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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-04323
Natixis Funds Trust I
(Exact name of Registrant as specified in charter)
888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
Russell L. Kane, Esq.
Natixis Distribution, L.P.
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617)449-2822
Date of fiscal year end: December 31
Date of reporting period: June 30, 2019
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Item 1. | Reports to Stockholders. |
The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 is as follows:
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Semiannual Report
June 30, 2019
Loomis Sayles High Income Fund
Loomis Sayles Investment Grade Bond Fund
Loomis Sayles Multi-Asset Income Fund
Portfolio Review | 1 | |||
Portfolio of Investments | 15 | |||
Financial Statements | 55 | |||
Notes to Financial Statements | 74 | |||
Shareholder Supplement (previously posted to the Fund’s website) | enclosed |
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.
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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.
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Average Annual Total Returns — June 30, 20193
6 Months
| 1 Year
| 5 Years
| 10 Years
| Life of
| Expense Ratios4 | |||||||||||||||||||||||
Gross | Net | |||||||||||||||||||||||||||
Class Y (Inception 2/29/08) | ||||||||||||||||||||||||||||
NAV | 9.67 | % | 6.59 | % | 3.71 | % | 8.29 | % | — | % | 1.02 | % | 0.80 | % | ||||||||||||||
Class A (Inception 2/22/84) | ||||||||||||||||||||||||||||
NAV | 9.51 | 6.30 | 3.48 | �� | 8.02 | — | 1.27 | 1.05 | ||||||||||||||||||||
With 4.25% Maximum Sales Charge | 4.78 | 1.71 | 2.56 | 7.55 | — | |||||||||||||||||||||||
Class C (Inception 3/2/98) | ||||||||||||||||||||||||||||
NAV | 9.09 | 5.48 | 2.69 | 7.20 | — | 2.02 | 1.80 | |||||||||||||||||||||
With CDSC1 | 8.09 | 4.48 | 2.69 | 7.20 | — | |||||||||||||||||||||||
Class N (Inception 11/30/16) | ||||||||||||||||||||||||||||
NAV | 9.68 | 6.88 | — | — | 6.07 | 0.89 | 0.75 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
Bloomberg Barclays U.S. Corporate High-Yield Bond Index2 | 9.94 | 7.48 | 4.70 | 9.24 | 6.58 |
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 shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
2 | The Bloomberg Barclays U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB /BB or below, excluding emerging market debt. The Bloomberg Barclays U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg Barclays U.S. Universal and Global High-Yield Indices. |
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 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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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.
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Average Annual Total Returns — June 30, 20194
6 Months
| 1 Year
| 5 Years
| 10 Years
| Life of
| Expense Ratios5 | |||||||||||||||||||||||
Gross | Net | |||||||||||||||||||||||||||
Class Y (Inception 12/31/96) | ||||||||||||||||||||||||||||
NAV | 6.31 | % | 6.70 | % | 2.30 | % | 6.04 | % | — | % | 0.57 | % | 0.53 | % | ||||||||||||||
Class A (Inception 12/31/96) | ||||||||||||||||||||||||||||
NAV | 6.19 | 6.45 | 2.04 | 5.77 | — | 0.82 | 0.78 | |||||||||||||||||||||
With 4.25% Maximum Sales Charge | 1.66 | 1.96 | 1.16 | 5.31 | — | |||||||||||||||||||||||
Class C (Inception 9/12/03) | ||||||||||||||||||||||||||||
NAV | 5.76 | 5.55 | 1.27 | 4.98 | — | 1.57 | 1.53 | |||||||||||||||||||||
With CDSC2 | 4.76 | 4.55 | 1.27 | 4.98 | — | |||||||||||||||||||||||
Class N (Inception 2/1/13) | ||||||||||||||||||||||||||||
NAV | 6.34 | 6.75 | 2.40 | — | 3.04 | 0.48 | 0.48 | |||||||||||||||||||||
Admin Class (Inception 2/1/10)1 | ||||||||||||||||||||||||||||
NAV | 5.98 | 6.09 | 1.80 | 5.51 | — | 1.07 | 1.03 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
Bloomberg Barclays U.S. Government/Credit Bond Index3 | 6.90 | 8.52 | 3.11 | 4.09 | 2.81 |
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 | Prior to the inception of Admin Class shares (2/1/10), performance is that of Class A shares, restated to reflect the higher net expenses of Admin Class shares. |
2 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
3 | The Bloomberg Barclays U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index and was the first macro index launched by Barclays Capital. The U.S. Government/Credit Bond Index includes 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 corporates. The U.S. Government/Credit Bond Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the U.S. Aggregate 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 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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LOOMIS SAYLES MULTI-ASSET INCOME FUND
Managers | Symbols | |||
Thomas Fahey | Class A | IIDPX | ||
Kevin Kearns | Class C | CIDPX | ||
Maura Murphy, CFA® | Class N | LMINX | ||
Loomis, Sayles & Company, L.P. | Class Y | YIDPX |
Investment Goal
The Fund seeks current income with a secondary objective of capital appreciation.
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Average Annual Total Returns — June 30, 20195,6
6 Months
| 1 Year
| 5 Years
| 10 Years
| Life of
| Expense Ratios7 | |||||||||||||||||||||||
Gross | Net | |||||||||||||||||||||||||||
Class Y (Inception 12/3/12)1 | ||||||||||||||||||||||||||||
NAV | 9.51 | % | 1.81 | % | 4.68 | % | 9.81 | % | — | % | 0.89 | % | 0.75 | % | ||||||||||||||
Class A (Inception 11/17/05) | ||||||||||||||||||||||||||||
NAV | 9.30 | 1.53 | 4.42 | 9.68 | — | 1.14 | 1.00 | |||||||||||||||||||||
With 4.25% Maximum Sales Charge | 4.68 | -2.77 | 3.52 | 9.20 | — | |||||||||||||||||||||||
Class C (Inception 11/17/05) | ||||||||||||||||||||||||||||
NAV | 8.86 | 0.77 | 3.63 | 8.86 | — | 1.89 | 1.75 | |||||||||||||||||||||
With CDSC2 | 7.86 | -0.19 | 3.63 | 8.86 | — | |||||||||||||||||||||||
Class N (Inception 8/31/15) | ||||||||||||||||||||||||||||
NAV | 9.53 | 1.86 | — | — | 6.36 | 1.38 | 0.70 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index3 | 6.11 | 7.87 | 2.95 | 3.90 | 3.22 | |||||||||||||||||||||||
S&P 500® Index4 | 18.54 | 10.42 | 10.71 | 14.70 | 13.31 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For 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 | Prior to the inception of Class Y shares (12/3/2012), performance is that of Class A shares and reflects the higher net expenses of that share class. |
2 | Class C share performance assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
3 | The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar denominated, investment grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
4 | 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. |
5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
6 | Prior to the stock market close August 31, 2015, the Fund had multiple subadvisers. The performance results shown above for the periods prior to the stock market close August 31, 2015 reflect results achieved by those subadvisers using different investment strategies. |
7 | 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 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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ADDITIONAL INFORMATION
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived 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 funds voted proxies relating to portfolio securities the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2019 through June 30, 2019. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.
The second line in the table of each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
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LOOMIS SAYLES HIGH INCOME FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,095.10 | $5.45 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.59 | $5.26 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,090.90 | $9.33 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.87 | $9.00 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,096.80 | $3.90 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.08 | $3.76 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,096.70 | $4.16 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | $4.01 |
* | 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 (181), divided by 365 (to reflect the half-year period). |
LOOMIS SAYLES INVESTMENT GRADE BOND FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID DURING PERIOD * 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,061.90 | $3.99 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.93 | $3.91 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,057.60 | $7.81 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.21 | $7.65 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,063.40 | $2.46 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.41 | $2.41 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,063.10 | $2.71 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.17 | $2.66 | |||||||||
Admin Class | ||||||||||||
Actual | $1,000.00 | $1,059.80 | $5.26 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.69 | $5.16 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.78%, 1.53%, 0.48%, 0.53% and 1.03% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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LOOMIS SAYLES MULTI-ASSET INCOME FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING 6/30/2019 | EXPENSES PAID DURING PERIOD* 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,093.00 | $4.93 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.08 | $4.76 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,088.60 | $8.80 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.36 | $8.50 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,095.30 | $3.38 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.57 | $3.26 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,095.10 | $3.64 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | $3.51 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.95%, 1.70%, 0.65% and 0.70% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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BOARD APPROVAL OF THE EXISTING ADVISORY ANDSUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and Loomis SaylesMulti-Asset Income Fund’ssub-advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additionalone-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers andsub-advisers, as applicable (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory andsub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees andsub-advisory fees, if any, to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category where available, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations
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and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreements for aone-year period at its meeting held in June 2019. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.
The Board noted that, through December 31, 2018, each Fund’sone-, three- and five-year performance stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):
One-Year | Three-Year | Five-Year | ||||||||||
Loomis Sayles High Income Fund | 68 | % | 39 | % | 35 | % | ||||||
Loomis Sayles Investment Grade Bond Fund | 46 | % | 2 | % | 58 | % | ||||||
Loomis Sayles Multi-Asset Income Fund | 95 | % | 82 | % | 50 | % |
In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party for certain (although not necessarily all) periods the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and
| 12
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consistent with the Fund’s investment objective and policies; (2) that more recent performance has been stronger relative to its category; (3) that the Fund had recently been assigned to a different category by the independent third-party data provider, which is expected to result in more relevant performance comparisons; and (3) that longer-term performance has been competitive when compared to relevant performance benchmarks.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory,sub-advisory and administrative services, as applicable, as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory andsub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Funds have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for a Fund under its cap.
The Trustees noted that Loomis Sayles High Income Fund had a total advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rate, including that management had proposed to reduce the expense cap of the Fund.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis
13 |
Table of Contents
Investment Managers compared to that of certain other investment managers for which such data was available.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense caps. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense caps. With respect to economies of scale, the Trustees noted that Loomis Sayles Multi-Asset Income Fund and Loomis Sayles Investment Grade Bond Fund have breakpoints in their advisory fees and that each of the Funds was subject to an expense cap. The Trustees also considered management’s proposal to reduce the expense caps for Loomis Sayles Investment Grade Bond Fund and Loomis Sayles High Income Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund. |
· | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
· | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2020.
| 14
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes — 93.0% of Net Assets | ||||||||
Non-Convertible Bonds — 84.5% | ||||||||
ABS Home Equity — 0.4% |
| |||||||
$ | 77,587 | Banc of America Alternative Loan Trust, Series2003-8, Class 1CB1, 5.500%, 10/25/2033 | $ | 81,229 | ||||
59,508 | Banc of America Funding Trust, Series2007-4, Class 5A1, 5.500%, 11/25/2034 | 59,926 | ||||||
735 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 5.111%, 11/20/2035(a)(b)(c) | 409 | ||||||
170,020 | DSLA Mortgage Loan Trust, Series2005-AR5, Class 2A1A,1-month LIBOR + 0.330%, 2.720%, 9/19/2045(d) | 138,847 | ||||||
150,000 | Home Partners of America Trust, Series2016-2, Class E,1-month LIBOR + 3.780%, 6.174%, 10/17/2033, 144A(d) | 150,136 | ||||||
155,000 | Home Partners of America Trust, Series2016-2, Class F,1-month LIBOR + 4.700%, 7.094%, 10/17/2033, 144A(d) | 155,092 | ||||||
|
| |||||||
585,639 | ||||||||
|
| |||||||
Aerospace & Defense — 1.4% |
| |||||||
638,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 622,050 | ||||||
383,000 | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A | 411,725 | ||||||
1,065,000 | TransDigm, Inc., 6.250%, 3/15/2026, 144A | 1,120,912 | ||||||
|
| |||||||
2,154,687 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
535,000 | Latam Finance Ltd., 6.875%, 4/11/2024, 144A | 555,469 | ||||||
17,680 | Virgin Australia Pass Through Certificates, Series2013-1B, 6.000%, 4/23/2022, 144A | 17,986 | ||||||
|
| |||||||
573,455 | ||||||||
|
| |||||||
Automotive — 1.4% |
| |||||||
195,000 | Allison Transmission, Inc., 5.000%, 10/01/2024, 144A | 198,900 | ||||||
510,000 | Allison Transmission, Inc., 5.875%, 6/01/2029, 144A | 536,775 | ||||||
285,000 | Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A | 292,481 | ||||||
690,000 | Delphi Technologies PLC, 5.000%, 10/01/2025, 144A | 615,825 | ||||||
115,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026 | 113,275 | ||||||
420,000 | Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A | 400,050 | ||||||
|
| |||||||
2,157,306 | ||||||||
|
| |||||||
Banking — 2.5% |
| |||||||
1,730,000 | Ally Financial, Inc., 4.625%, 3/30/2025 | 1,825,150 | ||||||
485,000 | Ally Financial, Inc., 5.750%, 11/20/2025 | 536,483 | ||||||
425,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 369,329 | ||||||
470,000 | Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A | 471,277 | ||||||
495,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A | 500,961 | ||||||
|
| |||||||
3,703,200 | ||||||||
|
| |||||||
Building Materials — 2.8% |
| |||||||
610,000 | Beacon Roofing Supply, Inc., 4.875%, 11/01/2025, 144A | 603,900 | ||||||
230,000 | Cemex SAB de CV, 5.700%, 1/11/2025, 144A | 238,959 |
See accompanying notes to financial statements.
15 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Building Materials — continued |
| |||||||
$ | 350,000 | Cemex SAB de CV, 7.750%, 4/16/2026, 144A | $ | 385,003 | ||||
420,000 | James Hardie International Finance Ltd., 4.750%, 1/15/2025, 144A | 428,400 | ||||||
445,000 | James Hardie International Finance Ltd., 5.000%, 1/15/2028, 144A | 442,775 | ||||||
360,000 | JELD-WEN, Inc., 4.625%, 12/15/2025, 144A | 353,250 | ||||||
160,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | 154,800 | ||||||
420,000 | Summit Materials LLC/Summit Materials Finance Corp., 6.125%, 7/15/2023 | 425,250 | ||||||
1,120,000 | U.S. Concrete, Inc., 6.375%, 6/01/2024 | 1,164,800 | ||||||
|
| |||||||
4,197,137 | ||||||||
|
| |||||||
Cable Satellite — 8.1% |
| |||||||
475,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023 | 482,505 | ||||||
625,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A | 638,086 | ||||||
450,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A | 465,187 | ||||||
695,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A | 717,587 | ||||||
865,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A | 907,169 | ||||||
1,360,000 | CSC Holdings LLC, 5.500%, 4/15/2027, 144A | 1,428,000 | ||||||
390,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A | 425,588 | ||||||
415,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 402,550 | ||||||
355,000 | Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A | 361,177 | ||||||
800,000 | Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A | 806,864 | ||||||
1,485,000 | Unitymedia GmbH, 6.125%, 1/15/2025, 144A | 1,544,771 | ||||||
265,000 | Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A | 274,606 | ||||||
1,070,000 | Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A | 1,085,729 | ||||||
2,570,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 2,614,230 | ||||||
|
| |||||||
12,154,049 | ||||||||
|
| |||||||
Chemicals — 1.7% |
| |||||||
1,510,000 | Hercules LLC, 6.500%, 6/30/2029 | 1,600,600 | ||||||
825,000 | Hexion, Inc., 6.625%, 4/15/2020(e) | 639,375 | ||||||
70,000 | Hexion, Inc., 10.375%, 2/01/2022, 144A(e) | 53,375 | ||||||
245,000 | SASOL Financing USA LLC, 5.875%, 3/27/2024 | 265,493 | ||||||
|
| |||||||
2,558,843 | ||||||||
|
| |||||||
Construction Machinery — 0.7% |
| |||||||
615,000 | United Rentals North America, Inc., 4.625%, 10/15/2025 | 624,994 | ||||||
15,000 | United Rentals North America, Inc., 5.500%, 5/15/2027 | 15,788 | ||||||
180,000 | United Rentals North America, Inc., 5.875%, 9/15/2026 | 191,700 | ||||||
195,000 | United Rentals North America, Inc., 6.500%, 12/15/2026 | 211,087 | ||||||
|
| |||||||
1,043,569 | ||||||||
|
| |||||||
Consumer Cyclical Services — 1.1% |
| |||||||
585,000 | Realogy Group LLC/RealogyCo-Issuer Corp., 4.875%, 6/01/2023, 144A | 526,500 | ||||||
350,000 | ServiceMaster Co. LLC (The), 7.450%, 8/15/2027 | 374,938 | ||||||
680,000 | Uber Technologies, Inc., 7.500%, 11/01/2023, 144A | 720,800 | ||||||
|
| |||||||
1,622,238 | ||||||||
|
| |||||||
Electric — 1.7% |
| |||||||
125,000 | AES Corp. (The), 5.125%, 9/01/2027 | 131,875 | ||||||
479,000 | AES Corp. (The), 5.500%, 4/15/2025 | 498,265 |
See accompanying notes to financial statements.
| 16
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Electric — continued |
| |||||||
$ | 150,000 | AES Corp. (The), 6.000%, 5/15/2026 | $ | 159,000 | ||||
1,502,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A | 1,731,055 | ||||||
|
| |||||||
2,520,195 | ||||||||
|
| |||||||
Finance Companies — 4.7% |
| |||||||
120,000 | CIT Group, Inc., 4.125%, 3/09/2021 | 122,286 | ||||||
120,000 | iStar, Inc., 4.625%, 9/15/2020 | 121,050 | ||||||
395,000 | iStar, Inc., 5.250%, 9/15/2022 | 404,381 | ||||||
800,000 | iStar, Inc., 6.500%, 7/01/2021 | 814,000 | ||||||
720,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 721,800 | ||||||
255,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A | 258,825 | ||||||
820,000 | Navient Corp., 6.500%, 6/15/2022 | 871,037 | ||||||
315,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A | 296,100 | ||||||
1,305,000 | Quicken Loans, Inc., 5.250%, 1/15/2028, 144A | 1,298,475 | ||||||
710,000 | Quicken Loans, Inc., 5.750%, 5/01/2025, 144A | 732,188 | ||||||
185,000 | Springleaf Finance Corp., 6.875%, 3/15/2025 | 202,571 | ||||||
700,000 | Springleaf Finance Corp., 7.125%, 3/15/2026 | 766,937 | ||||||
405,000 | Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A | 417,960 | ||||||
|
| |||||||
7,027,610 | ||||||||
|
| |||||||
Financial Other — 0.7% |
| |||||||
180,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022 | 181,800 | ||||||
105,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 2/01/2022 | 107,494 | ||||||
465,000 | Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/2023, 144A | 474,300 | ||||||
330,000 | Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A | 334,950 | ||||||
|
| |||||||
1,098,544 | ||||||||
|
| |||||||
Food & Beverage — 2.6% |
| |||||||
210,000 | BRF S.A., 4.750%, 5/22/2024, 144A | 210,107 | ||||||
520,000 | Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A | 568,105 | ||||||
330,000 | JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A | 343,200 | ||||||
385,000 | Marfrig Holdings Europe BV, Class B, 8.000%, 6/08/2023, 144A | 401,036 | ||||||
250,000 | NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A | 262,875 | ||||||
280,000 | Pilgrim’s Pride Corp., 5.750%, 3/15/2025, 144A | 284,200 | ||||||
540,000 | Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A | 559,575 | ||||||
830,000 | Post Holdings, Inc., 5.750%, 3/01/2027, 144A | 856,975 | ||||||
455,000 | Sigma Holdco BV, 7.875%, 5/15/2026, 144A | 420,875 | ||||||
|
| |||||||
3,906,948 | ||||||||
|
| |||||||
Gaming — 0.8% |
| |||||||
175,000 | Boyd Gaming Corp., 6.375%, 4/01/2026 | 185,129 | ||||||
210,000 | MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer, Inc., 4.500%, 1/15/2028 | 208,425 | ||||||
345,000 | MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer, Inc., 5.750%, 2/01/2027, 144A | 371,738 | ||||||
380,000 | MGM Resorts International, 7.750%, 3/15/2022 | 423,700 | ||||||
|
| |||||||
1,188,992 | ||||||||
|
|
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Government Owned – No Guarantee — 1.0% |
| |||||||
$ | 550,000 | Petrobras Global Finance BV, 5.750%, 2/01/2029 | $ | 573,320 | ||||
225,000 | Petrobras Global Finance BV, 6.900%, 3/19/2049 | 239,625 | ||||||
710,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 644,112 | ||||||
|
| |||||||
1,457,057 | ||||||||
|
| |||||||
Healthcare — 5.0% |
| |||||||
590,000 | CHS/Community Health Systems, Inc., 6.250%, 3/31/2023 | 567,875 | ||||||
170,000 | HCA, Inc., 7.050%, 12/01/2027 | 192,100 | ||||||
655,000 | HCA, Inc., 7.500%, 12/15/2023 | 733,600 | ||||||
145,000 | HCA, Inc., 7.500%, 11/06/2033 | 166,750 | ||||||
590,000 | HCA, Inc., 7.690%, 6/15/2025 | 693,250 | ||||||
480,000 | HCA, Inc., 8.360%, 4/15/2024 | 554,400 | ||||||
820,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 943,000 | ||||||
515,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 587,100 | ||||||
275,000 | Hologic, Inc., 4.375%, 10/15/2025, 144A | 278,781 | ||||||
315,000 | Hologic, Inc., 4.625%, 2/01/2028, 144A | 319,725 | ||||||
200,000 | IQVIA, Inc., 5.000%, 10/15/2026, 144A | 206,500 | ||||||
715,000 | MPH Acquisition Holdings LLC, 7.125%, 6/01/2024, 144A | 670,456 | ||||||
1,255,000 | Polaris Intermediate Corp., 8.500% PIK, 8.500% Cash, 12/01/2022, 144A(f) | 1,107,537 | ||||||
390,000 | Tenet Healthcare Corp., 5.125%, 5/01/2025 | 391,950 | ||||||
170,000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A | 175,950 | ||||||
|
| |||||||
7,588,974 | ||||||||
|
| |||||||
Home Construction — 1.4% |
| |||||||
1,200,000 | Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(a)(c)(e) | 12 | ||||||
800,000 | Lennar Corp., 4.750%, 5/30/2025 | 847,000 | ||||||
1,130,000 | PulteGroup, Inc., 5.500%, 3/01/2026 | 1,220,400 | ||||||
|
| |||||||
2,067,412 | ||||||||
|
| |||||||
Independent Energy — 9.7% |
| |||||||
460,000 | Aker BP ASA, 5.875%, 3/31/2025, 144A | 485,875 | ||||||
685,000 | Baytex Energy Corp., 5.625%, 6/01/2024, 144A | 654,175 | ||||||
740,000 | Bruin E&P Partners LLC, 8.875%, 8/01/2023, 144A | 621,600 | ||||||
90,000 | California Resources Corp., 5.500%, 9/15/2021 | 64,703 | ||||||
41,000 | California Resources Corp., 6.000%, 11/15/2024 | 23,780 | ||||||
1,190,000 | California Resources Corp., 8.000%, 12/15/2022, 144A | 896,962 | ||||||
140,000 | Callon Petroleum Co., 6.125%, 10/01/2024 | 141,400 | ||||||
425,000 | Centennial Resource Production LLC, 6.875%, 4/01/2027, 144A | 429,250 | ||||||
635,000 | Denbury Resources, Inc., 7.750%, 2/15/2024, 144A | 527,050 | ||||||
205,000 | Denbury Resources, Inc., 9.250%, 3/31/2022, 144A | 192,188 | ||||||
375,000 | Gulfport Energy Corp., 6.000%, 10/15/2024 | 289,687 | ||||||
595,000 | Gulfport Energy Corp., 6.375%, 5/15/2025 | 460,381 | ||||||
365,000 | Gulfport Energy Corp., 6.375%, 1/15/2026 | 276,488 | ||||||
622,000 | Halcon Resources Corp., 6.750%, 2/15/2025(g)(h) | 186,600 | ||||||
605,000 | Matador Resources Co., 5.875%, 9/15/2026 | 611,050 | ||||||
1,250,000 | MEG Energy Corp., 6.500%, 1/15/2025, 144A | 1,256,250 | ||||||
585,000 | MEG Energy Corp., 7.000%, 3/31/2024, 144A | 555,750 | ||||||
690,000 | Montage Resources Corp., 8.875%, 7/15/2023 | 581,325 | ||||||
185,000 | Newfield Exploration Co., 5.625%, 7/01/2024 | 204,555 |
See accompanying notes to financial statements.
| 18
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Independent Energy — continued |
| |||||||
$ | 592,000 | Oasis Petroleum, Inc., 6.875%, 3/15/2022 | $ | 590,520 | ||||
210,000 | PDC Energy, Inc., 5.750%, 5/15/2026 | 206,325 | ||||||
205,000 | PDC Energy, Inc., 6.125%, 9/15/2024 | 205,000 | ||||||
870,000 | Range Resources Corp., 4.875%, 5/15/2025 | 763,425 | ||||||
330,000 | Sanchez Energy Corp., 6.125%, 1/15/2023(g)(h) | 14,850 | ||||||
755,000 | Sanchez Energy Corp., 7.250%, 2/15/2023, 144A(g)(h) | 571,912 | ||||||
685,000 | Seven Generations Energy Ltd., 5.375%, 9/30/2025, 144A | 659,312 | ||||||
175,000 | Seven Generations Energy Ltd., 6.875%, 6/30/2023, 144A | 177,406 | ||||||
920,000 | SM Energy Co., 5.000%, 1/15/2024 | 844,100 | ||||||
27,000 | SM Energy Co., 6.125%, 11/15/2022 | 26,798 | ||||||
45,000 | SM Energy Co., 6.625%, 1/15/2027 | 41,625 | ||||||
190,000 | SM Energy Co., 6.750%, 9/15/2026 | 178,125 | ||||||
425,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A | 275,188 | ||||||
405,000 | Whiting Petroleum Corp., 5.750%, 3/15/2021 | 408,037 | ||||||
50,000 | Whiting Petroleum Corp., 6.250%, 4/01/2023 | 49,894 | ||||||
1,215,000 | Whiting Petroleum Corp., 6.625%, 1/15/2026 | 1,171,716 | ||||||
|
| |||||||
14,643,302 | ||||||||
|
| |||||||
Integrated Energy — 0.1% |
| |||||||
200,000 | Geopark Ltd., 6.500%, 9/21/2024, 144A | 205,892 | ||||||
|
| |||||||
Life Insurance — 0.2% |
| |||||||
340,000 | CNO Financial Group, Inc., 5.250%, 5/30/2025 | 366,350 | ||||||
|
| |||||||
Local Authorities — 0.3% |
| |||||||
325,000 | Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A | 270,319 | ||||||
270,000 | Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A | 200,477 | ||||||
|
| |||||||
470,796 | ||||||||
|
| |||||||
Lodging — 0.9% |
| |||||||
150,000 | Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024 | 152,250 | ||||||
755,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.625%, 4/01/2025 | 772,931 | ||||||
365,000 | Marriott Ownership Resorts, Inc./ILG LLC, 6.500%, 9/15/2026 | 391,463 | ||||||
|
| |||||||
1,316,644 | ||||||||
|
| |||||||
Media Entertainment — 3.2% |
| |||||||
735,000 | AMC Networks, Inc., 4.750%, 8/01/2025 | 742,350 | ||||||
1,280,000 | Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022 | 1,304,000 | ||||||
65,000 | Gray Television, Inc., 5.125%, 10/15/2024, 144A | 66,219 | ||||||
99,931 | iHeartCommunications, Inc., 6.375%, 5/01/2026 | 106,052 | ||||||
346,125 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 362,573 | ||||||
395,000 | Meredith Corp., 6.875%, 2/01/2026 | 419,146 | ||||||
740,000 | Netflix, Inc., 4.875%, 4/15/2028 | 763,125 | ||||||
390,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 414,254 | ||||||
105,000 | Nexstar Escrow, Inc., 5.625%, 7/15/2027, 144A | 107,494 | ||||||
520,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.000%, 4/15/2022, 144A | 518,700 | ||||||
|
| |||||||
4,803,913 | ||||||||
|
|
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Metals & Mining — 2.6% |
| |||||||
$ | 190,000 | Commercial Metals Co., 4.875%, 5/15/2023 | $ | 191,425 | ||||
665,000 | First Quantum Minerals Ltd., 6.500%, 3/01/2024, 144A | 621,775 | ||||||
835,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 774,462 | ||||||
445,000 | First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A | 442,775 | ||||||
200,000 | First Quantum Minerals Ltd., 7.250%, 4/01/2023, 144A | 194,750 | ||||||
840,000 | FMG Resources (August 2006) Pty Ltd., 4.750%, 5/15/2022, 144A | 867,846 | ||||||
370,000 | FMG Resources (August 2006) Pty Ltd., 5.125%, 5/15/2024, 144A | 383,875 | ||||||
435,000 | Mineral Resources Ltd., 8.125%, 5/01/2027, 144A | 452,944 | ||||||
|
| |||||||
3,929,852 | ||||||||
|
| |||||||
Midstream — 4.2% |
| |||||||
385,000 | EnLink Midstream Partners LP, 5.050%, 4/01/2045 | 321,475 | ||||||
205,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 175,275 | ||||||
435,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 399,112 | ||||||
1,265,000 | Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.625%, 2/15/2026, 144A | 1,301,369 | ||||||
200,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025 | 198,000 | ||||||
405,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023 | 423,225 | ||||||
275,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 4/15/2026, 144A | 284,625 | ||||||
165,000 | NGPL PipeCo LLC, 4.375%, 8/15/2022, 144A | 169,950 | ||||||
700,000 | NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A | 741,125 | ||||||
385,000 | SemGroup Corp./Rose Rock Finance Corp., 5.625%, 7/15/2022 | 379,518 | ||||||
935,000 | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022 | 897,600 | ||||||
95,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023 | 95,000 | ||||||
640,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023 | 648,864 | ||||||
305,000 | Transportadora de Gas del Sur S.A., 6.750%, 5/02/2025, 144A | 294,782 | ||||||
|
| |||||||
6,329,920 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities — 1.4% |
| |||||||
100,000 | CG-CCRE Commercial Mortgage Trust, Series2014-FL2, Class COL1,1-month LIBOR + 3.500%, 5.894%, 11/15/2031, 144A(d)(g)(h) | 99,310 | ||||||
225,000 | CG-CCRE Commercial Mortgage Trust, Series2014-FL2, Class COL2,1-month LIBOR + 4.500%, 6.894%, 11/15/2031, 144A(d)(g)(h) | 222,693 | ||||||
1,020,000 | Credit Suisse Mortgage Trust, Series2014-USA, Class E, 4.373%, 9/15/2037, 144A | 958,386 | ||||||
10,936 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b) | 10,930 | ||||||
380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D,1-month LIBOR + 3.250%, 5.644%, 11/15/2027, 144A(d)(g)(h) | 344,077 | ||||||
420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E,1-month LIBOR + 4.150%, 6.544%, 11/15/2027, 144A(d) | 344,475 | ||||||
125,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class E, 4.970%, 6/15/2045, 144A(b) | 110,312 | ||||||
|
| |||||||
2,090,183 | ||||||||
|
|
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Oil Field Services — 2.1% |
| |||||||
$ | 840,000 | McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., 10.625%, 5/01/2024, 144A | $ | 785,131 | ||||
160,000 | Noble Holding International Ltd., 5.250%, 3/15/2042 | 85,275 | ||||||
1,145,000 | Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A | 1,056,835 | ||||||
330,750 | Transocean Guardian Ltd., 5.875%, 1/15/2024, 144A | 336,125 | ||||||
210,000 | Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A | 216,562 | ||||||
455,000 | Transocean Sentry Ltd., 5.375%, 5/15/2023, 144A | 455,569 | ||||||
175,000 | Transocean, Inc., 7.500%, 1/15/2026, 144A | 166,688 | ||||||
|
| |||||||
3,102,185 | ||||||||
|
| |||||||
Packaging — 1.2% |
| |||||||
200,000 | ARD Finance S.A., 7.875% PIK, 7.125% Cash, 9/15/2023(f) | 204,500 | ||||||
395,000 | Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A | 401,419 | ||||||
1,165,000 | Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A | 1,227,619 | ||||||
|
| |||||||
1,833,538 | ||||||||
|
| |||||||
Pharmaceuticals — 1.9% |
| |||||||
53,000 | Bausch Health Cos., Inc., 5.500%, 3/01/2023, 144A | 53,424 | ||||||
269,000 | Bausch Health Cos., Inc., 5.875%, 5/15/2023, 144A | 272,126 | ||||||
220,000 | Bausch Health Cos., Inc., 6.125%, 4/15/2025, 144A | 224,668 | ||||||
170,000 | Bausch Health Cos., Inc., 9.000%, 12/15/2025, 144A | 189,941 | ||||||
280,000 | Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026, 144A | 283,850 | ||||||
235,000 | Mylan NV, 5.250%, 6/15/2046 | 219,198 | ||||||
85,000 | Mylan, Inc., 5.200%, 4/15/2048 | 78,490 | ||||||
1,020,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023 | 883,963 | ||||||
1,055,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 717,347 | ||||||
|
| |||||||
2,923,007 | ||||||||
|
| |||||||
Property & Casualty Insurance — 0.7% |
| |||||||
1,110,000 | Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A | 1,043,400 | ||||||
|
| |||||||
Refining — 0.7% |
| |||||||
405,000 | Parkland Fuel Corp., 5.875%, 7/15/2027, 144A | 411,460 | ||||||
635,000 | Parkland Fuel Corp., 6.000%, 4/01/2026, 144A | 649,287 | ||||||
|
| |||||||
1,060,747 | ||||||||
|
| |||||||
REITs – Regional Malls — 0.5% |
| |||||||
695,000 | Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.750%, 5/15/2026, 144A | 715,850 | ||||||
|
| |||||||
Restaurants — 0.6% |
| |||||||
890,000 | 1011778 B.C. ULC/New Red Finance, Inc., 5.000%, 10/15/2025, 144A | 896,942 | ||||||
|
| |||||||
Retailers — 1.9% |
| |||||||
830,000 | Asbury Automotive Group, Inc., 6.000%, 12/15/2024 | 859,050 | ||||||
820,000 | Group 1 Automotive, Inc., 5.000%, 6/01/2022 | 830,250 | ||||||
505,000 | JC Penney Corp., Inc., 5.875%, 7/01/2023, 144A | 422,937 | ||||||
475,000 | L Brands, Inc., 6.750%, 7/01/2036 | 408,500 | ||||||
180,000 | L Brands, Inc., 6.875%, 11/01/2035 | 160,085 |
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Retailers — continued |
| |||||||
$ | 125,000 | William Carter Co. (The), 5.625%, 3/15/2027, 144A | $ | 130,938 | ||||
|
| |||||||
2,811,760 | ||||||||
|
| |||||||
Technology — 4.1% |
| |||||||
500,000 | CalAmp Corp., 2.000%, 8/01/2025, 144A | 404,428 | ||||||
170,000 | Camelot Finance S.A., 7.875%, 10/15/2024, 144A | 178,287 | ||||||
120,000 | CDK Global, Inc., 5.250%, 5/15/2029, 144A | 124,350 | ||||||
100,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 87,000 | ||||||
100,000 | CommScope Technologies LLC, 6.000%, 6/15/2025, 144A | 93,721 | ||||||
380,000 | CommScope, Inc., 5.500%, 3/01/2024, 144A | 389,975 | ||||||
385,000 | CommScope, Inc., 6.000%, 3/01/2026, 144A | 394,625 | ||||||
140,000 | Dell International LLC/EMC Corp., 4.900%, 10/01/2026, 144A | 146,070 | ||||||
1,205,000 | Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A | 1,329,334 | ||||||
620,000 | Dun & Bradstreet Corp. (The), 6.875%, 8/15/2026, 144A | 654,875 | ||||||
420,000 | First Data Corp., 5.375%, 8/15/2023, 144A | 427,560 | ||||||
190,000 | Open Text Corp., 5.875%, 6/01/2026, 144A | 200,982 | ||||||
275,000 | Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A | 283,250 | ||||||
590,000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A | 612,125 | ||||||
900,000 | Western Digital Corp., 4.750%, 2/15/2026 | 882,945 | ||||||
|
| |||||||
6,209,527 | ||||||||
|
| |||||||
Transportation Services — 0.2% |
| |||||||
275,000 | APL Ltd., 8.000%, 1/15/2024(g)(h) | 231,000 | ||||||
|
| |||||||
Treasuries — 3.4% |
| |||||||
1,480,000 | U.S. Treasury Note, 2.000%, 1/31/2020 | 1,479,538 | ||||||
3,685,000 | U.S. Treasury Note, 2.125%, 5/31/2021 | 3,710,046 | ||||||
|
| |||||||
5,189,584 | ||||||||
|
| |||||||
Wireless — 3.7% |
| |||||||
1,000,000 | Altice Luxembourg S.A., 10.500%, 5/15/2027, 144A | 1,027,500 | ||||||
200,000 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 202,500 | ||||||
200,000 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | 214,500 | ||||||
865,000 | Nokia Oyj, 4.375%, 6/12/2027 | 887,706 | ||||||
90,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 92,502 | ||||||
20,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 23,150 | ||||||
890,000 | Sprint Corp., 7.125%, 6/15/2024 | 943,667 | ||||||
650,000 | Sprint Corp., 7.250%, 9/15/2021 | 690,625 | ||||||
1,085,000 | Sprint Corp., 7.875%, 9/15/2023 | 1,178,582 | ||||||
315,000 | T-Mobile USA, Inc., 4.500%, 2/01/2026 | 322,481 | ||||||
|
| |||||||
5,583,213 | ||||||||
|
| |||||||
Wirelines — 2.5% |
| |||||||
130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 125,455 | ||||||
555,000 | Frontier Communications Corp., 8.000%, 4/01/2027, 144A | 577,200 | ||||||
1,060,000 | Frontier Communications Corp., 8.500%, 4/01/2026, 144A | 1,028,200 | ||||||
120,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 | 132,300 | ||||||
1,485,000 | Windstream Services LLC/Windstream Finance Corp., 8.625%, 10/31/2025, 144A | 1,514,700 |
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Wirelines — continued |
| |||||||
$ | 505,000 | Windstream Services LLC/Windstream Finance Corp., 10.500%, 6/30/2024, 144A(e) | $ | 366,125 | ||||
|
| |||||||
3,743,980 | ||||||||
|
| |||||||
TotalNon-Convertible Bonds (Identified Cost $126,357,654) | 127,107,440 | |||||||
|
| |||||||
Convertible Bonds — 8.5% | ||||||||
Cable Satellite — 1.3% |
| |||||||
1,515,000 | DISH Network Corp., 2.375%, 3/15/2024 | 1,399,504 | ||||||
580,000 | DISH Network Corp., 3.375%, 8/15/2026 | 563,867 | ||||||
|
| |||||||
1,963,371 | ||||||||
|
| |||||||
Diversified Manufacturing — 0.5% |
| |||||||
755,000 | Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024 | 725,467 | ||||||
|
| |||||||
Diversified Operations — 0.1% |
| |||||||
160,000 | RWT Holdings, Inc., 5.625%, 11/15/2019 | 160,974 | ||||||
|
| |||||||
Finance Companies — 0.3% |
| |||||||
370,000 | iStar, Inc., 3.125%, 9/15/2022 | 379,658 | ||||||
|
| |||||||
Independent Energy — 1.2% |
| |||||||
840,000 | Chesapeake Energy Corp., 5.500%, 9/15/2026 | 670,470 | ||||||
825,000 | PDC Energy, Inc., 1.125%, 9/15/2021 | 772,663 | ||||||
225,000 | SM Energy Co., 1.500%, 7/01/2021 | 207,033 | ||||||
170,000 | Whiting Petroleum Corp., 1.250%, 4/01/2020 | 164,475 | ||||||
|
| |||||||
1,814,641 | ||||||||
|
| |||||||
Industrial Other — 0.1% |
| |||||||
225,000 | Tutor Perini Corp., 2.875%, 6/15/2021 | 213,245 | ||||||
|
| |||||||
Oil Field Services — 0.6% |
| |||||||
860,000 | Nabors Industries, Inc., 0.750%, 1/15/2024 | 613,429 | ||||||
390,000 | Oil States International, Inc., 1.500%, 2/15/2023 | 346,869 | ||||||
|
| |||||||
960,298 | ||||||||
|
| |||||||
Pharmaceuticals — 1.8% |
| |||||||
1,530,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 1,588,331 | ||||||
430,000 | Dermira, Inc., 3.000%, 5/15/2022 | 370,457 | ||||||
475,000 | Flexion Therapeutics, Inc., 3.375%, 5/01/2024 | 412,360 | ||||||
370,000 | Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023 | 329,898 | ||||||
|
| |||||||
2,701,046 | ||||||||
|
| |||||||
Retailers — 0.3% |
| |||||||
270,000 | Booking Holdings, Inc., 0.350%, 6/15/2020 | 388,560 | ||||||
|
| |||||||
Technology — 2.3% |
| |||||||
705,000 | Avaya Holdings Corp., 2.250%, 6/15/2023 | 613,703 | ||||||
475,000 | Evolent Health, Inc., 2.000%, 12/01/2021 | 422,231 | ||||||
865,000 | Finisar Corp., 0.500%, 12/15/2036 | 843,310 | ||||||
625,000 | Nuance Communications, Inc., 1.000%, 12/15/2035 | 585,388 |
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Technology — continued |
| |||||||
$ | 315,000 | Nuance Communications, Inc., 1.250%, 4/01/2025 | $ | 308,977 | ||||
245,000 | Palo Alto Networks, Inc., 0.750%, 7/01/2023, 144A | 258,125 | ||||||
140,000 | Verint Systems, Inc., 1.500%, 6/01/2021 | 150,021 | ||||||
305,000 | Western Digital Corp., 1.500%, 2/01/2024, 144A | 273,899 | ||||||
|
| |||||||
3,455,654 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $13,397,879) | 12,762,914 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $139,755,533) | 139,870,354 | |||||||
|
| |||||||
Senior Loans — 1.3% | ||||||||
Media Entertainment — 0.3% |
| |||||||
437,200 | iHeartCommunications, Inc., Exit Term Loan, 5/01/2026(i) | 437,611 | ||||||
|
| |||||||
Retailers — 0.3% |
| |||||||
660,551 | J.C. Penney Corp., Inc., 2016 Term Loan B,3-month LIBOR + 4.250%, 6.771%, 6/23/2023(d) | 573,577 | ||||||
|
| |||||||
Transportation Services — 0.7% |
| |||||||
1,031,801 | Uber Technologies, 2018 Term Loan,1-month LIBOR + 4.000%, 6.411%, 4/04/2025(d) | 1,031,367 | ||||||
|
| |||||||
Total Senior Loans (Identified Cost $2,117,759) | 2,042,555 | |||||||
|
| |||||||
Loan Participations — 0.3% | ||||||||
ABS Other — 0.3% |
| |||||||
409,762 | Harbour Aircraft Investments Ltd., Series2017-1, Class C, 8.000%, 11/15/2037(a) (Identified Cost $408,841) | 413,156 | ||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks — 1.4% | ||||||||
Food & Beverage — 1.0% |
| |||||||
15,414 | Bunge Ltd., 4.875% | 1,540,278 | ||||||
|
| |||||||
Midstream — 0.4% |
| |||||||
137 | Chesapeake Energy Corp., 5.750% | 64,808 | ||||||
20 | Chesapeake Energy Corp., 5.750%, 144A | 9,565 | ||||||
988 | Chesapeake Energy Corp., 5.750% | 472,528 | ||||||
|
| |||||||
546,901 | ||||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $2,299,442) | 2,087,179 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
Shares | Description | Value (†) | ||||||
Other Investments — 0.6% | ||||||||
Aircraft ABS — 0.6% |
| |||||||
100 | ECAF I Blocker Ltd.(a)(c)(g)(j) (Identified Cost $1,000,000) | $ | 864,000 | |||||
|
| |||||||
Common Stocks — 0.3% | ||||||||
Media — 0.3% |
| |||||||
41,970 | Clear Channel Outdoor Holdings, Inc.(k) | 198,098 | ||||||
17,671 | iHeartMedia, Inc., Class A(k) | 265,949 | ||||||
|
| |||||||
464,047 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $577,986) | 464,047 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 4.4% | ||||||||
$ | 6,644,356 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $6,645,187 on 7/01/2019 collateralized by $6,540,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $6,782,385 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,644,356) | 6,644,356 | |||||
|
| |||||||
Total Investments — 101.3% (Identified Cost $152,803,917) | 152,385,647 | |||||||
Other assets less liabilities — (1.3)% | (1,979,248 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 150,406,399 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
| ||||||
(b) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2019 is disclosed. |
| ||||||
(c) | Fair valued by the Fund’s adviser. At June 30, 2019, the value of these securities amounted to $864,421 or 0.6% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
(d) | Variable rate security. Rate as of June 30, 2019 is disclosed. |
| ||||||
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| ||||||
(f) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended June 30, 2019, interest payments were made in cash. |
| ||||||
(g) | Illiquid security. |
| ||||||
(h) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2019, the value of these securities amounted to $1,670,442 or 1.1% of net assets. See Note 2 of Notes to Financial Statements. |
|
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles High Income Fund – (continued)
(i) | Position is unsettled. Contract rate was not determined at June 30, 2019 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
| ||||||
(j) | Securities subject to restriction on resale. At June 30, 2019, the restricted securities held by the Fund are as follows: |
|
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
ECAF I Blocker Ltd. | December 20, 2016 | $ | 1,000,000 | $ | 864,000 | 0.6% | ||||||||||
(k) | Non-income producing security. |
| ||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019, the value of Rule 144A holdings amounted to $73,609,278 or 48.9% of net assets. | |||||
ABS | Asset-Backed Securities | |||||
LIBOR | London Interbank Offered Rate | |||||
MTN | Medium Term Note | |||||
PIK | Payment-in-Kind | |||||
REITs | Real Estate Investment Trusts |
Industry Summary at June 30, 2019 (Unaudited)
Independent Energy | 10.9 | % | ||
Cable Satellite | 9.4 | |||
Technology | 6.4 | |||
Healthcare | 5.0 | |||
Finance Companies | 5.0 | |||
Midstream | 4.6 | |||
Pharmaceuticals | 3.7 | |||
Wireless | 3.7 | |||
Food & Beverage | 3.6 | |||
Media Entertainment | 3.5 | |||
Treasuries | 3.4 | |||
Building Materials | 2.8 | |||
Oil Field Services | 2.7 | |||
Metals & Mining | 2.6 | |||
Retailers | 2.5 | |||
Wirelines | 2.5 | |||
Banking | 2.5 | |||
Other Investments, less than 2% each | 22.1 | |||
Short-Term Investments | 4.4 | |||
|
| |||
Total Investments | 101.3 | |||
Other assets less liabilities | (1.3 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes — 94.2% of Net Assets | ||||||||
Non-Convertible Bonds — 92.8% | ||||||||
ABS Car Loan — 8.2% |
| |||||||
$ | 2,537,327 | ACC Trust, Series2019-1, Class A, 3.750%, 5/20/2022, 144A | $ | 2,562,577 | ||||
14,429,391 | Ally Auto Receivables Trust, Series2017-3, Class A3, 1.740%, 9/15/2021 | 14,382,546 | ||||||
16,590,000 | Ally Auto Receivables Trust, Series2019-1, Class A3, 2.910%, 9/15/2023 | 16,896,417 | ||||||
1,965,000 | AmeriCredit Automobile Receivables Trust, Series2018-2, Class D, 4.010%, 7/18/2024 | 2,038,228 | ||||||
10,515,000 | AmeriCredit Automobile Receivables Trust, Series2018-3, Class D, 4.040%, 11/18/2024 | 10,985,315 | ||||||
25,880,000 | AmeriCredit Automobile Receivables Trust, Series2019-1, Class D, 3.620%, 3/18/2025 | 26,584,818 | ||||||
12,340,000 | AmeriCredit Automobile Receivables Trust, Series2019-2, Class D, 2.990%, 6/18/2025 | 12,397,392 | ||||||
2,063,357 | BMW Vehicle Owner Trust, Series2016-A, Class A3, 1.160%, 11/25/2020 | 2,058,779 | ||||||
3,650,000 | CarMax Auto Owner Trust, Series2018-3, Class D, 3.910%, 1/15/2025 | 3,745,568 | ||||||
13,130,000 | CarMax Auto Owner Trust, Series2019-1, Class D, 4.040%, 8/15/2025(a)(b) | 13,533,473 | ||||||
4,505,000 | CarMax Auto Owner Trust, Series2019-2, Class D, 3.410%, 10/15/2025 | 4,586,827 | ||||||
13,965,000 | CPS Auto Receivables Trust, Series2019-A, Class D, 4.350%, 12/16/2024, 144A | 14,559,177 | ||||||
1,800,000 | Credit Acceptance Auto Loan Trust, Series2017-3A, Class C, 3.480%, 10/15/2026, 144A | 1,818,897 | ||||||
23,320,000 | Credit Acceptance Auto Loan Trust, Series2019-1A, Class C, 3.940%, 6/15/2028, 144A | 24,033,555 | ||||||
6,555,000 | Drive Auto Receivables Trust, Series2018-5, Class D, 4.300%, 4/15/2026 | 6,820,725 | ||||||
16,395,000 | Drive Auto Receivables Trust, Series2019-1, Class D, 4.090%, 6/15/2026 | 16,967,130 | ||||||
3,700,000 | Drive Auto Receivables Trust, Series2019-2, Class D, 3.690%, 8/17/2026 | 3,782,746 | ||||||
10,760,000 | DT Auto Owner Trust, Series2019-1A, Class D, 3.870%, 11/15/2024, 144A | 11,007,010 | ||||||
3,950,000 | DT Auto Owner Trust, Series2019-2A, Class D, 3.480%, 2/18/2025, 144A | 4,020,399 | ||||||
3,790,000 | First Investors Auto Owner Trust, Series2019-1A, Class D, 3.550%, 4/15/2025, 144A | 3,861,321 | ||||||
2,722,266 | Ford Credit Auto Owner Trust, Series2017-B, Class A3, 1.690%, 11/15/2021 | 2,712,176 | ||||||
15,745,000 | Ford Credit Auto Owner Trust, Series2018-A, Class A3, 3.030%, 11/15/2022 | 15,918,387 | ||||||
8,555,000 | GLS Auto Receivables Trust, Series2019-A, Class C, 3.540%, 2/18/2025, 144A | 8,692,516 | ||||||
3,218,000 | GM Financial Consumer Automobile Receivables Trust, Series2018-2, Class A3, 2.810%, 12/16/2022 | 3,246,376 | ||||||
2,000,000 | GM Financial Consumer Automobile Receivables Trust, Series2018-3, Class A3, 3.020%, 5/16/2023 | 2,030,764 | ||||||
15,645,000 | GM Financial Consumer Automobile Receivables Trust, Series2019-1, Class A3, 2.970%, 11/16/2023 | 15,886,914 | ||||||
3,357,041 | Honda Auto Receivables Owner Trust, Series2016-4, Class A3, 1.210%, 12/18/2020 | 3,344,248 | ||||||
1,491,291 | Honda Auto Receivables Owner Trust, Series2017-2, Class A3, 1.680%, 8/16/2021 | 1,487,017 | ||||||
28,000,000 | Honda Auto Receivables Owner Trust, Series2018-4, Class A3, 3.160%, 1/17/2023 | 28,532,137 |
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Car Loan — continued |
| |||||||
$ | 5,925,000 | Honda Auto Receivables Owner Trust, Series2019-1, Class A3, 2.830%, 3/20/2023 | $ | 6,010,196 | ||||
3,925,000 | Honda Auto Receivables Owner Trust, Series2017-2, Class A4, 1.870%, 9/15/2023 | 3,912,295 | ||||||
12,949,685 | Nissan Auto Receivables Owner Trust, Series2016-C, Class A3, 1.180%, 1/15/2021 | 12,904,043 | ||||||
26,135,000 | Nissan Auto Receivables Owner Trust, Series2018-C, Class A3, 3.220%, 6/15/2023 | 26,732,898 | ||||||
27,665,000 | Santander Drive Auto Receivables Trust, Series2019-1, Class D, 3.650%, 4/15/2025 | 28,474,337 | ||||||
6,995,000 | Santander Drive Auto Receivables Trust, Series2019-2, Class D, 3.220%, 7/15/2025 | 7,092,345 | ||||||
9,211,639 | Toyota Auto Receivables Owner Trust, Series2017-B, Class A3, 1.760%, 7/15/2021 | 9,185,629 | ||||||
15,720,000 | Toyota Auto Receivables Owner Trust, Series2017-D, Class A3, 1.930%, 1/18/2022 | 15,684,660 | ||||||
27,000,000 | Toyota Auto Receivables Owner Trust, Series2018-A, Class A3, 2.350%, 5/16/2022 | 27,049,580 | ||||||
3,638,697 | Toyota Auto Receivables Owner Trust, Series2018-C, Class A2A, 2.770%, 8/16/2021 | 3,648,264 | ||||||
29,995,000 | Toyota Auto Receivables Owner Trust, Series2019-B, Class A3, 2.570%, 8/15/2023 | 30,349,115 | ||||||
15,495,000 | Westlake Automobile Receivable, Series2019-1A, Class D, 3.670%, 3/15/2024, 144A | 15,798,682 | ||||||
|
| |||||||
465,335,479 | ||||||||
|
| |||||||
ABS Credit Card — 4.8% |
| |||||||
14,559,000 | American Express Credit Account Master Trust, Series2017-1, Class A, 1.930%, 9/15/2022 | 14,529,227 | ||||||
10,434,000 | American Express Credit Account Master Trust, Series2017-6, Class A, 2.040%, 5/15/2023 | 10,428,190 | ||||||
3,000,000 | American Express Credit Account Master Trust, Series2018-1, Class A, 2.670%, 10/17/2022 | 3,009,491 | ||||||
8,000,000 | American Express Credit Account Master Trust, Series2019-1, Class A, 2.870%, 10/15/2024 | 8,177,142 | ||||||
9,770,000 | BA Credit Card Trust, Series2017-A2, Class A2, 1.840%, 1/17/2023 | 9,741,445 | ||||||
28,630,000 | BA Credit Card Trust, Series2018-A2, Class A2, 3.000%, 9/15/2023 | 29,122,742 | ||||||
24,885,000 | Capital One Multi-Asset Execution Trust, Series2015-A2, Class A2, 2.080%, 3/15/2023 | 24,860,085 | ||||||
6,170,000 | Capital One Multi-Asset Execution Trust, Series2017-A4, Class A4, 1.990%, 7/17/2023 | 6,161,680 | ||||||
11,730,000 | Capital One Multi-Asset Execution Trust, Series2019-A1, Class A1, 2.840%, 12/15/2024 | 11,956,325 | ||||||
17,700,000 | Chase Issuance Trust, Series2012-A4, Class A4, 1.580%, 8/15/2021 | 17,681,790 | ||||||
7,915,000 | Chase Issuance Trust, Series2015-A4, Class A4, 1.840%, 4/15/2022 | 7,897,696 | ||||||
31,257,000 | Chase Issuance Trust, Series2016-A5, Class A5, 1.270%, 7/15/2021 | 31,244,000 | ||||||
22,714,000 | Citibank Credit Card Issuance Trust, Series2014-A6, Class A6, 2.150%, 7/15/2021 | 22,711,574 |
See accompanying notes to financial statements.
