5.000%, 7/01/2028 | 230,265 | ||||||
| 550,000 | Memphis-Shelby County Airport Authority, Revenue Bonds, Series A, AMT, 5.000%, 7/01/2026 | 648,495 | ||||||
| 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 | 593,341 | ||||||
| 500,000 | Tennessee Energy Acquisition Corp., Commodity Project Revenue, 5.000%, 5/01/2052 | 642,469 | ||||||
|
| |||||||
| 2,114,570 | ||||||||
|
| |||||||
| Texas — 12.3% |
| |||||||
| 330,000 | Central Texas Regional Mobility Authority, Revenue Bonds, Series B, 5.000%, 1/01/2031 | 430,699 | ||||||
| 500,000 | Harris County Toll Road Authority (The), 4.000%, 8/15/2038 | 603,392 | ||||||
| 500,000 | Houston Airport System Revenue, Refunding, Series A, AMT, 4.000%, 7/01/2037 | 594,842 | ||||||
| 1,000,000 | Houston Combined Utility System Revenue, Series A, (AGM Insured), Zero Coupon, 0.000%, 12/01/2025(a) | 969,771 | ||||||
| 300,000 | Lower Colorado River Authority, Refunding, 5.000%, 5/15/2030 | 380,957 | ||||||
| 500,000 | New Braunfels Utility System Revenue, 5.000%, 7/01/2029 | 621,743 | ||||||
| 400,000 | Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024 | 431,656 | ||||||
| 250,000 | Texas City Independent School District, GO, (PSF-GTD), 4.000%, 8/15/2034 | 292,311 | ||||||
| 500,000 | Texas Public Finance Authority, Refunding, 4.000%, 2/01/2034 | 593,426 | ||||||
|
| |||||||
| 4,918,797 | ||||||||
|
| |||||||
| Utah — 4.9% |
| |||||||
| 500,000 | Utah County Hospital Revenue, IHC Health Services, Inc., Series A, 4.000%, 5/15/2043 | 587,895 | ||||||
| 500,000 | Utah Infrastructure Agency, Telecommunication Revenue, 4.000%, 10/15/2033 | 587,227 | ||||||
| 250,000 | Utah Infrastructure Agency, Telecommunication Revenue, 4.000%, 10/15/2036 | 291,098 | ||||||
| 180,000 | Utah Transit Authority Sales Tax Revenue, Series A, Prerefunded 06/15/2025@100, 5.000%, 6/15/2038 | 208,027 | ||||||
| 250,000 | Weber Basin Water Conservancy District, Revenue Bonds, Series A, 4.000%, 4/01/2040 | 294,294 | ||||||
|
| |||||||
| 1,968,541 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 34
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Intermediate Municipal Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Washington — 5.2% |
| |||||||
| $ | 500,000 | King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032 | $ | 565,164 | ||||
| 500,000 | Port of Seattle Revenue, AMT, 5.000%, 7/01/2029 | 529,900 | ||||||
| 360,000 | Port of Seattle Revenue, Intermediate Lien Private Activity, Refunding, AMT, 5.000%, 8/01/2027 | 437,428 | ||||||
| 500,000 | Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031 | 553,418 | ||||||
|
| |||||||
| 2,085,910 | ||||||||
|
| |||||||
| Wisconsin — 1.9% |
| |||||||
| 500,000 | Public Finance Authority Solid Waste Disposal Revenue, Waste Management, Inc., Series 2016-A, AMT, 1.100%, 7/01/2029 | 502,797 | ||||||
| 225,000 | Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031 | 253,613 | ||||||
|
| |||||||
| 756,410 | ||||||||
|
| |||||||
| Wyoming — 0.8% |
| |||||||
| 275,000 | Laramie County, Cheyenne Regional Medical Center Project, Hospital Revenue, Refunding, 4.000%, 5/01/2033 | 332,832 | ||||||
|
| |||||||
| Total Bonds and Notes (Identified Cost $37,441,391) | 38,647,551 | |||||||
|
| |||||||
| Short-Term Investments — 1.4% | ||||||||
| 544,426 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $544,426 on 1/03/2022 collateralized by $399,000 U.S. Treasury Bond, 4.375% due 11/15/2039 valued at $555,327 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $544,426) | 544,426 | ||||||
|
| |||||||
| Total Investments — 98.4% (Identified Cost $37,985,817) | 39,191,977 | |||||||
| Other assets less liabilities — 1.6% | 640,546 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 39,832,523 | ||||||
|
| |||||||
| (†) | 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 |
| ||||||
| BAM | Build America Mutual |
| ||||||
| GO | General Obligation |
| ||||||
| PSF-GTD | Permanent School Fund Guarantee Program |
| ||||||
Industry Summary at December 31, 2021
Airports | 16.6 | % | ||
Hospitals | 13.8 | |||
Higher Education | 8.6 | |||
Water and Sewer | 6.7 | |||
Electric Public Power | 6.0 | |||
City | 4.7 | |||
Appropriation | 4.0 | |||
School District | 3.7 | |||
Continuing Care Retirement Center | 3.3 | |||
State | 3.2 | |||
Toll Roads, Bridges & Tunnels | 3.1 | |||
Government Lease | 3.0 | |||
Sales Tax | 2.7 | |||
Education Lease | 2.7 | |||
Combined Utilities | 2.3 | |||
Other | 2.2 | |||
Other Investments, less than 2% each | 10.4 | |||
Short-Term Investments | 1.4 | |||
|
| |||
Total Investments | 98.4 | |||
Other assets less liabilities | 1.6 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
35 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund
| Principal Amount | Description | Value (†) | ||||||
| Bonds and Notes — 95.0% of Net Assets | ||||||||
| Non-Convertible Bonds — 93.5% | ||||||||
| ABS Car Loan — 7.2% |
| |||||||
| $ | 3,607,948 | Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023 | $ | 3,628,514 | ||||
| 7,865,000 | American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A | 7,991,389 | ||||||
| 1,965,000 | AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024 | 2,020,309 | ||||||
| 10,515,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024 | 10,887,052 | ||||||
| 25,880,000 | AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025 | 26,661,273 | ||||||
| 12,340,000 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025 | 12,646,951 | ||||||
| 1,395,000 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026 | 1,408,924 | ||||||
| 11,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A | 10,964,899 | ||||||
| 1,940,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | 2,031,685 | ||||||
| 8,910,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A | 9,007,850 | ||||||
| 7,500,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class D, 4.080%, 2/20/2028, 144A | 7,492,522 | ||||||
| 3,650,000 | CarMax Auto Owner Trust, Series 2018-3, Class D, 3.910%, 1/15/2025 | 3,719,922 | ||||||
| 13,585,000 | CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025(a)(b) | 13,986,547 | ||||||
| 5,811,000 | CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025 | 5,984,627 | ||||||
| 2,315,000 | CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026 | 2,366,977 | ||||||
| 4,625,000 | CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026 | 4,716,131 | ||||||
| 2,550,000 | CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028 | 2,504,541 | ||||||
| 23,320,000 | Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A | 23,666,542 | ||||||
| 2,525,000 | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A | 2,575,351 | ||||||
| 275,000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A | 277,417 | ||||||
| 6,555,000 | Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026 | 6,716,818 | ||||||
| 16,395,000 | Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026 | 16,756,628 | ||||||
| 3,700,000 | Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026 | 3,782,363 | ||||||
| 10,760,000 | DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A | 10,946,599 | ||||||
| 3,950,000 | DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A | 4,037,046 | ||||||
| 3,400,000 | DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A | 3,471,085 | ||||||
| 7,410,000 | Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026 | 7,317,788 | ||||||
| 3,790,000 | First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A | 3,868,569 | ||||||
| 4,610,000 | Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A | 4,707,864 | ||||||
| 28,862,212 | Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024(c) | 28,853,178 | ||||||
| ABS Car Loan — continued | ||||||||
| $ | 15,340,000 | Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025 | $ | 15,266,707 | ||||
| 27,290,000 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 27,109,335 | ||||||
| 8,555,000 | GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A | 8,735,886 | ||||||
| 2,546,518 | GM Financial Consumer Automobile Receivables Trust, Series 2019-1, Class A3, 2.970%, 11/16/2023 | 2,557,549 | ||||||
| 4,007,837 | GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024 | 4,037,451 | ||||||
| 10,120,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 10,055,497 | ||||||
| 21,335,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026 | 21,187,599 | ||||||
| 1,400,000 | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A | 1,405,138 | ||||||
| 1,375,651 | Honda Auto Receivables Owner Trust, Series 2019-1, Class A3, 2.830%, 3/20/2023 | 1,385,055 | ||||||
| 16,245,000 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 16,158,003 | ||||||
| 2,211,550 | JPMorgan Chase Bank NA, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A | 2,203,474 | ||||||
| 4,333,180 | Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024 | 4,368,214 | ||||||
| 16,639,104 | Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024 | 16,647,290 | ||||||
| 4,350,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A | 4,440,684 | ||||||
| 27,665,000 | Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025 | 28,054,493 | ||||||
| 6,995,000 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025 | 7,131,939 | ||||||
| 8,455,000 | Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025 | 8,566,436 | ||||||
| 12,815,000 | Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028 | 13,620,728 | ||||||
| 2,900,000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026 | 2,941,734 | ||||||
| 4,643,395 | Toyota Auto Receivables Owner Trust, Series 2021-A, Class A2, 0.160%, 7/17/2023 | 4,641,589 | ||||||
| 15,495,000 | Westlake Automobile Receivables Trust, Series 2019-1A, Class D, 3.670%, 3/15/2024, 144A | 15,663,900 | ||||||
|
| |||||||
| 461,176,062 | ||||||||
|
| |||||||
| ABS Credit Card — 0.6% |
| |||||||
| 8,000,000 | American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024 | 8,042,663 | ||||||
| 3,460,000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A | 3,471,875 | ||||||
| 11,730,000 | Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.840%, 12/15/2024 | 11,763,065 | ||||||
| 6,355,000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A | 6,349,096 | ||||||
| 5,000,000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class C, 4.210%, 3/20/2026, 144A | 5,027,476 | ||||||
| 1,525,000 | Mission Lane Credit Card Master Trust, Series 2021-A, Class B, 2.240%, 9/15/2026, 144A | 1,517,104 | ||||||
|
| |||||||
| 36,171,279 | ||||||||
|
| |||||||
| ABS Home Equity — 5.2% |
| |||||||
| 15,451,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A | 16,562,154 | ||||||
| 1,250,000 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class B2, 4.750%, 1/28/2055, 144A(d) | 1,265,977 | ||||||
See accompanying notes to financial statements.
| 36
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| ABS Home Equity — continued | ||||||||
| $ | 1,993,215 | Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 0.855%, 11/16/2066, 144A(e) | $ | 1,998,922 | ||||
| 10,390,000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(d) | 10,288,209 | ||||||
| 1,645,809 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(d) | 1,646,787 | ||||||
| 4,617,212 | Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(d) | 4,754,341 | ||||||
| 2,434,000 | CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A | 2,650,199 | ||||||
| 4,171,990 | CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A | 4,262,024 | ||||||
| 2,929,000 | CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A | 3,040,442 | ||||||
| 1,259,000 | CoreVest American Finance Trust, Series 2020-2, Class C, 4.712%, 5/15/2052, 144A(d) | 1,400,774 | ||||||
| 1,870,000 | CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 1,864,992 | ||||||
| 3,719,156 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(d) | 3,731,223 | ||||||
| 6,265,995 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(d) | 6,213,378 | ||||||
| 1,515,000 | FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A | 1,510,202 | ||||||
| 11,696,000 | FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A | 11,388,608 | ||||||
| 3,083,000 | FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 8/17/2037, 144A | 3,045,161 | ||||||
| 5,523,734 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(d) | 5,603,186 | ||||||
| 224,607 | Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 0.628%, 8/25/2060, 144A(e) | 224,723 | ||||||
| 2,588,365 | Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A | 2,621,024 | ||||||
| 2,469,413 | Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A | 2,393,741 | ||||||
| 1,104,863 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A | 1,078,111 | ||||||
| 10,743,691 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 10,435,627 | ||||||
| 5,361,852 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 5,209,712 | ||||||
| 2,304,638 | Invitation Homes Trust, Series 2018-SFR2, Class B, 1-month LIBOR + 1.080%, 1.190%, 6/17/2037, 144A(e) | 2,301,834 | ||||||
| 282,713 | Invitation Homes Trust, Series 2018-SFR3, Class B, 1-month LIBOR + 1.150%, 1.259%, 7/17/2037, 144A(e) | 282,308 | ||||||
| 7,020,000 | Lanark Master Issuer PLC, Series 2019-2A, Class 1A, 2.710%, 12/22/2069, 144A(d) | 7,086,964 | ||||||
| 895,000 | Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(d) | 904,574 | ||||||
| 263,869 | Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.750%, 1/25/2059, 144A(d) | 264,129 | ||||||
| 2,947,663 | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(d) | 2,957,599 | ||||||
| 6,070,694 | Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.438%, 5/25/2059, 144A(d) | 6,073,943 | ||||||
| 9,312,732 | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(d) | 9,339,257 | ||||||
| 6,625,013 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(d) | 6,644,934 | ||||||
| 1,739,555 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(d) | 1,758,629 | ||||||
| ABS Home Equity — continued | ||||||||
| $ | 2,419,106 | Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060, 144A(d) | $ | 2,389,631 | ||||
| 1,467,786 | Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(d) | 1,531,215 | ||||||
| 3,141,426 | Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(d) | 3,201,886 | ||||||
| 2,744,944 | Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(d) | 2,859,703 | ||||||
| 7,224,017 | Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(d) | 7,339,152 | ||||||
| 4,563,228 | OSW Structured Asset Trust, Series 2020-RPL1, Class A1, 3.072%, 12/26/2059, 144A(d) | 4,564,922 | ||||||
| 2,830,000 | Progress Residential Trust, Series 2019-SFR1, Class D, 4.168%, 8/17/2035, 144A | 2,831,261 | ||||||
| 4,732,000 | Progress Residential Trust, Series 2019-SFR2, Class D, 3.794%, 5/17/2036, 144A | 4,731,766 | ||||||
| 1,690,000 | Progress Residential Trust, Series 2019-SFR2, Class E, 4.142%, 5/17/2036, 144A | 1,689,765 | ||||||
| 3,860,000 | Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A | 3,888,599 | ||||||
| 155,000 | Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A | 155,418 | ||||||
| 295,000 | Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A | 288,609 | ||||||
| 1,818,000 | Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A | 1,778,907 | ||||||
| 5,780,000 | Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A | 5,663,060 | ||||||
| 2,420,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A | 2,381,309 | ||||||
| 2,015,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A | 1,978,851 | ||||||
| 3,575,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A | 3,508,890 | ||||||
| 1,795,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A | 1,761,135 | ||||||
| 1,400,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A | 1,348,529 | ||||||
| 960,000 | Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040, 144A | 930,617 | ||||||
| 5,127,716 | PRPM LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025, 144A(d) | 5,114,856 | ||||||
| 8,448,361 | PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(d) | 8,395,394 | ||||||
| 7,002,659 | PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(d) | 6,963,886 | ||||||
| 317,244 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(d) | 314,318 | ||||||
| 7,622,855 | PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(d) | 7,530,427 | ||||||
| 616,035 | Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(d) | 622,139 | ||||||
| 775,605 | Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(d) | 783,195 | ||||||
| 4,930,000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(d) | 5,075,136 | ||||||
| 6,390,000 | Towd Point Mortgage Trust, Series 2017-5, Class M2, 1-month LIBOR + 1.500%, 1.592%, 2/25/2057, 144A(e) | 6,479,954 | ||||||
| 1,775,000 | Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(d) | 1,837,543 | ||||||
| 1,943,340 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(d) | 1,994,327 | ||||||
See accompanying notes to financial statements.
37 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| ABS Home Equity — continued | ||||||||
| $ | 17,610,000 | Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(d) | $ | 18,257,199 | ||||
| 6,540,219 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(d) | 6,666,048 | ||||||
| 3,325,000 | Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(d) | 3,444,773 | ||||||
| 3,950,000 | Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A | 3,859,628 | ||||||
| 2,575,000 | Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A | 2,608,163 | ||||||
| 15,496,562 | VCAT Asset Securitization LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051, 144A(d) | 15,231,247 | ||||||
| 2,108,446 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(d) | 2,105,078 | ||||||
| 9,843,706 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(d) | 9,713,208 | ||||||
| 2,904,208 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(d) | 2,885,329 | ||||||
| 7,726,137 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(d) | 7,664,523 | ||||||
| 6,933,963 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(d) | 6,896,881 | ||||||
| 4,980,796 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(d) | 4,957,430 | ||||||
| 10,044,486 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(d) | 9,984,297 | ||||||
|
| |||||||
| 335,011,892 | ||||||||
|
| |||||||
| ABS Other — 3.1% |
| |||||||
| 6,872,846 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A | 6,683,190 | ||||||
| 4,685,776 | Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A | 4,600,508 | ||||||
| 7,820,313 | CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A | 7,789,281 | ||||||
| 7,394,542 | CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A | 7,339,153 | ||||||
| 5,446,273 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A | 5,317,910 | ||||||
| 940,000 | Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A | 941,191 | ||||||
| 945,000 | Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A | 952,450 | ||||||
| 2,645,753 | Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A | 2,591,840 | ||||||
| 1,975,000 | HPEFS Equipment Trust, Series 2019-1A, Class C, 2.490%, 9/20/2029, 144A | 1,989,502 | ||||||
| 3,645,000 | HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A | 3,690,586 | ||||||
| 1,980,000 | HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A | 1,999,788 | ||||||
| 2,795,000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A | 2,757,500 | ||||||
| 7,333,108 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A | 7,164,938 | ||||||
| 9,376,819 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A | 9,441,219 | ||||||
| 11,080,460 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A | 10,851,133 | ||||||
| 3,313,476 | MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A | 3,256,032 | ||||||
| 137,913 | Marlette Funding Trust, Series 2019-4A, Class A, 2.390%, 12/17/2029, 144A | 138,106 | ||||||
| ABS Other — continued | ||||||||
| $ | 1,919,596 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(d) | $ | 1,740,843 | ||||
| 662,500 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A | 676,601 | ||||||
| 411,329 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A | 414,254 | ||||||
| 13,618,698 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(d) | 13,566,800 | ||||||
| 8,040,000 | OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A | 8,051,503 | ||||||
| 4,675,000 | OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A | 4,781,239 | ||||||
| 6,585,000 | OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A | 6,541,923 | ||||||
| 14,033,537 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A | 13,660,964 | ||||||
| 530,000 | SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A | 520,414 | ||||||
| 1,273,948 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A | 1,257,647 | ||||||
| 540,000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day Auction Rate Security, 3.603%, 9/15/2032(e) | 539,802 | ||||||
| 900,000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day Auction Rate Security, 3.610%, 9/15/2032(e) | 899,670 | ||||||
| 887,065 | SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A | 892,232 | ||||||
| 3,244,849 | SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A | 3,276,410 | ||||||
| 10,455,486 | SoFi Consumer Loan Program Trust, Series 2019-1, Class C, 3.730%, 2/25/2028, 144A | 10,543,719 | ||||||
| 6,805,000 | SoFi Consumer Loan Program Trust, Series 2019-2, Class C, 3.460%, 4/25/2028, 144A | 6,878,582 | ||||||
| 12,755,000 | SoFi Consumer Loan Program Trust, Series 2019-3, Class C, 3.350%, 5/25/2028, 144A | 12,902,063 | ||||||
| 7,370,000 | SoFi Consumer Loan Program Trust, Series 2019-4, Class C, 2.840%, 8/25/2028, 144A | 7,486,011 | ||||||
| 6,010,667 | Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A | 5,843,361 | ||||||
| 6,335,496 | TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A | 6,136,226 | ||||||
| 12,709,594 | Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.860%, 3/20/2046, 144A | 12,443,130 | ||||||
|
| |||||||
| 196,557,721 | ||||||||
|
| |||||||
| ABS Student Loan — 0.9% |
| |||||||
| 745,000 | College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A | 741,524 | ||||||
| 3,837,474 | Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A | 3,824,028 | ||||||
| 2,670,439 | EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A | 2,641,045 | ||||||
| 4,303,306 | ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A | 4,344,868 | ||||||
| 6,901,700 | Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A | 6,876,597 | ||||||
| 1,277,627 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A | 1,272,485 | ||||||
| 4,505,731 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A | 4,448,805 | ||||||
| 560,000 | Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A | 554,982 | ||||||
| 2,105,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A | 2,048,145 | ||||||
See accompanying notes to financial statements.
| 38
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| ABS Student Loan — continued | ||||||||
| $ | 4,790,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A | $ | 4,699,552 | ||||
| 467,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 3.604%, 6/15/2032(e) | 466,608 | ||||||
| 357,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day Auction Rate Security, 3.608%, 6/15/2032(e) | 356,700 | ||||||
| 707,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 3.609%, 3/15/2033(e) | 706,613 | ||||||
| 478,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 3.609%, 3/15/2033(e) | 477,738 | ||||||
| 2,500,000 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A | 2,568,853 | ||||||
| 565,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A | 605,821 | ||||||
| 1,525,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A | 1,597,398 | ||||||
| 7,627,387 | SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A | 7,874,640 | ||||||
| 12,555,711 | SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A | 12,868,968 | ||||||
| 1,038,175 | SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A | 1,049,995 | ||||||
|
| |||||||
| 60,025,365 | ||||||||
|
| |||||||
| ABS Whole Business — 1.2% |
| |||||||
| 9,605,747 | Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A | 9,905,053 | ||||||
| 3,595,000 | Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A | 3,716,903 | ||||||
| 7,132,818 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A | 7,634,083 | ||||||
| 2,874,988 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A | 3,008,571 | ||||||
| 5,151,670 | Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A | 5,418,233 | ||||||
| 4,042,988 | Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A | 4,255,265 | ||||||
| 15,392,650 | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A | 15,457,438 | ||||||
| 1,655,220 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A | 1,701,240 | ||||||
| 17,227,650 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A | 17,849,240 | ||||||
| 2,472,000 | Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A | 2,566,411 | ||||||
| 2,019,850 | Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841%, 12/05/2050, 144A | 2,016,727 | ||||||
|
| |||||||
| 73,529,164 | ||||||||
|
| |||||||
| Aerospace & Defense — 2.4% |
| |||||||
| 13,620,000 | BAE Systems PLC, 3.400%, 4/15/2030, 144A | 14,537,417 | ||||||
| 29,500,000 | Boeing Co. (The), 2.196%, 2/04/2026 | 29,492,969 | ||||||
| 3,780,000 | Boeing Co. (The), 2.250%, 6/15/2026 | 3,785,420 | ||||||
| 4,874,000 | Boeing Co. (The), 2.950%, 2/01/2030 | 4,965,750 | ||||||
| 655,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 682,491 | ||||||
| 3,225,000 | Boeing Co. (The), 3.200%, 3/01/2029 | 3,319,114 | ||||||
| 9,088,000 | Boeing Co. (The), 3.375%, 6/15/2046 | 8,758,742 | ||||||
| 3,564,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 3,529,359 | ||||||
| 14,352,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 14,871,686 | ||||||
| 1,932,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 1,940,269 | ||||||
| 2,501,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 2,595,755 | ||||||
| 4,740,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 5,522,579 | ||||||
| 4,875,000 | Boeing Co. (The), 5.805%, 5/01/2050 | 6,601,364 | ||||||
| Aerospace & Defense — continued | ||||||||
| $ | 4,465,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | $ | 4,615,694 | ||||
| 4,350,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 4,529,437 | ||||||
| 6,885,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 7,281,377 | ||||||
| 4,245,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030 | 4,728,109 | ||||||
| 650,000 | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039 | 847,574 | ||||||
| 1,335,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 1,338,337 | ||||||
| 29,075,000 | Textron, Inc., 3.000%, 6/01/2030 | 30,003,712 | ||||||
|
| |||||||
| 153,947,155 | ||||||||
|
| |||||||
| Airlines — 0.9% |
| |||||||
| 1,662,407 | American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025 | 1,621,179 | ||||||
| 5,946,696 | American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025 | 5,880,272 | ||||||
| 11,953,074 | American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030 | 11,366,963 | ||||||
| 1,325,255 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 1,253,201 | ||||||
| 5,143,073 | American Airlines Pass Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031 | 5,001,467 | ||||||
| 2,881,086 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 2,778,228 | ||||||
| 17,991,899 | American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029 | 16,998,387 | ||||||
| 5,755,933 | British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A | 5,697,453 | ||||||
| 2,442,941 | United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031 | 2,470,851 | ||||||
| 1,030,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 1,074,017 | ||||||
| 1,540,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A | 1,588,125 | ||||||
|
| |||||||
| 55,730,143 | ||||||||
|
| |||||||
| Automotive — 2.4% |
| |||||||
| 25,580,000 | American Honda Finance Corp., MTN, 0.550%, 7/12/2024 | 25,244,749 | ||||||
| 5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 | 6,443,250 | ||||||
| 29,435,000 | Ford Motor Co., 3.250%, 2/12/2032 | 30,141,440 | ||||||
| 2,360,000 | Ford Motor Credit Co. LLC, 3.625%, 6/17/2031 | 2,484,337 | ||||||
| 9,966,000 | General Motors Co., 5.200%, 4/01/2045 | 12,330,464 | ||||||
| 27,915,000 | General Motors Co., 5.400%, 4/01/2048 | 35,613,098 | ||||||
| 205,000 | General Motors Co., 5.950%, 4/01/2049 | 280,600 | ||||||
| 9,600,000 | General Motors Co., 6.250%, 10/02/2043 | 13,137,022 | ||||||
| 24,360,000 | Volkswagen Group of America Finance LLC, 0.875%, 11/22/2023, 144A | 24,197,298 | ||||||
| 2,895,000 | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A | 3,045,825 | ||||||
|
| |||||||
| 152,918,083 | ||||||||
|
| |||||||
| Banking — 9.7% |
| |||||||
| 5,125,000 | Ally Financial, Inc., 2.200%, 11/02/2028 | 5,090,795 | ||||||
| 300,000 | Ally Financial, Inc., 3.875%, 5/21/2024 | 316,150 | ||||||
| 39,613,000 | Ally Financial, Inc., 4.625%, 3/30/2025 | 43,032,044 | ||||||
| 2,835,000 | Ally Financial, Inc., 5.750%, 11/20/2025 | 3,197,397 | ||||||
| 1,468,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 2,017,607 | ||||||
| 10,155,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A | 11,081,745 | ||||||
| 5,800,000 | Banco Santander S.A., 2.749%, 12/03/2030 | 5,675,660 | ||||||
| 49,304,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | 52,640,143 | ||||||
| 100,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 | 110,340 | ||||||
| 25,627,000 | Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027 | 28,039,602 | ||||||
| 24,260,000 | Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027 | 24,303,252 | ||||||
See accompanying notes to financial statements.
39 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Banking — continued | ||||||||
| $ | 4,287,000 | Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030 | $ | 4,862,883 | ||||
| 18,255,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 18,695,565 | ||||||
| 3,335,000 | BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A | 3,306,653 | ||||||
| 22,500,000 | BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A | 24,404,915 | ||||||
| 460,000 | Capital One Financial Corp., 4.200%, 10/29/2025 | 501,060 | ||||||
| 1,230,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 1,349,810 | ||||||
| 7,155,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A | 7,633,598 | ||||||
| 15,615,000 | Credit Suisse AG, 0.495%, 2/02/2024 | 15,426,995 | ||||||
| 14,200,000 | Danske Bank A/S, 5.375%, 1/12/2024, 144A | 15,285,712 | ||||||
| 3,390,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A | 3,522,132 | ||||||
| 4,690,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 4,794,680 | ||||||
| 2,640,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 2,852,436 | ||||||
| 2,175,000 | Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032 | 2,191,612 | ||||||
| 9,260,000 | Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024 | 9,379,109 | ||||||
| 6,235,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | 6,562,100 | ||||||
| 19,755,000 | Deutsche Bank AG, Series E, 0.962%, 11/08/2023 | 19,719,832 | ||||||
| 23,870,000 | Goldman Sachs Group, Inc. (The), Series FXD, 0.481%, 1/27/2023 | 23,809,327 | ||||||
| 70,245,000 | JPMorgan Chase & Co., 4.125%, 12/15/2026 | 77,478,199 | ||||||
| 28,715,000 | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031 | 33,229,242 | ||||||
| 12,025,000 | JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027 | 11,883,271 | ||||||
| 100,000 | KeyBank NA, 6.950%, 2/01/2028 | 125,807 | ||||||
| 30,210,000 | Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024 | 30,106,157 | ||||||
| 1,845,000 | Morgan Stanley, GMTN, 4.350%, 9/08/2026 | 2,039,348 | ||||||
| 20,695,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 | 21,554,447 | ||||||
| 25,560,000 | Nationwide Building Society, 0.550%, 1/22/2024, 144A | 25,231,298 | ||||||
| 15,160,000 | Santander Holdings USA, Inc., 3.244%, 10/05/2026 | 15,823,366 | ||||||
| 20,295,000 | Societe Generale S.A., 4.250%, 4/14/2025, 144A | 21,557,755 | ||||||
| 11,950,000 | Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A | 12,309,027 | ||||||
| 16,790,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A | 16,567,189 | ||||||
| 7,090,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A | 8,022,007 | ||||||
| 3,865,000 | Synchrony Financial, 4.375%, 3/19/2024 | 4,077,674 | ||||||
|
| |||||||
| 619,807,941 | ||||||||
|
| |||||||
| Brokerage — 0.8% |
| |||||||
| 19,498,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 25,846,429 | ||||||
| 8,760,000 | Jefferies Group LLC, 6.450%, 6/08/2027 | 10,672,524 | ||||||
| 13,940,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 13,651,928 | ||||||
|
| |||||||
| 50,170,881 | ||||||||
|
| |||||||
| Building Materials — 1.5% |
| |||||||
| 33,030,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 32,908,780 | ||||||
| 16,180,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 17,373,275 | ||||||
| 5,955,000 | Cemex SAB de CV, 5.450%, 11/19/2029, 144A | 6,379,294 | ||||||
| 3,285,000 | Ferguson Finance PLC, 3.250%, 6/02/2030, 144A | 3,452,831 | ||||||
| Building Materials — continued | ||||||||
| $ | 23,975,000 | Owens Corning, 7.000%, 12/01/2036 | $ | 33,854,055 | ||||
| 2,655,000 | Vulcan Materials Co., 3.500%, 6/01/2030 | 2,867,669 | ||||||
|
| |||||||
| 96,835,904 | ||||||||
|
| |||||||
| Cable Satellite — 2.4% |
| |||||||
| 9,425,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 9,525,471 | ||||||
| 1,905,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 1,874,191 | ||||||
| 2,826,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A | 2,891,535 | ||||||
| 315,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032 | 324,056 | ||||||
| 550,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A | 593,524 | ||||||
| 25,020,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062 | 24,103,759 | ||||||
| 13,450,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061 | 13,914,121 | ||||||
| 30,810,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050 | 34,495,925 | ||||||
| 6,695,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.750%, 4/01/2048 | 8,349,057 | ||||||
| 15,510,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 14,676,338 | ||||||
| 900,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 867,375 | ||||||
| 1,035,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A | 1,031,119 | ||||||
| 930,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A | 995,100 | ||||||
| 2,416,000 | Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A | 2,511,045 | ||||||
| 200,000 | Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A | 215,500 | ||||||
| 17,891,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 19,504,984 | ||||||
| 15,815,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 19,174,282 | ||||||
| 1,421,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 1,460,078 | ||||||
|
| |||||||
| 156,507,460 | ||||||||
|
| |||||||
| Chemicals — 1.2% |
| |||||||
| 4,330,000 | Alpek SAB de CV, 3.250%, 2/25/2031, 144A | 4,319,175 | ||||||
| 9,180,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 9,762,930 | ||||||
| 6,060,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 6,984,150 | ||||||
| 27,205,000 | CF Industries, Inc., 4.500%, 12/01/2026, 144A | 30,323,325 | ||||||
| 3,740,000 | FMC Corp., 3.450%, 10/01/2029 | 3,982,226 | ||||||
| 2,075,000 | FMC Corp., 4.500%, 10/01/2049 | 2,492,241 | ||||||
| 8,145,000 | LYB International Finance III LLC, 4.200%, 10/15/2049 | 9,407,353 | ||||||
| 12,285,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A | 12,088,931 | ||||||
|
| |||||||
| 79,360,331 | ||||||||
|
| |||||||
| Consumer Cyclical Services — 1.3% |
| |||||||
| 16,000,000 | Booking Holdings, Inc., 4.625%, 4/13/2030 | 18,699,485 | ||||||
| 5,765,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 5,756,814 | ||||||
| 30,201,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 30,820,139 | ||||||
| 4,928,000 | Expedia Group, Inc., 3.800%, 2/15/2028 | 5,268,766 | ||||||
| 3,970,000 | Expedia Group, Inc., 4.625%, 8/01/2027 | 4,420,870 | ||||||
| 1,025,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 1,043,799 | ||||||
| 8,430,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 9,049,605 | ||||||
| 5,015,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 5,457,799 | ||||||
|
| |||||||
| 80,517,277 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
| 40
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Consumer Products — 0.3% |
| |||||||
| $ | 7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 | $ | 9,242,908 | ||||
| 4,580,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A | 4,526,002 | ||||||
| 6,970,000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A | 6,839,312 | ||||||
|
| |||||||
| 20,608,222 | ||||||||
|
| |||||||
| Diversified Manufacturing — 0.3% |
| |||||||
| 4,925,000 | Carrier Global Corp., 2.722%, 2/15/2030 | 5,029,612 | ||||||
| 7,675,000 | GE Capital Funding LLC, 4.550%, 5/15/2032 | 9,078,347 | ||||||
| 1,869,000 | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 2,230,390 | ||||||
|
| |||||||
| 16,338,349 | ||||||||
|
| |||||||
| Electric — 2.1% |
| |||||||
| 7,435,000 | AES Corp. (The), 2.450%, 1/15/2031 | 7,243,962 | ||||||
| 3,695,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A | 3,936,653 | ||||||
| 15,380,894 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 17,684,156 | ||||||
| 14,855,000 | Calpine Corp., 3.750%, 3/01/2031, 144A | 14,316,506 | ||||||
| 13,025,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A | 17,302,589 | ||||||
| 9,007,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A | 12,818,776 | ||||||
| 2,355,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 | 2,584,522 | ||||||
| 9,641,000 | NRG Energy, Inc., 4.450%, 6/15/2029, 144A | 10,487,751 | ||||||
| 1,435,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | 1,537,437 | ||||||
| 4,437,000 | NRG Energy, Inc., 5.750%, 1/15/2028 | 4,690,397 | ||||||
| 6,185,000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 | 6,205,429 | ||||||
| 8,915,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | 8,258,524 | ||||||
| 10,400,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 10,514,515 | ||||||
| 1,250,000 | Pacific Gas & Electric Co., 4.950%, 7/01/2050 | 1,361,320 | ||||||
| 2,970,000 | Southern California Edison Co., 3.650%, 2/01/2050 | 3,142,667 | ||||||
| 850,000 | Southern California Edison Co., 4.000%, 4/01/2047 | 937,222 | ||||||
| 1,060,000 | Southern California Edison Co., Series C, 4.125%, 3/01/2048 | 1,189,046 | ||||||
| 10,835,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A | 11,234,935 | ||||||
|
| |||||||
| 135,446,407 | ||||||||
|
| |||||||
| Finance Companies — 4.2% |
| |||||||
| 7,910,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 8,021,814 | ||||||
| 9,900,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 10,085,840 | ||||||
| 860,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027 | 906,286 | ||||||
| 23,900,000 | Air Lease Corp., 3.125%, 12/01/2030 | 24,386,902 | ||||||
| 2,235,000 | Air Lease Corp., 3.250%, 10/01/2029 | 2,282,995 | ||||||
| 10,270,000 | Air Lease Corp., 3.375%, 7/01/2025 | 10,715,924 | ||||||
| 345,000 | Air Lease Corp., 4.625%, 10/01/2028 | 380,532 | ||||||
| 8,426,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 8,409,976 | ||||||
| 12,430,000 | Aircastle Ltd., 4.125%, 5/01/2024 | 12,978,165 | ||||||
| 8,070,000 | Aircastle Ltd., 4.400%, 9/25/2023 | 8,455,570 | ||||||
| 8,160,000 | Aircastle Ltd., 5.000%, 4/01/2023 | 8,517,577 | ||||||
| 6,700,000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A | 7,120,322 | ||||||
| 16,920,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 16,844,917 | ||||||
| 16,355,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 16,079,944 | ||||||
| 3,865,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 3,769,831 | ||||||
| 7,510,000 | Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A | 8,216,600 | ||||||
| 8,255,000 | Barings BDC, Inc., 3.300%, 11/23/2026, 144A | 8,164,455 | ||||||
| 10,640,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 10,585,934 | ||||||
| 3,425,000 | Navient Corp., 5.000%, 3/15/2027 | 3,493,020 | ||||||
| 50,000 | Navient Corp., 5.875%, 10/25/2024 | 53,312 | ||||||
| 145,000 | Navient Corp., 6.750%, 6/15/2026 | 160,276 | ||||||
| 222,000 | Navient Corp., 7.250%, 9/25/2023 | 239,343 | ||||||
| 20,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 21,325 | ||||||
| 7,855,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 7,794,160 | ||||||
| Finance Companies — continued | ||||||||
| $ | 12,150,000 | Owl Rock Capital Corp., 2.625%, 1/15/2027 | $ | 11,883,666 | ||||
| 12,290,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 12,063,604 | ||||||
| 13,705,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 13,602,212 | ||||||
| 17,825,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 18,092,375 | ||||||
| 25,002,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 25,324,026 | ||||||
| 7,445,000 | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 3.625%, 3/01/2029 | 7,472,919 | ||||||
|
| |||||||
| 266,123,822 | ||||||||
|
| |||||||
| Financial Other — 0.8% |
| |||||||
| 27,825,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027, 144A | 27,082,780 | ||||||
| 2,310,000 | CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025 | 2,229,150 | ||||||
| 720,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024 | 711,331 | ||||||
| 6,220,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031 | 5,289,101 | ||||||
| 1,110,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 1,082,250 | ||||||
| 6,065,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031 | 3,456,443 | ||||||
| 400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030 | 236,768 | ||||||
| 3,495,000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022 | 2,513,499 | ||||||
| 4,345,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027 | 2,629,985 | ||||||
| 3,780,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026 | 2,358,493 | ||||||
| 1,265,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024 | 811,131 | ||||||
| 5,120,000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 3,457,997 | ||||||
| 1,835,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 1,251,360 | ||||||
| 1,415,000 | Times China Holdings Ltd., 6.750%, 7/08/2025 | 963,700 | ||||||
|
| |||||||
| 54,073,988 | ||||||||
|
| |||||||
| Food & Beverage — 1.9% |
| |||||||
| 2,040,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046 | 2,578,427 | ||||||
| 14,470,000 | Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050 | 17,838,879 | ||||||
| 6,002,000 | Anheuser-Busch InBev Worldwide, Inc., 4.600%, 4/15/2048 | 7,339,483 | ||||||
| 15,285,000 | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050 | 15,981,996 | ||||||
| 4,910,000 | JBS USA LUX S.A./JBS USA Finance, Inc., 6.750%, 2/15/2028, 144A | 5,296,712 | ||||||
| 3,625,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A | 3,679,375 | ||||||
| 10,660,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A | 11,592,750 | ||||||
| 26,540,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 31,147,079 | ||||||
| 6,470,000 | NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A | 6,785,477 | ||||||
| 13,590,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 13,780,668 | ||||||
| 2,065,000 | Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A | 2,168,250 | ||||||
| 1,920,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A | 1,912,131 | ||||||
|
| |||||||
| 120,101,227 | ||||||||
|
| |||||||
| Gaming — 0.3% |
| |||||||
| 14,625,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 14,258,490 | ||||||
| 4,880,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 4,906,303 | ||||||
|
| |||||||
| 19,164,793 | ||||||||
|
| |||||||
| Government Owned – No Guarantee — 0.8% |
| |||||||
| 8,755,000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A | 8,579,458 | ||||||
| 4,000,000 | Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A | 3,430,840 | ||||||
| 11,710,000 | Indian Railway Finance Corp. Ltd., 2.800%, 2/10/2031, 144A | 11,394,884 | ||||||
See accompanying notes to financial statements.
41 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Government Owned – No Guarantee — continued |
| |||||||
| $ | 20,145,000 | Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A | $ | 19,596,694 | ||||
| 2,185,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029 | 1,966,784 | ||||||
| 4,210,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030 | 3,770,602 | ||||||
|
| |||||||
| 48,739,262 | ||||||||
|
| |||||||
| Health Insurance — 0.4% |
| |||||||
| 19,320,000 | Centene Corp., 2.500%, 3/01/2031 | 18,808,310 | ||||||
| 4,145,000 | Centene Corp., 2.625%, 8/01/2031 | 4,062,100 | ||||||
| 2,520,000 | Centene Corp., 3.000%, 10/15/2030 | 2,561,605 | ||||||
| 565,000 | Centene Corp., 4.625%, 12/15/2029 | 609,330 | ||||||
|
| |||||||
| 26,041,345 | ||||||||
|
| |||||||
| Healthcare — 1.5% |
| |||||||
| 19,420,000 | Cigna Corp., 4.375%, 10/15/2028 | 22,070,843 | ||||||
| 1,261,000 | Cigna Corp., 7.875%, 5/15/2027 | 1,630,037 | ||||||
| 7,210,000 | CVS Health Corp., 3.250%, 8/15/2029 | 7,687,267 | ||||||
| 685,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 705,550 | ||||||
| 2,671,000 | HCA, Inc., 3.500%, 9/01/2030 | 2,822,913 | ||||||
| 8,810,000 | HCA, Inc., 4.125%, 6/15/2029 | 9,694,315 | ||||||
| 16,050,000 | HCA, Inc., 4.500%, 2/15/2027 | 17,680,754 | ||||||
| 25,000,000 | HCA, Inc., 5.250%, 6/15/2049 | 32,108,003 | ||||||
|
| |||||||
| 94,399,682 | ||||||||
|
| |||||||
| Home Construction — 0.5% |
| |||||||
| 2,450,000 | Lennar Corp., 4.750%, 11/29/2027 | 2,772,617 | ||||||
| 560,000 | Lennar Corp., 4.875%, 12/15/2023 | 593,689 | ||||||
| 55,000 | Lennar Corp., 5.000%, 6/15/2027 | 62,196 | ||||||
| 1,550,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025 | 1,412,577 | ||||||
| 3,445,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026 | 3,117,553 | ||||||
| 12,384,000 | MDC Holdings, Inc., 6.000%, 1/15/2043 | 15,666,181 | ||||||
| 6,130,000 | Meritage Homes Corp., 3.875%, 4/15/2029, 144A | 6,436,500 | ||||||
|
| |||||||
| 30,061,313 | ||||||||
|
| |||||||
| Independent Energy — 2.4% |
| |||||||
| 3,195,000 | Aker BP ASA, 3.000%, 1/15/2025, 144A | 3,311,069 | ||||||
| 9,925,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 10,509,480 | ||||||
| 16,455,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 17,792,120 | ||||||
| 3,140,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 3,071,721 | ||||||
| 9,310,000 | Continental Resources, Inc., 3.800%, 6/01/2024 | 9,714,659 | ||||||
| 10,472,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 12,332,037 | ||||||
| 4,685,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 4,828,594 | ||||||
| 6,910,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 6,806,350 | ||||||
| 9,035,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 8,854,300 | ||||||
| 925,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 949,540 | ||||||
| 9,675,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 10,037,813 | ||||||
| 2,785,000 | EQT Corp., 3.900%, 10/01/2027 | 2,986,968 | ||||||
| 1,970,000 | EQT Corp., 5.000%, 1/15/2029 | 2,181,775 | ||||||
| 10,475,000 | Hess Corp., 4.300%, 4/01/2027 | 11,407,820 | ||||||
| 4,675,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 4,951,433 | ||||||
| 10,085,000 | Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A | 10,014,331 | ||||||
| 7,360,000 | Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A | 7,412,470 | ||||||
| 3,560,000 | Occidental Petroleum Corp., 4.100%, 2/15/2047 | 3,488,800 | ||||||
| 4,130,000 | Occidental Petroleum Corp., 4.200%, 3/15/2048 | 4,130,000 | ||||||
| 285,000 | Occidental Petroleum Corp., 4.400%, 8/15/2049 | 288,563 | ||||||
| 570,000 | Occidental Petroleum Corp., 4.500%, 7/15/2044 | 586,906 | ||||||
| 675,000 | Occidental Petroleum Corp., 4.625%, 6/15/2045 | 702,000 | ||||||
| 6,090,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 6,779,997 | ||||||
| 8,173,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 10,515,940 | ||||||
| 444,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 578,759 | ||||||
| 1,750,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1,842,934 | ||||||
|
| |||||||
| 156,076,379 | ||||||||
|
| |||||||
| Leisure — 0.1% |
| |||||||
| $ | 1,985,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | $ | 1,976,206 | ||||
| 2,750,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 2,781,790 | ||||||
|
| |||||||
| 4,757,996 | ||||||||
|
| |||||||
| Life Insurance — 3.3% |
| |||||||
| 11,800,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A | 11,582,507 | ||||||
| 21,550,000 | Athene Global Funding, 2.550%, 11/19/2030, 144A | 21,184,996 | ||||||
| 7,385,000 | Athene Holding Ltd., 3.500%, 1/15/2031 | 7,808,936 | ||||||
| 8,255,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 9,482,023 | ||||||
| 19,600,000 | Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A | 21,884,822 | ||||||
| 30,030,000 | Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A | 30,047,882 | ||||||
| 9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A | 12,176,449 | ||||||
| 26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A(a)(b) | 43,167,903 | ||||||
| 23,335,000 | New York Life Global Funding, 0.850%, 1/15/2026, 144A | 22,776,739 | ||||||
| 6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A(a)(b) | 8,627,410 | ||||||
| 2,872,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A | 3,748,678 | ||||||
| 14,489,000 | Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A | 21,220,991 | ||||||
|
| |||||||
| 213,709,336 | ||||||||
|
| |||||||
| Local Authorities — 0.2% |
| |||||||
| 14,455,000 | Province of Quebec Canada, 0.600%, 7/23/2025 | 14,125,299 | ||||||
|
| |||||||
| Lodging — 0.3% |
| |||||||
| 1,795,000 | Marriott International, Inc., Series FF, 4.625%, 6/15/2030 | 2,019,277 | ||||||
| 3,525,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 3,514,214 | ||||||
| 975,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 981,357 | ||||||
| 7,435,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 7,498,086 | ||||||
| 1,610,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 1,618,050 | ||||||
| 205,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 222,788 | ||||||
| 235,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 260,578 | ||||||
|
| |||||||
| 16,114,350 | ||||||||
|
| |||||||
| Media Entertainment — 1.0% |
| |||||||
| 2,610,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 2,646,853 | ||||||
| 3,925,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 4,082,392 | ||||||
| 2,080,000 | Netflix, Inc., 4.875%, 4/15/2028 | 2,371,200 | ||||||
| 17,490,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 20,397,712 | ||||||
| 1,745,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 2,072,188 | ||||||
| 2,375,000 | Netflix, Inc., 5.875%, 11/15/2028 | 2,855,938 | ||||||
| 2,795,000 | Netflix, Inc., 6.375%, 5/15/2029 | 3,472,787 | ||||||
| 2,700,000 | ViacomCBS, Inc., 4.200%, 6/01/2029 | 2,999,989 | ||||||
| 3,010,000 | ViacomCBS, Inc., 4.200%, 5/19/2032 | 3,395,178 | ||||||
| 18,215,000 | ViacomCBS, Inc., 4.950%, 1/15/2031 | 21,698,803 | ||||||
|
| |||||||
| 65,993,040 | ||||||||
|
| |||||||
| Metals & Mining — 2.7% |
| |||||||
| 550,000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | 539,308 | ||||||
| 1,325,000 | Anglo American Capital PLC, 2.875%, 3/17/2031, 144A | 1,318,750 | ||||||
| 6,260,000 | Anglo American Capital PLC, 4.000%, 9/11/2027, 144A | 6,730,468 | ||||||
See accompanying notes to financial statements.
| 42
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Metals & Mining — continued | ||||||||
| $ | 34,334,000 | Anglo American Capital PLC, 4.500%, 3/15/2028, 144A | $ | 37,840,671 | ||||
| 8,785,000 | Anglo American Capital PLC, 4.750%, 4/10/2027, 144A | 9,770,203 | ||||||
| 3,130,000 | Antofagasta PLC, 2.375%, 10/14/2030, 144A | 2,973,500 | ||||||
| 11,405,000 | ArcelorMittal S.A., 6.750%, 3/01/2041 | 15,397,890 | ||||||
| 5,890,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 6,339,112 | ||||||
| 6,325,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 6,641,250 | ||||||
| 2,930,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 3,072,837 | ||||||
| 1,975,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 2,118,188 | ||||||
| 6,175,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 7,518,062 | ||||||
| 1,770,000 | Freeport-McMoRan, Inc., 5.450%, 3/15/2043 | 2,225,049 | ||||||
| 7,688,000 | Glencore Funding LLC, 3.875%, 10/27/2027, 144A | 8,270,366 | ||||||
| 39,092,000 | Glencore Funding LLC, 4.000%, 3/27/2027, 144A | 42,173,437 | ||||||
| 11,700,000 | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | 12,302,549 | ||||||
| 4,280,000 | Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A | 4,482,508 | ||||||
| 1,855,000 | Reliance Steel & Aluminum Co., 2.150%, 8/15/2030 | 1,802,437 | ||||||
| 2,010,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 1,937,138 | ||||||
|
| |||||||
| 173,453,723 | ||||||||
|
| |||||||
| Midstream — 2.5% |
| |||||||
| 22,495,000 | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | 24,095,650 | ||||||
| 13,555,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 13,656,662 | ||||||
| 1,635,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 1,847,550 | ||||||
| 650,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A | 850,642 | ||||||
| 7,000,000 | Energy Transfer LP, 4.950%, 6/15/2028 | 7,874,300 | ||||||
| 6,405,000 | Energy Transfer LP, 5.250%, 4/15/2029 | 7,336,287 | ||||||
| 15,380,000 | Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A | 15,306,410 | ||||||
| 1,435,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A | 1,497,944 | ||||||
| 14,660,000 | Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023 | 15,155,009 | ||||||
| 85,000 | Kinder Morgan Energy Partners LP, 5.000%, 8/15/2042 | 98,579 | ||||||
| 375,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | 449,036 | ||||||
| 14,040,000 | MPLX LP, 4.250%, 12/01/2027 | 15,550,828 | ||||||
| 85,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 119,003 | ||||||
| 225,000 | Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023 | 228,088 | ||||||
| 3,710,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 3,874,140 | ||||||
| 7,365,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 7,383,384 | ||||||
| 7,825,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044 | 8,321,151 | ||||||
| 620,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045 | 672,849 | ||||||
| 12,445,000 | Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030 | 14,038,245 | ||||||
| 2,170,000 | Western Midstream Operating LP, 5.300%, 2/01/2030 | 2,384,917 | ||||||
| 3,365,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 4,054,842 | ||||||
| 950,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 1,135,250 | ||||||
| 710,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 848,109 | ||||||
| 2,870,000 | Western Midstream Operating LP, 6.500%, 2/01/2050 | 3,393,789 | ||||||
| 8,405,000 | Williams Cos., Inc. (The), 3.350%, 8/15/2022 | 8,483,752 | ||||||
|
| |||||||
| 158,656,416 | ||||||||
|
| |||||||
| Mortgage Related — 0.0% |
| |||||||
| 893 | FNMA, 6.000%, 7/01/2029 | 998 | ||||||
|
| |||||||
| Non-Agency Commercial Mortgage-Backed Securities — 1.6% |
| |||||||
| $ | 8,625,000 | BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064 | $ | 8,592,604 | ||||
| 410,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A | 414,475 | ||||||
| 1,410,000 | Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A | 1,409,599 | ||||||
| 785,000 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A | 780,225 | ||||||
| 1,325,000 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(d) | 1,324,177 | ||||||
| 2,010,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.558%, 12/10/2044(d) | 1,962,248 | ||||||
| 2,564,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.710%, 1/15/2034, 144A(e) | 2,533,992 | ||||||
| 370,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A | 362,820 | ||||||
| 510,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A | 493,506 | ||||||
| 12,790,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A | 11,950,609 | ||||||
| 5,095,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(d) | 5,149,058 | ||||||
| 3,526,653 | Extended Stay America Trust, Series 2021-ESH, Class C, 1-month LIBOR + 1.700%, 1.810%, 7/15/2038, 144A(e) | 3,526,651 | ||||||
| 2,390,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(d) | 2,437,482 | ||||||
| 9,406,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(d) | 8,027,314 | ||||||
| 6,079,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(d) | 6,028,437 | ||||||
| 6,478,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.363%, 12/15/2047, 144A(d) | 6,529,514 | ||||||
| 340,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.363%, 12/15/2047, 144A(d) | 334,858 | ||||||
| 4,990,000 | MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 1.910%, 11/15/2038, 144A(e) | 4,977,490 | ||||||
| 945,000 | Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A | 938,953 | ||||||
| 5,050,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.151%, 8/15/2046(d) | 5,207,149 | ||||||
| 1,405,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.763%, 10/15/2046(d) | 1,396,142 | ||||||
| 3,456,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044, 144A(a)(b)(d) | 2,764,800 | ||||||
| 525,000 | Motel Trust, Series 2021-MTL6, Class C, 1-month LIBOR + 1.500%, 1.610%, 9/15/2038, 144A(e) | 524,841 | ||||||
| 4,735,000 | RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.834%, 1/15/2032, 144A(d) | 4,903,213 | ||||||
| 965,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC, 4.813%, 5/10/2063, 144A(d) | 925,702 | ||||||
| 6,706,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.885%, 5/10/2063, 144A(a)(b)(d) | 563,304 | ||||||
| 827,560 | UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A | 828,084 | ||||||
See accompanying notes to financial statements.
43 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Non-Agency Commercial Mortgage-Backed Securities — continued |
| |||||||
| $ | 4,990,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.306%, 7/15/2046(d) | $ | 4,953,127 | ||||
| 1,991,555 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.425%, 3/15/2044, 144A(d) | 950,370 | ||||||
| 1,565,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 1,554,401 | ||||||
| 2,400,000 | WFRBS Commercial Mortgage Trust, Series 2012-C6, Class D, 5.775%, 4/15/2045, 144A(d) | 2,403,599 | ||||||
| 1,746,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.792%, 6/15/2045(d) | 1,331,500 | ||||||
| 865,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.792%, 6/15/2045, 144A(a)(b)(d) | 176,200 | ||||||
| 4,615,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 4,690,601 | ||||||
| 1,290,000 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(d) | 1,283,688 | ||||||
|
| |||||||
| 102,230,733 | ||||||||
|
| |||||||
| Paper — 0.5% |
| |||||||
| 10,460,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 10,630,080 | ||||||
| 16,595,000 | Weyerhaeuser Co., 4.000%, 4/15/2030 | 18,506,699 | ||||||
| 2,745,000 | WRKCo, Inc., 3.000%, 6/15/2033 | 2,822,728 | ||||||
|
| |||||||
| 31,959,507 | ||||||||
|
| |||||||
| Pharmaceuticals — 0.4% |
| |||||||
| 980,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 1,027,334 | ||||||
| 15,105,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 14,198,700 | ||||||
| 6,270,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 5,298,150 | ||||||
| 4,335,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 4,295,422 | ||||||
| 3,140,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 3,078,173 | ||||||
|
| |||||||
| 27,897,779 | ||||||||
|
| |||||||
| Property & Casualty Insurance — 0.7% |
| |||||||
| 5,653,000 | American International Group, Inc., 4.200%, 4/01/2028 | 6,306,128 | ||||||
| 16,635,000 | Fidelity National Financial, Inc., 3.400%, 6/15/2030 | 17,561,482 | ||||||
| 2,740,000 | Fidelity National Financial, Inc., 5.500%, 9/01/2022 | 2,826,858 | ||||||
| 3,159,000 | Sirius International Group Ltd., 4.600%, 11/01/2026, 144A | 3,225,055 | ||||||
| 14,195,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 14,373,390 | ||||||
|
| |||||||
| 44,292,913 | ||||||||
|
| |||||||
| REITs – Apartments — 0.0% |
| |||||||
| 2,185,000 | American Homes 4 Rent, 2.375%, 7/15/2031 | 2,141,377 | ||||||
|
| |||||||
| REITs – Health Care — 0.1% |
| |||||||
| 5,972,000 | Welltower, Inc., 6.500%, 3/15/2041 | 8,643,155 | ||||||
|
| |||||||
| REITs – Office Property — 0.0% |
| |||||||
| 2,085,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 2,073,054 | ||||||
|
| |||||||
| REITs – Regional Malls — 0.1% |
| |||||||
| 6,815,000 | Simon Property Group LP, 2.650%, 7/15/2030 | 6,942,580 | ||||||
|
| |||||||
| REITs – Shopping Centers — 0.1% |
| |||||||
| 1,600,000 | Brixmor Operating Partnership LP, 2.250%, 4/01/2028 | 1,591,481 | ||||||
| 2,280,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 2,487,898 | ||||||
|
| |||||||
| 4,079,379 | ||||||||
|
| |||||||
| Restaurants — 0.1% |
| |||||||
| $ | 2,375,000 | Yum! Brands, Inc., 4.750%, 1/15/2030, 144A | $ | 2,570,937 | ||||
| 1,890,000 | Yum! Brands, Inc., 7.750%, 4/01/2025, 144A | 1,991,588 | ||||||
|
| |||||||
| 4,562,525 | ||||||||
|
| |||||||
| Retailers — 1.4% |
| |||||||
| 21,520,000 | 7-Eleven, Inc., 0.800%, 2/10/2024, 144A | 21,274,263 | ||||||
| 1,960,000 | AutoNation, Inc., 4.750%, 6/01/2030 | 2,238,892 | ||||||
| 9,720,000 | AutoZone, Inc., 3.625%, 4/15/2025 | 10,365,043 | ||||||
| 14,585,000 | AutoZone, Inc., 4.000%, 4/15/2030 | 16,318,336 | ||||||
| 348,888 | CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A | 408,499 | ||||||
| 352,119 | CVS Pass-Through Trust, 6.036%, 12/10/2028 | 398,469 | ||||||
| 10,621,511 | CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A | 12,011,442 | ||||||
| 1,114,322 | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A | 1,225,464 | ||||||
| 5,620,000 | Dollar General Corp., 3.500%, 4/03/2030 | 6,073,210 | ||||||
| 4,665,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 4,786,010 | ||||||
| 8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 9,476,813 | ||||||
| 3,755,000 | PVH Corp., 7.750%, 11/15/2023 | 4,154,307 | ||||||
| 3,145,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 3,163,479 | ||||||
|
| |||||||
| 91,894,227 | ||||||||
|
| |||||||
| Sovereigns — 0.8% |
| |||||||
| 30,040,000 | Mexico Government International Bond, 3.771%, 5/24/2061 | 27,670,145 | ||||||
| 23,545,000 | Mexico Government International Bond, 4.280%, 8/14/2041 | 24,398,506 | ||||||
|
| |||||||
| 52,068,651 | ||||||||
|
| |||||||
| Supermarkets — 0.0% |
| |||||||
| 325,000 | Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040 | 441,012 | ||||||
|
| |||||||
| Technology — 4.9% |
| |||||||
| 27,985,000 | Avnet, Inc., 4.625%, 4/15/2026 | 30,673,369 | ||||||
| 9,915,000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A | 9,897,730 | ||||||
| 17,895,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 20,109,972 | ||||||
| 22,935,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 23,861,230 | ||||||
| 1,620,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 1,514,700 | ||||||
| 3,095,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 3,075,842 | ||||||
| 3,900,000 | CommScope, Inc., 6.000%, 3/01/2026, 144A | 4,017,000 | ||||||
| 3,950,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 3,880,875 | ||||||
| 10,115,000 | Equinix, Inc., 2.150%, 7/15/2030 | 9,832,706 | ||||||
| 17,195,000 | Equinix, Inc., 3.200%, 11/18/2029 | 18,073,456 | ||||||
| 4,402,000 | IHS Markit Ltd., 4.250%, 5/01/2029 | 5,007,275 | ||||||
| 5,320,000 | Jabil, Inc., 1.700%, 4/15/2026 | 5,305,458 | ||||||
| 4,610,000 | Jabil, Inc., 3.000%, 1/15/2031 | 4,735,516 | ||||||
| 7,440,000 | Jabil, Inc., 4.700%, 9/15/2022 | 7,636,665 | ||||||
| 16,735,000 | KLA Corp., 5.650%, 11/01/2034 | 21,487,865 | ||||||
| 7,480,000 | Marvell Technology, Inc., 2.450%, 4/15/2028 | 7,586,324 | ||||||
| 6,390,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 6,511,014 | ||||||
| 11,425,000 | Microchip Technology, Inc., 0.983%, 9/01/2024, 144A | 11,215,093 | ||||||
| 25,479,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 29,364,038 | ||||||
| 10,622,000 | Micron Technology, Inc., 5.327%, 2/06/2029 | 12,581,228 | ||||||
| 3,980,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A | 4,185,463 | ||||||
| 2,225,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A | 2,371,206 | ||||||
| 1,055,000 | Open Text Corp., 3.875%, 2/15/2028, 144A | 1,075,351 | ||||||
| 1,015,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A | 1,045,450 | ||||||
| 25,480,000 | Oracle Corp., 3.600%, 4/01/2050 | 24,948,460 | ||||||
| 1,770,000 | Skyworks Solutions, Inc., 1.800%, 6/01/2026 | 1,751,739 | ||||||
| 970,000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A | 1,013,650 | ||||||
See accompanying notes to financial statements.
| 44
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| Technology — continued |
| |||||||
| $ | 13,665,000 | TD SYNNEX Corp., 1.750%, 8/09/2026, 144A | $ | 13,317,124 | ||||
| 15,815,000 | TSMC Arizona Corp., 2.500%, 10/25/2031 | 16,016,198 | ||||||
| 9,135,000 | Verisk Analytics, Inc., 4.125%, 3/15/2029 | 10,185,164 | ||||||
| 1,395,000 | Western Digital Corp., 2.850%, 2/01/2029 | 1,408,434 | ||||||
| 955,000 | Western Digital Corp., 3.100%, 2/01/2032 | 961,971 | ||||||
|
| |||||||
| 314,647,566 | ||||||||
|
| |||||||
| Transportation Services — 0.2% |
| |||||||
| 9,670,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 10,033,747 | ||||||
|
| |||||||
| Treasuries — 14.0% |
| |||||||
| 206,825,000 | U.S. Treasury Note, 0.125%, 4/30/2022(c) | 206,830,328 | ||||||
| 173,275,000 | U.S. Treasury Note, 0.125%, 6/30/2022(c) | 173,207,315 | ||||||
| 119,815,000 | U.S. Treasury Note, 0.125%, 12/31/2022(c)(f) | 119,445,235 | ||||||
| 79,165,000 | U.S. Treasury Note, 0.125%, 4/30/2023 | 78,741,344 | ||||||
| 200,000,000 | U.S. Treasury Note, 0.125%, 8/31/2023(c) | 198,242,188 | ||||||
| 123,030,000 | U.S. Treasury Note, 0.375%, 3/31/2022(c) | 123,113,467 | ||||||
|
| |||||||
| 899,579,877 | ||||||||
|
| |||||||
| Wireless — 2.1% |
| |||||||
| 21,805,000 | American Tower Corp., 2.100%, 6/15/2030 | 20,994,696 | ||||||
| 6,830,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A | 6,905,795 | ||||||
| 2,295,000 | Crown Castle International Corp., 2.250%, 1/15/2031 | 2,235,903 | ||||||
| 3,725,000 | Crown Castle International Corp., 3.300%, 7/01/2030 | 3,929,152 | ||||||
| 22,660,000 | Crown Castle International Corp., 3.650%, 9/01/2027 | 24,342,880 | ||||||
| 6,615,000 | Crown Castle International Corp., 4.000%, 3/01/2027 | 7,189,354 | ||||||
| 610,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 771,650 | ||||||
| 1,960,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029, 144A | 1,978,972 | ||||||
| 3,515,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032, 144A | 3,536,659 | ||||||
| 15,320,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 15,610,161 | ||||||
| 7,565,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 7,870,475 | ||||||
| 36,385,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 39,796,220 | ||||||
|
| |||||||
| 135,161,917 | ||||||||
|
| |||||||
| Wirelines — 0.1% |
| |||||||
| 857,000 | Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A | 874,140 | ||||||
| 4,750,000 | Verizon Communications, Inc., 2.850%, 9/03/2041 | 4,686,018 | ||||||
| 5,560,158 | ||||||||
|
| |||||||
| Total Non-Convertible Bonds (Identified Cost $5,733,248,273) | 5,986,462,762 | |||||||
|
| |||||||
| Convertible Bonds — 1.4% | ||||||||
| Airlines — 0.1% |
| |||||||
| 5,165,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 6,884,945 | ||||||
|
| |||||||
| Cable Satellite — 0.3% |
| |||||||
| 9,050,000 | DISH Network Corp., 2.375%, 3/15/2024 | 8,665,375 | ||||||
| 13,110,000 | DISH Network Corp., 3.375%, 8/15/2026 | 12,409,310 | ||||||
|
| |||||||
| 21,074,685 | ||||||||
|
| |||||||
| Consumer Cyclical Services — 0.2% |
| |||||||
| 160,000 | Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(g) | 184,080 | ||||||
| 6,370,000 | Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(h) | 5,398,575 | ||||||
| 5,355,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(h) | 5,295,934 | ||||||
|
| |||||||
| 10,878,589 | ||||||||
|
| |||||||
| Healthcare — 0.2% |
| |||||||
| $ | 12,725,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | $ | 11,587,703 | ||||
|
| |||||||
| Media Entertainment — 0.1% |
| |||||||
| 4,520,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(g) | 4,048,112 | ||||||
|
| |||||||
| Pharmaceuticals — 0.3% |
| |||||||
| 5,120,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 5,353,472 | ||||||
| 13,985,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 14,587,754 | ||||||
| 2,935,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 3,365,799 | ||||||
|
| |||||||
| 23,307,025 | ||||||||
|
| |||||||
| Technology — 0.2% |
| |||||||
| 5,555,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 10,523,392 | ||||||
|
| |||||||
| Total Convertible Bonds (Identified Cost $89,292,127) | 88,304,451 | |||||||
|
| |||||||
| Municipals — 0.1% | ||||||||
| Virginia — 0.1% |
| |||||||
| 7,335,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $7,077,355) | 7,705,767 | ||||||
|
| |||||||
| Total Bonds and Notes (Identified Cost $5,829,617,755) | 6,082,472,980 | |||||||
|
| |||||||
| Senior Loans — 0.1% | ||||||||
| Airlines — 0.1% |
| |||||||
| 6,714,528 | United Airlines, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 4/21/2028 (e)(i) (Identified Cost $6,684,141) | 6,723,660 | ||||||
|
| |||||||
| Collateralized Loan Obligations — 2.2% | ||||||||
| 1,585,000 | 522 Funding CLO Ltd., Series 2021-7A, Class D, 3-month LIBOR + 2.900%, 3.024%, 4/23/2034, 144A(e) | 1,573,518 | ||||||
| 14,785,000 | Alinea CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.650%, 1.782%, 7/20/2031, 144A(e) | 14,784,941 | ||||||
| 4,650,000 | Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 1.794%, 7/15/2031, 144A(e) | 4,643,377 | ||||||
| 3,520,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 3.116%, 10/15/2034, 144A(e) | 3,526,697 | ||||||
| 4,075,000 | Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 1.624%, 10/15/2030, 144A(e) | 4,056,636 | ||||||
| 1,651,667 | Atrium XV, Series 15A, Class D, 3-month LIBOR + 3.000%, 3.124%, 1/23/2031, 144A(e) | 1,637,173 | ||||||
| 2,525,000 | Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.700%, 1.824%, 7/15/2031, 144A(e) | 2,524,990 | ||||||
| 6,500,000 | CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR + 1.800%, 1.922%, 10/17/2031, 144A(e) | 6,500,297 | ||||||
| 3,335,000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 1.524%, 1/15/2031, 144A(e) | 3,321,915 | ||||||
| 1,250,000 | Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3-month LIBOR + 1.650%, 1.774%, 10/25/2031, 144A(e) | 1,250,214 | ||||||
| 4,465,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3-month LIBOR + 1.700%, 1.860%, 11/22/2031, 144A(e) | 4,466,838 | ||||||
| 5,405,000 | Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 1.682%, 4/20/2030, 144A(e) | 5,392,412 | ||||||
See accompanying notes to financial statements.
45 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| Principal Amount | Description | Value (†) | ||||||
| $ | 2,291,214 | Halcyon Loan Advisors Funding Ltd., Series 2014-3A, Class B1R, 3-month LIBOR + 1.700%, 1.828%, 10/22/2025, 144A(e) | $ | 2,291,230 | ||||
| 13,735,000 | Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 1.612%, 4/20/2031, 144A(e) | 13,687,791 | ||||||
| 3,545,000 | Invesco CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.050% 3.174%, 4/15/2034, 144A(e) | 3,544,962 | ||||||
| 13,180,000 | Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 1.828%, 10/22/2030, 144A(e) | 13,147,082 | ||||||
| 2,105,000 | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 3.024%, 4/15/2034, 144A(e) | 2,088,823 | ||||||
| 545,455 | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3-month LIBOR + 1.700%, 1.830%, 10/21/2030, 144A(e) | 545,469 | ||||||
| 1,750,000 | OCP CLO Ltd., Series 2015-9A, Class BR, 3-month LIBOR + 1.750%, 1.874%, 7/15/2027, 144A(e) | 1,748,209 | ||||||
| 14,755,000 | OCP CLO Ltd., Series 2020-8RA, Class A2, 3-month LIBOR + 1.550%, 1.672%, 1/17/2032, 144A(e) | 14,716,324 | ||||||
| 2,000,000 | Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.600%, 1.724%, 7/15/2030, 144A(e) | 1,991,283 | ||||||
| 1,986,282 | Octagon Investment Partners 28 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.800%, 1.924%, 10/24/2030, 144A(e) | 1,986,462 | ||||||
| 4,155,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 3.424%, 7/15/2036, 144A(e) | 4,176,688 | ||||||
| 7,170,000 | Octagon Investment Partners Ltd., Series 2018-18A, Class A2, 3-month LIBOR + 1.470%, 1.592%, 4/16/2031, 144A(e) | 7,127,992 | ||||||
| 1,730,000 | Recette CLO Ltd., Series 2015-1A, Class BRR, 3-month LIBOR + 1.400%, 1.532%, 4/20/2034, 144A(e) | 1,699,624 | ||||||
| 1,015,000 | Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 1.974%, 10/25/2031, 144A(e) | 1,015,307 | ||||||
| 6,680,000 | Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3-month LIBOR + 3.250%, 3.382%, 4/20/2034, 144A(e) | 6,675,772 | ||||||
| 1,830,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 3.893%, 10/20/2034, 144A(e) | 1,844,964 | ||||||
| 3,335,000 | Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 1.822%, 10/18/2031, 144A(e) | 3,326,688 | ||||||
| 1,610,000 | Voya CLO Ltd., Series 2016-3A, Class A3R, 3-month LIBOR + 1.750%, 1.872%, 10/18/2031, 144A(e) | 1,609,994 | ||||||
| 6,235,000 | Voya CLO Ltd., Series 2018-3A, Class B, 3-month LIBOR + 1.650%, 1.774%, 10/15/2031, 144A(e) | 6,206,740 | ||||||
|
| |||||||
| Total Collateralized Loan Obligations (Identified Cost $140,457,172) | 143,110,412 | |||||||
|
| |||||||
| Preferred Stocks — 1.3% | ||||||||
Convertible Preferred Stocks — 1.3% | ||||||||
| Banking — 0.8% |
| |||||||
| 17,832 | Bank of America Corp., Series L, 7.250% | $ | 25,774,373 | |||||
| 18,269 | Wells Fargo & Co., Class A, Series L, 7.500% | 27,230,493 | ||||||
|
| |||||||
| 53,004,866 | ||||||||
|
| |||||||
| Food & Beverage — 0.1% |
| |||||||
| 27,335 | Bunge Ltd., 4.875% | 3,459,244 | ||||||
|
| |||||||
| Wireless — 0.4% |
| |||||||
| 27,066 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(a)(b) | 28,221,989 | ||||||
|
| |||||||
| Total Convertible Preferred Stocks (Identified Cost $84,956,769) | 84,686,099 | |||||||
|
| |||||||
| Total Preferred Stocks (Identified Cost $84,956,769) | 84,686,099 | |||||||
|
| |||||||
| Principal Amount | ||||||||
| Short-Term Investments — 0.6% | ||||||||
| $ | 37,462,112 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $37,462,112 on 1/03/2022 collateralized by $31,639,600 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2030 valued at $38,211,412 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $37,462,112) | 37,462,112 | |||||
|
| |||||||
| Total Investments — 99.2% (Identified Cost $6,099,177,949) | 6,354,455,263 | |||||||
| Other assets less liabilities — 0.8% | 51,739,431 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 6,406,194,694 | ||||||
|
| |||||||
| (†) | See Note 2 of Notes to Financial Statements. |
| ||||||
| (a) | Illiquid security. (Unaudited) |
| ||||||
| (b) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2021, the value of these securities amounted to $97,508,153 or 1.5% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
| (c) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
| ||||||
| (d) | 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 December 31, 2021 is disclosed. |
| ||||||
| (e) | Variable rate security. Rate as of December 31, 2021 is disclosed. |
| ||||||
| (f) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| ||||||
| (g) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
| ||||||
| (h) | 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. |
| ||||||
| (i) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added. See Note 9 of Notes to Financial Statements. | |||||||
See accompanying notes to financial statements.
| 46
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Investment Grade Bond Fund – (continued)
| 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 December 31, 2021, the value of Rule 144A holdings amounted to $2,374,994,952 or 37.1% of net assets. |
| ||||||
| ABS | Asset-Backed Securities |
| ||||||
| 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 December 31, 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 | 3/22/2022 | 4,102 | $ | 593,424,362 | $ | 600,686,625 | $ | (7,262,263 | ) | |||||||||||
|
| |||||||||||||||||||
Industry Summary at December 31, 2021
Treasuries | 14.0 | % | ||
Banking | 10.5 | |||
ABS Car Loan | 7.2 | |||
ABS Home Equity | 5.2 | |||
Technology | 5.1 | |||
Finance Companies | 4.2 | |||
Life Insurance | 3.3 | |||
ABS Other | 3.1 | |||
Cable Satellite | 2.7 | |||
Metals & Mining | 2.7 | |||
Wireless | 2.5 | |||
Midstream | 2.5 | |||
Independent Energy | 2.4 | |||
Aerospace & Defense | 2.4 | |||
Automotive | 2.4 | |||
Electric | 2.1 | |||
Food & Beverage | 2.0 | |||
Other Investments, less than 2% each | 22.1 | |||
Collateralized Loan Obligations | 2.2 | |||
Short-Term Investments | 0.6 | |||
|
| |||
Total Investments | 99.2 | |||
Other assets less liabilities (including futures contracts) | 0.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
47 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund
| Principal Amount (‡) | Description | Value (†) | ||||||
| Bonds and Notes — 78.5% of Net Assets | ||||||||
| Non-Convertible Bonds — 74.7% | ||||||||
| ABS Car Loan — 4.5% |
| |||||||
| $ | 2,590,000 | American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A(a) | $ | 2,614,271 | ||||
| 2,660,000 | American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A | 2,672,626 | ||||||
| 1,210,000 | Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A(a) | 1,231,284 | ||||||
| 1,035,000 | Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A(a) | 1,058,658 | ||||||
| 330,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A | 344,409 | ||||||
| 1,165,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C, 4.240%, 9/22/2025, 144A | 1,223,025 | ||||||
| 1,565,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A(a) | 1,597,433 | ||||||
| 2,360,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class C, 3.020%, 8/20/2026, 144A | 2,408,065 | ||||||
| 1,200,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A(a) | 1,246,231 | ||||||
| 1,800,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A | 1,913,194 | ||||||
| 1,785,000 | California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025(a) | 1,818,064 | ||||||
| 135,000 | CarMax Auto Owner Trust, Series 2018-1, Class D, 3.370%, 7/15/2024 | 135,681 | ||||||
| 1,125,000 | CarMax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025(a) | 1,155,001 | ||||||
| 2,350,000 | CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025(a) | 2,419,462 | ||||||
| 610,000 | Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.300%, 9/11/2028 | 609,719 | ||||||
| 4,745,000 | Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A(a) | 4,815,512 | ||||||
| 1,180,000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A(a) | 1,190,371 | ||||||
| 1,330,000 | Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026(a) | 1,359,336 | ||||||
| 1,655,000 | DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A(a) | 1,691,471 | ||||||
| 1,110,000 | DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A(a) | 1,106,946 | ||||||
| 1,265,000 | Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A(a) | 1,326,041 | ||||||
| 800,000 | Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025(a) | 803,548 | ||||||
| 635,000 | First Investors Auto Owner Trust, Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A(a) | 644,829 | ||||||
| 1,475,000 | First Investors Auto Owner Trust, Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A(a) | 1,512,425 | ||||||
| 3,305,000 | Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A(a) | 3,396,288 | ||||||
| 3,120,000 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027, 144A | 3,120,483 | ||||||
| ABS Car Loan — continued |
| |||||||
| 5,030,000 | GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A(a) | 5,136,354 | ||||||
| 4,540,000 | GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A(a) | 4,575,394 | ||||||
| 910,000 | Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A | 924,422 | ||||||
| 985,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A | 1,005,534 | ||||||
| 4,140,000 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025(a) | 4,221,047 | ||||||
| 3,210,000 | Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028(a) | 3,411,825 | ||||||
| 1,140,000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026(a) | 1,156,406 | ||||||
| 1,675,000 | Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A | 1,678,987 | ||||||
|
| |||||||
| 65,524,342 | ||||||||
|
| |||||||
| ABS Credit Card — 0.7% | ||||||||
| 775,000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A | 777,660 | ||||||
| 2,845,000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A(a) | 2,842,357 | ||||||
| 6,995,000 | World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026(a) | 7,089,375 | ||||||
|
| |||||||
| 10,709,392 | ||||||||
|
| |||||||
| ABS Home Equity — 5.7% | ||||||||
| 156,847 | Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034 | 160,962 | ||||||
| 173,730 | Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034 | 178,122 | ||||||
| 253,900 | Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025 | 255,747 | ||||||
| 300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A | 315,626 | ||||||
| 2,170,000 | American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a) | 2,330,432 | ||||||
| 1,200,000 | American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A | 1,298,139 | ||||||
| 3,138,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A | 3,363,668 | ||||||
| 291,286 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 300,529 | ||||||
| 343,578 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 | 368,532 | ||||||
| 167,809 | Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034 | 168,613 | ||||||
| 2,590,258 | CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(b) | 2,583,761 | ||||||
| 3,361,043 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(b) | 3,363,041 | ||||||
| 640,082 | Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 2.153%, 1/25/2040, 144A(c) | 642,528 | ||||||
| 1,830,000 | CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A(a) | 1,918,095 | ||||||
| 245,000 | CoreVest American Finance Trust, Series 2020-2, Class C, 4.712%, 5/15/2052, 144A(b) | 272,589 | ||||||
| 1,340,000 | CoreVest American Finance Trust, Series 2020-4, Class C, 2.250%, 12/15/2052, 144A | 1,295,775 | ||||||
See accompanying notes to financial statements.
| 48
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| ABS Home Equity — continued | ||||||||
| $ | 320,265 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033 | $ | 331,393 | ||||
| 521,533 | Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034 | 539,771 | ||||||
| 38,484 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.604%, 9/20/2034(b) | 38,815 | ||||||
| 2,173,846 | Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 2.973%, 12/26/2059, 144A(b) | 2,169,176 | ||||||
| 1,496,348 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(b) | 1,501,203 | ||||||
| 2,308,095 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(b) | 2,292,433 | ||||||
| 124,812 | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033 | 132,461 | ||||||
| 386,165 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 0.764%, 9/19/2045(c) | 287,811 | ||||||
| 1,054,051 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 2.303%, 1/25/2030(c) | 1,072,056 | ||||||
| 1,715,000 | FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A | 1,709,569 | ||||||
| 4,165,000 | FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A | 4,146,404 | ||||||
| 103,115 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 1.903%, 7/25/2030(c) | 103,686 | ||||||
| 295,184 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(b) | 299,429 | ||||||
| 260,535 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A | 254,227 | ||||||
| 427,721 | IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 1.322%, 9/25/2034(c) | 409,298 | ||||||
| 1,902,952 | IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.420%, 0.522%, 2/25/2046(c) | 1,518,873 | ||||||
| 791,875 | JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034 | 830,503 | ||||||
| 162,341 | Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.750%, 1/25/2059, 144A(b) | 162,501 | ||||||
| 1,776,375 | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(b) | 1,782,363 | ||||||
| 2,008,101 | Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.438%, 5/25/2059, 144A(b) | 2,009,175 | ||||||
| 1,648,451 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(b) | 1,653,408 | ||||||
| 1,120,104 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(b) | 1,132,386 | ||||||
| 322,605 | Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.520%, 0.622%, 2/25/2046(c) | 298,055 | ||||||
| 181,107 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.750%, 5/25/2034(b) | 184,404 | ||||||
| 200,468 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033 | 207,090 | ||||||
| 183,072 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034 | 190,154 | ||||||
| 204,721 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034 | 211,402 | ||||||
| ABS Home Equity — continued | ||||||||
| 557,839 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 | 576,847 | ||||||
| 31,245 | Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 2.022%, 5/25/2036(b) | 31,863 | ||||||
| 245,000 | Mill City Mortgage Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060, 144A(b) | 250,167 | ||||||
| 294,783 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035 | 248,765 | ||||||
| 565,726 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 | 594,124 | ||||||
| 2,803,000 | Progress Residential Trust, Series 2019-SFR1, Class E, 4.466%, 8/17/2035, 144A | 2,810,418 | ||||||
| 1,005,000 | Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A | 1,001,456 | ||||||
| 785,000 | Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A | 768,120 | ||||||
| 795,000 | Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038, 144A | 785,221 | ||||||
| 570,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A | 560,887 | ||||||
| 470,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A | 461,568 | ||||||
| 930,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A | 902,407 | ||||||
| 400,000 | Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A | 386,855 | ||||||
| 585,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A | 573,963 | ||||||
| 415,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A | 401,829 | ||||||
| 1,323,241 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(b) | 1,311,036 | ||||||
| 2,740,492 | PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(b) | 2,723,813 | ||||||
| 3,538,648 | PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(b) | 3,528,683 | ||||||
| 2,190,303 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(b) | 2,177,827 | ||||||
| 2,031,780 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 0.412%, 7/25/2035(c) | 1,453,363 | ||||||
| 655,000 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(b) | 672,185 | ||||||
| 4,729,798 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a)(b) | 4,820,796 | ||||||
| 1,040,000 | Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A | 1,049,435 | ||||||
| 1,170,000 | Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A | 1,130,761 | ||||||
| 808,877 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b) | 807,584 | ||||||
| 1,249,841 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b) | 1,233,272 | ||||||
| 1,238,858 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b) | 1,230,805 | ||||||
| 3,372,793 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(b) | 3,345,895 | ||||||
| 1,617,162 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b) | 1,608,514 | ||||||
| 2,158,084 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b) | 2,147,960 | ||||||
|
| |||||||
| 83,880,624 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
49 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| ABS Other — 3.9% | ||||||||
| $ | 567,979 | Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A | $ | 578,981 | ||||
| 995,000 | Affirm Asset Securitization Trust, Series 2021-A, Class C, 1.660%, 8/15/2025, 144A | 997,204 | ||||||
| 2,218,114 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)(d)(e) | 766,207 | ||||||
| 2,097,716 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A(a) | 2,039,830 | ||||||
| 859,677 | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(b) | 844,086 | ||||||
| 527,195 | Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A | 522,502 | ||||||
| 5,400,429 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A(a) | 5,273,147 | ||||||
| 890,000 | DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A | 886,020 | ||||||
| 185,122 | Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A | 186,024 | ||||||
| 689,427 | Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A | 701,430 | ||||||
| 881,941 | Diamond Resorts Owner Trust, Series 2019-1, Class B, 3.530%, 2/20/2032, 144A(a) | 895,276 | ||||||
| 305,000 | Freedom Financial Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A | 305,299 | ||||||
| 332,110 | Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A | 340,056 | ||||||
| 975,000 | HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A(a) | 987,194 | ||||||
| 5,900,000 | HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A(a) | 6,033,739 | ||||||
| 700,000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A(a) | 690,608 | ||||||
| 2,047,720 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A | 2,000,760 | ||||||
| 1,044,634 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A | 1,023,013 | ||||||
| 1,369,825 | MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A | 1,221,601 | ||||||
| 310,000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A | 305,277 | ||||||
| 304,867 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A | 311,356 | ||||||
| 287,367 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A | 289,410 | ||||||
| 730,000 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, 2.780%, 1/15/2069, 144A(a) | 738,185 | ||||||
| 2,747,022 | OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a) | 2,750,659 | ||||||
| 3,230,000 | OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A | 3,234,621 | ||||||
| 1,110,000 | OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A(a) | 1,135,225 | ||||||
| 1,020,000 | OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A(a) | 1,034,483 | ||||||
| 810,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A | 802,030 | ||||||
| 3,704,780 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A | 3,606,423 | ||||||
| 1,257,363 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A | 1,278,153 | ||||||
| ABS Other — continued | ||||||||
| 1,046,304 | SLAM Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046, 144A | 1,042,990 | ||||||
| 140,612 | SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A | 141,431 | ||||||
| 72,403 | SoFi Consumer Loan Program Trust, Series 2018-2, Class B, 3.790%, 4/26/2027, 144A | 72,554 | ||||||
| 487,693 | SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A(a) | 492,437 | ||||||
| 2,640,750 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A(a) | 2,652,227 | ||||||
| 485,068 | Sprite Ltd., Series 2017-1, Class A, 4.250%, 12/15/2037, 144A | 479,557 | ||||||
| 1,021,957 | Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A | 908,508 | ||||||
| 379,566 | Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A | 380,464 | ||||||
| 2,622,667 | Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A(a) | 2,549,665 | ||||||
| 4,017,745 | TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A(a) | 3,891,375 | ||||||
| 1,952,777 | Wave Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A | 1,899,050 | ||||||
| 585,906 | Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(b) | 579,017 | ||||||
| 770,089 | Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A | 748,698 | ||||||
|
| |||||||
| 57,616,772 | ||||||||
|
| |||||||
| ABS Student Loan — 1.2% | ||||||||
| 327,292 | Commonbond Student Loan Trust, Series 2021-AGS, Class B, 1.400%, 3/25/2052, 144A | 319,996 | ||||||
| 1,572,281 | Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A(a) | 1,589,633 | ||||||
| 1,035,000 | Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A(a) | 1,051,415 | ||||||
| 1,775,000 | Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.220%, 6/16/2042, 144A(a) | 1,833,629 | ||||||
| 3,410,000 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A(a) | 3,472,719 | ||||||
| 695,000 | Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A(a) | 711,309 | ||||||
| 320,000 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069, 144A | 329,965 | ||||||
| 1,290,000 | Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A(a) | 1,300,001 | ||||||
| 810,000 | Nelnet Student Loan Trust, Series 2021-DA, Class B, 2.900%, 4/20/2062, 144A(a) | 812,158 | ||||||
| 486,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 3.604%, 6/15/2032(c) | 485,592 | ||||||
| 1,417,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 3.609%, 3/15/2033(a)(c) | 1,416,223 | ||||||
| 152,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 3.609%, 3/15/2033(c) | 151,917 | ||||||
| 800,000 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A(a) | 822,033 | ||||||
See accompanying notes to financial statements.