| 28
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Credit Card — continued |
| |||||||
$ | 13,575,000 | Citibank Credit Card Issuance Trust, Series2016-A1, Class A1, 1.750%, 11/19/2021 | $ | 13,547,702 | ||||
10,366,000 | Citibank Credit Card Issuance Trust, Series2017-A3, Class A3, 1.920%, 4/07/2022 | 10,344,188 | ||||||
13,235,000 | Citibank Credit Card Issuance Trust, Series2017-A8, Class A8, 1.860%, 8/08/2022 | 13,197,946 | ||||||
35,306,000 | Discover Card Execution Note Trust, Series2016-A4, Class A4, 1.390%, 3/15/2022 | 35,230,774 | ||||||
|
| |||||||
269,841,997 | ||||||||
|
| |||||||
ABS Home Equity — 3.2% |
| |||||||
612,041 | American Home Mortgage Investment Trust, Series2004-2, Class 5A, 5.500%, 2/25/2044(d) | 625,832 | ||||||
15,451,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A | 16,950,486 | ||||||
70,980 | Bayview Opportunity Master Fund IIb Trust, Series2018-RN5, Class A1, 3.820%, 4/28/2033, 144A(d) | 71,201 | ||||||
5,531,611 | Bayview Opportunity Master Fund IVa Trust, Series2019-RN2, Class A1, 3.967%, 3/28/2034, 144A(d) | 5,576,063 | ||||||
1,499,114 | Bayview Opportunity Master Fund Trust, Series2018-RN8, Class A1, 4.066%, 9/28/2033, 144A(d) | 1,511,150 | ||||||
4,254,234 | Bayview Opportunity Master Fund Trust, Series2019-RN1, Class A1, 4.090%, 2/28/2034, 144A(d) | 4,324,604 | ||||||
353,496 | CAM Mortgage Trust, Series2018-1, Class A1, 3.960%, 12/01/2065, 144A(d) | 353,302 | ||||||
5,674,750 | Citigroup Mortgage Loan Trust, Series2019-B, Class A1, 3.258%, 4/25/2066, 144A(d)(e)(f) | 5,674,747 | ||||||
8,495,604 | Citigroup Mortgage Loan Trust, Series2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(d) | 8,756,282 | ||||||
2,434,000 | Colony American Finance Ltd., Series2019-1, Class D, 4.818%, 3/15/2052, 144A | 2,500,241 | ||||||
1,163,955 | Gosforth Funding PLC, Series2018-1A, Class A1,3-month LIBOR + 0.450%, 2.971%, 8/25/2060, 144A(c) | 1,161,641 | ||||||
1,899,550 | Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, 3.250%, 8/25/2064, 144A | 1,898,460 | ||||||
2,197,457 | Holmes Master Issuer PLC, Series2018-1A, Class A2,3-month LIBOR + 0.360%, 2.957%, 10/15/2054, 144A(c) | 2,194,811 | ||||||
3,050,000 | Invitation Homes Trust, Series 2018-SFR4, Class D,1-month LIBOR + 1.650%, 4.044%, 1/17/2038, 144A(c) | 3,037,372 | ||||||
4,625,000 | Lanark Master Issuer PLC, Series2019-1A, Class 1A1,3-month LIBOR + 0.770%, 3.295%, 12/22/2069(c) | 4,635,836 | ||||||
7,020,000 | Lanark Master Issuer PLC, Series2019-2A, Class 1A, 2.710%, 12/22/2069, 144A(d) | 7,041,650 | ||||||
4,287,940 | Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(d) | 4,335,017 | ||||||
5,430,376 | Mill City Mortgage Trust, Series2019-1, Class A1, 3.250%, 10/25/2069, 144A(d) | 5,534,455 | ||||||
17,482,516 | Onslow Bay Financial LLC, Series 2019-EXP1, Class 1A3, 4.000%, 1/25/2059, 144A(d) | 17,771,328 |
See accompanying notes to financial statements.
29 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued |
| |||||||
$ | 3,708,000 | Progress Residential Trust, Series 2017-SFR2, Class E, 4.142%, 12/17/2034, 144A | $ | 3,778,698 | ||||
1,332,000 | Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A | 1,380,711 | ||||||
2,830,000 | Progress Residential Trust, Series 2019-SFR1, Class D, 4.168%, 8/17/2035, 144A | 2,931,960 | ||||||
4,732,000 | Progress Residential Trust, Series 2019-SFR2, Class D, 3.794%, 5/17/2036, 144A | 4,856,077 | ||||||
881,370 | RCO V Mortgage LLC, Series2018-1, Class A1, 4.000%, 5/25/2023, 144A(d) | 885,003 | ||||||
6,113,693 | RCO V Mortgage LLC, Series2019-1, Class A1, 3.721%, 5/24/2024, 144A(d) | 6,156,766 | ||||||
1,009,876 | RMAT, Series 2018-NPL1, Class A1, 4.090%, 5/25/2048, 144A(d) | 1,016,616 | ||||||
2,392,324 | Sequoia Mortgage Trust, Series2017-CH1, Class A1, 4.000%, 8/25/2047, 144A(d) | 2,454,274 | ||||||
3,895,867 | Sequoia Mortgage Trust, Series2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(d) | 4,037,680 | ||||||
5,024,589 | Sequoia Mortgage Trust, Series2018-CH1, Class A1, 4.000%, 2/25/2048, 144A(d) | 5,197,152 | ||||||
17,281,146 | Sequoia Mortgage Trust, Series2019-CH1, Class A1, 4.500%, 3/25/2049, 144A(d) | 17,836,868 | ||||||
5,465,000 | Silverstone Master Issuer, Series2019-1A, Class 1A,3-month LIBOR + 0.570%, 3.149%, 1/21/2070(c) | 5,466,383 | ||||||
5,271,458 | Towd Point Mortgage Trust, Series2015-2, Class 1A13, 2.500%, 11/25/2060, 144A(d) | 5,270,841 | ||||||
1,749,509 | Towd Point Mortgage Trust, Series2016-1, Class A1B, 2.750%, 2/25/2055, 144A(d) | 1,755,868 | ||||||
9,514,301 | Vericrest Opportunity Loan Trust, Series 2019-NPL3, Class A1, 3.967%, 3/25/2049, 144A(d) | 9,583,027 | ||||||
1,162,339 | VOLT LXXI LLC, Series 2018-NPL7, Class A1A, 3.967%, 9/25/2048, 144A(d) | 1,171,268 | ||||||
1,744,104 | VOLT LXXII LLC, Series 2018-NPL8, Class A1A, 4.213%, 10/26/2048, 144A(d) | 1,755,053 | ||||||
6,242,664 | VOLT LXXV LLC, Series 2019-NPL1, Class A1A, 4.336%, 1/25/2049, 144A(d) | 6,326,990 | ||||||
2,098,518 | Wells Fargo Mortgage Backed Securities Trust, Series2005-AR2, Class 3A1, 5.141%, 3/25/2035(d) | 2,159,495 | ||||||
|
| |||||||
177,975,208 | ||||||||
|
| |||||||
ABS Other — 3.4% |
| |||||||
43,249,239 | FAN Engine Securitization Ltd., Series2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(a)(e)(f) | 41,086,777 | ||||||
12,926,300 | Horizon Aircraft Finance I Ltd., Series2018-1, Class A, 4.458%, 12/15/2038, 144A | 13,401,304 | ||||||
3,020,000 | Horizon Aircraft Finance II Ltd., Series2019-1, Class A, 3.721%, 7/15/2039, 144A(f) | 3,019,056 | ||||||
8,381,470 | Kestrel Aircraft Funding Ltd., Series2018-1A, Class A, 4.250%, 12/15/2038, 144A | 8,524,825 | ||||||
12,571,243 | MAPS Ltd., Series2018-1A, Class A, 4.212%, 5/15/2043, 144A | 12,883,880 | ||||||
4,271,645 | MAPS Ltd., Series2019-1A, Class A, 4.458%, 3/15/2044, 144A | 4,414,809 | ||||||
13,610,000 | Mariner Finance Issuance Trust, Series2018-AA, Class A, 4.200%, 11/20/2030, 144A | 13,981,375 | ||||||
3,412,030 | Marlette Funding Trust, Series2019-1A, Class A, 3.440%, 4/16/2029, 144A | 3,441,093 |
See accompanying notes to financial statements.
| 30
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Other — continued |
| |||||||
$ | 5,550,000 | Marlette Funding Trust, Series2019-2A, Class A, 3.130%, 7/16/2029, 144A | $ | 5,582,333 | ||||
8,040,000 | OneMain Financial Issuance Trust, Series2019-1A, Class D, 4.220%, 2/14/2031, 144A | 8,303,472 | ||||||
16,867,378 | S-Jets Ltd., Series2017-1, Class A, 3.967%, 8/15/2042, 144A | 17,215,139 | ||||||
1,040,000 | SLM Private Credit Student Loan Trust, Series2003-C, Class A3,28-day ARS, 5.320%, 9/15/2032(c)(f) | 1,039,688 | ||||||
1,695,000 | SLM Private Credit Student Loan Trust, Series2003-C, Class A4,28-day ARS, 5.320%, 9/15/2032(c)(f) | 1,694,492 | ||||||
13,765,000 | SoFi Consumer Loan Program Trust, Series2019-1, Class C, 3.730%, 2/25/2028, 144A | 14,172,236 | ||||||
6,720,000 | SoFi Consumer Loan Program Trust, Series2018-4, Class C, 4.170%, 11/26/2027, 144A | 6,999,041 | ||||||
6,805,000 | SoFi Consumer Loan Program Trust, Series2019-2, Class C, 3.460%, 4/25/2028, 144A | 6,947,380 | ||||||
12,755,000 | SoFi Consumer Loan Program Trust, Series2019-3, Class C, 3.350%, 5/25/2028, 144A | 12,978,500 | ||||||
13,428,883 | SpringCastle Funding Asset-Backed Notes, Series2019-AA, Class A, 3.200%, 5/27/2036, 144A | 13,582,915 | ||||||
|
| |||||||
189,268,315 | ||||||||
|
| |||||||
ABS Student Loan — 1.2% |
| |||||||
4,020,000 | Navient Private Education Refi Loan Trust, Series2019-CA, Class A2, 3.130%, 2/15/2068, 144A | 4,105,567 | ||||||
6,910,000 | Navient Student Loan Trust, Series2018-EA, Class A2, 4.000%, 12/15/2059, 144A | 7,291,597 | ||||||
13,135,000 | Navient Student Loan Trust, Series2019-2A, Class A2,1-month LIBOR + 1.000%, 3.404%, 2/27/2068, 144A(c) | 13,154,421 | ||||||
907,000 | SLM Private Credit Student Loan Trust, Series2003-A, Class A3,28-day ARS, 5.260%, 6/15/2032(c)(f) | 906,728 | ||||||
680,000 | SLM Private Credit Student Loan Trust, Series2003-A, Class A4,28-day ARS, 5.280%, 6/15/2032(c)(f) | 679,796 | ||||||
1,297,000 | SLM Private Credit Student Loan Trust, Series2003-B, Class A3,28-day ARS, 5.280%, 3/15/2033(c)(f) | 1,296,611 | ||||||
889,000 | SLM Private Credit Student Loan Trust, Series2003-B, Class A4,28-day ARS, 5.290%, 3/15/2033(c)(f) | 888,733 | ||||||
10,385,000 | SMB Private Education Loan Trust, Series2019-A, Class A2A, 3.440%, 7/15/2036, 144A | 10,771,275 | ||||||
16,265,000 | SMB Private Education Loan Trust, Series2019-B, Class A2A, 2.840%, 6/15/2037, 144A | 16,391,700 | ||||||
9,075,000 | SoFi Professional Loan Program LLC, Series2019-A, Class A2FX, 3.690%, 6/15/2048, 144A | 9,525,066 | ||||||
|
| |||||||
65,011,494 | ||||||||
|
| |||||||
ABS Whole Business — 1.9% |
| |||||||
10,362,730 | Adams Outdoor Advertising LP, Series2018-1, Class A, 4.810%, 11/15/2048, 144A | 11,025,590 | ||||||
3,595,000 | Adams Outdoor Advertising LP, Series2018-1, Class B, 5.653%, 11/15/2048, 144A | 3,828,822 |
See accompanying notes to financial statements.
31 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Whole Business — continued |
| |||||||
$ | 27,342,000 | Coinstar Funding LLC, Series2017-1A, Class A2, 5.216%, 4/25/2047, 144A | $ | 27,994,856 | ||||
6,782,000 | DB Master Finance LLC, Series2019-1A, Class A23, 4.352%, 5/20/2049, 144A | 7,011,367 | ||||||
321,278 | Domino’s Pizza Master Issuer LLC, Series2017-1A, Class A23, 4.118%, 7/25/2047 | 333,640 | ||||||
5,257,890 | Domino’s Pizza Master Issuer LLC, Series2018-1A, Class A2II, 4.328%, 7/25/2048, 144A | 5,488,238 | ||||||
3,187,800 | Driven Brands Funding LLC, Series2018-1A, Class A2, 4.739%, 4/20/2048, 144A | 3,343,747 | ||||||
6,768,038 | Driven Brands Funding LLC, Series2019-1A, Class A2, 4.641%, 4/20/2049 | 7,056,762 | ||||||
4,962,500 | Five Guys Funding LLC, Series2017-1A, Class A2, 4.600%, 7/25/2047, 144A | 5,155,172 | ||||||
17,670,900 | Stack Infrastructure Issuer LLC, Series2019-1A, Class A2, 4.540%, 2/25/2044, 144A | 18,397,579 | ||||||
13,527,025 | Taco Bell Funding LLC, Series2018-1A, Class A2I, 4.318%, 11/25/2048, 144A | 14,031,448 | ||||||
3,690,750 | Wingstop Funding LLC, Series2018-1, Class A2, 4.970%, 12/05/2048, 144A | 3,878,905 | ||||||
|
| |||||||
107,546,126 | ||||||||
|
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
650,000 | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039 | 698,750 | ||||||
78,795,000 | Textron, Inc., 5.950%, 9/21/2021 | 83,733,564 | ||||||
|
| |||||||
84,432,314 | ||||||||
|
| |||||||
Airlines — 1.4% |
| |||||||
3,011,456 | Air Canada Pass Through Trust, Series2013-1, Class B, 5.375%, 11/15/2022, 144A | 3,109,027 | ||||||
1,778,221 | American Airlines Pass Through Certificates, Series2016-3, Class B, 3.750%, 4/15/2027 | 1,790,551 | ||||||
660,687 | American Airlines Pass Through Certificates, Series2017-2, Class B, 3.700%, 4/15/2027 | 658,095 | ||||||
2,147,987 | American Airlines Pass Through Trust, Series2015-2, Class B, 4.400%, 3/22/2025 | 2,206,413 | ||||||
1,201,123 | Continental Airlines Pass Through Certificates, Series2012-1, Class B, 6.250%, 10/11/2021 | 1,225,362 | ||||||
324,173 | Continental Airlines Pass Through Trust, Series2001-1,Class A-1, 6.703%, 12/15/2022(a)(b) | 346,871 | ||||||
1,078,616 | Delta Air Lines Pass Through Trust, Series2007-1, Class A, 6.821%, 2/10/2024 | 1,187,017 | ||||||
5,449,716 | Delta Air Lines Pass Through Trust, Series2007-1, Class B, 8.021%, 2/10/2024 | 6,012,127 | ||||||
7,990,435 | Delta Air Lines Pass Through Trust, Series2009-1, Class A, 7.750%, 6/17/2021 | 8,175,174 | ||||||
13,632,993 | UAL Pass Through Trust, Series2007-1, Class A, 6.636%, 1/02/2024 | 14,480,965 | ||||||
26,272,205 | United Airlines Pass Through Trust, Series2016-2, Class B, 3.650%, 4/07/2027 | 26,330,004 | ||||||
2,795,474 | United Airlines Pass Through Trust, Series2018-1, Class A, 3.700%, 9/01/2031 | 2,830,629 |
See accompanying notes to financial statements.
| 32
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Airlines — continued |
| |||||||
$ | 10,315,000 | United Airlines Pass Through Trust, Series2019-1, Class A, 4.550%, 2/25/2033 | $ | 11,067,686 | ||||
649,874 | Virgin Australia Pass Through Certificates, Series2013-1A, 5.000%, 4/23/2025, 144A(a)(b) | 668,415 | ||||||
|
| |||||||
80,088,336 | ||||||||
|
| |||||||
Automotive — 2.4% |
| |||||||
23,581,000 | Cummins, Inc., 5.650%, 3/01/2098(a)(b) | 28,445,289 | ||||||
5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 | 6,432,566 | ||||||
255,000 | Ford Motor Co., 6.625%, 2/15/2028 | 285,730 | ||||||
240,000 | Ford Motor Co., 7.500%, 8/01/2026 | 280,357 | ||||||
14,000,000 | Toyota Motor Credit Corp., 1.950%, 4/17/2020 | 13,973,120 | ||||||
26,263,000 | Toyota Motor Credit Corp., GMTN, 1.900%, 4/08/2021 | 26,147,705 | ||||||
10,000,000 | Toyota Motor Credit Corp., MTN, 2.150%, 3/12/2020 | 9,995,076 | ||||||
38,060,000 | Toyota Motor Credit Corp., MTN, 2.650%, 4/12/2022 | 38,656,987 | ||||||
7,565,000 | ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A | 7,817,934 | ||||||
|
| |||||||
132,034,764 | ||||||||
|
| |||||||
Banking — 7.9% |
| |||||||
39,613,000 | Ally Financial, Inc., 4.625%, 3/30/2025 | 41,791,715 | ||||||
1,468,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 1,923,080 | ||||||
49,304,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | 50,733,618 | ||||||
100,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 | 106,835 | ||||||
25,627,000 | Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027 | 27,148,772 | ||||||
22,500,000 | BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A | 23,178,750 | ||||||
460,000 | Capital One Financial Corp., 4.200%, 10/29/2025 | 483,096 | ||||||
17,000,000 | Citigroup, Inc., 3.500%, 5/15/2023 | 17,541,376 | ||||||
1,230,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 1,302,724 | ||||||
1,660,000 | Citigroup, Inc., 4.500%, 1/14/2022 | 1,744,973 | ||||||
7,155,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A | 7,233,920 | ||||||
17,940,000 | Danske Bank A/S, 5.000%, 1/12/2022, 144A | 18,766,090 | ||||||
14,200,000 | Danske Bank A/S, 5.375%, 1/12/2024, 144A | 15,348,323 | ||||||
20,999,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 18,248,341 | ||||||
6,645,000 | Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020 | 6,781,780 | ||||||
70,245,000 | JPMorgan Chase & Co., 4.125%, 12/15/2026 | 75,131,374 | ||||||
100,000 | KeyBank NA, 6.950%, 2/01/2028 | 125,374 | ||||||
1,845,000 | Morgan Stanley, 4.350%, 9/08/2026 | 1,978,442 | ||||||
5,900,000 | Morgan Stanley, 5.750%, 1/25/2021 | 6,196,936 | ||||||
20,695,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 | 21,784,885 | ||||||
38,206,000 | Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019 | 38,470,982 | ||||||
15,160,000 | Santander Holdings USA, Inc., 4.450%, 12/03/2021 | 15,769,061 | ||||||
20,295,000 | Societe Generale S.A., 4.250%, 4/14/2025, 144A | 20,817,190 | ||||||
21,340,000 | Standard Chartered PLC,3-month LIBOR + 1.150%, 3.742%, 1/20/2023, 144A(c) | 21,310,978 |
See accompanying notes to financial statements.
33 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Banking — continued |
| |||||||
$ | 5,900,000 | Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), 4.247%, 1/20/2023, 144A | $ | 6,090,452 | ||||
3,865,000 | Synchrony Financial, 4.375%, 3/19/2024 | 4,047,195 | ||||||
|
| |||||||
444,056,262 | ||||||||
|
| |||||||
Brokerage — 1.5% |
| |||||||
50,270,000 | Jefferies Group LLC, 5.125%, 1/20/2023 | 53,842,523 | ||||||
19,498,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 21,013,406 | ||||||
8,760,000 | Jefferies Group LLC, 6.450%, 6/08/2027 | �� | 9,919,746 | |||||
|
| |||||||
84,775,675 | ||||||||
|
| |||||||
Building Materials — 0.6% |
| |||||||
1,365,000 | Masco Corp., 6.500%, 8/15/2032 | 1,610,789 | ||||||
3,110,000 | Masco Corp., 7.125%, 3/15/2020 | 3,199,346 | ||||||
2,163,000 | Masco Corp., 7.750%, 8/01/2029 | 2,716,964 | ||||||
23,975,000 | Owens Corning, 7.000%, 12/01/2036 | 28,447,374 | ||||||
|
| |||||||
35,974,473 | ||||||||
|
| |||||||
Cable Satellite — 1.1% |
| |||||||
6,695,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.750%, 4/01/2048 | 7,404,814 | ||||||
10,320,000 | Cox Communications, Inc., 4.500%, 6/30/2043, 144A | 9,903,530 | ||||||
5,820,000 | Cox Communications, Inc., 4.700%, 12/15/2042, 144A | 5,792,087 | ||||||
13,630,000 | Time Warner Cable LLC, 4.125%, 2/15/2021 | 13,883,453 | ||||||
9,055,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 8,461,055 | ||||||
15,815,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 16,580,844 | ||||||
|
| |||||||
62,025,783 | ||||||||
|
| |||||||
Chemicals — 1.7% |
| |||||||
27,205,000 | CF Industries, Inc., 4.500%, 12/01/2026, 144A | 28,286,848 | ||||||
15,145,000 | DuPont de Nemours, Inc., 3.766%, 11/15/2020 | 15,434,866 | ||||||
50,500,000 | INVISTA Finance LLC, 4.250%, 10/15/2019, 144A | 50,788,135 | ||||||
|
| |||||||
94,509,849 | ||||||||
|
| |||||||
Construction Machinery — 1.1% |
| |||||||
17,058,000 | Caterpillar Financial Services Corp., 1.931%, 10/01/2021 | 16,925,767 | ||||||
12,000,000 | Caterpillar, Inc., 3.900%, 5/27/2021 | 12,376,413 | ||||||
11,005,000 | John Deere Capital Corp., MTN, 2.350%, 1/08/2021 | 11,037,852 | ||||||
7,485,000 | John Deere Capital Corp., MTN, 2.950%, 4/01/2022 | 7,635,551 | ||||||
6,105,000 | John Deere Capital Corp., MTN, 3.900%, 7/12/2021 | 6,314,907 | ||||||
6,787,000 | Toro Co. (The), 6.625%, 5/01/2037(a)(b) | 8,336,503 | ||||||
|
| |||||||
62,626,993 | ||||||||
|
| |||||||
Consumer Products — 0.7% |
| |||||||
7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 | 8,977,780 | ||||||
27,515,000 | Unilever Capital Corp., 3.000%, 3/07/2022 | 28,144,818 | ||||||
|
| |||||||
37,122,598 | ||||||||
|
| |||||||
Diversified Manufacturing — 0.1% |
| |||||||
5,305,000 | General Electric Co., Series A, MTN,3-month LIBOR + 0.300%, 2.897%, 5/13/2024(c) | 4,952,021 | ||||||
|
|
See accompanying notes to financial statements.
| 34
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Electric — 1.4% |
| |||||||
$ | 21,015,531 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | $ | 23,566,996 | ||||
30,430,000 | EDP Finance BV, 4.125%, 1/15/2020, 144A | 30,496,946 | ||||||
13,025,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A | 15,445,298 | ||||||
9,007,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A | 11,455,530 | ||||||
|
| |||||||
80,964,770 | ||||||||
|
| |||||||
Finance Companies — 1.6% |
| |||||||
12,430,000 | Aircastle Ltd., 4.125%, 5/01/2024 | 12,730,896 | ||||||
20,595,000 | Aircastle Ltd., 4.400%, 9/25/2023 | 21,389,439 | ||||||
8,160,000 | Aircastle Ltd., 5.000%, 4/01/2023 | 8,633,205 | ||||||
6,700,000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A | 6,810,048 | ||||||
18,830,000 | International Lease Finance Corp., 4.625%, 4/15/2021 | 19,423,176 | ||||||
8,565,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A | 8,736,300 | ||||||
7,805,000 | Quicken Loans, Inc., 5.250%, 1/15/2028, 144A | 7,765,975 | ||||||
6,392,000 | Quicken Loans, Inc., 5.750%, 5/01/2025, 144A | 6,591,750 | ||||||
|
| |||||||
92,080,789 | ||||||||
|
| |||||||
Food & Beverage — 1.7% |
| |||||||
13,750,000 | General Mills, Inc., 2.600%, 10/12/2022 | 13,804,989 | ||||||
8,595,000 | JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A | 8,938,800 | ||||||
4,910,000 | JBS USA LUX S.A./JBS USA Finance, Inc., 6.750%, 2/15/2028, 144A | 5,333,488 | ||||||
10,465,000 | NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A | 11,003,948 | ||||||
9,535,000 | PepsiCo, Inc., 1.700%, 10/06/2021 | 9,460,348 | ||||||
45,980,000 | PepsiCo, Inc., 2.000%, 4/15/2021 | 45,967,410 | ||||||
|
| |||||||
94,508,983 | ||||||||
|
| |||||||
Government Guaranteed — 1.0% |
| |||||||
55,000,000 | Kreditanstalt fuer Wiederaufbau, 1.500%, 4/20/2020 | 54,724,020 | ||||||
|
| |||||||
Government Owned – No Guarantee — 1.4% |
| |||||||
50,000,000 | CPPIB Capital, Inc., 2.375%, 1/29/2021, 144A | 50,320,500 | ||||||
21,545,000 | Petrobras Global Finance BV, 5.750%, 2/01/2029 | 22,458,508 | ||||||
6,130,000 | Petrobras Global Finance BV, 6.900%, 3/19/2049 | 6,528,450 | ||||||
|
| |||||||
79,307,458 | ||||||||
|
| |||||||
Health Insurance — 0.6% |
| |||||||
27,570,000 | Anthem, Inc., 2.500%, 11/21/2020 | 27,624,900 | ||||||
3,040,000 | Centene Corp., 6.125%, 2/15/2024 | 3,184,400 | ||||||
1,261,000 | Cigna Holding Co., 7.875%, 5/15/2027 | 1,642,570 | ||||||
|
| |||||||
32,451,870 | ||||||||
|
| |||||||
Healthcare — 3.3% |
| |||||||
27,455,000 | Abbott Laboratories, 2.900%, 11/30/2021 | 27,909,915 | ||||||
27,390,000 | Cigna Corp., 3.200%, 9/17/2020, 144A | 27,642,939 | ||||||
19,420,000 | Cigna Corp., 4.375%, 10/15/2028, 144A | 20,951,564 | ||||||
13,765,000 | CVS Health Corp., 4.100%, 3/25/2025 | 14,517,810 | ||||||
23,120,000 | HCA, Inc., 4.500%, 2/15/2027 | 24,665,827 | ||||||
24,240,000 | HCA, Inc., 5.250%, 4/15/2025 | 26,856,892 | ||||||
4,580,000 | HCA, Inc., 5.250%, 6/15/2026 | 5,071,015 |
See accompanying notes to financial statements.
35 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Healthcare — continued |
| |||||||
$ | 17,055,000 | HCA, Inc., 5.250%, 6/15/2049 | $ | 17,732,254 | ||||
6,175,000 | HCA, Inc., 5.375%, 9/01/2026 | 6,653,563 | ||||||
4,806,000 | HCA, Inc., 7.050%, 12/01/2027 | 5,430,780 | ||||||
1,592,000 | HCA, Inc., 7.500%, 11/06/2033 | 1,830,800 | ||||||
1,295,000 | HCA, Inc., 7.690%, 6/15/2025 | 1,521,625 | ||||||
2,480,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 2,852,000 | ||||||
3,068,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 3,497,520 | ||||||
|
| |||||||
187,134,504 | ||||||||
|
| |||||||
Independent Energy — 2.1% |
| |||||||
6,090,000 | Anadarko Petroleum Corp., 5.550%, 3/15/2026 | 6,844,425 | ||||||
30,195,000 | Continental Resources, Inc., 3.800%, 6/01/2024 | 31,046,158 | ||||||
10,525,000 | Continental Resources, Inc., 4.375%, 1/15/2028 | 11,066,719 | ||||||
10,950,000 | Diamondback Energy, Inc., 4.750%, 11/01/2024, 144A | 11,264,813 | ||||||
10,475,000 | Hess Corp., 4.300%, 4/01/2027 | 10,865,502 | ||||||
21,000,000 | Newfield Exploration Co., 5.625%, 7/01/2024 | 23,219,700 | ||||||
26,185,000 | Seven Generations Energy Ltd., 5.375%, 9/30/2025, 144A | 25,203,062 | ||||||
60,000 | Whiting Petroleum Corp., 6.250%, 4/01/2023 | 59,873 | ||||||
|
| |||||||
119,570,252 | ||||||||
|
| |||||||
Integrated Energy — 2.3% |
| |||||||
55,470,000 | Chevron Corp., 2.100%, 5/16/2021 | 55,518,580 | ||||||
20,430,000 | Exxon Mobil Corp., 2.222%, 3/01/2021 | 20,486,602 | ||||||
52,303,000 | Shell International Finance BV, 1.875%, 5/10/2021 | 52,071,298 | ||||||
|
| |||||||
128,076,480 | ||||||||
|
| |||||||
Life Insurance — 2.8% |
| |||||||
5,653,000 | American International Group, Inc., 4.200%, 4/01/2028 | 6,041,652 | ||||||
1,475,000 | American International Group, Inc., 4.875%, 6/01/2022 | 1,581,274 | ||||||
8,255,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 8,936,037 | ||||||
15,000,000 | Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A | 16,333,219 | ||||||
5,895,000 | Metropolitan Life Global Funding I,3-month LIBOR + 0.230%, 2.819%, 1/08/2021, 144A(c) | 5,894,794 | ||||||
30,030,000 | Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A | 30,868,004 | ||||||
9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A | 11,608,706 | ||||||
26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A(a)(b) | 43,541,096 | ||||||
6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A(a)(b) | 8,482,078 | ||||||
2,872,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A | 3,628,791 | ||||||
14,489,000 | Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A | 20,034,669 | ||||||
|
| |||||||
156,950,320 | ||||||||
|
| |||||||
Lodging — 0.5% |
| |||||||
26,131,000 | Choice Hotels International, Inc., 5.700%, 8/28/2020 | 26,882,266 | ||||||
|
| |||||||
Media Entertainment — 0.2% |
| |||||||
4,482,000 | Walt Disney Co. (The), 8.150%, 10/17/2036, 144A | 6,992,057 | ||||||
898,000 | Warner Media LLC, 2.950%, 7/15/2026 | 881,829 | ||||||
60,000 | Warner Media LLC, 3.800%, 2/15/2027 | 59,960 | ||||||
1,065,000 | Warner Media LLC, 3.875%, 1/15/2026 | 1,072,188 | ||||||
|
| |||||||
9,006,034 | ||||||||
|
|
See accompanying notes to financial statements.
| 36
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Metals & Mining — 3.4% |
| |||||||
$ | 1,689,997 | 1839688 Alberta ULC, 14.000% PIK, 14.000% Cash, 2/13/2020(e)(f)(g)(h) | $ | — | ||||
34,334,000 | Anglo American Capital PLC, 4.500%, 3/15/2028, 144A | 35,604,498 | ||||||
8,785,000 | Anglo American Capital PLC, 4.750%, 4/10/2027, 144A | 9,305,039 | ||||||
430,000 | ArcelorMittal, 5.500%, 3/01/2021 | 447,634 | ||||||
47,920,000 | ArcelorMittal, 6.750%, 3/01/2041 | 55,857,631 | ||||||
19,365,000 | ArcelorMittal, 7.000%, 10/15/2039 | 22,977,854 | ||||||
7,688,000 | Glencore Funding LLC, 3.875%, 10/27/2027, 144A | 7,700,224 | ||||||
39,092,000 | Glencore Funding LLC, 4.000%, 3/27/2027, 144A | 39,474,131 | ||||||
11,700,000 | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | 12,147,172 | ||||||
4,893,000 | Worthington Industries, Inc., 6.500%, 4/15/2020 | 5,023,877 | ||||||
|
| |||||||
188,538,060 | ||||||||
|
| |||||||
Midstream — 3.8% |
| |||||||
14,040,000 | Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.250%, 12/01/2027 | 14,830,618 | ||||||
650,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A | 682,500 | ||||||
7,000,000 | Energy Transfer Operating LP, 4.950%, 6/15/2028 | 7,653,232 | ||||||
36,405,000 | Energy Transfer Operating LP, 5.250%, 4/15/2029 | 40,676,947 | ||||||
880,000 | EnLink Midstream Partners LP, 5.050%, 4/01/2045 | 734,800 | ||||||
30,850,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 26,376,750 | ||||||
1,940,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 1,779,950 | ||||||
26,650,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | 28,052,732 | ||||||
14,300,000 | IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A | 14,784,449 | ||||||
14,660,000 | Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023 | 15,084,223 | ||||||
3,105,000 | Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020 | 3,208,689 | ||||||
7,461,000 | Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021 | 7,864,624 | ||||||
85,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 107,950 | ||||||
225,000 | Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023 | 224,093 | ||||||
40,610,000 | Sunoco Logistics Partners Operations LP, 4.000%, 10/01/2027 | 41,838,699 | ||||||
8,405,000 | Williams Cos., Inc., 3.350%, 8/15/2022 | 8,566,368 | ||||||
|
| |||||||
212,466,624 | ||||||||
|
| |||||||
Mortgage Related — 0.0% |
| |||||||
15,048 | FHLMC, 5.000%, 12/01/2031 | 16,023 | ||||||
1,675 | FNMA, 6.000%, 7/01/2029 | 1,864 | ||||||
|
| |||||||
17,887 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities — 0.6% |
| |||||||
3,000,712 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS4, Class A2, 2.963%, 8/10/2047 | 2,999,030 | ||||||
3,205,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D,1-month LIBOR + 3.600%, 5.994%, 1/15/2034, 144A(c) | 3,221,524 | ||||||
12,790,000 | Credit Suisse Mortgage Trust, Series2014-USA, Class D, 4.373%, 9/15/2037, 144A | 12,612,236 | ||||||
484,146 | JP Morgan Chase Commercial Mortgage Securities Trust,Series 2014-C20, Class A2, 2.872%, 7/15/2047 | 483,628 | ||||||
3,456,000 | Morgan Stanley Capital I Trust, Series2011-C2, Class E, 5.668%, 6/15/2044, 144A(d) | 3,412,097 | ||||||
6,706,000 | UBS-Barclays Commercial Mortgage Trust, Series2012-C2, Class E, 5.048%, 5/10/2063, 144A(d) | 5,387,321 |
See accompanying notes to financial statements.