| 50
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| ABS Student Loan — continued | ||||||||
| $ | 697,251 | SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 0.860%, 10/15/2035, 144A(a)(c) | $ | 699,283 | ||||
| 190,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A | 203,727 | ||||||
| 510,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A(a) | 534,212 | ||||||
| 372,451 | SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A | 373,938 | ||||||
| 125,000 | SoFi Professional Loan Program LLC, Series 2016-C, Class B, 3.350%, 5/25/2037, 144A(b) | 125,919 | ||||||
| 1,350,000 | SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A(a) | 1,377,817 | ||||||
|
| |||||||
| 17,611,486 | ||||||||
|
| |||||||
| ABS Whole Business — 2.0% | ||||||||
| 4,003,160 | Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A(a) | 4,127,895 | ||||||
| 972,688 | Arbys Funding LLC, Series 2020-1A, Class A2, 3.237%, 7/30/2050, 144A | 992,137 | ||||||
| 2,262,913 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A | 2,421,941 | ||||||
| 2,920,225 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A(a) | 3,055,910 | ||||||
| 98,250 | Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A | 103,409 | ||||||
| 3,492,450 | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A(a) | 3,507,150 | ||||||
| 1,336,118 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A | 1,336,620 | ||||||
| 3,013,500 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A | 3,097,284 | ||||||
| 2,536,050 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A(a) | 2,627,553 | ||||||
| 4,027,200 | Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A | 4,181,007 | ||||||
| 993,600 | Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A | 1,061,578 | ||||||
| 1,447,725 | Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A | 1,414,291 | ||||||
| 895,500 | Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841%, 12/05/2050, 144A | 894,116 | ||||||
|
| |||||||
| 28,820,891 | ||||||||
|
| |||||||
| Aerospace & Defense — 1.8% | ||||||||
| 6,430,000 | Boeing Co. (The), 2.196%, 2/04/2026 | 6,428,468 | ||||||
| 1,635,000 | Boeing Co. (The), 2.250%, 6/15/2026 | 1,637,344 | ||||||
| 700,000 | Boeing Co. (The), 2.950%, 2/01/2030 | 713,177 | ||||||
| 70,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 72,938 | ||||||
| 1,065,000 | Boeing Co. (The), 3.375%, 6/15/2046 | 1,026,415 | ||||||
| 90,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 89,125 | ||||||
| 2,135,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 2,212,308 | ||||||
| 375,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 376,605 | ||||||
| 325,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 337,313 | ||||||
| 1,420,000 | Boeing Co. (The), 3.900%, 5/01/2049 | 1,488,772 | ||||||
| 135,000 | Boeing Co. (The), 3.950%, 8/01/2059 | 140,226 | ||||||
| 1,870,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 2,178,739 | ||||||
| 2,480,000 | Boeing Co. (The), 5.805%, 5/01/2050 | 3,358,232 | ||||||
| 2,550,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 2,962,845 | ||||||
| 305,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 305,763 | ||||||
| 2,580,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | 2,705,775 | ||||||
|
| |||||||
| 26,034,045 | ||||||||
|
| |||||||
| Airlines — 0.6% | ||||||||
| 640,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 665,520 | ||||||
| 735,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 785,509 | ||||||
| 5,807,325 | United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029 | 5,677,764 | ||||||
| 646,560 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 673,140 | ||||||
| 585,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 610,000 | ||||||
| 880,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A | 907,500 | ||||||
|
| |||||||
| 9,319,433 | ||||||||
|
| |||||||
| Automotive — 1.4% | ||||||||
| 1,775,000 | Allison Transmission, Inc., 3.750%, 1/30/2031, 144A | 1,730,625 | ||||||
| 6,620,000 | Ford Motor Co., 3.250%, 2/12/2032 | 6,778,880 | ||||||
| 1,010,000 | Ford Motor Credit Co. LLC, 3.625%, 6/17/2031 | 1,063,212 | ||||||
| 330,000 | General Motors Co., 5.200%, 4/01/2045 | 408,293 | ||||||
| 2,530,000 | General Motors Co., 5.400%, 4/01/2048 | 3,227,696 | ||||||
| 2,905,000 | General Motors Co., 5.950%, 4/01/2049 | 3,976,304 | ||||||
| 1,365,000 | General Motors Financial Co., Inc., 1.200%, 10/15/2024 | 1,354,961 | ||||||
| 1,455,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(f) | 1,556,850 | ||||||
| 470,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(f) | 535,800 | ||||||
|
| |||||||
| 20,632,621 | ||||||||
|
| |||||||
| Banking — 6.2% | ||||||||
| 345,000 | Ally Financial, Inc., 3.875%, 5/21/2024 | 363,572 | ||||||
| 3,520,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(f) | 3,652,000 | ||||||
| 2,400,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(f) | 2,473,920 | ||||||
| 21,970,000 | Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS) | 96,187 | ||||||
| 7,290,000 | Bank of Nova Scotia (The), 0.650%, 7/31/2024(a) | 7,198,522 | ||||||
| 3,265,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(f) | 3,198,068 | ||||||
| 4,460,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a) | 4,567,637 | ||||||
| 685,000 | BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A | 679,178 | ||||||
| 1,330,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025(a) | 1,319,512 | ||||||
| 5,695,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 5,822,111 | ||||||
| 5,995,000 | Deutsche Bank AG, (fixed rate to 4/01/2024, variable rate thereafter), 1.447%, 4/01/2025(a) | 5,957,788 | ||||||
| 465,000 | Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032 | 468,551 | ||||||
| 1,265,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031(a) | 1,331,364 | ||||||
| 7,370,000 | JPMorgan Chase & Co., (fixed rate to 8/09/2024, variable rate thereafter), 0.768%, 8/09/2025(a) | 7,253,210 | ||||||
| 7,290,000 | KeyBank NA, (fixed rate to 6/14/2023, variable rate thereafter), 0.433%, 6/14/2024(a) | 7,237,527 | ||||||
| 7,615,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 10/11/2024, variable rate thereafter), 0.962%, 10/11/2025(a) | 7,509,073 | ||||||
See accompanying notes to financial statements.
51 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Banking — continued | ||||||||
| $ | 7,575,000 | Morgan Stanley, (fixed rate to 10/21/2024, variable rate thereafter), MTN, 1.164%, 10/21/2025(a) | $ | 7,508,795 | ||||
| 7,275,000 | Morgan Stanley, GMTN, (fixed rate to 1/22/2024, variable rate thereafter), 0.791%, 1/22/2025(a) | 7,201,297 | ||||||
| 6,615,000 | Royal Bank of Canada, 1.200%, 4/27/2026(a) | 6,497,709 | ||||||
| 4,030,000 | Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A | 4,151,078 | ||||||
| 3,550,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A(a) | 3,502,890 | ||||||
| 2,255,000 | UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A | 2,250,631 | ||||||
|
| |||||||
| 90,240,620 | ||||||||
|
| |||||||
| Brokerage — 0.1% | ||||||||
| 1,415,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 1,385,759 | ||||||
|
| |||||||
| Building Materials — 1.0% | ||||||||
| 7,070,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 7,044,053 | ||||||
| 3,360,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 3,607,800 | ||||||
| 1,725,000 | Cemex SAB de CV, 5.450%, 11/19/2029, 144A | 1,847,906 | ||||||
| 1,720,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(f) | 1,780,200 | ||||||
|
| |||||||
| 14,279,959 | ||||||||
|
| |||||||
| Cable Satellite — 3.5% | ||||||||
| 5,670,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 5,730,442 | ||||||
| 1,805,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 1,775,809 | ||||||
| 1,585,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A | 1,621,756 | ||||||
| 1,050,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032 | 1,080,187 | ||||||
| 310,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A | 334,532 | ||||||
| 14,425,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061(a) | 14,922,765 | ||||||
| 9,295,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 8,795,394 | ||||||
| 405,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 390,319 | ||||||
| 405,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A | 403,481 | ||||||
| 420,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A | 449,400 | ||||||
| 2,155,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,961,050 | ||||||
| 6,635,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 6,739,733 | ||||||
| 1,355,000 | Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A | 1,408,306 | ||||||
| 110,000 | Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A | 118,525 | ||||||
| 1,660,000 | Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A | 1,651,700 | ||||||
| 1,725,000 | Ziggo BV, 4.875%, 1/15/2030, 144A | 1,768,177 | ||||||
| 1,372,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 1,409,730 | ||||||
|
| |||||||
| 50,561,306 | ||||||||
|
| |||||||
| Chemicals — 0.8% | ||||||||
| 1,045,000 | Alpek SAB de CV, 3.250%, 2/25/2031, 144A | 1,042,388 | ||||||
| 2,230,000 | Ashland LLC, 3.375%, 9/01/2031, 144A | 2,213,275 | ||||||
| 2,115,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 2,249,302 | ||||||
| 1,335,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 1,538,587 | ||||||
| Chemicals — continued | ||||||||
| 210,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A | 210,767 | ||||||
| 2,865,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A | 2,819,275 | ||||||
| 730,000 | SPCM S.A., 3.125%, 3/15/2027, 144A | 721,371 | ||||||
| 645,000 | SPCM S.A., 3.375%, 3/15/2030, 144A | 620,813 | ||||||
|
| |||||||
| 11,415,778 | ||||||||
|
| |||||||
| Construction Machinery — 0.8% | ||||||||
| 3,670,000 | Caterpillar Financial Services Corp., MTN, 0.600%, 9/13/2024(a) | 3,619,903 | ||||||
| 2,730,000 | John Deere Capital Corp., MTN, 0.625%, 9/10/2024(a) | 2,699,298 | ||||||
| 5,460,000 | United Rentals North America, Inc., 4.000%, 7/15/2030 | 5,610,150 | ||||||
|
| |||||||
| 11,929,351 | ||||||||
|
| |||||||
| Consumer Cyclical Services — 2.0% | ||||||||
| 2,460,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 2,441,168 | ||||||
| 2,255,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A | 2,246,544 | ||||||
| 11,700,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 11,914,578 | ||||||
| 680,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 729,980 | ||||||
| 5,440,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 5,920,325 | ||||||
| 5,160,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 5,495,400 | ||||||
|
| |||||||
| 28,747,995 | ||||||||
|
| |||||||
| Consumer Products — 0.2% | ||||||||
| 930,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(a) | 919,036 | ||||||
| 1,605,000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A | 1,574,906 | ||||||
|
| |||||||
| 2,493,942 | ||||||||
|
| |||||||
| Electric — 1.3% | ||||||||
| 5,295,000 | Calpine Corp., 3.750%, 3/01/2031, 144A | 5,103,056 | ||||||
| 1,165,000 | Calpine Corp., 5.125%, 3/15/2028, 144A | 1,182,662 | ||||||
| 5,205,000 | Edison International, Series A, (fixed rate to 3/15/2026, variable rate thereafter), 5.375%(f) | 5,452,758 | ||||||
| 480,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | 514,265 | ||||||
| 1,075,000 | NRG Energy, Inc., 5.750%, 1/15/2028 | 1,136,393 | ||||||
| 1,785,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | 1,653,558 | ||||||
| 2,135,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 2,158,509 | ||||||
| 255,000 | Pacific Gas & Electric Co., 4.950%, 7/01/2050 | 277,709 | ||||||
| 605,000 | Southern California Edison Co., 3.650%, 2/01/2050 | 640,173 | ||||||
| 170,000 | Southern California Edison Co., 4.000%, 4/01/2047 | 187,444 | ||||||
| 215,000 | Southern California Edison Co., Series C, 4.125%, 3/01/2048 | 241,174 | ||||||
|
| |||||||
| 18,547,701 | ||||||||
|
| |||||||
| Finance Companies — 4.7% | ||||||||
| 1,915,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 1,942,070 | ||||||
| 2,410,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 2,455,240 | ||||||
| 905,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027 | 953,708 | ||||||
| 2,430,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028 | 2,576,649 | ||||||
See accompanying notes to financial statements.
| 52
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Finance Companies — continued | ||||||||
| $ | 1,140,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025 | $ | 1,302,723 | ||||
| 5,165,000 | Air Lease Corp., 3.125%, 12/01/2030 | 5,270,224 | ||||||
| 2,630,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(f) | 2,725,337 | ||||||
| 4,455,000 | Aircastle Ltd., 4.250%, 6/15/2026 | 4,771,933 | ||||||
| 855,000 | Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(f) | 872,100 | ||||||
| 2,625,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 2,613,351 | ||||||
| 3,845,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 3,780,335 | ||||||
| 1,900,000 | Barings BDC, Inc., 3.300%, 11/23/2026, 144A | 1,879,160 | ||||||
| 2,545,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 2,532,068 | ||||||
| 5,205,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 5,285,624 | ||||||
| 1,170,000 | General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(f) | 1,294,149 | ||||||
| 90,000 | Navient Corp., 5.875%, 10/25/2024 | 95,963 | ||||||
| 1,125,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 1,116,286 | ||||||
| 5,000 | OneMain Finance Corp., 6.875%, 3/15/2025 | 5,563 | ||||||
| 2,840,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 2,787,684 | ||||||
| 4,160,000 | Owl Rock Capital Corp., 3.400%, 7/15/2026 | 4,226,828 | ||||||
| 7,720,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 7,662,100 | ||||||
| 2,575,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 2,584,656 | ||||||
| 4,810,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 4,882,150 | ||||||
| 5,080,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 5,145,430 | ||||||
|
| |||||||
| 68,761,331 | ||||||||
|
| |||||||
| Financial Other — 1.8% | ||||||||
| 540,000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025 | 322,078 | ||||||
| 425,000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026 | 249,441 | ||||||
| 430,000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025 | 276,748 | ||||||
| 1,540,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 919,257 | ||||||
| 6,355,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027, 144A | 6,185,483 | ||||||
| 670,000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(g) | 181,831 | ||||||
| 1,350,000 | CFLD Cayman Investment Ltd., 6.920%, 6/16/2022(g) | 366,633 | ||||||
| 590,000 | CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(g) | 162,315 | ||||||
| 870,000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(g) | 236,623 | ||||||
| 785,000 | CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(g) | 206,063 | ||||||
| 710,000 | China Aoyuan Group Ltd., 6.350%, 2/08/2024(d)(e) | 137,903 | ||||||
| 645,000 | China Aoyuan Group Ltd., 7.950%, 2/19/2023(d)(e) | 125,278 | ||||||
| 630,000 | China Evergrande Group, 8.250%, 3/23/2022(g) | 117,218 | ||||||
| 1,020,000 | China Evergrande Group, 8.750%, 6/28/2025(g) | 152,898 | ||||||
| 270,000 | China Evergrande Group, 9.500%, 4/11/2022(g) | 42,458 | ||||||
| 220,000 | China Evergrande Group, 9.500%, 3/29/2024(g) | 33,216 | ||||||
| 1,110,000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026 | 1,032,755 | ||||||
| 580,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 565,500 | ||||||
| 2,595,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 2,692,312 | ||||||
| Financial Other — continued | ||||||||
| 2,525,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 2,596,786 | ||||||
| 485,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026 | 505,006 | ||||||
| 1,875,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(g) | 493,163 | ||||||
| 205,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(g) | 54,089 | ||||||
| 855,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(g) | 224,762 | ||||||
| 3,035,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(d)(e)(g) | 795,989 | ||||||
| 2,045,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d)(e)(g) | 535,217 | ||||||
| 2,125,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(g) | 557,281 | ||||||
| 645,000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026 | 457,950 | ||||||
| 845,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026 | 600,373 | ||||||
| 825,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031 | 470,168 | ||||||
| 725,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027 | 438,835 | ||||||
| 610,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024 | 391,138 | ||||||
| 410,000 | Sunac China Holdings Ltd., 6.500%, 1/10/2025 | 259,325 | ||||||
| 2,620,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026 | 1,657,124 | ||||||
| 885,000 | Sunac China Holdings Ltd., 7.000%, 7/09/2025 | 559,718 | ||||||
| 210,000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 141,832 | ||||||
| 1,085,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 739,905 | ||||||
| 4,400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d)(e) | 1,231,296 | ||||||
| 325,000 | Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026 | 90,899 | ||||||
|
| |||||||
| 26,806,866 | ||||||||
|
| |||||||
| Food & Beverage — 2.3% | ||||||||
| 3,805,000 | Becle SAB de CV, 2.500%, 10/14/2031, 144A(a) | 3,743,892 | ||||||
| 3,256,000 | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050(a) | 3,404,474 | ||||||
| 7,250,000 | Hormel Foods Corp., 0.650%, 6/03/2024(a) | 7,193,558 | ||||||
| 1,220,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A | 1,238,300 | ||||||
| 1,455,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 1,707,573 | ||||||
| 2,305,000 | Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 2,894,947 | ||||||
| 715,000 | Kraft Heinz Foods Co., 5.000%, 6/04/2042 | 890,082 | ||||||
| 680,000 | Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A | 736,100 | ||||||
| 8,035,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 7,673,505 | ||||||
| 3,280,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 3,326,018 | ||||||
| 160,000 | Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A | 168,000 | ||||||
|
| |||||||
| 32,976,449 | ||||||||
|
| |||||||
| Gaming — 0.8% | ||||||||
| 3,420,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 3,334,293 | ||||||
| 2,670,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 3.875%, 2/15/2029, 144A | 2,803,500 | ||||||
| 875,000 | Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A | 848,750 | ||||||
| 2,940,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 3,131,100 | ||||||
| 1,090,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 1,215,350 | ||||||
|
| |||||||
| 11,332,993 | ||||||||
|
| |||||||
See accompanying notes to financial statements.
53 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Government Owned – No Guarantee — 2.6% | ||||||||
| $ | 2,350,000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A | $ | 2,302,881 | ||||
| 845,000 | Antares Holdings LP, 3.950%, 7/15/2026, 144A | 868,899 | ||||||
| 1,950,000 | EcoPetrol S.A., 4.625%, 11/02/2031 | 1,895,790 | ||||||
| 586,000,000 | Export-Import Bank of Korea, 4.890%, 8/09/2023, 144A, (INR)(a) | 7,794,240 | ||||||
| 103,800,000 | Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(a) | 1,406,574 | ||||||
| 4,801,000,000 | Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP) | 1,180,059 | ||||||
| 2,545,000 | Indian Railway Finance Corp. Ltd., 2.800%, 2/10/2031, 144A | 2,476,514 | ||||||
| 10,185,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 9,897,019 | ||||||
| 5,290,000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 5,082,606 | ||||||
| 4,075,000 | Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(a) | 3,964,087 | ||||||
| 1,770,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 1,158,819 | ||||||
|
| |||||||
| 38,027,488 | ||||||||
|
| |||||||
| Health Insurance — 0.7% | ||||||||
| 4,830,000 | Centene Corp., 2.500%, 3/01/2031 | 4,702,077 | ||||||
| 2,120,000 | Centene Corp., 2.625%, 8/01/2031 | 2,077,600 | ||||||
| 1,145,000 | Centene Corp., 3.000%, 10/15/2030 | 1,163,904 | ||||||
| 300,000 | Centene Corp., 4.625%, 12/15/2029 | 323,538 | ||||||
| 1,280,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A | 1,288,000 | ||||||
|
| |||||||
| 9,555,119 | ||||||||
|
| |||||||
| Healthcare — 1.7% | ||||||||
| 2,860,000 | Avantor Funding, Inc., 3.875%, 11/01/2029, 144A | 2,891,203 | ||||||
| 765,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A | 754,596 | ||||||
| 475,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A | 479,750 | ||||||
| 505,000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A | 517,428 | ||||||
| 380,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 391,400 | ||||||
| 1,935,000 | HCA, Inc., 3.500%, 9/01/2030 | 2,045,053 | ||||||
| 7,600,000 | PerkinElmer, Inc., 0.850%, 9/15/2024 | 7,491,860 | ||||||
| 890,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A | 914,475 | ||||||
| 340,000 | Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A | 349,224 | ||||||
| 625,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | 660,131 | ||||||
| 255,000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A | 263,925 | ||||||
| 7,610,000 | Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024(a) | 7,601,555 | ||||||
|
| |||||||
| 24,360,600 | ||||||||
|
| |||||||
| Home Construction — 0.2% | ||||||||
| 485,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024 | 305,036 | ||||||
| 410,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024 | 254,200 | ||||||
| 1,000,000 | Central China Real Estate Ltd., 7.650%, 8/27/2023 | 658,240 | ||||||
| 425,000 | Central China Real Estate Ltd., 7.750%, 5/24/2024 | 264,562 | ||||||
| 200,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025 | 182,268 | ||||||
| 230,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026 | 208,138 | ||||||
| 415,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025 | 120,462 | ||||||
| Home Construction — continued | ||||||||
| 555,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(d)(e) | 153,852 | ||||||
| 1,360,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026 | 873,351 | ||||||
| 210,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026 | 134,035 | ||||||
| 220,000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025 | 141,159 | ||||||
|
| |||||||
| 3,295,303 | ||||||||
|
| |||||||
| Independent Energy — 1.8% | ||||||||
| 4,360,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 4,616,759 | ||||||
| 1,670,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 1,805,703 | ||||||
| 3,060,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 3,603,517 | ||||||
| 1,515,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 1,492,275 | ||||||
| 1,985,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 1,945,300 | ||||||
| 215,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 220,704 | ||||||
| 2,185,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 2,266,937 | ||||||
| 635,000 | EQT Corp., 3.900%, 10/01/2027 | 681,050 | ||||||
| 585,000 | EQT Corp., 5.000%, 1/15/2029 | 647,887 | ||||||
| 1,790,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 1,895,843 | ||||||
| 1,295,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A | 1,389,457 | ||||||
| 1,340,000 | Occidental Petroleum Corp., 4.100%, 2/15/2047 | 1,313,200 | ||||||
| 1,560,000 | Occidental Petroleum Corp., 4.200%, 3/15/2048 | 1,560,000 | ||||||
| 110,000 | Occidental Petroleum Corp., 4.400%, 8/15/2049 | 111,375 | ||||||
| 215,000 | Occidental Petroleum Corp., 4.500%, 7/15/2044 | 221,377 | ||||||
| 255,000 | Occidental Petroleum Corp., 4.625%, 6/15/2045 | 265,200 | ||||||
| 75,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 83,498 | ||||||
| 320,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 411,734 | ||||||
| 140,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 181,636 | ||||||
| 695,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 909,823 | ||||||
| 90,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 117,287 | ||||||
| 85,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 110,799 | ||||||
| 385,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 511,954 | ||||||
| 380,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 400,180 | ||||||
|
| |||||||
| 26,763,495 | ||||||||
|
| |||||||
| Industrial Other — 0.1% | ||||||||
| 200,000 | CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(g) | 54,198 | ||||||
| 1,165,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 1,195,581 | ||||||
|
| |||||||
| 1,249,779 | ||||||||
|
| |||||||
| Leisure — 0.6% | ||||||||
| 2,735,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 2,735,000 | ||||||
| 1,260,000 | Carnival Corp., 6.000%, 5/01/2029, 144A | 1,253,700 | ||||||
| 1,560,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 1,553,089 | ||||||
| 570,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 561,450 | ||||||
| 240,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 232,463 | ||||||
| 3,090,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 3,125,720 | ||||||
|
| |||||||
| 9,461,422 | ||||||||
|
| |||||||
| Life Insurance — 0.2% | ||||||||
| 1,530,000 | Athene Holding Ltd., 3.500%, 1/15/2031(a) | 1,617,829 | ||||||
| 1,110,000 | Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A | 1,194,185 | ||||||
|
| |||||||
| 2,812,014 | ||||||||
|
| |||||||
| Local Authorities — 0.5% | ||||||||
| 7,080,000 | Province of Ontario Canada, 1.050%, 4/14/2026(a) | 6,982,416 | ||||||
See accompanying notes to financial statements.
| 54
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Local Authorities — continued | ||||||||
| 67,000,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Private Banks + 3.750%, 37.922%, 4/12/2025, 144A, (ARS)(c) | $ | 283,659 | |||||
| 121,060,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Private Banks + 3.830%, 38.045%, 5/31/2022, (ARS)(c) | 579,930 | ||||||
|
| |||||||
| 7,846,005 | ||||||||
|
| |||||||
| Lodging — 0.8% | ||||||||
| 590,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 586,897 | ||||||
| 2,055,000 | Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A | 2,104,752 | ||||||
| 435,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 435,000 | ||||||
| 1,435,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 1,470,875 | ||||||
| 360,000 | Hyatt Hotels Corp., 5.375%, 4/23/2025 | 399,042 | ||||||
| 47,000 | Marriott International, Inc., Series EE, 5.750%, 5/01/2025 | 52,905 | ||||||
| 695,000 | Marriott International, Inc., Series FF, 4.625%, 6/15/2030 | 781,837 | ||||||
| 1,125,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 1,132,335 | ||||||
| 2,090,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 2,107,734 | ||||||
| 1,535,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 1,542,675 | ||||||
| 195,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 211,920 | ||||||
| 960,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 1,064,486 | ||||||
|
| |||||||
| 11,890,458 | ||||||||
|
| |||||||
| Media Entertainment — 1.4% | ||||||||
| 1,240,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | 1,232,250 | ||||||
| 2,745,000 | Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A | 2,840,416 | ||||||
| 2,830,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 2,869,960 | ||||||
| 2,400,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 2,496,240 | ||||||
| 415,000 | Lamar Media Corp., 3.750%, 2/15/2028 | 416,038 | ||||||
| 825,000 | Lamar Media Corp., 4.000%, 2/15/2030 | 836,962 | ||||||
| 1,040,000 | Netflix, Inc., 4.875%, 4/15/2028 | 1,185,600 | ||||||
| 3,525,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 4,111,031 | ||||||
| 710,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 843,125 | ||||||
| 665,000 | Netflix, Inc., 5.875%, 11/15/2028 | 799,663 | ||||||
| 780,000 | Netflix, Inc., 6.375%, 5/15/2029 | 969,150 | ||||||
| 1,075,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A | 1,072,312 | ||||||
| 600,000 | Playtika Holding Corp., 4.250%, 3/15/2029, 144A | 588,000 | ||||||
|
| |||||||
| 20,260,747 | ||||||||
|
| |||||||
| Metals & Mining — 1.9% | ||||||||
| 2,655,000 | ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028 | 2,908,420 | ||||||
| 690,000 | Antofagasta PLC, 2.375%, 10/14/2030, 144A | 655,500 | ||||||
| 4,515,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 4,689,956 | ||||||
| 263,000 | First Quantum Minerals Ltd., 7.250%, 4/01/2023, 144A | 266,025 | ||||||
| Metals & Mining — continued | ||||||||
| 1,755,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 1,805,369 | ||||||
| 2,345,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 2,462,250 | ||||||
| 1,270,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 1,331,912 | ||||||
| 885,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 949,162 | ||||||
| 2,720,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 3,311,600 | ||||||
| 735,000 | Freeport-McMoRan, Inc., 5.450%, 3/15/2043 | 923,961 | ||||||
| 6,035,000 | Glencore Funding LLC, 2.850%, 4/27/2031, 144A(a) | 5,965,466 | ||||||
| 1,815,000 | JSW Steel Ltd., 5.050%, 4/05/2032, 144A | 1,786,711 | ||||||
| 625,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 657,031 | ||||||
|
| |||||||
| 27,713,363 | ||||||||
|
| |||||||
| Midstream — 0.8% | ||||||||
| 3,375,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 3,400,313 | ||||||
| 415,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 468,950 | ||||||
| 3,335,000 | Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(a) | 3,319,043 | ||||||
| 290,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A | 302,720 | ||||||
| 695,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 689,788 | ||||||
| 795,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A | 830,775 | ||||||
| 525,000 | Western Midstream Operating LP, 5.300%, 2/01/2030 | 576,996 | ||||||
| 810,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 976,054 | ||||||
| 195,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 233,025 | ||||||
| 150,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 179,178 | ||||||
| 690,000 | Western Midstream Operating LP, 6.500%, 2/01/2050 | 815,928 | ||||||
|
| |||||||
| 11,792,770 | ||||||||
|
| |||||||
| Non-Agency Commercial Mortgage-Backed Securities — 3.7% | ||||||||
| 2,995,000 | Barclays Commercial Mortgage Securities, Series 2020-BID, Class B, 1-month LIBOR + 2.540%, 2.650%, 10/15/2037, 144A(a)(c) | 3,003,417 | ||||||
| 2,155,000 | BPR Trust, Series 2021-NRD, Class F, 30-day Average SOFR + 6.870%, 6.970%, 12/15/2023, 144A(c) | 2,149,638 | ||||||
| 2,040,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.943%, 5/10/2047, 144A(b) | 1,887,724 | ||||||
| 2,585,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A(a) | 2,558,688 | ||||||
| 140,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.558%, 12/10/2044(b) | 136,674 | ||||||
| 632,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.710%, 1/15/2034, 144A(c) | 624,603 | ||||||
| 1,890,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A | 1,765,962 | ||||||
| 5,680,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A | 5,054,068 | ||||||
See accompanying notes to financial statements.
55 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Non-Agency Commercial Mortgage-Backed Securities — continued | ||||||||
| $ | 750,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034, 144A(b) | $ | 757,958 | ||||
| 611,817 | Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 2.360%, 7/15/2038, 144A(c) | 611,816 | ||||||
| 1,640,000 | Greystone Commercial Real Estate Notes Ltd., Series 2021-HC2, Class A, 1-month LIBOR + 1.800%, 1.890%, 12/15/2039, 144A(a)(c) | 1,640,018 | ||||||
| 3,195,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033, 144A(b) | 2,726,692 | ||||||
| 540,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.158%, 8/10/2044, 144A(b) | 455,652 | ||||||
| 3,905,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.158%, 8/10/2044, 144A(b) | 1,884,163 | ||||||
| 845,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b) | 837,972 | ||||||
| 300,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(b) | 296,341 | ||||||
| 405,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class C, 4.624%, 10/15/2045, 144A(b) | 407,241 | ||||||
| 2,435,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.363%, 12/15/2047, 144A(a)(b) | 2,454,363 | ||||||
| 1,178,231 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.211%, 6/15/2044, 144A(b) | 1,142,884 | ||||||
| 2,515,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044, 144A(b)(d)(e) | 2,012,000 | ||||||
| 1,350,000 | RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.834%, 1/15/2032, 144A(a)(b) | 1,397,959 | ||||||
| 1,060,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 2.860%, 11/15/2027, 144A(c)(d)(h)(i) | 489,215 | ||||||
| 4,243,654 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.610%, 11/15/2027, 144A(c)(d)(h)(i) | 1,095,227 | ||||||
| 3,575,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.510%, 11/15/2027, 144A(c)(d)(h)(i) | 348,004 | ||||||
| 1,370,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.885%, 5/10/2063, 144A(b)(d)(e) | 115,080 | ||||||
| 3,094,293 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.306%, 7/15/2046(b) | 3,071,428 | ||||||
| 1,690,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a)(b) | 1,647,861 | ||||||
| 440,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.172%, 11/15/2059(b) | 393,916 | ||||||
| 4,885,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.038%, 9/15/2031, 144A(a)(b) | 4,776,723 | ||||||
| 3,504,376 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.425%, 3/15/2044, 144A(b) | 1,672,288 | ||||||
| 1,699,593 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 4.887%, 6/15/2044, 144A(b) | 1,299,658 | ||||||
| Non-Agency Commercial Mortgage-Backed Securities — continued | ||||||||
| 2,245,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.347%, 12/15/2045(b) | 2,012,536 | ||||||
| 725,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.792%, 6/15/2045(b) | 552,885 | ||||||
| 1,909,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class D, 4.792%, 6/15/2045, 144A(b) | 1,038,725 | ||||||
| 975,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.792%, 6/15/2045, 144A(b)(d)(e) | 198,608 | ||||||
| 1,570,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047(a) | 1,595,719 | ||||||
|
| |||||||
| 54,113,706 | ||||||||
|
| |||||||
| Paper — 0.2% | ||||||||
| 2,235,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 2,271,341 | ||||||
|
| |||||||
| Pharmaceuticals — 1.2% | ||||||||
| 290,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 266,800 | ||||||
| 555,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 488,400 | ||||||
| 1,610,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 1,414,787 | ||||||
| 800,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 816,176 | ||||||
| 1,665,000 | Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR) | 2,037,772 | ||||||
| 10,035,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 8,479,575 | ||||||
| 1,370,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 1,357,492 | ||||||
| 1,280,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 1,254,797 | ||||||
| 1,015,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 | 1,086,050 | ||||||
|
| |||||||
| 17,201,849 | ||||||||
|
| |||||||
| REITs – Health Care — 0.0% | ||||||||
| 455,000 | National Health Investors, Inc., 3.000%, 2/01/2031 | 438,688 | ||||||
|
| |||||||
| REITs – Mortgage — 0.1% | ||||||||
| 1,630,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 1,640,644 | ||||||
| 390,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 393,900 | ||||||
|
| |||||||
| 2,034,544 | ||||||||
|
| |||||||
| Restaurants — 0.8% | ||||||||
| 435,000 | 1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A | 440,551 | ||||||
| 5,765,000 | 1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A | 5,880,300 | ||||||
| 2,100,000 | Yum! Brands, Inc., 3.625%, 3/15/2031 | 2,092,125 | ||||||
| 2,680,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 2,847,821 | ||||||
| 920,000 | Yum! Brands, Inc., 4.750%, 1/15/2030, 144A | 995,900 | ||||||
|
| |||||||
| 12,256,697 | ||||||||
|
| |||||||
| Retailers — 0.3% | ||||||||
| 1,325,000 | Carvana Co., 5.625%, 10/01/2025, 144A | 1,326,683 | ||||||
| 1,325,000 | Carvana Co., 5.875%, 10/01/2028, 144A | 1,326,285 | ||||||
| 1,070,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 1,097,756 | ||||||
| 420,000 | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A | 448,350 | ||||||
See accompanying notes to financial statements.
| 56
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Retailers — continued | ||||||||
| $ | 570,000 | Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A | $ | 566,437 | ||||
|
| |||||||
| 4,765,511 | ||||||||
|
| |||||||
| Sovereigns — 0.8% | ||||||||
| 6,270,000 | Mexico Government International Bond, 3.771%, 5/24/2061(a) | 5,775,360 | ||||||
| 5,430,000 | Mexico Government International Bond, 4.280%, 8/14/2041(a) | 5,626,837 | ||||||
|
| |||||||
| 11,402,197 | ||||||||
|
| |||||||
| Supranational — 0.1% | ||||||||
| 119,540,000 | International Finance Corp., 5.850%, 11/25/2022, (INR)(a) | 1,616,787 | ||||||
|
| |||||||
| Technology — 1.8% | ||||||||
| 370,000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A | 369,356 | ||||||
| 6,185,000 | Broadcom, Inc., 4.300%, 11/15/2032(a) | 6,950,555 | ||||||
| 2,660,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 2,767,424 | ||||||
| 1,615,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 1,510,025 | ||||||
| 3,815,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 3,748,237 | ||||||
| 330,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 333,300 | ||||||
| 1,375,000 | Iron Mountain, Inc., 5.000%, 7/15/2028, 144A | 1,412,813 | ||||||
| 1,375,000 | Iron Mountain, Inc., 5.250%, 7/15/2030, 144A | 1,449,005 | ||||||
| 1,315,000 | Microchip Technology, Inc., 0.983%, 9/01/2024, 144A | 1,290,840 | ||||||
| 1,660,000 | Nokia OYJ, EMTN, 2.000%, 3/11/2026, (EUR) | 1,973,065 | ||||||
| 330,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A | 351,685 | ||||||
| 570,000 | Open Text Corp., 3.875%, 2/15/2028, 144A | 580,995 | ||||||
| 530,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A | 545,900 | ||||||
| 1,775,000 | Oracle Corp., 3.950%, 3/25/2051 | 1,842,640 | ||||||
| 240,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | 271,200 | ||||||
| 1,325,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 1,353,156 | ||||||
|
| |||||||
| 26,750,196 | ||||||||
|
| |||||||
| Transportation Services — 0.5% | ||||||||
| 1,855,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 1,924,778 | ||||||
| 425,000 | GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A | 410,801 | ||||||
| 2,650,000 | GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A | 2,643,772 | ||||||
| 1,645,000 | GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024 | 1,692,376 | ||||||
|
| |||||||
| 6,671,727 | ||||||||
|
| |||||||
| Treasuries — 2.4% | ||||||||
| 35,003(†††) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL) | 6,182,557 | ||||||
| 1,346,875(††††) | Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(a) | 6,582,522 | ||||||
| 788,987(††††) | Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)(a) | 4,054,658 | ||||||
| 338,660,000 | Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR) | 17,939,208 | ||||||
|
| |||||||
| 34,758,945 | ||||||||
|
| |||||||
| Wireless — 2.2% | ||||||||
| 1,480,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A | 1,496,424 | ||||||
| 4,365,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 4,543,965 | ||||||
| 1,695,000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 1,709,407 | ||||||
| Wireless — continued | ||||||||
| 1,525,000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A | 1,544,062 | ||||||
| 3,769,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 3,927,600 | ||||||
| 225,000 | Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A | 226,690 | ||||||
| 657,000 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 680,389 | ||||||
| 3,680,000 | SBA Communications Corp., 3.125%, 2/01/2029, 144A | 3,532,800 | ||||||
| 1,630,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 1,583,603 | ||||||
| 750,000 | SoftBank Group Corp., 5.250%, 7/06/2031 | 749,063 | ||||||
| 330,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 417,450 | ||||||
| 285,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029, 144A | 287,759 | ||||||
| 515,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032, 144A | 518,173 | ||||||
| 6,780,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029(a) | 6,908,413 | ||||||
| 3,350,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 3,485,273 | ||||||
|
| |||||||
| 31,611,071 | ||||||||
|
| |||||||
| Wirelines — 0.0% | ||||||||
| 470,000 | Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A | 479,400 | ||||||
|
| |||||||
| Total Non-Convertible Bonds (Identified Cost $1,111,352,409) | 1,091,030,878 | |||||||
|
| |||||||
| Convertible Bonds — 3.8% | ||||||||
| Airlines — 0.5% | ||||||||
| 915,000 | JetBlue Airways Corp., 0.500%, 4/01/2026, 144A | 852,979 | ||||||
| 5,010,000 | Southwest Airlines Co., 1.250%, 5/01/2025(a) | 6,678,330 | ||||||
|
| |||||||
| 7,531,309 | ||||||||
|
| |||||||
| Cable Satellite — 0.9% | ||||||||
| 1,635,000 | DISH Network Corp., Zero Coupon, 0.000%, 12/15/2025(j) | 1,639,120 | ||||||
| 4,280,000 | DISH Network Corp., 2.375%, 3/15/2024 | 4,098,100 | ||||||
| 7,230,000 | DISH Network Corp., 3.375%, 8/15/2026 | 6,843,578 | ||||||
|
| |||||||
| 12,580,798 | ||||||||
|
| |||||||
| Consumer Cyclical Services — 0.2% | ||||||||
| 45,000 | Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(j) | 51,773 | ||||||
| 1,385,000 | Peloton Interactive, Inc., Zero Coupon, 0.000%- 1.734%, 2/15/2026, 144A(k) | 1,173,787 | ||||||
| 2,155,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(k) | 2,131,230 | ||||||
|
| |||||||
| 3,356,790 | ||||||||
|
| |||||||
| Gaming — 0.1% | ||||||||
| 670,000 | Penn National Gaming, Inc., 2.750%, 5/15/2026 | 1,587,904 | ||||||
|
| |||||||
| Healthcare — 0.4% | ||||||||
| 5,610,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 5,108,606 | ||||||
|
| |||||||
| Leisure — 0.2% | ||||||||
| 3,580,000 | NCL Corp. Ltd., 1.125%, 2/15/2027, 144A | 3,364,269 | ||||||
|
| |||||||
| Media Entertainment — 0.1% | ||||||||
| 2,405,000 | Twitter, Inc., Zero Coupon, 0.000%- 1.354%, 3/15/2026, 144A(k) | 2,153,918 | ||||||
|
| |||||||
| Pharmaceuticals — 1.0% | ||||||||
| 4,400,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 4,600,640 | ||||||
| 7,130,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 7,437,303 | ||||||
See accompanying notes to financial statements.
57 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Pharmaceuticals — continued | ||||||||
| $ | 855,000 | Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(j) | $ | 864,918 | ||||
| 1,285,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(j) | 1,130,029 | ||||||
| 1,080,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 1,238,523 | ||||||
|
| |||||||
| 15,271,413 | ||||||||
|
| |||||||
| Technology — 0.4% | ||||||||
| 2,065,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 3,911,936 | ||||||
| 1,530,000 | Splunk, Inc., 1.125%, 6/15/2027 | 1,426,725 | ||||||
|
| |||||||
| 5,338,661 | ||||||||
|
| |||||||
| Total Convertible Bonds (Identified Cost $57,532,709) | 56,293,668 | |||||||
|
| |||||||
| Total Bonds and Notes (Identified Cost $1,168,885,118) | 1,147,324,546 | |||||||
|
| |||||||
| Senior Loans — 1.2% | ||||||||
| Airlines — 0.1% | ||||||||
| 1,523,488 | United Airlines, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 4/21/2028(c)(l) | 1,525,559 | ||||||
|
| |||||||
| Cable Satellite — 0.2% | ||||||||
| 708,688 | DirecTV Financing LLC, Term Loan, 8/02/2021(m) | 708,893 | ||||||
| 713,575 | DirecTV Financing LLC, Term Loan, 3-month LIBOR + 5.000%, 5.750%, 8/02/2027(c)(l) | 713,782 | ||||||
| 1,930,000 | Ziggo BV, 2019 EUR Term Loan H, 6-month EURIBOR + 3.000%, 3.000%, 1/31/2029, (EUR)(c)(n) | 2,163,927 | ||||||
|
| |||||||
| 3,586,602 | ||||||||
|
| |||||||
| Consumer Products — 0.1% | ||||||||
| 972,634 | Weber-Stephen Products LLC, Term Loan B, LIBOR + 3.250%, 4.000%, 10/30/2027(l)(o) | 973,442 | ||||||
|
| |||||||
| Gaming — 0.2% | ||||||||
| 3,200,813 | Playtika Holding Corp., 2021 Term Loan, 1-month LIBOR + 2.750%, 2.854%, 3/13/2028(c)(n) | 3,183,464 | ||||||
|
| |||||||
| Healthcare — 0.1% | ||||||||
| 1,350,000 | Medline Borrower, LP, USD Term Loan B, 1-month LIBOR + 3.250%, 3.750%, 10/23/2028(c)(p) | 1,349,406 | ||||||
|
| |||||||
| Lodging — 0.2% | ||||||||
| 1,615,950 | Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 1-month LIBOR + 3.000%, 3.500%, 8/02/2028(c)(p) | 1,617,162 | ||||||
| 648,375 | Motel 6, Term Loan B, 1-month LIBOR + 5.000%, 5.750%, 9/09/2026(c)(l) | 651,215 | ||||||
|
| |||||||
| 2,268,377 | ||||||||
|
| |||||||
| Pharmaceuticals — 0.1% | ||||||||
| 1,338,275 | Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(c)(p) | 1,342,544 | ||||||
|
| |||||||
| Property & Casualty Insurance — 0.0% | ||||||||
| 618,583 | AmWINS Group, Inc., 2021 Term Loan B, 1-month LIBOR + 2.250%, 3.000%, 2/19/2028(c)(l) | 613,431 | ||||||
|
| |||||||
| Technology — 0.2% | ||||||||
| 2,628,413 | CoreLogic, Inc., Term Loan, 1-month LIBOR + 3.500%, 4.000%, 6/02/2028(c)(p) | 2,623,156 | ||||||
|
| |||||||
| Total Senior Loans (Identified Cost $17,390,093) | 17,465,981 | |||||||
|
| |||||||
| Collateralized Loan Obligations — 5.0% | ||||||||
| 1,350,000 | AGL CLO 3 Ltd., Series 2020-3A, Class C, 3-month LIBOR + 2.150%, 2.274%, 1/15/2033, 144A(a)(c) | 1,350,060 | ||||||
| 1,740,000 | AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 3.424%, 1/15/2033, 144A(c) | 1,740,092 | ||||||
| 1,155,000 | AIG CLO Ltd., Series 2019-1A, Class E, 3-month LIBOR + 6.620%, 6.744%, 4/15/2032, 144A(c) | 1,155,011 | ||||||
| 3,460,000 | Aimco CLO 11 Ltd., Series 2020-11A, Class DR, 3-month LIBOR + 3.000%, 3.123%, 10/17/2034, 144A(c) | 3,460,202 | ||||||
| 480,000 | Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 2.072%, 7/16/2031, 144A(c) | 477,520 | ||||||
| 3,175,000 | Apidos CLO XXIII, Series 2015-23A, Class CR, 3-month LIBOR + 2.000%, 2.124%, 4/15/2033, 144A(a)(c) | 3,164,357 | ||||||
| 500,000 | Ares LIX CLO Ltd., Series 2021-59A, Class E, 3-month LIBOR + 6.250%, 6.374%, 4/25/2034, 144A(c) | 489,253 | ||||||
| 2,555,000 | Ares LX CLO Ltd., Series 2021-60A, Class D, 3-month LIBOR + 2.950%, 3.072%, 7/18/2034, 144A(c) | 2,554,975 | ||||||
| 1,105,000 | Atlas Senior Loan Fund Ltd., Series 2021-16A, Class D, 3-month LIBOR + 3.700%, 3.832%, 1/20/2034, 144A(c) | 1,107,486 | ||||||
| 400,000 | Ballyrock CLO Ltd., Series 2018-1A, Class C, 3-month LIBOR + 3.150%, 3.282%, 4/20/2031, 144A(c) | 398,906 | ||||||
| 850,000 | Barings CLO Ltd., Series 2019-4A, Class C, 3-month LIBOR + 2.800%, 2.924%, 1/15/2033, 144A(c) | 850,725 | ||||||
| 1,830,000 | Basswood Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.650%, 2.782%, 4/20/2034, 144A(c) | 1,829,984 | ||||||
| 445,000 | Battalion CLO XVI Ltd., Series 2019 16A, Class DR, 3-month LIBOR + 3.250%, 3.354%, 12/19/2032, 144A(c)(i) | 445,000 | ||||||
| 915,000 | Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.074%, 4/15/2029, 144A(a)(c) | 912,988 | ||||||
| 455,000 | Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 2.150%, 2.282%, 10/20/2029, 144A(c) | 455,039 | ||||||
| 400,000 | Carbone CLO Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 1.932%, 1/20/2031, 144A(c) | 399,236 | ||||||
| 970,000 | CarVal CLO IV Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.250%, 3.383%, 7/20/2034, 144A(c) | 969,123 | ||||||
| 730,000 | CIFC Funding II Ltd., Series 2013-2A, Class A3LR, 3-month LIBOR + 1.950%, 2.072%, 10/18/2030, 144A(c) | 724,915 | ||||||
See accompanying notes to financial statements.
| 58
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| $ | 265,000 | CIFC Funding II Ltd., Series 2014-2RA, Class A3, 3-month LIBOR + 1.900%, 2.024%, 4/24/2030, 144A(c) | $ | 263,854 | ||||
| 5,120,000 | CIFC Funding Ltd., Series 2021-7A, Class D, 3-month LIBOR + 3.000%, 3.128%, 1/23/2035, 144A(c) | 5,120,294 | ||||||
| 875,000 | Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 5.974%, 10/15/2030, 144A(c) | 848,822 | ||||||
| 250,000 | Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3-month LIBOR + 1.750%, 1.872%, 4/18/2031, 144A(c) | 248,161 | ||||||
| 615,000 | Dryden 80 CLO Ltd., Series 2019-80A, Class D1, 3-month LIBOR + 4.100%, 4.222%, 1/17/2033, 144A(c) | 617,133 | ||||||
| 300,000 | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3-month LIBOR + 1.850%, 1.974%, 4/15/2029, 144A(c) | 299,885 | ||||||
| 1,405,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 6.010%, 11/22/2031, 144A(c) | 1,370,164 | ||||||
| 2,435,000 | Generate CLO Ltd., Series 2019-2A, Class D, 3-month LIBOR + 3.800%, 3.928%, 1/22/2033, 144A(c) | 2,436,711 | ||||||
| 650,000 | Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 3.074%, 10/15/2030, 144A(c) | 650,008 | ||||||
| 320,000 | Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3-month LIBOR + 1.900%, 2.032%, 4/20/2030, 144A(c) | 319,655 | ||||||
| 1,550,000 | Hayfin U.S. XII Ltd., Series 2020-12A, Class D, 3-month LIBOR + 4.160%, 4.292%, 1/20/2034, 144A(c) | 1,554,946 | ||||||
| 310,000 | LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 3.132%, 4/20/2031, 144A(c) | 308,072 | ||||||
| 475,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 2.274%, 1/23/2031, 144A(c) | 475,020 | ||||||
| 300,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.124%, 1/23/2031, 144A(c) | 300,018 | ||||||
| 3,300,000 | Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2, 3-month LIBOR + 1.900%, 2.036%, 1/28/2030, 144A(a)(c) | 3,292,590 | ||||||
| 2,100,000 | Oaktree CLO Ltd., Series 2019-4A, Class E, 3-month LIBOR + 7.230%, 7.362%, 10/20/2032, 144A(c) | 2,096,713 | ||||||
| 495,000 | Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 5.882%, 10/20/2030, 144A(c) | 484,239 | ||||||
| 920,000 | Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3-month LIBOR + 1.900%, 2.028%, 1/22/2030, 144A(a)(c) | 915,496 | ||||||
| 445,000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 6.490%, 4/21/2034, 144A(c) | 435,872 | ||||||
| 1,900,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 6.382%, 7/02/2035, 144A(c) | 1,852,737 | ||||||
| 5,105,000 | OHA Credit Funding 4 Ltd., Series 2019-4A, Class ER, 3-month LIBOR + 6.400%, 6.528%, 10/22/2036, 144A(c) | 5,010,983 | ||||||
| 1,745,000 | OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3-month LIBOR + 2.000%, 2.122%, 4/18/2033, 144A(a)(c) | 1,739,300 | ||||||
| 2,245,000 | OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3-month LIBOR + 3.050%, 3.174%, 7/23/2031, 144A(c) | 2,245,210 | ||||||
| 1,570,000 | OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.082%, 1/20/2033, 144A(a)(c) | 1,560,194 | ||||||
| 2,050,000 | OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 3.874%, 4/15/2034, 144A(c) | 2,048,112 | ||||||
| 300,000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3-month LIBOR + 1.950%, 2.082%, 7/20/2030, 144A(c) | 299,999 | ||||||
| 2,610,000 | Parallel Ltd., Series 2017-1A, Class CR, 3-month LIBOR + 2.000%, 2.132%, 7/20/2029, 144A(a)(c) | 2,599,825 | ||||||
| 1,645,000 | Parallel Ltd., Series 2018-2A, Class B, 3-month LIBOR + 2.150%, 2.282%, 10/20/2031, 144A(a)(c) | 1,632,821 | ||||||
| 1,045,000 | Pikes Peak CLO 1, Series 2018-1A, Class D, 3-month LIBOR + 3.150%, 3.274%, 7/24/2031, 144A(c) | 1,045,174 | ||||||
| 1,190,000 | Point Au Roche Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.800%, 2.976%, 7/20/2034, 144A(c) | 1,189,970 | ||||||
| 340,000 | Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 3.382%, 4/20/2034, 144A(c) | 340,170 | ||||||
| 920,000 | Regatta XIII Funding Ltd., Series 2018-2A, Class C, 3-month LIBOR + 3.100%, 3.224%, 7/15/2031, 144A(c) | 912,222 | ||||||
| 2,565,000 | Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3-month LIBOR + 1.900%, 2.024%, 10/15/2029, 144A(a)(c) | 2,561,727 | ||||||
| 920,000 | TCW CLO Ltd., Series 2018-1, Class D, 3-month LIBOR + 2.910%, 3.034%, 4/25/2031, 144A(c) | 910,002 | ||||||
| 1,030,000 | TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 2.274%, 4/15/2033, 144A(a)(c) | 1,029,994 | ||||||
| 610,000 | TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 2.282%, 4/20/2033, 144A(c) | 609,997 | ||||||
| 895,000 | TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 5.874%, 7/25/2031, 144A(c) | 859,684 | ||||||
|
| |||||||
| Total Collateralized Loan Obligations (Identified Cost $70,942,820) | 72,970,646 | |||||||
|
| |||||||
| Shares | ||||||||
| Common Stocks — 4.6% | ||||||||
| Air Freight & Logistics — 0.1% | ||||||||
| 6,552 | Expeditors International of Washington, Inc. | 879,868 | ||||||
| 2,680 | United Parcel Service, Inc., Class B | 574,431 | ||||||
|
| |||||||
| 1,454,299 | ||||||||
|
| |||||||
| Automobiles — 0.0% | ||||||||
| 26,074 | Ford Motor Co. | 541,557 | ||||||
|
| |||||||
See accompanying notes to financial statements.
59 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Banks — 0.1% | ||||||||
| 8,756 | Citigroup, Inc. | $ | 528,775 | |||||
| 3,166 | JPMorgan Chase & Co. | 501,336 | ||||||
| 6,440 | Wells Fargo & Co. | 308,991 | ||||||
|
| |||||||
| 1,339,102 | ||||||||
|
| |||||||
| Beverages — 0.1% | ||||||||
| 8,681 | Coca-Cola Co. (The) | 514,002 | ||||||
| 3,116 | PepsiCo, Inc. | 541,280 | ||||||
|
| |||||||
| 1,055,282 | ||||||||
|
| |||||||
| Capital Markets — 0.2% | ||||||||
| 11,417 | Artisan Partners Asset Management, Inc., Class A | 543,906 | ||||||
| 4,112 | Blackstone, Inc. | 532,051 | ||||||
| 1,358 | Goldman Sachs Group, Inc. (The) | 519,503 | ||||||
| 5,342 | Morgan Stanley | 524,371 | ||||||
|
| |||||||
| 2,119,831 | ||||||||
|
| |||||||
| Chemicals — 0.3% | ||||||||
| 108,029 | Hexion Holdings Corp., Class B(q) | 3,024,812 | ||||||
| 1,577 | Linde PLC | 546,320 | ||||||
|
| |||||||
| 3,571,132 | ||||||||
|
| |||||||
| Communications Equipment — 0.0% | ||||||||
| 8,738 | Cisco Systems, Inc. | 553,727 | ||||||
|
| |||||||
| Construction Materials — 0.2% | ||||||||
| 362,679 | Cemex SAB de CV, Sponsored ADR(q) | 2,458,964 | ||||||
|
| |||||||
| Consumer Finance — 0.0% | ||||||||
| 3,820 | OneMain Holdings, Inc. | 191,153 | ||||||
|
| |||||||
| Diversified Telecommunication Services — 0.1% | ||||||||
| 43,959 | Lumen Technologies, Inc. | 551,686 | ||||||
| 10,417 | Verizon Communications, Inc. | 541,267 | ||||||
|
| |||||||
| 1,092,953 | ||||||||
|
| |||||||
| Electrical Equipment — 0.0% | ||||||||
| 5,708 | Emerson Electric Co. | 530,673 | ||||||
|
| |||||||
| Entertainment — 0.0% | ||||||||
| 7,052 | Activision Blizzard, Inc. | 469,170 | ||||||
|
| |||||||
| Food & Staples Retailing — 0.0% | ||||||||
| 971 | Costco Wholesale Corp. | 551,237 | ||||||
|
| |||||||
| Food Products — 0.0% | ||||||||
| 8,123 | Archer-Daniels-Midland Co. | 549,034 | ||||||
|
| |||||||
| Health Care Equipment & Supplies — 0.0% | ||||||||
| 3,984 | Abbott Laboratories | 560,708 | ||||||
|
| |||||||
| Health Care Providers & Services — 0.1% | ||||||||
| 1,201 | Anthem, Inc. | 556,711 | ||||||
| 1,091 | UnitedHealth Group, Inc. | 547,835 | ||||||
|
| |||||||
| 1,104,546 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 0.1% | ||||||||
| 305 | Booking Holdings, Inc.(q) | 731,765 | ||||||
| 2,082 | McDonald’s Corp. | 558,122 | ||||||
| 6,587 | Starbucks Corp. | 770,481 | ||||||
|
| |||||||
| 2,060,368 | ||||||||
|
| |||||||
| Household Products — 0.1% | ||||||||
| 7,993 | Procter & Gamble Co. (The) | 1,307,495 | ||||||
|
| |||||||
| Insurance — 0.1% | ||||||||
| 10,505 | Fidelity National Financial, Inc. | 548,151 | ||||||
| 20,475 | Old Republic International Corp. | 503,275 | ||||||
|
| |||||||
| 1,051,426 | ||||||||
|
| |||||||
| IT Services — 0.2% | ||||||||
| 1,332 | Accenture PLC, Class A | 552,181 | ||||||
| IT Services — continued | ||||||||
| 1,495 | Automatic Data Processing, Inc. | 368,637 | ||||||
| 3,396 | MasterCard, Inc., Class A | 1,220,251 | ||||||
| 5,516 | Visa, Inc., Class A | 1,195,372 | ||||||
|
| |||||||
| 3,336,441 | ||||||||
|
| |||||||
| Life Sciences Tools & Services — 0.1% | ||||||||
| 1,688 | Danaher Corp. | 555,369 | ||||||
| 822 | Thermo Fisher Scientific, Inc. | 548,471 | ||||||
|
| |||||||
| 1,103,840 | ||||||||
|
| |||||||
| Machinery — 0.1% | ||||||||
| 2,508 | Caterpillar, Inc. | 518,504 | ||||||
| 650 | Deere & Co. | 222,878 | ||||||
|
| |||||||
| 741,382 | ||||||||
|
| |||||||
| Media — 0.4% | ||||||||
| 247,241 | Altice USA, Inc., Class A(q) | 4,000,359 | ||||||
| 11,011 | Comcast Corp., Class A | 554,184 | ||||||
| 14,672 | Interpublic Group of Cos., Inc. (The) | 549,466 | ||||||
|
| |||||||
| 5,104,009 | ||||||||
|
| |||||||
| Metals & Mining — 0.0% | ||||||||
| 4,874 | Nucor Corp. | 556,367 | ||||||
|
| |||||||
| Multiline Retail — 0.0% | ||||||||
| 2,268 | Target Corp. | 524,906 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 0.2% | ||||||||
| 14,685 | California Resources Corp. | 627,197 | ||||||
| 4,601 | Chevron Corp. | 539,927 | ||||||
| 7,389 | ConocoPhillips | 533,338 | ||||||
| 10,058 | Devon Energy Corp. | 443,055 | ||||||
| 6,088 | EOG Resources, Inc. | 540,797 | ||||||
| 6,293 | Whiting Petroleum Corp.(q) | 407,031 | ||||||
|
| |||||||
| 3,091,345 | ||||||||
|
| |||||||
| Paper & Forest Products — 0.0% | ||||||||
| 7,050 | Louisiana-Pacific Corp. | 552,368 | ||||||
|
| |||||||
| Personal Products — 0.1% | ||||||||
| 2,679 | Estee Lauder Cos., Inc. (The), Class A | 991,766 | ||||||
|
| |||||||
| Pharmaceuticals — 0.3% | ||||||||
| 8,639 | Bristol-Myers Squibb Co. | 538,642 | ||||||
| 11,509 | Johnson & Johnson | 1,968,845 | ||||||
| 6,850 | Merck & Co., Inc. | 524,984 | ||||||
| 9,012 | Pfizer, Inc. | 532,158 | ||||||
|
| |||||||
| 3,564,629 | ||||||||
|
| |||||||
| Professional Services — 0.0% | ||||||||
| 1,421 | Clarivate PLC(q) | 33,422 | ||||||
|
| |||||||
| REITs – Diversified — 0.1% | ||||||||
| 1,868 | American Tower Corp. | 546,390 | ||||||
| 11,744 | Gaming & Leisure Properties, Inc. | 571,463 | ||||||
|
| |||||||
| 1,117,853 | ||||||||
|
| |||||||
| REITs – Health Care — 0.0% | ||||||||
| 13,119 | Omega Healthcare Investors, Inc. | 388,191 | ||||||
|
| |||||||
| REITs – Storage — 0.0% | ||||||||
| 1,545 | Public Storage | 578,695 | ||||||
|
| |||||||
| Road & Rail — 0.0% | ||||||||
| 2,166 | Union Pacific Corp. | 545,680 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 0.3% | ||||||||
| 3,805 | Applied Materials, Inc. | 598,755 | ||||||
| 857 | Broadcom, Inc. | 570,256 | ||||||
| 1,334 | KLA Corp. | 573,767 | ||||||
| 798 | Lam Research Corp. | 573,882 | ||||||
See accompanying notes to financial statements.
| 60
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| Shares | Description | Value (†) | ||||||
| Semiconductors & Semiconductor Equipment — continued | ||||||||
| 6,281 | Microchip Technology, Inc. | $ | 546,824 | |||||
| 1,884 | NVIDIA Corp. | 554,103 | ||||||
| 2,411 | NXP Semiconductors NV | 549,177 | ||||||
| 2,931 | QUALCOMM, Inc. | 535,992 | ||||||
| 2,704 | Texas Instruments, Inc. | 509,623 | ||||||
|
| |||||||
| 5,012,379 | ||||||||
|
| |||||||
| Software — 0.1% | ||||||||
| 843 | Intuit, Inc. | 542,235 | ||||||
| 1,691 | Microsoft Corp. | 568,717 | ||||||
| 5,557 | Oracle Corp. | 484,626 | ||||||
|
| |||||||
| 1,595,578 | ||||||||
|
| |||||||
| Specialty Retail — 0.1% | ||||||||
| 1,342 | Home Depot, Inc. (The) | 556,943 | ||||||
| 2,124 | Lowe’s Cos., Inc. | 549,012 | ||||||
| 1,773 | Ross Stores, Inc. | 202,618 | ||||||
| 7,288 | TJX Cos., Inc. (The) | 553,305 | ||||||
|
| |||||||
| 1,861,878 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals — 0.2% | ||||||||
| 12,321 | Apple, Inc. | 2,187,840 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods — 0.1% | ||||||||
| 1,234 | LVMH Moet Hennessy Louis Vuitton SE | 1,019,819 | ||||||
|
| |||||||
| Wireless Telecommunication Services — 0.8% | ||||||||
| 94,068 | T-Mobile US, Inc.(q) | 10,910,007 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $59,932,614) | 67,381,052 | |||||||
|
| |||||||
| Preferred Stocks — 1.1% | ||||||||
| Convertible Preferred Stocks — 1.1% | ||||||||
| Banking — 0.6% | ||||||||
| 2,914 | Bank of America Corp., Series L, 7.250%(a) | 4,211,896 | ||||||
| 2,768 | Wells Fargo & Co., Class A, Series L, 7.500% | 4,125,787 | ||||||
|
| |||||||
| 8,337,683 | ||||||||
|
| |||||||
| Food & Beverage — 0.1% | ||||||||
| 9,672 | Bunge Ltd., 4.875% | 1,223,991 | ||||||
|
| |||||||
| Midstream — 0.0% | ||||||||
| 2,329 | El Paso Energy Capital Trust I, 4.750% | 117,824 | ||||||
|
| |||||||
| Technology — 0.2% | ||||||||
| 30,745 | Clarivate PLC, Series A, 5.250% | $ | 2,793,491 | |||||
|
| |||||||
| Wireless — 0.2% | ||||||||
| 3,751 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(d)(e) | 3,911,205 | ||||||
|
| |||||||
| Total Convertible Preferred Stocks (Identified Cost $16,508,431) | 16,384,194 | |||||||
|
| |||||||
| Total Preferred Stocks (Identified Cost $16,508,431) | 16,384,194 | |||||||
|
| |||||||
| Other Investments — 0.1% | ||||||||
| Aircraft ABS — 0.1% | ||||||||
| 900 | ECAF I Blocker Ltd.(d)(h)(i)(r) (Identified Cost $9,000,000) | 783,270 | ||||||
|
| |||||||
| Principal Amount (‡) | ||||||||
| Short-Term Investments — 7.5% | ||||||||
| $ | 67,410,789 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $67,410,789 on 1/03/2022 collateralized by $49,403,100 U.S. Treasury Bond 4.375% due 11/15/2039 valued at $68,759,087 including accrued interest (Note 2 of Notes to Financial Statements) | 67,410,789 | |||||
| 17,410,000 | U.S. Treasury Bills, 0.056%, 3/24/2022(s)(t) | 17,407,834 | ||||||
| 10,765,000 | U.S. Treasury Bills, 0.071%, 6/16/2022(a)(s) | 10,758,563 | ||||||
| 14,485,000 | U.S. Treasury Bills, 0.259%, 12/01/2022(s) | 14,447,062 | ||||||
|
| |||||||
| Total Short-Term Investments (Identified Cost $110,030,305) | 110,024,248 | |||||||
|
| |||||||
| Total Investments — 98.0% (Identified Cost $1,452,689,381) | 1,432,333,937 | |||||||
| Other assets less liabilities — 2.0% | 28,515,739 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 1,460,849,676 | ||||||
|
| |||||||
See accompanying notes to financial statements.
61 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
Written Options – (0.0%) |
| |||||||||||||||||||||||
| Description | Expiration Date | Exercise Price | Shares (††) | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||||||
| Options on Securities – (0.0%) |
| |||||||||||||||||||||||
Abbott Laboratories, Call | 2/18/2022 | 145.00 | (3,100 | ) | $ | (436,294 | ) | $ | (6,192 | ) | $ | (8,277 | ) | |||||||||||
Accenture PLC, Call | 2/18/2022 | 420.00 | (1,000 | ) | (414,550 | ) | (4,267 | ) | (10,050 | ) | ||||||||||||||
American Tower Corp., Call | 2/18/2022 | 300.00 | (1,300 | ) | (380,250 | ) | (4,248 | ) | (6,435 | ) | ||||||||||||||
Anthem, Inc., Call | 2/18/2022 | 480.00 | (600 | ) | (278,124 | ) | (3,811 | ) | (6,330 | ) | ||||||||||||||
Apple, Inc., Call | 2/18/2022 | 185.00 | (6,100 | ) | (1,083,177 | ) | (21,150 | ) | (25,620 | ) | ||||||||||||||
Applied Materials, Inc., Call | 2/18/2022 | 170.00 | (1,900 | ) | (298,984 | ) | (4,308 | ) | (7,078 | ) | ||||||||||||||
Bristol-Myers Squibb Co., Call | 2/18/2022 | 65.00 | (4,300 | ) | (268,105 | ) | (4,331 | ) | (3,139 | ) | ||||||||||||||
Broadcom, Inc., Call | 2/18/2022 | 690.00 | (500 | ) | (332,705 | ) | (6,684 | ) | (7,275 | ) | ||||||||||||||
Chevron Corp., Call | 2/18/2022 | 120.00 | (3,200 | ) | (375,520 | ) | (6,455 | ) | (8,432 | ) | ||||||||||||||
Cisco Systems, Inc., Call | 2/18/2022 | 65.00 | (6,100 | ) | (386,557 | ) | (4,498 | ) | (8,632 | ) | ||||||||||||||
Coca-Cola Co. (The), Call | 2/18/2022 | 60.00 | (4,300 | ) | (254,603 | ) | (3,170 | ) | (4,214 | ) | ||||||||||||||
Costco Wholesale Corp., Call | 2/18/2022 | 585.00 | (700 | ) | (397,390 | ) | (6,277 | ) | (6,457 | ) | ||||||||||||||
Danaher Corp., Call | 2/18/2022 | 340.00 | (1,100 | ) | (361,911 | ) | (5,574 | ) | (9,130 | ) | ||||||||||||||
Ford Motor Co., Call | 2/18/2022 | 24.00 | (20,800 | ) | (432,016 | ) | (8,056 | ) | (8,944 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The), Call | 2/18/2022 | 420.00 | (1,000 | ) | (382,550 | ) | (3,767 | ) | (2,915 | ) | ||||||||||||||
Home Depot, Inc. (The), Call | 2/18/2022 | 415.00 | (1,000 | ) | (415,010 | ) | (5,467 | ) | (12,700 | ) | ||||||||||||||
Johnson & Johnson, Call | 2/18/2022 | 175.00 | (4,600 | ) | (786,922 | ) | (11,258 | ) | (10,396 | ) | ||||||||||||||
Lam Research Corp., Call | 2/18/2022 | 765.00 | (600 | ) | (431,490 | ) | (6,760 | ) | (11,505 | ) | ||||||||||||||
Louisiana-Pacific Corp., Call | 2/18/2022 | 80.00 | (2,800 | ) | (219,380 | ) | (6,068 | ) | (11,060 | ) | ||||||||||||||
Lowe’s Cos., Inc., Call | 2/18/2022 | 270.00 | (1,400 | ) | (361,872 | ) | (3,524 | ) | (5,110 | ) | ||||||||||||||
Mastercard, Inc., Call | 2/18/2022 | 380.00 | (2,300 | ) | (826,436 | ) | (10,045 | ) | (14,720 | ) | ||||||||||||||
Microchip Technology, Inc., Call | 2/18/2022 | 95.00 | (2,500 | ) | (217,650 | ) | (2,908 | ) | (3,937 | ) | ||||||||||||||
Microsoft Corp., Call | 2/18/2022 | 350.00 | (600 | ) | (201,792 | ) | (2,440 | ) | (3,645 | ) | ||||||||||||||
Morgan Stanley, Call | 2/18/2022 | 105.00 | (3,700 | ) | (363,192 | ) | (4,815 | ) | (4,366 | ) | ||||||||||||||
NXP Semiconductors NV, Call | 2/18/2022 | 250.00 | (1,900 | ) | (432,782 | ) | (7,063 | ) | (7,790 | ) | ||||||||||||||
PepsiCo, Inc., Call | 2/18/2022 | 175.00 | (2,500 | ) | (434,275 | ) | (6,168 | ) | (8,438 | ) | ||||||||||||||
Pfizer, Inc., Call | 2/18/2022 | 70.00 | (7,200 | ) | (425,160 | ) | (8,620 | ) | (3,564 | ) | ||||||||||||||
Procter & Gamble Co. (The), Call | 2/18/2022 | 165.00 | (6,300 | ) | (1,030,554 | ) | (10,378 | ) | (18,207 | ) | ||||||||||||||
QUALCOMM, Inc., Call | 2/18/2022 | 200.00 | (2,300 | ) | (420,601 | ) | (8,918 | ) | (9,315 | ) | ||||||||||||||
Thermo Fisher Scientific, Inc. (The), Call | 2/18/2022 | 700.00 | (600 | ) | (400,344 | ) | (5,980 | ) | (7,290 | ) | ||||||||||||||
TJX Cos., Inc. (The), Call | 2/18/2022 | 77.50 | (2,900 | ) | (220,168 | ) | (3,443 | ) | (4,799 | ) | ||||||||||||||
Union Pacific Corp., Call | 2/18/2022 | 255.00 | (800 | ) | (201,544 | ) | (2,974 | ) | (5,060 | ) | ||||||||||||||
United Parcel Service, Inc., Call | 2/18/2022 | 220.00 | (1,000 | ) | (214,340 | ) | (3,367 | ) | (5,825 | ) | ||||||||||||||
UnitedHealth Group, Inc., Call | 2/18/2022 | 520.00 | (500 | ) | (251,070 | ) | (3,084 | ) | (4,500 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | (206,068 | ) | $ | (275,155 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
| (‡) | 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 December 31, 2021 is disclosed. | |||
| (c) | Variable rate security. Rate as of December 31, 2021 is disclosed. | |||
| (d) | Illiquid security. (Unaudited) | |||
| (e) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2021, the value of these securities amounted to $9,982,635 or 0.7% of net assets. See Note 2 of Notes to Financial Statements. | |||
| (f) | Perpetual bond with no specified maturity date. | |||
| (g) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||
| (h) | Fair valued by the Fund’s adviser. At December 31, 2021, the value of these securities amounted to $2,715,716 or 0.2% of net assets. See Note 2 of Notes to Financial Statements. | |||
| (i) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |||
| (j) | 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) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added. See Note 9 of Notes to Financial Statements. | |||
| (m) | Position is unsettled. Contract rate was not determined at December 31, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. | |||
| (n) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.00%, to which the spread is added. See Note 9 of Notes to Financial Statements. | |||
| (o) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2021. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
See accompanying notes to financial statements.
| 62
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
| (p) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.50%, to which the spread is added. See Note 9 of Notes to Financial Statements. | |||
| (q) | Non-income producing security. | |||
| (r) | Securities subject to restriction on resale. At December 31, 2021, the restricted securities held by the Fund are as follows: |
| Acquisition Date | Acquisition Cost | Value | % of Net | |||||||||||||
ECAF I Blocker Ltd. | 6/18/2015 | $ | 9,000,000 | $ | 783,270 | 0.1 | % | |||||||||
| (s) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||
| (t) | 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 December 31, 2021, the value of Rule 144A holdings amounted to $693,700,525 or 47.5% of net assets. | |||
| ABS | Asset-Backed Securities | |||
| ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |||
| EMTN | Euro Medium Term Note | |||
| EURIBOR | Euro Interbank Offered Rate | |||
| GMTN | Global Medium Term Note | |||
| GO | General Obligation | |||
| 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 | |||
| SOFR | Secured Overnight Financing Rate | |||
| 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 December 31, 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 | $ | 74,070 | $ | (183,732 | ) | $ | (257,802 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | United Mexican States | (1.00 | %) | 12/20/2026 | 8,820,000 | (4,198 | ) | (39,834 | ) | (35,636 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||||
Total | $ | (223,566 | ) | $ | (293,438 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
At December 31, 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 | $ | (712,509 | ) | $ | (713,984 | ) | |||||||||||||
|
|
|
| |||||||||||||||||||||
At December 31, 2021, the Fund had the following open centrally cleared credit default swap agreements:
| 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 37 500, 5-Year | 5.00% | 12/20/2026 | 2.93 | % | 13,370,000 | 1,109,465 | 1,244,341 | 134,876 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
| (‡) | 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. |
| ^ | 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. |
See accompanying notes to financial statements.
63 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Alpha Fund – (continued)
At December 31, 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. | 3/03/2022 | BRL | S | 17,876,000 | $ | 3,106,114 | $ | 3,165,108 | $ | (58,994 | ) | |||||||||||||||
Bank of America, N.A. | 1/26/2022 | EUR | S | 1,665,000 | 1,942,322 | 1,896,434 | 45,888 | |||||||||||||||||||
Barclays Bank PLC | 1/26/2022 | EUR | S | 1,955,000 | 2,280,185 | 2,226,744 | 53,441 | |||||||||||||||||||
Deutsche Bank AG | 1/31/2022 | GBP | B | 1,400,000 | 1,850,153 | 1,894,861 | 44,708 | |||||||||||||||||||
Deutsche Bank AG | 1/31/2022 | GBP | S | 1,400,000 | 1,919,809 | 1,894,861 | 24,948 | |||||||||||||||||||
HSBC Bank USA | 2/17/2022 | EUR | S | 590,000 | 675,827 | 672,307 | 3,520 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 1/11/2022 | COP | S | 5,186,874,000 | 1,361,831 | 1,274,682 | 87,149 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 1/31/2022 | EUR | S | 1,480,000 | 1,723,556 | 1,685,890 | 37,666 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 1/31/2022 | ZAR | S | 315,790,000 | 20,770,601 | 19,741,305 | 1,029,296 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
Total |
| $ | 1,267,622 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||
At December 31, 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 | 3/22/2022 | 556 | $ | 88,490,585 | $ | 89,203,250 | $ | (712,665 | ) | |||||||||||
Ultra 10-Year U.S. Treasury Note | 3/22/2022 | 517 | 74,792,880 | 75,708,187 | (915,307 | ) | ||||||||||||||
Ultra Long U.S. Treasury Bond | 3/22/2022 | 353 | 68,840,363 | 69,585,125 | (744,762 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (2,372,734 | ) | ||||||||||||||||
|
| |||||||||||||||||||
Industry Summary at December 31, 2021
Banking | 6.8 | % | ||
ABS Home Equity | 5.7 | |||
Finance Companies | 4.7 | |||
Cable Satellite | 4.6 | |||
ABS Car Loan | 4.5 | |||
ABS Other | 3.9 | |||
Non-Agency Commercial Mortgage-Backed Securities | 3.7 | |||
Government Owned – No Guarantee | 2.6 | |||
Technology | 2.6 | |||
Pharmaceuticals | 2.6 | |||
Wireless | 2.4 | |||
Treasuries | 2.4 | |||
Food & Beverage | 2.4 | |||
Consumer Cyclical Services | 2.2 | |||
Healthcare | 2.2 | |||
ABS Whole Business | 2.0 | |||
Other Investments, less than 2% each | 30.2 | |||
Short-Term Investments | 7.5 | |||
Collateralized Loan Obligations | 5.0 | |||
|
| |||
Total Investments | 98.0 | |||
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts) | 2.0 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 64
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund
| Principal Amount (‡) | Description | Value (†) | ||||||
| Bonds and Notes — 80.0% of Net Assets | ||||||||
| Non-Convertible Bonds — 71.5% | ||||||||
| 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 | $ | 7,449,945 | ||||
| 5,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A | 4,925,960 | ||||||
|
| |||||||
| 12,375,905 | ||||||||
|
| |||||||
| ABS Credit Card — 0.0% |
| |||||||
| 975,000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A | 978,346 | ||||||
|
| |||||||
| ABS Home Equity — 3.8% |
| |||||||
| 9,762,065 | 510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a) | 9,637,969 | ||||||
| 8,555,000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a) | 8,471,187 | ||||||
| 5,350,000 | CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A | 5,297,260 | ||||||
| 3,140,000 | CoreVest American Finance Trust, Series 2021-2, Class C, 2.478%, 7/15/2054, 144A | 3,021,847 | ||||||
| 1,510,000 | CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 1,505,956 | ||||||
| 12,591,688 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a) | 12,506,241 | ||||||
| 2,510,000 | Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A | 2,618,033 | ||||||
| 7,660,000 | FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037, 144A | 7,793,456 | ||||||
| 1,965,000 | FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038, 144A | 1,922,861 | ||||||
| 4,290,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E1, 2.258%, 9/17/2038, 144A | 4,178,106 | ||||||
| 2,105,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E2, 2.358%, 9/17/2038, 144A | 2,034,156 | ||||||
| 2,419,000 | FRTKL, Series 2021-SFR1, Class F, 3.171%, 9/17/2038, 144A | 2,357,906 | ||||||
| 7,555,528 | Home Partners of America Trust, Series 2021-1, Class F, 3.325%, 9/17/2041, 144A | 7,375,724 | ||||||
| 8,634,930 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 8,387,332 | ||||||
| 4,317,465 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 4,194,959 | ||||||
| 1,974,690 | Invitation Homes Trust, Series 2018-SFR2, Class B, 1-month LIBOR + 1.080%, 1.190%, 6/17/2037, 144A(b) | 1,972,288 | ||||||
| 240,181 | Invitation Homes Trust, Series 2018-SFR3, Class B, 1-month LIBOR + 1.150%, 1.259%, 7/17/2037, 144A(b) | 239,837 | ||||||
| 481,170 | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(a) | 482,792 | ||||||
| 4,025,000 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(a) | 4,015,924 | ||||||
| ABS Home Equity — continued | ||||||||
| 11,507,000 | Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A | 11,349,229 | ||||||
| 3,623,000 | Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A | 3,520,811 | ||||||
| 5,465,000 | Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A | 5,363,671 | ||||||
| 4,645,000 | Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040, 144A | 4,497,556 | ||||||
| 975,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A | 944,055 | ||||||
| 15,160,000 | Progress Residential Trust, Series 2021-SFR7, Class F, 3.834%, 8/17/2040, 144A | 14,791,521 | ||||||
| 905,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A | 871,728 | ||||||
| 5,597,281 | PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(a) | 5,566,289 | ||||||
| 9,613,824 | PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a) | 9,555,311 | ||||||
| 2,513,000 | PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(a) | 2,503,365 | ||||||
| 7,958,770 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a) | 7,842,723 | ||||||
| 6,260,978 | PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(a) | 6,185,062 | ||||||
| 6,519,864 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a) | 6,482,727 | ||||||
| 8,130,000 | Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a) | 8,100,284 | ||||||
| 1,335,000 | Tricon Residential Trust, Series 2021-SFR1, Class E1, 2.794%, 7/17/2038, 144A | 1,312,656 | ||||||
| 3,550,000 | Tricon Residential Trust, Series 2021-SFR1, Class E2, 2.894%, 7/17/2038, 144A | 3,489,973 | ||||||
| 7,865,000 | VCAT Asset Securitization LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051, 144A(a) | 7,736,741 | ||||||
| 306,683 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(a) | 306,193 | ||||||
| 3,970,000 | VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2051, 144A(a) | 3,914,296 | ||||||
|
| |||||||
| 192,348,025 | ||||||||
|
| |||||||
| ABS Other — 1.4% |
| |||||||
| 5,546,421 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A(c) | 5,393,368 | ||||||
| 3,281,000 | Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class B, 3.538%, 1/15/2047, 144A | 3,253,460 | ||||||
| 1,673,444 | Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A | 1,658,547 | ||||||
| 3,222,976 | Castlelake Aircraft Structured Trust, Series 2017-1R, Class B, 3.924%, 8/15/2041, 144A | 3,208,850 | ||||||
| 7,195,000 | DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A | 7,162,824 | ||||||
| 683,465 | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035, 144A | 673,305 | ||||||
| 2,994,312 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432%, 10/15/2046, 144A | 3,010,784 | ||||||
| 15,028,245 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A(c) | 14,881,930 | ||||||
See accompanying notes to financial statements.