37 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Non-Agency Commercial Mortgage-Backed Securities — continued |
| |||||||
$ | 3,557,000 | WFRBS Commercial Mortgage Trust, Series2011-C2, Class D, 5.839%, 2/15/2044, 144A(d) | $ | 3,635,548 | ||||
2,125,000 | WFRBS Commercial Mortgage Trust, Series2011-C3, Class D, 5.856%, 3/15/2044, 144A(d) | 1,917,983 | ||||||
1,296,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class C, 4.970%, 6/15/2045(d) | 1,325,985 | ||||||
865,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class E, 4.970%, 6/15/2045, 144A(d) | 763,359 | ||||||
|
| |||||||
35,758,711 | ||||||||
|
| |||||||
Paper — 1.3% |
| |||||||
6,400,000 | International Paper Co., 8.700%, 6/15/2038 | 9,151,519 | ||||||
4,600,000 | WestRock MWV LLC, 7.550%, 3/01/2047(a)(b) | 6,153,648 | ||||||
4,273,000 | WestRock MWV LLC, 8.200%, 1/15/2030 | 5,759,443 | ||||||
26,007,000 | Weyerhaeuser Co., 6.875%, 12/15/2033 | 34,693,338 | ||||||
13,539,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 | 18,929,374 | ||||||
|
| |||||||
74,687,322 | ||||||||
|
| |||||||
Pharmaceuticals — 1.6% |
| |||||||
27,550,000 | Gilead Science, Inc., 2.550%, 9/01/2020 | 27,631,066 | ||||||
27,080,000 | GlaxoSmithKline Capital PLC, 3.125%, 5/14/2021 | 27,537,435 | ||||||
4,390,000 | Mylan NV, 5.250%, 6/15/2046 | 4,094,814 | ||||||
1,602,000 | Mylan, Inc., 5.200%, 4/15/2048 | 1,479,296 | ||||||
17,010,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023 | 14,741,376 | ||||||
8,000,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 6,200,000 | ||||||
5,500,000 | Teva Pharmaceutical Finance Netherlands III BV, 6.000%, 4/15/2024 | 5,192,330 | ||||||
|
| |||||||
86,876,317 | ||||||||
|
| |||||||
Property & Casualty Insurance — 0.1% |
| |||||||
2,740,000 | Fidelity National Financial, Inc., 5.500%, 9/01/2022 | 2,965,547 | ||||||
|
| |||||||
REITs – Health Care — 0.1% |
| |||||||
5,972,000 | Welltower, Inc., 6.500%, 3/15/2041 | 7,628,297 | ||||||
|
| |||||||
REITs – Single Tenant — 0.2% |
| |||||||
8,690,000 | Realty Income Corp., 5.750%, 1/15/2021 | 9,065,665 | ||||||
|
| |||||||
Retailers — 1.5% |
| |||||||
11,876,752 | CVS Pass Through Trust, 4.704%, 1/10/2036, 144A | 12,528,548 | ||||||
401,261 | CVS Pass Through Trust, 5.773%, 1/10/2033, 144A | 451,110 | ||||||
1,245,299 | CVS Pass Through Trust, Series 2014, 4.163%, 8/11/2036, 144A | 1,273,953 | ||||||
448,060 | CVS Pass Through Trust, 6.036%, 12/10/2028 | 498,059 | ||||||
1,255,000 | Group 1 Automotive, Inc., 5.000%, 6/01/2022 | 1,270,688 | ||||||
8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 9,005,807 | ||||||
3,755,000 | PVH Corp., 7.750%, 11/15/2023 | 4,243,150 | ||||||
53,830,000 | Walmart, Inc., 3.125%, 6/23/2021 | 55,004,571 | ||||||
|
| |||||||
84,275,886 | ||||||||
|
| |||||||
Supermarkets — 0.0% |
| |||||||
325,000 | Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040 | 376,123 | ||||||
|
|
See accompanying notes to financial statements.
| 38
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Supranational — 1.3% |
| |||||||
$ | 55,000,000 | European Investment Bank, 1.625%, 12/15/2020 | $ | 54,774,444 | ||||
20,000,000 | International Bank for Reconstruction & Development, Series GDIF, 2.750%, 7/23/2021 | 20,369,631 | ||||||
|
| |||||||
75,144,075 | ||||||||
|
| |||||||
Technology — 6.3% |
| |||||||
27,480,000 | Apple, Inc., 2.850%, 5/06/2021 | 27,881,965 | ||||||
27,985,000 | Avnet, Inc., 4.625%, 4/15/2026 | 29,269,843 | ||||||
26,185,000 | Broadcom Corp./Broadcom Cayman Finance Ltd., 3.000%, 1/15/2022 | 26,253,038 | ||||||
27,405,000 | Broadcom, Inc., 4.750%, 4/15/2029, 144A | 28,138,974 | ||||||
27,558,000 | Cisco Systems, Inc., 1.850%, 9/20/2021 | 27,396,183 | ||||||
22,066,000 | Cisco Systems, Inc., 2.200%, 2/28/2021 | 22,078,641 | ||||||
25,760,000 | Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A | 28,417,962 | ||||||
13,560,000 | Equifax, Inc., 3.600%, 8/15/2021 | 13,820,085 | ||||||
27,200,000 | Intel Corp., 3.300%, 10/01/2021 | 27,962,864 | ||||||
27,875,000 | International Business Machines Corp., 2.250%, 2/19/2021 | 27,870,261 | ||||||
7,440,000 | Jabil, Inc., 4.700%, 9/15/2022 | 7,773,312 | ||||||
16,735,000 | KLA-Tencor Corp., 5.650%, 11/01/2034 | 19,042,482 | ||||||
51,515,000 | Oracle Corp., 1.900%, 9/15/2021 | 51,254,252 | ||||||
5,000,000 | Oracle Corp., 2.800%, 7/08/2021 | 5,067,850 | ||||||
9,135,000 | Verisk Analytics, Inc., 4.125%, 3/15/2029 | 9,791,771 | ||||||
|
| |||||||
352,019,483 | ||||||||
|
| |||||||
Tobacco — 0.4% |
| |||||||
19,785,000 | Altria Group, Inc., 4.800%, 2/14/2029 | 21,284,532 | ||||||
|
| |||||||
Treasuries — 8.2% |
| |||||||
391,985,000 | Central Bank of Iceland, 7.250%, 10/26/2022, (ISK) | 3,480,886 | ||||||
210,910,000 | U.S. Treasury Bond, 3.000%, 8/15/2048 | 231,308,952 | ||||||
113,970,000 | U.S. Treasury Bond, 3.000%, 2/15/2049 | 125,171,114 | ||||||
50,000,000 | U.S. Treasury Note, 1.500%, 4/15/2020 | 49,792,969 | ||||||
50,000,000 | U.S. Treasury Note, 2.375%, 4/30/2020 | 50,146,484 | ||||||
|
| |||||||
459,900,405 | ||||||||
|
| |||||||
Wireless — 0.5% |
| |||||||
22,660,000 | Crown Castle International Corp., 3.650%, 9/01/2027 | 23,335,112 | ||||||
6,615,000 | Crown Castle International Corp., 4.000%, 3/01/2027 | 6,942,874 | ||||||
|
| |||||||
30,277,986 | ||||||||
|
| |||||||
Wirelines — 1.9% |
| |||||||
61,415,000 | AT&T, Inc., 4.300%, 2/15/2030 | 65,733,463 | ||||||
7,980,000 | AT&T, Inc., 4.850%, 3/01/2039 | 8,564,381 | ||||||
2,936,000 | BellSouth Telecommunications LLC, 5.850%, 11/15/2045 | 3,126,253 | ||||||
27,220,000 | Telefonica Emisiones S.A., 5.520%, 3/01/2049 | 31,530,447 | ||||||
|
| |||||||
108,954,544 | ||||||||
|
| |||||||
TotalNon-Convertible Bonds (Identified Cost $4,886,053,117) | 5,209,472,897 | |||||||
|
| |||||||
See accompanying notes to financial statements.
39 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Convertible Bonds — 1.1% | ||||||||
Cable Satellite — 0.3% |
| |||||||
$ | 9,050,000 | DISH Network Corp., 2.375%, 3/15/2024 | $ | 8,360,077 | ||||
6,190,000 | DISH Network Corp., 3.375%, 8/15/2026 | 6,017,820 | ||||||
|
| |||||||
14,377,897 | ||||||||
|
| |||||||
Diversified Manufacturing — 0.1% |
| |||||||
5,165,000 | Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024 | 4,962,962 | ||||||
|
| |||||||
Independent Energy — 0.1% |
| |||||||
8,905,000 | Chesapeake Energy Corp., 5.500%, 9/15/2026 | 7,107,779 | ||||||
|
| |||||||
Oil Field Services — 0.3% |
| |||||||
22,120,000 | Nabors Industries, Inc., 0.750%, 1/15/2024 | 15,777,975 | ||||||
|
| |||||||
Pharmaceuticals — 0.1% |
| |||||||
7,895,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 8,195,997 | ||||||
|
| |||||||
Technology — 0.2% |
| |||||||
11,409,000 | Finisar Corp., 0.500%, 12/15/2036 | 11,122,924 | ||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $64,009,381) | 61,545,534 | |||||||
|
| |||||||
Municipals — 0.3% | ||||||||
Illinois — 0.2% |
| |||||||
9,150,000 | State of Illinois, 5.100%, 6/01/2033 | 9,635,682 | ||||||
|
| |||||||
Michigan — 0.0% |
| |||||||
1,575,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 | 1,578,245 | ||||||
|
| |||||||
Virginia — 0.1% |
| |||||||
7,595,000 | Tobacco Settlement Financing Corp., SeriesA-1, 6.706%, 6/01/2046 | 7,164,667 | ||||||
|
| |||||||
Total Municipals (Identified Cost $16,273,783) | 18,378,594 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $4,966,366,281) | 5,289,397,025 | |||||||
|
| |||||||
Collateralized Loan Obligations — 2.0% | ||||||||
15,513,118 | CVP Cascade CLO Ltd., Series2014-2A, Class A1R,3-month LIBOR + 1.200%, 3.801%, 7/18/2026, 144A(c) | 15,525,110 | ||||||
13,865,000 | Elevation CLO Ltd., Series2015-4A, Class AR,3-month LIBOR + 0.990%, 3.385%, 4/18/2027, 144A(c) | 13,865,008 | ||||||
18,037,524 | Halcyon Loan Advisors Funding Ltd., Series2014-2A, Class A1BR,3-month LIBOR + 1.180%, 3.762%, 4/28/2025, 144A(c) | 18,060,251 | ||||||
12,430,000 | Jamestown CLO VII Ltd., Series2015-7A, Class A1R,3-month LIBOR + 0.830%, 3.410%, 7/25/2027, 144A(c) | 12,376,274 | ||||||
13,685,000 | Mountain View CLO X Ltd., Series2015-10A, Class AR,3-month LIBOR + 0.820%, 3.417%, 10/13/2027, 144A(c) | 13,618,797 | ||||||
13,210,000 | Parallel Ltd., Series2015-1A, Class AR,3-month LIBOR + 0.850%, 3.442%, 7/20/2027, 144A(c) | 13,194,917 |
See accompanying notes to financial statements.
| 40
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Collateralized Loan Obligations — (continued) | ||||||||
$ | 14,374,794 | Staniford Street CLO Ltd., Series2014-1A, Class AR,3-month LIBOR + 1.180%, 3.590%, 6/15/2025, 144A(c) | $ | 14,384,395 | ||||
11,625,000 | Venture VII CDO Ltd., Series2006-7A, Class B,3-month LIBOR + 0.380%, 2.972%, 1/20/2022, 144A(c) | 11,567,341 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $112,767,440) | 112,592,093 | |||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks — 0.3% | ||||||||
Food & Beverage — 0.2% |
| |||||||
129,274 | Bunge Ltd., 4.875% | 12,917,993 | ||||||
|
| |||||||
Independent Energy — 0.1% |
| |||||||
43,031 | Chesapeake Energy Corp., 5.000% | 1,753,513 | ||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $16,998,736) | 14,671,506 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Short-Term Investments — 1.2% | ||||||||
2,690,358,211 | Central Bank of Iceland, 0.000%, 6/02/2020, (ISK)(d) | 21,589,361 | ||||||
45,550,715 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $45,556,409 on 7/01/2019 collateralized by $44,805,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $46,465,563 including accrued interest (Note 2 of Notes to Financial Statements) | 45,550,715 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $67,274,027) | 67,140,076 | |||||||
|
| |||||||
Total Investments — 97.7% (Identified Cost $5,163,376,484) | 5,483,800,700 | |||||||
Other assets less liabilities — 2.3% | 129,892,086 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 5,613,692,786 | ||||||
|
| |||||||
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
| ||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Illiquid security. |
| ||||||
(b) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2019, the value of these securities amounted to $109,507,373 or 2.0% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
(c) | Variable rate security. Rate as of June 30, 2019 is disclosed. |
| ||||||
(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 June 30, 2019 is disclosed. |
|
See accompanying notes to financial statements.
41 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund – (continued)
(e) | Fair valued by the Fund’s adviser. At June 30, 2019, the value of these securities amounted to $46,761,524 or 0.8% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
(f) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
| ||||||
(g) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| ||||||
(h) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. No payments were made during the period. |
| ||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019, the value of Rule 144A holdings amounted to $1,580,558,809 or 28.2% of net assets. |
| ||||||
ABS | Asset-Backed Securities |
| ||||||
ARS | Auction Rate Security |
| ||||||
FHLMC | Federal Home Loan Mortgage Corp. |
| ||||||
FNMA | Federal National Mortgage Association |
| ||||||
GMTN | Global Medium Term Note |
| ||||||
LIBOR | London Interbank Offered Rate |
| ||||||
MTN | Medium Term Note |
| ||||||
PIK | Payment-in-Kind |
| ||||||
REITs | Real Estate Investment Trusts |
| ||||||
SLM | Sallie Mae |
| ||||||
ISK | Icelandic Krona |
|
Industry Summary at June 30, 2019 (Unaudited)
ABS Car Loan | 8.2 | % | ||
Treasuries | 8.2 | |||
Banking | 7.9 | |||
Technology | 6.5 | |||
ABS Credit Card | 4.8 | |||
Midstream | 3.8 | |||
ABS Other | 3.4 | |||
Metals & Mining | 3.4 | |||
Healthcare | 3.3 | |||
ABS Home Equity | 3.2 | |||
Life Insurance | 2.8 | |||
Automotive | 2.4 | |||
Independent Energy | 2.3 | |||
Integrated Energy | 2.3 | |||
Other Investments, less than 2% each | 32.0 | |||
Short-Term Investments | 1.2 | |||
Collateralized Loan Obligations | 2.0 | |||
|
| |||
Total Investments | 97.7 | |||
Other assets less liabilities | 2.3 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 42
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes — 44.6% of Net Assets | ||||||||
Banking — 12.4% |
| |||||||
$ | 1,400,000 | Banco Bilbao Vizcaya Argentaria S.A., (fixed rate to 11/16/2027, variable rate thereafter), 6.125%(a) | $ | 1,317,750 | ||||
1,520,000 | Banco BTG Pactual SA, (fixed rate to 2/15/2024, variable rate thereafter), 7.750%, 2/15/2029, 144A | 1,588,020 | ||||||
685,000 | Barclays PLC, (fixed rate to 6/15/2024, variable rate thereafter), 8.000%(a) | 718,394 | ||||||
1,400,000 | Credit Agricole S.A., (fixed rate to 1/23/2024, variable rate thereafter), 7.875%, 144A(a) | 1,541,288 | ||||||
1,100,000 | Credit Suisse Group AG, (fixed rate to 9/12/2025, variable rate thereafter), 7.250%, 144A(a) | 1,182,500 | ||||||
1,560,000 | HSBC Holdings PLC, (fixed rate to 3/23/2023, variable rate thereafter), 6.250%(a) | 1,606,800 | ||||||
850,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A | 860,235 | ||||||
1,405,000 | Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2025, variable rate thereafter), 8.000%(a) | 1,517,498 | ||||||
1,800,000 | Standard Chartered PLC, (fixed rate to 4/02/2023, variable rate thereafter), 7.750%, 144A(a) | 1,912,500 | ||||||
565,000 | UniCredit SpA, 6.572%, 1/14/2022, 144A | 600,628 | ||||||
310,000 | UniCredit SpA., (fixed rate to 6/03/2023, variable rate thereafter), 6.625%, (EUR)(a) | 350,739 | ||||||
|
| |||||||
13,196,352 | ||||||||
|
| |||||||
Chemicals — 1.2% |
| |||||||
650,000 | Hercules LLC, 6.500%, 6/30/2029 | 689,000 | ||||||
505,000 | SASOL Financing USA LLC, 5.875%, 3/27/2024 | 547,241 | ||||||
|
| |||||||
1,236,241 | ||||||||
|
| |||||||
Consumer Cyclical Services — 0.5% |
| |||||||
495,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 527,234 | ||||||
|
| |||||||
Finance Companies — 0.5% |
| |||||||
565,000 | Quicken Loans, Inc., 5.250%, 1/15/2028, 144A | 562,175 | ||||||
|
| |||||||
Food & Beverage — 0.5% |
| |||||||
495,000 | JBS Investments II GmbH, 7.000%, 1/15/2026, 144A | 536,085 | ||||||
|
| |||||||
Government Owned – No Guarantee — 1.4% |
| |||||||
515,000 | DP World Crescent Ltd., 4.848%, 9/26/2028, 144A | 548,666 | ||||||
930,000 | Saudi Arabian Oil Co., 4.375%, 4/16/2049, 144A | 943,117 | ||||||
|
| |||||||
1,491,783 | ||||||||
|
| |||||||
Independent Energy — 2.5% |
| |||||||
1,170,000 | Chesapeake Energy Corp., 8.000%, 6/15/2027 | 1,031,062 | ||||||
540,000 | MEG Energy Corp., 6.375%, 1/30/2023, 144A | 514,350 | ||||||
1,165,000 | MEG Energy Corp., 7.000%, 3/31/2024, 144A | 1,106,750 | ||||||
|
| |||||||
2,652,162 | ||||||||
|
| |||||||
Media Entertainment — 0.5% |
| |||||||
515,000 | Prosus NV, 4.850%, 7/06/2027, 144A | 552,966 | ||||||
|
|
See accompanying notes to financial statements.
43 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Metals & Mining — 2.4% |
| |||||||
$ | 1,035,000 | Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., 7.500%, 5/01/2025, 144A | $ | 1,086,750 | ||||
625,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 595,313 | ||||||
820,000 | Gold Fields Orogen Holdings BVI Ltd., 6.125%, 5/15/2029, 144A | 899,950 | ||||||
|
| |||||||
2,582,013 | ||||||||
|
| |||||||
Midstream — 0.6% |
| |||||||
730,000 | Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter), 9.500%(a) | 659,175 | ||||||
|
| |||||||
Oil Field Services — 0.6% |
| |||||||
600,000 | Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A | 634,125 | ||||||
|
| |||||||
Property & Casualty Insurance — 1.3% |
| |||||||
510,000 | Ardonagh Midco 3 PLC, 8.375%, 7/15/2023, 144A, (GBP) | 593,632 | ||||||
770,000 | Assurant, Inc., (fixed rate to 3/27/2028, variable rate thereafter), 7.000%, 3/27/2048 | 821,013 | ||||||
|
| |||||||
1,414,645 | ||||||||
|
| |||||||
Refining — 1.0% |
| |||||||
520,000 | Parkland Fuel Corp., 6.000%, 4/01/2026, 144A | 531,700 | ||||||
540,000 | Ultrapar International S.A, 5.250%, 6/06/2029, 144A | 552,150 | ||||||
|
| |||||||
1,083,850 | ||||||||
|
| |||||||
Sovereigns — 3.3% |
| |||||||
31,600,000 | Argentina Politica Monetaria, Argentina Central Bank7-day Repo Reference Rate, 61.779%, 6/21/2020, (ARS)(b) | 728,112 | ||||||
295,000 | Egypt Government International Bond, 7.600%, 3/01/2029, 144A | 311,033 | ||||||
320,000 | Egypt Government International Bond, 8.700%, 3/01/2049, 144A | 344,000 | ||||||
355,000 | Qatar Government International Bond, 4.000%, 3/14/2029, 144A | 382,513 | ||||||
1,065,000 | Qatar Government International Bond, 4.817%, 3/14/2049, 144A | 1,220,533 | ||||||
460,000 | Republic of Colombia, 4.500%, 3/15/2029 | 502,320 | ||||||
|
| |||||||
3,488,511 | ||||||||
|
| |||||||
Technology — 1.3% |
| |||||||
875,000 | Dell International LLC/EMC Corp., 8.100%, 7/15/2036, 144A | 1,078,738 | ||||||
290,000 | Dell International LLC/EMC Corp., 8.350%, 7/15/2046, 144A | 366,124 | ||||||
|
| |||||||
1,444,862 | ||||||||
|
| |||||||
Transportation Services — 0.2% |
| |||||||
205,000 | Delhi International Airport Ltd., 6.450%, 6/04/2029, 144A | 215,886 | ||||||
|
| |||||||
Treasuries — 12.4% |
| |||||||
2,635(††) | Brazil Notas do Tesouro Nacional, 10.000%, 1/01/2029, (BRL) | 767,557 | ||||||
1,578,000,000 | Colombian TES, 7.750%, 9/18/2030, (COP) | 553,227 | ||||||
210,100(†††) | Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN) | 1,085,487 | ||||||
10,520,000 | Republic of South Africa Government Bond, 6.250%, 3/31/2036, (ZAR) | 549,797 | ||||||
88,595,000 | Russian Federal Bond - OFZ, Series 6224, 6.900%, 5/23/2029, (RUB) | 1,363,917 | ||||||
6,915,000 | U.S. Treasury Bond, 5.250%, 2/15/2029 | 8,881,183 | ||||||
|
| |||||||
13,201,168 | ||||||||
|
|
See accompanying notes to financial statements.
| 44
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Utility Other — 0.4% |
| |||||||
$ | 460,000 | Acwa Power Management And Investments One Ltd., 5.950%, 12/15/2039, 144A | $ | 476,100 | ||||
|
| |||||||
Wireless — 1.6% |
| |||||||
540,000 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 546,750 | ||||||
505,000 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | 541,613 | ||||||
565,000 | Sprint Corp., 7.625%, 3/01/2026 | 602,290 | ||||||
|
| |||||||
1,690,653 | ||||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $46,541,249) | 47,645,986 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks — 38.9% | ||||||||
Aerospace & Defense — 0.8% |
| |||||||
820 | Boeing Co. (The) | 298,488 | ||||||
3,298 | General Dynamics Corp. | 599,643 | ||||||
|
| |||||||
898,131 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% |
| |||||||
629 | United Parcel Service, Inc., Class B | 64,957 | ||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
3,100 | Japan Airlines Co. Ltd. | 98,939 | ||||||
5,753 | Southwest Airlines Co. | 292,137 | ||||||
|
| |||||||
391,076 | ||||||||
|
| |||||||
Banks — 0.7% |
| |||||||
14,500 | BOC Hong Kong Holdings Ltd. | 57,089 | ||||||
1,300 | Canadian Imperial Bank of Commerce | 102,229 | ||||||
4,446 | Citigroup, Inc. | 311,353 | ||||||
11,213 | First Hawaiian, Inc. | 290,080 | ||||||
|
| |||||||
760,751 | ||||||||
|
| |||||||
Beverages — 1.5% |
| |||||||
2,300 | Asahi Group Holdings Ltd. | 103,543 | ||||||
767 | Carlsberg AS, Class B | 101,778 | ||||||
11,238 | Coca-Cola Co. (The) | 572,239 | ||||||
4,967 | Molson Coors Brewing Co., Class B | 278,152 | ||||||
4,229 | PepsiCo, Inc. | 554,549 | ||||||
|
| |||||||
1,610,261 | ||||||||
|
| |||||||
Biotechnology — 1.1% |
| |||||||
5,039 | AbbVie, Inc. | 366,436 | ||||||
2,204 | Amgen, Inc. | 406,153 | ||||||
6,022 | Gilead Sciences, Inc. | 406,847 | ||||||
|
| |||||||
1,179,436 | ||||||||
|
| |||||||
Capital Markets — 0.8% |
| |||||||
283 | Ameriprise Financial, Inc. | 41,080 | ||||||
2,480 | LPL Financial Holdings, Inc. | 202,294 |
See accompanying notes to financial statements.
45 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Shares | Description | Value (†) | ||||||
Capital Markets — continued |
| |||||||
12,589 | Morgan Stanley | $ | 551,524 | |||||
7,400 | Singapore Exchange Ltd. | 43,353 | ||||||
2,750 | Virtu Financial, Inc., Class A | 59,895 | ||||||
|
| |||||||
898,146 | ||||||||
|
| |||||||
Chemicals — 0.3% |
| |||||||
3,523 | LyondellBasell Industries NV, Class A | 303,436 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.2% |
| |||||||
1,197 | Republic Services, Inc. | 103,708 | ||||||
911 | Waste Management, Inc. | 105,102 | ||||||
|
| |||||||
208,810 | ||||||||
|
| |||||||
Communications Equipment — 0.5% |
| |||||||
9,606 | Cisco Systems, Inc. | 525,736 | ||||||
|
| |||||||
Construction & Engineering — 0.2% |
| |||||||
2,530 | ACS Actividades de Construccion y Servicios S.A. | 101,223 | ||||||
2,530 | ACS Actividades de Construccion y Servicios S.A., Rights(c) | 3,970 | ||||||
700 | HOCHTIEF AG | 85,245 | ||||||
1,700 | Kajima Corp. | 23,383 | ||||||
|
| |||||||
213,821 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
1,422 | Sonoco Products Co. | 92,913 | ||||||
|
| |||||||
Diversified Consumer Services — 0.4% |
| |||||||
14,335 | H&R Block, Inc. | 420,016 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
27,000 | HKT Trust & HKT Ltd. | 42,859 | ||||||
12,918 | Verizon Communications, Inc. | 738,005 | ||||||
|
| |||||||
780,864 | ||||||||
|
| |||||||
Electric Utilities — 1.7% |
| |||||||
2,500 | CLP Holdings Ltd. | 27,549 | ||||||
20,813 | Contact Energy Ltd. | 111,979 | ||||||
1,449 | Endesa S.A. | 37,269 | ||||||
15,720 | Enel SpA | 109,659 | ||||||
16,725 | Exelon Corp. | 801,797 | ||||||
4,407 | FirstEnergy Corp. | 188,664 | ||||||
15,390 | Mercury NZ Ltd. | 48,115 | ||||||
658 | Pinnacle West Capital Corp. | 61,911 | ||||||
12,413 | PPL Corp. | 384,927 | ||||||
|
| |||||||
1,771,870 | ||||||||
|
| |||||||
Electrical Equipment — 0.3% |
| |||||||
3,752 | Eaton Corp. PLC | 312,467 | ||||||
|
| |||||||
Entertainment — 0.5% |
| |||||||
2,765 | Cinemark Holdings, Inc. | 99,817 | ||||||
13,420 | Viacom, Inc., Class B | 400,855 | ||||||
|
| |||||||
500,672 | ||||||||
|
|
See accompanying notes to financial statements.
| 46
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Shares | Description | Value (†) | ||||||
Food & Staples Retailing — 0.4% |
| |||||||
1,467 | Sysco Corp. | $ | 103,746 | |||||
5,136 | Walgreens Boots Alliance, Inc. | 280,785 | ||||||
|
| |||||||
384,531 | ||||||||
|
| |||||||
Food Products — 0.7% |
| |||||||
10,528 | General Mills, Inc. | 552,931 | ||||||
753 | Hershey Co. (The) | 100,925 | ||||||
10,714 | Tate & Lyle PLC | 100,438 | ||||||
|
| |||||||
754,294 | ||||||||
|
| |||||||
Gas Utilities — 0.3% |
| |||||||
5,414 | National Fuel Gas Co. | 285,589 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
3,580 | Abbott Laboratories | 301,078 | ||||||
9,864 | Medtronic PLC | 960,655 | ||||||
|
| |||||||
1,261,733 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.4% |
| |||||||
4,759 | AmerisourceBergen Corp. | 405,753 | ||||||
2,233 | McKesson Corp. | 300,093 | ||||||
3,331 | UnitedHealth Group, Inc. | 812,797 | ||||||
|
| |||||||
1,518,643 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
3,227 | Darden Restaurants, Inc. | 392,823 | ||||||
5,263 | Las Vegas Sands Corp. | 310,990 | ||||||
4,770 | Starbucks Corp. | 399,869 | ||||||
|
| |||||||
1,103,682 | ||||||||
|
| |||||||
Household Durables — 0.2% |
| |||||||
5,260 | PulteGroup, Inc. | 166,321 | ||||||
|
| |||||||
Household Products — 0.6% |
| |||||||
6,090 | Procter & Gamble Co. (The) | 667,768 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 1.2% |
| |||||||
67,525 | AES Corp. (The) | 1,131,719 | ||||||
5,500 | Northland Power, Inc. | 107,098 | ||||||
|
| |||||||
1,238,817 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
854 | Honeywell International, Inc. | 149,100 | ||||||
|
| |||||||
Insurance — 1.2% |
| |||||||
451 | Aflac, Inc. | 24,719 | ||||||
9,735 | Fidelity National Financial, Inc. | 392,321 | ||||||
5,919 | MetLife, Inc. | 293,997 | ||||||
5,233 | Principal Financial Group, Inc. | 303,095 | ||||||
2,971 | Prudential Financial, Inc. | 300,071 | ||||||
|
| |||||||
1,314,203 | ||||||||
|
|
See accompanying notes to financial statements.
47 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Shares | Description | Value (†) | ||||||
IT Services — 3.1% |
| |||||||
2,104 | Accenture PLC, Class A | $ | 388,756 | |||||
2,346 | Automatic Data Processing, Inc. | 387,864 | ||||||
5,932 | Booz Allen Hamilton Holding Corp. | 392,758 | ||||||
2,360 | Fidelity National Information Services, Inc. | 289,525 | ||||||
3,933 | International Business Machines Corp. | 542,361 | ||||||
4,960 | Leidos Holdings, Inc. | 396,056 | ||||||
1,108 | MasterCard, Inc., Class A | 293,099 | ||||||
4,506 | Paychex, Inc. | 370,799 | ||||||
1,721 | Visa, Inc., Class A | 298,679 | ||||||
|
| |||||||
3,359,897 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
2,600 | Sankyo Co. Ltd. | 94,271 | ||||||
|
| |||||||
Machinery — 1.5% |
| |||||||
6,647 | Allison Transmission Holdings, Inc. | 308,088 | ||||||
2,435 | Cummins, Inc. | 417,213 | ||||||
1,943 | Illinois Tool Works, Inc. | 293,024 | ||||||
5,637 | PACCAR, Inc. | 403,947 | ||||||
1,106 | Snap-on, Inc. | 183,198 | ||||||
|
| |||||||
1,605,470 | ||||||||
|
| |||||||
Media — 2.4% |
| |||||||
200 | Cogeco Communications, Inc. | 14,384 | ||||||
37,579 | Comcast Corp., Class A | 1,588,840 | ||||||
24,527 | Interpublic Group of Cos., Inc. (The) | 554,065 | ||||||
5,011 | Omnicom Group, Inc. | 410,651 | ||||||
|
| |||||||
2,567,940 | ||||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
3,427 | BHP Group PLC | 87,643 | ||||||
1,957 | Evraz PLC | 16,571 | ||||||
1,752 | Rio Tinto PLC | 108,437 | ||||||
|
| |||||||
212,651 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
6,808 | AGL Energy Ltd. | 95,744 | ||||||
2,000 | Algonquin Power & Utilities Corp. | 24,237 | ||||||
1,187 | Dominion Energy, Inc. | 91,779 | ||||||
|
| |||||||
211,760 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.1% |
| |||||||
2,110 | Chevron Corp. | 262,568 | ||||||
4,257 | ConocoPhillips | 259,677 | ||||||
6,950 | CVR Energy, Inc. | 347,431 | ||||||
5,850 | Occidental Petroleum Corp. | 294,138 | ||||||
|
| |||||||
1,163,814 | ||||||||
|
| |||||||
Paper & Forest Products — 0.1% |
| |||||||
1,359 | Domtar Corp. | 60,516 | ||||||
|
|
See accompanying notes to financial statements.
| 48
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Shares | Description | Value (†) | ||||||
Personal Products — 0.2% |
| |||||||
1,696 | Unilever NV | $ | 103,046 | |||||
1,663 | Unilever PLC | 103,231 | ||||||
|
| |||||||
206,277 | ||||||||
|
| |||||||
Pharmaceuticals — 3.4% |
| |||||||
1,175 | Allergan PLC | 196,730 | ||||||
8,318 | Bristol-Myers Squibb Co. | 377,221 | ||||||
2,859 | Johnson & Johnson | 398,202 | ||||||
15,030 | Merck & Co., Inc. | 1,260,266 | ||||||
28,712 | Pfizer, Inc. | 1,243,804 | ||||||
380 | Roche Holding AG | 106,851 | ||||||
|
| |||||||
3,583,074 | ||||||||
|
| |||||||
Professional Services — 0.3% |
| |||||||
12,561 | Nielsen Holdings PLC | 283,878 | ||||||
1,073 | Robert Half International, Inc. | 61,172 | ||||||
|
| |||||||
345,050 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.2% |
| |||||||
4,298 | Aroundtown S.A. | 35,459 | ||||||
420 | Castellum AB | 8,037 | ||||||
3,500 | CK Asset Holdings Ltd. | 27,419 | ||||||
1,200 | Daiwa House Industry Co. Ltd. | 35,065 | ||||||
2,351 | Fabege AB | 35,399 | ||||||
95 | Grand City Properties S.A. | 2,173 | ||||||
3,439 | Hongkong Land Holdings Ltd. | 22,167 | ||||||
283 | Hufvudstaden AB | 4,816 | ||||||
5,000 | Kerry Properties Ltd. | 21,003 | ||||||
760 | TLG Immobilien AG | 22,253 | ||||||
179 | Wihlborgs Fastigheter AB | 2,597 | ||||||
|
| |||||||
216,388 | ||||||||
|
| |||||||
REITs – Apartments — 0.1% |
| |||||||
59 | Camden Property Trust | 6,159 | ||||||
68 | Invincible Investment Corp. | 35,223 | ||||||
486 | NexPoint Residential Trust, Inc. | 20,120 | ||||||
|
| |||||||
61,502 | ||||||||
|
| |||||||
REITs – Diversified — 0.2% |
| |||||||
49 | Equinix, Inc. | 24,710 | ||||||
4 | Fukuoka REIT Corp. | 6,452 | ||||||
2,300 | Mapletree Logistics Trust | 2,705 | ||||||
12 | Mirai Corp. | 5,811 | ||||||
2,313 | Preferred Apartment Communities, Inc., Class A | 34,579 | ||||||
223 | PS Business Parks, Inc. | 37,582 | ||||||
1,804 | UMH Properties, Inc. | 22,388 | ||||||
181 | Warehouses De Pauw CVA | 30,461 | ||||||
|
| |||||||
164,688 | ||||||||
|
|
See accompanying notes to financial statements.
49 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Shares | Description | Value (†) | ||||||
REITs – Health Care — 0.0% |
| |||||||
1,492 | CareTrust REIT, Inc. | $ | 35,480 | |||||
370 | Omega Healthcare Investors, Inc. | 13,597 | ||||||
|
| |||||||
49,077 | ||||||||
|
| |||||||
REITs – Hotels — 0.0% |
| |||||||
892 | Hersha Hospitality Trust | 14,754 | ||||||
3 | Japan Hotel REIT Investment Corp. | 2,417 | ||||||
251 | Ryman Hospitality Properties, Inc. | 20,353 | ||||||
|
| |||||||
37,524 | ||||||||
|
| |||||||
REITs – Manufactured Homes — 0.0% |
| |||||||
300 | Equity LifeStyle Properties, Inc. | 36,402 | ||||||
|
| |||||||
REITs – Office Property — 0.1% |
| |||||||
2,212 | alstria officeREIT-AG | 35,806 | ||||||
41,000 | Champion REIT | 34,163 | ||||||
8,821 | Green REIT PLC | 18,156 | ||||||
14 | One REIT, Inc. | 37,366 | ||||||
2,281 | VEREIT, Inc. | 20,552 | ||||||
|
| |||||||
146,043 | ||||||||
|
| |||||||
REITs – Regional Malls — 0.0% |
| |||||||
550 | Washington Prime Group, Inc. | 2,101 | ||||||
|
| |||||||
REITs – Shopping Centers — 0.1% |
| |||||||
23 | AEON REIT Investment Corp. | 29,450 | ||||||
7 | Frontier Real Estate Investment Corp. | 29,872 | ||||||
1,500 | Link REIT | 18,458 | ||||||
1,078 | Retail Value, Inc. | 37,515 | ||||||
|
| |||||||
115,295 | ||||||||
|
| |||||||
REITs – Single Tenant — 0.1% |
| |||||||
678 | National Retail Properties, Inc. | 35,941 | ||||||
317 | Realty Income Corp. | 21,863 | ||||||
1,058 | STORE Capital Corp. | 35,115 | ||||||
|
| |||||||
92,919 | ||||||||
|
| |||||||
REITs – Storage — 0.1% |
| |||||||
326 | Extra Space Storage, Inc. | 34,589 | ||||||
1,148 | Iron Mountain, Inc. | 35,932 | ||||||
27 | Life Storage, Inc. | 2,567 | ||||||
1,223 | National Storage Affiliates Trust | 35,394 | ||||||
150 | Public Storage | 35,725 | ||||||
1,285 | Safestore Holdings PLC | 10,012 | ||||||
|
| |||||||
154,219 | ||||||||
|
| |||||||
REITs – Warehouse/Industrials — 0.1% |
| |||||||
236 | EastGroup Properties, Inc. | 27,371 | ||||||
800 | Granite Real Estate Investment Trust | 36,831 | ||||||
292 | Industrial Logistics Properties Trust | 6,079 | ||||||
950 | Rexford Industrial Realty, Inc. | 38,352 |
See accompanying notes to financial statements.
| 50
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Shares | Description | Value (†) | ||||||
REITs – Warehouse/Industrials — continued |
| |||||||
454 | Terreno Realty Corp. | $ | 22,264 | |||||
|
| |||||||
130,897 | ||||||||
|
| |||||||
Road & Rail — 0.0% |
| |||||||
9,500 | ComfortDelGro Corp. Ltd. | 18,683 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment �� 1.4% |
| |||||||
12,678 | Applied Materials, Inc. | 569,369 | ||||||
1,201 | Broadcom, Inc. | 345,720 | ||||||
3,545 | QUALCOMM, Inc. | 269,668 | ||||||
2,646 | Texas Instruments, Inc. | 303,655 | ||||||
|
| |||||||
1,488,412 | ||||||||
|
| |||||||
Software — 2.1% |
| |||||||
4,627 | j2 Global, Inc. | 411,294 | ||||||
10,302 | Microsoft Corp. | 1,380,056 | ||||||
6,925 | Oracle Corp. | 394,517 | ||||||
|
| |||||||
2,185,867 | ||||||||
|
| |||||||
Specialty Retail — 0.5% |
| |||||||
2,724 | Home Depot, Inc. (The) | 566,510 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.7% |
| |||||||
6,163 | Apple, Inc. | 1,219,781 | ||||||
20,664 | Hewlett Packard Enterprise Co. | 308,927 | ||||||
14,593 | HP, Inc. | 303,388 | ||||||
|
| |||||||
1,832,096 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
3,300 | Genworth MI Canada, Inc. | 104,427 | ||||||
|
| |||||||
Tobacco — 0.5% |
| |||||||
7,793 | Altria Group, Inc. | 368,998 | ||||||
1,126 | British American Tobacco PLC | 39,315 | ||||||
3,340 | Imperial Brands PLC | 78,374 | ||||||
|
| |||||||
486,687 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% |
| |||||||
3,200 | ITOCHU Corp. | 61,302 | ||||||
2,800 | Mitsubishi Corp. | 73,991 | ||||||
31,300 | Sojitz Corp. | 100,729 | ||||||
7,000 | Sumitomo Corp. | 106,317 | ||||||
|
| |||||||
342,339 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
3,100 | KDDI Corp. | 78,885 | ||||||
2,000 | NTT DOCOMO, Inc. | 46,664 | ||||||
|
| |||||||
125,549 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $40,319,319) | 41,546,389 | |||||||
|
| |||||||
See accompanying notes to financial statements.