65 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| ABS Other — continued | ||||||||
| $ | 14,650,000 | Navigator Aircraft ABS Ltd., Series 2021-1, Class B, 3.571%, 11/15/2046, 144A(a) | $ | 14,512,291 | ||||
| 10,753,680 | SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A(c) | 10,491,011 | ||||||
| 9,176,486 | Willis Engine Structured Trust, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A(c) | 8,929,446 | ||||||
|
| |||||||
| 73,175,816 | ||||||||
|
| |||||||
| ABS Whole Business — 0.2% |
| |||||||
| 2,313,375 | Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A | 2,275,031 | ||||||
| 9,300,000 | Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.294%, 8/25/2051, 144A | 9,193,236 | ||||||
|
| |||||||
| 11,468,267 | ||||||||
|
| |||||||
| Aerospace & Defense — 1.7% |
| |||||||
| 14,845,000 | Boeing Co. (The), 3.625%, 2/01/2031 | 15,830,482 | ||||||
| 1,995,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 1,975,609 | ||||||
| 2,660,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 2,756,319 | ||||||
| 4,190,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 4,207,934 | ||||||
| 415,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 430,723 | ||||||
| 6,000,000 | Boeing Co. (The), 3.900%, 5/01/2049 | 6,290,584 | ||||||
| 4,124,000 | Boeing Co. (The), 3.950%, 8/01/2059 | 4,283,636 | ||||||
| 2,795,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 3,256,457 | ||||||
| 9,537,000 | Boeing Co. (The), 5.805%, 5/01/2050 | 12,914,299 | ||||||
| 3,145,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 3,274,731 | ||||||
| 9,576,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 11,126,354 | ||||||
| 8,815,000 | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A | 11,494,407 | ||||||
| 6,485,000 | TransDigm, Inc., 5.500%, 11/15/2027 | 6,679,550 | ||||||
| 370,000 | TransDigm, Inc., 7.500%, 3/15/2027 | 386,650 | ||||||
|
| |||||||
| 84,907,735 | ||||||||
|
| |||||||
| Airlines — 2.0% |
| |||||||
| 15,295,822 | Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A(c) | 16,453,257 | ||||||
| 240,000 | American Airlines Group, Inc., 3.750%, 3/01/2025, 144A | 224,400 | ||||||
| 13,220,000 | American Airlines Group, Inc., 5.000%, 6/01/2022, 144A | 13,247,233 | ||||||
| 1,325,255 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 1,253,201 | ||||||
| 754,678 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 727,735 | ||||||
| 2,655,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 2,760,868 | ||||||
| 3,055,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 3,264,939 | ||||||
| 26,975,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | 28,795,812 | ||||||
| 22,659,281 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(c) | 24,768,180 | ||||||
| 2,851,150 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 2,968,361 | ||||||
| 2,280,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 2,377,436 | ||||||
| 3,415,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A | 3,521,719 | ||||||
|
| |||||||
| 100,363,141 | ||||||||
|
| |||||||
| Automotive — 0.8% |
| |||||||
| 1,210,000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A | 1,260,215 | ||||||
| 5,610,000 | Ford Motor Co., 3.250%, 2/12/2032 | 5,744,640 | ||||||
| Automotive — continued | ||||||||
| 18,505,000 | Ford Motor Co., 4.750%, 1/15/2043 | 20,424,894 | ||||||
| 1,220,000 | Ford Motor Co., 6.625%, 2/15/2028 | 1,431,280 | ||||||
| 1,345,000 | Ford Motor Co., 7.500%, 8/01/2026 | 1,587,167 | ||||||
| 1,500,000 | Ford Motor Credit Co. LLC, 5.113%, 5/03/2029 | 1,704,375 | ||||||
| 2,845,000 | General Motors Co., 5.200%, 4/01/2045 | 3,519,985 | ||||||
| 2,120,000 | General Motors Co., 6.250%, 10/02/2043 | 2,901,092 | ||||||
| 540,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(d) | 577,800 | ||||||
| 865,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(d) | 986,100 | ||||||
|
| |||||||
| 40,137,548 | ||||||||
|
| |||||||
| Banking — 2.3% |
| |||||||
| 6,000,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 8,493,416 | ||||||
| 13,515,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(d) | 14,021,812 | ||||||
| 10,840,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(d) | 11,173,872 | ||||||
| 11,885,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(d) | 11,641,358 | ||||||
| 23,000,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 23,555,080 | ||||||
| 16,322,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 16,686,304 | ||||||
| 1,709,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 1,846,520 | ||||||
| 14,965,000 | NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035 | 14,752,497 | ||||||
| 13,520,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 14,730,472 | ||||||
|
| |||||||
| 116,901,331 | ||||||||
|
| |||||||
| Brokerage — 0.5% |
| |||||||
| 14,755,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 19,559,137 | ||||||
| 7,155,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A | 7,616,420 | ||||||
|
| |||||||
| 27,175,557 | ||||||||
|
| |||||||
| Building Materials — 1.4% |
| |||||||
| 39,005,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 38,861,852 | ||||||
| 2,395,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 2,571,631 | ||||||
| 6,090,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(d) | 6,303,150 | ||||||
| 3,255,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | 3,340,086 | ||||||
| 1,859,000 | Masco Corp., 6.500%, 8/15/2032 | 2,458,263 | ||||||
| 1,226,000 | Masco Corp., 7.750%, 8/01/2029 | 1,637,572 | ||||||
| 10,800,000 | Owens Corning, 7.000%, 12/01/2036 | 15,250,210 | ||||||
|
| |||||||
| 70,422,764 | ||||||||
|
| |||||||
| Cable Satellite — 4.5% |
| |||||||
| 34,275,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 33,720,688 | ||||||
| 43,315,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051 | 41,876,368 | ||||||
| 9,570,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061 | 9,024,602 | ||||||
| 31,570,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062 | 30,413,896 | ||||||
| 28,975,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 27,417,594 | ||||||
See accompanying notes to financial statements.
| 66
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Cable Satellite — continued |
| |||||||
| $ | 5,670,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | $ | 5,464,462 | ||||
| 16,340,000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | 16,917,946 | ||||||
| 1,360,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A | 1,354,900 | ||||||
| 3,705,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A | 3,792,846 | ||||||
| 6,470,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 5,887,700 | ||||||
| 22,190,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 22,540,269 | ||||||
| 6,568,000 | DISH DBS Corp., 5.875%, 11/15/2024 | 6,747,044 | ||||||
| 15,865,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 16,737,575 | ||||||
| 4,915,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 5,050,162 | ||||||
|
| |||||||
| 226,946,052 | ||||||||
|
| |||||||
| Chemicals — 0.7% |
| |||||||
| 13,380,000 | Ashland LLC, 3.375%, 9/01/2031, 144A | 13,279,650 | ||||||
| 1,320,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 1,403,820 | ||||||
| 6,735,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 7,762,087 | ||||||
| 905,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A | 908,303 | ||||||
| 6,275,000 | Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A | 6,517,717 | ||||||
| 2,295,000 | SPCM S.A., 3.125%, 3/15/2027, 144A | 2,267,873 | ||||||
| 2,125,000 | SPCM S.A., 3.375%, 3/15/2030, 144A | 2,045,313 | ||||||
|
| |||||||
| 34,184,763 | ||||||||
|
| |||||||
| Consumer Cyclical Services — 1.8% |
| |||||||
| 10,550,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 10,469,240 | ||||||
| 5,500,000 | Terminix Co. LLC (The), 7.450%, 8/15/2027 | 6,875,000 | ||||||
| 9,620,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A | 9,583,925 | ||||||
| 8,505,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 8,660,981 | ||||||
| 18,350,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 19,698,725 | ||||||
| 34,335,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 37,366,609 | ||||||
|
| |||||||
| 92,654,480 | ||||||||
|
| |||||||
| Consumer Products — 0.4% |
| |||||||
| 11,880,000 | Avon Products, Inc., 8.450%, 3/15/2043 | 14,612,400 | ||||||
| 6,110,000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A | 5,995,437 | ||||||
|
| |||||||
| 20,607,837 | ||||||||
|
| |||||||
| Diversified Manufacturing — 1.1% |
| |||||||
| 40,505,000 | GE Capital Funding LLC, 4.550%, 5/15/2032 | 47,911,196 | ||||||
| 6,022,000 | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 7,186,415 | ||||||
|
| |||||||
| 55,097,611 | ||||||||
|
| |||||||
| Electric — 0.6% |
| |||||||
| 21,048,688 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 24,200,691 | ||||||
| 3,570,000 | Enel Generacion Chile S.A., 7.875%, 2/01/2027 | 4,330,196 | ||||||
|
| |||||||
| 28,530,887 | ||||||||
|
| |||||||
| Finance Companies — 4.1% |
| |||||||
| 11,210,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(d) | 11,616,362 | ||||||
| 3,585,000 | Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(d) | 3,656,700 | ||||||
| 20,000,000 | Antares Holdings LP, 8.500%, 5/18/2025, 144A | 23,355,126 | ||||||
| 12,880,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 12,822,845 | ||||||
| 13,070,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 12,850,191 | ||||||
| 6,045,000 | Barings BDC, Inc., 3.300%, 11/23/2026, 144A | 5,978,696 | ||||||
| Finance Companies — continued | ||||||||
| 8,325,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 8,282,698 | ||||||
| 7,225,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 7,336,913 | ||||||
| 135,000 | Navient Corp., 5.000%, 3/15/2027 | 137,681 | ||||||
| 3,030,000 | Navient Corp., 5.875%, 10/25/2024 | 3,230,737 | ||||||
| 950,000 | Navient Corp., 6.750%, 6/15/2026 | 1,050,083 | ||||||
| 5,355,000 | Navient Corp., MTN, 5.625%, 8/01/2033 | 5,100,664 | ||||||
| 4,774,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 5,090,277 | ||||||
| 4,075,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 4,645,500 | ||||||
| 8,425,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 8,269,802 | ||||||
| 14,750,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | 15,510,665 | ||||||
| 20,850,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 20,693,625 | ||||||
| 12,520,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 12,566,950 | ||||||
| 37,150,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 37,707,250 | ||||||
| 9,030,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 9,146,306 | ||||||
|
| |||||||
| 209,049,071 | ||||||||
|
| |||||||
| Financial Other — 1.9% |
| |||||||
| 1,650,000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025 | 984,126 | ||||||
| 1,120,000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026 | 657,350 | ||||||
| 1,225,000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025 | 788,410 | ||||||
| 6,150,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 3,671,058 | ||||||
| 3,120,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027, 144A | 3,036,775 | ||||||
| 2,060,000 | Central China Real Estate Ltd., 7.250%, 4/24/2023 | 1,411,100 | ||||||
| 2,370,000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(e) | 643,194 | ||||||
| 4,045,000 | CFLD Cayman Investment Ltd., 6.920%, 6/16/2022(e) | 1,098,541 | ||||||
| 2,835,000 | CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(e) | 779,937 | ||||||
| 2,520,000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(e) | 685,390 | ||||||
| 2,955,000 | CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(e) | 775,688 | ||||||
| 1,035,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(f)(g) | 201,432 | ||||||
| 2,400,000 | China Aoyuan Group Ltd., 6.350%, 2/08/2024(f)(g) | 466,152 | ||||||
| 1,240,000 | China Aoyuan Group Ltd., 7.950%, 2/19/2023(f)(g) | 240,845 | ||||||
| 1,800,000 | China Evergrande Group, 8.250%, 3/23/2022(e)(f)(g) | 334,908 | ||||||
| 4,045,000 | China Evergrande Group, 8.750%, 6/28/2025(e) | 606,346 | ||||||
| 1,405,000 | China Evergrande Group, 9.500%, 4/11/2022(e)(f)(g) | 220,936 | ||||||
| 335,000 | China Evergrande Group, 9.500%, 3/29/2024(e) | 50,578 | ||||||
| 4,060,000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026 | 3,777,465 | ||||||
| 24,490,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 23,877,750 | ||||||
| 3,580,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 3,681,779 | ||||||
| 6,925,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(e) | 1,821,414 | ||||||
| 1,415,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(e) | 373,348 | ||||||
See accompanying notes to financial statements.
67 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Financial Other — continued | ||||||||
| $ | 1,600,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(e)(f)(g) | $ | 420,608 | ||||
| 8,085,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(e)(f)(g) | 2,120,453 | ||||||
| 7,075,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(e)(f)(g) | 1,851,669 | ||||||
| 4,795,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(e) | 1,257,489 | ||||||
| 1,380,000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026 | 979,800 | ||||||
| 3,760,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026 | 2,671,480 | ||||||
| 11,820,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A | 12,056,400 | ||||||
| 2,880,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031 | 1,641,312 | ||||||
| 400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030 | 236,768 | ||||||
| 1,830,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027 | 1,107,681 | ||||||
| 280,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026 | 174,703 | ||||||
| 1,970,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024 | 1,263,184 | ||||||
| 3,610,000 | Sunac China Holdings Ltd., 6.500%, 1/10/2025 | 2,283,325 | ||||||
| 8,570,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026 | 5,420,439 | ||||||
| 3,125,000 | Sunac China Holdings Ltd., 7.000%, 7/09/2025 | 1,976,406 | ||||||
| 720,000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 486,281 | ||||||
| 4,030,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 2,748,218 | ||||||
| 23,285,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(f)(g) | 6,516,074 | ||||||
| 1,245,000 | Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(f)(g) | 348,214 | ||||||
| 3,155,000 | Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(f)(g) | 914,319 | ||||||
|
| |||||||
| 96,659,345 | ||||||||
|
| |||||||
| Food & Beverage — 2.0% |
| |||||||
| 45,450,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 53,339,665 | ||||||
| 27,125,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 25,904,646 | ||||||
| 11,860,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 12,026,396 | ||||||
| 630,000 | Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A | 661,500 | ||||||
| 10,455,000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A | 10,376,588 | ||||||
|
| |||||||
| 102,308,795 | ||||||||
|
| |||||||
| Gaming — 0.8% |
| |||||||
| 12,960,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 12,635,215 | ||||||
| 3,845,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 3,865,725 | ||||||
| 5,475,000 | International Game Technology PLC, 6.250%, 1/15/2027, 144A | 6,132,000 | ||||||
| 3,265,000 | Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A | 3,167,050 | ||||||
| 12,590,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 13,408,350 | ||||||
| 740,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 825,100 | ||||||
|
| |||||||
| 40,033,440 | ||||||||
|
| |||||||
| Government Owned – No Guarantee — 1.3% |
| |||||||
| 495,000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A | 485,075 | ||||||
| 5,740,000 | EcoPetrol S.A., 4.625%, 11/02/2031 | 5,580,428 | ||||||
| 1,999,900,000 | Export-Import Bank of Korea, 4.890%, 8/09/2023, 144A, (INR)(c) | 26,600,173 | ||||||
| 455,800,000 | Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(c) | 6,176,459 | ||||||
| 6,535,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A | 8,532,867 | ||||||
| 6,586,000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 6,327,796 | ||||||
| 12,239,000 | Petroleos Mexicanos, 6.950%, 1/28/2060 | 10,923,308 | ||||||
|
| |||||||
| 64,626,106 | ||||||||
|
| |||||||
| Health Insurance — 0.7% |
| |||||||
| 21,450,000 | Centene Corp., 2.500%, 3/01/2031 | 20,881,897 | ||||||
| 6,390,000 | Centene Corp., 2.625%, 8/01/2031 | 6,262,200 | ||||||
| 4,510,000 | Centene Corp., 3.000%, 10/15/2030 | 4,584,460 | ||||||
| 4,280,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A | 4,306,750 | ||||||
|
| |||||||
| 36,035,307 | ||||||||
|
| |||||||
| Healthcare — 0.3% |
| |||||||
| 9,645,000 | Avantor Funding, Inc., 3.875%, 11/01/2029, 144A | 9,750,227 | ||||||
| 3,285,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A | 3,240,324 | ||||||
| 1,980,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A | 1,999,800 | ||||||
| 2,110,000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A | 2,161,927 | ||||||
|
| |||||||
| 17,152,278 | ||||||||
|
| |||||||
| Home Construction — 1.2% |
| |||||||
| 4,720,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024 | 2,968,597 | ||||||
| 1,060,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024 | 657,200 | ||||||
| 3,260,000 | Central China Real Estate Ltd., 7.500%, 7/14/2025 | 2,021,200 | ||||||
| 4,415,000 | Central China Real Estate Ltd., 7.650%, 8/27/2023 | 2,906,130 | ||||||
| 1,305,000 | Central China Real Estate Ltd., 7.750%, 5/24/2024 | 812,363 | ||||||
| 2,210,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025 | 2,014,061 | ||||||
| 1,320,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026 | 1,194,534 | ||||||
| 25,060,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 32,227,900 | ||||||
| 5,500,000 | PulteGroup, Inc., 6.375%, 5/15/2033 | 7,151,870 | ||||||
| 9,395,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(f)(g) | 2,727,087 | ||||||
| 5,345,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(f)(g) | 1,481,687 | ||||||
| 4,535,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026 | 2,912,241 | ||||||
| 365,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026 | 232,965 | ||||||
| 715,000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025 | 458,765 | ||||||
|
| |||||||
| 59,766,600 | ||||||||
|
| |||||||
| Independent Energy — 2.8% |
| |||||||
| 9,350,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 9,900,619 | ||||||
| 16,245,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 17,565,055 | ||||||
| 6,638,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 9.000%, 11/01/2027, 144A | 8,887,220 | ||||||
| 6,020,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 7,089,272 | ||||||
| 6,210,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 6,116,850 | ||||||
| 8,120,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 7,957,600 | ||||||
| 810,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 831,489 | ||||||
| 7,740,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 8,030,250 | ||||||
| 2,180,000 | EQT Corp., 3.900%, 10/01/2027 | 2,338,094 | ||||||
| 1,535,000 | EQT Corp., 5.000%, 1/15/2029 | 1,700,012 | ||||||
| 550,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 582,521 | ||||||
| 10,835,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A | 11,625,305 | ||||||
| 17,908,000 | Mesquite Energy, Inc., 6.125%, 1/15/2023(e)(f)(h)(i) | 1,196,254 | ||||||
See accompanying notes to financial statements.
| 68
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Independent Energy — continued |
| |||||||
| $ | 9,520,000 | Mesquite Energy, Inc., 7.750%, 6/15/2021(e)(f)(h)(i) | $ | 635,936 | ||||
| 540,000 | Occidental Petroleum Corp., 4.500%, 7/15/2044 | 556,016 | ||||||
| 32,720,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 40,491,000 | ||||||
| 7,655,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 9,849,446 | ||||||
| 540,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 700,598 | ||||||
| 2,715,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 3,554,201 | ||||||
| 360,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 469,149 | ||||||
| 675,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 879,871 | ||||||
| 1,495,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 1,987,976 | ||||||
| 1,295,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1,363,771 | ||||||
| 151,000 | Southwestern Energy Co., 6.450%, 1/23/2025 | 165,949 | ||||||
|
| |||||||
| 144,474,454 | ||||||||
|
| |||||||
| Industrial Other — 0.1% |
| |||||||
| 800,000 | CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(e) | 216,792 | ||||||
| 3,985,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 4,089,606 | ||||||
|
| |||||||
| 4,306,398 | ||||||||
|
| |||||||
| Leisure — 0.8% |
| |||||||
| 11,785,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 11,785,000 | ||||||
| 6,065,000 | Carnival Corp., 6.000%, 5/01/2029, 144A | 6,034,675 | ||||||
| 6,575,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 6,545,873 | ||||||
| 2,415,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 2,378,775 | ||||||
| 230,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 222,777 | ||||||
| 12,300,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 12,442,188 | ||||||
|
| |||||||
| 39,409,288 | ||||||||
|
| |||||||
| Life Insurance — 0.9% |
| |||||||
| 20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A(f)(g) | 32,078,400 | ||||||
| 8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A(f)(g) | 11,949,767 | ||||||
|
| |||||||
| 44,028,167 | ||||||||
|
| |||||||
| Lodging — 0.8% |
| |||||||
| 7,620,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 7,579,919 | ||||||
| 1,745,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 1,745,000 | ||||||
| 5,385,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 5,519,625 | ||||||
| 4,155,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 4,182,090 | ||||||
| 13,945,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 14,063,323 | ||||||
| 7,670,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 7,708,350 | ||||||
| 970,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 1,054,167 | ||||||
| 1,120,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 1,241,901 | ||||||
|
| |||||||
| 43,094,375 | ||||||||
|
| |||||||
| Media Entertainment — 0.9% |
| |||||||
| 5,500,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | 5,465,625 | ||||||
| 3,925,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 3,980,421 | ||||||
| 1,925,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 2,002,192 | ||||||
| 1,325,000 | Netflix, Inc., 4.875%, 4/15/2028 | 1,510,500 | ||||||
| 11,680,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 13,621,800 | ||||||
| 1,305,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 1,549,688 | ||||||
| Media Entertainment — continued |
| |||||||
| 6,520,000 | Netflix, Inc., 5.875%, 11/15/2028 | 7,840,300 | ||||||
| 7,670,000 | Netflix, Inc., 6.375%, 5/15/2029 | 9,529,975 | ||||||
|
| |||||||
| 45,500,501 | ||||||||
|
| |||||||
| Metals & Mining — 3.1% |
| |||||||
| 8,090,000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | 7,932,730 | ||||||
| 13,790,000 | Anglo American Capital PLC, 2.875%, 3/17/2031, 144A | 13,724,953 | ||||||
| 22,016,000 | ArcelorMittal S.A., 6.750%, 3/01/2041 | 29,723,802 | ||||||
| 2,630,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 2,731,913 | ||||||
| 35,930,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 38,669,662 | ||||||
| 1,810,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 1,861,947 | ||||||
| 9,590,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 10,069,500 | ||||||
| 22,815,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 27,777,262 | ||||||
| 12,330,000 | Glencore Funding LLC, 2.500%, 9/01/2030, 144A | 11,979,828 | ||||||
| 6,185,000 | Glencore Funding LLC, 2.850%, 4/27/2031, 144A | 6,113,737 | ||||||
| 6,230,000 | JSW Steel Ltd., 5.050%, 4/05/2032, 144A | 6,132,897 | ||||||
| 1,900,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 1,831,125 | ||||||
|
| |||||||
| 158,549,356 | ||||||||
|
| |||||||
| Midstream — 0.6% |
| |||||||
| 11,365,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 11,450,237 | ||||||
| 1,430,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 1,615,900 | ||||||
| 2,530,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 2,511,025 | ||||||
| 505,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 707,020 | ||||||
| 3,515,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A | 3,673,175 | ||||||
| 1,750,000 | Western Midstream Operating LP, 5.300%, 2/01/2030 | 1,923,320 | ||||||
| 2,710,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 3,265,564 | ||||||
| 745,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 890,275 | ||||||
| 560,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 668,931 | ||||||
| 2,310,000 | Western Midstream Operating LP, 6.500%, 2/01/2050 | 2,731,587 | ||||||
|
| |||||||
| 29,437,034 | ||||||||
|
| |||||||
| Non-Agency Commercial Mortgage-Backed Securities — 1.5% |
| |||||||
| 335,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A | 338,656 | ||||||
| 7,375,000 | BPR Trust, Series 2021-NRD, Class F, 30-day Average SOFR + 6.870%, 6.970%, 12/15/2023, 144A(b) | 7,356,650 | ||||||
| 10,565,000 | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 4.876%, 9/10/2045, 144A(a) | 10,586,320 | ||||||
| 125,000 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A | 124,240 | ||||||
| 1,095,000 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a) | 1,094,320 | ||||||
See accompanying notes to financial statements.
69 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Non-Agency Commercial Mortgage-Backed Securities — continued |
| |||||||
| $ | 2,925,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A | $ | 2,868,237 | ||||
| 1,690,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A | 1,579,087 | ||||||
| 5,785,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.689%, 6/10/2047, 144A(a) | 5,141,073 | ||||||
| 1,385,178 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class D, 5.733%, 8/15/2046, 144A(a) | 1,375,205 | ||||||
| 3,980,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class E, 4.000%, 8/15/2046, 144A(a) | 3,244,496 | ||||||
| 10,664,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.672%, 10/15/2045, 144A(a)(c) | 10,521,929 | ||||||
| 290,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.363%, 12/15/2047, 144A(a) | 285,614 | ||||||
| 3,110,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(a) | 3,052,314 | ||||||
| 4,010,000 | MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 1.910%, 11/15/2038, 144A(b) | 3,999,947 | ||||||
| 4,901,000 | Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.412%, 3/15/2045, 144A(a) | 4,633,383 | ||||||
| 5,285,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.306%, 7/15/2046(a) | 5,245,947 | ||||||
| 4,340,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class B, 4.322%, 8/15/2050 | 4,017,758 | ||||||
| 1,315,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 1,306,095 | ||||||
| 4,000,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.503%, 8/15/2046(a) | 3,957,147 | ||||||
| 2,612,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C, 4.503%, 8/15/2046(a) | 2,397,253 | ||||||
| 940,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 955,399 | ||||||
|
| |||||||
| 74,081,070 | ||||||||
|
| |||||||
| Paper — 0.9% |
| |||||||
| 15,225,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 | 21,277,995 | ||||||
| 4,865,000 | WestRock MWV LLC, 7.950%, 2/15/2031 | 6,859,088 | ||||||
| 8,750,000 | WestRock MWV LLC, 8.200%, 1/15/2030 | 12,131,049 | ||||||
| 2,840,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 | 3,589,143 | ||||||
|
| |||||||
| 43,857,275 | ||||||||
|
| |||||||
| Pharmaceuticals — 1.3% |
| |||||||
| 8,565,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 7,879,800 | ||||||
| 1,875,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 1,650,000 | ||||||
| 5,420,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 4,762,825 | ||||||
| 2,655,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 2,708,684 | ||||||
| 1,995,000 | Jazz Securities DAC, 4.375%, 1/15/2029, 144A | 2,065,703 | ||||||
| 7,750,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 8,124,325 | ||||||
| Pharmaceuticals — continued |
| |||||||
| 18,640,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 15,750,800 | ||||||
| 12,060,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 11,949,892 | ||||||
| 8,725,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 8,553,205 | ||||||
|
| |||||||
| 63,445,234 | ||||||||
|
| |||||||
| Property & Casualty Insurance — 0.3% |
| |||||||
| 12,510,000 | MBIA Insurance Corp., 3-month LIBOR + 11.260%, 11.384%, 1/15/2033, 144A(b)(f)(h)(i)(j) | 1,501,200 | ||||||
| 11,310,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 11,452,134 | ||||||
|
| |||||||
| 12,953,334 | ||||||||
|
| |||||||
| REITs – Diversified — 0.1% |
| |||||||
| 2,735,000 | EPR Properties, 3.600%, 11/15/2031 | 2,705,852 | ||||||
|
| |||||||
| Restaurants — 0.4% |
| |||||||
| 19,175,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 20,375,739 | ||||||
|
| |||||||
| Retailers — 0.6% |
| |||||||
| 3,665,000 | Carvana Co., 5.500%, 4/15/2027, 144A | 3,628,350 | ||||||
| 3,250,000 | Carvana Co., 5.625%, 10/01/2025, 144A | 3,254,128 | ||||||
| 6,245,000 | Carvana Co., 5.875%, 10/01/2028, 144A | 6,251,058 | ||||||
| 3,325,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 3,877,116 | ||||||
| 1,500,000 | Dillard’s, Inc., 7.750%, 7/15/2026 | 1,751,985 | ||||||
| 3,975,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 4,078,111 | ||||||
| 6,365,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 7,480,148 | ||||||
| 2,555,000 | Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A | 2,539,031 | ||||||
|
| |||||||
| 32,859,927 | ||||||||
|
| |||||||
| Sovereigns — 1.0% |
| |||||||
| 30,640,000 | Mexico Government International Bond, 3.771%, 5/24/2061 | 28,222,811 | ||||||
| 20,885,000 | Mexico Government International Bond, 4.280%, 8/14/2041 | 21,642,081 | ||||||
|
| |||||||
| 49,864,892 | ||||||||
|
| |||||||
| Supermarkets — 0.1% |
| |||||||
| 2,290,000 | Safeway, Inc., 7.250%, 2/01/2031 | 2,697,002 | ||||||
|
| |||||||
| Supranational — 0.1% |
| |||||||
| 525,240,000 | International Finance Corp., 5.850%, 11/25/2022, (INR)(c) | 7,103,909 | ||||||
|
| |||||||
| Technology — 1.7% |
| |||||||
| 5,770,000 | Block, Inc., 3.500%, 6/01/2031, 144A | 5,914,250 | ||||||
| 18,245,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 18,981,824 | ||||||
| 15,295,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 14,300,825 | ||||||
| 14,915,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 14,822,676 | ||||||
| 1,215,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 1,227,150 | ||||||
| 13,195,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 13,656,561 | ||||||
| 5,050,000 | MSCI, Inc., 3.250%, 8/15/2033, 144A | 5,106,813 | ||||||
| 6,230,000 | Oracle Corp., 3.950%, 3/25/2051 | 6,467,408 | ||||||
| 5,200,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 5,310,500 | ||||||
| 1,100,000 | Western Digital Corp., 2.850%, 2/01/2029 | 1,110,593 | ||||||
| 750,000 | Western Digital Corp., 3.100%, 2/01/2032 | 755,475 | ||||||
|
| |||||||
| 87,654,075 | ||||||||
|
| |||||||
| Transportation Services — 0.4% |
| |||||||
| 4,150,000 | Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A | 3,951,920 | ||||||
| 14,685,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 15,237,392 | ||||||
See accompanying notes to financial statements.
| 70
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Transportation Services — continued |
| |||||||
| $ | 1,240,000 | GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A | $ | 1,198,572 | ||||
| 255,000 | GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A | 254,401 | ||||||
|
| |||||||
| 20,642,285 | ||||||||
|
| |||||||
| Treasuries — 14.0% |
| |||||||
| 142,342(††) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL) | 25,141,774 | ||||||
| 5,454,785(†††) | Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN) | 26,658,928 | ||||||
| 2,231,823(†††) | Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN) | 11,469,492 | ||||||
| 21,390,000 | U.S. Treasury Note, 0.125%, 11/30/2022(c) | 21,341,538 | ||||||
| 109,525,000 | U.S. Treasury Note, 0.125%, 12/31/2022(c)(k) | 109,186,992 | ||||||
| 90,085,000 | U.S. Treasury Note, 0.125%, 1/31/2023(c) | 89,775,333 | ||||||
| 208,955,000 | U.S. Treasury Note, 0.125%, 2/28/2023(c) | 208,097,958 | ||||||
| 53,450,000 | U.S. Treasury Note, 0.125%, 4/30/2023(c) | 53,163,959 | ||||||
| 12,675,000 | U.S. Treasury Note, 0.250%, 9/30/2023 | 12,585,879 | ||||||
| 152,810,000 | U.S. Treasury Note, 0.500%, 11/30/2023(c) | 152,225,025 | ||||||
|
| |||||||
| 709,646,878 | ||||||||
|
| |||||||
| Wireless — 2.9% |
| |||||||
| 6,300,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A | 6,369,913 | ||||||
| 20,720,000 | HTA Group Ltd., 7.000%, 12/18/2025 | 21,569,520 | ||||||
| 1,200,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 1,249,200 | ||||||
| 6,140,000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 6,192,190 | ||||||
| 6,140,000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A | 6,216,750 | ||||||
| 7,228,000 | IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A | 7,656,548 | ||||||
| 2,580,000 | Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A | 2,524,014 | ||||||
| 5,345,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 5,569,918 | ||||||
| 490,000 | Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A | 504,930 | ||||||
| 1,903,500 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 1,971,265 | ||||||
| 4,225,500 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | 4,593,964 | ||||||
| 16,600,000 | SBA Communications Corp., 3.125%, 2/01/2029, 144A | 15,936,000 | ||||||
| 8,849,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 8,597,117 | ||||||
| 4,091,000 | SoftBank Group Corp., 5.250%, 7/06/2031 | 4,085,886 | ||||||
| 4,050,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029, 144A | 4,089,203 | ||||||
| 7,265,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032, 144A | 7,309,766 | ||||||
| 27,610,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 28,132,933 | ||||||
| 13,640,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 14,190,783 | ||||||
|
| |||||||
| 146,759,900 | ||||||||
|
| |||||||
| Wirelines — 0.5% |
| |||||||
| 350,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 372,778 | ||||||
| 1,240,000 | Lumen Technologies, Inc., 5.625%, 4/01/2025 | 1,311,573 | ||||||
| 6,071,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 6,421,084 | ||||||
| 16,440,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 17,702,674 | ||||||
|
| |||||||
| 25,808,109 | ||||||||
|
| |||||||
| Total Non-Convertible Bonds (Identified Cost $3,573,681,581) | 3,623,162,061 | |||||||
|
| |||||||
| Convertible Bonds — 7.1% | ||||||||
| Airlines — 0.6% |
| |||||||
| 3,695,000 | JetBlue Airways Corp., 0.500%, 4/01/2026, 144A | 3,444,544 | ||||||
| 21,130,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 28,166,290 | ||||||
|
| |||||||
| 31,610,834 | ||||||||
|
| |||||||
| Cable Satellite — 3.0% |
| |||||||
| 14,660,000 | DISH Network Corp., 2.375%, 3/15/2024 | 14,036,950 | ||||||
| 143,750,000 | DISH Network Corp., 3.375%, 8/15/2026 | 136,066,994 | ||||||
|
| |||||||
| 150,103,944 | ||||||||
|
| |||||||
| Consumer Cyclical Services — 0.4% |
| |||||||
| 205,000 | Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(l) | 235,853 | ||||||
| 5,830,000 | Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(m) | 4,940,925 | ||||||
| 12,095,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(m) | 11,961,592 | ||||||
| 1,200,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 1,928,250 | ||||||
|
| |||||||
| 19,066,620 | ||||||||
|
| |||||||
| Gaming — 0.1% |
| |||||||
| 2,335,000 | Penn National Gaming, Inc., 2.750%, 5/15/2026 | 5,533,962 | ||||||
|
| |||||||
| Healthcare — 0.5% |
| |||||||
| 29,355,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 26,731,397 | ||||||
|
| |||||||
| Leisure — 0.2% |
| |||||||
| 11,050,000 | NCL Corp. Ltd., 1.125%, 2/15/2027, 144A | 10,384,127 | ||||||
|
| |||||||
| Media Entertainment — 0.5% |
| |||||||
| 5,925,000 | Bilibili, Inc., 0.500%, 12/01/2026, 144A | 5,042,175 | ||||||
| 8,280,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(l) | 7,415,568 | ||||||
| 15,775,000 | Zynga, Inc., Zero Coupon, 0.456%-1.992%, 12/15/2026(c)(m) | 14,396,128 | ||||||
|
| |||||||
| 26,853,871 | ||||||||
|
| |||||||
| Pharmaceuticals — 1.1% |
| |||||||
| 8,280,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 8,657,568 | ||||||
| 27,195,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 28,367,104 | ||||||
| 5,015,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(l) | 4,410,191 | ||||||
| 9,520,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 10,917,346 | ||||||
|
| |||||||
| 52,352,209 | ||||||||
|
| |||||||
| Technology — 0.7% |
| |||||||
| 5,380,000 | Nutanix, Inc., 0.250%, 10/01/2027, 144A | 4,895,800 | ||||||
| 10,440,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 19,777,536 | ||||||
| 13,215,000 | Splunk, Inc., 1.125%, 6/15/2027 | 12,322,987 | ||||||
|
| |||||||
| 36,996,323 | ||||||||
|
| |||||||
| Total Convertible Bonds (Identified Cost $377,993,933) | 359,633,287 | |||||||
|
| |||||||
| Municipals — 1.4% | ||||||||
| Virginia — 1.4% |
| |||||||
| 66,375,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $66,369,252) | 69,730,103 | ||||||
|
| |||||||
| Total Bonds and Notes (Identified Cost $4,018,044,766) | 4,052,525,451 | |||||||
|
| |||||||
See accompanying notes to financial statements.
71 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund – (continued)
| Principal Amount (‡) | Description | Value (†) | ||||||
| Senior Loans — 0.9% | ||||||||
| Airlines — 0.1% |
| |||||||
| $ | 5,869,137 | United Airlines, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 4/21/2028(b)(n) | $ | 5,877,119 | ||||
|
| |||||||
| Chemicals — 0.1% |
| |||||||
| 7,037,600 | Aruba Investments, Inc., 2020 2nd Lien Term Loan, 6-month LIBOR + 7.750%, 8.500%, 11/24/2028(b)(n) | 7,049,353 | ||||||
|
| |||||||
| Healthcare — 0.1% |
| |||||||
| 4,651,489 | Medline Borrower, LP, USD Term Loan B, 1-month LIBOR + 3.250%, 3.750%, 10/23/2028(b)(o) | 4,649,442 | ||||||
|
| |||||||
| Independent Energy — 0.3% |
| |||||||
| 12,660,000 | Ascent Resources – Utica, 2020 Fixed 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 10.000%, 11/01/2025(b)(p) | 13,651,658 | ||||||
|
| |||||||
| Lodging — 0.2% |
| |||||||
| 6,010,723 | Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 1-month LIBOR + 3.000%, 3.500%, 8/02/2028(b)(o) | 6,015,231 | ||||||
| 2,369,063 | Motel 6, Term Loan B, 1-month LIBOR + 5.000%, 5.750%, 9/09/2026(b)(n) | 2,379,439 | ||||||
|
| |||||||
| 8,394,670 | ||||||||
|
| |||||||
| Pharmaceuticals — 0.1% |
| |||||||
| 5,183,950 | Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(b)(o) | 5,200,487 | ||||||
|
| |||||||
| Total Senior Loans (Identified Cost $43,566,947) | 44,822,729 | |||||||
|
| |||||||
| Collateralized Loan Obligations — 2.7% | ||||||||
| 4,475,000 | AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 1.730%, 7/20/2034, 144A(b)(c) | 4,444,709 | ||||||
| 4,955,000 | AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 2.980%, 7/20/2034, 144A(b) | 4,954,813 | ||||||
| 1,245,000 | AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 3.224%, 7/15/2034, 144A(b) | 1,244,986 | ||||||
| 4,390,000 | AIG CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 3.078%, 4/22/2034, 144A(b) | 4,325,365 | ||||||
| 3,780,000 | AIG CLO Ltd., Series 2021-2A, Class D, 3-month LIBOR + 3.050%, 3.140%, 7/20/2034, 144A(b) | 3,761,664 | ||||||
| 2,675,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 3.116%, 10/15/2034, 144A(b) | 2,680,090 | ||||||
| 6,730,000 | Assurant CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 3.232%, 10/20/2031, 144A(b) | 6,729,922 | ||||||
| 3,025,000 | Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 3.224%, 7/25/2034, 144A(b) | 3,024,982 | ||||||
| 1,505,000 | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 3.122%, 1/17/2032, 144A(b) | 1,504,985 | ||||||
| 3,530,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 3.082%, 7/20/2032, 144A(b) | 3,526,610 | ||||||
| 3,095,000 | CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 3.371%, 7/15/2034, 144A(b) | 3,102,966 | ||||||
| 4,775,000 | Crown City CLO I, Series 2020-1A, Class CR, 3-month LIBOR + 3.420%, 3.552%, 7/20/2034, 144A(b) | 4,774,933 | ||||||
| 5,230,000 | Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 3.232%, 10/20/2034, 144A(b) | 5,244,344 | ||||||
| 2,890,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 2.982%, 1/20/2034, 144A(b) | 2,867,539 | ||||||
| 980,000 | LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 2.132%, 4/20/2031, 144A(b) | 977,479 | ||||||
| 2,965,000 | LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 3.132%, 4/20/2031, 144A(b) | 2,946,556 | ||||||
| 10,665,000 | Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 3.335%, 7/27/2031, 144A(b) | 10,675,285 | ||||||
| 990,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.124%, 1/23/2031, 144A(b) | 990,059 | ||||||
| 6,010,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 1.774%, 7/15/2034, 144A(b)(c) | 6,009,984 | ||||||
| 8,055,000 | OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 3.232%, 7/20/2032, 144A(b) | 8,054,907 | ||||||
| 7,155,000 | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 3.274%, 7/15/2034, 144A(b) | 7,173,623 | ||||||
| 3,125,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 3.424%, 7/15/2036, 144A(b) | 3,141,312 | ||||||
| 8,250,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 1.782%, 7/02/2035, 144A(b)(c) | 8,221,624 | ||||||
| 6,450,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 3.032%, 7/02/2035, 144A(b) | 6,393,678 | ||||||
| 9,695,000 | Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 1.624%, 10/17/2031, 144A(b)(c) | 9,646,841 | ||||||
| 970,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 1.860%, 5/21/2034, 144A(b) | 971,381 | ||||||
| 7,615,000 | Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%, 3.010%, 5/21/2034, 144A(b) | 7,556,409 | ||||||
| 12,510,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 6.186%, 10/15/2034, 144A(b) | 12,002,057 | ||||||
| 400,000 | THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 3.082%, 1/20/2031, 144A(b) | 394,880 | ||||||
| 1,540,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 3.893%, 10/20/2034, 144A(b) | 1,552,592 | ||||||
|
| |||||||
| Total Collateralized Loan Obligations (Identified Cost $139,661,389) | 138,896,575 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 72
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund — (continued)
| Shares | Description | Value (†) | ||||||
| Common Stocks — 10.9% | ||||||||
| Aerospace & Defense — 0.3% |
| |||||||
| 45,658 | Lockheed Martin Corp. | $ | 16,227,310 | |||||
|
| |||||||
| Air Freight & Logistics — 0.3% |
| |||||||
| 67,232 | United Parcel Service, Inc., Class B | 14,410,507 | ||||||
|
| |||||||
| Beverages — 0.3% |
| |||||||
| 272,797 | Coca-Cola Co. (The) | 16,152,310 | ||||||
|
| |||||||
| Biotechnology — 0.3% |
| |||||||
| 124,546 | AbbVie, Inc. | 16,863,528 | ||||||
|
| |||||||
| Capital Markets — 0.5% |
| |||||||
| 14,753 | BlackRock, Inc. | 13,507,257 | ||||||
| 143,912 | Morgan Stanley | 14,126,402 | ||||||
|
| |||||||
| 27,633,659 | ||||||||
|
| |||||||
| Chemicals — 0.3% |
| |||||||
| 486,632 | Hexion Holdings Corp., Class B(j) | 13,625,696 | ||||||
|
| |||||||
| Communications Equipment — 0.3% |
| |||||||
| 256,402 | Cisco Systems, Inc. | 16,248,195 | ||||||
|
| |||||||
| Electric Utilities — 0.6% |
| |||||||
| 143,912 | Duke Energy Corp. | 15,096,369 | ||||||
| 168,648 | NextEra Energy, Inc. | 15,744,977 | ||||||
|
| |||||||
| 30,841,346 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
| 363,031 | Corning, Inc. | 13,515,644 | ||||||
|
| |||||||
| Food & Staples Retailing — 0.3% |
| |||||||
| 97,415 | Walmart, Inc. | 14,094,976 | ||||||
|
| |||||||
| Health Care Equipment & Supplies — 0.3% |
| |||||||
| 103,141 | Abbott Laboratories | 14,516,064 | ||||||
|
| |||||||
| Health Care Providers & Services — 0.5% |
| |||||||
| 30,276 | Anthem, Inc. | 14,034,137 | ||||||
| 19,299 | UnitedHealth Group, Inc. | 9,690,800 | ||||||
|
| |||||||
| 23,724,937 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 0.3% |
| |||||||
| 128,494 | Starbucks Corp. | 15,029,943 | ||||||
|
| |||||||
| Household Products — 0.3% |
| |||||||
| 98,202 | Procter & Gamble Co. (The) | 16,063,883 | ||||||
|
| |||||||
| IT Services — 0.5% |
| |||||||
| 38,260 | Accenture PLC, Class A | 15,860,683 | ||||||
| 30,584 | Automatic Data Processing, Inc. | 7,541,403 | ||||||
|
| |||||||
| 23,402,086 | ||||||||
|
| |||||||
| Machinery — 0.5% |
| |||||||
| 61,122 | Cummins, Inc. | 13,333,153 | ||||||
| 40,037 | Deere & Co. | 13,728,287 | ||||||
|
| |||||||
| 27,061,440 | ||||||||
|
| |||||||
| Media — 0.8% |
| |||||||
| 888,696 | Altice USA, Inc., Class A(j) | 14,379,101 | ||||||
| 330,415 | Comcast Corp., Class A | 16,629,787 | ||||||
| 461,939 | iHeartMedia, Inc., Class A(j) | 9,719,197 | ||||||
|
| |||||||
| 40,728,085 | ||||||||
|
| |||||||
| Metals & Mining — 0.3% |
| |||||||
| 271,209 | Newmont Corp. | 16,820,382 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels — 0.6% |
| |||||||
| 9,229 | Battalion Oil Corp.(j) | 90,444 | ||||||
| 135,703 | Chevron Corp. | 15,924,747 | ||||||
| 26,801 | Ranger Oil Corp., Class A(j) | 721,483 | ||||||
| 21,566 | Whiting Petroleum Corp.(j) | 1,394,889 | ||||||
| 390,271 | Williams Cos., Inc. (The) | 10,162,657 | ||||||
|
| |||||||
| 28,294,220 | ||||||||
|
| |||||||
| Pharmaceuticals — 0.7% |
| |||||||
| 200,334 | Bristol-Myers Squibb Co. | 12,490,825 | ||||||
| 80,387 | Johnson & Johnson | 13,751,804 | ||||||
| 142,266 | Merck & Co., Inc. | 10,903,266 | ||||||
|
| |||||||
| 37,145,895 | ||||||||
|
| |||||||
| Professional Services — 0.0% |
| |||||||
| 5,336 | Clarivate PLC(j) | 125,503 | ||||||
|
| |||||||
| REITs – Diversified — 0.3% |
| |||||||
| 52,651 | American Tower Corp. | 15,400,418 | ||||||
|
| |||||||
| Road & Rail — 0.3% |
| |||||||
| 59,209 | Union Pacific Corp. | 14,916,523 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment — 0.3% |
| |||||||
| 13,344 | Broadcom, Inc. | 8,879,231 | ||||||
| 44,064 | Texas Instruments, Inc. | 8,304,742 | ||||||
|
| |||||||
| 17,183,973 | ||||||||
|
| |||||||
| Software — 0.3% |
| |||||||
| 23,768 | iQor Holdings, Inc.(f)(g)(j) | 174,291 | ||||||
| 42,704 | Microsoft Corp. | 14,362,209 | ||||||
|
| |||||||
| 14,536,500 | ||||||||
|
| |||||||
| Specialty Retail — 0.2% |
| |||||||
| 26,099 | Home Depot, Inc. (The) | 10,831,346 | ||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
| 100,294 | Apple, Inc. | 17,809,206 | ||||||
|
| |||||||
| Wireless Telecommunication Services — 0.8% |
| |||||||
| 329,973 | T-Mobile US, Inc.(j) | 38,270,269 | ||||||
|
| |||||||
| Total Common Stocks (Identified Cost $515,463,369) | 551,473,844 | |||||||
|
| |||||||
| Preferred Stocks — 1.9% | ||||||||
| Convertible Preferred Stocks — 1.6% | ||||||||
| Banking — 0.8% |
| |||||||
| 19,083 | Bank of America Corp., Series L, 7.250% | 27,582,568 | ||||||
| 7,500 | Wells Fargo & Co., Class A, Series L, 7.500% | 11,178,975 | ||||||
|
| |||||||
| 38,761,543 | ||||||||
|
| |||||||
| Food & Beverage — 0.0% |
| |||||||
| 13,400 | Bunge Ltd., 4.875% | 1,695,770 | ||||||
|
| |||||||
| Healthcare — 0.1% |
| |||||||
| 19,923 | Boston Scientific Corp., Series A, 5.500% | 2,284,371 | ||||||
|
| |||||||
| Midstream — 0.2% |
| |||||||
| 242,297 | El Paso Energy Capital Trust I, 4.750% | 12,257,805 | ||||||
|
| |||||||
| Technology — 0.2% |
| |||||||
| 115,400 | Clarivate PLC, Series A, 5.250% | 10,485,244 | ||||||
|
| |||||||
| Wireless — 0.3% |
| |||||||
| 16,212 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(f)(g) | 16,904,415 | ||||||
|
| |||||||
| Total Convertible Preferred Stocks (Identified Cost $77,006,252) | 82,389,148 | |||||||
|
| |||||||
| Non-Convertible Preferred Stocks — 0.3% | ||||||||
| Finance Companies — 0.0% |
| |||||||
| 10,425 | iStar, Inc., Series G, 7.650% | 265,942 | ||||||
|
| |||||||
| Home Construction — 0.1% |
| |||||||
| 208,246 | Hovnanian Enterprises, Inc., 7.625% | 4,789,658 | ||||||
|
| |||||||
| REITs – Office Property — 0.0% |
| |||||||
| 1,596 | Highwoods Properties, Inc., Series A, 8.625% | 1,995,000 | ||||||
|
| |||||||
See accompanying notes to financial statements.
73 |
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund – (continued)
| Shares | Description | Value (†) | ||||||
| REITs – Warehouse/Industrials — 0.2% |
| |||||||
| 116,192 | Prologis, Inc., Series Q, 8.540% | $ | 7,110,950 | |||||
|
| |||||||
| Total Non-Convertible Preferred Stocks (Identified Cost $8,540,568) | 14,161,550 | |||||||
|
| |||||||
| Total Preferred Stocks (Identified Cost $85,546,820) | 96,550,698 | |||||||
|
| |||||||
| Closed-End Investment Companies — 0.0% | ||||||||
| 170,849 | NexPoint Diversified Real Estate Trust (Identified Cost $10,238,824) | 2,320,129 | ||||||
|
| |||||||
| Principal Amount (‡) | ||||||||
| Short-Term Investments — 2.2% | ||||||||
| $ | 111,080,788 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $111,080,788 on 1/03/2022 collateralized by $82,159,100 U.S. Treasury Bond, 4.250% due 11/15/2040 valued at $113,302,493 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $111,080,788) | 111,080,788 | |||||
|
| |||||||
| Total Investments — 98.6% (Identified Cost $4,923,602,903) | 4,997,670,214 | |||||||
| Other assets less liabilities — 1.4% | 69,906,228 | |||||||
|
| |||||||
| Net Assets — 100.0% | $ | 5,067,576,442 | ||||||
|
| |||||||
| (‡) | 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 December 31, 2021 is disclosed. |
| ||||||
| (b) | Variable rate security. Rate as of December 31, 2021 is disclosed. |
| ||||||
| (c) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
| ||||||
| (d) | Perpetual bond with no specified maturity date. |
| ||||||
| (e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| ||||||
| (f) | Illiquid security. (Unaudited) |
| ||||||
| (g) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2021, the value of these securities amounted to $78,951,257 or 1.6% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
| (h) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
| ||||||
| (i) | Fair valued by the Fund’s adviser. At December 31, 2021, the value of these securities amounted to $3,333,390 or 0.1% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
| (j) | Non-income producing security. |
| ||||||
| (k) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| ||||||
| (l) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
| ||||||
| (m) | 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. |
| ||||||
| (n) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added. See Note 9 of Notes to Financial Statements. |
| ||||||
| (o) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.50%, to which the spread is added. See Note 9 of Notes to Financial Statements. |
| ||||||
| (p) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 1.00%, to which the spread is added. See Note 9 of Notes to Financial Statements. |
| ||||||
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021, the value of Rule 144A holdings amounted to $1,779,963,496 or 35.1% of net assets. |
| ||||||
| ABS | Asset-Backed Securities |
| ||||||
| LIBOR | London Interbank Offered Rate |
| ||||||
| MBIA | Municipal Bond Investors Assurance Corp. |
| ||||||
| MTN | Medium Term Note |
| ||||||
| REITs | Real Estate Investment Trusts |
| ||||||
| SOFR | Secured Overnight Financing Rate |
| ||||||
| BRL | Brazilian Real |
| ||||||
| INR | Indian Rupee |
| ||||||
| MXN | Mexican Peso |
| ||||||
See accompanying notes to financial statements.
| 74
Portfolio of Investments – as of December 31, 2021
Loomis Sayles Strategic Income Fund – (continued)
At December 31, 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 37 500, 5-Year | 5.00% | 12/20/2026 | 2.93 | % | 266,000,000 | $ | 23,930,206 | $ | 24,756,532 | $ | 826,325 | |||||||||||||||
CDX.NA HY* Series 37 500, 5-Year | 5.00% | 12/20/2026 | 2.93 | % | 47,000,000 | 3,474,840 | 4,374,274 | 899,435 | ||||||||||||||||||
CDX.NA HY* Series 37 500, 5-Year | 5.00% | 12/20/2026 | 2.93 | % | 95,055,000 | 7,887,824 | 8,846,737 | 958,913 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
Total | $ | 37,977,543 | $ | 2,684,673 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
| (‡) | 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 December 31, 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. | 3/03/2022 | BRL S | 75,391,000 | $ | 13,099,859 | $ | 13,348,661 | $ | (248,802 | ) | ||||||||||||
|
| |||||||||||||||||||||
At December 31, 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 | 3/22/2022 | 971 | $ | 140,471,735 | $ | 142,190,813 | $ | (1,719,078 | ) | |||||||||||
|
| |||||||||||||||||||
Industry Summary at December 31, 2021
Treasuries | 14.0 | % | ||
Cable Satellite | 7.5 | |||
Finance Companies | 4.1 | |||
ABS Home Equity | 3.8 | |||
Metals & Mining | 3.4 | |||
Wireless | 3.2 | |||
Pharmaceuticals | 3.2 | |||
Independent Energy | 3.1 | |||
Banking | 3.1 | |||
Airlines | 2.7 | |||
Technology | 2.6 | |||
Consumer Cyclical Services | 2.2 | |||
Food & Beverage | 2.0 | |||
Aerospace & Defense | 2.0 | |||
Other Investments, less than 2% each | 36.8 | |||
Collateralized Loan Obligations | 2.7 | |||
Short-Term Investments | 2.2 | |||
Closed-End Investment Companies | 0.0 | * | ||
|
| |||
Total Investments | 98.6 | |||
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) | 1.4 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
| * | Less than 0.1% |
See accompanying notes to financial statements.
75 |
Statements of Assets and Liabilities
December 31, 2021
| High Income Fund | Intermediate Municipal Bond Fund | Investment Grade Bond Fund | Strategic Alpha Fund | |||||||||||||
ASSETS |
| |||||||||||||||
Investments at cost | $ | 126,533,027 | $ | 37,985,817 | $ | 6,099,177,949 | $ | 1,452,689,381 | ||||||||
Net unrealized appreciation (depreciation) | (2,095,402 | ) | 1,206,160 | 255,277,314 | (20,355,444 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Investments at value | 124,437,625 | 39,191,977 | 6,354,455,263 | 1,432,333,937 | ||||||||||||
Cash | 27,292 | — | — | 230,304 | ||||||||||||
Due from brokers (Note 2) | 1,375,000 | — | 557 | 12,620,000 | ||||||||||||
Foreign currency at value (identified cost $0, $0, $0 and $1,545,568, respectively) | — | — | — | 1,324,638 | ||||||||||||
Receivable for Fund shares sold | 143,060 | 365,427 | 28,358,338 | 5,482,508 | ||||||||||||
Receivable for securities sold | 9,310 | 5,000 | 1,896,809 | 534,371 | ||||||||||||
Collateral received for open forward foreign currency contracts or swap agreements (Notes 2 and 4) | — | — | — | 1,009,581 | ||||||||||||
Dividends and interest receivable | 1,746,196 | 430,141 | 38,058,082 | 11,314,179 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | — | — | — | 1,326,616 | ||||||||||||
Tax reclaims receivable | — | — | — | 647 | ||||||||||||
Receivable for variation margin on futures contracts (Note 2) | — | — | 4,678,870 | — | ||||||||||||
Unamortized upfront premiums paid on bilateral swap agreements (Note 2) | — | — | — | 69,872 | ||||||||||||
Prepaid expenses (Note 8) | 8 | 3 | 385 | 87 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL ASSETS | 127,738,491 | 39,992,548 | 6,427,448,304 | 1,466,246,740 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES |
| |||||||||||||||
Options written, at value (premiums received $0, $0, $0 and $206,068, respectively) (Note 2) | — | — | — | 275,155 | ||||||||||||
Payable for securities purchased | 25,902 | — | 4,318,174 | 916,137 | ||||||||||||
Unrealized depreciation on bilateral swap agreements (Note 2) | — | — | — | 293,438 | ||||||||||||
Payable for Fund shares redeemed | 29,351 | 2,988 | 8,829,541 | 612,165 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | — | — | 58,994 | ||||||||||||
Payable for variation margin on centrally cleared swap agreements (Note 2) | — | — | — | 64,488 | ||||||||||||
Payable to custodian bank (Note 10) | — | — | 4,218,997 | — | ||||||||||||
Due to brokers (Note 2) | — | — | — | 1,009,581 | ||||||||||||
Payable for variation margin on futures contracts (Note 2) | — | — | — | 1,002,786 | ||||||||||||
Distributions payable | — | 14,947 | — | — | ||||||||||||
Management fees payable (Note 6) | 59,612 | 2,659 | 2,028,891 | 725,452 | ||||||||||||
Deferred Trustees’ fees (Note 6) | 236,855 | 80,164 | 1,296,342 | 247,753 | ||||||||||||
Administrative fees payable (Note 6) | 4,547 | 1,450 | 231,892 | 52,160 | ||||||||||||
Payable to distributor (Note 6d) | 1,162 | 164 | 42,672 | 5,241 | ||||||||||||
Audit and tax services fees payable | 52,636 | 52,791 | 63,639 | 87,503 | ||||||||||||
Other accounts payable and accrued expenses | 507 | 4,862 | 223,462 | 46,211 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL LIABILITIES | 410,572 | 160,025 | 21,253,610 | 5,397,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 127,327,919 | $ | 39,832,523 | $ | 6,406,194,694 | $ | 1,460,849,676 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital | $ | 137,344,543 | $ | 39,029,643 | $ | 6,150,967,116 | $ | 1,498,984,326 | ||||||||
Accumulated earnings (loss) | (10,016,624 | ) | 802,880 | 255,227,578 | (38,134,650 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 127,327,919 | $ | 39,832,523 | $ | 6,406,194,694 | $ | 1,460,849,676 | ||||||||
|
|
|
|
|
|
|
| |||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||||||||||||||
Class A shares: |
| |||||||||||||||
Net assets | $ | 20,470,398 | $ | 6,734,275 | $ | 793,271,479 | $ | 41,764,725 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 4,769,573 | 645,135 | 70,731,766 | 4,037,723 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value and redemption price per share | $ | 4.29 | $ | 10.44 | $ | 11.22 | $ | 10.34 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 4.48 | $ | 10.76 | $ | 11.72 | $ | 10.80 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||||||
Net assets | $ | 1,795,174 | $ | 736,235 | $ | 80,099,162 | $ | 4,265,649 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 416,517 | 70,507 | 7,232,445 | 413,155 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value and offering price per share | $ | 4.31 | $ | 10.44 | $ | 11.07 | $ | 10.32 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class N shares: |
| |||||||||||||||
Net assets | $ | 105,445 | $ | — | $ | 1,473,019,886 | $ | 484,004,751 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 24,563 | — | 131,330,111 | 46,898,694 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 4.29 | $ | — | $ | 11.22 | $ | 10.32 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y shares: |
| |||||||||||||||
Net assets | $ | 104,956,902 | $ | 32,362,013 | $ | 3,920,634,950 | $ | 930,814,551 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | 24,507,447 | 3,095,254 | 349,330,322 | 90,242,568 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 4.28 | $ | 10.46 | $ | 11.22 | $ | 10.31 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Admin Class shares: |
| |||||||||||||||
Net assets | $ | — | $ | — | $ | 139,169,217 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of beneficial interest | — | — | 12,446,843 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | 11.18 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
| 76
Statements of Assets and Liabilities (continued)
December 31, 2021
| Strategic Income Fund | ||||
ASSETS |
| |||
Investments at cost | $ | 4,923,602,903 | ||
Net unrealized appreciation | 74,067,311 | |||
|
| |||
Investments at value | 4,997,670,214 | |||
Cash | 3,722,300 | |||
Due from brokers (Note 2) | 34,385,000 | |||
Foreign currency at value (identified cost $10,931,721) | 10,575,889 | |||
Receivable for Fund shares sold | 4,782,677 | |||
Receivable for securities sold | 1,765,275 | |||
Dividends and interest receivable | 40,349,642 | |||
Receivable for variation margin on centrally cleared swap agreements (Note 2) | 367,323 | |||
Prepaid expenses (Note 8) | 334 | |||
|
| |||
TOTAL ASSETS | 5,093,618,654 | |||
|
| |||
LIABILITIES |
| |||
Payable for securities purchased | 1,648,947 | |||
Payable for Fund shares redeemed | 18,737,002 | |||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 248,802 | |||
Payable for variation margin on futures contracts (Note 2) | 257,837 | |||
Management fees payable (Note 6) | 2,427,792 | |||
Deferred Trustees’ fees (Note 6) | 2,173,505 | |||
Administrative fees payable (Note 6) | 183,434 | |||
Payable to distributor (Note 6d) | 44,077 | |||
Audit and tax services fees payable | 63,622 | |||
Other accounts payable and accrued expenses | 257,194 | |||
|
| |||
TOTAL LIABILITIES | 26,042,212 | |||
|
| |||
NET ASSETS | $ | 5,067,576,442 | ||
|
| |||
NET ASSETS CONSIST OF: |
| |||
Paid-in capital | $ | 5,218,148,025 | ||
Accumulated loss | (150,571,583 | ) | ||
|
| |||
NET ASSETS | $ | 5,067,576,442 | ||
|
| |||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||
Class A shares: |
| |||
Net assets | $ | 1,512,939,216 | ||
|
| |||
Shares of beneficial interest | 106,615,348 | |||
|
| |||
Net asset value and redemption price per share | $ | 14.19 | ||
|
| |||
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 14.82 | ||
|
| |||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
| |||
Net assets | $ | 120,090,870 | ||
|
| |||
Shares of beneficial interest | 8,365,398 | |||
|
| |||
Net asset value and offering price per share | $ | 14.36 | ||
|
| |||
Class N shares: |
| |||
Net assets | $ | 280,661,131 | ||
|
| |||
Shares of beneficial interest | 19,801,259 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 14.17 | ||
|
| |||
Class Y shares: |
| |||
Net assets | $ | 3,058,634,756 | ||
|
| |||
Shares of beneficial interest | 215,831,883 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 14.17 | ||
|
| |||
Admin Class shares: |
| |||
Net assets | $ | 95,250,469 | ||
|
| |||
Shares of beneficial interest | 6,737,502 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 14.14 | ||
|
| |||
See accompanying notes to financial statements.
77 |
Statements of Operations
For the Year Ended December 31, 2021
| High Income Fund | Intermediate Municipal Bond Fund | Investment Grade Bond Fund | Strategic Alpha Fund | |||||||||||||
INVESTMENT INCOME |
| |||||||||||||||
Interest | $ | 5,776,001 | $ | 756,886 | $ | 183,579,793 | $ | 47,022,884 | ||||||||
Dividends | 147,469 | — | 4,168,229 | 1,981,348 | ||||||||||||
Less net foreign taxes withheld | (319 | ) | — | — | (4,471 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| 5,923,151 | 756,886 | 187,748,022 | 48,999,761 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses |
| |||||||||||||||
Management fees (Note 6) | 726,613 | 157,758 | 25,154,197 | 8,512,743 | ||||||||||||
Service and distribution fees (Note 6) | 81,001 | 28,008 | 3,721,445 | 160,039 | ||||||||||||
Administrative fees (Note 6) | 51,604 | 16,838 | 2,691,907 | 611,010 | ||||||||||||
Trustees’ fees and expenses (Note 6) | 43,620 | 22,544 | 349,664 | 82,200 | ||||||||||||
Transfer agent fees and expenses (Notes 6 and 7) | 110,759 | 25,403 | 3,678,938 | 461,470 | ||||||||||||
Audit and tax services fees | 46,447 | 52,794 | 58,207 | 87,523 | ||||||||||||
Custodian fees and expenses | 17,523 | 5,888 | 165,590 | 72,418 | ||||||||||||
Legal fees (Note 8) | 4,011 | 1,349 | 202,113 | 48,681 | ||||||||||||
Registration fees | 72,858 | 53,813 | 224,887 | 103,780 | ||||||||||||
Shareholder reporting expenses | 33,732 | 5,309 | 363,839 | 42,531 | ||||||||||||
Miscellaneous expenses | 31,791 | 26,618 | 179,554 | 65,034 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 1,219,959 | 396,322 | 36,790,341 | 10,247,429 | ||||||||||||
Less waiver and/or expense reimbursement (Note 6) | (233,748 | ) | (190,826 | ) | (2,306,970 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 986,211 | 205,496 | 34,483,371 | 10,247,429 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 4,936,940 | 551,390 | 153,264,651 | 38,752,332 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
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 | 3,275,784 | 7,914 | 90,483,662 | 30,804,397 | ||||||||||||
Futures contracts | — | — | 18,565,540 | (7,826,027 | ) | |||||||||||
Options written | — | — | — | (251,233 | ) | |||||||||||
Swap agreements | 199,773 | — | — | 4,308,761 | ||||||||||||
Forward foreign currency contracts (Note 2d) | — | — | — | (2,922,623 | ) | |||||||||||
Foreign currency transactions (Note 2c) | — | — | — | (190,942 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||||||||||
Investments | (4,618,963 | ) | (396,090 | ) | (239,169,437 | ) | (42,089,600 | ) | ||||||||
Futures contracts | — | — | (7,262,263 | ) | (2,350,300 | ) | ||||||||||
Options written | — | — | — | (77,419 | ) | |||||||||||
Swap agreements | — | — | — | (3,091,275 | ) | |||||||||||
Forward foreign currency contracts (Note 2d) | — | — | — | 4,329,189 | ||||||||||||
Foreign currency translations (Note 2c) | — | — | — | (487,903 | ) | |||||||||||
Net realized and unrealized loss on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions | (1,143,406 | ) | (388,176 | ) | (137,382,498 | ) | (19,844,975 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,793,534 | $ | 163,214 | $ | 15,882,153 | $ | 18,907,357 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
| 78
Statements of Operations (continued)
For the Year Ended December 31, 2021
| Strategic Income Fund | ||||
INVESTMENT INCOME |
| |||
Interest from unaffiliated investments | $ | 131,753,962 | ||
Interest from affiliated investments (Note 6) | 487,960 | |||
Dividends | 19,557,315 | |||
Less net foreign taxes withheld | (17,405 | ) | ||
|
| |||
| 151,781,832 | ||||
|
| |||
Expenses |
| |||
Management fees (Note 6) | 30,794,434 | |||
Service and distribution fees (Note 6) | 6,212,192 | |||
Administrative fees (Note 6) | 2,299,170 | |||
Trustees’ fees and expenses (Note 6) | 423,759 | |||
Transfer agent fees and expenses (Notes 6 and 7) | 3,920,991 | |||
Audit and tax services fees | 63,546 | |||
Custodian fees and expenses | 194,855 | |||
Legal fees (Note 8) | 197,356 | |||
Registration fees | 112,829 | |||
Shareholder reporting expenses | 412,599 | |||
Miscellaneous expenses | 235,940 | |||
|
| |||
Total expenses | 44,867,671 | |||
Less waiver and/or expense reimbursement (Note 6) | (378,293 | ) | ||
|
| |||
Net expenses | 44,489,378 | |||
|
| |||
Net investment income | 107,292,454 | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP AGREEMENTS, | ||||
Net realized gain (loss) on: |
| |||
Unaffiliated investments | 26,120,319 | |||
Futures contracts | 682,009 | |||
Swap agreements | 10,530,378 | |||
Forward foreign currency contracts (Note 2d) | (455,275 | ) | ||
Foreign currency transactions (Note 2c) | (57,241 | ) | ||
Net change in unrealized appreciation (depreciation) on: |
| |||
Unaffiliated investments | 47,790,167 | |||
Affiliated investments | 20,848,393 | |||
Futures contracts | (1,719,078 | ) | ||
Swap agreements | 2,684,673 | |||
Forward foreign currency contracts (Note 2d) | (248,802 | ) | ||
Foreign currency translations (Note 2c) | (348,710 | ) | ||
Net realized and unrealized gain on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions | 105,826,833 | |||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 213,119,287 | ||
|
| |||
See accompanying notes to financial statements.
79 |
Statements of Changes in Net Assets
| High Income Fund | Intermediate Municipal Bond Fund | |||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
FROM OPERATIONS: |
| |||||||||||||||
Net investment income | $ | 4,936,940 | $ | 5,806,947 | $ | 551,390 | $ | 414,488 | ||||||||
Net realized gain (loss) on investments and swap agreements | 3,475,557 | (4,673,658 | ) | 7,914 | 184,411 | |||||||||||
Net change in unrealized appreciation (depreciation) on investments | (4,618,963 | ) | 2,338,998 | (396,090 | ) | 430,359 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 3,793,534 | 3,472,287 | 163,214 | 1,029,258 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class A | (946,674 | ) | (1,244,423 | ) | (98,610 | ) | (151,821 | ) | ||||||||
Class C | (73,463 | ) | (131,410 | ) | (4,526 | ) | (13,774 | ) | ||||||||
Class N | (275,475 | ) | (739,980 | ) | — | — | ||||||||||
Class Y | (4,075,764 | ) | (4,149,317 | ) | (465,520 | ) | (249,452 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (5,371,376 | ) | (6,265,130 | ) | (568,656 | ) | (415,047 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM | 16,187,734 | (31,816,114 | ) | 3,046,502 | 17,552,248 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 14,609,892 | (34,608,957 | ) | 2,641,060 | 18,166,459 | |||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the year | 112,718,027 | 147,326,984 | 37,191,463 | 19,025,004 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the year | $ | 127,327,919 | $ | 112,718,027 | $ | 39,832,523 | $ | 37,191,463 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
| 80
Statements of Changes in Net Assets (continued)
| Investment Grade Bond Fund | Strategic Alpha Fund | |||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||
FROM OPERATIONS: |
| |||||||||||||||
Net investment income | $ | 153,264,651 | $ | 164,483,540 | $ | 38,752,332 | $ | 36,177,393 | ||||||||
Net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions | 109,049,202 | 275,303,966 | 23,922,333 | (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 | (246,431,700 | ) | 176,877,424 | (43,767,308 | ) | 71,358,169 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 15,882,153 | 616,664,930 | 18,907,357 | 106,470,672 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class A | (30,802,007 | ) | (66,337,702 | ) | (799,143 | ) | (708,457 | ) | ||||||||
Class C | (2,795,363 | ) | (10,552,630 | ) | (53,976 | ) | (158,470 | ) | ||||||||
Class N | (58,322,546 | ) | (96,560,712 | ) | (12,165,057 | ) | (11,490,422 | ) | ||||||||
Class Y | (158,314,703 | ) | (284,270,221 | ) | (18,704,272 | ) | (15,871,781 | ) | ||||||||
Admin Class | (4,776,384 | ) | (8,996,534 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (255,011,003 | ) | (466,717,799 | ) | (31,722,448 | ) | (28,229,130 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM | 620,561,500 | 300,818,816 | 158,648,418 | (63,947,948 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 381,432,650 | 450,765,947 | 145,833,327 | 14,293,594 | ||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the year | 6,024,762,044 | 5,573,996,097 | 1,315,016,349 | 1,300,722,755 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the year | $ | 6,406,194,694 | $ | 6,024,762,044 | $ | 1,460,849,676 | $ | 1,315,016,349 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
81 |
Statements of Changes in Net Assets (continued)
| Strategic Income Fund | ||||||||||||
| Year Ended December 31, 2021 | Period Ended December 31, 2020(a) | Year Ended September 30, 2020 | ||||||||||
FROM OPERATIONS: |
| |||||||||||
Net investment income | $ | 107,292,454 | $ | 44,046,477 | $ | 229,871,606 | ||||||
Net realized gain (loss) on investments, futures contracts, swap agreements, forward currency contracts and foreign currency transactions | 36,820,190 | (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 | 69,006,643 | 595,874,403 | (199,460,920 | ) | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 213,119,287 | 312,681,915 | (70,221,198 | ) | ||||||||
|
|
|
|
|
| |||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||
Class A | (41,929,319 | ) | (33,250,024 | ) | (60,755,051 | ) | ||||||
Class C | (3,065,889 | ) | (4,600,466 | ) | (12,091,933 | ) | ||||||
Class N | (7,514,115 | ) | (4,334,379 | ) | (7,404,708 | ) | ||||||
Class Y | (94,327,240 | ) | (75,910,796 | ) | (150,040,710 | ) | ||||||
Admin Class | (2,347,779 | ) | (1,932,234 | ) | (3,669,167 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (149,184,342 | ) | (120,027,899 | ) | (233,961,569 | ) | ||||||
|
|
|
|
|
| |||||||
NET DECREASE IN NET ASSETS FROM | (985,523,294 | ) | (255,047,276 | ) | (797,576,770 | ) | ||||||
|
|
|
|
|
| |||||||
Net decrease in net assets | (921,588,349 | ) | (62,393,260 | ) | (1,101,759,537 | ) | ||||||
NET ASSETS | ||||||||||||
Beginning of the year | 5,989,164,791 | 6,051,558,051 | 7,153,317,588 | |||||||||
|
|
|
|
|
| |||||||
End of the year | $ | 5,067,576,442 | $ | 5,989,164,791 | $ | 6,051,558,051 | ||||||
|
|
|
|
|
| |||||||
| (a) | For the three month period ended December 31, 2020 due to change in fiscal year. |
See accompanying notes to financial statements.
| 82
Financial Highlights
For a share outstanding throughout each period.
| High Income Fund—Class A | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 4.35 | $ | 4.25 | $ | 3.99 | $ | 4.25 | $ | 4.37 | $ | 4.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.17 | 0.20 | 0.20 | 0.05 | 0.20 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.05 | ) | 0.12 | (b) | 0.27 | (0.24 | ) | (0.14 | ) | 0.12 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.12 | 0.32 | 0.47 | (0.19 | ) | 0.06 | 0.34 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.18 | ) | (0.22 | ) | (0.21 | ) | (0.06 | ) | (0.18 | ) | (0.20 | ) | ||||||||||||
Net realized capital gains | — | — | — | (0.01 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.18 | ) | (0.22 | ) | (0.21 | ) | (0.07 | ) | (0.18 | ) | (0.20 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 4.29 | $ | 4.35 | $ | 4.25 | $ | 3.99 | $ | 4.25 | $ | 4.37 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(c)(d) | 2.87 | % | 8.16 | % | 11.94 | % | (4.54 | )%(e) | 1.41 | % | 8.17 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 20,470 | $ | 41,547 | $ | 23,199 | $ | 23,125 | $ | 26,175 | $ | 34,039 | ||||||||||||
Net expenses(f) | 1.00 | % | 1.00 | % | 1.03 | %(g) | 1.05 | %(h) | 1.05 | % | 1.09 | %(i) | ||||||||||||
Gross expenses | 1.19 | % | 1.22 | % | 1.18 | % | 1.27 | %(h) | 1.16 | % | 1.15 | % | ||||||||||||
Net investment income | 3.83 | % | �� | 4.91 | % | 4.84 | % | 5.13 | %(h) | 4.73 | % | 5.03 | % | |||||||||||
Portfolio turnover rate | 67 | % | 99 | %(j) | 48 | % | 17 | % | 55 | % | 46 | % | ||||||||||||
| * | 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) | Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%. |
| (h) | Computed on an annualized basis for periods less than one year. |
| (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.
83 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| High Income Fund—Class C | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 4.37 | $ | 4.27 | $ | 4.00 | $ | 4.27 | $ | 4.38 | $ | 4.24 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.14 | 0.17 | 0.17 | 0.05 | 0.17 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.05 | ) | 0.12 | (b) | 0.28 | (0.26 | ) | (0.13 | ) | 0.12 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.09 | 0.29 | 0.45 | (0.21 | ) | 0.04 | 0.30 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.19 | ) | (0.18 | ) | (0.05 | ) | (0.15 | ) | (0.16 | ) | ||||||||||||
Net realized capital gains | — | — | — | (0.01 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.15 | ) | (0.19 | ) | (0.18 | ) | (0.06 | ) | (0.15 | ) | (0.16 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 4.31 | $ | 4.37 | $ | 4.27 | $ | 4.00 | $ | 4.27 | $ | 4.38 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(c)(d) | 2.07 | % | 7.30 | % | 11.32 | % | (4.95 | )%(e) | 0.86 | % | 7.33 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 1,795 | $ | 2,933 | $ | 3,836 | $ | 5,351 | $ | 6,248 | $ | 11,227 | ||||||||||||
Net expenses(f) | 1.75 | % | 1.75 | % | 1.78 | %(g) | 1.80 | %(h) | 1.80 | % | 1.84 | %(i) | ||||||||||||
Gross expenses | 1.94 | % | 1.97 | % | 1.93 | % | 2.02 | %(h) | 1.91 | % | 1.90 | % | ||||||||||||
Net investment income | 3.14 | % | 4.24 | % | 4.11 | % | 4.38 | %(h) | 3.99 | % | 4.29 | % | ||||||||||||
Portfolio turnover rate | 67 | % | 99 | %(j) | 48 | % | 17 | % | 55 | % | 46 | % | ||||||||||||
| * | 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) | Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%. |
| (h) | Computed on an annualized basis for periods less than one year. |
| (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.
| 84
Financial Highlights (continued)
For a share outstanding throughout each period.
| High Income Fund—Class N | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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) | 0.18 | 0.21 | 0.22 | 0.06 | 0.20 | 0.19 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.05 | ) | 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 | (0.20 | ) | (0.24 | ) | (0.22 | ) | (0.06 | ) | (0.19 | ) | (0.17 | ) | ||||||||||||
Net realized capital gains | — | — | — | (0.01 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.20 | ) | (0.24 | ) | (0.22 | ) | (0.07 | ) | (0.19 | ) | (0.17 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 4.29 | $ | 4.36 | $ | 4.25 | $ | 3.99 | $ | 4.25 | $ | 4.36 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(c) | 2.95 | %(d) | 8.73 | % | 12.28 | % | (4.47 | )%(e) | 1.96 | % | 8.99 | %(e) | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 105 | $ | 14,783 | $ | 11,977 | $ | 10,417 | $ | 10,338 | $ | 1 | ||||||||||||
Net expenses(f) | 0.70 | % | 0.70 | % | 0.72 | %(g) | 0.75 | %(h) | 0.75 | % | 0.75 | %(h)(i) | ||||||||||||
Gross expenses | 0.86 | % | 0.88 | % | 0.82 | % | 0.89 | %(h) | 0.79 | % | 31.73 | %(h) | ||||||||||||
Net investment income | 4.10 | % | 5.28 | % | 5.13 | % | 5.45 | %(h) | 4.65 | % | 5.19 | %(h) | ||||||||||||
Portfolio turnover rate | 67 | % | 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) | 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. |
| (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) | Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%. |
| (h) | Computed on an annualized basis for periods less than one year. |
| (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.
85 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| High Income Fund—Class Y | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 4.34 | $ | 4.25 | $ | 3.98 | $ | 4.24 | $ | 4.36 | $ | 4.22 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.18 | 0.22 | 0.21 | 0.06 | 0.21 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.05 | ) | 0.10 | (b) | 0.28 | (0.25 | ) | (0.14 | ) | 0.12 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.13 | 0.32 | 0.49 | (0.19 | ) | 0.07 | 0.35 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.23 | ) | (0.22 | ) | (0.06 | ) | (0.19 | ) | (0.21 | ) | ||||||||||||
Net realized capital gains | — | — | — | (0.01 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.19 | ) | (0.23 | ) | (0.22 | ) | (0.07 | ) | (0.19 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 4.28 | $ | 4.34 | $ | 4.25 | $ | 3.98 | $ | 4.24 | $ | 4.36 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(c) | 3.15 | % | 8.19 | % | 12.52 | % | (4.49 | )%(d) | 1.68 | % | 8.47 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 104,957 | $ | 53,456 | $ | 108,315 | $ | 97,585 | $ | 127,699 | $ | 133,940 | ||||||||||||
Net expenses(e) | 0.75 | % | 0.75 | % | 0.77 | %(f) | 0.80 | %(g) | 0.80 | % | 0.84 | %(h) | ||||||||||||
Gross expenses | 0.95 | % | 0.98 | % | 0.93 | % | 1.02 | %(g) | 0.91 | % | 0.90 | % | ||||||||||||
Net investment income | 4.16 | % | 5.32 | % | 5.07 | % | 5.39 | %(g) | 4.98 | % | 5.28 | % | ||||||||||||
Portfolio turnover rate | 67 | % | 99 | %(i) | 48 | % | 17 | % | 55 | % | 46 | % | ||||||||||||
| * | 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) | Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%. |
| (g) | Computed on an annualized basis for periods less than one year. |
| (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.
| 86
Financial Highlights (continued)
For a share outstanding throughout each period.
| Intermediate Municipal Bond Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.55 | $ | 10.38 | $ | 9.97 | $ | 10.17 | $ | 9.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||
Net investment income(a) | 0.13 | 0.19 | 0.24 | 0.22 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.11 | ) | 0.17 | 0.41 | (0.19 | ) | 0.28 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.02 | 0.36 | 0.65 | 0.03 | 0.47 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: |
| |||||||||||||||||||
Net investment income | (0.13 | ) | (0.19 | ) | (0.24 | ) | (0.23 | ) | (0.19 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.44 | $ | 10.55 | $ | 10.38 | $ | 9.97 | $ | 10.17 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b)(c) | 0.23 | % | 3.48 | % | 6.54 | % | 0.33 | % | 4.77 | % | ||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 6,734 | $ | 8,941 | $ | 7,567 | $ | 6,019 | $ | 6,004 | ||||||||||
Net expenses(d) | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||
Gross expenses | 1.18 | % | 1.42 | % | 1.84 | % | 1.30 | % | 1.10 | % | ||||||||||
Net investment income | 1.22 | % | 1.78 | % | 2.31 | % | 2.24 | % | 1.87 | % | ||||||||||
Portfolio turnover rate | 40 | % | 41 | % | 11 | % | 65 | % | 34 | % | ||||||||||
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | A sales charge for Class A shares is not reflected in total return calculations. |
| (c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
See accompanying notes to financial statements.
87 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Intermediate Municipal Bond Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.55 | $ | 10.38 | $ | 9.98 | $ | 10.18 | $ | 9.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||
Net investment income(a) | 0.05 | 0.11 | 0.16 | 0.15 | 0.11 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.11 | ) | 0.17 | 0.40 | (0.19 | ) | 0.28 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | (0.06 | ) | 0.28 | 0.56 | (0.04 | ) | 0.39 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: |
| |||||||||||||||||||
Net investment income | (0.05 | ) | (0.11 | ) | (0.16 | ) | (0.16 | ) | (0.11 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.44 | $ | 10.55 | $ | 10.38 | $ | 9.98 | $ | 10.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b)(c) | (0.52 | )% | 2.71 | % | 5.64 | % | (0.42 | )% | 3.98 | % | ||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 736 | $ | 1,050 | $ | 1,420 | $ | 1,675 | $ | 2,395 | ||||||||||
Net expenses(d) | 1.45 | % | 1.45 | % | 1.45 | % | 1.45 | % | 1.45 | % | ||||||||||
Gross expenses | 1.93 | % | 2.18 | % | 2.60 | % | 2.05 | % | 1.83 | % | ||||||||||
Net investment income | 0.47 | % | 1.08 | % | 1.57 | % | 1.49 | % | 1.10 | % | ||||||||||
Portfolio turnover rate | 40 | % | 41 | % | 11 | % | 65 | % | 34 | % | ||||||||||
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
| (c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
See accompanying notes to financial statements.
| 88
Financial Highlights (continued)
For a share outstanding throughout each period.
| Intermediate Municipal Bond Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.56 | $ | 10.40 | $ | 9.99 | $ | 10.19 | $ | 9.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||
Net investment income(a) | 0.15 | 0.19 | 0.26 | 0.25 | 0.21 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.09 | ) | 0.18 | 0.41 | (0.20 | ) | 0.29 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.06 | 0.37 | 0.67 | 0.05 | 0.50 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: |
| |||||||||||||||||||
Net investment income | (0.16 | ) | (0.21 | ) | (0.26 | ) | (0.25 | ) | (0.21 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.46 | $ | 10.56 | $ | 10.40 | $ | 9.99 | $ | 10.19 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 0.57 | % | 3.63 | % | 6.80 | % | 0.58 | % | 5.13 | % | ||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 32,362 | $ | 27,200 | $ | 10,039 | $ | 14,510 | $ | 28,960 | ||||||||||
Net expenses(c) | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | ||||||||||
Gross expenses | 0.93 | % | 1.16 | % | 1.60 | % | 1.04 | % | 0.83 | % | ||||||||||
Net investment income | 1.47 | % | 1.86 | % | 2.57 | % | 2.47 | % | 2.09 | % | ||||||||||
Portfolio turnover rate | 40 | % | 41 | % | 11 | % | 65 | % | 34 | % | ||||||||||
| (a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| (b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
See accompanying notes to financial statements.
89 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Investment Grade Bond Fund—Class A | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.65 | $ | 11.33 | $ | 10.77 | $ | 10.98 | $ | 11.30 | $ | 11.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.26 | 0.32 | 0.35 | 0.08 | 0.30 | 0.36 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.26 | ) | 0.94 | 0.58 | (0.16 | ) | (0.28 | ) | 0.05 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.00 | (b) | 1.26 | 0.93 | (0.08 | ) | 0.02 | 0.41 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.32 | ) | (0.36 | ) | (0.08 | ) | (0.21 | ) | (0.26 | ) | ||||||||||||
Net realized capital gains | (0.17 | ) | (0.62 | ) | (0.01 | ) | (0.05 | ) | (0.13 | ) | (0.44 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.43 | ) | (0.94 | ) | (0.37 | ) | (0.13 | ) | (0.34 | ) | (0.70 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 11.22 | $ | 11.65 | $ | 11.33 | $ | 10.77 | $ | 10.98 | $ | 11.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(c) | 0.07 | %(d) | 11.41 | %(d) | 8.78 | %(d) | (0.66 | )%(d)(e) | 0.19 | %(d) | 3.88 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 793,271 | $ | 872,976 | $ | 772,485 | $ | 721,110 | $ | 777,391 | $ | 902,955 | ||||||||||||
Net expenses | 0.75 | %(f) | 0.76 | %(f)(g) | 0.77 | %(f)(h) | 0.78 | %(f)(i) | 0.80 | %(f)(j) | 0.82 | %(k) | ||||||||||||
Gross expenses | 0.79 | % | 0.80 | % | 0.81 | % | 0.82 | %(i) | 0.82 | % | 0.82 | % | ||||||||||||
Net investment income | 2.24 | % | 2.73 | % | 3.10 | % | 3.09 | %(i) | 2.73 | % | 3.23 | % | ||||||||||||
Portfolio turnover rate | 27 | % | 70 | %(l) | 44 | %(m) | 39 | %(m) | 3 | % | 10 | % | ||||||||||||
| * | 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) | 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) | 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) | Computed on an annualized basis for periods less than one year. |
| (j) | Effective July 1, 2018, the expense limit decreased to 0.78%. |
| (k) | Effective July 1, 2017, the expense limit decreased to 0.80%. |
| (l) | 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. |
| (m) | 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.
| 90
Financial Highlights (continued)
For a share outstanding throughout each period.
| Investment Grade Bond Fund—Class C | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.51 | $ | 11.20 | $ | 10.65 | $ | 10.86 | $ | 11.19 | $ | 11.48 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.17 | 0.23 | 0.26 | 0.06 | 0.22 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.26 | ) | 0.93 | 0.58 | (0.16 | ) | (0.28 | ) | 0.06 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.09 | ) | 1.16 | 0.84 | (0.10 | ) | (0.06 | ) | 0.33 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.18 | ) | (0.23 | ) | (0.28 | ) | (0.06 | ) | (0.14 | ) | (0.18 | ) | ||||||||||||
Net realized capital gains | (0.17 | ) | (0.62 | ) | (0.01 | ) | (0.05 | ) | (0.13 | ) | (0.44 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.35 | ) | (0.85 | ) | (0.29 | ) | (0.11 | ) | (0.27 | ) | (0.62 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 11.07 | $ | 11.51 | $ | 11.20 | $ | 10.65 | $ | 10.86 | $ | 11.19 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b) | (0.70 | )%(c) | 10.61 | %(c) | 7.94 | %(c) | (0.86 | )%(c)(d) | (0.53 | )%(c) | 3.12 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 80,099 | $ | 132,606 | $ | 204,395 | $ | 366,068 | $ | 412,788 | $ | 689,798 | ||||||||||||
Net expenses | 1.50 | %(e) | 1.51 | %(e)(f) | 1.52 | %(e)(g) | 1.53 | %(e)(h) | 1.55 | %(e)(i) | 1.57 | %(j) | ||||||||||||
Gross expenses | 1.54 | % | 1.55 | % | 1.56 | % | 1.57 | %(h) | 1.57 | % | 1.57 | % | ||||||||||||
Net investment income | 1.50 | % | 2.01 | % | 2.35 | % | 2.34 | %(h) | 1.96 | % | 2.49 | % | ||||||||||||
Portfolio turnover rate | 27 | % | 70 | %(k) | 44 | %(l) | 39 | %(l) | 3 | % | 10 | % | ||||||||||||
| * | 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) | 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 1.51% to 1.50%. |
| (g) | Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%. |
| (h) | Computed on an annualized basis for periods less than one year. |
| (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.