51 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Senior Loans — 3.6% | ||||||||
Airlines — 2.0% |
| |||||||
$ | 2,063,636 | Gol LuxCo S.A., 1st Lien Term Loan, 6.500%, 8/31/2020 | $ | 2,084,272 | ||||
|
| |||||||
Chemicals — 0.5% |
| |||||||
330,688 | ASP Chromaflo Dutch I BV, Term Loan B2,1-month LIBOR + 3.500%, 5.902%, 11/20/2023(d) | 321,181 | ||||||
254,313 | ASP Chromaflo Intermediate Holdings, Inc., Term Loan B1,1-month LIBOR + 3.500%, 5.902%, 11/18/2023(d) | 247,001 | ||||||
|
| |||||||
568,182 | ||||||||
|
| |||||||
Independent Energy — 0.5% |
| |||||||
1,100,000 | Gavilan Resources LLC, 2nd Lien Term Loan,1-month LIBOR + 6.000%, 8.402%, 3/01/2024(d) | 561,000 | ||||||
26,468 | MEG Energy Corp., 2017 Term Loan B,1-month LIBOR + 3.500%, 5.910%, 12/31/2023(d) | 26,413 | ||||||
|
| |||||||
587,413 | ||||||||
|
| |||||||
Media Entertainment — 0.6% |
| |||||||
615,106 | LSC Communications, Inc., 2017 Term Loan B,1-week LIBOR + 5.500%, 7.869%, 9/30/2022(d) | 601,266 | ||||||
|
| |||||||
Total Senior Loans (Identified Cost $4,359,985) | 3,841,133 | |||||||
|
| |||||||
Shares | ||||||||
Exchange-Traded Funds — 10.1% | ||||||||
493,831 | Alerian MLP ETF | 4,864,235 | ||||||
19,808 | iShares MSCI Japan ETF | 1,081,121 | ||||||
81,298 | iShares MSCI Pacific ex Japan ETF | 3,839,704 | ||||||
7,380 | ProShares S&P 500® Dividend Aristocrats ETF | 511,951 | ||||||
1,752 | SPDR® S&P 500® ETF Trust | 513,336 | ||||||
|
| |||||||
Total Exchange-Traded Funds (Identified Cost $10,733,577) | 10,810,347 | |||||||
|
| |||||||
Preferred Stocks — 0.7% | ||||||||
Non-Convertible Preferred Stocks — 0.3% | ||||||||
Midstream — 0.3% |
| |||||||
14,215 | Energy Transfer Operating LP, Series C, (fixed rate to 5/15/2023, variable rate thereafter), 7.375% (Identified Cost $355,375) | 336,611 | ||||||
|
| |||||||
Convertible Preferred Stock — 0.4% | ||||||||
Midstream — 0.4% |
| |||||||
932 | Chesapeake Energy Corp., 5.750% (Identified Cost $631,844) | 445,745 | ||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $987,219) | 782,356 | |||||||
|
|
See accompanying notes to financial statements.
| 52
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Short-Term Investments — 1.2% | ||||||||
$ | 1,225,999 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $1,226,152 on 7/01/2019 collateralized by $1,205,000 U.S. Treasury Inflation Indexed Note, 0.625% due 4/15/2023 valued at $1,255,314 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,225,999) | $ | 1,225,999 | ||||
|
| |||||||
Total Investments — 99.1% (Identified Cost $104,167,348) | 105,852,210 | |||||||
Other assets less liabilities — 0.9% | 957,964 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 106,810,174 | ||||||
|
| |||||||
(‡) | 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) | Perpetual bond with no specified maturity date. |
| ||||||
(b) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2019 is disclosed. |
| ||||||
(c) | Non-income producing security. |
| ||||||
(d) | Variable rate security. Rate as of June 30, 2019 is disclosed. |
|
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019, the value of Rule 144A holdings amounted to $23,353,424 or 21.9% of net assets. |
| ||||||
ETF | Exchange-Traded Fund |
| ||||||
LIBOR | London Interbank Offered Rate |
| ||||||
REITs | Real Estate Investment Trusts |
| ||||||
ARS | Argentine Peso |
| ||||||
BRL | Brazilian Real |
| ||||||
COP | Colombian Peso |
| ||||||
EUR | Euro |
| ||||||
GBP | British Pound |
| ||||||
MXN | Mexican Peso |
| ||||||
RUB | Russian Ruble |
| ||||||
ZAR | South African Rand |
|
See accompanying notes to financial statements.
53 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Multi-Asset Income Fund – (continued)
Industry Summary at June 30, 2019 (Unaudited)
Treasuries | 12.4 | % | ||
Banking | 12.4 | |||
Pharmaceuticals | 3.4 | |||
Sovereigns | 3.3 | |||
IT Services | 3.1 | |||
Independent Energy | 3.0 | |||
Metals & Mining | 2.6 | |||
Media | 2.4 | |||
Airlines | 2.4 | |||
Software | 2.1 | |||
Chemicals | 2.0 | |||
Other Investments, less than 2% each | 38.7 | |||
Exchange-Traded Funds | 10.1 | |||
Short-Term Investments | 1.2 | |||
|
| |||
Total Investments | 99.1 | |||
Other assets less liabilities | 0.9 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 54
Table of Contents
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
High Income Fund | Investment Grade Bond Fund | Loomis Sayles Multi-Asset Income Fund | ||||||||||
ASSETS | ||||||||||||
Investments at cost | $ | 152,803,917 | $ | 5,163,376,484 | $ | 104,167,348 | ||||||
Net unrealized appreciation (depreciation) | (418,270 | ) | 320,424,216 | 1,684,862 | ||||||||
|
|
|
|
|
| |||||||
Investments at value | 152,385,647 | 5,483,800,700 | 105,852,210 | |||||||||
Cash | — | 186 | 15,521 | |||||||||
Foreign currency at value (identified cost $0, $34,174 and $5,586, respectively) | — | 33,872 | 5,590 | |||||||||
Receivable for Fund shares sold | 293,475 | 14,474,189 | 14,064 | |||||||||
Receivable for securities sold | 1,004,027 | 82,832,000 | 200,108 | |||||||||
Dividends and interest receivable | 2,085,910 | 46,263,876 | 958,804 | |||||||||
Tax reclaims receivable | — | 4,151 | 29,428 | |||||||||
Prepaid expenses (Note 8) | 17 | 629 | 13 | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 155,769,076 | 5,627,409,603 | 107,075,738 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Payable for securities purchased | 4,978,669 | 3,124,468 | — | |||||||||
Payable for Fund shares redeemed | 14,753 | 7,340,735 | 92,260 | |||||||||
Management fees payable (Note 6) | 72,944 | 1,767,828 | 40,145 | |||||||||
Deferred Trustees’ fees (Note 6) | 162,893 | 819,748 | 85,406 | |||||||||
Administrative fees payable (Note 6) | 4,928 | 198,691 | 3,667 | |||||||||
Payable to distributor (Note 6d) | 1,698 | 44,634 | 832 | |||||||||
Other accounts payable and accrued expenses | 126,792 | 420,713 | 43,254 | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 5,362,677 | 13,716,817 | 265,564 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 150,406,399 | $ | 5,613,692,786 | $ | 106,810,174 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 155,986,698 | $ | 5,303,510,568 | $ | 111,620,825 | ||||||
Accumulated earnings (loss) | (5,580,299 | ) | 310,182,218 | (4,810,651 | ) | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 150,406,399 | $ | 5,613,692,786 | $ | 106,810,174 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
55 |
Table of Contents
Statements of Assets and Liabilities (continued)
June 30, 2019 (Unaudited)
High Income Fund | Investment Grade Bond Fund | Loomis Sayles Multi-Asset Income Fund | ||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||
Class A shares: | ||||||||||||
Net assets | $ | 22,749,555 | $ | 757,669,684 | $ | 33,368,936 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 5,345,601 | 67,280,689 | 2,650,308 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 4.26 | $ | 11.26 | $ | 12.59 | ||||||
|
|
|
|
|
| |||||||
Offering price per share (100/95.75 of net asset value) (Note 1) | $ | 4.45 | $ | 11.76 | $ | 13.15 | ||||||
|
|
|
|
|
| |||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | 4,866,890 | $ | 276,225,503 | $ | 21,230,562 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 1,139,892 | 24,811,348 | 1,693,971 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 4.27 | $ | 11.13 | $ | 12.53 | ||||||
|
|
|
|
|
| |||||||
Class N shares: | ||||||||||||
Net assets | $ | 11,863,104 | $ | 1,324,372,833 | $ | 43,859 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 2,785,934 | 117,589,311 | 3,507 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 4.26 | $ | 11.26 | $ | 12.51 | ||||||
|
|
|
|
|
| |||||||
Class Y shares: | ||||||||||||
Net assets | $ | 110,926,850 | $ | 3,136,513,151 | $ | 52,166,817 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 26,096,894 | 278,327,214 | 4,169,623 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 4.25 | $ | 11.27 | $ | 12.51 | ||||||
|
|
|
|
|
| |||||||
Admin Class shares: | ||||||||||||
Net assets | $ | — | $ | 118,911,615 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | — | 10,587,083 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | — | $ | 11.23 | $ | — | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
| 56
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2019 (Unaudited)
High Income Fund | Investment Grade Bond Fund | Loomis Sayles Multi-Asset Income Fund | ||||||||||
INVESTMENT INCOME | ||||||||||||
Interest | $ | 4,358,844 | $ | 107,333,354 | $ | 1,870,742 | ||||||
Dividends | 85,765 | 420,131 | 850,888 | |||||||||
Less net foreign taxes withheld | (811 | ) | — | (11,140 | ) | |||||||
|
|
|
|
|
| |||||||
4,443,798 | 107,753,485 | 2,710,490 | ||||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Management fees (Note 6) | 433,733 | 10,898,680 | 312,166 | |||||||||
Service and distribution fees (Note 6) | 54,539 | 2,770,642 | 172,500 | |||||||||
Administrative fees (Note 6) | 31,932 | 1,210,341 | 25,218 | |||||||||
Trustees’ fees and expenses (Note 6) | 14,491 | 110,567 | 11,703 | |||||||||
Transfer agent fees and expenses (Notes 6 and 7) | 81,422 | 1,847,483 | 40,540 | |||||||||
Audit and tax services fees | 27,224 | 32,276 | 24,305 | |||||||||
Custodian fees and expenses | 5,457 | 58,197 | 17,901 | |||||||||
Legal fees (Note 8) | 2,674 | 111,501 | 1,991 | |||||||||
Registration fees | 47,026 | 122,792 | 25,405 | |||||||||
Shareholder reporting expenses | 24,298 | 307,964 | 3,348 | |||||||||
Miscellaneous expenses (Note 8) | 17,475 | 140,814 | 17,360 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 740,271 | 17,611,257 | 652,437 | |||||||||
Less waiver and/or expense reimbursement (Note 6) | (109,513 | ) | (690,323 | ) | (81,310 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 630,758 | 16,920,934 | 571,127 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 3,813,040 | 90,832,551 | 2,139,363 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 208,631 | 21,220,172 | (2,521,946 | ) | ||||||||
Forward foreign currency contracts (Note 2d) | (44,094 | ) | (670,701 | ) | — | |||||||
Foreign currency transactions (Note 2c) | — | 2,368,069 | (74,152 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 9,110,029 | 220,800,259 | 10,941,656 | |||||||||
Forward foreign currency contracts (Note 2d) | 44,094 | 670,701 | — | |||||||||
Foreign currency translations (Note 2c) | 17 | (2,229,055 | ) | 293 | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain on investments, forward foreign currency contracts and foreign currency transactions | 9,318,677 | 242,159,445 | 8,345,851 | |||||||||
|
|
|
|
|
| |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 13,131,717 | $ | 332,991,996 | $ | 10,485,214 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
57 |
Table of Contents
Statements of Changes in Net Assets
High Income Fund | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018(a) | Year Ended September 30, 2018 | ||||||||||
FROM OPERATIONS: | ||||||||||||
Net investment income | $ | 3,813,040 | $ | 2,214,373 | $ | 8,475,372 | ||||||
Net realized gain (loss) on investments and forward foreign currency contracts | 164,537 | (6,387,716 | ) | 1,205,344 | ||||||||
Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations | 9,154,140 | (3,483,546 | ) | (7,029,759 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 13,131,717 | (7,656,889 | ) | 2,650,957 | ||||||||
|
|
|
|
|
| |||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Class A | (585,293 | ) | (410,882 | ) | (1,227,019 | ) | ||||||
Class C | (111,673 | ) | (81,814 | ) | (311,547 | ) | ||||||
Class N | (307,059 | ) | (178,711 | ) | (259,688 | ) | ||||||
Class Y | (2,841,136 | ) | (2,141,392 | ) | (5,752,686 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (3,845,161 | ) | (2,812,799 | ) | (7,550,940 | ) | ||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | 4,641,609 | (23,511,576 | ) | (3,848,432 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets | 13,928,165 | (33,981,264 | ) | (8,748,415 | ) | |||||||
NET ASSETS | ||||||||||||
Beginning of the period | 136,478,234 | 170,459,498 | 179,207,913 | |||||||||
|
|
|
|
|
| |||||||
End of the period | $ | 150,406,399 | $ | 136,478,234 | $ | 170,459,498 | ||||||
|
|
|
|
|
|
(a) | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
See accompanying notes to financial statements.
| 58
Table of Contents
Statements of Changes in Net Assets (continued)
Investment Grade Bond Fund | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018(a) | Year Ended September 30, 2018 | ||||||||||
FROM OPERATIONS: | ||||||||||||
Net investment income | $ | 90,832,551 | $ | 44,450,885 | $ | 171,956,415 | ||||||
Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions | 22,917,540 | (228,459,921 | ) | (68,790,141 | ) | |||||||
Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations | 219,241,905 | 150,673,092 | (88,370,511 | ) | ||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 332,991,996 | (33,335,944 | ) | 14,795,763 | ||||||||
|
|
|
|
|
| |||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Class A | (11,541,480 | ) | (9,439,602 | ) | (26,935,957 | ) | ||||||
Class C | (3,695,277 | ) | (4,075,458 | ) | (15,654,049 | ) | ||||||
Class N | (21,645,695 | ) | (16,768,000 | ) | (41,987,053 | ) | ||||||
Class Y | (51,387,476 | ) | (39,150,105 | ) | (111,284,265 | ) | ||||||
Admin Class | (1,661,967 | ) | (1,369,684 | ) | (778,851 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (89,931,895 | ) | (70,802,849 | ) | (196,640,175 | ) | ||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | 42,363,946 | (126,167,759 | ) | (534,159,760 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets | 285,424,047 | (230,306,552 | ) | (716,004,172 | ) | |||||||
NET ASSETS | ||||||||||||
Beginning of the period | 5,328,268,739 | 5,558,575,291 | 6,274,579,463 | |||||||||
|
|
|
|
|
| |||||||
End of the period | $ | 5,613,692,786 | $ | 5,328,268,739 | $ | 5,558,575,291 | ||||||
|
|
|
|
|
|
(a) | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
See accompanying notes to financial statements.
59 |
Table of Contents
Statements of Changes in Net Assets (continued)
Loomis Sayles Multi-Asset Income Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income | $ | 2,139,363 | $ | 5,207,147 | ||||
Net realized loss on investments and foreign currency transactions | (2,596,098 | ) | (1,541,137 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 10,941,949 | (16,770,929 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 10,485,214 | (13,104,919 | ) | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (1,026,088 | ) | (3,689,139 | ) | ||||
Class C | (425,912 | ) | (1,796,319 | ) | ||||
Class N | (892 | ) | (2,353 | ) | ||||
Class Y | (1,059,113 | ) | (3,691,567 | ) | ||||
|
|
|
| |||||
Total distributions | (2,512,005 | ) | (9,179,378 | ) | ||||
|
|
|
| |||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | (20,583,477 | ) | (2,836,090 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (12,610,268 | ) | (25,120,387 | ) | ||||
NET ASSETS | ||||||||
Beginning of the period | 119,420,442 | 144,540,829 | ||||||
|
|
|
| |||||
End of the period | $ | 106,810,174 | $ | 119,420,442 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 60
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
High Income Fund—Class A | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 3.99 | $ | 4.25 | $ | 4.37 | $ | 4.23 | $ | 3.99 | $ | 4.49 | $ | 4.59 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(a) | 0.11 | 0.05 | 0.20 | 0.22 | 0.20 | 0.19 | 0.21 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.27 | (0.24 | ) | (0.14 | ) | 0.12 | 0.21 | (0.39 | ) | 0.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total from Investment Operations | 0.38 | (0.19 | ) | 0.06 | 0.34 | 0.41 | (0.20 | ) | 0.38 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||||||
Net investment income | (0.11 | ) | (0.06 | ) | (0.18 | ) | (0.20 | ) | (0.16 | ) | (0.19 | ) | (0.22 | ) | ||||||||||||||
Net realized capital gains | — | (0.01 | ) | — | — | (0.01 | ) | (0.11 | ) | (0.26 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total Distributions | (0.11 | ) | (0.07 | ) | (0.18 | ) | (0.20 | ) | (0.17 | ) | (0.30 | ) | (0.48 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net asset value, end of the period | $ | 4.26 | $ | 3.99 | $ | 4.25 | $ | 4.37 | $ | 4.23 | $ | 3.99 | $ | 4.49 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total return(b) | 9.51 | %(c)(d) | (4.54 | )%(c)(d) | 1.41 | %(d) | 8.17 | %(d) | 10.66 | %(d) | (4.78 | )%(d) | 8.42 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 22,750 | $ | 23,125 | $ | 26,175 | $ | 34,039 | $ | 34,820 | $ | 37,870 | $ | 42,630 | ||||||||||||||
Net expenses | 1.05 | %(e)(f) | 1.05 | %(e)(f) | 1.05 | %(e) | 1.09 | %(e)(g) | 1.10 | %(e) | 1.11 | %(e)(h) | 1.14 | % | ||||||||||||||
Gross expenses | 1.21 | %(f) | 1.27 | %(f) | 1.16 | % | 1.15 | % | 1.14 | % | 1.13 | % | 1.14 | % | ||||||||||||||
Net investment income | 5.11 | %(f) | 5.13 | %(f) | 4.73 | % | 5.03 | % | 5.16 | % | 4.41 | % | 4.57 | % | ||||||||||||||
Portfolio turnover rate | 21 | % | 17 | % | 55 | % | 46 | % | 38 | % | 69 | % | 59 | % |
* | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Periods less than one year are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | 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 to 1.05%. |
(h) | Effective July 1, 2015, the expense limit decreased to 1.10%. |
See accompanying notes to financial statements.
61 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
High Income Fund—Class C | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 4.00 | $ | 4.27 | $ | 4.38 | $ | 4.24 | $ | 4.00 | $ | 4.50 | $ | 4.61 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(a) | 0.09 | 0.05 | 0.17 | 0.18 | 0.18 | 0.16 | 0.18 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.27 | (0.26 | ) | (0.13 | ) | 0.12 | 0.20 | (0.39 | ) | 0.16 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total from Investment Operations | 0.36 | (0.21 | ) | 0.04 | 0.30 | 0.38 | (0.23 | ) | 0.34 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.05 | ) | (0.15 | ) | (0.16 | ) | (0.13 | ) | (0.16 | ) | (0.19 | ) | ||||||||||||||
Net realized capital gains | — | (0.01 | ) | — | — | (0.01 | ) | (0.11 | ) | (0.26 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total Distributions | (0.09 | ) | (0.06 | ) | (0.15 | ) | (0.16 | ) | (0.14 | ) | (0.27 | ) | (0.45 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net asset value, end of the period | $ | 4.27 | $ | 4.00 | $ | 4.27 | $ | 4.38 | $ | 4.24 | $ | 4.00 | $ | 4.50 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total return(b) | 9.09 | %(c)(d) | (4.95 | )%(c)(d) | 0.86 | %(d) | 7.33 | %(d) | 9.81 | %(d) | (5.48 | )%(d) | 7.60 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 4,867 | $ | 5,351 | $ | 6,248 | $ | 11,227 | $ | 12,288 | $ | 12,609 | $ | 14,555 | ||||||||||||||
Net expenses | 1.80 | %(e)(f) | 1.80 | %(e)(f) | 1.80 | %(f) | 1.84 | %(f)(g) | 1.85 | %(f) | 1.86 | %(f)(h) | 1.89 | % | ||||||||||||||
Gross expenses | 1.96 | %(e) | 2.02 | %(e) | 1.91 | % | 1.90 | % | 1.89 | % | 1.88 | % | 1.89 | % | ||||||||||||||
Net investment income | 4.36 | %(e) | 4.38 | %(e) | 3.99 | % | 4.29 | % | 4.43 | % | 3.68 | % | 3.84 | % | ||||||||||||||
Portfolio turnover rate | 21 | % | 17 | % | 55 | % | 46 | % | 38 | % | 69 | % | 59 | % |
* | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Periods less than one year are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Effective July 1, 2017, the expense limit decreased to 1.80%. |
(h) | Effective July 1, 2015, the expense limit decreased to 1.85%. |
See accompanying notes to financial statements.
| 62
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
High Income Fund—Class N | ||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | Year Ended September 30, 2018 | Period Ended September 30, 2017** | |||||||||||||
Net asset value, beginning of the period | $ | 3.99 | $ | 4.25 | $ | 4.36 | $ | 4.16 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||
Net investment income(a) | 0.11 | 0.06 | 0.20 | 0.19 | ||||||||||||
Net realized and unrealized gain (loss) | 0.27 | (0.25 | ) | (0.12 | ) | 0.18 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 0.38 | (0.19 | ) | 0.08 | 0.37 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||
Net investment income | (0.11 | ) | (0.06 | ) | (0.19 | ) | (0.17 | ) | ||||||||
Net realized capital gains | — | (0.01 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.11 | ) | (0.07 | ) | (0.19 | ) | (0.17 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of the period | $ | 4.26 | $ | 3.99 | $ | 4.25 | $ | 4.36 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 9.68 | %(c) | (4.47 | )%(c) | 1.96 | % | 8.99 | %(c) | ||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||
Net assets, end of the period (000’s) | $ | 11,863 | $ | 10,417 | $ | 10,338 | $ | 1 | ||||||||
Net expenses(d) | 0.75 | %(e) | 0.75 | %(e) | 0.75 | % | 0.75 | %(e)(f) | ||||||||
Gross expenses | 0.84 | %(e) | 0.89 | %(e) | 0.79 | % | 31.73 | %(e) | ||||||||
Net investment income | 5.41 | %(e) | 5.45 | %(e) | 4.65 | % | 5.19 | %(e) | ||||||||
Portfolio turnover rate | 21 | % | 17 | % | 55 | % | 46 | %(g) |
* | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
** | 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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Effective July 1, 2017, the expense limit decreased to 0.75%. |
(g) | Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017. |
See accompanying notes to financial statements.
63 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
High Income Fund—Class Y | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 3.98 | $ | 4.24 | $ | 4.36 | $ | 4.22 | $ | 3.98 | $ | 4.48 | $ | 4.59 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(a) | 0.11 | 0.06 | 0.21 | 0.23 | 0.21 | 0.20 | 0.22 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.27 | (0.25 | ) | (0.14 | ) | 0.12 | 0.21 | (0.39 | ) | 0.16 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total from Investment Operations | 0.38 | (0.19 | ) | 0.07 | 0.35 | 0.42 | (0.19 | ) | 0.38 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||||||
Net investment income | (0.11 | ) | (0.06 | ) | (0.19 | ) | (0.21 | ) | (0.17 | ) | (0.20 | ) | (0.23 | ) | ||||||||||||||
Net realized capital gains | — | (0.01 | ) | — | — | (0.01 | ) | (0.11 | ) | (0.26 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total Distributions | (0.11 | ) | (0.07 | ) | (0.19 | ) | (0.21 | ) | (0.18 | ) | (0.31 | ) | (0.49 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net asset value, end of the period | $ | 4.25 | $ | 3.98 | $ | 4.24 | $ | 4.36 | $ | 4.22 | $ | 3.98 | $ | 4.48 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total return | 9.67 | %(b)(c) | (4.49 | )%(b)(c) | 1.68 | %(c) | 8.47 | %(c) | 10.98 | %(c) | (4.54 | )%(c) | 8.72 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 110,927 | $ | 97,585 | $ | 127,699 | $ | 133,940 | $ | 129,169 | $ | 116,837 | $ | 125,185 | ||||||||||||||
Net expenses | 0.80 | %(d)(e) | 0.80 | %(d)(e) | 0.80 | %(e) | 0.84 | %(e)(f) | 0.85 | %(e) | 0.86 | %(e)(g) | 0.89 | % | ||||||||||||||
Gross expenses | 0.96 | %(d) | 1.02 | %(d) | 0.91 | % | 0.90 | % | 0.89 | % | 0.88 | % | 0.89 | % | ||||||||||||||
Net investment income | 5.34 | %(d) | 5.39 | %(d) | 4.98 | % | 5.28 | % | 5.43 | % | 4.67 | % | 4.83 | % | ||||||||||||||
Portfolio turnover rate | 21 | % | 17 | % | 55 | % | 46 | % | 38 | % | 69 | % | 59 | % |
* | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | 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 to 0.80%. |
(g) | Effective July 1, 2015, the expense limit decreased to 0.85%. |
See accompanying notes to financial statements.
| 64
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Investment Grade Bond Fund—Class A | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 10.77 | $ | 10.98 | $ | 11.30 | $ | 11.59 | $ | 11.10 | $ | 12.11 | $ | 12.22 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(a) | 0.17 | 0.08 | 0.30 | 0.36 | 0.39 | 0.40 | 0.46 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.49 | (0.16 | ) | (0.28 | ) | 0.05 | 0.48 | (0.95 | ) | 0.26 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total from Investment Operations | 0.66 | (0.08 | ) | 0.02 | 0.41 | 0.87 | (0.55 | ) | 0.72 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.08 | ) | (0.21 | ) | (0.26 | ) | (0.23 | ) | (0.34 | ) | (0.51 | ) | ||||||||||||||
Net realized capital gains | — | (0.05 | ) | (0.13 | ) | (0.44 | ) | (0.15 | ) | (0.12 | ) | (0.32 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total Distributions | (0.17 | ) | (0.13 | ) | (0.34 | ) | (0.70 | ) | (0.38 | ) | (0.46 | ) | (0.83 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net asset value, end of the period | $ | 11.26 | $ | 10.77 | $ | 10.98 | $ | 11.30 | $ | 11.59 | $ | 11.10 | $ | 12.11 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total return(b) | 6.19 | %(c)(d) | (0.66 | )%(c)(d) | 0.19 | %(d) | 3.88 | % | 8.06 | % | (4.72 | )% | 6.04 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 757,670 | $ | 721,110 | $ | 777,391 | $ | 902,955 | $ | 1,130,260 | $ | 1,628,216 | $ | 1,932,847 | ||||||||||||||
Net expenses | 0.78 | %(e)(f) | 0.78 | %(e)(f) | 0.80 | %(f)(g) | 0.82 | %(h) | 0.85 | % | 0.83 | % | 0.83 | % | ||||||||||||||
Gross expenses | 0.81 | %(e) | 0.82 | %(e) | 0.82 | % | 0.82 | % | 0.85 | % | 0.83 | % | 0.83 | % | ||||||||||||||
Net investment income | 3.17 | %(e) | 3.09 | %(e) | 2.73 | % | 3.23 | % | 3.49 | % | 3.38 | % | 3.75 | % | ||||||||||||||
Portfolio turnover rate | 16 | % | 39 | %(i) | 3 | % | 10 | % | 11 | % | 23 | % | 19 | % |
* | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Periods less than one year are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Effective July 1, 2018, the expense limit decreased to 0.78%. |
(h) | Effective July 1, 2017, the expense limit decreased to 0.80%. |
(i) | 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 a changes in the investment strategy and portfolio management team of the Fund. |
See accompanying notes to financial statements.
65 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Investment Grade Bond Fund—Class C | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 10.65 | $ | 10.86 | $ | 11.19 | $ | 11.48 | $ | 11.00 | $ | 12.00 | $ | 12.11 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(a) | 0.13 | 0.06 | 0.22 | 0.27 | 0.30 | 0.31 | 0.36 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.48 | (0.16 | ) | (0.28 | ) | 0.06 | 0.47 | (0.94 | ) | 0.27 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total from Investment Operations | 0.61 | (0.10 | ) | (0.06 | ) | 0.33 | 0.77 | (0.63 | ) | 0.63 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.06 | ) | (0.14 | ) | (0.18 | ) | (0.14 | ) | (0.25 | ) | (0.42 | ) | ||||||||||||||
Net realized capital gains | — | (0.05 | ) | (0.13 | ) | (0.44 | ) | (0.15 | ) | (0.12 | ) | (0.32 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total Distributions | (0.13 | ) | (0.11 | ) | (0.27 | ) | (0.62 | ) | (0.29 | ) | (0.37 | ) | (0.74 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net asset value, end of the period | $ | 11.13 | $ | 10.65 | $ | 10.86 | $ | 11.19 | $ | 11.48 | $ | 11.00 | $ | 12.00 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total return(b) | 5.76 | %(c)(d) | (0.86 | )%(c)(d) | (0.53 | )%(d) | 3.12 | % | 7.18 | % | (5.40 | )% | 5.29 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 276,226 | $ | 366,068 | $ | 412,788 | $ | 689,798 | $ | 1,001,522 | $ | 1,219,687 | $ | 1,524,806 | ||||||||||||||
Net expenses | 1.53 | %(e)(f) | 1.53 | %(e)(f) | 1.55 | %(f)(g) | 1.57 | %(h) | 1.60 | % | 1.58 | % | 1.58 | % | ||||||||||||||
Gross expenses | 1.56 | %(e) | 1.57 | %(e) | 1.57 | % | 1.57 | % | 1.60 | % | 1.58 | % | 1.58 | % | ||||||||||||||
Net investment income | 2.41 | %(e) | 2.34 | %(e) | 1.96 | % | 2.49 | % | 2.74 | % | 2.63 | % | 3.00 | % | ||||||||||||||
Portfolio turnover rate | 16 | % | 39 | %(i) | 3 | % | 10 | % | 11 | % | 23 | % | 19 | % |
* | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Periods less than one year are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Effective July 1, 2018, the expense limit decreased to 1.53%. |
(h) | Effective July 1, 2017, the expense limit decreased to 1.55%. |
(i) | 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 a changes in the investment strategy and portfolio management team of the Fund. |
See accompanying notes to financial statements.
| 66
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Investment Grade Bond Fund—Class N | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 10.78 | $ | 10.98 | $ | 11.30 | $ | 11.58 | $ | 11.11 | $ | 12.11 | $ | 12.22 | ||||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(a) | 0.19 | 0.09 | 0.34 | 0.39 | 0.43 | 0.44 | 0.50 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.48 | (0.15 | ) | (0.28 | ) | 0.07 | 0.47 | (0.93 | ) | 0.26 | ||||||||||||||||||
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Total from Investment Operations | 0.67 | (0.06 | ) | 0.06 | 0.46 | 0.90 | (0.49 | ) | 0.76 | |||||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.09 | ) | (0.25 | ) | (0.30 | ) | (0.28 | ) | (0.39 | ) | (0.55 | ) | ||||||||||||||
Net realized capital gains | — | (0.05 | ) | (0.13 | ) | (0.44 | ) | (0.15 | ) | (0.12 | ) | (0.32 | ) | |||||||||||||||
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Total Distributions | (0.19 | ) | (0.14 | ) | (0.38 | ) | (0.74 | ) | (0.43 | ) | (0.51 | ) | (0.87 | ) | ||||||||||||||
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Net asset value, end of the period | $ | 11.26 | $ | 10.78 | $ | 10.98 | $ | 11.30 | $ | 11.58 | $ | 11.11 | $ | 12.11 | ||||||||||||||
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Total return | 6.34 | %(b) | (0.58 | )%(b) | 0.50 | % | 4.34 | % | 8.31 | % | (4.28 | )% | 6.41 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 1,324,373 | $ | 1,216,690 | $ | 1,251,189 | $ | 1,203,169 | $ | 47,343 | $ | 21,851 | $ | 6,101 | ||||||||||||||
Net expenses | 0.48 | %(c) | 0.48 | %(c) | 0.47 | %(d) | 0.48 | %(e) | 0.47 | % | 0.47 | % | 0.47 | %(f) | ||||||||||||||
Gross expenses | 0.48 | %(c) | 0.48 | %(c) | 0.47 | % | 0.48 | % | 0.47 | % | 0.47 | % | 0.47 | %(f) | ||||||||||||||
Net investment income | 3.48 | %(c) | 3.40 | %(c) | 3.05 | % | 3.51 | % | 3.88 | % | 3.78 | % | 4.07 | % | ||||||||||||||
Portfolio turnover rate | 16 | % | 39 | %(g) | 3 | % | 10 | % | 11 | % | 23 | % | 19 | % |
* | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Computed on an annualized basis for periods less than one year. |
(d) | Effective July 1, 2018, the expense limit decreased to 0.48%. |
(e) | Effective July 1, 2017, the expense limit decreased to 0.50%. |
(f) | Includes fee/expense recovery of less than 0.01%. |
(g) | 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 a changes in the investment strategy and portfolio management team of the Fund. |
See accompanying notes to financial statements.
67 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Investment Grade Bond Fund—Class Y | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 10.78 | $ | 10.99 | $ | 11.31 | $ | 11.59 | $ | 11.11 | $ | 12.12 | $ | 12.23 | ||||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(a) | 0.19 | 0.09 | 0.33 | 0.39 | 0.42 | 0.43 | 0.49 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.49 | (0.16 | ) | (0.28 | ) | 0.06 | 0.47 | (0.95 | ) | 0.26 | ||||||||||||||||||
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Total from Investment Operations | 0.68 | (0.07 | ) | 0.05 | 0.45 | 0.89 | (0.52 | ) | 0.75 | |||||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.09 | ) | (0.24 | ) | (0.29 | ) | (0.26 | ) | (0.37 | ) | (0.54 | ) | ||||||||||||||
Net realized capital gains | — | (0.05 | ) | (0.13 | ) | (0.44 | ) | (0.15 | ) | (0.12 | ) | (0.32 | ) | |||||||||||||||
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Total Distributions | (0.19 | ) | (0.14 | ) | (0.37 | ) | (0.73 | ) | (0.41 | ) | (0.49 | ) | (0.86 | ) | ||||||||||||||
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Net asset value, end of the period | $ | 11.27 | $ | 10.78 | $ | 10.99 | $ | 11.31 | $ | 11.59 | $ | 11.11 | $ | 12.12 | ||||||||||||||
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Total return | 6.31 | %(b)(c) | (0.59 | )%(b)(c) | 0.43 | %(c) | 4.24 | % | 8.25 | % | (4.47 | )% | 6.30 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 3,136,513 | $ | 2,912,537 | $ | 3,001,906 | $ | 3,453,137 | $ | 4,571,167 | $ | 6,081,536 | $ | 6,911,938 | ||||||||||||||
Net expenses | 0.53 | %(d)(e) | 0.53 | %(d)(e) | 0.55 | %(e)(f) | 0.57 | %(g) | 0.60 | % | 0.58 | % | 0.59 | % | ||||||||||||||
Gross expenses | 0.56 | %(d) | 0.57 | %(d) | 0.57 | % | 0.57 | % | 0.60 | % | 0.58 | % | 0.59 | % | ||||||||||||||
Net investment income | 3.42 | %(d) | 3.35 | %(d) | 2.98 | % | 3.48 | % | 3.74 | % | 3.63 | % | 3.99 | % | ||||||||||||||
Portfolio turnover rate | 16 | % | 39 | %(h) | 3 | % | 10 | % | 11 | % | 23 | % | 19 | % |
* | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | 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, 2018, the expense limit decreased to 0.53%. |
(g) | Effective July 1, 2017, the expense limit decreased to 0.55%. |
(h) | 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 a changes in the investment strategy and portfolio management team of the Fund. |
See accompanying notes to financial statements.
| 68
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Investment Grade Bond Fund—Admin Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 10.75 | $ | 10.95 | $ | 11.28 | $ | 11.56 | $ | 11.08 | $ | 12.09 | $ | 12.20 | ||||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(a) | 0.16 | 0.08 | 0.28 | 0.34 | 0.37 | 0.37 | 0.43 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.48 | (0.15 | ) | (0.28 | ) | 0.06 | 0.47 | (0.95 | ) | 0.26 | ||||||||||||||||||
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Total from Investment Operations | 0.64 | (0.07 | ) | 0.00 | (b) | 0.40 | 0.84 | (0.58 | ) | 0.69 | ||||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||||||
Net investment income | (0.16 | ) | (0.08 | ) | (0.20 | ) | (0.24 | ) | (0.21 | ) | (0.31 | ) | (0.48 | ) | ||||||||||||||
Net realized capital gains | — | (0.05 | ) | (0.13 | ) | (0.44 | ) | (0.15 | ) | (0.12 | ) | (0.32 | ) | |||||||||||||||
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Total Distributions | (0.16 | ) | (0.13 | ) | (0.33 | ) | (0.68 | ) | (0.36 | ) | (0.43 | ) | (0.80 | ) | ||||||||||||||
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Net asset value, end of the period | $ | 11.23 | $ | 10.75 | $ | 10.95 | $ | 11.28 | $ | 11.56 | $ | 11.08 | $ | 12.09 | ||||||||||||||
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Total return | 5.98 | %(c)(d) | (0.63 | )%(c)(d) | (0.07 | )%(c) | 3.76 | %(c) | 7.73 | % | (4.95 | )% | 5.79 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 118,912 | $ | 111,864 | $ | 115,301 | $ | 25,521 | $ | 35,294 | $ | 37,355 | $ | 25,585 | ||||||||||||||
Net expenses | 1.03 | %(e)(f) | 1.03 | %(e)(f) | 1.02 | %(e)(g)(h) | 1.02 | %(e)(i)(j) | 1.07 | %(k) | 1.08 | % | 1.09 | % | ||||||||||||||
Gross expenses | 1.06 | %(f) | 1.07 | %(f) | 1.05 | %(g) | 1.03 | %(i) | 1.07 | %(k) | 1.08 | % | 1.09 | % | ||||||||||||||
Net investment income | 2.92 | %(f) | 2.85 | %(f) | 2.56 | % | 3.03 | % | 3.27 | % | 3.14 | % | 3.49 | % | ||||||||||||||
Portfolio turnover rate | 16 | % | 39 | %(l) | 3 | % | 10 | % | 11 | % | 23 | % | 19 | % |
* | For the three month period ended December 31, 2018. See Note 1 of Notes to Financial Statements. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Includes refund of prior year service fee of 0.02%. See Note 5b of Notes to Financial Statements. |
(h) | Effective July 1, 2018, the expense limit decreased to 1.03%. |
(i) | Includes refund of prior year service fee of 0.05%. |
(j) | Effective July 1, 2017, the expense limit decreased to 1.05%. |
(k) | Includes refund of prior year service fee of 0.03%. |
(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 a changes in the investment strategy and portfolio management team of the Fund. |
See accompanying notes to financial statements.
69 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Multi-Asset Income Fund—Class A | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.78 | $ | 13.87 | $ | 13.24 | $ | 12.85 | $ | 13.45 | $ | 12.21 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.23 | 0.48 | 0.47 | 0.49 | 0.32 | 0.32 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.86 | (1.71 | ) | 1.15 | 0.80 | (0.58 | ) | 1.26 | ||||||||||||||||
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Total from Investment Operations | 1.09 | (1.23 | ) | 1.62 | 1.29 | (0.26 | ) | 1.58 | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.28 | ) | (0.42 | ) | (0.45 | ) | (0.40 | ) | (0.34 | ) | (0.34 | ) | ||||||||||||
Net realized capital gains | — | (0.44 | ) | (0.54 | ) | (0.50 | ) | — | — | |||||||||||||||
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Total Distributions | (0.28 | ) | (0.86 | ) | (0.99 | ) | (0.90 | ) | (0.34 | ) | (0.34 | ) | ||||||||||||
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Net asset value, end of the period | $ | 12.59 | $ | 11.78 | $ | 13.87 | $ | 13.24 | $ | 12.85 | $ | 13.45 | ||||||||||||
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Total return(b) | 9.30 | %(c)(d) | (9.24 | )%(c) | 12.41 | %(c) | 10.14 | %(c) | (1.96 | )%(c) | 13.08 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 33,369 | $ | 51,028 | $ | 54,754 | $ | 57,320 | $ | 63,254 | $ | 110,874 | ||||||||||||
Net expenses | 0.95 | %(e)(f) | 0.95 | %(f) | 0.95 | %(f) | 0.95 | %(f) | 1.04 | %(f)(g) | 1.06 | % | ||||||||||||
Gross expenses | 1.10 | %(e) | 1.11 | % | 1.13 | % | 1.09 | % | 1.11 | % | 1.06 | % | ||||||||||||
Net investment income | 3.75 | %(e) | 3.63 | % | 3.37 | % | 3.70 | % | 2.40 | % | 2.46 | % | ||||||||||||
Portfolio turnover rate | 163 | % | 282 | % | 221 | % | 341 | %(h) | 93 | %(i) | 41 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Effective September 1, 2015, the expense limit decreased from 1.25% to 0.95%. |
(h) | The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015. |
(i) | The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to a change in the investment strategy and management structure of the Fund. |
See accompanying notes to financial statements.
| 70
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Multi-Asset Income Fund—Class C | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.73 | $ | 13.82 | $ | 13.18 | $ | 12.80 | $ | 13.41 | $ | 12.17 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.19 | 0.38 | 0.36 | 0.39 | 0.24 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.84 | (1.71 | ) | 1.16 | 0.79 | (0.60 | ) | 1.27 | ||||||||||||||||
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Total from Investment Operations | 1.03 | (1.33 | ) | 1.52 | 1.18 | (0.36 | ) | 1.49 | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.32 | ) | (0.34 | ) | (0.30 | ) | (0.25 | ) | (0.25 | ) | ||||||||||||
Net realized capital gains | — | (0.44 | ) | (0.54 | ) | (0.50 | ) | — | — | |||||||||||||||
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Total Distributions | (0.23 | ) | (0.76 | ) | (0.88 | ) | (0.80 | ) | (0.25 | ) | (0.25 | ) | ||||||||||||
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Net asset value, end of the period | $ | 12.53 | $ | 11.73 | $ | 13.82 | $ | 13.18 | $ | 12.80 | $ | 13.41 | ||||||||||||
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Total return(b) | 8.86 | %(c)(d) | (9.96 | )%(c) | 11.70 | %(c) | 9.27 | %(c) | (2.73 | )%(c) | 12.28 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 21,231 | $ | 24,058 | $ | 36,814 | $ | 46,351 | $ | 47,791 | $ | 53,074 | ||||||||||||
Net expenses | 1.70 | %(e)(f) | 1.70 | %(f) | 1.70 | %(f) | 1.70 | %(f) | 1.80 | %(f)(g) | 1.81 | % | ||||||||||||
Gross expenses | 1.85 | %(e) | 1.86 | % | 1.88 | % | 1.84 | % | 1.87 | % | 1.81 | % | ||||||||||||
Net investment income | 3.07 | %(e) | 2.83 | % | 2.65 | % | 2.96 | % | 1.78 | % | 1.70 | % | ||||||||||||
Portfolio turnover rate | 163 | % | 282 | % | 221 | % | 341 | %(h) | 93 | %(i) | 41 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Effective September 1, 2015, the expense limit decreased from 2.00% to 1.70%. |
(h) | The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015. |
(i) | The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to a change in the investment strategy and management structure of the Fund. |
See accompanying notes to financial statements.