91 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Investment Grade Bond Fund—Class N | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.65 | $ | 11.33 | $ | 10.78 | $ | 10.98 | $ | 11.30 | $ | 11.58 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.29 | 0.35 | 0.38 | 0.09 | 0.34 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.25 | ) | 0.94 | 0.58 | (0.15 | ) | (0.28 | ) | 0.07 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.04 | 1.29 | 0.96 | (0.06 | ) | 0.06 | 0.46 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.30 | ) | (0.35 | ) | (0.40 | ) | (0.09 | ) | (0.25 | ) | (0.30 | ) | ||||||||||||
Net realized capital gains | (0.17 | ) | (0.62 | ) | (0.01 | ) | (0.05 | ) | (0.13 | ) | (0.44 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.47 | ) | (0.97 | ) | (0.41 | ) | (0.14 | ) | (0.38 | ) | (0.74 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 11.22 | $ | 11.65 | $ | 11.33 | $ | 10.78 | $ | 10.98 | $ | 11.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 0.37 | %(b) | 11.74 | %(b) | 9.11 | % | (0.58 | )%(c) | 0.50 | % | 4.34 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 1,473,020 | $ | 1,188,772 | $ | 1,367,172 | $ | 1,216,690 | $ | 1,251,189 | $ | 1,203,169 | ||||||||||||
Net expenses | 0.45 | %(d) | 0.46 | %(d)(e) | 0.47 | %(f) | 0.48 | %(g) | 0.47 | %(h) | 0.48 | %(i) | ||||||||||||
Gross expenses | 0.47 | % | 0.47 | % | 0.47 | % | 0.48 | %(g) | 0.47 | % | 0.48 | % | ||||||||||||
Net investment income | 2.53 | % | 3.04 | % | 3.40 | % | 3.40 | %(g) | 3.05 | % | 3.51 | % | ||||||||||||
Portfolio turnover rate | 27 | % | 70 | %(j) | 44 | %(k) | 39 | %(k) | 3 | % | 10 | % | ||||||||||||
| * | 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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Effective July 1, 2020, the expense limit decreased from 0.46% to 0.45%. |
| (f) | Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%. |
| (g) | Computed on an annualized basis for periods less than one year. |
| (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.
| 92
Financial Highlights (continued)
For a share outstanding throughout each period.
| Investment Grade Bond Fund—Class Y | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.66 | $ | 11.34 | $ | 10.78 | $ | 10.99 | $ | 11.31 | $ | 11.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.29 | 0.35 | 0.37 | 0.09 | 0.33 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.27 | ) | 0.94 | 0.59 | (0.16 | ) | (0.28 | ) | 0.06 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.02 | 1.29 | 0.96 | (0.07 | ) | 0.05 | 0.45 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.29 | ) | (0.35 | ) | (0.39 | ) | (0.09 | ) | (0.24 | ) | (0.29 | ) | ||||||||||||
Net realized capital gains | (0.17 | ) | (0.62 | ) | (0.01 | ) | (0.05 | ) | (0.13 | ) | (0.44 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.46 | ) | (0.97 | ) | (0.40 | ) | (0.14 | ) | (0.37 | ) | (0.73 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 11.22 | $ | 11.66 | $ | 11.34 | $ | 10.78 | $ | 10.99 | $ | 11.31 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 0.24 | %(b) | 11.68 | %(b) | 9.04 | %(b) | (0.59 | )%(b)(c) | 0.43 | %(b) | 4.24 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 3,920,635 | $ | 3,704,948 | $ | 3,118,505 | $ | 2,912,537 | $ | 3,001,906 | $ | 3,453,137 | ||||||||||||
Net expenses | 0.50 | %(d) | 0.51 | %(d)(e) | 0.52 | %(d)(f) | 0.53 | %(d)(g) | 0.55 | %(d)(h) | 0.57 | %(i) | ||||||||||||
Gross expenses | 0.54 | % | 0.55 | % | 0.56 | % | 0.57 | %(g) | 0.57 | % | 0.57 | % | ||||||||||||
Net investment income | 2.49 | % | 2.98 | % | 3.35 | % | 3.35 | %(g) | 2.98 | % | 3.48 | % | ||||||||||||
Portfolio turnover rate | 27 | % | 70 | %(j) | 44 | %(k) | 39 | %(k) | 3 | % | 10 | % | ||||||||||||
| * | 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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Effective July 1, 2020, the expense limit decreased from 0.51% to 0.50%. |
| (f) | Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%. |
| (g) | Computed on an annualized basis for periods less than one year. |
| (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.
93 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Investment Grade Bond Fund—Admin Class | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018* | Year Ended September 30, 2018 | Year Ended September 30, 2017 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.62 | $ | 11.30 | $ | 10.75 | $ | 10.95 | $ | 11.28 | $ | 11.56 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.23 | 0.29 | 0.32 | 0.08 | 0.28 | 0.34 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.26 | ) | 0.94 | 0.58 | (0.15 | ) | (0.28 | ) | 0.06 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | (0.03 | ) | 1.23 | 0.90 | (0.07 | ) | 0.00 | (b) | 0.40 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.29 | ) | (0.34 | ) | (0.08 | ) | (0.20 | ) | (0.24 | ) | ||||||||||||
Net realized capital gains | (0.17 | ) | (0.62 | ) | (0.01 | ) | (0.05 | ) | (0.13 | ) | (0.44 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.41 | ) | (0.91 | ) | (0.35 | ) | (0.13 | ) | (0.33 | ) | (0.68 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 11.18 | $ | 11.62 | $ | 11.30 | $ | 10.75 | $ | 10.95 | $ | 11.28 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(c) | (0.26 | )% | 11.17 | % | 8.43 | % | (0.63 | )%(d) | (0.07 | )% | 3.76 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 139,169 | $ | 125,460 | $ | 111,439 | $ | 111,864 | $ | 115,301 | $ | 25,521 | ||||||||||||
Net expenses(e) | 1.00 | % | 1.01 | %(f) | 1.02 | %(g) | 1.03 | %(h) | 1.02 | %(i)(j) | 1.02 | %(k)(l) | ||||||||||||
Gross expenses | 1.04 | % | 1.05 | % | 1.06 | % | 1.07 | %(h) | 1.05 | %(j) | 1.03 | %(l) | ||||||||||||
Net investment income | 1.98 | % | 2.48 | % | 2.85 | % | 2.85 | %(h) | 2.56 | % | 3.03 | % | ||||||||||||
Portfolio turnover rate | 27 | % | 70 | %(m) | 44 | %(n) | 39 | %(n) | 3 | % | 10 | % | ||||||||||||
| * | 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) | 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 1.01% to 1.00%. |
| (g) | Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%. |
| (h) | Computed on an annualized basis for periods less than one year. |
| (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) | 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. |
| (n) | 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.
| 94
Financial Highlights (continued)
For a share outstanding throughout each period.
| Strategic Alpha Fund—Class A | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.43 | $ | 9.69 | $ | 9.62 | $ | 9.92 | $ | 9.86 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||
Net investment income(a) | 0.26 | 0.28 | 0.30 | 0.33 | 0.32 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.15 | ) | 0.67 | 0.04 | (0.30 | ) | (0.01 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.11 | 0.95 | 0.34 | 0.03 | 0.31 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: |
| |||||||||||||||||||
Net investment income | (0.20 | ) | (0.21 | ) | (0.27 | ) | (0.33 | ) | (0.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.34 | $ | 10.43 | $ | 9.69 | $ | 9.62 | $ | 9.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 1.07 | % | 9.97 | % | 3.58 | % | 0.39 | % | 3.22 | %(c) | ||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 41,765 | $ | 36,067 | $ | 48,815 | $ | 36,528 | $ | 28,020 | ||||||||||
Net expenses | 0.97 | % | 0.99 | % | 0.99 | % | 1.00 | %(d) | 1.05 | %(e)(f) | ||||||||||
Gross expenses | 0.97 | % | 0.99 | % | 0.99 | % | 1.00 | %(d) | 1.06 | % | ||||||||||
Net investment income | 2.45 | % | 2.81 | % | 3.10 | % | 3.29 | % | 3.26 | % | ||||||||||
Portfolio turnover rate | 218 | %(i) | 498 | % | 414 | %(g) | 379 | %(g) | 178 | %(h) | ||||||||||
| (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) | Includes fee/expense recovery of less than 0.01%. |
| (e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (f) | Effective July 1, 2017, the expense limit decreased from 1.30% to 1.00%. |
| (g) | 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. |
| (h) | The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio. |
| (i) | The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows. |
See accompanying notes to financial statements.
95 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Strategic Alpha Fund—Class C | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.40 | $ | 9.66 | $ | 9.58 | $ | 9.88 | $ | 9.82 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||
Net investment income(a) | 0.18 | 0.21 | 0.23 | 0.26 | 0.25 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.15 | ) | 0.66 | 0.04 | (0.31 | ) | 0.00 | (b)(c) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.03 | 0.87 | 0.27 | (0.05 | ) | 0.25 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: |
| |||||||||||||||||||
Net investment income | (0.11 | ) | (0.13 | ) | (0.19 | ) | (0.25 | ) | (0.19 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.32 | $ | 10.40 | $ | 9.66 | $ | 9.58 | $ | 9.88 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 0.30 | % | 9.12 | % | 2.87 | %(e) | (0.42 | )% | 2.53 | % | ||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 4,266 | $ | 8,962 | $ | 16,337 | $ | 26,883 | $ | 33,759 | ||||||||||
Net expenses | 1.73 | % | 1.74 | % | 1.73 | %(f) | 1.75 | %(g) | 1.81 | %(h) | ||||||||||
Gross expenses | 1.73 | % | 1.74 | % | 1.74 | % | 1.75 | %(g) | 1.81 | % | ||||||||||
Net investment income | 1.68 | % | 2.14 | % | 2.33 | % | 2.61 | % | 2.52 | % | ||||||||||
Portfolio turnover rate | 218 | %(k) | 498 | % | 414 | %(i) | 379 | %(i) | 178 | %(j) | ||||||||||
| (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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
| (f) | 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. |
| (g) | Includes fee/expense recovery of less than 0.01%. |
| (h) | Effective July 1, 2017, the expense limit decreased from 2.05% to 1.75%. |
| (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. |
| (k) | The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows. |
See accompanying notes to financial statements.
| 96
Financial Highlights (continued)
For a share outstanding throughout each period.
| Strategic Alpha Fund—Class N | ||||||||||||||||||||
| Year Ended December 31, 2021 | 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) | 0.29 | 0.31 | 0.33 | 0.34 | 0.25 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.15 | ) | 0.67 | 0.04 | (0.28 | ) | (0.04 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.14 | 0.98 | 0.37 | 0.06 | 0.21 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: |
| |||||||||||||||||||
Net investment income | (0.23 | ) | (0.24 | ) | (0.30 | ) | (0.36 | ) | (0.21 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.32 | $ | 10.41 | $ | 9.67 | $ | 9.60 | $ | 9.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 1.38 | % | 10.36 | % | 3.92 | % | 0.68 | % | 2.11 | %(b)(c) | ||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 484,005 | $ | 527,494 | $ | 297,300 | $ | 255,226 | $ | 59,282 | ||||||||||
Net expenses | 0.67 | % | 0.68 | % | 0.67 | % | 0.70 | %(d) | 0.70 | %(e)(f)(g) | ||||||||||
Gross expenses | 0.67 | % | 0.68 | % | 0.67 | % | 0.70 | %(d) | 0.72 | %(e) | ||||||||||
Net investment income | 2.74 | % | 3.13 | % | 3.39 | % | 3.44 | % | 3.83 | %(e) | ||||||||||
Portfolio turnover rate | 218 | %(j) | 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) | Includes fee/expense recovery of 0.01%. |
| (e) | Computed on an annualized basis for periods less than one year. |
| (f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (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. |
| (j) | The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows. |
See accompanying notes to financial statements.
97 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Strategic Alpha Fund—Class Y | ||||||||||||||||||||
| Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.41 | $ | 9.67 | $ | 9.59 | $ | 9.90 | $ | 9.85 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||
Net investment income(a) | 0.28 | 0.30 | 0.32 | 0.35 | 0.35 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.15 | ) | 0.68 | 0.06 | (0.31 | ) | (0.01 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from Investment Operations | 0.13 | 0.98 | 0.38 | 0.04 | 0.34 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: |
| |||||||||||||||||||
Net investment income | (0.23 | ) | (0.24 | ) | (0.30 | ) | (0.35 | ) | (0.29 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 10.31 | $ | 10.41 | $ | 9.67 | $ | 9.59 | $ | 9.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return | 1.32 | % | 10.19 | % | 3.96 | % | 0.53 | % | 3.48 | %(b) | ||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||
Net assets, end of the period (000’s) | $ | 930,815 | $ | 742,493 | $ | 938,271 | $ | 1,186,322 | $ | 1,031,537 | ||||||||||
Net expenses | 0.72 | % | 0.74 | % | 0.74 | % | 0.75 | %(c) | 0.80 | %(d)(e) | ||||||||||
Gross expenses | 0.72 | % | 0.74 | % | 0.74 | % | 0.75 | %(c) | 0.81 | % | ||||||||||
Net investment income | 2.70 | % | 3.05 | % | 3.33 | % | 3.51 | % | 3.53 | % | ||||||||||
Portfolio turnover rate | 218 | %(h) | 498 | % | 414 | %(f) | 379 | %(f) | 178 | %(g) | ||||||||||
| (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) | Includes fee/expense recovery of less than 0.01%. |
| (d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| (e) | Effective July 1, 2017, the expense limit decreased from 1.05% to 0.75%. |
| (f) | 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. |
| (g) | The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio. |
| (h) | The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows. |
See accompanying notes to financial statements.
| 98
Financial Highlights (continued)
For a share outstanding throughout each period.
| Strategic Income Fund—Class A | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 14.03 | $ | 13.58 | $ | 14.25 | $ | 14.39 | $ | 14.84 | $ | 14.70 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.26 | 0.10 | 0.47 | 0.57 | 0.52 | 0.56 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.27 | 0.63 | (0.66 | ) | (0.16 | ) | (0.33 | ) | 0.42 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.53 | 0.73 | (0.19 | ) | 0.41 | 0.19 | 0.98 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.37 | ) | (0.16 | ) | (0.45 | ) | (0.48 | ) | (0.57 | ) | (0.52 | ) | ||||||||||||
Net realized capital gains | — | (0.12 | ) | (0.03 | ) | (0.07 | ) | (0.07 | ) | (0.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.37 | ) | (0.28 | ) | (0.48 | ) | (0.55 | ) | (0.64 | ) | (0.84 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 14.19 | $ | 14.03 | $ | 13.58 | $ | 14.25 | $ | 14.39 | $ | 14.84 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b) | 3.85 | %(c) | 5.37 | %(d) | (1.39 | )% | 3.02 | % | 1.34 | % | 7.01 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 1,512,939 | $ | 1,682,562 | $ | 1,683,547 | $ | 1,835,813 | $ | 1,986,300 | $ | 1,999,385 | ||||||||||||
Net expenses | 0.96 | %(e)(f) | 0.97 | %(g) | 0.97 | %(h) | 0.96 | % | 0.96 | % | 0.96 | % | ||||||||||||
Gross expenses | 0.97 | % | 0.97 | %(g) | 0.97 | % | 0.96 | % | 0.96 | % | 0.96 | % | ||||||||||||
Net investment income | 1.85 | % | 2.78 | %(g) | 3.42 | % | 4.03 | % | 3.57 | % | 3.82 | % | ||||||||||||
Portfolio turnover rate | 99 | %(i) | 30 | %(j) | 30 | % | 13 | % | 6 | % | 11 | % | ||||||||||||
| * | For the three month period ended December 31, 2020 due to change in fiscal year. |
| (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) | Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%. |
| (g) | Computed on an annualized basis for periods less than one year. |
| (h) | Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%. |
| (i) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
| (j) | 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. |
See accompanying notes to financial statements.
99 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Strategic Income Fund—Class C | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 14.18 | $ | 13.72 | $ | 14.39 | $ | 14.52 | $ | 14.97 | $ | 14.81 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.16 | 0.07 | 0.38 | 0.47 | 0.41 | 0.45 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.28 | 0.64 | (0.68 | ) | (0.16 | ) | (0.33 | ) | 0.44 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.44 | 0.71 | (0.30 | ) | 0.31 | 0.08 | 0.89 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.13 | ) | (0.34 | ) | (0.37 | ) | (0.46 | ) | (0.41 | ) | ||||||||||||
Net realized capital gains | — | (0.12 | ) | (0.03 | ) | (0.07 | ) | (0.07 | ) | (0.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.26 | ) | (0.25 | ) | (0.37 | ) | (0.44 | ) | (0.53 | ) | (0.73 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 14.36 | $ | 14.18 | $ | 13.72 | $ | 14.39 | $ | 14.52 | $ | 14.97 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b) | 3.13 | %(c) | 5.17 | %(d) | (2.18 | )% | 2.27 | % | 0.60 | % | 6.20 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 120,091 | $ | 259,780 | $ | 277,896 | $ | 676,602 | $ | 1,153,853 | $ | 2,248,939 | ||||||||||||
Net expenses | 1.71 | %(e)(f) | 1.72 | %(g) | 1.72 | %(h) | 1.71 | % | 1.71 | % | 1.71 | % | ||||||||||||
Gross expenses | 1.72 | % | 1.72 | %(g) | 1.72 | % | 1.71 | % | 1.71 | % | 1.71 | % | ||||||||||||
Net investment income | 1.12 | % | 2.04 | %(g) | 2.75 | % | 3.30 | % | 2.79 | % | 3.08 | % | ||||||||||||
Portfolio turnover rate | 99 | %(i) | 30 | %(j) | 30 | % | 13 | % | 6 | % | 11 | % | ||||||||||||
| * | For the three month period ended December 31, 2020 due to change in fiscal year. |
| (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) | Effective July 1, 2021, the expense limit decreased from 1.75% to 1.70%. |
| (g) | Computed on an annualized basis for periods less than one year. |
| (h) | Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%. |
| (i) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
| (j) | 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. |
See accompanying notes to financial statements.
| 100
Financial Highlights (continued)
For a share outstanding throughout each period.
| Strategic Income Fund—Class N | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 14.01 | $ | 13.57 | $ | 14.24 | $ | 14.38 | $ | 14.83 | $ | 14.69 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.31 | 0.11 | 0.52 | 0.61 | 0.56 | 0.60 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.27 | 0.62 | (0.66 | ) | (0.16 | ) | (0.32 | ) | 0.43 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.58 | 0.73 | (0.14 | ) | 0.45 | 0.24 | 1.03 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.42 | ) | (0.17 | ) | (0.50 | ) | (0.52 | ) | (0.62 | ) | (0.57 | ) | ||||||||||||
Net realized capital gains | — | (0.12 | ) | (0.03 | ) | (0.07 | ) | (0.07 | ) | (0.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.42 | ) | (0.29 | ) | (0.53 | ) | (0.59 | ) | (0.69 | ) | (0.89 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 14.17 | $ | 14.01 | $ | 13.57 | $ | 14.24 | $ | 14.38 | $ | 14.83 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 4.19 | % | 5.39 | %(b) | (1.06 | )% | 3.37 | % | 1.67 | % | 7.38 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 280,661 | $ | 247,697 | $ | 212,804 | $ | 202,989 | $ | 176,456 | $ | 141,695 | ||||||||||||
Net expenses | 0.65 | %(c) | 0.65 | %(d) | 0.64 | %(e) | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||
Gross expenses | 0.65 | % | 0.65 | %(d) | 0.64 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||
Net investment income | 2.17 | % | 3.13 | %(d) | 3.77 | % | 4.36 | % | 3.91 | % | 4.13 | % | ||||||||||||
Portfolio turnover rate | 99 | %(f) | 30 | %(g) | 30 | % | 13 | % | 6 | % | 11 | % | ||||||||||||
| * | For the three month period ended December 31, 2020 due to change in fiscal year. |
| (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) | Effective July 1, 2021, the expense limit decreased from 0.70% to 0.65%. |
| (d) | Computed on an annualized basis for periods less than one year. |
| (e) | Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%. |
| (f) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
| (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. |
See accompanying notes to financial statements.
101 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| Strategic Income Fund—Class Y | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 14.01 | $ | 13.56 | $ | 14.23 | $ | 14.38 | $ | 14.83 | $ | 14.69 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.30 | 0.11 | 0.51 | 0.60 | 0.55 | 0.59 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.27 | 0.62 | (0.66 | ) | (0.17 | ) | (0.32 | ) | 0.43 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.57 | 0.73 | (0.15 | ) | 0.43 | 0.23 | 1.02 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.41 | ) | (0.16 | ) | (0.49 | ) | (0.51 | ) | (0.61 | ) | (0.56 | ) | ||||||||||||
Net realized capital gains | — | (0.12 | ) | (0.03 | ) | (0.07 | ) | (0.07 | ) | (0.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.41 | ) | (0.28 | ) | (0.52 | ) | (0.58 | ) | (0.68 | ) | (0.88 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 14.17 | $ | 14.01 | $ | 13.56 | $ | 14.23 | $ | 14.38 | $ | 14.83 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 4.12 | %(b) | 5.44 | %(c) | (1.14 | )% | 3.22 | % | 1.66 | % | 7.22 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 3,058,635 | $ | 3,693,954 | $ | 3,774,113 | $ | 4,316,010 | $ | 5,118,016 | $ | 5,702,607 | ||||||||||||
Net expenses | 0.71 | %(d)(e) | 0.72 | %(f) | 0.72 | %(g) | 0.71 | % | 0.71 | % | 0.71 | % | ||||||||||||
Gross expenses | 0.72 | % | 0.72 | %(f) | 0.72 | % | 0.71 | % | 0.71 | % | 0.71 | % | ||||||||||||
Net investment income | 2.10 | % | 3.03 | %(f) | 3.68 | % | 4.28 | % | 3.82 | % | 4.04 | % | ||||||||||||
Portfolio turnover rate | 99 | %(h) | 30 | %(i) | 30 | % | 13 | % | 6 | % | 11 | % | ||||||||||||
| * | For the three month period ended December 31, 2020 due to change in fiscal year. |
| (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) | Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%. |
| (f) | Computed on an annualized basis for periods less than one year. |
| (g) | Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%. |
| (h) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
| (i) | 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. |
See accompanying notes to financial statements.
| 102
Financial Highlights (continued)
For a share outstanding throughout each period.
| Strategic Income Fund—Admin Class | ||||||||||||||||||||||||
| Year Ended December 31, 2021 | 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 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 13.97 | $ | 13.53 | $ | 14.20 | $ | 14.34 | $ | 14.79 | $ | 14.65 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (loss) from Investment Operations: |
| |||||||||||||||||||||||
Net investment income(a) | 0.23 | 0.09 | 0.44 | 0.53 | 0.48 | 0.52 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.28 | 0.62 | (0.66 | ) | (0.16 | ) | (0.33 | ) | 0.43 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.51 | 0.71 | (0.22 | ) | 0.37 | 0.15 | 0.95 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: |
| |||||||||||||||||||||||
Net investment income | (0.34 | ) | (0.15 | ) | (0.42 | ) | (0.44 | ) | (0.53 | ) | (0.49 | ) | ||||||||||||
Net realized capital gains | — | (0.12 | ) | (0.03 | ) | (0.07 | ) | (0.07 | ) | (0.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.34 | ) | (0.27 | ) | (0.45 | ) | (0.51 | ) | (0.60 | ) | (0.81 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 14.14 | $ | 13.97 | $ | 13.53 | $ | 14.20 | $ | 14.34 | $ | 14.79 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 3.68 | %(b) | 5.24 | %(c) | (1.64 | )% | 2.78 | % | 1.09 | % | 6.79 | % | ||||||||||||
Ratios to Average Net Assets: |
| |||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 95,250 | $ | 105,172 | $ | 103,197 | $ | 121,903 | $ | 133,220 | $ | 142,871 | ||||||||||||
Net expenses | 1.21 | %(d)(e) | 1.22 | %(f) | 1.22 | %(g) | 1.20 | %(h) | 1.20 | %(h) | 1.19 | %(i) | ||||||||||||
Gross expenses | 1.22 | % | 1.22 | %(f) | 1.22 | % | 1.20 | %(h) | 1.20 | %(h) | 1.19 | %(i) | ||||||||||||
Net investment income | 1.60 | % | 2.53 | %(f) | 3.19 | % | 3.80 | % | 3.33 | % | 3.57 | % | ||||||||||||
Portfolio turnover rate | 99 | %(j) | 30 | %(k) | 30 | % | 13 | % | 6 | % | 11 | % | ||||||||||||
| * | For the three month period ended December 31, 2020 due to change in fiscal year. |
| (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) | Effective July 1, 2021, the expense limit decreased from 1.25% to 1.20%. |
| (f) | Computed on an annualized basis for periods less than one year. |
| (g) | Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%. |
| (h) | Includes refund of prior year service fee of 0.01%. |
| (i) | Includes refund of prior year service fee of 0.02%. |
| (j) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
| (k) | 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. |
See accompanying notes to financial statements.
103 |
December 31, 2021
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 year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser 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
| 104
Notes to Financial Statements (continued)
December 31, 2021
recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. 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 or sub-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 December 31, 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 | Percentage of Net Assets | Securities fair | Percentage of Net Assets | ||||||||||||||||||
High Income Fund | $ | — | — | $ | 1,641,625 | 1.3 | % | $ | 227,251 | 0.2 | % | |||||||||||||
Investment Grade Bond Fund | — | — | 97,508,153 | 1.5 | % | — | — | |||||||||||||||||
Strategic Alpha Fund | 1,019,819 | 0.1 | % | 9,982,635 | 0.7 | % | 2,715,716 | 0.2 | % | |||||||||||||||
Strategic Income Fund | — | — | 78,951,257 | 1.6 | % | 3,333,390 | 0.1 | % | ||||||||||||||||
| 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, are 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
105 |
Notes to Financial Statements (continued)
December 31, 2021
fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statements of 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 year ended December 31, 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 | $ | 5,652,302 | ||
Strategic Income Fund | 881,596 |
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. A Fund 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. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
e. Futures Contracts. A Fund 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.
| 106
Notes to Financial Statements (continued)
December 31, 2021
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 outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
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. A 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. Option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
g. Swap Agreements. A Fund 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.
107 |
Notes to Financial Statements (continued)
December 31, 2021
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. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
h. Swaptions. A Fund 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. Swaptions outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
i. Due to/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 and Investment Grade Bond 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 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 initial margin for centrally cleared swap agreements. The due to brokers balance in the Statements of Assets and Liabilities for Strategic Alpha fund represents cash received as collateral for
| 108
Notes to Financial Statements (continued)
December 31, 2021
forward foreign currency contracts and bilateral 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 December 31, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts 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, distribution re-designations, deferred Trustees’ fees, futures and forward foreign currency contract mark-to-market, return of capital distributions received, capital gain distributions received, convertible bond adjustments, swap adjustments, 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, futures and forward foreign currency contract mark-to-market, return of capital distributions received, capital gain distributions received, trust preferred securities, convertible bond adjustments, perpetual 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 years ended December 31, 2021 and 2020 (period ended for Strategic Income Fund) was as follows:
2021 Distributions | 2020 Distributions | |||||||||||||||||||||||||||||||
Fund | Ordinary | Tax Exempt | Long-Term | Total | Ordinary | Tax Exempt | Long-Term | Total | ||||||||||||||||||||||||
High Income Fund | $ | 5,371,376 | $ | — | $ | — | $ | 5,371,376 | $ | 6,265,130 | $ | — | $ | — | $ | 6,265,130 | ||||||||||||||||
Intermediate Municipal Bond Fund | 239 | 568,417 | — | 568,656 | 791 | 414,256 | — | 415,047 | ||||||||||||||||||||||||
Investment Grade Bond Fund | 173,267,029 | — | 81,743,974 | 255,011,003 | 312,629,628 | — | 154,088,171 | 466,717,799 | ||||||||||||||||||||||||
Strategic Alpha Fund | 31,722,448 | — | — | 31,722,448 | 28,229,130 | — | — | 28,229,130 | ||||||||||||||||||||||||
Strategic Income Fund | 149,184,342 | — | — | 149,184,342 | 77,888,540 | — | 42,139,359 | 120,027,899 | ||||||||||||||||||||||||
109 |
Notes to Financial Statements (continued)
December 31, 2021
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, 2021, the components of distributable earnings on a tax basis were as follows:
High Income | Intermediate | Investment | Strategic | Strategic | ||||||||||||||||
Undistributed ordinary income | $ | 718 | $ | — | $ | — | $ | 586,451 | $ | 322,132 | ||||||||||
Undistributed tax exempt income | — | 13,832 | — | — | — | |||||||||||||||
Undistributed long-term capital gains | — | — | 7,848,660 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total undistributed earnings | 718 | 13,832 | 7,848,660 | 586,451 | 322,132 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Capital loss carryforward: |
| |||||||||||||||||||
Short-term: |
| |||||||||||||||||||
No expiration date | — | (335,458 | ) | — | — | (18,121,967 | ) | |||||||||||||
Long-term: |
| |||||||||||||||||||
No expiration date | (7,377,226 | ) | — | — | (15,404,841 | ) | (173,343,657 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total capital loss carryforward | (7,377,226 | ) | (335,458 | ) | — | (15,404,841 | ) | (191,465,624 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Late-year ordinary and post-October capital loss deferrals* | — | — | (2,088,873 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Unrealized appreciation (depreciation) | (2,334,487 | ) | 1,204,670 | 250,764,132 | (22,655,594 | ) | 63,556,376 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total accumulated earnings (losses) | $ | (9,710,995 | ) | $ | 883,044 | $ | 256,523,919 | $ | (37,473,984 | ) | $ | (127,587,116 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Capital loss carryforward utilized in the current year | $ | 3,084,217 | $ | 7,914 | $ | — | $ | 29,663,874 | $ | — | ||||||||||
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|
|
|
|
|
|
| |||||||||||
| * | 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. Investment Grade Bond Fund is deferring capital losses. |
As of December 31, 2021, unrealized appreciation (depreciation) as a component of distributable earnings was as follows:
High Income | Intermediate | Investment | Strategic | Strategic Income Fund | ||||||||||||||||
Unrealized appreciation (depreciation) | ||||||||||||||||||||
Investments | $ | (2,334,487 | ) | $ | 1,204,670 | $ | 250,764,132 | $ | (2,937,116 | ) | $ | 63,763,480 | ||||||||
Foreign currency translations | — | — | — | (19,718,478 | ) | (207,104 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total unrealized appreciation (depreciation) | $ | (2,334,487 | ) | $ | 1,204,670 | $ | 250,764,132 | $ | (22,655,594 | ) | $ | 63,556,376 | ||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
As of December 31, 2021, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
High | Intermediate | Investment | Strategic | Strategic | ||||||||||||||||
Federal tax cost | $ | 126,772,112 | $ | 37,987,307 | $ | 6,103,691,131 | $ | 1,454,962,697 | $ | 4,971,741,962 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross tax appreciation | $ | 4,423,523 | $ | 1,257,063 | $ | 302,802,925 | $ | 47,221,037 | $ | 246,160,128 | ||||||||||
Gross tax depreciation | (6,758,010 | ) | (52,393 | ) | (52,038,793 | ) | (69,610,619 | ) | (182,254,333 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net tax appreciation (depreciation) | $ | (2,334,487 | ) | $ | 1,204,670 | $ | 250,764,132 | $ | (22,389,582 | ) | $ | 63,905,795 | ||||||||
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| 110
Notes to Financial Statements (continued)
December 31, 2021
The difference between these amounts and those reported in the preceding table, if any, are primarily attributable to foreign currency mark-to-market.
l. Senior Loans. A Fund’s investment in senior loans may be 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 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 investment 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.
n. Collateralized Loan Obligations. A 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.
p. 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 December 31, 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. A Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the 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
111 |
Notes to Financial Statements (continued)
December 31, 2021
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.
There were no when-issued or delayed delivery securities held by the Funds as of December 31, 2021.
r. Stripped Securities. A 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. Stripped securities outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
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 year ended December 31, 2021, the Funds did not loan securities under this agreement.
t. Unfunded Loan Commitments. A Fund may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the 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. Unfunded loan commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
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 January 2021, the Financial Accounting Standards Board issued Accounting Standard Update 2021-01, Reference Rate Reform (Topic 848) (“ASU 2021-01”). ASU 2021-01 is an update of ASU 2020-04, which was issued in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), 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 2021-01 clarifies that certain
| 112
Notes to Financial Statements (continued)
December 31, 2021
provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. The 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. 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 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.
113 |
Notes to Financial Statements (continued)
December 31, 2021
The following is a summary of the inputs used to value the Funds’ investments as of December 31, 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 | $ | — | $ | 1,503,877 | $ | — | (b) | $ | 1,503,877 | |||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 2,375,593 | 138,957 | (c) | 2,514,550 | |||||||||||
All Other Non-Convertible Bonds(a) | — | 103,415,582 | — | 103,415,582 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 107,295,052 | 138,957 | 107,434,009 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 7,350,288 | — | 7,350,288 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 114,645,340 | 138,957 | 114,784,297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Collateralized Loan Obligations | — | 1,848,816 | 250,000 | (d) | 2,098,816 | |||||||||||
Senior Loans(a) | — | 404,648 | — | 404,648 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 109,466 | — | 109,466 | ||||||||||||
Wireless | — | 1,305,473 | — | 1,305,473 | ||||||||||||
All Other Preferred Stocks(a) | 176,880 | — | — | 176,880 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 176,880 | 1,414,939 | — | 1,591,819 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Chemicals | — | 264,460 | — | 264,460 | ||||||||||||
All Other Common Stocks(a) | 278,169 | — | — | 278,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 278,169 | 264,460 | — | 542,629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Other Investments(a) | — | — | 87,030 | (c) | 87,030 | |||||||||||
Warrants | — | — | 1,264 | (c) | 1,264 | |||||||||||
Exchange-Traded Funds | 1,131,130 | — | — | 1,131,130 | ||||||||||||
Short-Term Investments | — | 3,795,992 | — | 3,795,992 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,586,179 | $ | 122,374,195 | $ | 477,251 | $ | 124,437,625 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (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) | $ | — | $ | 38,647,551 | $ | — | $ | 38,647,551 | ||||||||
Short-Term Investments | — | 544,426 | — | 544,426 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 39,191,977 | $ | — | $ | 39,191,977 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| 114
Notes to Financial Statements (continued)
December 31, 2021
Investment Grade Bond Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes(a) | $ | — | $ | 6,082,472,980 | $ | — | $ | 6,082,472,980 | ||||||||
Senior Loans(a) | — | 6,723,660 | — | 6,723,660 | ||||||||||||
Collateralized Loan Obligations | — | 143,110,412 | — | 143,110,412 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Banking | 53,004,866 | — | — | 53,004,866 | ||||||||||||
Food & Beverage | — | 3,459,244 | — | 3,459,244 | ||||||||||||
Wireless | — | 28,221,989 | — | 28,221,989 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 53,004,866 | 31,681,233 | — | 84,686,099 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 37,462,112 | — | 37,462,112 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 53,004,866 | $ | 6,301,450,397 | $ | — | $ | 6,354,455,263 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs
| ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) | $ | (7,262,263 | ) | $ | — | $ | — | $ | (7,262,263 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
115 |
Notes to Financial Statements (continued)
December 31, 2021
Strategic Alpha Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | $ | — | $ | 52,181,260 | $ | 1,932,446 | (b) | $ | 54,113,706 | |||||||
All Other Non-Convertible Bonds(a) | — | 1,036,917,172 | — | 1,036,917,172 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 1,089,098,432 | 1,932,446 | 1,091,030,878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 56,293,668 | — | 56,293,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 1,145,392,100 | 1,932,446 | 1,147,324,546 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans(a) | — | 17,465,981 | — | 17,465,981 | ||||||||||||
Collateralized Loan Obligations | — | 72,525,646 | 445,000 | (c) | 72,970,646 | |||||||||||
Common Stocks | ||||||||||||||||
Chemicals | 546,320 | 3,024,812 | — | 3,571,132 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 1,019,819 | — | 1,019,819 | ||||||||||||
All Other Common Stocks(a) | 62,790,101 | — | — | 62,790,101 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 63,336,421 | 4,044,631 | — | 67,381,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 1,223,991 | — | 1,223,991 | ||||||||||||
Wireless | — | 3,911,205 | — | 3,911,205 | ||||||||||||
All Other Preferred Stocks(a) | 11,248,998 | — | — | 11,248,998 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 11,248,998 | 5,135,196 | — | 16,384,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Other Investments(a) | — | — | 783,270 | (b) | 783,270 | |||||||||||
Short-Term Investments | — | 110,024,248 | — | 110,024,248 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 74,585,419 | 1,354,587,802 | 3,160,716 | 1,432,333,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 134,876 | — | 134,876 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 1,326,616 | — | 1,326,616 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 74,585,419 | $ | 1,356,049,294 | $ | 3,160,716 | $ | 1,433,795,429 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs
| ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options(a) | $ | (275,155 | ) | $ | — | $ | — | $ | (275,155 | ) | ||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) | — | (293,438 | ) | — | (293,438 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation) | — | (713,984 | ) | — | (713,984 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (58,994 | ) | — | (58,994 | ) | ||||||||||
Futures Contracts (unrealized depreciation) | (2,372,734 | ) | — | — | (2,372,734 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,647,889 | ) | $ | (1,066,416 | ) | $ | — | $ | (3,714,305 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (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. |
| 116
Notes to Financial Statements (continued)
December 31, 2021
Strategic Income Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Independent Energy | $ | — | $ | 142,642,264 | $ | 1,832,190 | (b) | $ | 144,474,454 | |||||||
Property & Casualty Insurance | — | 11,452,134 | 1,501,200 | (b) | 12,953,334 | |||||||||||
All Other Non-Convertible Bonds(a) | — | 3,465,734,273 | — | 3,465,734,273 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 3,619,828,671 | 3,333,390 | 3,623,162,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 359,633,287 | — | 359,633,287 | ||||||||||||
Municipals(a) | — | 69,730,103 | — | 69,730,103 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 4,049,192,061 | 3,333,390 | 4,052,525,451 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans(a) | — | 44,822,729 | — | 44,822,729 | ||||||||||||
Collateralized Loan Obligations | — | 138,896,575 | — | 138,896,575 | ||||||||||||
Common Stocks | ||||||||||||||||
Chemicals | — | 13,625,696 | — | 13,625,696 | ||||||||||||
Software | 14,362,209 | 174,291 | — | 14,536,500 | ||||||||||||
All Other Common Stocks(a) | 523,311,648 | — | — | 523,311,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 537,673,857 | 13,799,987 | — | 551,473,844 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 1,695,770 | — | 1,695,770 | ||||||||||||
Wireless | — | 16,904,415 | — | 16,904,415 | ||||||||||||
All Other Convertible Preferred Stocks(a) | 63,788,963 | — | — | 63,788,963 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Preferred Stocks | 63,788,963 | 18,600,185 | — | 82,389,148 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Non-Convertible Preferred Stocks | ||||||||||||||||
REITs—Office Property | — | 1,995,000 | — | 1,995,000 | ||||||||||||
REITs—Warehouse/Industrials | — | 7,110,950 | — | 7,110,950 | ||||||||||||
All Other Non-Convertible Preferred Stocks(a) | 5,055,600 | — | — | 5,055,600 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Preferred Stocks | 5,055,600 | 9,105,950 | — | 14,161,550 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 68,844,563 | 27,706,135 | — | 96,550,698 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Closed-End Investment Companies | 2,320,129 | — | — | 2,320,129 | ||||||||||||
Short-Term Investments | — | 111,080,788 | — | 111,080,788 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 608,838,549 | 4,385,498,275 | 3,333,390 | 4,997,670,214 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 2,684,673 | — | 2,684,673 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 608,838,549 | $ | 4,388,182,948 | $ | 3,333,390 | $ | 5,000,354,887 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs
| ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (248,802 | ) | $ | — | $ | (248,802 | ) | ||||||
Futures Contracts (unrealized depreciation) | (1,719,078 | ) | — | — | (1,719,078 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,719,078 | ) | $ | (248,802 | ) | $ | — | $ | (1,967,880 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (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. |
117 |
Notes to Financial Statements (continued)
December 31, 2021
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 December 31, 2021:
High Income Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | Sales | Transfers | Transfers | Balance as of | Change in | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Home Construction | $ | — | (a) | $ | 48,257 | $ | — | $ | (48,257 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | (a) | $ | (48,257 | ) | ||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 390,104 | — | — | (251,147 | ) | — | — | — | — | 138,957 | (251,147 | ) | ||||||||||||||||||||||||||||
Collateralized Loan Obligations | — | — | — | — | 250,000 | — | — | — | 250,000 | — | ||||||||||||||||||||||||||||||
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 | — | — | (38,570 | ) | — | — | — | — | 87,030 | (38,570 | ) | ||||||||||||||||||||||||||||
Warrants | 37,995 | — | — | (29,333 | ) | — | (7,398 | ) | — | — | 1,264 | (30,682 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 715,044 | $ | 48,260 | $ | (866,484 | ) | $ | 517,952 | $ | 259,535 | $ | (197,056 | ) | $ | — | $ | — | $ | 477,251 | $ | (368,656 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
| (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 | Accrued | Realized | Change in | Purchases | Sales | Transfers | Transfers | Balance | Change in | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Other | $ | 21,594,566 | $ | — | $ | (3,304,502 | ) | $ | 17,633,017 | $ | — | $ | (35,923,081 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Collateralized Loan Obligations | 14,755,000 | — | — | — | — | — | — | (14,755,000 | ) | — | — | |||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy | — | (a) | — | (3,487,753 | ) | 3,487,753 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
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Total | $ | 36,349,566 | $ | — | $ | (6,792,255 | ) | $ | 21,120,770 | $ | — | $ | (35,923,081 | ) | $ | — | $ | (14,755,000 | ) | $ | — | $ | — | |||||||||||||||||
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| (a) | Includes a security fair valued at zero using level 3 inputs. |
| 118
Notes to Financial Statements (continued)
December 31, 2021
A debt security valued at $14,755,000 was transferred from Level 3 to Level 2 during the period ended December 31, 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 December 31, 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.