71 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Multi-Asset Income Fund—Class N | ||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Period Ended December 31, 2015* | ||||||||||||||||
Net asset value, beginning of the period | $ | 11.70 | $ | 13.79 | $ | 13.16 | $ | 12.77 | $ | 12.70 | ||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income(a) | 0.26 | 0.52 | 0.51 | 0.53 | 0.14 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.85 | (1.71 | ) | 1.15 | 0.80 | 0.10 | ||||||||||||||
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Total from Investment Operations | 1.11 | (1.19 | ) | 1.66 | 1.33 | 0.24 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||
Net investment income | (0.30 | ) | (0.46 | ) | (0.49 | ) | (0.44 | ) | (0.17 | ) | ||||||||||
Net realized capital gains | — | (0.44 | ) | (0.54 | ) | (0.50 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.30 | ) | (0.90 | ) | (1.03 | ) | (0.94 | ) | (0.17 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of the period | $ | 12.51 | $ | 11.70 | $ | 13.79 | $ | 13.16 | $ | 12.77 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 9.53 | %(c) | (9.02 | )% | 12.83 | % | 10.53 | % | 1.91 | %(c) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 44 | $ | 32 | $ | 35 | $ | 1 | $ | 1 | ||||||||||
Net expenses(d) | 0.65 | %(e) | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | %(e) | ||||||||||
Gross expenses | 1.25 | %(e) | 1.35 | % | 1.35 | % | 13.53 | % | 13.66 | %(e) | ||||||||||
Net investment income | 4.21 | %(e) | 3.93 | % | 3.71 | % | 4.02 | % | 3.22 | %(e) | ||||||||||
Portfolio turnover rate | 163 | % | 282 | % | 221 | % | 341 | %(f) | 93 | % |
* | From commencement of Class operations on August 31, 2015 through December 31, 2015. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015. |
See accompanying notes to financial statements.
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Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Multi-Asset Income Fund—Class Y | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.70 | $ | 13.80 | $ | 13.17 | $ | 12.79 | $ | 13.39 | $ | 12.19 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.25 | 0.52 | 0.49 | 0.53 | 0.36 | 0.38 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.85 | (1.73 | ) | 1.16 | 0.78 | (0.59 | ) | 1.19 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.10 | (1.21 | ) | 1.65 | 1.31 | (0.23 | ) | 1.57 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.29 | ) | (0.45 | ) | (0.48 | ) | (0.43 | ) | (0.37 | ) | (0.37 | ) | ||||||||||||
Net realized capital gains | — | (0.44 | ) | (0.54 | ) | (0.50 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.29 | ) | (0.89 | ) | (1.02 | ) | (0.93 | ) | (0.37 | ) | (0.37 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 12.51 | $ | 11.70 | $ | 13.80 | $ | 13.17 | $ | 12.79 | $ | 13.39 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 9.51 | %(b)(c) | (9.13 | )%(b) | 12.77 | %(b) | 10.38 | %(b) | (1.72 | )%(b) | 13.05 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 52,167 | $ | 44,303 | $ | 52,938 | $ | 20,101 | $ | 11,272 | $ | 14,428 | ||||||||||||
Net expenses | 0.70 | %(d)(e) | 0.70 | %(e) | 0.70 | %(e) | 0.70 | %(e) | 0.80 | %(e)(f) | 0.82 | % | ||||||||||||
Gross expenses | 0.84 | %(d) | 0.86 | % | 0.88 | % | 0.84 | % | 0.86 | % | 0.82 | % | ||||||||||||
Net investment income | 4.15 | %(d) | 3.88 | % | 3.53 | % | 4.00 | % | 2.73 | % | 2.92 | % | ||||||||||||
Portfolio turnover rate | 163 | % | 282 | % | 221 | % | 341 | %(g) | 93 | %(h) | 41 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective September 1, 2015, the expense limit decreased from 1.00% to 0.70%. |
(g) | The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to a repositioning of the portfolio as well as sales of additional securities as a result of a change in investment strategy in 2015. |
(h) | The variation in the Fund’s turnover rate from 2014 to 2015 was primarily due to a change in the investment strategy and management structure of the Fund. |
See accompanying notes to financial statements.
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Table of Contents
June 30, 2019 (Unaudited)
1. Organization. Natixis Funds Trust I and Loomis Sayles Funds II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-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:
Natixis Funds Trust I:
Loomis Sayles Multi-Asset Income Fund (the “Multi-Asset Income Fund”)
Loomis Sayles Funds II:
Loomis Sayles High Income Fund (the “High Income Fund”)
Loomis Sayles Investment Grade Bond Fund (the “Investment Grade Bond Fund”)
Each Fund is a diversified investment company.
On October 5, 2018, the Board of Trustees approved a change to the fiscal year end of High Income Fund and Investment Grade Bond Fund from September 30 to December 31. Accordingly, the Funds’ financial statements and related notes include information as of and for the three month period ended December 31, 2018, and the year ended September 30, 2018.
Each Fund offers Class A, Class C, Class N and Class Y shares. In addition, Investment Grade Bond Fund also offers Admin Class shares.
Class A shares are sold with a maximumfront-end sales charge of 4.25%. Class C shares do not pay afront-end sales charge, pay higher Rule12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay afront-end sales charge, a CDSC or Rule12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay afront-end sales charge or a CDSC, but do pay a Rule12b-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. Expenses of a Fund are bornepro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule12b-1 fees applicable to Class A, Class C
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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 Rule12b-1 Plan. Shares of each class would receive theirpro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available. Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans 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
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.
As of June 30, 2019, securities held by the Funds were fair valued as follows:
Fund | Equity | Percentage of Net Assets | Securities | Percentage of Net Assets | Securities | Percentage of Net Assets | ||||||||||||||||||
High Income Fund | $ | — | — | % | $ | 1,670,442 | 1.1 | % | $ | 864,421 | 0.6 | % | ||||||||||||
Investment Grade Bond Fund | — | — | % | 109,507,373 | 2.0 | % | 46,761,524 | 0.8 | % | |||||||||||||||
Multi-Asset Income Fund | 2,819,630 | 2.6 | % | — | — | % | — | — | % |
1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. |
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax,
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
if applicable, is recorded on theex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendaryear-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 apro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations,
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
For the six months ended June 30, 2019, the amount of income available to be distributed has been reduced by the following amount as a result of losses arising from changes in exchange rates:
Multi-Asset Income Fund | $ | 120,377 |
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are tradedover-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.
e. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters
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June 30, 2019 (Unaudited)
into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
No futures contracts were held by the Funds during the six months ended June 30, 2019.
f. When-Issued and Delayed Delivery Transactions. The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.
Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the netmark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.
Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2019.
g. 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
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2019 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
h. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on theex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as contingent payment debt instruments, convertible bonds, defaulted and/ornon-income producing securities, deferred trustees’ fees, distributionre-designations, taxable over-distribution, foreign currency gains and losses, partnership basis adjustments, net operating losses, passive foreign investment company adjustments, paydown gains and losses and premium amortization. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to contingent payment debt instruments, convertible bonds, partnership basis adjustments, defaulted and/ornon-income producing securities, deferred Trustees’ fees, forward foreign currency contractmark-to-market, passive foreign investment company adjustments, premium amortization, perpetual bond adjustments and wash
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sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and 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 period ended (year ended for Multi-Asset Income Fund) December 31, 2018 was as follows:
2018 Distributions Paid From: | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | |||||||||
High Income Fund | $ | 2,342,939 | $ | 469,860 | $ | 2,812,799 | ||||||
Investment Grade Bond Fund | 44,211,096 | 26,591,753 | 70,802,849 | |||||||||
Multi-Asset Income Fund | 6,314,655 | 2,864,723 | 9,179,378 |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed inper-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of December 31, 2018, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:
High Income | Investment | Multi-Asset | ||||||||||
Capital loss carryforward: | ||||||||||||
Short-term: | ||||||||||||
No expiration date | $ | (783,495 | ) | $ | — | $ | — | |||||
Long-term: | ||||||||||||
No expiration date | (3,978,362 | ) | — | — | ||||||||
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| |||||||
Total capital loss carryforward | $ | (4,761,857 | ) | $ | — | $ | — | |||||
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| |||||||
Late-year ordinary and post-October capital loss deferrals* | $ | — | $ | (27,749,537 | ) | $ | (3,172,650 | ) | ||||
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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 and Multi-Asset Income Fund are deferring capital losses. |
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June 30, 2019 (Unaudited)
As of June 30, 2019, unrealized appreciation (depreciation) on a tax basis was approximately as follows:
High Income | Investment | Multi-Asset | ||||||||||
Unrealized appreciation | ||||||||||||
Investments | $ | (624,332 | ) | $ | 315,364,350 | $ | 1,645,232 | |||||
Foreign currency translations | — | 952,169 | (60,411 | ) | ||||||||
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| |||||||
Total unrealized appreciation | $ | (624,332 | ) | $ | 316,316,519 | $ | 1,584,821 | |||||
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As of June 30, 2019, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
High Income | Investment | Multi-Asset | ||||||||||
Federal tax cost | $ | 153,009,979 | $ | 5,167,484,750 | $ | 104,266,374 | ||||||
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|
| |||||||
Gross tax appreciation | $ | 5,198,386 | $ | 335,269,168 | $ | 4,024,951 | ||||||
Gross tax depreciation | (5,822,718 | ) | (18,953,218 | ) | (2,439,115 | ) | ||||||
|
|
|
|
|
| |||||||
Net tax appreciation (depreciation) | $ | (624,332 | ) | $ | 316,315,950 | $ | 1,585,836 | |||||
|
|
|
|
|
|
Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.
The difference between these amounts and those reported in the preceding table are primarily attributable to foreign currencymark-to-market.
i. Senior Loans. Each Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. A 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. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
High Income Fund and Multi-Asset Income Fund held senior loans as of June 30, 2019.
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June 30, 2019 (Unaudited)
j. Loan Participations. A Fund’s investments in senior loans may be in the form of participations in loans. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, a 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.
High Income Fund held loan participations as of June 30, 2019.
k. Collateralized Loan Obligations. Certain Funds 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 a 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.
Investment Grade Bond Fund held collateralized loan obligations as of June 30, 2019.
l. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2019, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
m. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including
83 |
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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 bynon-U.S. Governments andnon-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the six months ended June 30, 2019, none of the Funds had loaned securities under this agreement.
n. 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.
o. Change in Accounting Policy. The Funds have adopted Financial Accounting Standards Board Accounting Standards Update 2017-08. Under the new standard, certain debt securities with non-contingent call features purchased at a premium are amortized to the earliest call date. In accordance with the transition provisions of the standard, the Funds applied the new standard on a modified retrospective basis beginning with the fiscal period ended June 30, 2019. This change in accounting policy resulted in reclassifications to capital accounts as of the beginning of the period, but had no impact on the net asset value of the Funds.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
• | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2019, at value:
High Income Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Home Equity | $ | — | $ | 585,230 | $ | 409 | (b) | $ | 585,639 | |||||||
Home Construction | — | 2,067,400 | 12 | (b) | 2,067,412 | |||||||||||
All OtherNon-Convertible Bonds(a) | — | 124,454,389 | — | 124,454,389 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TotalNon-Convertible Bonds | — | 127,107,019 | 421 | 127,107,440 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 12,762,914 | — | 12,762,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 139,869,933 | 421 | 139,870,354 | ||||||||||||
|
|
|
|
|
|
|
|
85 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
High Income Fund (continued)
Asset Valuation Inputs (continued)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans(a) | $ | — | $ | 2,042,555 | $ | — | $ | 2,042,555 | ||||||||
Loan Participations(a) | — | — | 413,156 | (c) | 413,156 | |||||||||||
Preferred Stocks(a) | — | 2,087,179 | — | 2,087,179 | ||||||||||||
Other Investments(a) | 864,000 | (d) | 864,000 | |||||||||||||
Common Stocks(a) | 464,047 | — | — | 464,047 | ||||||||||||
Short-Term Investments | — | 6,644,356 | — | 6,644,356 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 464,047 | $ | 150,644,023 | $ | 1,277,577 | $ | 152,385,647 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Fair valued by the Fund’s adviser. |
(c) | Valued using broker-dealer bid prices. |
(d) | Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund. |
Investment Grade Bond Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Home Equity | $ | — | $ | 172,300,461 | $ | 5,674,747 | (b) | $ | 177,975,208 | |||||||
ABS Other | — | 142,428,302 | 46,840,013 | (c) | 189,268,315 | |||||||||||
ABS Student Loan | — | 61,239,626 | 3,771,868 | (d) | 65,011,494 | |||||||||||
Metals & Mining | — | 188,538,060 | — | (e) | 188,538,060 | |||||||||||
All OtherNon-Convertible Bonds(a) | — | 4,588,679,820 | — | 4,588,679,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TotalNon-Convertible Bonds | — | 5,153,186,269 | 56,286,628 | 5,209,472,897 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 61,545,534 | — | 61,545,534 | ||||||||||||
Municipals(a) | — | 18,378,594 | — | 18,378,594 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 5,233,110,397 | 56,286,628 | 5,289,397,025 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Collateralized Loan Obligations | — | 112,592,093 | — | 112,592,093 | ||||||||||||
Preferred Stocks(a) | — | 14,671,506 | — | 14,671,506 | ||||||||||||
Short-Term Investments | — | 67,140,076 | — | 67,140,076 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 5,427,514,072 | $ | 56,286,628 | $ | 5,483,800,700 | ||||||||
|
|
|
|
|
|
|
|
(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 ($5,753,236) or fair valued by the Fund’s adviser ($41,086,777). |
(d) | Valued using broker-dealer bid prices. |
(e) | Includes a security fair valued at zero using level 3 inputs. |
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Multi-Asset Income Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes(a) | $ | — | $ | 47,645,986 | $ | — | $ | 47,645,986 | ||||||||
Common Stocks | ||||||||||||||||
Airlines | 292,137 | 98,939 | — | 391,076 | ||||||||||||
Banks | 703,662 | 57,089 | — | 760,751 | ||||||||||||
Beverages | 1,404,940 | 205,321 | — | 1,610,261 | ||||||||||||
Capital Markets | 854,793 | 43,353 | — | 898,146 | ||||||||||||
Construction & Engineering | 3,970 | 209,851 | — | 213,821 | ||||||||||||
Electric Utilities | 1,437,299 | 334,571 | — | 1,771,870 | ||||||||||||
Food Products | 653,856 | 100,438 | — | 754,294 | ||||||||||||
Leisure Products | — | 94,271 | — | 94,271 | ||||||||||||
Metals & Mining | — | 212,651 | — | 212,651 | ||||||||||||
Multi-Utilities | 116,016 | 95,744 | — | 211,760 | ||||||||||||
Personal Products | — | 206,277 | — | 206,277 | ||||||||||||
Pharmaceuticals | 3,476,223 | 106,851 | — | 3,583,074 | ||||||||||||
Real Estate Management & Development | 22,253 | 194,135 | — | 216,388 | ||||||||||||
REITs - Apartments | 26,279 | 35,223 | — | 61,502 | ||||||||||||
REITs - Diversified | 149,720 | 14,968 | — | 164,688 | ||||||||||||
REITs - Hotels | 35,107 | 2,417 | — | 37,524 | ||||||||||||
REITs - Office Property | 20,552 | 125,491 | — | 146,043 | ||||||||||||
REITs - Shopping Centers | 37,515 | 77,780 | — | 115,295 | ||||||||||||
Road & Rail | — | 18,683 | — | 18,683 | ||||||||||||
Tobacco | 368,998 | 117,689 | — | 486,687 | ||||||||||||
Trading Companies & Distributors | — | 342,339 | — | 342,339 | ||||||||||||
Wireless Telecommunication Services | — | 125,549 | — | 125,549 | ||||||||||||
All Other Common Stocks(a) | 29,123,439 | — | — | 29,123,439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 38,726,759 | 2,819,630 | — | 41,546,389 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans(a) | — | 3,841,133 | — | 3,841,133 | ||||||||||||
Exchange-Traded Funds | 10,810,347 | — | — | 10,810,347 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Non-Convertible Preferred Stocks(a) | 336,611 | — | — | 336,611 | ||||||||||||
Convertible Preferred Stocks(a) | — | 445,745 | — | 445,745 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 336,611 | 445,745 | — | 782,356 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 1,225,999 | — | 1,225,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 49,873,717 | $ | 55,978,493 | $ | — | $ | 105,852,210 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
87 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
A common stock valued at $6,695 was transferred from Level 2 to Level 1 during the period ended June 30, 2019. At December 31, 2018, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security. At June 30, 2019, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies.
All transfers are recognized as of the beginning of the reporting period.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2018 and/or June 30, 2019:
High Income Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | 574 | $ | — | $ | — | $ | (151 | ) | $ | — | |||||||||
Home Construction | 12 | 15,427 | — | (15,427 | ) | — | ||||||||||||||
Loan Participations | ||||||||||||||||||||
ABS Other | 425,679 | 17 | 36 | 3,396 | — | |||||||||||||||
Other Investments | ||||||||||||||||||||
Aircraft ABS | 865,625 | — | — | (1,625 | ) | — | ||||||||||||||
Preferred Stocks | ||||||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||||||
Midstream | 58,567 | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,350,457 | $ | 15,444 | $ | 36 | $ | (13,807 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
|
| 88
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
High Income Fund (continued)
Asset Valuation Inputs (continued)
Investments in Securities | Sales | Transfers | Transfers | Balance | Change in | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | (14 | ) | $ | — | $ | — | $ | 409 | $ | (153 | ) | ||||||||
Home Construction | — | — | — | 12 | (15,427 | ) | ||||||||||||||
Loan Participations | ||||||||||||||||||||
ABS Other | (15,972 | ) | — | — | 413,156 | 3,446 | ||||||||||||||
Other Investments | ||||||||||||||||||||
Aircraft ABS | — | — | — | 864,000 | (1,625 | ) | ||||||||||||||
Preferred Stocks | ||||||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||||||
Midstream | — | — | (58,567 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (15,986 | ) | $ | — | $ | (58,567 | ) | $ | 1,277,577 | $ | (13,759 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
A preferred stock valued at $58,567 was transferred from Level 3 to Level 2 during the period ended June 30, 2019. At December 31, 2018, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At June 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
All transfers are recognized as of the beginning of the reporting period.
89 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Investment Grade Bond Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | — | $ | — | $ | — | $ | — | $ | 5,674,747 | ||||||||||
ABS Other | 57,551,934 | — | 42,645 | (1,673,144 | ) | 3,744,533 | ||||||||||||||
ABS Student Loan | 4,259,110 | — | 1,010 | 749 | — | |||||||||||||||
Airlines | 1,202,015 | — | — | — | — | |||||||||||||||
Metals & Mining | 845 | 7,865 | — | (8,710 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 63,013,904 | $ | 7,865 | $ | 43,655 | $ | (1,681,105 | ) | $ | 9,419,280 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investments in Securities | Sales | Transfers | Transfers | Balance as of | Change in | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | — | $ | — | $ | — | $ | 5,674,747 | $ | — | ||||||||||
ABS Other | (4,352,567 | ) | — | (8,473,388 | ) | 46,840,013 | (1,659,154 | ) | ||||||||||||
ABS Student Loan | (489,001 | ) | — | — | 3,771,868 | 1,400 | ||||||||||||||
Airlines | — | — | (1,202,015 | ) | — | — | ||||||||||||||
Metals & Mining | — | — | — | — | (a) | (8,710 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (4,841,568 | ) | $ | — | $ | (9,675,403 | ) | $ | 56,286,628 | $ | (1,666,464 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(a) | Includes a security fair valued at zero using level 3 inputs. |
A debt security valued at $8,473,388 was transferred from Level 3 to Level 2 during the period ended June 30, 2019. At December 31, 2018, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2019, 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.
| 90
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
A debt security valued at $1,202,015 was transferred from Level 3 to Level 2 during the period ended June 30, 2019. At December 31, 2018, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At June 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
All transfers are recognized as of the beginning of the reporting period.
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.
High Income Fund and Investment Grade Bond 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 contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the six months ended June 30, 2019, the Funds engaged in forward foreign currency transactions for hedging purposes.
Transactions in derivative instruments for High Income Fund during the six months ended June 30, 2019, as reflected within the Statements of Operations, were as follows:
Net Realized Gain (Loss) on: | Forward foreign currency contracts | |||
Foreign exchange contracts | $ | (44,094 | ) | |
Net Change in Unrealized Appreciation (Depreciation) on: | Forward foreign currency contracts | |||
Foreign exchange contracts | $ | 44,094 |
Transactions in derivative instruments for Investment Grade Bond Fund during the six months ended June 30, 2019, as reflected within the Statements of Operations, were as follows:
Net Realized Gain (Loss) on: | Forward foreign currency contracts | |||
Foreign exchange contracts | $ | (670,701 | ) | |
Net Change in Unrealized Appreciation (Depreciation) on: | Forward foreign currency contracts | |||
Foreign exchange contracts | $ | 670,701 |
91 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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 benon-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract activity, as a percentage of net assets, based on grossmonth-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2019:
High Income Fund | Forwards | |||
Average Notional Amount Outstanding | 0.89 | % | ||
Highest Notional Amount Outstanding | 3.29 | % | ||
Lowest Notional Amount Outstanding | 0.00 | % | ||
Notional Amount Outstanding as of June 30, 2019 | 0.00 | % | ||
Investment Grade Bond Fund | Forwards | |||
Average Notional Amount Outstanding | 0.30 | % | ||
Highest Notional Amount Outstanding | 1.09 | % | ||
Lowest Notional Amount Outstanding | 0.00 | % | ||
Notional Amount Outstanding as of June 30, 2019 | 0.00 | % |
Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.
5. Purchases and Sales of Securities. For the six months ended June 30, 2019, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:
U.S. Government/ Agency Securities | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
High Income Fund | $ | 3,705,584 | $ | — | $ | 30,297,773 | $ | 29,365,615 | ||||||||
Investment Grade Bond Fund | 166,555,343 | 149,883,372 | 1,295,643,239 | 641,929,694 | ||||||||||||
Multi-Asset Income Fund | 25,159,260 | 17,705,482 | 152,402,521 | 176,128,926 |
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 and Investment Grade Bond Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
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June 30, 2019 (Unaudited)
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 $15 billion | Over $15 billion | ||||||
High Income Fund | 0.60 | % | 0.60 | % | ||||
Investment Grade Bond Fund | 0.40 | % | 0.38 | % |
Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to Multi-Asset Income Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis.
Under the terms of the management agreement, Multi-Asset Income Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||
Fund | First $1 billion | Over $1 billion | ||||||
Multi-Asset Income Fund | 0.55 | % | 0.50 | % |
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 following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||||
Fund | Subadviser | First $1 billion | Over $1 billion | |||||||||
Multi-Asset Income Fund | Loomis Sayles | 0.325 | % | 0.30 | % |
Payments to Natixis Advisors are reduced by the amounts of payments to Loomis Sayles, as calculated based on the table above.
Natixis Advisors and Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage
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June 30, 2019 (Unaudited)
expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2020, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the six months ended June 30, 2019 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | Admin Class | |||||||||||||||
High Income Fund | 1.05 | % | 1.80 | % | 0.75 | % | 0.80 | % | — | |||||||||||
Investment Grade Bond Fund | 0.78 | % | 1.53 | % | 0.48 | % | 0.53 | % | 1.03 | % | ||||||||||
Multi-Asset Income Fund | 0.95 | % | 1.70 | % | 0.65 | % | 0.70 | % | — |
Effective July 1, 2019, the expense limits as a percentage of average daily net assets under the expense limitation agreements are as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | Admin Class | |||||||||||||||
High Income Fund | 1.00 | % | 1.75 | % | 0.70 | % | 0.75 | % | — | |||||||||||
Investment Grade Bond Fund | 0.76 | % | 1.51 | % | 0.46 | % | 0.51 | % | 1.01 | % |
These new undertakings are in effect until April 30, 2021, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.
Natixis Advisors and Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
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June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, the management fees and waivers of management fees for each Fund were as follows:
Fund | Gross | Contractual | Net | Percentage of | ||||||||||||||||
Gross | Net | |||||||||||||||||||
High Income Fund | $ | 433,733 | $ | 108,658 | $ | 325,075 | 0.60 | % | 0.45 | % | ||||||||||
Investment Grade Bond Fund | 10,898,680 | 661,556 | 10,237,124 | 0.40 | % | 0.38 | % | |||||||||||||
Multi-Asset Income Fund | 312,166 | 80,623 | 231,543 | 0.55 | % | 0.41 | % |
1 | Waiver/expense reimbursements are subject to possible recovery until December 31, 2020. |
No expenses were recovered for any of the Funds during the six months ended June 30, 2019 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule12b-1 under the 1940 Act, the Trusts has 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 has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).
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.
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June 30, 2019 (Unaudited)
Under the Admin Class Plan, Investment Grade Bond Fund pays Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by 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 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 the six months ended June 30, 2019, 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 | $ | 28,712 | $ | 6,457 | $ | — | $ | 19,370 | $ | — | ||||||||||
Investment Grade Bond Fund | 917,555 | 391,992 | 142,560 | 1,175,975 | 142,560 | |||||||||||||||
Multi-Asset Income Fund | 58,944 | 28,389 | — | 85,167 | — |
c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve assub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly itspro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving assub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction insub-administrative fees discussed above. The waiver is in effect through June 30, 2019.
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June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, the administrative fees for each Fund were as follows:
Fund | Gross | Waiver of | Net | |||||||||
High Income Fund | $ | 31,932 | $ | 763 | $ | 31,169 | ||||||
Investment Grade Bond Fund | 1,210,341 | 28,767 | 1,181,574 | |||||||||
Multi-Asset Income Fund | 25,218 | 600 | 24,618 |
Effective July 1, 2019, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts(sub-transfer agent fees) paid to Natixis Distribution are subject to a currentper-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the six months ended June 30, 2019, thesub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
Fund | Sub-Transfer | |||
High Income Fund | $ | 70,738 | ||
Investment Grade Bond Fund | 1,732,684 | |||
Multi-Asset Income Fund | 32,533 |
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June 30, 2019 (Unaudited)
As of June 30, 2019, the Funds owe Natixis Distribution the following reimbursements forsub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements | |||
High Income Fund | $ | 1,698 | ||
Investment Grade Bond Fund | 44,634 | |||
Multi-Asset Income Fund | 832 |
Sub-transfer agent fees attributable to Class A, Class C, Class Y and Admin Class are allocated on apro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2019 were as follows:
Fund | Commissions | |||
High Income Fund | $ | 1,580 | ||
Investment Grade Bond Fund | 16,877 | |||
Multi-Asset Income Fund | 1,929 |
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 or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $360,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $190,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
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June 30, 2019 (Unaudited)
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocatedpro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustee of the Trusts.
g. Affiliated Ownership. As of June 30, 2019, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund and Multi-Asset Income Fund representing 0.11% and 0.85%, respectively, of the Funds’ net assets.
Investment activities of affiliated shareholders could have material impacts on the Fund.
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the High Income Fund and Multi-Asset Income Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2020 and is not subject to recovery under the expense limitation agreement described above.
For the six months ended June 30, 2019, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:
Reimbursement of Transfer Agent Fees and Expenses | ||||
Fund | Class N | |||
High Income Fund | $ | 92 | ||
Multi-Asset Income Fund | 87 |
7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C, Class Y and Admin Class are allocated on apro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
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June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, the Funds incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):
Transfer Agent Fees and Expenses | ||||||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | Admin Class | |||||||||||||||
High Income Fund | $ | 14,176 | $ | 3,199 | $ | 92 | $ | 63,955 | $ | — | ||||||||||
Investment Grade Bond Fund | 323,013 | 138,120 | 3,168 | 1,333,000 | 50,182 | |||||||||||||||
Multi-Asset Income Fund | 17,346 | 8,107 | 87 | 15,000 | — |
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected as legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
For the six months ended June 30, 2019, none of the Funds had borrowings under this agreement.
9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2019, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on
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June 30, 2019 (Unaudited)
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 | 2 | 12.93 | % | |||||
Investment Grade Bond Fund | 1 | 19.19 | % |
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for anon-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended June 30, 2019 | | Period Ended December 31, 2018(a) | |||||||||||||
High Income Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 287,961 | $ | 1,210,428 | 318,942 | $ | 1,321,333 | ||||||||||
Issued in connection with the reinvestment of distributions | 115,582 | 485,691 | 84,926 | 349,137 | ||||||||||||
Redeemed | (851,636 | ) | (3,579,256 | ) | (764,361 | ) | (3,151,340 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (448,093 | ) | $ | (1,883,137 | ) | (360,493 | ) | $ | (1,480,870 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 27,779 | $ | 117,607 | 42,068 | $ | 171,916 | ||||||||||
Issued in connection with the reinvestment of distributions | 22,715 | 95,755 | 16,483 | 68,043 | ||||||||||||
Redeemed | (246,818 | ) | (1,039,500 | ) | (186,823 | ) | (777,538 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (196,324 | ) | $ | (826,138 | ) | (128,272 | ) | $ | (537,579 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 252,994 | $ | 1,068,014 | 169,687 | $ | 691,887 | ||||||||||
Issued in connection with the reinvestment of distributions | 73,040 | 307,059 | 43,495 | 178,710 | ||||||||||||
Redeemed | (153,750 | ) | (647,280 | ) | (33,788 | ) | (139,949 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 172,284 | $ | 727,793 | 179,394 | $ | 730,648 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 3,390,776 | $ | 14,211,496 | 2,504,282 | $ | 10,312,064 | ||||||||||
Issued in connection with the reinvestment of distributions | 524,422 | 2,200,935 | 433,237 | 1,776,880 | ||||||||||||
Redeemed | (2,335,271 | ) | (9,789,340 | ) | (8,528,009 | ) | (34,312,719 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,579,927 | $ | 6,623,091 | (5,590,490 | ) | $ | (22,223,775 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 1,107,794 | $ | 4,641,609 | (5,899,861 | ) | $ | (23,511,576 | ) | ||||||||
|
|
|
|
|
|
|
|
(a) | For the period October 1, 2018 through December 31, 2018. |
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June 30, 2019 (Unaudited)
11. Capital Shares (continued).
| Year Ended September 30, 2018 | |||||||
High Income Fund | Shares | Amount | ||||||
Class A |
| |||||||
Issued from the sale of shares | 1,898,245 | $ | 8,166,854 | |||||
Issued in connection with the reinvestment of distributions | 243,140 | 1,040,786 | ||||||
Redeemed | (3,771,177 | ) | (16,210,208 | ) | ||||
|
|
|
| |||||
Net change | (1,629,792 | ) | $ | (7,002,568 | ) | |||
|
|
|
| |||||
Class C |
| |||||||
Issued from the sale of shares | 122,450 | $ | 527,966 | |||||
Issued in connection with the reinvestment of distributions | 61,116 | 262,711 | ||||||
Redeemed | (1,279,539 | ) | (5,486,771 | ) | ||||
|
|
|
| |||||
Net change | (1,095,973 | ) | $ | (4,696,094 | ) | |||
|
|
|
| |||||
Class N |
| |||||||
Issued from the sale of shares | 2,698,050 | $ | 11,518,120 | |||||
Issued in connection with the reinvestment of distributions | 61,394 | 259,688 | ||||||
Redeemed | (325,438 | ) | (1,383,775 | ) | ||||
|
|
|
| |||||
Net change | 2,434,006 | $ | 10,394,033 | |||||
|
|
|
| |||||
Class Y |
| |||||||
Issued from the sale of shares | 9,865,696 | $ | 42,237,402 | |||||
Issued in connection with the reinvestment of distributions | 1,120,509 | 4,782,844 | ||||||
Redeemed | (11,587,593 | ) | (49,564,049 | ) | ||||
|
|
|
| |||||
Net change | (601,388 | ) | $ | (2,543,803 | ) | |||
|
|
|
| |||||
Increase (decrease) from capital share transactions | (893,147 | ) | $ | (3,848,432 | ) | |||
|
|
|
|
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June 30, 2019 (Unaudited)
11. Capital Shares (continued).
| Six Months Ended June 30, 2019 | | Period Ended December 31, 2018(a) | |||||||||||||
Investment Grade Bond Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 12,469,512 | $ | 137,005,518 | 6,491,737 | $ | 70,239,572 | ||||||||||
Issued in connection with the reinvestment of distributions | 813,949 | 8,979,149 | 692,485 | 7,466,489 | ||||||||||||
Redeemed | (12,930,016 | ) | (142,151,973 | ) | (11,048,598 | ) | (119,531,449 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 353,445 | $ | 3,832,694 | (3,864,376 | ) | $ | (41,825,388 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 786,697 | $ | 8,539,109 | 945,273 | $ | 10,091,858 | ||||||||||
Issued in connection with the reinvestment of distributions | 252,745 | 2,753,866 | 284,418 | 3,032,080 | ||||||||||||
Redeemed | (10,589,209 | ) | (114,948,072 | ) | (4,883,774 | ) | (52,357,128 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (9,549,767 | ) | $ | (103,655,097 | ) | (3,654,083 | ) | $ | (39,233,190 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 17,390,989 | $ | 191,294,727 | 7,202,004 | $ | 78,146,326 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,924,065 | 21,232,971 | 1,542,978 | 16,637,378 | ||||||||||||
Redeemed | (14,641,506 | ) | (161,103,742 | ) | (9,753,310 | ) | (105,566,599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 4,673,548 | $ | 51,423,956 | (1,008,328 | ) | $ | (10,782,895 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 45,241,111 | $ | 496,817,718 | 26,286,587 | $ | 284,802,649 | ||||||||||
Issued in connection with the reinvestment of distributions | 4,030,993 | 44,505,205 | 3,150,471 | 33,984,081 | ||||||||||||
Redeemed | (41,084,746 | ) | (452,530,727 | ) | (32,471,159 | ) | (351,840,854 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 8,187,358 | $ | 88,792,196 | (3,034,101 | ) | $ | (33,054,124 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Admin Class |
| |||||||||||||||
Issued from the sale of shares | 995,600 | $ | 10,923,284 | 286,732 | $ | 3,102,815 | ||||||||||
Issued in connection with the reinvestment of distributions | 139,932 | 1,539,955 | 117,845 | 1,266,981 | ||||||||||||
Redeemed | (957,445 | ) | (10,493,042 | ) | (521,944 | ) | (5,641,958 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 178,087 | $ | 1,970,197 | (117,367 | ) | $ | (1,272,162 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 3,842,671 | $ | 42,363,946 | (11,678,255 | ) | $ | (126,167,759 | ) | ||||||||
|
|
|
|
|
|
|
|
(a) | For the period October 1, 2018 through December 31, 2018. |
103 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
11. Capital Shares (continued).
| Year Ended September 30, 2018 | |||||||
Investment Grade Bond Fund | Shares | Amount | ||||||
Class A |
| |||||||
Issued from the sale of shares | 26,350,729 | $ | 290,166,021 | |||||
Issued in connection with the reinvestment of distributions | 1,939,385 | 21,405,938 | ||||||
Redeemed | (37,379,900 | ) | (411,498,034 | ) | ||||
|
|
|
| |||||
Net change | (9,089,786 | ) | $ | (99,926,075 | ) | |||
|
|
|
| |||||
Class C |
| |||||||
Issued from the sale of shares | 2,011,124 | $ | 22,000,351 | |||||
Issued in connection with the reinvestment of distributions | 1,080,461 | 11,807,321 | ||||||
Redeemed | (26,695,866 | ) | (290,792,159 | ) | ||||
|
|
|
| |||||
Net change | (23,604,281 | ) | $ | (256,984,487 | ) | |||
|
|
|
| |||||
Class N |
| |||||||
Issued from the sale of shares | 47,337,549 | $ | 520,862,751 | |||||
Issued in connection with the reinvestment of distributions | 3,799,061 | 41,897,623 | ||||||
Redeemed | (43,651,422 | ) | (478,691,782 | ) | ||||
|
|
|
| |||||
Net change | 7,485,188 | $ | 84,068,592 | |||||
|
|
|
| |||||
Class Y |
| |||||||
Issued from the sale of shares | 83,609,222 | $ | 923,226,055 | |||||
Issued in connection with the reinvestment of distributions | 8,916,183 | 98,436,771 | ||||||
Redeemed | (124,671,025 | ) | (1,373,103,002 | ) | ||||
|
|
|
| |||||
Net change | (32,145,620 | ) | $ | (351,440,176 | ) | |||
|
|
|
| |||||
Admin Class |
| |||||||
Issued from the sale of shares | 9,244,822 | $ | 100,929,159 | |||||
Issued in connection with the reinvestment of distributions | 37,178 | 408,621 | ||||||
Redeemed | (1,018,175 | ) | (11,215,394 | ) | ||||
|
|
|
| |||||
Net change | 8,263,825 | $ | 90,122,386 | |||||
|
|
|
| |||||
Increase (decrease) from capital share transactions | (49,090,674 | ) | $ | (534,159,760 | ) | |||
|
|
|
|
| 104
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
11. Capital Shares (continued).
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
Multi-Asset Income Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 216,546 | $ | 2,695,484 | 1,636,199 | $ | 21,887,217 | ||||||||||
Issued in connection with the reinvestment of distributions | 70,158 | 869,906 | 246,032 | 3,167,673 | ||||||||||||
Redeemed | (1,969,598 | ) | (24,412,282 | ) | (1,495,395 | ) | (19,584,653 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,682,894 | ) | $ | (20,846,892 | ) | 386,836 | $ | 5,470,237 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 61,203 | $ | 755,167 | 610,774 | $ | 8,033,966 | ||||||||||
Issued in connection with the reinvestment of distributions | 23,942 | 295,493 | 102,629 | 1,321,750 | ||||||||||||
Redeemed | (442,973 | ) | (5,462,413 | ) | (1,326,399 | ) | (17,492,118 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (357,828 | ) | $ | (4,411,753 | ) | (612,996 | ) | $ | (8,136,402 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 717 | $ | 8,981 | — | $ | — | ||||||||||
Issued in connection with the reinvestment of distributions | 66 | 819 | 184 | 2,352 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 783 | $ | 9,800 | 184 | $ | 2,352 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 1,597,595 | $ | 19,687,554 | 1,950,280 | $ | 25,895,828 | ||||||||||
Issued in connection with the reinvestment of distributions | 60,874 | 749,739 | 213,365 | 2,746,556 | ||||||||||||
Redeemed | (1,274,319 | ) | (15,771,925 | ) | (2,215,349 | ) | (28,814,661 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 384,150 | $ | 4,665,368 | (51,704 | ) | $ | (172,277 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (1,655,789 | ) | $ | (20,583,477 | ) | (277,680 | ) | $ | (2,836,090 | ) | ||||||
|
|
|
|
|
|
|
|
105 |
Table of Contents
NATIXIS FUNDS
LOOMIS SAYLES FUNDS
Supplement dated February 12, 2019 to the Loomis Sayles Funds Statutory Prospectus, dated February 1, 2019, the Natixis Funds Statutory Prospectus dated February 1, 2019, April 1, 2018, May 1, 2018, June 1, 2018 and December 28, 2018, as may be revised or supplemented from time to time, for the following funds:
AEW Real Estate Fund | Mirova International Sustainable Equity Fund | |
ASG Global Alternatives Fund | Natixis Oakmark Fund | |
ASG Managed Futures Strategy Fund | Natixis Oakmark International Fund | |
Gateway Fund | Natixis Sustainable Future 2015 FundSM | |
Gateway Equity Call Premium Fund | Natixis Sustainable Future 2020 FundSM | |
Loomis Sayles Global Allocation Fund | Natixis Sustainable Future 2025 FundSM | |
Loomis Sayles Global Growth Fund | Natixis Sustainable Future 2030 FundSM | |
Loomis Sayles Growth Fund | Natixis Sustainable Future 2035 FundSM | |
Loomis Sayles High Income Fund | Natixis Sustainable Future 2040 FundSM | |
Loomis Sayles Intermediate Duration Bond Fund | Natixis Sustainable Future 2045 FundSM | |
Loomis Sayles Investment Grade Bond Fund | Natixis Sustainable Future 2050 FundSM | |
Loomis Sayles Limited Term Government and Agency Fund | Natixis Sustainable Future 2055 FundSM | |
Loomis Sayles Multi-Asset Income Fund | Natixis Sustainable Future 2060 FundSM | |
Loomis Sayles Senior Floating Rate and Fixed Income Fund | Natixis U.S. Equity Opportunities Fund | |
Loomis Sayles Strategic Alpha Fund | Vaughan Nelson Select Fund | |
Loomis Sayles Strategic Income Fund | Vaughan Nelson Small Cap Value Fund | |
Mirova Global Green Bond Fund | Vaughan Nelson Value Opportunity Fund | |
Mirova Global Sustainable Equity Fund |
Effective immediately, the information under the sub-section “Class N Shares” in the section “Purchase and Sale of Fund Shares” of the Fund Summary for each Fund is hereby amended and restated as follows:
Class N shares of the Fund are subject to a $1,000,000 initial investment minimum. There is no initial investment minimum for Certain Retirement Plans and funds of funds that are distributed by Natixis Distribution, L.P. (the “Distributor”). Sub accounts held
This page not part of shareholder report | SP2019-32 |
Table of Contents
within an omnibus account, where the omnibus account has at least $1,000,000, are not required to meet the investment minimum. There is no subsequent investment minimum for these shares. In its sole discretion, the Distributor may waive the investment minimum requirement for accounts as to which the Distributor reasonably believes will have enough assets to exceed the investment minimum requirement within a relatively short period of time following the establishment date of such accounts in Class N. If, after two years, an account’s value does not exceed the investment minimum requirement, the Distributor and the Fund reserve the right to redeem such account.
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Loomis Sayles Multi-Asset Income Fund
Mirova Global Sustainable Equity Fund
Natixis Oakmark Fund
Natixis Oakmark International Fund
Natixis U.S. Equity Opportunities Fund
(each a “Fund”)
Supplement dated May 23, 2019 to the Natixis Funds Prospectus and Summary Prospectuses, each dated May 1, 2019, as may be revised and supplemented from time to time.
Effective immediately, the text of the last footnote to the “Annual Fund Operating Expenses” table in the “Fund Fees & Expenses” sub-section of the Fund Summary section of each Fund’s prospectus is hereby amended and restated as follows:
Natixis Advisors, L.P. (“Natixis Advisors”) has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for Class N shares. This undertaking is in effect through April 30, 2020 and may be terminated before then only with the consent of the Fund’s Board of Trustees.
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Table of Contents
NATIXIS FUNDS
Supplement dated June 28, 2019 to the Natixis Funds Prospectuses and Summary Prospectuses, each dated May 1, 2019, as may be revised or supplemented from time to time, for the following funds:
LOOMIS SAYLES HIGH INCOME FUND
(the “Fund”)
Effective July 1, 2019, Loomis, Sayles & Company, L.P. has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.00%, 1.75%, 0.70%, 1.00% and 0.75% of the Fund’s average daily net assets for Class A, C, N, T and Y shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2021.