Strategic Alpha Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | Sales | Transfers | Transfers | Balance | Change in | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Other | $ | 1,475,243 | (a) | $ | — | $ | (2,127,373 | ) | $ | 5,142,057 | $ | 138,275 | $ | (4,628,202 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 4,742,511 | — | — | (2,810,065 | ) | — | — | — | — | 1,932,446 | (2,810,065 | ) | ||||||||||||||||||||||||||||
Collateralized Loan Obligations | — | — | — | — | 445,000 | — | — | — | 445,000 | — | ||||||||||||||||||||||||||||||
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 | — | — | (347,130 | ) | — | — | — | — | 783,270 | (347,130 | ) | ||||||||||||||||||||||||||||
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Total | $ | 7,928,995 | $ | 46 | $ | (3,600,316 | ) | $ | 3,525,272 | $ | 617,602 | $ | (5,310,883 | ) | $ | — | $ | — | $ | 3,160,716 | $ | (3,157,195 | ) | |||||||||||||||||
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| (a) | Includes a security fair valued at zero using level 3 inputs. |
119 |
Notes to Financial Statements (continued)
December 31, 2021
Strategic Income Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | Sales | Transfers | Transfers | Balance | Change in | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Other | $ | 14,217,962 | (a) | $ | — | $ | (26,192,156 | ) | $ | 58,265,169 | $ | 1,429,861 | $ | (47,720,836 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Independent Energy | — | 285,476 | — | 1,455,252 | — | — | 91,462 | — | 1,832,190 | 1,455,252 | ||||||||||||||||||||||||||||||
Property & Casualty Insurance | — | 58,049 | — | (2,935,349 | ) | — | — | 4,378,500 | — | 1,501,200 | (2,935,349 | ) | ||||||||||||||||||||||||||||
Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Oil Field Services | 6,330,947 | 91,639 | — | 3,171,156 | 254,255 | (9,847,997 | ) | — | — | — | — | |||||||||||||||||||||||||||||
Senior Loans | ||||||||||||||||||||||||||||||||||||||||
Construction Machinery | 9,862,216 | 436,973 | (6,497,335 | ) | 6,069,631 | — | (9,871,485 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Oil Field Services | — | (a) | — | — | 17,677,239 | — | (17,677,239 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 3,473,775 | (a) | — | (1,167,146 | ) | 1,167,146 | — | (3,473,775 | ) | — | — | — | — | |||||||||||||||||||||||||||
Specialty Retail | — | (a) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Convertible Preferred | ||||||||||||||||||||||||||||||||||||||||
Energy | — | (a) | — | (122,532,800 | ) | 122,532,800 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Warrants | 9,760,259 | — | — | 8,285,057 | — | (18,045,316 | ) | — | — | — | — | |||||||||||||||||||||||||||||
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Total | $ | 43,645,159 | $ | 872,137 | $ | (156,389,437 | ) | $ | 215,688,101 | $ | 1,684,116 | $ | (106,636,648 | ) | $ | 4,469,962 | $ | — | $ | 3,333,390 | $ | (1,480,097 | ) | |||||||||||||||||
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| (a) | Includes a security fair valued at zero using Level 3 inputs. |
Debt securities valued at $91,462 were transferred from Level 2 to Level 3 during the period ended December 31, 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 December 31, 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 December 31, 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 December 31, 2021, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
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.
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 year ended December 31, 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.
| 120
Notes to Financial Statements (continued)
December 31, 2021
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 year ended December 31, 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 year ended December 31, 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 and for yield curve management. During the year ended December 31, 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 year ended December 31, 2021, the Fund engaged in option contracts for hedging purposes.
Transactions in derivative instruments for High Income Fund during the year ended December 31, 2021, as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Swap | |||
Credit contracts | $ | 199,773 | ||
The following is a summary of derivative instruments for Investment Grade Bond Fund as of December 31, 2021, as reflected within the Statements of Assets and Liabilities:
Liabilities | Unrealized depreciation on contracts1 | |||
Exchange-traded liability derivatives |
| |||
Interest rate contracts | $ | (7,262,263 | ) | |
| 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 year ended December 31, 2021, as reflected within the Statements of Operations, were as follows:
Net Realized Gain (Loss) on: | Futures | |||
Interest rate contracts | $ | 18,565,540 | ||
Net Change in Unrealized | Futures | |||
Interest rate contracts | $ | (7,262,263 | ) | |
121 |
Notes to Financial Statements (continued)
December 31, 2021
The following is a summary of derivative instruments for Strategic Alpha Fund as of December 31, 2021, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized | Swap | Total | |||||||||||||||||
Over-the-counter asset derivatives | ||||||||||||||||||||
Foreign exchange contracts | $ | 1,326,616 | $ | — | $ | 1,326,616 | ||||||||||||||
Credit contracts | — | 1,244,341 | 1,244,341 | |||||||||||||||||
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| |||||||||||||||
Total over-the counter asset derivatives | $ | 1,326,616 | $ | 1,244,341 | $ | 2,570,957 | ||||||||||||||
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| |||||||||||||||
Liabilities | Options | Unrealized | Unrealized | Swap | Total | |||||||||||||||
Over-the-counter liability derivatives |
| |||||||||||||||||||
Foreign exchange contracts | $ | — | $ | (58,994 | ) | $ | — | $ | — | $ | (58,994 | ) | ||||||||
Credit contracts | — | — | — | (223,566 | ) | (223,566 | ) | |||||||||||||
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| |||||||||||
Total over-the counter liability derivatives | $ | — | $ | (58,994 | ) | $ | — | $ | (223,566 | ) | $ | (282,560 | ) | |||||||
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| |||||||||||
Exchange-traded/cleared liability derivatives |
| |||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (2,372,734 | ) | $ | (712,509 | ) | $ | (3,085,243 | ) | |||||||
Equity contracts | (275,155 | ) | — | — | — | (275,155 | ) | |||||||||||||
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| |||||||||||
Total exchange-traded/cleared liability derivatives | $ | (275,155 | ) | $ | — | $ | (2,372,734 | ) | $ | (712,509 | ) | $ | (3,360,398 | ) | ||||||
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| |||||||||||
Total liability derivatives | $ | (275,155 | ) | $ | (58,994 | ) | $ | (2,372,734 | ) | $ | (936,075 | ) | $ | (3,642,958 | ) | |||||
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| |||||||||||
| 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 Alpha Fund during the year ended December 31, 2021, as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Futures | Options | Swap | Forward | ||||||||||||||||
Interest rate contracts | $ | (7,826,027 | ) | $ | — | $ | (985,455 | ) | $ | — | ||||||||||
Foreign exchange contracts | — | — | — | (2,922,623 | ) | |||||||||||||||
Credit contracts | — | — | 5,294,216 | — | ||||||||||||||||
Equity contracts | — | (251,233 | ) | — | — | |||||||||||||||
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| |||||||||||||
Total | $ | (7,826,027 | ) | $ | (251,233 | ) | $ | 4,308,761 | $ | (2,922,623 | ) | |||||||||
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| 122
Notes to Financial Statements (continued)
December 31, 2021
Net Change in Unrealized | Futures | Options | Swap | Forward | ||||||||||||||||
Interest rate contracts | $ | (2,350,300 | ) | $ | — | $ | (577,308 | ) | $ | — | ||||||||||
Foreign exchange contracts | — | — | — | 4,329,189 | ||||||||||||||||
Credit contracts | — | — | (2,513,967 | ) | — | |||||||||||||||
Equity contracts | — | (77,419 | ) | — | — | |||||||||||||||
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| |||||||||||||
Total | $ | (2,350,300 | ) | $ | (77,419 | ) | $ | (3,091,275 | ) | $ | 4,329,189 | |||||||||
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The following is a summary of derivative instruments for Strategic Income Fund as of December 31, 2021, as reflected within the Statements of Assets and Liabilities:
Assets | Swap | |||||||
Exchange-traded/cleared asset derivatives |
| |||||||
Credit contracts | $ | 37,977,543 | ||||||
Liabilities | Unrealized | Unrealized | ||||||
Over-the-counter liability derivatives |
| |||||||
Foreign exchange contracts | $ | (248,802 | ) | $ | — | |||
Exchange-traded liability derivatives |
| |||||||
Interest rate contracts | — | (1,719,078 | ) | |||||
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| |||||
Total liability derivatives | $ | (248,802 | ) | $ | (1,719,078 | ) | ||
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| |||||
| 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 year ended December 31, 2021, as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Futures | Swap | Forward | |||||||||
Interest rate contracts | $ | 682,009 | $ | — | $ | — | ||||||
Foreign exchange contracts | — | — | (455,275 | ) | ||||||||
Credit contracts | — | 10,530,378 | — | |||||||||
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Total | $ | 682,009 | $ | 10,530,378 | $ | (455,275 | ) | |||||
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| |||||||
Net Change in Unrealized | Futures | Swap | Forward | |||||||||
Interest rate contracts | $ | (1,719,078 | ) | $ | — | $ | — | |||||
Foreign exchange contracts | — | — | (248,802 | ) | ||||||||
Credit contracts | — | 2,684,673 | — | |||||||||
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Total | $ | (1,719,078 | ) | $ | 2,684,673 | $ | (248,802 | ) | ||||
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123 |
Notes to Financial Statements (continued)
December 31, 2021
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 year ended December 31, 2021:
High Income Fund | Credit Default Swaps | |||
Average Notional Amount Outstanding | 1.99 | % | ||
Highest Notional Amount Outstanding | 10.24 | % | ||
Lowest Notional Amount Outstanding | 0.00 | % | ||
Notional Amount Outstanding as of December 31, 2021 | 0.00 | % | ||
Investment Grade Bond Fund | Futures | |||
Average Notional Amount Outstanding | 10.01 | % | ||
Highest Notional Amount Outstanding | 13.27 | % | ||
Lowest Notional Amount Outstanding | 5.55 | % | ||
Notional Amount Outstanding as of December 31, 2021 | 9.38 | % | ||
Strategic Alpha Fund | Forwards | Futures | Credit Default Swaps | Interest Rate Swaps | ||||||||||||
Average Notional Amount Outstanding | 2.77 | % | 14.48 | % | 3.90 | % | 1.55 | % | ||||||||
Highest Notional Amount Outstanding | 3.52 | % | 22.02 | % | 8.18 | % | 1.65 | % | ||||||||
Lowest Notional Amount Outstanding | 2.19 | % | 8.55 | % | 1.42 | % | 1.41 | % | ||||||||
Notional Amount Outstanding as of December 31, 2021 | 2.36 | % | 16.05 | % | 2.99 | % | 1.42 | % | ||||||||
Strategic Income Fund | Forwards | Futures | Credit Default Swaps | |||||||||
Average Notional Amount Outstanding | 0.32 | % | 9.00 | % | 4.57 | % | ||||||
Highest Notional Amount Outstanding | 0.83 | % | 15.87 | % | 8.11 | % | ||||||
Lowest Notional Amount Outstanding | 0.00 | % | 2.81 | % | 0.00 | % | ||||||
Notional Amount Outstanding as of December 31, 2021 | 0.26 | % | 2.81 | % | 8.05 | % | ||||||
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 the Funds’ net assets.
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 year ended December 31, 2021:
Strategic Alpha Fund | Call Written* | |||
Average Market Value of Underlying Instruments | 0.75 | % | ||
Highest Market Value of Underlying Instruments | 1.05 | % | ||
Lowest Market Value of Underlying Instruments | 0.62 | % | ||
Market Value of Underlying Instruments as of December 31, 2021 | 0.95 | % | ||
| * | 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.
| 124
Notes to Financial Statements (continued)
December 31, 2021
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 December 31, 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 | Offset | Net | Collateral | Net | |||||||||||||||
Bank of America, N.A. | $ | 45,888 | $ | (45,888 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC | 53,441 | (53,441 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG | 69,656 | — | 69,656 | — | 69,656 | |||||||||||||||
HSBC Bank USA | 3,520 | — | 3,520 | — | 3,520 | |||||||||||||||
Morgan Stanley Capital Services, Inc. | 1,154,111 | (39,834 | ) | 1,114,277 | (999,581 | ) | 114,696 | |||||||||||||
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| |||||||||||
| $ | 1,326,616 | $ | (139,163 | ) | $ | 1,187,453 | $ | (999,581 | ) | $ | 187,872 | |||||||||
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| |||||||||||
Counterparty | Gross | Offset | Net | Collateral | Net | |||||||||||||||
Bank of America, N.A. | $ | (58,994 | ) | $ | 45,888 | $ | (13,106 | ) | $ | — | $ | (13,106 | ) | |||||||
Barclays Bank PLC | (183,732 | ) | 53,441 | (130,291 | ) | — | (130,291 | ) | ||||||||||||
Morgan Stanley Capital Services, Inc. | (39,834 | ) | 39,834 | — | — | — | ||||||||||||||
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|
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|
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|
| |||||||||||
| $ | (282,560 | ) | $ | 139,163 | $ | (143,397 | ) | $ | — | $ | (143,397 | ) | ||||||||
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| |||||||||||
Strategic Income Fund |
| |||||||||||||||||||
Counterparty | Gross | Offset | Net | Collateral | Net | |||||||||||||||
Bank of America, N.A. | $ | (248,802 | ) | $ | — | $ | (248,802 | ) | $ | — | $ | (248,802 | ) | |||||||
The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s 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
125 |
Notes to Financial Statements (continued)
December 31, 2021
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 December 31, 2021:
Fund | Maximum Amount of Loss—Gross | Maximum Amount of Loss—Net | ||||||
High Income Fund | $ | 1,375,000 | $ | 1,375,000 | ||||
Investment Grade Bond Fund | 29,343,076 | 29,343,076 | ||||||
Strategic Alpha Fund | 22,080,604 | 20,941,860 | ||||||
Strategic Income Fund | 55,921,789 | 55,921,789 | ||||||
Net loss amount reflects cash received as collateral for Strategic Alpha Fund of $1,009,581, which is recorded on the Statements of Assets and Liabilities.
5. Purchases and Sales of Securities. For the year ended December 31, 2021, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:
U.S. Government/Agency | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
High Income Fund | $ | 2,475,487 | $ | 537,384 | $ | 92,392,548 | $ | 74,823,433 | ||||||||
Intermediate Municipal Bond Fund | — | — | 17,911,745 | 14,592,978 | ||||||||||||
Investment Grade Bond Fund | 342,743,683 | 211,641,297 | 1,915,037,683 | 1,405,501,339 | ||||||||||||
Strategic Alpha Fund | 2,094,360,522 | 2,095,514,171 | 942,237,145 | 676,094,737 | ||||||||||||
Strategic Income Fund | 1,070,449,494 | 1,155,057,355 | 3,942,471,358 | 3,853,544,028 | ||||||||||||
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 | Next | Over | ||||||||||||||||||
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 | % | ||||||||||||
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.
| 126
Notes to Financial Statements (continued)
December 31, 2021
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 for High Income Fund, Intermediate Municipal Bond Fund, Investment Grade Bond Fund and Strategic Alpha Fund, and until April 30, 2023 for Strategic Income Fund, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the year ended December 31, 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 | 0.95 | % | 1.70 | % | 0.65 | % | 0.70 | % | 1.20 | % | ||||||||||
Prior to July 1, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Strategic Income Fund were as follows:
| Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||||||
Class A | Class C | Class N | Class Y | Admin Class | ||||||||||||||||
Strategic Income Fund | 1.00 | % | 1.75 | % | 0.70 | % | 0.75 | % | 1.25 | % | ||||||||||
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 year ended December 31, 2021, the management fees and waivers of management fees for each Fund were as follows:
Gross | Contractual | Net | Percentage of | |||||||||||||||||
Fund | Gross | Net | ||||||||||||||||||
High Income Fund | $ | 726,613 | $ | 232,671 | $ | 493,942 | 0.60 | % | 0.41 | % | ||||||||||
Intermediate Municipal Bond Fund | 157,758 | 157,758 | — | 0.40 | % | — | % | |||||||||||||
Investment Grade Bond Fund | 25,154,197 | 2,306,970 | 22,847,227 | 0.40 | % | 0.36 | % | |||||||||||||
Strategic Alpha Fund | 8,512,743 | — | 8,512,743 | 0.59 | % | 0.59 | % | |||||||||||||
Strategic Income Fund | 30,794,434 | 378,293 | 30,416,141 | 0.57 | % | 0.56 | % | |||||||||||||
| 1 | Management fee waivers are subject to possible recovery until December 31, 2022. |
For the year ended December 31, 2021, expenses have been reimbursed as follows:
Fund | Reimbursement2 | |||
Intermediate Municipal Bond Fund | $ | 33,068 | ||
| 2 | Expense reimbursements are subject to possible recovery until December 31, 2022. |
No expenses were recovered for any of the Funds during the year ended December 31, 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.
127 |
Notes to Financial Statements (continued)
December 31, 2021
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 year ended December 31, 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 | $ | 58,768 | $ | 5,558 | $ | — | $ | 16,675 | $ | — | ||||||||||
Intermediate Municipal Bond Fund | 19,325 | 2,171 | — | 6,512 | — | |||||||||||||||
Investment Grade Bond Fund | 2,072,289 | 250,188 | 324,203 | 750,562 | 324,203 | |||||||||||||||
Strategic Alpha Fund | 101,460 | 14,645 | — | 43,934 | — | |||||||||||||||
Strategic Income Fund | 3,982,321 | 434,840 | 245,255 | 1,304,521 | 245,255 | |||||||||||||||
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.
For the year ended December 31, 2021, the administrative fees for each Fund were as follows:
Fund | Administrative | |||
High Income Fund | $ | 51,604 | ||
Intermediate Municipal Bond Fund | 16,838 | |||
Investment Grade Bond Fund | 2,691,907 | |||
Strategic Alpha Fund | 611,010 | |||
Strategic Income Fund | 2,299,170 | |||
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.
| 128
Notes to Financial Statements (continued)
December 31, 2021
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 year ended December 31, 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 | |||
High Income Fund | $ | 85,442 | ||
Intermediate Municipal Bond Fund | 13,678 | |||
Investment Grade Bond Fund | 3,497,062 | |||
Strategic Alpha Fund | 420,148 | |||
Strategic Income Fund | 3,675,330 | |||
As of December 31, 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 | |||
High Income Fund | $ | 1,162 | ||
Intermediate Municipal Bond Fund | 164 | |||
Investment Grade Bond Fund | 42,672 | |||
Strategic Alpha Fund | 5,241 | |||
Strategic Income Fund | 44,077 | |||
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 year ended December 31, 2021 were as follows:
Fund | Commissions | |||
High Income Fund | $ | 1,230 | ||
Intermediate Municipal Bond Fund | 7,534 | |||
Investment Grade Bond Fund | 42,418 | |||
Strategic Alpha Fund | 1,250 | |||
Strategic Income Fund | 24,265 | |||
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 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.
129 |
Notes to Financial Statements (continued)
December 31, 2021
Effective January 1, 2022, each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $210,000. All other Trustees fees will remain unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF 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 year ended December 31, 2021, Natixis Advisors reimbursed High Income Fund $1,077 for transfer agency expenses related to Class N shares.
h. Payment by Affiliates. For the year ended December 31, 2021, Loomis Sayles reimbursed Strategic Alpha Fund $3,540 in connection with a trading error. Natixis Advisors, Loomis Sayles and the Funds’ custodian bank, State Street Bank, reimbursed Strategic Income Fund $191,000 each, for a total of $573,000, for losses incurred in connection with an error in the calculation of the Fund’s net asset value. This amount is included in capital share transactions on the Statements of Changes in Net Assets.
i. Affiliated Ownership. As of December 31, 2021, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund and Strategic Alpha Fund representing 0.12% and 0.21%, respectively, of the Funds’ net assets.
j. Affiliated Transactions. As a result of business restructurings, Strategic Income Fund received common shares of Pioneer Energy Services Corp. and Lonestar Resources U.S., Inc. (individually, a “Company” and collectively, the “Companies”) constituting more than 5% of the voting securities of the Companies. As such, the Companies were considered to be affiliates at December 31, 2020. During the fiscal year ended December 31, 2021, the Companies, through tax free combinations, were merged into other entities and are no longer considered affiliates. The cost bases of the Fund’s Company holdings were transferred to the common shares received from the mergers and there was no realized gain or loss recognized on the transactions. A summary of affiliated transactions for the year ended December 31, 2021, is as follows:
Beginning | Purchase | Sales | Accrued | Realized | Change in | Ending | Investment | |||||||||||||||||||||||||
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash | $ | 6,330,947 | $ | 254,256 | * | $ | 9,847,997 | $ | 91,640 | $ | — | $ | 3,171,154 | $ | — | $ | 396,320 | |||||||||||||||
Pioneer Energy Services Corp. | — | — | 17,677,239 | — | — | 17,677,239 | — | — | ||||||||||||||||||||||||
Lonestar Resources U.S., Inc. | 3,473,775 | — | 3,473,775 | — | — | — | — | — | ||||||||||||||||||||||||
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| $ | 9,804,722 | $ | 254,256 | $ | 30,999,011 | $ | 91,640 | $ | — | $ | 20,848,393 | $ | — | $ | 396,320 | |||||||||||||||||
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| * | 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.
| 130
Notes to Financial Statements (continued)
December 31, 2021
For the year ended December 31, 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 | $ | 21,863 | $ | 2,060 | $ | 1,077 | $ | 85,759 | $ | — | ||||||||||
Investment Grade Bond Fund | 619,688 | 75,009 | 5,528 | 2,881,921 | 96,792 | |||||||||||||||
Strategic Alpha Fund | 21,444 | 3,180 | 2,336 | 434,510 | — | |||||||||||||||
Strategic Income Fund | 1,210,901 | 133,305 | 3,201 | 2,498,929 | 74,655 | |||||||||||||||
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 certain 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 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 year ended December 31, 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. Payable to Custodian Bank. The Fund’s custodian bank, State Street Bank, provides overdraft protection to the Fund in the event of a cash shortfall. Cash overdrafts may bear interest at a rate periodically determined by State Street Bank. At December 31, 2021, Investment Grade Bond Fund had a payable of $4,218,997 to the custodian bank for an overdraft.
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 December 31, 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% | Percentage of | ||||||
High Income Fund | 3 | 30.75 | % | |||||
Intermediate Municipal Bond Fund | 3 | 73.83 | % | |||||
Investment Grade Bond Fund | 1 | 10.19 | % | |||||
Strategic Alpha Fund | 4 | 42.89 | % | |||||
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.
131 |
Notes to Financial Statements (continued)
December 31, 2021
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:
High Income Fund
Year Ended | Year Ended | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 668,669 | $ | 2,915,754 | 5,472,929 | $ | 23,366,332 | ||||||||||
Issued in connection with the reinvestment of distributions | 189,309 | 821,078 | 265,043 | 1,081,552 | ||||||||||||
Redeemed | (5,634,696 | ) | (24,662,646 | ) | (1,646,663 | ) | (6,698,230 | ) | ||||||||
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Net change | (4,776,718 | ) | $ | (20,925,814 | ) | 4,091,309 | $ | 17,749,654 | ||||||||
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| Class C |
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Issued from the sale of shares | 49,909 | $ | 218,435 | 204,929 | $ | 851,367 | ||||||||||
Issued in connection with the reinvestment of distributions | 13,512 | 58,913 | 27,930 | 113,438 | ||||||||||||
Redeemed | (317,893 | ) | (1,393,021 | ) | (460,672 | ) | (1,851,801 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (254,472 | ) | $ | (1,115,673 | ) | (227,813 | ) | $ | (886,996 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class N |
| |||||||||||||||
Issued from the sale of shares | 720,158 | $ | 3,122,287 | 636,909 | $ | 2,492,319 | ||||||||||
Issued in connection with the reinvestment of distributions | 63,330 | 275,475 | 182,577 | 739,980 | ||||||||||||
Redeemed | (4,153,012 | ) | (18,269,833 | ) | (240,181 | ) | (982,234 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (3,369,524 | ) | $ | (14,872,071 | ) | 579,305 | $ | 2,250,065 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 16,856,831 | $ | 73,348,124 | 8,276,302 | $ | 32,427,807 | ||||||||||
Issued in connection with the reinvestment of distributions | 753,278 | 3,261,003 | 953,466 | 3,824,624 | ||||||||||||
Redeemed | (5,407,849 | ) | (23,507,835 | ) | (22,428,758 | ) | (87,181,268 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 12,202,260 | $ | 53,101,292 | (13,198,990 | ) | $ | (50,928,837 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 3,801,546 | $ | 16,187,734 | (8,756,189 | ) | $ | (31,816,114 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| 132
Notes to Financial Statements (continued)
December 31, 2021
12. Capital Shares (continued).
Intermediate Municipal Bond Fund
Year Ended | Year Ended | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 93,856 | $ | 982,861 | 269,748 | $ | 2,831,550 | ||||||||||
Issued in connection with the reinvestment of distributions | 7,973 | 83,427 | 11,723 | 121,983 | ||||||||||||
Redeemed | (304,297 | ) | (3,188,419 | ) | (162,733 | ) | (1,679,297 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (202,468 | ) | $ | (2,122,131 | ) | 118,738 | $ | 1,274,236 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 8,595 | $ | 89,477 | 47,897 | $ | 494,485 | ||||||||||
Issued in connection with the reinvestment of distributions | 391 | 4,095 | 777 | 8,083 | ||||||||||||
Redeemed | (37,954 | ) | (397,835 | ) | (85,913 | ) | (898,719 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (28,968 | ) | $ | (304,263 | ) | (37,239 | ) | $ | (396,151 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 1,195,462 | $ | 12,565,619 | 2,146,197 | $ | 22,275,909 | ||||||||||
Issued in connection with the reinvestment of distributions | 28,693 | 300,729 | 19,854 | 207,580 | ||||||||||||
Redeemed | (703,654 | ) | (7,393,452 | ) | (556,921 | ) | (5,809,326 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 520,501 | $ | 5,472,896 | 1,609,130 | $ | 16,674,163 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 289,065 | $ | 3,046,502 | 1,690,629 | $ | 17,552,248 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
133 |
Notes to Financial Statements (continued)
December 31, 2021
12. Capital Shares (continued).
Investment Grade Bond Fund
Year Ended | Year Ended | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 14,327,364 | $ | 164,124,803 | 20,934,113 | $ | 243,643,227 | ||||||||||
Issued in connection with the reinvestment of distributions | 2,099,128 | 23,851,196 | 4,472,710 | 51,487,111 | ||||||||||||
Redeemed | (20,621,008 | ) | (237,008,883 | ) | (18,660,738 | ) | (215,501,248 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (4,194,516 | ) | $ | (49,032,884 | ) | 6,746,085 | $ | 79,629,090 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 934,807 | $ | 10,599,046 | 1,837,724 | $ | 21,073,918 | ||||||||||
Issued in connection with the reinvestment of distributions | 231,399 | 2,593,460 | 812,986 | 9,217,940 | ||||||||||||
Redeemed | (5,455,894 | ) | (61,864,251 | ) | (9,377,842 | ) | (108,032,709 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (4,289,688 | ) | $ | (48,671,745 | ) | (6,727,132 | ) | $ | (77,740,851 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N | ||||||||||||||||
Issued from the sale of shares | 56,999,140 | $ | 656,052,872 | 35,059,681 | $ | 407,348,565 | ||||||||||
Issued in connection with the reinvestment of distributions | 4,813,498 | 54,680,208 | 8,107,642 | 93,301,449 | ||||||||||||
Redeemed | (32,503,589 | ) | (373,527,233 | ) | (61,802,905 | ) | (713,421,603 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 29,309,049 | $ | 337,205,847 | (18,635,582 | ) | $ | (212,771,589 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 113,796,295 | $ | 1,308,956,202 | 116,069,530 | $ | 1,338,576,662 | ||||||||||
Issued in connection with the reinvestment of distributions | 11,974,399 | 136,171,497 | 21,359,279 | 246,149,320 | ||||||||||||
Redeemed | (94,197,009 | ) | (1,082,829,468 | ) | (94,728,720 | ) | (1,084,178,153 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 31,573,685 | $ | 362,298,231 | 42,700,089 | $ | 500,547,829 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Admin Class |
| |||||||||||||||
Issued from the sale of shares | 2,719,299 | $ | 31,159,908 | 2,273,836 | $ | 26,516,127 | ||||||||||
Issued in connection with the reinvestment of distributions | 417,648 | 4,725,224 | 764,671 | 8,774,511 | ||||||||||||
Redeemed | (1,489,322 | ) | (17,123,081 | ) | (2,101,154 | ) | (24,136,301 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,647,625 | $ | 18,762,051 | 937,353 | $ | 11,154,337 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 54,046,155 | $ | 620,561,500 | 25,020,813 | $ | 300,818,816 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| 134
Notes to Financial Statements (continued)
December 31, 2021
12. Capital Shares (continued).
Strategic Alpha Fund
Year Ended | Year Ended | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 1,219,725 | $ | 12,747,834 | 1,023,731 | $ | 10,060,502 | ||||||||||
Issued in connection with the reinvestment of distributions | 64,366 | 670,163 | 62,078 | 605,195 | ||||||||||||
Redeemed | (702,862 | ) | (7,342,564 | ) | (2,666,522 | ) | (25,934,557 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 581,229 | $ | 6,075,433 | (1,580,713 | ) | $ | (15,268,860 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 68,781 | $ | 716,482 | 126,434 | $ | 1,222,512 | ||||||||||
Issued in connection with the reinvestment of distributions | 4,055 | 42,082 | 10,648 | 103,121 | ||||||||||||
Redeemed | (521,054 | ) | (5,431,680 | ) | (966,909 | ) | (9,480,056 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (448,218 | ) | $ | (4,673,116 | ) | (829,827 | ) | $ | (8,154,423 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class N |
| |||||||||||||||
Issued from the sale of shares | 17,281,163 | $ | 180,386,933 | 29,423,113 | $ | 288,816,017 | ||||||||||
Issued in connection with the reinvestment of distributions | 674,696 | 7,017,221 | 814,373 | 7,933,168 | ||||||||||||
Redeemed | (21,726,263 | ) | (226,897,564 | ) | (10,308,071 | ) | (98,238,299 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (3,770,404 | ) | $ | (39,493,410 | ) | 19,929,415 | $ | 198,510,886 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 34,048,531 | $ | 355,012,431 | 25,133,973 | $ | 249,260,831 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,558,986 | 16,187,341 | 1,488,360 | 14,469,017 | ||||||||||||
Redeemed | (16,721,643 | ) | (174,460,261 | ) | (52,322,387 | ) | (502,765,399 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 18,885,874 | $ | 196,739,511 | (25,700,054 | ) | $ | (239,035,551 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 15,248,481 | $ | 158,648,418 | (8,181,179 | ) | $ | (63,947,948 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
135 |
Notes to Financial Statements (continued)
December 31, 2021
12. Capital Shares (continued).
Strategic Income Fund
Year Ended | Period Ended | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
| Class A |
| |||||||||||||||
Issued from the sale of shares | 12,975,066 | $ | 183,459,424 | 3,166,668 | $ | 43,973,781 | ||||||||||
Issued in connection with the reinvestment of distributions | 2,067,302 | 29,226,145 | 1,651,138 | 22,982,383 | ||||||||||||
Redeemed | (28,392,426 | ) | (400,924,495 | ) | (8,809,951 | ) | (122,112,304 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (13,350,058 | ) | $ | (188,238,926 | ) | (3,992,145 | ) | $ | (55,156,140 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class C |
| |||||||||||||||
Issued from the sale of shares | 526,514 | $ | 7,514,746 | 264,507 | $ | 3,697,602 | ||||||||||
Issued in connection with the reinvestment of distributions | 192,188 | 2,740,298 | 294,227 | 4,142,720 | ||||||||||||
Redeemed | (10,676,591 | ) | (152,414,889 | ) | (2,483,699 | ) | (34,767,841 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (9,957,889 | ) | $ | (142,159,845 | ) | (1,924,965 | ) | $ | (26,927,519 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Class N |
| |||||||||||||||
Issued from the sale of shares | 6,141,155 | $ | 86,946,222 | 3,263,554 | $ | 45,457,643 | ||||||||||
Issued in connection with the reinvestment of distributions | 478,281 | 6,753,879 | 271,195 | 3,768,709 | ||||||||||||
Redeemed | (4,499,118 | ) | (63,370,301 | ) | (1,539,785 | ) | (21,376,606 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,120,318 | $ | 30,329,800 | 1,994,964 | $ | 27,849,746 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| Class Y |
| |||||||||||||||
Issued from the sale of shares | 49,545,428 | $ | 695,309,439 | 10,433,588 | $ | 144,445,628 | ||||||||||
Issued in connection with the reinvestment of distributions | 4,816,448 | 67,989,900 | 3,910,477 | 54,349,355 | ||||||||||||
Redeemed | (102,253,381 | ) | (1,437,692,859 | ) | (28,856,379 | ) | (398,330,570 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (47,891,505 | ) | $ | (674,393,520 | ) | (14,512,314 | ) | $ | (199,535,587 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| Admin Class |
| |||||||||||||||
Issued from the sale of shares | 517,760 | $ | 7,300,630 | 315,634 | $ | 4,401,178 | ||||||||||
Issued in connection with the reinvestment of distributions | 163,815 | 2,306,303 | 136,204 | 1,889,249 | ||||||||||||
Redeemed | (1,470,421 | ) | (20,667,736 | ) | (551,434 | ) | (7,568,203 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (788,846 | ) | $ | (11,060,803 | ) | (99,596 | ) | $ | (1,277,776 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (69,867,980 | ) | $ | (985,523,294 | ) | (18,534,056 | ) | $ | (255,047,276 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | For the period October 1, 2020 through December 31, 2020 due to change in fiscal year. |
| 136
Notes to Financial Statements (continued)
December 31, 2021
12. Capital Shares (continued).
Strategic Income Fund
Year Ended | ||||||||
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 | ) | |||
|
|
|
| |||||
137 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Loomis Sayles Funds II and Natixis Funds Trust II and Shareholders of Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Strategic Income Fund, Loomis Sayles Intermediate Municipal Bond Fund and Loomis Sayles Strategic Alpha Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund and Loomis Sayles Strategic Income Fund (three of the funds constituting Loomis Sayles Funds II) and Loomis Sayles Intermediate Municipal Bond Fund and Loomis Sayles Strategic Alpha Fund (two of the funds constituting Natixis Funds Trust II) (hereafter collectively referred to as the “Funds”) as of December 31, 2021, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
| Fund | Statements of operations | Statements of changes in net assets | ||
Loomis Sayles High Income Fund | For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 | ||
Loomis Sayles Investment Grade Bond Fund | For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 | ||
Loomis Sayles Strategic Income Fund | For the year ended December 31, 2021 | For the year ended December 31, 2021, the three month period ended December 31, 2020 and the year ended September 31, 2020 | ||
Loomis Sayles Intermediate Municipal Bond Fund | For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 | ||
Loomis Sayles Strategic Alpha Fund | For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
February 22, 2022
We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.
| 138
2021 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2021, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
Fund | Qualifying | |||
High Income Fund | 1.05 | % | ||
Investment Grade Bond Fund | 2.07 | % | ||
Strategic Alpha Fund | 4.95 | % | ||
Strategic Income Fund | 11.84 | % | ||
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2021.
Fund | Amount | |||
Investment Grade Bond Fund | $ | 81,743,974 | ||
Qualified Dividend Income. For the fiscal year ended December 31, 2021, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2021, complete information will be reported in conjunction with Form 1099-DIV. These percentages are noted below:
Fund | Qualifying | |||
High Income Fund | 2.06 | % | ||
Investment Grade Bond Fund | 2.36 | % | ||
Strategic Alpha Fund | 5.83 | % | ||
Strategic Income Fund | 11.32 | % | ||
Exempt Interest Dividends
During the year ended December 31, 2021, Intermediate Municipal Bond paid dividends to shareholders from net investment income, of which 99.96% are designated as exempt interest dividends for federal tax purposes. However, state and local taxes differ from state to state and a portion of the dividends may be subject to the individual Alternative Minimum Tax, so it is suggested that you consult your own tax adviser.
139 |
Trustee and Officer Information
The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the Trustees of the Trusts and is available by calling Natixis Funds at 800-225-5478.
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | Experience, | ||||
| INDEPENDENT TRUSTEES | ||||||||
| Edmond J. English (1953) | Trustee since 2013 Chairperson of the Governance Committee and Contract Review Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 55 Director, Burlington Stores, Inc. (retail) and Director,Rue Gilt Groupe, Inc. (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) | ||||
| Richard A. Goglia (1951) | Trustee since 2015 Contract Review Committee Member and Governance Committee Member | Retired | 55 Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) | ||||
| Wendell J. Knox (1948) | Trustee since 2009 Chairperson of the Contract Review Committee | Retired | 55 Director, Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); Formerly, Director, Eastern Bank (bank) | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) | ||||
| Martin T. Meehan (1956) | Trustee since 2012 Audit Committee Member and Governance Committee Member | President, University of Massachusetts | 55 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience | ||||
| 140
Trustee and Officer Information
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | Experience, | ||||
| INDEPENDENT TRUSTEES–continued | ||||||||
| Maureen B. Mitchell (1951) | Trustee since 2017 Audit Committee Member and Governance Committee Member | Retired | 55 Director, Sterling Bancorp (bank) | Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) | ||||
| James P. Palermo (1955) | Trustee since 2016 Audit Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 55 Director, FutureFuel.io (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) | ||||
| Erik R. Sirri (1958) | Chairperson of the Board since January 2021 Trustee since 2009 Ex Officio member of the Audit Committee, Contract Review Committee and Governance Committee | Professor of Finance at Babson College | 55 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist | ||||
| Peter J. Smail (1952) | Trustee since 2009 Audit Committee Member | Retired | 55 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) | ||||
| Kirk A. Sykes (1958) | Trustee since 2019 Contract Review Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 55 Trustee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); Formerly, Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) | ||||
141 |
Trustee and Officer Information
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | Experience, | ||||
| INDEPENDENT TRUSTEES–continued | ||||||||
| Cynthia L. Walker (1956) | Trustee since 2005 Chairperson of the Audit Committee | Retired; Formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 55 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
| INTERESTED TRUSTEES | ||||||||
| Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 55 None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. | ||||
| David L. Giunta4 (1965) | Trustee since 2011 President and Chief Executive Officer of Natixis Funds Trust II and President of Loomis Sayles Funds II since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 55 None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC | ||||
| 1 | Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
| 2 | The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
| 3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
| 4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
| 142
Trustee and Officer Information
Name and Year of Birth | Position(s) Held | Term of Office1 and Length | Principal Occupation(s) | |||
| OFFICERS OF THE TRUSTS | ||||||
| Michael C. Kardok (1959) | Treasurer, Principal Financial and Accounting Officer | Since 2004 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC | |||
| Natalie R. Wagner (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since May 2021
| Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group | |||
Chief Legal Officer
| Since July 2021 | |||||
| 1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
| 2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
143 |
| (b) | Not Applicable. |
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has established an audit committee. Mr. Martin T. Meehan, Ms. Maureen Mitchell, Mr. James Palermo, Mr. Peter J. Smail and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.
Item 4. Principal Accountant Fees and Services.
Fees billed by the Principal Accountant for services rendered to the Registrant.
The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services provided as reported as a part of (a) through (c) of this Item.
| Audit fees | Audit-related fees1 | Tax fees2 | All other fees | |||||||||||||||||||||||||||||
| 1/1/20- 12/31/20 | 1/1/21- 12/31/21 | 1/1/20- 12/31/20 | 1/1/21- 12/31/10 | 1/1/20- 12/31/20 | 1/1/21- 12/31/21 | 1/1/20- 12/31/20 | 1/1/21- 12/31/21 | |||||||||||||||||||||||||
Natixis Funds Trust II (except Loomis Sayles Global Growth Fund, Loomis Sayles Senior Floating Rate and Fixed Income Fund and Vaughan Nelson Select Fund) | $ | 355,112 | $ | 307,537 | $ | 983 | $ | 713 | $ | 97,388 | $ | 87,971 | $ | — | $ | — | ||||||||||||||||
| 1. | Audit-related fees consist of: |
2020 & 2021 – performance of agreed-upon procedures related to the Registrant’s deferred compensation.
| 2. | Tax fees consist of: |
2020 & 2021 – review of Registrant’s tax returns.
Aggregate fees billed to the Registrant for non-audit services during 2020 and 2021 were $98,371 and
$88,684, respectively.
Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.
The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to AlphaSimplex Group, LLC (“AlphaSimplex”), Loomis, Sayles & Company, L.P. (“Loomis”), Natixis Advisors, LLC (“Natixis Advisors”), and entities controlling, controlled by or under common control with AlphaSimplex, Loomis, and Natixis Advisors (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.
| Audit-related fees | Tax fees | All other fees | ||||||||||||||||||||||
| 1/1/20- 12/31/20 | 1/1/21- 12/31/21 | 1/1/20- 12/31/20 | 1/1/21- 12/31/21 | 1/1/20- 12/31/20 | 1/1/21- 12/31/21 | |||||||||||||||||||
Control Affiliates | $ | — | $ | — | $ | 18,255 | $ | 31,137 | $ | 63,023 | $ | — | ||||||||||||
The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to AlphaSimplex, Loomis, Natixis Advisors and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.
| Aggregate Non-Audit Fees | ||||||||
| 1/1/20- 12/31/20 | 1/1/21- 12/31/21 | |||||||
Control Affiliates | $ | 308,800 | $ | 235,234 | ||||
None of the services described above were approved pursuant to paragraph (c)(7)(i)(C) of Regulation S-X.
Audit Committee Pre Approval Policies.
Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Registrant and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.
If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review by the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the 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.
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: | February 22, 2022 | |
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: | February 22, 2022 | |
| By: | /s/ Michael C. Kardok | |
| Name: | Michael C. Kardok | |
| Title: | Treasurer and Principal Financial and | |
| Accounting Officer | ||
| Date: | February 22, 2022 | |