Accordingly, the Annual Fund Operating Expenses table and the Example table within the section “Fund Fees & Expenses” are amended and restated as follows with respect to the Fund:
Annual Fund Operating Expenses |
(expenses that you pay each year as a percentage of the value of your investment)
Class A | Class C | Class N | Class T | Class Y | ||||||||||||||||
Management fees | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||
Distribution and/or service (12b-1) fees | 0.25 | % | 1.00 | % | 0.00 | % | 0.25 | % | 0.00 | % | ||||||||||
Other expenses | 0.42 | % | 0.42 | % | 0.29 | % | 0.42 | %1 | 0.42 | % | ||||||||||
Total annual fund operating expenses | 1.27 | % | 2.02 | % | 0.89 | % | 1.27 | % | 1.02 | % | ||||||||||
Fee waiver and/or expense reimbursement2,3 | 0.27 | % | 0.27 | % | 0.19 | % | 0.27 | % | 0.27 | % | ||||||||||
Total annual fund operating expenses after fee waiver and/or expense reimbursement | 1.00 | % | 1.75 | % | 0.70 | % | 1.00 | % | 0.75 | % |
1 | Other expenses are estimated for the current fiscal year. |
2 | Loomis, Sayles & Company, L.P. (“Loomis Sayles” or the “Adviser”) has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.00%, 1.75%, 0.70%, 1.00% and 0.75% of the Fund’s average daily net assets for Class A, C, N, T and Y shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking |
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is in effect through April 30, 2021 and may be terminated before then only with the consent of the Fund’s Board of Trustees. The Adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable expense limitations for Class A, C, N, T and Y shares. The Fund will not be obligated to repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed. |
3 | Natixis Advisors, L.P. has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for Class N shares. This undertaking is in effect through April 30, 2020 and may be terminated before then only with the consent of the Fund’s Board of Trustees. |
Example |
This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated). The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the example is based on the Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waivers and/or reimbursements will only be in place through the dates noted above and on the Total Annual Fund Operating Expenses for the remaining periods. Although your actual costs may be higher or lower, based on these assumptions your costs would be:
If shares are redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class A | $ | 523 | $ | 763 | $ | 1,046 | $ | 1,851 | ||||||||
Class C | $ | 278 | $ | 585 | $ | 1,041 | $ | 2,307 | ||||||||
Class N | $ | 72 | $ | 248 | $ | 458 | $ | 1,063 | ||||||||
Class T | $ | 349 | $ | 594 | $ | 882 | $ | 1,702 | ||||||||
Class Y | $ | 77 | $ | 274 | $ | 514 | $ | 1,202 | ||||||||
If shares are not redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class C | $ | 178 | $ | 585 | $ | 1,041 | $ | 2,307 |
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Table of Contents
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
(the “Fund”)
Effective July 1, 2019, Loomis, Sayles & Company, L.P. has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 0.76%, 1.51%, 0.46%, 0.76%, 0.51% and 1.01% of the Fund’s average daily net assets for Class A, C, N, T, Y and Admin Class shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2021.
Accordingly, the Annual Fund Operating Expenses table and the Example table within the section “Fund Fees & Expenses” are amended and restated as follows with respect to the Fund:
Annual Fund Operating Expenses |
(expenses that you pay each year as a percentage of the value of your investment)
Class A | Class C | Class N | Class T | Class Y | Admin Class | |||||||||||||||||||
Management fees | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||||
Distribution and/or service (12b-1) fees | 0.25 | % | 1.00 | % | 0.00 | % | 0.25 | % | 0.00 | % | 0.25 | % | ||||||||||||
Other expenses | 0.17 | % | 0.17 | % | 0.08 | % | 0.17 | %1 | 0.17 | % | 0.42 | 2 | ||||||||||||
Total annual fund operating expenses | 0.82 | % | 1.57 | % | 0.48 | % | 0.82 | % | 0.57 | % | 1.07 | % | ||||||||||||
Fee waiver and/or expense reimbursement3 | 0.06 | % | 0.06 | % | 0.02 | % | 0.06 | % | 0.06 | % | 0.06 | % | ||||||||||||
Total annual fund operating expenses after fee waiver and/or expense reimbursement | 0.76 | % | 1.51 | % | 0.46 | % | 0.76 | % | 0.51 | % | 1.01 | % |
1 | Other expenses are estimated for the current fiscal year. |
2 | Other expenses include an administrative services fee of 0.25% for Admin Class shares. |
3 | Loomis, Sayles & Company, L.P. (“Loomis Sayles” or the “Adviser”) has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 0.76%, 1.51%, 0.46%, 0.76%, 0.51% and 1.01% of the Fund’s average daily net assets for Class A, C, N, T, Y and Admin Class shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, |
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Table of Contents
taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2021 and may be terminated before then only with the consent of the Fund’s Board of Trustees. The Adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable expense limitations for Class A, C, N, T, Y and Admin Class shares. The Fund will not be obligated to repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed. |
Example |
This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated). The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the example is based on the Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waiver and/or reimbursement will only be in place through the date noted above and on the Total Annual Fund Operating Expenses for the remaining periods. Although your actual costs may be higher or lower, based on these assumptions your costs would be:
If shares are redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class A | $ | 499 | $ | 665 | $ | 850 | $ | 1,385 | ||||||||
Class C | $ | 254 | $ | 485 | $ | 845 | $ | 1,858 | ||||||||
Class N | $ | 47 | $ | 150 | $ | 265 | $ | 600 | ||||||||
Class T | $ | 326 | $ | 494 | $ | 683 | $ | 1,228 | ||||||||
Class Y | $ | 52 | $ | 171 | $ | 307 | $ | 703 | ||||||||
Admin Class | $ | 103 | $ | 329 | $ | 579 | $ | 1,295 | ||||||||
If shares are not redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class C | $ | 154 | $ | 485 | $ | 845 | $ | 1,858 |
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Table of Contents
LOOMIS SAYLES HIGH INCOME FUND
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
LOOMIS SAYLES STRATEGIC ALPHA FUND
The biographical information for Matthew J. Eagan, under “Loomis Sayles” in the subsection “Meet the Funds’ Portfolio Managers” under the section “Management Team” in the Prospectus is amended to include the following:
Matthew J. Eagan is an Executive Vice President and a member of the Board of Directors of Loomis Sayles.
LOOMIS SAYLES HIGH INCOME FUND
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
The biographical information for Elaine M. Stokes under “Loomis Sayles” in the subsection “Meet the Funds’ Portfolio Managers” under the section “Management Team” in the Prospectus is amended to include the following:
Elaine M. Stokes is an Executive Vice President and a member of the Board of Directors of Loomis Sayles.
ASG Dynamic Allocation Fund | McDonnell Intermediate Municipal Bond Fund | |
ASG Global Alternatives Fund | Mirova Global Green Bond Fund | |
ASG Managed Futures Strategy Fund | Mirova Global Sustainable Equity Fund | |
ASG Tactical U.S. Market Fund | Mirova International Sustainable Equity Fund | |
Gateway Equity Call Premium Fund | Natixis Oakmark Fund | |
Gateway Fund | Natixis Oakmark International Fund | |
Loomis Sayles High Income Fund | Natixis U.S. Equity Opportunities Fund | |
Loomis Sayles Investment Grade Bond Fund | Vaughan Nelson Small Cap Value Fund | |
Loomis Sayles Multi-Asset Income Fund | Vaughan Nelson Value Opportunity Fund | |
Loomis Sayles Strategic Alpha Fund |
(each a “Fund”)
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Table of Contents
Effective July 1, 2019, the following is added to the Prospectus as “APPENDIX B — Financial Intermediary Specific Commissions & Investment Minimum Waivers”.
APPENDIX B — Financial Intermediary Specific Commissions & Investment Minimum Waivers
UBS Financial Services, Inc. (“UBS-FS”)
Pursuant to an agreement with the Funds, Class Y shares may be available on certain brokerage platforms at UBS-FS. For such platforms, UBS-FS may charge commissions on brokerage transactions in each Fund’s Class Y shares. A shareholder should contact UBS-FS for information about the commissions charged by UBS-FS for such transactions. Shares of each Fund are available in other share classes that have different fees and expenses.
The initial and subsequent investment minimums for Class Y shares are waived for transactions through such brokerage platforms at UBS-FS.
This page not part of shareholder report
Table of Contents
Semiannual Report
June 30, 2019
Mirova Global Green Bond Fund
Mirova Global Sustainable Equity Fund
Mirova International Sustainable Equity Fund
Portfolio Review | 1 | |||
Portfolio of Investments | 15 | |||
Financial Statements | 27 | |||
Notes to Financial Statements | 43 | |||
Shareholder Supplement (previously posted to the Fund’s website) | enclosed |
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically atwww.icsdelivery.com/natixisfunds.
Table of Contents
Managers | Symbols | |
Marc Briand | Class A MGGAX | |
Charles Portier | Class N MGGNX | |
Mirova US LLC | Class Y MGGYX | |
(formerly, a division within Ostrum Asset Management U.S., LLC) | ||
Investment Goal
The Fund seeks to provide total return, through a combination of capital appreciation and current income, by investing in green bonds.
1 |
Table of Contents
Average Annual Total Returns — June 30, 20192
Expense Ratio3 | ||||||||||||||||||||
6 Months | 1 Year | Life of Fund | Gross | Net | ||||||||||||||||
Class Y (Inception 2/28/17) | ||||||||||||||||||||
NAV | 7.65 | % | 8.56 | % | 4.34 | % | 1.39 | % | 0.71 | % | ||||||||||
Class A (Inception 2/28/17) | ||||||||||||||||||||
NAV | 7.53 | 8.29 | 4.09 | 1.75 | 0.96 | |||||||||||||||
With 4.25% Maximum Sales Charge | 2.97 | 3.65 | 2.18 | |||||||||||||||||
Class N (Inception 2/28/17) | ||||||||||||||||||||
NAV | 7.67 | 8.59 | 4.41 | 1.12 | 0.66 | |||||||||||||||
Comparative Performance | ||||||||||||||||||||
Bloomberg Barclays MSCI Green Bond Index1 | 7.72 | 9.32 | 5.49 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recentmonth-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 | The Bloomberg Barclays MSCI Green Bond Index provides a broad-based measure of global fixed-income securities issued to fund projects with direct environmental benefits according to MSCI ESG Research’s green bond criteria. The green bonds are primarily investment-grade, or may be classified by other sources when bond ratings are not available. The Index may include green bonds from the corporate, securitized, Treasury, or government-related sectors. |
2 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
3 | 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 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
| 2
Table of Contents
MIROVA GLOBAL SUSTAINABLE EQUITY FUND
Managers | Symbols | |
Jens Peers, CFA® | Class A ESGMX | |
Hua Cheng, CFA®, PhD | Class C ESGCX | |
Amber Fairbanks, CFA® | Class N ESGNX | |
Mirova US LLC | Class Y ESGYX | |
(formerly, a division within Ostrum Asset Management U.S., LLC) |
Investment Goal
The Fund seeks long-term capital appreciation.
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Average Annual Total Returns — June 30, 20193
6 Months
| 1 Year
| Life of Class
| Expense Ratios4 | |||||||||||||||||||||
Gross | Net | |||||||||||||||||||||||
Class Y (Inception 3/31/16) | Class Y/A/C | Class N | ||||||||||||||||||||||
NAV | 21.66 | % | 11.71 | % | 12.82 | % | — | % | 1.14 | % | 0.95 | % | ||||||||||||
Class A (Inception 3/31/16) | ||||||||||||||||||||||||
NAV | 21.47 | 11.43 | 12.55 | — | 1.38 | 1.20 | ||||||||||||||||||
With 5.75% Maximum Sales Charge | 14.47 | 5.02 | 10.51 | — | ||||||||||||||||||||
Class C (Inception 3/31/16) | ||||||||||||||||||||||||
NAV | 20.98 | 10.61 | 11.70 | — | 2.13 | 1.95 | ||||||||||||||||||
With CDSC1 | 19.98 | 9.61 | 11.70 | — | ||||||||||||||||||||
Class N (Inception 5/1/17) | ||||||||||||||||||||||||
NAV | 21.66 | 11.78 | — | 13.26 | 1.07 | 0.92 | ||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||
MSCI World Index (Net)2 | 16.98 | 6.33 | 11.17 | 9.13 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance.Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | MSCI World Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets. It is composed of common stocks of companies representative of the market structure of developed market countries in North America, Europe, and the Asia/Pacific Region. The index is calculated without dividends, with net or with gross dividends reinvested, in both U.S. dollars and local currencies. |
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 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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MIROVA INTERNATIONAL SUSTAINABLE EQUITY FUND
Managers | Symbols | |
Jens Peers, CFA® | Class A MRVAX | |
Hua Cheng, CFA® PhD | Class N MRVNX | |
Amber Fairbanks, CFA® | Class Y MRVYX | |
Mirova US LLC (formerly, a division within Ostrum Asset Management U.S., LLC) |
Investment Goal
The Fund seeks long-term capital appreciation.
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Total Returns — June 30, 20192
6 Months4
| Life of Fund
| Expense Ratios3 | ||||||||||||||
Gross | Net | |||||||||||||||
Class Y (Inception 12/28/18) | ||||||||||||||||
NAV | 15.03 | % | 15.14 | % | 1.74 | % | 0.95 | % | ||||||||
Class A (Inception 12/28/18) | ||||||||||||||||
NAV | 14.82 | 14.94 | 1.99 | 1.20 | ||||||||||||
With 5.75% Maximum Sales Charge | 8.23 | 8.33 | ||||||||||||||
Class N (Inception 12/28/18) | ||||||||||||||||
NAV | 15.03 | 15.14 | 1.64 | 0.90 | ||||||||||||
Comparative Performance | ||||||||||||||||
MSCI EAFE Index (Net)1 | 14.03 | 14.53 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance.Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | The MSCI EAFE Index (Net) is a free float-adjusted market capitalization index designed to measure large andmid-cap equity performance in developed markets, excluding the U.S. and Canada. The Index includes countries in Europe, Australasia, and the Far East. |
2 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
3 | 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 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | 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 reflected above are different from the total returns reported in the financial highlights. The returns presented in the table above are what an investor would have actually experienced. |
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ADDITIONAL INFORMATION
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on Natixis Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table for each class shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2019 through June 30, 2019. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.
The second line for the table of each class provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
MIROVA GLOBAL GREEN BOND FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID DURING PERIOD* 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,075.30 | $4.94 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.03 | $4.81 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,076.70 | $3.40 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.52 | $3.31 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,076.50 | $3.66 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.27 | $3.56 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.96%, 0.66% and 0.71% for Class A, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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MIROVA GLOBAL SUSTAINABLE EQUITY FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID DURING PERIOD* 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | �� | $1,000.00 | $1,214.70 | $6.64 | ||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.79 | $6.06 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,209.80 | $10.74 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.08 | $9.79 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,216.60 | $5.00 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.28 | $4.56 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,216.60 | $5.28 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.03 | $4.81 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.21%, 1.96%, 0.91% and 0.96% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
MIROVA INTERNATIONAL SUSTAINABLE EQUITY FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019** | EXPENSES PAID DURING PERIOD* 1/1/2019 – 6/30/2019** | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,145.90 | $6.44 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.79 | $6.06 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,148.00 | $4.90 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.23 | $4.61 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,148.00 | $5.17 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.98 | $4.86 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.21%, 0.92% and 0.97% for Class A, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
** | Generally accepted accounting principles require certain adjustments to be made to the net assets of the Fund for financial reporting purposes only. Amounts expressed in the table include the effect of such adjustments. |
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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS
The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additionalone-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements. Mirova International Sustainable Equity Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory agreement is effective until December 28, 2020.
In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ advisory fees to the fees charged to institutional accounts, with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) the Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category,
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where available, performance ratings provided by a third-party, where available, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreements for aone-year period at its meeting held in June 2019. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements.The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates.
The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, for any Funds with more than one year’s performance,the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.
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The Board noted that, through December 31, 2018, each Fund’sone-year performance, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):
One-Year | Three-Year | Five-Year | ||||||
Mirova Global Sustainable Equity Fund | 29 | % | N/A | N/A | ||||
Mirova Global Green Bond Fund | 33 | % | N/A | N/A |
The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees chargedto the Funds for advisory and administrative services as well as the total expense levels of the Funds. Thisinformation included comparisons (provided both by management and by anindependent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparableaccounts (such as institutional separate accounts), as well as information about differencesin such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trusteesconsidered, among other things, management’s representations about the differencesbetween managing mutual funds as compared to other types of accounts, including theadditional resources required to effectively manage mutual fund assets and the greater regulatory costsassociated with the management of such assets. In evaluating each Fund’s advisoryfee, the Trustees also took into account the demands, complexity and quality of theinvestment management of such Fund, as well as the need for the Adviser to offer competitivecompensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management hadmade recommendations regarding reductions in advisory fee rates, implementation ofadvisory fee breakpoints and the institution of advisory fee waivers and expense caps forvarious funds in the fund family. They noted that the Funds have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for the Funds under their caps.
The Trustees noted that the Mirova Global Sustainable Equity Fund had a contractual advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rate, including that management believes the fee rate is reasonable considering that the profitability from the advisory and administrative relationships with the Fund was still negative and therefore the effective advisory fee rate is less than the contractual fee rate.
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The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense caps. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense caps. The Trustees noted that each Fund was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund. |
· | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Funds. |
· | So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution and administrative services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with |
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these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2020.
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Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova Global Green Bond Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes — 89.7% of Net Assets | ||||||||
Australia — 1.2% |
| |||||||
300,000 | Westpac Banking Corp., EMTN, 0.625%, 11/22/2024, (EUR)(a) | $ | 350,101 | |||||
|
| |||||||
Austria — 0.8% |
| |||||||
200,000 | Verbund AG, 1.500%, 11/20/2024, (EUR)(a) | 244,372 | ||||||
|
| |||||||
Belgium — 2.4% |
| |||||||
400,000 | KBC Group NV, EMTN, 0.875%, 6/27/2023, (EUR)(a) | 468,258 | ||||||
200,000 | Kingdom of Belgium, Series 86, 1.250%, 4/22/2033, (EUR)(a) | 254,933 | ||||||
|
| |||||||
723,191 | ||||||||
|
| |||||||
Brazil — 1.4% |
| |||||||
400,000 | Fibria Overseas Finance Ltd., 5.500%, 1/17/2027(a) | 428,604 | ||||||
|
| |||||||
Canada — 2.7% |
| |||||||
1,000,000 | Province of Ontario Canada, 1.950%, 1/27/2023, (CAD)(a) | 769,761 | ||||||
50,000 | Province of Quebec Canada, 2.600%, 7/06/2025, (CAD)(a) | 39,761 | ||||||
|
| |||||||
809,522 | ||||||||
|
| |||||||
Denmark — 2.5% |
| |||||||
600,000 | Orsted AS, 1.500%, 11/26/2029, (EUR)(a) | 736,893 | ||||||
|
| |||||||
Finland — 0.7% |
| |||||||
200,000 | Municipality Finance PLC, 1.375%, 9/21/2021(a) | 197,704 | ||||||
|
| |||||||
France — 16.5% |
| |||||||
800,000 | Electricite de France S.A., 3.625%, 10/13/2025(a) | 845,576 | ||||||
200,000 | Electricite de France S.A., EMTN, 1.000%, 10/13/2026, (EUR)(a) | 239,014 | ||||||
2,050,000 | France Government Bond OAT, 1.750%, 6/25/2039, 144A, (EUR)(a) | 2,839,855 | ||||||
300,000 | ICADE, 1.500%, 9/13/2027, (EUR)(a) | 361,555 | ||||||
100,000 | SNCF Reseau, EMTN, 1.000%, 11/09/2031, (EUR)(a) | 120,862 | ||||||
400,000 | SNCF Reseau, EMTN, 1.875%, 3/30/2034, (EUR)(a) | 531,499 | ||||||
|
| |||||||
4,938,361 | ||||||||
|
| |||||||
Germany — 2.8% |
| |||||||
500,000 | Berlin Hyp AG, 0.500%, 9/26/2023, (EUR)(a) | 575,385 | ||||||
370,000 | Kreditanstalt fuer Wiederaufbau, MTN, 2.400%, 7/02/2020, (AUD)(a) | 262,835 | ||||||
|
| |||||||
838,220 | ||||||||
|
| |||||||
India — 2.0% |
| |||||||
600,000 | Indian Railway Finance Corp. Ltd., 3.835%, 12/13/2027(a) | 610,270 | ||||||
|
| |||||||
Indonesia — 0.7% |
| |||||||
200,000 | Republic of Indonesia, 3.750%, 3/01/2023(a) | 205,660 | ||||||
|
| |||||||
Italy — 2.3% |
| |||||||
300,000 | Ferrovie dello Stato Italiane SpA., EMTN, 0.875%, 12/07/2023, (EUR) | 342,703 | ||||||
300,000 | Intesa Sanpaolo SpA, EMTN, 0.875%, 6/27/2022, (EUR)(a) | 345,430 | ||||||
|
| |||||||
688,133 | ||||||||
|
| |||||||
Japan — 4.3% |
| |||||||
700,000 | Mizuho Financial Group, Inc., EMTN, 0.956%, 10/16/2024, (EUR)(a) | 820,732 | ||||||
400,000 | Sumitomo Mitsui Financial Group, Inc., EMTN, 0.934%, 10/11/2024, (EUR)(a) | 468,090 | ||||||
|
| |||||||
1,288,822 | ||||||||
|
|
See accompanying notes to financial statements.
15 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova Global Green Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Korea — 2.0% |
| |||||||
400,000 | Hyundai Capital Services, Inc., 2.875%, 3/16/2021(a) | $ | 400,407 | |||||
200,000 | Korea Water Resources Corp., EMTN, 3.875%, 5/15/2023(a) | 209,484 | ||||||
|
| |||||||
609,891 | ||||||||
|
| |||||||
Lithuania — 3.5% |
| |||||||
500,000 | Lietuvos Energija UAB, EMTN, 1.875%, 7/10/2028, (EUR)(a) | 586,459 | ||||||
400,000 | Lietuvos Energija UAB, EMTN, 2.000%, 7/14/2027, (EUR)(a) | 478,765 | ||||||
|
| |||||||
1,065,224 | ||||||||
|
| |||||||
Mexico — 0.7% |
| |||||||
200,000 | Nacional Financiera SNC, 3.375%, 11/05/2020(a) | 200,452 | ||||||
|
| |||||||
Netherlands — 6.8% |
| |||||||
200,000 | Nederlandse Waterschapsbank NV, 2.375%, 3/24/2026(a) | 203,775 | ||||||
500,000 | Royal Schiphol Group NV, EMTN, 1.500%, 11/05/2030, (EUR)(a) | 615,349 | ||||||
200,000 | TenneT Holding BV, (fixed rate to 6/01/2024, variable rate thereafter), 2.995%, (EUR)(a)(b) | 239,677 | ||||||
100,000 | TenneT Holding BV, EMTN, 1.250%, 10/24/2033, (EUR)(a) | 118,695 | ||||||
300,000 | TenneT Holding BV, EMTN, 1.375%, 6/26/2029, (EUR)(a) | 367,527 | ||||||
200,000 | TenneT Holding BV, EMTN, 1.750%, 6/04/2027, (EUR)(a) | 251,194 | ||||||
200,000 | TenneT Holding BV, EMTN, 1.875%, 6/13/2036, (EUR)(a) | 256,907 | ||||||
|
| |||||||
2,053,124 | ||||||||
|
| |||||||
Norway — 0.7% |
| |||||||
200,000 | Kommunalbanken AS, MTN, 1.375%, 10/26/2020(a) | 198,317 | ||||||
|
| |||||||
Portugal — 2.1% |
| |||||||
200,000 | EDP - Energias de Portugal S.A., (fixed rate to 4/30/2024, variable rate thereafter), 4.496%, 4/30/2079, (EUR)(a) | 248,456 | ||||||
300,000 | EDP Finance BV, EMTN, 1.875%, 10/13/2025, (EUR)(a) | 369,012 | ||||||
|
| |||||||
617,468 | ||||||||
|
| |||||||
Spain — 5.1% |
| |||||||
300,000 | ACS Servicios Comunicaciones y Energia, S.L., 1.875%, 4/20/2026, (EUR) | 348,999 | ||||||
500,000 | Iberdrola International BV, (fixed rate to 5/22/2023, variable rate thereafter), 1.875%, (EUR)(a)(b) | 576,368 | ||||||
500,000 | Iberdrola International BV, EMTN, 1.125%, 4/21/2026, (EUR)(a) | 601,988 | ||||||
|
| |||||||
1,527,355 | ||||||||
|
| |||||||
Supranationals — 4.4% |
| |||||||
100,000 | Asian Development Bank, GMTN, 2.375%, 8/10/2027(a) | 102,205 | ||||||
200,000 | European Investment Bank, 2.375%, 5/24/2027(a) | 205,873 | ||||||
700,000 | European Investment Bank, 2.500%, 10/15/2024(a) | 722,050 | ||||||
200,000 | International Bank for Reconstruction & Development, Series GDIF, 2.125%, 3/03/2025(a) | 202,582 | ||||||
100,000 | International Finance Corp., GMTN, 2.125%, 4/07/2026(a) | 101,023 | ||||||
|
| |||||||
1,333,733 | ||||||||
|
| |||||||
Sweden — 2.0% |
| |||||||
600,000 | Svensk Exportkredit AB, GMTN, 1.875%, 6/23/2020(a) | 598,687 | ||||||
|
|
See accompanying notes to financial statements.
| 16
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova Global Green Bond Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
United Kingdom — 4.5% |
| |||||||
500,000 | Anglian Water Services Financing PLC, EMTN, 1.625%, 8/10/2025, (GBP)(a) | $ | 631,803 | |||||
200,000 | SSE PLC, EMTN, 0.875%, 9/06/2025, (EUR)(a) | 231,979 | ||||||
200,000 | SSE PLC, EMTN, 1.375%, 9/04/2027, (EUR)(a) | 236,744 | ||||||
200,000 | Transport for London, EMTN, 2.125%, 4/24/2025, (GBP)(a) | 265,186 | ||||||
|
| |||||||
1,365,712 | ||||||||
|
| |||||||
United States — 17.6% |
| |||||||
300,000 | Apple, Inc., 2.850%, 2/23/2023(a) | 307,196 | ||||||
900,000 | Apple, Inc., 3.000%, 6/20/2027(a) | 922,326 | ||||||
600,000 | Bank of America Corp., (fixed rate to 5/17/2021, variable rate thereafter), MTN, 3.499%, 5/17/2022(a) | 611,563 | ||||||
500,000 | Citigroup, Inc., EMTN, 0.500%, 1/29/2022, (EUR)(a) | 576,730 | ||||||
400,000 | Digital Euro Finco LLC, 2.500%, 1/16/2026, (EUR)(a) | 495,987 | ||||||
600,000 | Digital Realty Trust LP, 3.950%, 7/01/2022(a) | 625,318 | ||||||
600,000 | DTE Electric Co., Series A, 4.050%, 5/15/2048(a) | 663,741 | ||||||
100,000 | Southern Power Co., 1.850%, 6/20/2026, (EUR)(a) | 123,319 | ||||||
400,000 | Southern Power Co., 4.150%, 12/01/2025(a) | 426,312 | ||||||
500,000 | Verizon Communications, Inc., 3.875%, 2/08/2029(a) | 536,312 | ||||||
|
| |||||||
5,288,804 | ||||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $25,602,977) | 26,918,620 | |||||||
|
| |||||||
Short-Term Investments — 6.2% | ||||||||
1,848,737 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $1,848,968 on 7/01/2019 collateralized by $1,820,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $1,887,453 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,848,737) | 1,848,737 | ||||||
|
| |||||||
Total Investments — 95.9% (Identified Cost $27,451,714) | 28,767,357 | |||||||
Other assets less liabilities — 4.1% | 1,240,673 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 30,008,030 | ||||||
|
| |||||||
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
| ||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
| ||||||
(b) | Perpetual bond with no specified maturity date. |
| ||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019, the value of Rule 144A holdings amounted to $2,839,855 or 9.5% of net assets. |
|
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova Global Green Bond Fund – (continued)
EMTN | Euro Medium Term Note |
| ||||||
GMTN | Global Medium Term Note |
| ||||||
MTN | Medium Term Note |
| ||||||
AUD | Australian Dollar |
| ||||||
CAD | Canadian Dollar |
| ||||||
EUR | Euro |
| ||||||
GBP | British Pound |
|
At June 30, 2019, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Euro-Buxl® 30 Year Bond | 9/06/2019 | 2 | $ | 447,608 | $ | 461,435 | $ | 13,827 | ||||||||||||
German Euro Bund | 9/06/2019 | 15 | 2,904,794 | 2,946,340 | 41,546 | |||||||||||||||
Ultra Long U.S. Treasury Bond | 9/19/2019 | 2 | 351,375 | 355,125 | 3,750 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 59,123 | |||||||||||||||||
|
|
At June 30, 2019, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
30 Year U.S. Treasury Bond | 9/19/2019 | 1 | $ | 150,335 | $ | 155,594 | $ | (5,259 | ) | |||||||||||
Australian Dollar | 9/16/2019 | 5 | 348,392 | 351,800 | (3,408 | ) | ||||||||||||||
British Pound | 9/16/2019 | 12 | 959,831 | 956,175 | 3,656 | |||||||||||||||
Canadian Dollar | 9/17/2019 | 11 | 828,832 | 842,105 | (13,273 | ) | ||||||||||||||
Euro | 9/16/2019 | 110 | 15,691,796 | 15,738,938 | (47,142 | ) | ||||||||||||||
UK Long Gilt | 9/26/2019 | 1 | 164,216 | 165,474 | (1,258 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (66,684 | ) | ||||||||||||||||
|
|
See accompanying notes to financial statements.
| 18
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova Global Green Bond Fund – (continued)
Industry Summary at June 30, 2019 (Unaudited)
Utility - Electric | 19.4 | % | ||
Bank | 13.8 | |||
Industrial | 11.4 | |||
Government National | 11.0 | |||
Financial | 10.5 | |||
Special Purpose | 5.2 | |||
Supra-National | 4.4 | |||
Government Agency | 4.3 | |||
Government Regional | 3.4 | |||
Gas Transmission | 2.5 | |||
Transportation - Rail | 2.0 | |||
Telephone | 1.8 | |||
Short - Term Investments | 6.2 | |||
|
| |||
Total Investments | 95.9 | |||
Other assets less liabilities (including futures contracts) | 4.1 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2019 (Unaudited)
Euro | 51.4 | % | ||
United States Dollar | 37.9 | |||
British Pound | 3.0 | |||
Canadian Dollar | 2.7 | |||
Australian Dollar | 0.9 | |||
|
| |||
Total Investments | 95.9 | |||
Other assets less liabilities (including futures contracts) | 4.1 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova Global Sustainable Equity Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 98.3% of Net Assets | ||||||||
Belgium — 2.2% |
| |||||||
37,012 | KBC Group NV | $ | 2,428,923 | |||||
|
| |||||||
China — 1.0% |
| |||||||
177,901 | BYD Co. Ltd. | 1,075,674 | ||||||
|
| |||||||
Denmark — 11.1% |
| |||||||
14,221 | Chr. Hansen Holding AS | 1,338,268 | ||||||
9,129 | Coloplast AS, Series B | 1,031,931 | ||||||
73,408 | Novo Nordisk AS, Class B | 3,749,475 | ||||||
32,600 | Orsted AS, 144A | 2,820,191 | ||||||
34,518 | Vestas Wind Systems AS | 2,990,422 | ||||||
|
| |||||||
11,930,287 | ||||||||
|
| |||||||
France — 5.8% |
| |||||||
24,991 | Danone S.A. | 2,116,043 | ||||||
23,193 | EssilorLuxottica S.A. | 3,022,555 | ||||||
34,036 | Valeo S.A. | 1,108,074 | ||||||
|
| |||||||
6,246,672 | ||||||||
|
| |||||||
Germany — 5.8% |
| |||||||
4,902 | Allianz SE, (Registered) | 1,182,245 | ||||||
24,060 | Fresenius SE & Co. KGaA, Sponsored ADR | 1,306,458 | ||||||
39,532 | Symrise AG | 3,806,543 | ||||||
|
| |||||||
6,295,246 | ||||||||
|
| |||||||
Hong Kong — 2.5% |
| |||||||
252,858 | AIA Group Ltd. | 2,730,588 | ||||||
|
| |||||||
Japan — 4.4% |
| |||||||
96,900 | Sekisui House Ltd. | 1,596,583 | ||||||
30,000 | Takeda Pharmaceutical Co. Ltd. | 1,067,185 | ||||||
71,000 | Terumo Corp. | 2,121,014 | ||||||
|
| |||||||
4,784,782 | ||||||||
|
| |||||||
Netherlands — 1.4% |
| |||||||
7,075 | ASML Holding NV | 1,472,236 | ||||||
|
| |||||||
Singapore — 0.8% |
| |||||||
1,155,300 | Raffles Medical Group Ltd. | 888,322 | ||||||
|
| |||||||
Switzerland — 0.8% |
| |||||||
1,813 | Geberit AG, (Registered) | 847,444 | ||||||
|
| |||||||
Taiwan — 1.9% |
| |||||||
52,800 | Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR | 2,068,176 | ||||||
|
| |||||||
United Kingdom — 5.1% |
| |||||||
467,239 | Legal & General Group PLC | 1,600,766 | ||||||
85,685 | Prudential PLC | 1,870,587 | ||||||
32,715 | Unilever NV | 1,987,702 | ||||||
|
| |||||||
5,459,055 | ||||||||
|
|
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova Global Sustainable Equity Fund – (continued)
Shares | Description | Value (†) | ||||||
United States — 55.5% |
| |||||||
4,000 | Adobe, Inc.(a) | $ | 1,178,600 | |||||
3,795 | Alphabet, Inc., Class A(a) | 4,109,226 | ||||||
1,299 | Amazon.com, Inc.(a) | 2,459,826 | ||||||
23,668 | American Water Works Co., Inc. | 2,745,488 | ||||||
22,700 | Aptiv PLC | 1,834,841 | ||||||
33,071 | Danaher Corp. | 4,726,507 | ||||||
46,557 | Eaton Corp. PLC | 3,877,267 | ||||||
60,013 | eBay, Inc. | 2,370,514 | ||||||
22,588 | Ecolab, Inc. | 4,459,775 | ||||||
6,396 | Estee Lauder Cos., Inc. (The), Class A | 1,171,172 | ||||||
21,797 | Gilead Sciences, Inc. | 1,472,605 | ||||||
2,199 | Illumina, Inc.(a) | 809,562 | ||||||
5,697 | International Flavors & Fragrances, Inc. | 826,578 | ||||||
19,823 | MasterCard, Inc., Class A | 5,243,778 | ||||||
39,441 | Microsoft Corp. | 5,283,516 | ||||||
7,792 | NextEra Energy, Inc. | 1,596,269 | ||||||
17,893 | Oracle Corp. | 1,019,364 | ||||||
9,474 | Roper Technologies, Inc. | 3,469,947 | ||||||
11,494 | Signature Bank | 1,388,935 | ||||||
17,624 | Thermo Fisher Scientific, Inc. | 5,175,816 | ||||||
20,946 | Visa, Inc., Class A | 3,635,178 | ||||||
10,900 | Watts Water Technologies, Inc., Series A | 1,015,662 | ||||||
|
| |||||||
59,870,426 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $86,308,733) | 106,097,831 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 1.2% | ||||||||
$ | 1,276,222 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $1,276,382 on 7/01/2019 collateralized by $1,260,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $1,306,698 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,276,222) | 1,276,222 | |||||
|
| |||||||
Total Investments — 99.5% (Identified Cost $87,584,955) | 107,374,053 | |||||||
Other assets less liabilities — 0.5% | 491,360 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 107,865,413 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Non-income producing security. |
|
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova Global Sustainable Equity 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 June 30, 2019, the value of Rule 144A holdings amounted to $2,820,191 or 2.6% of net assets. |
| ||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
|
Industry Summary at June 30, 2019 (Unaudited)
Chemicals | 9.6 | % | ||
IT Services | 8.3 | |||
Health Care Equipment & Supplies | 7.3 | |||
Software | 6.9 | |||
Insurance | 6.8 | |||
Electrical Equipment | 6.4 | |||
Life Sciences Tools & Services | 5.5 | |||
Internet & Direct Marketing Retail | 4.5 | |||
Pharmaceuticals | 4.5 | |||
Electric Utilities | 4.1 | |||
Interactive Media & Services | 3.8 | |||
Banks | 3.5 | |||
Semiconductors & Semiconductor Equipment | 3.3 | |||
Industrial Conglomerates | 3.2 | |||
Personal Products | 3.0 | |||
Textiles, Apparel & Luxury Goods | 2.8 | |||
Auto Components | 2.7 | |||
Water Utilities | 2.5 | |||
Health Care Providers & Services | 2.0 | |||
Food Products | 2.0 | |||
Other Investments, less than 2% each | 5.6 | |||
Short-Term Investments | 1.2 | |||
|
| |||
Total Investments | 99.5 | |||
Other assets less liabilities | 0.5 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova Global Sustainable Equity Fund – (continued)
Currency Exposure Summary at June 30, 2019 (Unaudited)
United States Dollar | 58.6 | % | ||
Euro | 17.1 | |||
Danish Krone | 11.1 | |||
Japanese Yen | 4.4 | |||
Hong Kong Dollar | 3.5 | |||
British Pound | 3.2 | |||
Other, less than 2% each | 1.6 | |||
|
| |||
Total Investments | 99.5 | |||
Other assets less liabilities | 0.5 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova International Sustainable Equity Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 92.2% of Net Assets | ||||||||
Australia — 3.1% |
| |||||||
25,353 | Brambles Ltd. | $ | 229,612 | |||||
69,752 | Stockland | 204,516 | ||||||
|
| |||||||
434,128 | ||||||||
|
| |||||||
Belgium — 4.6% |
| |||||||
7,742 | KBC Group NV | 508,071 | ||||||
4,633 | Umicore S.A. | 148,681 | ||||||
|
| |||||||
656,752 | ||||||||
|
| |||||||
China — 1.2% |
| |||||||
29,000 | BYD Co. Ltd. | 175,348 | ||||||
|
| |||||||
Denmark — 11.0% |
| |||||||
4,159 | Chr. Hansen Holding AS | 391,383 | ||||||
8,190 | Novo Nordisk AS, Class B | 418,322 | ||||||
3,707 | Orsted AS, 144A | 320,689 | ||||||
4,910 | Vestas Wind Systems AS | 425,371 | ||||||
|
| |||||||
1,555,765 | ||||||||
|
| |||||||
France — 15.8% |
| |||||||
1,531 | Air Liquide S.A. | 214,139 | ||||||
17,517 | Credit Agricole S.A. | 209,025 | ||||||
2,665 | Danone S.A. | 225,651 | ||||||
1,596 | Dassault Systemes SE | 254,571 | ||||||
3,445 | EssilorLuxottica S.A. | 448,959 | ||||||
821 | L’Oreal S.A. | 233,433 | ||||||
1,843 | Orpea | 222,306 | ||||||
14,195 | Suez | 204,825 | ||||||
6,732 | Valeo S.A. | 219,167 | ||||||
|
| |||||||
2,232,076 | ||||||||
|
| |||||||
Germany — 7.2% |
| |||||||
933 | Allianz SE, (Registered) | 225,017 | ||||||
3,857 | Fresenius SE & Co. KGaA, Sponsored ADR | 209,435 | ||||||
2,480 | SAP SE | 339,988 | ||||||
2,485 | Symrise AG | 239,281 | ||||||
|
| |||||||
1,013,721 | ||||||||
|
| |||||||
Hong Kong — 4.0% |
| |||||||
52,200 | AIA Group Ltd. | 563,703 | ||||||
|
| |||||||
Ireland — 3.8% |
| |||||||
5,942 | Kingspan Group PLC | 322,698 | ||||||
7,074 | Smurfit Kappa Group PLC | 214,359 | ||||||
|
| |||||||
537,057 | ||||||||
|
| |||||||
Japan — 16.0% |
| |||||||
3,300 | Kao Corp. | 251,804 | ||||||
26,000 | Kubota Corp. | 434,369 | ||||||
16,900 | Sekisui House Ltd. | 278,455 | ||||||
800 | Shimano, Inc. | 119,208 |
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova International Sustainable Equity Fund – (continued)
Shares | Description | Value (†) | ||||||
Japan — continued | ||||||||
8,700 | Takeda Pharmaceutical Co. Ltd. | $ | 309,484 | |||||
11,000 | Terumo Corp. | 328,608 | ||||||
4,300 | Toyota Motor Corp. | 266,874 | ||||||
3,500 | West Japan Railway Co. | 283,274 | ||||||
|
| |||||||
2,272,076 | ||||||||
|
| |||||||
Netherlands — 2.4% |
| |||||||
1,614 | ASML Holding NV | 335,857 | ||||||
|
| |||||||
Norway — 1.0% |
| |||||||
6,478 | Telenor ASA | 137,633 | ||||||
|
| |||||||
Singapore — 0.8% |
| |||||||
151,700 | Raffles Medical Group Ltd. | 116,644 | ||||||
|
| |||||||
Switzerland — 1.6% |
| |||||||
491 | Geberit AG, (Registered) | 229,506 | ||||||
|
| |||||||
Taiwan — 3.7% |
| |||||||
13,497 | Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR | 528,677 | ||||||
|
| |||||||
United Kingdom — 16.0% |
| |||||||
4,092 | Croda International PLC | 266,170 | ||||||
14,618 | Halma PLC | 375,428 | ||||||
5,265 | Johnson Matthey PLC | 222,591 | ||||||
24,313 | Land Securities Group PLC | 257,541 | ||||||
129,079 | Legal & General Group PLC | 442,226 | ||||||
14,325 | Prudential PLC | 312,729 | ||||||
1,592 | Spirax-Sarco Engineering PLC | 185,850 | ||||||
3,457 | Unilever NV | 210,041 | ||||||
|
| |||||||
2,272,576 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $11,692,324) | 13,061,519 | |||||||
|
| |||||||
Total Investments — 92.2% (Identified Cost $11,692,324) | 13,061,519 | |||||||
Other assets less liabilities — 7.8% | 1,099,892 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 14,161,411 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019, the value of Rule 144A holdings amounted to $320,689 or 2.3% of net assets. |
| ||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
|
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Mirova International Sustainable Equity Fund – (continued)
Industry Summary at June 30, 2019 (Unaudited)
Insurance | 10.9 | % | ||
Chemicals | 10.5 | |||
Semiconductors & Semiconductor Equipment | 6.1 | |||
Pharmaceuticals | 5.1 | |||
Banks | 5.1 | |||
Personal Products | 5.0 | |||
Machinery | 4.4 | |||
Software | 4.2 | |||
Building Products | 3.9 | |||
Health Care Providers & Services | 3.9 | |||
REITs - Diversified | 3.3 | |||
Textiles, Apparel & Luxury Goods | 3.2 | |||
Automobiles | 3.1 | |||
Electrical Equipment | 3.0 | |||
Electronic Equipment, Instruments & Components | 2.6 | |||
Health Care Equipment & Supplies | 2.3 | |||
Electric Utilities | 2.3 | |||
Road & Rail | 2.0 | |||
Other Investments, less than 2% each | 11.3 | |||
|
| |||
Total Investments | 92.2 | |||
Other assets less liabilities | 7.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2019 (Unaudited)
Euro | 35.3 | % | ||
Japanese Yen | 16.0 | |||
British Pound | 14.5 | |||
Danish Krone | 11.0 | |||
Hong Kong Dollar | 5.2 | |||
United States Dollar | 3.7 | |||
Australian Dollar | 3.1 | |||
Other, less than 2% each | 3.4 | |||
|
| |||
Total Investments | 92.2 | |||
Other assets less liabilities | 7.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 26
Table of Contents
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Mirova Global Green Bond Fund | Mirova Global Sustainable Equity Fund | Mirova International Sustainable Equity Fund | ||||||||||
ASSETS |
| |||||||||||
Investments at cost | $ | 27,451,714 | $ | 87,584,955 | $ | 11,692,324 | ||||||
Net unrealized appreciation | 1,315,643 | 19,789,098 | 1,369,195 | |||||||||
|
|
|
|
|
| |||||||
Investments at value | 28,767,357 | 107,374,053 | 13,061,519 | |||||||||
Cash | — | — | 334,877 | |||||||||
Due from brokers (including variation margin on futures contracts) (Note 2) | 530,442 | — | — | |||||||||
Foreign currency at value (identified cost $548,201, $1,208,859 and $735,313, respectively) | 536,338 | 1,212,295 | 748,452 | |||||||||
Receivable for Fund shares sold | 67,499 | 235,359 | — | |||||||||
Receivable from investment adviser (Note 6) | — | — | 6,282 | |||||||||
Receivable for securities sold | — | 39,395 | — | |||||||||
Dividends and interest receivable | 164,081 | 83,358 | 31,754 | |||||||||
Tax reclaims receivable | 433 | 98,919 | 18,815 | |||||||||
Unrealized appreciation on futures contracts (Note 2) | 62,779 | — | — | |||||||||
Prepaid expenses (Note 8) | 3 | 11 | 1 | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 30,128,932 | 109,043,390 | 14,201,700 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Payable for Fund shares redeemed | — | 1,063,193 | — | |||||||||
Unrealized depreciation on futures contracts (Note 2) | 70,340 | — | — | |||||||||
Management fees payable (Note 6) | 3,721 | 60,014 | — | |||||||||
Deferred Trustees’ fees (Note 6) | 7,952 | 13,598 | 2,258 | |||||||||
Administrative fees payable (Note 6) | 1,044 | 3,771 | 495 | |||||||||
Payable to distributor (Note 6d) | 79 | 750 | — | |||||||||
Other accounts payable and accrued expenses | 37,766 | 36,651 | 37,536 | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 120,902 | 1,177,977 | 40,289 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 30,008,030 | $ | 107,865,413 | $ | 14,161,411 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Paid-in capital | $ | 28,752,842 | $ | 87,338,860 | $ | 12,628,389 | ||||||
Accumulated earnings | 1,255,188 | 20,526,553 | 1,533,022 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 30,008,030 | $ | 107,865,413 | $ | 14,161,411 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
27 |
Table of Contents
Statements of Assets and Liabilities (continued)
June 30, 2019 (Unaudited)
Mirova Global Green Bond Fund | Mirova Global Sustainable Equity Fund | Mirova International Sustainable Equity Fund | ||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||
Class A shares: |
| |||||||||||
Net assets | $ | 898,133 | $ | 8,511,829 | $ | 1,151 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 86,432 | 617,296 | 100 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 10.39 | $ | 13.79 | $ | 11.48 | * | |||||
|
|
|
|
|
| |||||||
Offering price per share(100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 10.85 | $ | 14.63 | $ | 12.18 | ||||||
|
|
|
|
|
| |||||||
Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | — | $ | 3,636,577 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | — | 269,760 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | — | $ | 13.48 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class N shares: |
| |||||||||||
Net assets | $ | 26,247,741 | $ | 3,466,099 | $ | 14,159,107 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 2,520,695 | 250,163 | 1,231,080 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.41 | $ | 13.86 | $ | 11.50 | ||||||
|
|
|
|
|
| |||||||
Class Y shares: |
| |||||||||||
Net assets | $ | 2,862,156 | $ | 92,250,908 | $ | 1,153 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 275,206 | 6,656,901 | 100 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.40 | $ | 13.86 | $ | 11.50 | * | |||||
|
|
|
|
|
|
* | Net asset value calculations have been determined utilizing fractional share and penny amounts. |
See accompanying notes to financial statements.
| 28
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2019 (Unaudited)
Mirova Global Green Bond Fund | Mirova Global Sustainable Equity Fund | Mirova International Sustainable Equity Fund | ||||||||||
INVESTMENT INCOME |
| |||||||||||
Dividends | $ | — | $ | 1,116,413 | $ | 235,990 | ||||||
Interest | 283,716 | 17,827 | — | |||||||||
Less net foreign taxes withheld | (216 | ) | (97,526 | ) | (31,127 | ) | ||||||
|
|
|
|
|
| |||||||
283,500 | 1,036,714 | 204,863 | ||||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Management fees (Note 6) | 80,879 | 382,852 | 47,112 | |||||||||
Service and distribution fees (Note 6) | 1,080 | 24,828 | 2 | |||||||||
Administrative fees (Note 6) | 6,532 | 21,253 | 2,615 | |||||||||
Trustees’ fees and expenses (Note 6) | 9,663 | 10,826 | 8,922 | |||||||||
Transfer agent fees and expenses (Notes 6 and 7) | 4,992 | 34,744 | 1,113 | |||||||||
Audit and tax services fees | 21,346 | 21,153 | 18,625 | |||||||||
Custodian fees and expenses | 5,563 | 7,284 | 3,494 | |||||||||
Interest expense (Note 10) | 1,836 | 3,474 | 1,175 | |||||||||
Legal fees (Note 8) | 520 | 1,654 | 187 | |||||||||
Registration fees | 42,225 | 61,641 | 26,487 | |||||||||
Shareholder reporting expenses | 2,998 | 8,210 | 1,940 | |||||||||
Miscellaneous expenses (Note 8) | 12,945 | 14,926 | 9,963 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 190,579 | 592,845 | 121,635 | |||||||||
Less waiver and/or expense reimbursement (Note 6) | (91,418 | ) | (110,707 | ) | (67,457 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 99,161 | 482,138 | 54,178 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 184,339 | 554,576 | 150,685 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: |
| |||||||||||
Investments | 33,038 | 233,441 | 8,464 | |||||||||
Futures contracts | 333,494 | — | — | |||||||||
Foreign currency transactions (Note 2c) | (20,102 | ) | (4,823 | ) | 5,794 | |||||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||||||
Investments | 1,610,066 | 17,402,984 | 1,338,824 | |||||||||
Futures contracts | 47,400 | — | — | |||||||||
Foreign currency translations (Note 2c) | 4,486 | 3,719 | 8,307 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions | 2,008,382 | 17,635,321 | 1,361,389 | |||||||||
|
|
|
|
|
| |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,192,721 | $ | 18,189,897 | $ | 1,512,074 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
29 |
Table of Contents
Statements of Changes in Net Assets
Mirova Global Green Bond Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 184,339 | $ | 310,130 | ||||
Net realized gain on investments, futures contracts and foreign currency transactions | 346,430 | 1,457,603 | ||||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations | 1,661,952 | (1,486,601 | ) | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 2,192,721 | 281,132 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | (4,396 | ) | (25,878 | ) | ||||
Class N | (172,586 | ) | (914,209 | ) | ||||
Class Y | (12,891 | ) | (25,543 | ) | ||||
|
|
|
| |||||
Total distributions | (189,873 | ) | (965,630 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (1,063,291 | ) | 3,764,971 | |||||
|
|
|
| |||||
Net increase in net assets | 939,557 | 3,080,473 | ||||||
NET ASSETS |
| |||||||
Beginning of the period | 29,068,473 | 25,988,000 | ||||||
|
|
|
| |||||
End of the period | $ | 30,008,030 | $ | 29,068,473 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 30
Table of Contents
Statements of Changes in Net Assets (continued)
Mirova Global Sustainable Equity Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 554,576 | $ | 216,571 | ||||
Net realized gain on investments and foreign currency transactions | 228,618 | 3,491,955 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 17,406,703 | (10,610,033 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 18,189,897 | (6,901,507 | ) | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | (64,139 | ) | (230,293 | ) | ||||
Class C | (28,254 | ) | (99,367 | ) | ||||
Class N | (28,357 | ) | (102,891 | ) | ||||
Class Y | (696,276 | ) | (2,994,214 | ) | ||||
|
|
|
| |||||
Total distributions | (817,026 | ) | (3,426,765 | ) | ||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | 8,879,755 | 24,155,904 | ||||||
|
|
|
| |||||
Net increase in net assets | 26,252,626 | 13,827,632 | ||||||
NET ASSETS |
| |||||||
Beginning of the period | 81,612,787 | 67,785,155 | ||||||
|
|
|
| |||||
End of the period | $ | 107,865,413 | $ | 81,612,787 | ||||
|
|
|
|
See accompanying notes to financial statements.
31 |
Table of Contents
Statements of Changes in Net Assets (continued)
Mirova International Sustainable Equity Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018(a) | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 150,685 | $ | (740 | ) | |||
Net realized gain on investments and foreign currency transactions | 14,258 | — | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 1,347,131 | 35,530 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 1,512,074 | 34,790 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | (1 | ) | — | |||||
Class N | (13,840 | ) | — | |||||
Class Y | (1 | ) | — | |||||
|
|
|
| |||||
Total distributions | (13,842 | ) | — | |||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | 2,626,389 | 10,002,000 | ||||||
|
|
|
| |||||
Net increase in net assets | 4,124,621 | 10,036,790 | ||||||
NET ASSETS |
| |||||||
Beginning of the period | 10,036,790 | — | ||||||
|
|
|
| |||||
End of the period | $ | 14,161,411 | $ | 10,036,790 | ||||
|
|
|
|
(a) | From commencement of operations on December 28, 2018 through December 31, 2018. |
See accompanying notes to financial statements.
| 32
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
Mirova Global Green Bond—Class A | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 9.71 | $ | 9.96 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.05 | 0.08 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.68 | (0.02 | ) | 0.11 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.73 | 0.06 | 0.15 | |||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.05 | ) | (0.31 | ) | (0.19 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 10.39 | $ | 9.71 | $ | 9.96 | ||||||
|
|
|
|
|
| |||||||
Total return(b)(c) | 7.53 | %(d) | 0.64 | % | 1.46 | %(d) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 898 | $ | 814 | $ | 139 | ||||||
Net expenses(e) | 0.96 | %(f)(g) | 0.96 | %(h) | 0.96 | %(f)(i) | ||||||
Gross expenses | 1.89 | %(f)(g) | 1.75 | %(h) | 5.23 | %(f)(i) | ||||||
Net investment income | 0.97 | %(f) | 0.85 | % | 0.49 | %(f) | ||||||
Portfolio turnover rate | 21 | % | 46 | % | 46 | % |
* | From commencement of operations on February 28, 2017 through December 31, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.95% and the ratio of gross expenses would have been 1.88%. |
(h) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.95% and the ratio of gross expenses would have been 1.74%. |
(i) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.95% and the ratio of gross expenses would have been 5.22%. |
See accompanying notes to financial statements.
33 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Mirova Global Green Bond—Class N | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 9.73 | $ | 9.98 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.06 | 0.11 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.68 | (0.02 | ) | 0.12 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.74 | 0.09 | 0.18 | |||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.06 | ) | (0.34 | ) | (0.20 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 10.41 | $ | 9.73 | $ | 9.98 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 7.67 | %(c) | 0.93 | % | 1.77 | %(c) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 26,248 | $ | 27,050 | $ | 25,805 | ||||||
Net expenses(d) | 0.66 | %(e)(f) | 0.66 | %(g) | 0.67 | %(e)(h) | ||||||
Gross expenses | 1.26 | %(e)(f) | 1.12 | %(g) | 1.11 | %(e)(h) | ||||||
Net investment income | 1.26 | %(e) | 1.13 | % | 0.75 | %(e) | ||||||
Portfolio turnover rate | 21 | % | 46 | % | 46 | % |
* | From commencement of operations on February 28, 2017 through December 31, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.65% and the ratio of gross expenses would have been 1.24%. |
(g) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.65% and the ratio of gross expenses would have been 1.11%. |
(h) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.65% and the ratio of gross expenses would have been 1.10%. |
See accompanying notes to financial statements.
| 34
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Mirova Global Green Bond—Class Y | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 9.72 | $ | 9.97 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.06 | 0.12 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.68 | (0.03 | ) | 0.11 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.74 | 0.09 | 0.17 | |||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.06 | ) | (0.34 | ) | (0.20 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 10.40 | $ | 9.72 | $ | 9.97 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 7.65 | %(c) | 0.89 | % | 1.66 | %(c) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 2,862 | $ | 1,205 | $ | 43 | ||||||
Net expenses(d) | 0.71 | %(e)(f) | 0.71 | %(g) | 0.71 | %(e)(h) | ||||||
Gross expenses | 1.61 | %(e)(f) | 1.39 | %(g) | 3.62 | %(e)(h) | ||||||
Net investment income | 1.23 | %(e) | 1.19 | % | 0.71 | %(e) | ||||||
Portfolio turnover rate | 21 | % | 46 | % | 46 | % |
* | From commencement of operations on February 28, 2017 through December 31, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.70% and the ratio of gross expenses would have been 1.60%. |
(g) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.70% and the ratio of gross expenses would have been 1.39%. |
(h) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.70% and the ratio of gross expenses would have been 3.62%. |
See accompanying notes to financial statements.
35 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Mirova Global Sustainable Equity Fund—Class A | ||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Period Ended December 31, 2016* | |||||||||||||
Net asset value, beginning of the period | $ | 11.45 | $ | 12.77 | $ | 9.90 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||
Net investment income (loss)(a) | 0.06 | 0.00 | (b) | (0.04 | ) | 0.02 | ||||||||||
Net realized and unrealized gain (loss) | 2.39 | (0.84 | ) | 3.06 | (0.11 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 2.45 | (0.84 | ) | 3.02 | (0.09 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||
Net investment income | — | (0.00 | )(b) | (0.03 | ) | (0.00 | )(b) | |||||||||
Net realized capital gains | (0.11 | ) | (0.48 | ) | (0.12 | ) | (0.01 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.11 | ) | (0.48 | ) | (0.15 | ) | (0.01 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of the period | $ | 13.79 | $ | 11.45 | $ | 12.77 | $ | 9.90 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c)(d) | 21.47 | %(e) | (6.54 | )% | 30.44 | % | (0.85 | )%(e) | ||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||
Net assets, end of the period (000’s) | $ | 8,512 | $ | 6,360 | $ | 3,260 | $ | 71 | ||||||||
Net expenses(f) | 1.21 | %(g)(h) | 1.30 | %(i)(j) | 1.29 | % | 1.30 | %(g) | ||||||||
Gross expenses | 1.44 | %(g)(h) | 1.39 | %(j) | 1.43 | % | 1.72 | %(g) | ||||||||
Net investment income (loss) | 0.97 | %(g) | 0.03 | % | (0.36 | )% | 0.23 | %(g) | ||||||||
Portfolio turnover rate | 16 | % | 19 | % | 20 | % | 20 | % |
* | From commencement of operations on March 31, 2016 through December 31, 2016. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A sales charge for Class A shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.20% and the ratio of gross expenses would have been 1.43%. |
(i) | Effective December 28, 2018, the expense limit decreased from 1.30% to 1.20%. |
(j) | Includes interest expense of less than 0.01%. |
See accompanying notes to financial statements.
| 36
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Mirova Global Sustainable Equity Fund—Class C | ||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Period Ended December 31, 2016* | |||||||||||||
Net asset value, beginning of the period | $ | 11.24 | $ | 12.63 | $ | 9.85 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | (0.09 | ) | (0.12 | ) | (0.06 | ) | |||||||||
Net realized and unrealized gain (loss) | 2.34 | (0.82 | ) | 3.02 | (0.08 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 2.35 | (0.91 | ) | 2.90 | (0.14 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||
Net realized capital gains | (0.11 | ) | (0.48 | ) | (0.12 | ) | (0.01 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of the period | $ | 13.48 | $ | 11.24 | $ | 12.63 | $ | 9.85 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b)(c) | 20.98 | %(d) | (7.20 | )% | 29.40 | % | (1.39 | )%(d) | ||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||
Net assets, end of the period (000’s) | $ | 3,637 | $ | 2,706 | $ | 1,164 | $ | 52 | ||||||||
Net expenses(e) | 1.96 | %(f)(g) | 2.05 | %(h)(i) | 2.04 | % | 2.05 | %(f) | ||||||||
Gross expenses | 2.19 | %(f)(g) | 2.14 | %(h) | 2.18 | % | 2.20 | %(f) | ||||||||
Net investment income (loss) | 0.23 | %(f) | (0.72 | )% | (1.02 | )% | (0.77 | )%(f) | ||||||||
Portfolio turnover rate | 16 | % | 19 | % | 20 | % | 20 | % |
* | From commencement of operations on March 31, 2016 through December 31, 2016. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.95% and the ratio of gross expenses would have been 2.18%. |
(h) | Includes interest expense of less than 0.01%. |
(i) | Effective December 28, 2018, the expense limit decreased from 2.05% to 1.95%. |
See accompanying notes to financial statements.
37 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Mirova Global Sustainable Equity Fund—Class N | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 11.49 | $ | 12.81 | $ | 11.29 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income (loss)(a) | 0.08 | (0.01 | ) | 0.02 | ||||||||
Net realized and unrealized gain (loss) | 2.40 | (0.79 | ) | 1.66 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 2.48 | (0.80 | ) | 1.68 | ||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||
Net investment income | — | (0.04 | ) | (0.04 | ) | |||||||
Net realized capital gains | (0.11 | ) | (0.48 | ) | (0.12 | ) | ||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.11 | ) | (0.52 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 13.86 | $ | 11.49 | $ | 12.81 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 21.66 | %(c) | (6.26 | )% | 14.81 | %(c) | ||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||
Net assets, end of the period (000’s) | $ | 3,466 | $ | 2,842 | $ | 1 | ||||||
Net expenses(d) | 0.91 | %(e)(f) | 1.01 | %(g)(h) | 1.00 | %(e) | ||||||
Gross expenses | 1.12 | %(e)(f) | 1.08 | %(h) | 14.30 | %(e) | ||||||
Net investment income (loss) | 1.25 | %(e) | (0.08 | )% | 0.29 | %(e) | ||||||
Portfolio turnover rate | 16 | % | 19 | % | 20 | %(i) |
* | 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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.11%. |
(g) | Effective December 28, 2018, the expense limit decreased from 1.00% to 0.90%. |
(h) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.99% and the ratio of gross expenses would have been 1.07%. |
(i) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
| 38
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Mirova Global Sustainable Equity Fund—Class Y | ||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Period Ended December 31, 2016* | |||||||||||||
Net asset value, beginning of the period | $ | 11.49 | $ | 12.81 | $ | 9.91 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||
Net investment income(a) | 0.08 | 0.04 | 0.03 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 2.40 | (0.85 | ) | 3.02 | (0.10 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from Investment Operations | 2.48 | (0.81 | ) | 3.05 | (0.07 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||
Net investment income | — | (0.03 | ) | (0.03 | ) | (0.01 | ) | |||||||||
Net realized capital gains | (0.11 | ) | (0.48 | ) | (0.12 | ) | (0.01 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | (0.11 | ) | (0.51 | ) | (0.15 | ) | (0.02 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of the period | $ | 13.86 | $ | 11.49 | $ | 12.81 | $ | 9.91 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 21.66 | %(c) | (6.32 | )% | 30.75 | % | (0.70 | )%(c) | ||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||
Net assets, end of the period (000’s) | $ | 92,251 | $ | 69,705 | $ | 63,359 | $ | 49,593 | ||||||||
Net expenses(d) | 0.96 | %(e)(f) | 1.05 | %(g)(h) | 1.04 | % | 1.05 | %(e) | ||||||||
Gross expenses | 1.19 | %(e)(f) | 1.15 | %(g) | 1.16 | % | 1.21 | %(e) | ||||||||
Net investment income | 1.21 | %(e) | 0.29 | % | 0.26 | % | 0.35 | %(e) | ||||||||
Portfolio turnover rate | 16 | % | 19 | % | 20 | % | 20 | % |
* | From commencement of operations on March 31, 2016 through December 31, 2016. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.95% and the ratio of gross expenses would have been 1.18%. |
(g) | Includes interest expense of less than 0.01%. |
(h) | Effective December 28, 2018, the expense limit decreased from 1.05% to 0.95%. |
See accompanying notes to financial statements.
39 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Mirova International Sustainable Equity Fund—Class A | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | |||||||
Net asset value, beginning of the period | $ | 10.03 | $ | 10.00 | ||||
|
|
|
| |||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||
Net investment income (loss)(a) | 0.11 | (0.00 | )(b) | |||||
Net realized and unrealized gain (loss) | 1.35 | 0.03 | ||||||
|
|
|
| |||||
Total from Investment Operations | 1.46 | 0.03 | ||||||
|
|
|
| |||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income | (0.01 | ) | — | |||||
|
|
|
| |||||
Net asset value, end of the period | $ | 11.48 | $ | 10.03 | ||||
|
|
|
| |||||
Total return(c)(d) | 14.59 | %(e) | 0.30 | % | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) | $ | 1 | $ | 1 | ||||
Net expenses(f)(g) | 1.21 | %(h) | 1.20 | % | ||||
Gross expenses(g) | 92.71 | %(h) | 22.87 | % | ||||
Net investment income (loss)(g) | 2.10 | % | (1.20 | )% | ||||
Portfolio turnover rate | 2 | % | 0 | % |
* | From commencement of operations on December 28, 2018 through December 31, 2018. |
(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 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. Periods less than one year are not annualized. |
(e) | Generally accepted accounting principles require certain adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns based on the adjusted net asset values per share may differ from the total returns reported in the average annual total return table. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.20% and the ratio of gross expenses would have been 92.70%. |
See accompanying notes to financial statements.
| 40
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Mirova International Sustainable Equity Fund—Class N | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | |||||||
Net asset value, beginning of the period | $ | 10.03 | $ | 10.00 | ||||
|
|
|
| |||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||
Net investment income (loss)(a) | 0.14 | (0.00 | )(b) | |||||
Net realized and unrealized gain (loss) | 1.34 | 0.03 | ||||||
|
|
|
| |||||
Total from Investment Operations | 1.48 | 0.03 | ||||||
|
|
|
| |||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income | (0.01 | ) | — | |||||
|
|
|
| |||||
Net asset value, end of the period | $ | 11.50 | $ | 10.03 | ||||
|
|
|
| |||||
Total return(c) | 14.80 | %(d) | 0.30 | % | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) | $ | 14,159 | $ | 10,035 | ||||
Net expenses(e)(f) | 0.92 | %(g) | 0.90 | % | ||||
Gross expenses(f) | 2.05 | %(g) | 22.55 | % | ||||
Net investment income (loss)(f) | 2.56 | % | (0.90 | )% | ||||
Portfolio turnover rate | 2 | % | 0 | % |
* | From commencement of operations on December 28, 2018 through December 31, 2018. |
(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. Periods less than one year are not annualized. |
(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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 2.03%. |
See accompanying notes to financial statements.
41 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Mirova International Sustainable Equity Fund—Class Y | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Period Ended December 31, 2018* | |||||||
Net asset value, beginning of the period | $ | 10.03 | $ | 10.00 | ||||
|
|
|
| |||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||
Net investment income (loss)(a) | 0.13 | (0.00 | )(b) | |||||
Net realized and unrealized gain (loss) | 1.35 | 0.03 | ||||||
|
|
|
| |||||
Total from Investment Operations | 1.48 | 0.03 | ||||||
|
|
|
| |||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income | (0.01 | ) | — | |||||
|
|
|
| |||||
Net asset value, end of the period | $ | 11.50 | $ | 10.03 | ||||
|
|
|
| |||||
Total return(c) | 14.80 | %(d) | 0.30 | % | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) | $ | 1 | $ | 1 | ||||
Net expenses(e)(f) | 0.97 | %(g) | 0.95 | % | ||||
Gross expenses(f) | 92.39 | %(g) | 22.51 | % | ||||
Net investment income (loss)(f) | 2.35 | % | (0.95 | )% | ||||
Portfolio turnover rate | 2 | % | 0 | % |
* | From commencement of operations on December 28, 2018 through December 31, 2018. |
(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. Periods less than one year are not annualized. |
(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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.95% and the ratio of gross expenses would have been 92.38%. |
See accompanying notes to financial statements.
| 42
Table of Contents
June 30, 2019 (Unaudited)
1. Organization. Natixis Funds Trust I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Mirova Global Green Bond Fund (the “Global Green Bond Fund”)
Mirova Global Sustainable Equity Fund (the “Global Sustainable Equity Fund”)
Mirova International Sustainable Equity Fund (the “International Sustainable Equity Fund”)
Global Sustainable Equity Fund and International Sustainable Equity Fund are diversified investment companies. Global Green Bond Fund is anon-diversified investment company.
Each Fund offers Class A, Class N and Class Y shares. Global Sustainable Equity Fund also offers Class C shares.
Class A shares are sold with a maximumfront-end sales charge of 5.75% for Global Sustainable Equity Fund and International Sustainable Equity Fund and 4.25% for Global Green Bond Fund. Class C shares do not pay afront-end sales charge, pay higherRule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay afront-end sales charge, a CDSC or Rule12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of 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 Rule12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule12b-1 Plan. Shares of each class would receive theirpro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
43 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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.
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Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
As of June 30, 2019 securities held by the Funds were fair valued as follows:
Fund | Equity | Percentage of | ||||||
Global Sustainable Equity Fund | $ | 44,159,229 | 40.9 | % | ||||
International Sustainable Equity Fund | 12,210,144 | 86.2 | % |
1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. |
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on theex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income,non-class specific expenses and realized and unrealized gains and losses are allocated on apro ratabasis to each class based on the relative net assets of each class to the total net assets of the Fund.
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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.
During the six months ended June 30, 2019, the amount of income available to be distributed by the Global Green Bond Fund has been reduced by $46,704 as a result of losses arising from changes in exchange rates.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract
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June 30, 2019 (Unaudited)
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. Gross unrealized appreciation (depreciation) on futures contracts is recorded in the Statements of Assets and Liabilities as an asset (liability). The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
e. Due from Brokers. Transactions and positions in certain futures contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between a Fund and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for Global Green Bond Fund represents cash pledged as collateral for futures contracts (including variation margin, as applicable). In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.
f. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2019 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
g. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on theex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses 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 wash sales, premium amortization, futures contractmark-to-market, return of capital distributions received, deferred Trustee’s fees and forward foreign currency contractmark-to-market. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2018 was as follows:
2018 Distributions Paid From: | ||||||||||||
Fund | Ordinary | Long-Term | Total | |||||||||
Global Green Bond Fund | $ | 965,630 | $ | — | $ | 965,630 | ||||||
Global Sustainable Equity Fund | 188,601 | 3,238,164 | 3,426,765 | |||||||||
International Sustainable Equity Fund | — | — | — |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed inper-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of December 31, 2018, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:
Global | Global | International | ||||||||||
Capital loss carryforward: | ||||||||||||
Short-term: |
| |||||||||||
No expiration date | $ | (158,702 | ) | $ | — | $ | — | |||||
Long-term: |
| |||||||||||
No expiration date | (278,232 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total capital loss carryforward | $ | (436,934 | ) | $ | — | $ | — | |||||
|
|
|
|
|
| |||||||
Late-year ordinary and post-October capital loss deferrals* | $ | — | $ | (13,077 | ) | $ | — | |||||
|
|
|
|
|
|
* | 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. Global Sustainable Equity Fund is deferring foreign currency losses. |
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As of June 30, 2019, unrealized appreciation (depreciation) on a tax basis was approximately as follows:
Global | Global | International | ||||||||||
Unrealized appreciation (depreciation) | ||||||||||||
Investments | $ | 1,141,015 | $ | 19,789,098 | $ | 1,369,195 | ||||||
Foreign currency translations | 114,370 | 3,390 | 13,466 | |||||||||
|
|
|
|
|
| |||||||
Total unrealized appreciation | $ | 1,255,385 | $ | 19,792,488 | $ | 1,382,661 | ||||||
|
|
|
|
|
|
As of June 30, 2019, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Global | Global | International | ||||||||||
Federal tax cost | $ | 27,494,316 | $ | 87,584,955 | $ | 11,692,324 | ||||||
|
|
|
|
|
| |||||||
Gross tax appreciation | $ | 1,493,978 | $ | 21,284,681 | $ | 1,432,630 | ||||||
Gross tax depreciation | (228,498 | ) | (1,495,583 | ) | (63,435 | ) | ||||||
|
|
|
|
|
| |||||||
Net tax appreciation | $ | 1,265,480 | $ | 19,789,098 | $ | 1,369,195 | ||||||
|
|
|
|
|
|
Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales and derivative mark-to-market.
The difference between these amounts and those reported in the preceding table are primarily attributable to foreign currencymark-to-market.
h. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2019, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
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i.�� Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2019, at value:
Global Green Bond Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes(a) | $ | — | $ | 26,918,620 | $ | — | $ | 26,918,620 | ||||||||
Short-Term Investments | — | 1,848,737 | — | 1,848,737 | ||||||||||||
Futures Contracts (unrealized appreciation) | 62,779 | — | — | 62,779 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 62,779 | $ | 28,767,357 | $ | — | $ | 28,830,136 | ||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Global Green Bond Fund (continued)
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) | $ | (70,340 | ) | $ | — | $ | — | $ | (70,340 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
Global Sustainable Equity Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Belgium | $ | — | $ | 2,428,923 | $ | — | $ | 2,428,923 | ||||||||
China | — | 1,075,674 | — | 1,075,674 | ||||||||||||
Denmark | — | 11,930,287 | — | 11,930,287 | ||||||||||||
France | — | 6,246,672 | — | 6,246,672 | ||||||||||||
Germany | — | 6,295,246 | — | 6,295,246 | ||||||||||||
Hong Kong | — | 2,730,588 | — | 2,730,588 | ||||||||||||
Japan | — | 4,784,782 | — | 4,784,782 | ||||||||||||
Netherlands | — | 1,472,236 | — | 1,472,236 | ||||||||||||
Singapore | — | 888,322 | — | 888,322 | ||||||||||||
Switzerland | — | 847,444 | — | 847,444 | ||||||||||||
United Kingdom | — | 5,459,055 | — | 5,459,055 | ||||||||||||
All Other Common Stocks(a) | 61,938,602 | — | — | 61,938,602 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 61,938,602 | 44,159,229 | — | 106,097,831 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 1,276,222 | — | 1,276,222 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 61,938,602 | $ | 45,435,451 | $ | — | $ | 107,374,053 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
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International Sustainable Equity Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 434,128 | $ | — | $ | 434,128 | ||||||||
Belgium | — | 656,752 | — | 656,752 | ||||||||||||
China | — | 175,348 | — | 175,348 | ||||||||||||
Denmark | — | 1,555,765 | — | 1,555,765 | ||||||||||||
France | — | 2,232,076 | — | 2,232,076 | ||||||||||||
Germany | — | 1,013,721 | — | 1,013,721 | ||||||||||||
Hong Kong | — | 563,703 | — | 563,703 | ||||||||||||
Ireland | 322,698 | 214,359 | — | 537,057 | ||||||||||||
Japan | — | 2,272,076 | — | 2,272,076 | ||||||||||||
Netherlands | — | 335,857 | — | 335,857 | ||||||||||||
Norway | — | 137,633 | — | 137,633 | ||||||||||||
Singapore | — | 116,644 | — | 116,644 | ||||||||||||
Switzerland | — | 229,506 | — | 229,506 | ||||||||||||
Taiwan | 528,677 | — | — | 528,677 | ||||||||||||
United Kingdom | — | 2,272,576 | — | 2,272,576 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 851,375 | $ | 12,210,144 | $ | — | $ | 13,061,519 | ||||||||
|
|
|
|
|
|
|
|
A common stock valued at $209,450 was transferred from Level 2 to Level 1 during the period ended June 30, 2019. At December 31, 2018, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security. At June 30, 2019, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies.
A common stock valued at $154,206 was transferred from Level 1 to Level 2 during the period ended June 30, 2019. At December 31, 2018, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies. At June 30, 2019, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security.
All transfers are recognized as of the beginning of the reporting period.
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 Global Green Bond Fund used during the period include futures contracts.
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June 30, 2019 (Unaudited)
Global Green Bond Fund seeks to provide total return, through a combination of capital appreciation and current income, by investing in green bonds. The Fund pursues its objective by primarily investing in fixed-income securities. In connection with its principal investment strategies, the Fund may also invest in various types of futures contracts for hedging, investment purposes and to manage duration.
Global Green Bond Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subjected to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in the interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended June 30, 2019, the Fund used U.S. and foreign Treasury bond futures to manage duration and gain yield curve exposure.
Global Green Bond Fund is also 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 use futures contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2019, the Fund used currency futures for hedging purposes.
The following is a summary of derivative instruments for Global Green Bond Fund as of June 30, 2019, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized | |||
Exchange-traded asset derivatives | ||||
Interest rate contracts | $ | 59,123 | ||
Foreign exchange contracts | 3,656 | |||
|
| |||
Total exchange-traded asset derivatives | $ | 62,779 | ||
|
| |||
Liabilities | Unrealized | |||
Exchange-traded liability derivatives | ||||
Interest rate contracts | $ | (6,517 | ) | |
Foreign exchange contracts | (63,823 | ) | ||
|
| |||
Total exchange-traded liability derivatives | $ | (70,340 | ) | |
|
|
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Transactions in derivative instruments for Global Green Bond Fund during the six months ended June 30, 2019, as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Futures contracts | |||
Interest rate contracts | $ | (29,617 | ) | |
Foreign exchange contracts | 363,111 | |||
|
| |||
Total | $ | 333,494 | ||
|
| |||
Net Change in Unrealized | Futures contracts | |||
Interest rate contracts | $ | 84,914 | ||
Foreign exchange contracts | (37,514 | ) | ||
|
| |||
Total | $ | 47,400 | ||
|
|
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statements of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to benon-hedge transactions for the purpose of these disclosures.
The volume of futures contract activity as a percentage of net assets for Global Green Bond Fund, based onmonth-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended June 30, 2019:
Global Green Bond Fund | Futures | |||
Average Notional Amount Outstanding | 77.38 | % | ||
Highest Notional Amount Outstanding | 79.32 | % | ||
Lowest Notional Amount Outstanding | 73.22 | % | ||
Notional Amount Outstanding as of June 30, 2019 | 73.22 | % |
Notional amounts outstanding at the end of the prior period are included in the averages above.
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s 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 are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of June 30, 2019:
Fund | Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | ||||||
Global Green Bond Fund | $ | 603,469 | $ | 603,469 |
5. Purchases and Sales of Securities. For the six months ended June 30, 2019, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:
Fund | Purchases | Sales | ||||||
Global Green Bond Fund | $ | 5,550,315 | $ | 6,483,964 | ||||
Global Sustainable Equity Fund | 21,513,005 | 14,573,882 | ||||||
International Sustainable Equity Fund | 2,552,906 | 209,152 |
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Mirova US LLC (“Mirova US”) (formerly a division within Ostrum Asset Management U.S., LLC (“Ostrum US”)) 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:
Fund | Percentage of | |||
Global Green Bond Fund | 0.55 | % | ||
Global Sustainable Equity Fund | 0.80 | % | ||
International Sustainable Equity Fund | 0.80 | % |
Prior to March 29, 2019, Ostrum US served as investment advisor to the Fund, and was paid a management fee at the same annual rates.
Mirova US has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect April 30, 2020, may be terminated before then only with the
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June 30, 2019 (Unaudited)
consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the six months ended June 30, 2019, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Global Green Bond Fund | 0.95 | % | — | 0.65 | % | 0.70 | % | |||||||||
Global Sustainable Equity Fund | 1.20 | % | 1.95 | % | 0.90 | % | 0.95 | % | ||||||||
International Sustainable Equity Fund | 1.20 | % | — | 0.90 | % | 0.95 | % |
Mirova US shall be permitted to recover expenses borne under the expense limitation agreement (whether through waiver of management fee or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended June 30, 2019, the management fees and waiver of management fees for each Fund were as follows:
Fund | Gross | Contractual | Net | Percentage of Average Daily Net Assets | ||||||||||||||||
Gross | Net | |||||||||||||||||||
Global Green Bond Fund | $ | 80,879 | $ | 80,879 | $ | — | 0.55 | % | — | % | ||||||||||
Global Sustainable Equity Fund | 382,852 | 110,112 | 272,740 | 0.80 | % | 0.57 | % | |||||||||||||
International Sustainable Equity Fund | 47,112 | 47,112 | — | 0.80 | % | — | % |
1 | Management fee waiver is subject to possible recovery until December 31, 2020. |
For the six months ended June 30, 2019, class-specific expenses have been reimbursed as follows:
Fund | Reimbursement | |||
International Sustainable Equity Fund | $ | 965 |
In addition, Mirova US reimbursednon-class-specific expenses of Global Green Bond Fund and International Sustainable Equity Fund in the amount of $10,384 and $19,318, respectively for the six months ended June 30, 2019.
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No expenses were recovered for any of the Funds during the six months ended June 30, 2019 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).
Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
For the six months ended June 30, 2019, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||
Fund | Class A | Class C | Class C | |||||||||
Global Green Bond Fund | $ | 1,080 | $ | — | $ | — | ||||||
Global Sustainable Equity Fund | 9,120 | 3,927 | 11,781 | |||||||||
International Sustainable Equity Fund | 2 | — | — |
c. Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve assub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly itspro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next
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June 30, 2019 (Unaudited)
$30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving assub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction insub-administrative fees discussed above. The waiver is in effect through June 30, 2019.
For the six months ended June 30, 2019, the administrative fees for each Fund were as follows:
Fund | Gross | Waiver of | Net | |||||||||
Global Green Bond Fund | $ | 6,532 | $ | 155 | $ | 6,377 | ||||||
Global Sustainable Equity Fund | 21,253 | 505 | 20,748 | |||||||||
International Sustainable Equity Fund | 2,615 | 62 | 2,553 |
Effective July 1, 2019, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts(sub-transfer agent fees) paid to Natixis Distribution are subject to a currentper-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, thesub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
Fund | Sub-Transfer | |||
Global Green Bond Fund | $ | 3,311 | ||
Global Sustainable Equity Fund | 30,589 |
As of June 30, 2019, the Funds owe Natixis Distribution the following reimbursements forsub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements of | |||
Global Green Bond Fund | $ | 79 | ||
Global Sustainable Equity Fund | 750 |
Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on apro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2019 was as follows:
Fund | Commissions | |||
Global Sustainable Equity Fund | $ | 1,852 |
f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $360,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $190,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocatedpro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and its affiliates are also officers and/or Trustees of the Trust.
g. Affiliated Ownership. As of June 30, 2019, the percentage of each Fund’s net assets owned by affiliates is as follows:
Global Green Bond Fund | Percentage of | |||
Natixis Sustainable Future 2015 Fund | 1.67 | % | ||
Natixis Sustainable Future 2020 Fund | 1.63 | % | ||
Natixis Sustainable Future 2025 Fund | 1.19 | % | ||
Natixis Sustainable Future 2030 Fund | 0.68 | % | ||
Natixis Sustainable Future 2035 Fund | 0.65 | % | ||
Natixis Sustainable Future 2040 Fund | 0.47 | % | ||
Natixis Sustainable Future 2045 Fund | 0.15 | % | ||
Natixis Sustainable Future 2050 Fund | 0.17 | % | ||
Natixis Sustainable Future 2055 Fund | 0.15 | % | ||
Natixis Sustainable Future 2060 Fund | 0.14 | % | ||
Natixis and affiliates | 78.18 | % | ||
|
| |||
85.08 | % |
Global Sustainable Equity Fund | Percentage of | |||
Natixis and affiliates | 14.54 | % |
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
International Sustainable Equity Fund | Percentage of | |||
Natixis Sustainable Future 2015 Fund | 2.62 | % | ||
Natixis Sustainable Future 2020 Fund | 3.23 | % | ||
Natixis Sustainable Future 2025 Fund | 3.18 | % | ||
Natixis Sustainable Future 2030 Fund | 3.05 | % | ||
Natixis Sustainable Future 2035 Fund | 4.36 | % | ||
Natixis Sustainable Future 2040 Fund | 4.16 | % | ||
Natixis Sustainable Future 2045 Fund | 3.25 | % | ||
Natixis Sustainable Future 2050 Fund | 3.92 | % | ||
Natixis Sustainable Future 2055 Fund | 3.41 | % | ||
Natixis Sustainable Future 2060 Fund | 3.27 | % | ||
Natixis and affiliates | 65.55 | % | ||
|
| |||
100.00 | % |
Investment activities of affiliated shareholders could have material impacts on the Funds.
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Global Sustainable Equity Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2020 and is not subject to recovery under the expense limitation agreement described above.
For the six months ended June 30, 2019, Natixis Advisors reimbursed the Fund for transfer agency expenses as follows:
Reimbursement of | ||||
Fund | Class N | |||
Global Sustainable Equity Fund | $ | 90 |
7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on apro 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.
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June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, the Funds incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):
Transfer Agent Fees and Expenses | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Global Green Bond Fund | $ | 1,673 | $ | — | $ | 144 | $ | 3,175 | ||||||||
Global Sustainable Equity Fund | 2,729 | 1,175 | 90 | 30,750 | ||||||||||||
International Sustainable Equity Fund | 491 | — | 131 | 491 |
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected as legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
For the six months ended June 30, 2019, none of the Funds had borrowings under this agreement.
9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
10. Interest Expense. The Funds incur interest expense on cash overdrafts and foreign currency debit balances held at the custodian bank and, for Global Green Bond, accounts held at brokers. Interest expense incurred for the six months ended June 30, 2019 is reflected on the Statements of Operations.
11. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2019, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of 5% | Percentage of | Percentage of | Total | ||||||||||||
Global Green Bond Fund | — | — | 85.08 | % | 85.08 | % | ||||||||||
Global Sustainable Equity Fund | 1 | 5.76 | % | 14.54 | % | 20.30 | % | |||||||||
International Sustainable Equity Fund | — | — | 100.00 | % | 100.00 | % |
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for anon-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
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June 30, 2019 (Unaudited)
12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
Global Green Bond Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 21,825 | $ | 216,482 | 96,583 | $ | 954,782 | ||||||||||
Issued in connection with the reinvestment of distributions | 406 | 4,120 | 2,659 | 25,878 | ||||||||||||
Redeemed | (19,602 | ) | (195,286 | ) | (29,439 | ) | (289,444 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,629 | $ | 25,316 | 69,803 | $ | 691,216 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 70,512 | $ | 707,786 | 165,547 | $ | 1,638,046 | ||||||||||
Issued in connection with the reinvestment of distributions | 16,964 | 172,586 | 93,723 | 914,209 | ||||||||||||
Redeemed | (346,755 | ) | (3,498,426 | ) | (66,105 | ) | (651,384 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (259,279 | ) | $ | (2,618,054 | ) | 193,165 | $ | 1,900,871 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 155,378 | $ | 1,571,254 | 119,626 | $ | 1,172,690 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,214 | 12,384 | 2,517 | 24,445 | ||||||||||||
Redeemed | (5,385 | ) | (54,191 | ) | (2,471 | ) | (24,251 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 151,207 | $ | 1,529,447 | 119,672 | $ | 1,172,884 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (105,443 | ) | $ | (1,063,291 | ) | 382,640 | $ | 3,764,971 | ||||||||
|
|
|
|
|
|
|
|
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June 30, 2019 (Unaudited)
12. Capital Shares (continued).
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
Global Sustainable Equity Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 139,349 | $ | 1,801,803 | 348,428 | $ | 4,451,380 | ||||||||||
Issued in connection with the reinvestment of distributions | 4,123 | 55,005 | 17,523 | 198,567 | ||||||||||||
Redeemed | (81,720 | ) | (1,025,906 | ) | (65,761 | ) | (832,079 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 61,752 | $ | 830,902 | 300,190 | $ | 3,817,868 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 37,004 | $ | 482,054 | 160,246 | $ | 2,031,467 | ||||||||||
Issued in connection with the reinvestment of distributions | 726 | 9,486 | 3,196 | 35,492 | ||||||||||||
Redeemed | (8,842 | ) | (113,084 | ) | (14,749 | ) | (176,377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 28,888 | $ | 378,456 | 148,693 | $ | 1,890,582 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 608 | $ | 8,284 | 238,121 | $ | 3,000,333 | ||||||||||
Issued in connection with the reinvestment of distributions | 2,116 | 28,357 | 9,228 | 102,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,724 | $ | 36,641 | 247,349 | $ | 3,103,224 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 2,066,152 | $ | 26,676,874 | 3,242,405 | $ | 42,546,284 | ||||||||||
Issued in connection with the reinvestment of distributions | 40,122 | 537,634 | 207,621 | 2,371,303 | ||||||||||||
Redeemed | (1,515,476 | ) | (19,580,752 | ) | (2,329,061 | ) | (29,573,357 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 590,798 | $ | 7,633,756 | 1,120,965 | $ | 15,344,230 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 684,162 | $ | 8,879,755 | 1,817,197 | $ | 24,155,904 | ||||||||||
|
|
|
|
|
|
|
|
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June 30, 2019 (Unaudited)
12. Capital Shares (continued).
| Six Months Ended June 30, 2019 | | Period Ended December 31, 2018(a) | |||||||||||||
International Sustainable Equity Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | — | (b) | $ | 2 | 100 | $ | 1,000 | |||||||||
Issued in connection with the reinvestment of distributions | — | (b) | 1 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | — | $ | 3 | 100 | $ | 1,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 479,959 | $ | 5,249,784 | 1,000,000 | $ | 10,000,000 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,230 | 13,840 | — | — | ||||||||||||
Redeemed | (250,109 | ) | (2,637,241 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 231,080 | $ | 2,626,383 | 1,000,000 | $ | 10,000,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | — | (b) | $ | 2 | 100 | $ | 1,000 | |||||||||
Issued in connection with the reinvestment of distributions | — | (b) | 1 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | — | $ | 3 | 100 | $ | 1,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 231,080 | $ | 2,626,389 | 1,000,200 | $ | 10,002,000 | ||||||||||
|
|
|
|
|
|
|
|
(a) | From commencement of operations on December 28, 2018 through December 31, 2018. |
(b) | Amount rounds to less than one share. |
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Table of Contents
NATIXIS FUNDS
LOOMIS SAYLES FUNDS
Supplement dated February 12, 2019 to the Loomis Sayles Funds Statutory Prospectus, dated February 1, 2019, the Natixis Funds Statutory Prospectus dated February 1, 2019, April 1, 2018, May 1, 2018, June 1, 2018 and December 28, 2018, as may be revised or supplemented from time to time, for the following funds:
AEW Real Estate Fund | Mirova International Sustainable Equity Fund | |
ASG Global Alternatives Fund | Natixis Oakmark Fund | |
ASG Managed Futures Strategy Fund | Natixis Oakmark International Fund | |
Gateway Fund | Natixis Sustainable Future 2015 FundSM | |
Gateway Equity Call Premium Fund | Natixis Sustainable Future 2020 FundSM | |
Loomis Sayles Global Allocation Fund | Natixis Sustainable Future 2025 FundSM | |
Loomis Sayles Global Growth Fund | Natixis Sustainable Future 2030 FundSM | |
Loomis Sayles Growth Fund | Natixis Sustainable Future 2035 FundSM | |
Loomis Sayles High Income Fund | Natixis Sustainable Future 2040 FundSM | |
Loomis Sayles Intermediate Duration Bond Fund | Natixis Sustainable Future 2045 FundSM | |
Loomis Sayles Investment Grade Bond Fund | Natixis Sustainable Future 2050 FundSM | |
Loomis Sayles Limited Term Government and Agency Fund | Natixis Sustainable Future 2055 FundSM | |
Loomis Sayles Multi-Asset Income Fund | Natixis Sustainable Future 2060 FundSM | |
Loomis Sayles Senior Floating Rate and Fixed Income Fund | Natixis U.S. Equity Opportunities Fund | |
Loomis Sayles Strategic Alpha Fund | Vaughan Nelson Select Fund | |
Loomis Sayles Strategic Income Fund | Vaughan Nelson Small Cap Value Fund | |
Mirova Global Green Bond Fund | Vaughan Nelson Value Opportunity Fund | |
Mirova Global Sustainable Equity Fund |
Effective immediately, the information under the sub-section “Class N Shares” in the section “Purchase and Sale of Fund Shares” of the Fund Summary for each Fund is hereby amended and restated as follows:
Class N shares of the Fund are subject to a $1,000,000 initial investment minimum. There is no initial investment minimum for Certain Retirement Plans and funds of funds that are distributed by Natixis Distribution, L.P. (the “Distributor”). Sub accounts held
This page not part of shareholder report | SP2019-32 |
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within an omnibus account, where the omnibus account has at least $1,000,000, are not required to meet the investment minimum. There is no subsequent investment minimum for these shares. In its sole discretion, the Distributor may waive the investment minimum requirement for accounts as to which the Distributor reasonably believes will have enough assets to exceed the investment minimum requirement within a relatively short period of time following the establishment date of such accounts in Class N. If, after two years, an account’s value does not exceed the investment minimum requirement, the Distributor and the Fund reserve the right to redeem such account.
This page not part of shareholder report
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Loomis Sayles Multi-Asset Income Fund
Mirova Global Sustainable Equity Fund
Natixis Oakmark Fund
Natixis Oakmark International Fund
Natixis U.S. Equity Opportunities Fund
(each a “Fund”)
Supplement dated May 23, 2019 to the Natixis Funds Prospectus and Summary Prospectuses, each dated May 1, 2019, as may be revised and supplemented from time to time.
Effective immediately, the text of the last footnote to the “Annual Fund Operating Expenses” table in the “Fund Fees & Expenses” sub-section of the Fund Summary section of each Fund’s prospectus is hereby amended and restated as follows:
Natixis Advisors, L.P. (“Natixis Advisors”) has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for Class N shares. This undertaking is in effect through April 30, 2020 and may be terminated before then only with the consent of the Fund’s Board of Trustees.
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NATIXIS FUNDS
Supplement dated June 28, 2019 to the Natixis Funds Prospectuses and Summary Prospectuses, each dated May 1, 2019, as may be revised or supplemented from time to time, for the following funds:
ASG Dynamic Allocation Fund | McDonnell Intermediate Municipal Bond Fund | |
ASG Global Alternatives Fund | Mirova Global Green Bond Fund | |
ASG Managed Futures Strategy Fund | Mirova Global Sustainable Equity Fund | |
ASG Tactical U.S. Market Fund | Mirova International Sustainable Equity Fund | |
Gateway Equity Call Premium Fund | Natixis Oakmark Fund | |
Gateway Fund | Natixis Oakmark International Fund | |
Loomis Sayles High Income Fund | Natixis U.S. Equity Opportunities Fund | |
Loomis Sayles Investment Grade Bond Fund | Vaughan Nelson Small Cap Value Fund | |
Loomis Sayles Multi-Asset Income Fund | Vaughan Nelson Value Opportunity Fund | |
Loomis Sayles Strategic Alpha Fund |
(each a “Fund”)
Effective July 1, 2019, the following is added to the Prospectus as “APPENDIX B — Financial Intermediary Specific Commissions & Investment Minimum Waivers”.
APPENDIX B — Financial Intermediary Specific Commissions & Investment Minimum Waivers
UBS Financial Services, Inc. (“UBS-FS”)
Pursuant to an agreement with the Funds, Class Y shares may be available on certain brokerage platforms at UBS-FS. For such platforms, UBS-FS may charge commissions on brokerage transactions in each Fund’s Class Y shares. A shareholder should contact UBS-FS for information about the commissions charged by UBS-FS for such transactions. Shares of each Fund are available in other share classes that have different fees and expenses.
The initial and subsequent investment minimums for Class Y shares are waived for transactions through such brokerage platforms at UBS-FS.
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Semiannual Report
June 30, 2019
Loomis Sayles Intermediate Municipal Bond Fund
(formerly McDonnell Intermediate Municipal Bond Fund)
Natixis Oakmark Fund
Natixis Oakmark International Fund
Vaughan Nelson Small Cap Value Fund
Vaughan Nelson Value Opportunity Fund
Portfolio Review | 1 | |||
Portfolio of Investments | 20 | |||
Financial Statements | 41 | |||
Notes to Financial Statements | 71 | |||
Shareholder Supplement (previously posted to the Fund’s website) | enclosed |
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically atwww.icsdelivery.com/natixisfunds.
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LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND
(formerly McDonnell Intermediate Municipal Bond Fund)
Managers | Symbols | |
Dawn Mangerson | Class A MIMAX | |
James Grabovac, CFA® | Class C MIMCX | |
Lawrence Jones | Class Y MIMYX | |
Steve Wlodarski, CFA®* | ||
Loomis, Sayles & Company, L.P. |
* | Effective May 1, 2019 Steve Wlodarski no longer serves as portfolio manager. |
Investment Goal
The Fund seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.
1 |
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Average Annual Total Returns — June 30, 20194
Expense Ratios5 | ||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | Life of Fund | Gross | Net | |||||||||||||||||||
Class Y (Inception 12/31/12)1 | ||||||||||||||||||||||||
NAV | 4.64 | % | 6.21 | % | 2.90 | % | 2.49 | % | 1.05 | % | 0.46 | % | ||||||||||||
Class A (Inception 12/31/12)1 | ||||||||||||||||||||||||
NAV | 4.62 | 5.95 | 2.62 | 2.21 | 1.31 | 0.71 | ||||||||||||||||||
With 3.00% Maximum Sales Charge | 1.47 | 2.75 | 2.01 | 1.72 | ||||||||||||||||||||
Class C (Inception 12/31/12)1 | ||||||||||||||||||||||||
NAV | 4.13 | 5.16 | 1.88 | 1.45 | 2.06 | 1.46 | ||||||||||||||||||
With CDSC2 | 3.13 | 4.16 | 1.88 | 1.45 | ||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||
Bloomberg Barclays Municipal Bond Index3 | 5.09 | 6.71 | 3.64 | 3.31 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | December 31, 2012 represents the date shares were first registered for public sale under the Securities Act of 1933. November 16, 2012 represents commencement of operations for accounting and financial reporting purposes only. |
2 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
3 | Bloomberg Barclays Municipal Bond Index is a market value-weighted index of investment-grade municipal bonds with maturities of one year or more. |
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 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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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 | |
Harris Associates L.P. |
Investment Goal
The Fund seeks long-term capital appreciation.
3 |
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Average Annual Total Returns — June 30, 20193
Life of Class N | Expense Ratios4 | |||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | 10 Years | Gross | Net | |||||||||||||||||||||||
Class Y (Inception 11/18/98) |
| |||||||||||||||||||||||||||
NAV | 16.61 | % | 0.74 | % | 7.77 | % | 13.70 | % | — | % | 0.88 | % | 0.88 | % | ||||||||||||||
Class A (Inception 5/6/31) | ||||||||||||||||||||||||||||
NAV | 16.50 | 0.48 | 7.49 | 13.42 | — | 1.13 | 1.13 | |||||||||||||||||||||
With 5.75% Maximum Sales Charge | 9.78 | -5.31 | 6.23 | 12.75 | — | |||||||||||||||||||||||
Class C (Inception 5/1/95) | ||||||||||||||||||||||||||||
NAV | 16.07 | -0.28 | 6.70 | 12.57 | — | 1.88 | 1.88 | |||||||||||||||||||||
With CDSC1 | 15.07 | -1.14 | 6.70 | 12.57 | — | |||||||||||||||||||||||
Class N (Inception 5/1/17) | ||||||||||||||||||||||||||||
NAV | 16.69 | 0.84 | — | — | 7.84 | 3.79 | 0.75 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
S&P 500® Index2 | 18.54 | 10.42 | 10.71 | 14.70 | 12.35 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance.Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the US equities market. |
3 | 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 4/30/20. When a Fund’s expenses are below the limitations, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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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.
5 |
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Average Annual Total Returns — June 30, 20194
Life of Class A/C | Life of Class Y/N | Expense Ratios5 | ||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | Gross | Net | ||||||||||||||||||||||||
Class Y (Inception 5/1/17) | ||||||||||||||||||||||||||||
NAV1 | 12.89 | % | -7.01 | % | 1.04 | % | — | % | -1.46 | % | 1.06 | % | 1.06 | % | ||||||||||||||
Class A (Inception 12/15/10) | ||||||||||||||||||||||||||||
NAV | 12.75 | -7.21 | 0.92 | 5.08 | — | 1.30 | 1.30 | |||||||||||||||||||||
With 5.75% Maximum Sales Charge | 6.26 | -12.57 | -0.27 | 4.36 | — | |||||||||||||||||||||||
Class C (Inception 12/15/10) | ||||||||||||||||||||||||||||
NAV | 12.42 | -7.93 | 0.17 | 4.31 | — | 2.06 | 2.06 | |||||||||||||||||||||
With CDSC2 | 11.42 | -8.82 | 0.17 | 4.31 | — | |||||||||||||||||||||||
Class N (Inception 5/1/17) | ||||||||||||||||||||||||||||
NAV | 12.98 | -6.97 | — | — | -1.37 | 1.01 | 0.98 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
MSCI World ex USA Index (Net)3 | 14.64 | 1.29 | 2.04 | 4.55 | 5.31 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance.Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Prior to the inception of Class Y shares (5/1/2017), performance is that of Class A shares and reflects the higher net expenses of that share class. |
2 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
3 | MSCI World ex 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. |
5 | Expense ratios are as shown in the Funds 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 4/30/20. When a Funds expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Funds expense limitations. |
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VAUGHAN NELSON SMALL CAP VALUE FUND
Managers | Symbols | |
Chris D. Wallis, CFA® | Class A NEFJX | |
Stephan Davis, CFA® | Class C NEJCX | |
Class N VSCNX | ||
Class Y NEJYX | ||
Vaughan Nelson Investment Management, L.P. |
Investment Goal
The Fund seeks capital appreciation.
7 |
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Average Annual Total Returns — June 30, 20193
Life of Class N | Expense Ratios4 | |||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | 10 Years | Gross | Net | |||||||||||||||||||||||
Class Y (Inception 8/31/06) | ||||||||||||||||||||||||||||
NAV | 18.36 | % | -0.31 | % | 5.84 | % | 12.99 | % | — | % | 1.24 | % | 1.24 | % | ||||||||||||||
Class A (Inception 12/31/96) |
| |||||||||||||||||||||||||||
NAV | 18.28 | -0.53 | 5.58 | 12.71 | — | 1.50 | 1.50 | |||||||||||||||||||||
With 5.75% Maximum Sales Charge | 11.49 | -6.24 | 4.33 | 12.05 | — | |||||||||||||||||||||||
Class C (Inception 12/31/96) |
| |||||||||||||||||||||||||||
NAV | 17.81 | -1.35 | 4.77 | 11.86 | — | 2.24 | 2.24 | |||||||||||||||||||||
With CDSC1 | �� | 16.81 | -2.03 | 4.77 | 11.86 | — | ||||||||||||||||||||||
Class N (Inception 5/1/17) | ||||||||||||||||||||||||||||
NAV | 18.51 | -0.12 | — | — | 3.90 | 15.29 | 1.08 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
Russell 2000® Value Index2 | 13.47 | -6.24 | 5.39 | 12.40 | 2.68 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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VAUGHAN NELSON VALUE OPPORTUNITY FUND
Managers | Symbols | |
Dennis G. Alff, CFA® | Class A VNVAX | |
Chad D. Fargason | Class C VNVCX | |
Chris D. Wallis, CFA® | Class N VNVNX | |
Class Y VNVYX | ||
Vaughan Nelson Investment Management, L.P. |
Investment Goal
The Fund seeks long-term capital appreciation.
9 |
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Average Annual Total Returns — June 30, 20193
Life of Class N | Expense Ratios4 | |||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | 10 Years | Gross | Net | |||||||||||||||||||||||
Class Y (Inception 10/31/08) | ||||||||||||||||||||||||||||
NAV | 20.04 | % | 1.54 | % | 3.81 | % | 12.02 | % | — | % | 1.20 | % | 1.20 | % | ||||||||||||||
Class A (Inception 10/31/08) | ||||||||||||||||||||||||||||
NAV | 19.93 | 1.28 | 3.55 | 11.75 | — | 1.45 | 1.45 | |||||||||||||||||||||
With 5.75% Maximum Sales Charge | 13.03 | -4.52 | 2.33 | 11.09 | — | |||||||||||||||||||||||
Class C (Inception 10/31/08) | ||||||||||||||||||||||||||||
NAV | 19.49 | 0.55 | 2.78 | 10.91 | — | 2.19 | 2.19 | |||||||||||||||||||||
With CDSC1 | 18.49 | -0.39 | 2.78 | 10.91 | — | |||||||||||||||||||||||
Class N (Inception 5/1/13) | ||||||||||||||||||||||||||||
NAV | 20.14 | 1.66 | 3.91 | — | 8.28 | 1.09 | 1.09 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
Russell Midcap® Value Index2 | 18.02 | 3.68 | 6.72 | 13.31 | 10.01 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance.Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | Russell Midcap® Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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ADDITIONAL INFORMATION
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived 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
Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2019 through June 30, 2019. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown 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 INTERMEDIATE MUNICIPAL BOND FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID DURING PERIOD* 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,046.20 | $3.55 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | $3.51 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,041.30 | $7.34 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.60 | $7.25 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,046.40 | $2.28 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.56 | $2.26 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45% and 0.45% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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NATIXIS OAKMARK FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,165.00 | $6.23 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.04 | $5.81 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,160.70 | $10.23 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.32 | $9.54 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,166.90 | $4.41 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.73 | $4.11 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,166.10 | $4.89 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.28 | $4.56 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.16%, 1.91%, 0.82% and 0.91% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
NATIXIS OAKMARK INTERNATIONAL FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,127.50 | $6.91 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.30 | $6.56 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,124.20 | $10.85 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.58 | $10.29 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,129.80 | $5.07 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.03 | $4.81 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,128.90 | $5.60 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.54 | $5.31 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.31%, 2.06%, 0.96% and 1.06% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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VAUGHAN NELSON SMALL CAP VALUE FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID DURING PERIOD* 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,182.80 | $7.85 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.60 | $7.25 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,178.10 | $11.88 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,013.89 | $10.99 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,185.10 | $5.96 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.34 | $5.51 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,183.60 | $6.50 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.84 | $6.01 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.45%, 2.20%, 1.10% and 1.20% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
VAUGHAN NELSON VALUE OPPORTUNITY FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID DURING PERIOD* 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,199.30 | $7.03 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.40 | $6.46 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,194.90 | $11.05 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.73 | $10.14 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,201.40 | $5.08 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.18 | $4.66 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,200.40 | $5.62 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.69 | $5.16 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.29%, 2.03%, 0.93% and 1.03% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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BOARD APPROVAL OF THE EXISTING ADVISORY ANDSUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory andsub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additionalone-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers andsub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory andsub-advisory fees and other expenses, including information comparing the Funds’ advisory andsub-advisory fees to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category where available, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a
15 |
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Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter, the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreements for aone-year period at its meeting held in June 2019. For the McDonnell Intermediate Municipal Bond Fund, the Trustees also considered that shareholders were being asked to approve a newsub-advisory agreement with Loomis, Sayles & Company, L.P. (“Loomis Sayles”) in connection with the integration of ownership of McDonnell Investment Management, LLC into Loomis Sayles, and that the Fund’s investment team and strategy were expected to remain largely the same. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.
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The Board noted that, through December 31, 2018, each Fund’sone-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):
One-Year | Three-Year | Five-Year | ||||||||||
Natixis Oakmark Fund | 94 | % | 47 | % | 75 | % | ||||||
Natixis Oakmark International Fund | 100 | % | 62 | % | 88 | % | ||||||
Vaughan Nelson Small Cap Value Fund | 60 | % | 86 | % | 44 | % | ||||||
Vaughan Nelson Value Opportunity Fund | 90 | % | 91 | % | 86 | % | ||||||
Loomis Sayles Intermediate Municipal Bond Fund (formally known as McDonnell Intermediate Municipal Bond Fund) | 86 | % | 57 | % | 64 | % |
In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s long-term performance was strong when compared to relevant performance benchmarks; and (3) that the Fund’s more recent performance has been stronger relative to its category.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory,sub-advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory andsub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, and the need for the Advisers to offer competitive
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compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that all of the Funds included have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under the cap. The Trustees also considered that the current expenses for Vaughan Nelson Value Opportunity Fund were below the expense cap.
The Trustees noted that certain of the Funds had total advisory fee rates that were above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rates, including: (1) the quality of the services and the reputation and performance of the portfolio management team; and (2) that management had proposed to further reduce the expense cap of the Fund.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale.The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense caps. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense caps. With respect to economies of scale, the Trustees noted that Natixis Oakmark Fund and Vaughan Nelson Value Opportunity Fund had breakpoints in their advisory fees and that each of the Funds was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.
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After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund. |
· | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
· | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2020.
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Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Intermediate Municipal Bond Fund*
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes — 93.1% of Net Assets | ||||||||
Municipals — 93.1% | ||||||||
Alabama — 2.6% |
| |||||||
$ | 500,000 | UAB Medicine Finance Authority Revenue, UAB Medicine Obligated Group, Series B-2, 3.500%, 9/01/2035 | $ | 519,690 | ||||
|
| |||||||
California — 4.3% |
| |||||||
500,000 | California Municipal Finance Authority Revenue, California Lutheran University, 5.000%, 10/01/2034 | 603,535 | ||||||
250,000 | California Statewide Communities Development Authority Revenue, Beverly Community Hospital Association, 4.000%, 11/01/2032 | 267,725 | ||||||
|
| |||||||
871,260 | ||||||||
|
| |||||||
Colorado — 10.5% |
| |||||||
260,000 | Colorado Springs Utilities System Revenue, SeriesB-2, 5.000%, 11/15/2033 | 295,422 | ||||||
400,000 | Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028 | 437,880 | ||||||
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 | 449,688 | ||||||
250,000 | Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030 | 303,138 | ||||||
500,000 | Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028 | 643,285 | ||||||
|
| |||||||
2,129,413 | ||||||||
|
| |||||||
Connecticut — 4.6% |
| |||||||
800,000 | Connecticut State Health & Educational Facilities Authority, University of New Haven, SeriesK-1, 5.000%, 7/01/2033 | 938,784 | ||||||
|
| |||||||
Florida — 13.3% |
| |||||||
240,000 | City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027 | 254,791 | ||||||
95,000 | City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028 | 101,220 | ||||||
700,000 | City of Cape Coral FL Water & Sewer Revenue, 5.000%, 10/01/2039 | 828,828 | ||||||
500,000 | Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027 | 565,360 | ||||||
400,000 | Sarasota County Utility System Revenue, 5.000%, 10/01/2023 | 459,632 | ||||||
400,000 | Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025 | 470,648 | ||||||
|
| |||||||
2,680,479 | ||||||||
|
| |||||||
Georgia — 1.4% |
| |||||||
250,000 | Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027 | 287,845 | ||||||
|
| |||||||
Illinois — 3.5% |
| |||||||
540,000 | Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031 | 604,633 | ||||||
100,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021 | 106,841 | ||||||
|
| |||||||
711,474 | ||||||||
|
|
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Intermediate Municipal Bond Fund* – (continued)
Principal Amount | Description | Value (†) | ||||||
Louisiana — 2.6% |
| |||||||
$ | 200,000 | New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035 | $ | 231,890 | ||||
250,000 | New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036 | 289,222 | ||||||
|
| |||||||
521,112 | ||||||||
|
| |||||||
Missouri — 4.0% |
| |||||||
700,000 | Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024 | 804,825 | ||||||
|
| |||||||
Nevada — 2.9% |
| |||||||
500,000 | City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026 | 581,545 | ||||||
|
| |||||||
New Jersey — 7.1% |
| |||||||
265,000 | New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023 | 301,104 | ||||||
500,000 | New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032 | 576,130 | ||||||
500,000 | Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024 | 566,050 | ||||||
|
| |||||||
1,443,284 | ||||||||
|
| |||||||
New Mexico — 2.9% |
| |||||||
500,000 | New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031 | 585,775 | ||||||
|
| |||||||
Ohio — 5.7% |
| |||||||
500,000 | Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023 | 573,730 | ||||||
500,000 | Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024 | 573,050 | ||||||
|
| |||||||
1,146,780 | ||||||||
|
| |||||||
Pennsylvania — 1.5% |
| |||||||
285,000 | Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027 | 302,499 | ||||||
|
| |||||||
Rhode Island — 2.9% |
| |||||||
500,000 | Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024 | 575,210 | ||||||
|
| |||||||
Tennessee — 2.9% |
| |||||||
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 | 591,635 | ||||||
|
| |||||||
Texas — 10.6% |
| |||||||
700,000 | Houston TX Airport System Revenue, Refunding, Series C, AMT, 5.000%, 7/01/2026 | 841,337 | ||||||
400,000 | Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024 | 455,724 | ||||||
250,000 | Texas City Independent School District, GO,(PSF-GTD), 4.000%, 8/15/2034 | 282,715 | ||||||
500,000 | Texas Public Finance Authority, Refunding, 4.000%, 2/01/2034 | 568,285 | ||||||
|
| |||||||
2,148,061 | ||||||||
|
|
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Intermediate Municipal Bond Fund* – (continued)
Principal Amount | Description | Value (†) | ||||||
Washington — 8.5% |
| |||||||
$ | 500,000 | King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032 | $ | 575,180 | ||||
500,000 | Port of Seattle Revenue, AMT, 5.000%, 7/01/2029 | 555,980 | ||||||
500,000 | Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031 | 577,045 | ||||||
|
| |||||||
1,708,205 | ||||||||
|
| |||||||
Wisconsin — 1.3% |
| |||||||
225,000 | Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031 | 257,969 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $17,667,354) | 18,805,845 | |||||||
|
| |||||||
Shares | ||||||||
Exchange-Traded Funds — 4.1% | ||||||||
10,000 | SPDR® Nuveen S&P High Yield Municipal Bond ETF | 584,500 | ||||||
10,000 | VanEck Vectors® Short High-Yield Municipal Index ETF | 250,400 | ||||||
|
| |||||||
Total Exchange-Traded Funds (Identified Cost $811,628) | 834,900 | |||||||
|
| |||||||
Total Investments — 97.2% (Identified Cost $18,478,982) | 19,640,745 | |||||||
Other assets less liabilities — 2.8% | 572,284 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 20,213,029 | ||||||
|
| |||||||
* | Formerly McDonnell Intermediate Municipal Bond Fund. |
| ||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
AGM | Assured Guaranty Municipal Corporation |
| ||||||
AMT | Alternative Minimum Tax |
| ||||||
ETF | Exchange-Traded Fund |
| ||||||
GO | General Obligation |
| ||||||
SPDR | Standard & Poor’s Depositary Receipt |
|
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Intermediate Municipal Bond Fund* – (continued)
Industry Summary at June 30, 2019 (Unaudited)
Hospitals | 21.1 | % | ||
Higher Education | 13.2 | |||
General Purpose Public Improvement | 11.4 | |||
Airports | 11.3 | |||
Water and Sewer | 11.0 | |||
Primary Secondary Education | 6.5 | |||
Electric Public Power | 4.0 | |||
Mass Rapid Transportation | 3.2 | |||
Pollution Control | 2.9 | |||
Toll Roads, Streets & Highways | 2.8 | |||
Seaports Marine Terminals | 2.8 | |||
Other Investments, less than 2% each | 2.9 | |||
Exchange-Traded Funds | 4.1 | |||
|
| |||
Total Investments | 97.2 | |||
Other assets less liabilities | 2.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis Oakmark Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 95.4% of Net Assets | ||||||||
Air Freight & Logistics — 1.0% |
| |||||||
19,325 | FedEx Corp. | $ | 3,172,972 | |||||
|
| |||||||
Airlines — 1.5% |
| |||||||
142,200 | American Airlines Group, Inc. | 4,637,142 | ||||||
|
| |||||||
Auto Components — 1.4% |
| |||||||
37,800 | Aptiv PLC | 3,055,374 | ||||||
64,266 | Delphi Technologies PLC | 1,285,320 | ||||||
|
| |||||||
4,340,694 | ||||||||
|
| |||||||
Automobiles — 4.3% |
| |||||||
489,900 | Fiat Chrysler Automobiles NV | 6,770,418 | ||||||
168,100 | General Motors Co. | 6,476,893 | ||||||
|
| |||||||
13,247,311 | ||||||||
|
| |||||||
Banks — 8.5% |
| |||||||
336,400 | Bank of America Corp. | 9,755,600 | ||||||
151,400 | Citigroup, Inc. | 10,602,542 | ||||||
124,545 | Wells Fargo & Co. | 5,893,469 | ||||||
|
| |||||||
26,251,611 | ||||||||
|
| |||||||
Beverages — 1.8% |
| |||||||
28,700 | Constellation Brands, Inc., Class A | 5,652,178 | ||||||
|
| |||||||
Biotechnology — 2.4% |
| |||||||
23,245 | Regeneron Pharmaceuticals, Inc.(a) | 7,275,685 | ||||||
|
| |||||||
Capital Markets — 9.9% |
| |||||||
120,600 | Bank of New York Mellon Corp. (The) | 5,324,490 | ||||||
166,900 | Charles Schwab Corp. (The) | 6,707,711 | ||||||
18,965 | Goldman Sachs Group, Inc. (The) | 3,880,239 | ||||||
25,985 | Moody’s Corp. | 5,075,131 | ||||||
14,785 | S&P Global, Inc. | 3,367,875 | ||||||
108,000 | State Street Corp. | 6,054,480 | ||||||
|
| |||||||
30,409,926 | ||||||||
|
| |||||||
Consumer Finance — 5.8% |
| |||||||
278,500 | Ally Financial, Inc. | 8,630,715 | ||||||
100,465 | Capital One Financial Corp. | 9,116,194 | ||||||
|
| |||||||
17,746,909 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.6% |
| |||||||
84,200 | TE Connectivity Ltd. | 8,064,676 | ||||||
|
| |||||||
Energy Equipment & Services — 1.5% |
| |||||||
99,500 | Halliburton Co. | 2,262,630 | ||||||
101,900 | National Oilwell Varco, Inc. | 2,265,237 | ||||||
|
| |||||||
4,527,867 | ||||||||
|
| |||||||
Entertainment — 3.4% |
| |||||||
28,335 | Netflix, Inc.(a) | 10,408,012 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.5% |
| |||||||
19,670 | Baxter International, Inc. | 1,610,973 | ||||||
|
|
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis Oakmark Fund – (continued)
Shares | Description | Value (†) | ||||||
Health Care Providers & Services — 3.1% |
| |||||||
109,185 | CVS Health Corp. | $ | 5,949,491 | |||||
25,707 | HCA Healthcare, Inc. | 3,474,815 | ||||||
|
| |||||||
9,424,306 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.0% |
| |||||||
47,845 | Hilton Worldwide Holdings, Inc. | 4,676,370 | ||||||
161,700 | MGM Resorts International | 4,619,769 | ||||||
|
| |||||||
9,296,139 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.5% |
| |||||||
740,800 | General Electric Co. | 7,778,400 | ||||||
|
| |||||||
Insurance — 2.3% |
| |||||||
133,345 | American International Group, Inc. | 7,104,622 | ||||||
|
| |||||||
Interactive Media & Services — 5.6% |
| |||||||
9,665 | Alphabet, Inc., Class A(a) | 10,465,262 | ||||||
34,990 | Facebook, Inc., Class A(a) | 6,753,070 | ||||||
|
| |||||||
17,218,332 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.3% |
| |||||||
3,400 | Booking Holdings, Inc.(a) | 6,374,014 | ||||||
111,900 | eBay, Inc. | 4,420,050 | ||||||
199,200 | Qurate Retail, Inc., Class A(a) | 2,468,088 | ||||||
|
| |||||||
13,262,152 | ||||||||
|
| |||||||
IT Services — 7.7% |
| |||||||
28,820 | Automatic Data Processing, Inc. | 4,764,810 | ||||||
66,700 | DXC Technology Co. | 3,678,505 | ||||||
30,865 | Gartner, Inc.(a) | 4,967,413 | ||||||
20,245 | MasterCard, Inc., Class A | 5,355,410 | ||||||
28,705 | Visa, Inc., Class A | 4,981,753 | ||||||
|
| |||||||
23,747,891 | ||||||||
|
| |||||||
Machinery — 5.2% |
| |||||||
29,981 | Caterpillar, Inc. | 4,086,110 | ||||||
30,060 | Cummins, Inc. | 5,150,480 | ||||||
39,455 | Parker Hannifin Corp. | 6,707,745 | ||||||
|
| |||||||
15,944,335 | ||||||||
|
| |||||||
Media — 5.7% |
| |||||||
20,895 | Charter Communications, Inc., Class A(a) | 8,257,286 | ||||||
185,500 | Comcast Corp., Class A | 7,842,940 | ||||||
112,140 | News Corp., Class A | 1,512,769 | ||||||
|
| |||||||
17,612,995 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.3% |
| |||||||
182,900 | Apache Corp. | 5,298,613 | ||||||
1,036,000 | Chesapeake Energy Corp.(a) | 2,020,200 | ||||||
29,500 | Concho Resources, Inc. | 3,043,810 | ||||||
29,500 | Diamondback Energy, Inc. | 3,214,615 | ||||||
30,900 | EOG Resources, Inc. | 2,878,644 | ||||||
|
| |||||||
16,455,882 | ||||||||
|
|
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis Oakmark Fund – (continued)
Shares | Description | Value (†) | ||||||
Semiconductors & Semiconductor Equipment — 3.5% |
| |||||||
118,000 | Intel Corp. | $ | 5,648,660 | |||||
45,200 | Texas Instruments, Inc. | 5,187,152 | ||||||
|
| |||||||
10,835,812 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.6% |
| |||||||
40,430 | Apple, Inc. | 8,001,906 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $258,835,484) | 294,028,728 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 4.5% | ||||||||
$ | 13,986,586 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $13,988,334 on 7/01/2019 collateralized by $13,760,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $14,269,973 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $13,986,586) | 13,986,586 | |||||
|
| |||||||
Total Investments — 99.9% (Identified Cost $272,822,070) | 308,015,314 | |||||||
Other assets less liabilities — 0.1% | 381,813 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 308,397,127 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Non-income producing security. |
|
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis Oakmark Fund – (continued)
Industry Summary at June 30, 2019 (Unaudited)
Capital Markets | 9.9 | % | ||
Banks | 8.5 | |||
IT Services | 7.7 | |||
Consumer Finance | 5.8 | |||
Media | 5.7 | |||
Interactive Media & Services | 5.6 | |||
Oil, Gas & Consumable Fuels | 5.3 | |||
Machinery | 5.2 | |||
Internet & Direct Marketing Retail | 4.3 | |||
Automobiles | 4.3 | |||
Semiconductors & Semiconductor Equipment | 3.5 | |||
Entertainment | 3.4 | |||
Health Care Providers & Services | 3.1 | |||
Hotels, Restaurants & Leisure | 3.0 | |||
Electronic Equipment, Instruments & Components | 2.6 | |||
Technology Hardware, Storage & Peripherals | 2.6 | |||
Industrial Conglomerates | 2.5 | |||
Biotechnology | 2.4 | |||
Insurance | 2.3 | |||
Other Investments, less than 2% each | 7.7 | |||
Short-Term Investments | 4.5 | |||
|
| |||
Total Investments | 99.9 | |||
Other assets less liabilities | 0.1 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis Oakmark International Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 97.8% of Net Assets | ||||||||
Australia — 2.4% |
| |||||||
3,865,150 | AMP Ltd. | $ | 5,765,578 | |||||
190,600 | Brambles Ltd. | 1,726,188 | ||||||
579,558 | Orica Ltd. | 8,257,583 | ||||||
|
| |||||||
15,749,349 | ||||||||
|
| |||||||
Canada — 1.3% |
| |||||||
8,100 | Alimentation Couche-Tard, Inc., Class B | 509,733 | ||||||
943,367 | Cenovus Energy, Inc. | 8,320,331 | ||||||
|
| |||||||
8,830,064 | ||||||||
|
| |||||||
China — 1.2% |
| |||||||
69,830 | Baidu, Inc., Sponsored ADR(a) | 8,195,249 | ||||||
|
| |||||||
France — 12.0% |
| |||||||
305,200 | Accor S.A. | 13,099,929 | ||||||
561,300 | BNP Paribas S.A.(b) | 26,608,577 | ||||||
238,822 | Bureau Veritas S.A. | 5,894,801 | ||||||
32,051 | Danone S.A. | 2,713,829 | ||||||
42,700 | EssilorLuxottica S.A. | 5,564,744 | ||||||
214,045 | Publicis Groupe S.A. | 11,297,473 | ||||||
404,800 | Valeo S.A. | 13,178,639 | ||||||
|
| |||||||
78,357,992 | ||||||||
|
| |||||||
Germany — 17.2% |
| |||||||
61,810 | Allianz SE, (Registered) | 14,907,096 | ||||||
355,230 | Bayer AG, (Registered) | 24,638,859 | ||||||
258,600 | Bayerische Motoren Werke AG | 19,115,042 | ||||||
145,530 | Continental AG | 21,191,922 | ||||||
389,814 | Daimler AG, (Registered) | 21,740,635 | ||||||
776,700 | thyssenkrupp AG | 11,340,403 | ||||||
|
| |||||||
112,933,957 | ||||||||
|
| |||||||
India — 0.3% |
| |||||||
162,075 | Axis Bank Ltd.(a) | 1,897,889 | ||||||
|
| |||||||
Indonesia — 1.0% |
| |||||||
11,244,400 | Bank Mandiri Persero Tbk PT | 6,383,991 | ||||||
|
| |||||||
Ireland — 2.4% |
| |||||||
245,502 | Ryanair Holdings PLC, Sponsored ADR(a) | 15,746,498 | ||||||
|
| |||||||
Italy — 3.7% |
| |||||||
11,181,300 | Intesa Sanpaolo SpA | 23,936,943 | ||||||
|
| |||||||
Japan — 4.6% |
| |||||||
548,100 | Komatsu Ltd. | 13,306,662 | ||||||
372,000 | Olympus Corp. | 4,139,945 | ||||||
14,800 | Omron Corp. | 776,202 | ||||||
187,200 | Toyota Motor Corp. | 11,618,347 | ||||||
|
| |||||||
29,841,156 | ||||||||
|
|
See accompanying notes to financial statements.
| 28
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis Oakmark International Fund – (continued)
Shares | Description | Value (†) | ||||||
Korea — 3.5% |
| |||||||
121,400 | NAVER Corp. | $ | 11,998,064 | |||||
266,400 | Samsung Electronics Co. Ltd. | 10,847,893 | ||||||
|
| |||||||
22,845,957 | ||||||||
|
| |||||||
Mexico — 0.9% |
| |||||||
681,400 | Grupo Televisa SAB, Sponsored ADR | 5,751,016 | ||||||
|
| |||||||
Netherlands — 4.2% |
| |||||||
25,204 | Akzo Nobel NV | 2,368,426 | ||||||
47,730 | ASML Holding NV | 9,932,128 | ||||||
215,982 | EXOR NV | 15,131,368 | ||||||
|
| |||||||
27,431,922 | ||||||||
|
| |||||||
South Africa — 1.9% |
| |||||||
52,535 | Naspers Ltd., N Shares | 12,716,100 | ||||||
|
| |||||||
Sweden — 6.4% |
| |||||||
1,021,955 | Hennes & Mauritz AB, B Shares | 18,156,174 | ||||||
666,200 | SKF AB, B Shares | 12,264,298 | ||||||
733,100 | Volvo AB, B Shares | 11,648,723 | ||||||
|
| |||||||
42,069,195 | ||||||||
|
| |||||||
Switzerland — 11.3% |
| |||||||
99,500 | Cie Financiere Richemont S.A., (Registered) | 8,455,163 | ||||||
1,915,536 | Credit Suisse Group AG, (Registered)(b) | 22,927,379 | ||||||
6,141,800 | Glencore PLC(b) | 21,256,289 | ||||||
42,930 | Kuehne & Nagel International AG | 6,376,689 | ||||||
193,121 | LafargeHolcim Ltd., (Registered) | 9,442,945 | ||||||
20,800 | Nestle S.A., (Registered) | 2,153,262 | ||||||
11,485 | Swatch Group AG (The) | 3,292,321 | ||||||
|
| |||||||
73,904,048 | ||||||||
|
| |||||||
Taiwan — 1.1% |
| |||||||
908,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 6,944,726 | ||||||
|
| |||||||
United Kingdom — 20.4% |
| |||||||
442,239 | Ashtead Group PLC | 12,670,738 | ||||||
2,092,200 | CNH Industrial NV | 21,493,667 | ||||||
23,600 | Diageo PLC | 1,015,749 | ||||||
2,645,400 | G4S PLC | 6,998,758 | ||||||
380,300 | Liberty Global PLC, Class A(a) | 10,264,297 | ||||||
142,426 | Liberty Global PLC, Series C(a) | 3,778,562 | ||||||
24,844,600 | Lloyds Banking Group PLC | 17,843,853 | ||||||
299,404 | Meggitt PLC | 1,994,751 | ||||||
65,800 | Reckitt Benckiser Group PLC | 5,195,216 | ||||||
889,500 | Rolls-Royce Holdings PLC | 9,502,468 | ||||||
4,203,400 | Royal Bank of Scotland Group PLC | 11,723,733 | ||||||
381,389 | Schroders PLC | 14,795,352 | ||||||
100 | Schroders PLC, (Non Voting) | 3,117 | ||||||
305,800 | Smiths Group PLC | 6,084,231 | ||||||
823,100 | WPP PLC | 10,368,141 | ||||||
|
| |||||||
133,732,633 | ||||||||
|
|
See accompanying notes to financial statements.
29 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis Oakmark International Fund – (continued)
Shares | Description | Value (†) | ||||||
United States — 2.0% |
| |||||||
118,950 | Ferguson PLC(a) | $ | 8,468,040 | |||||
23,677 | Willis Towers Watson PLC | 4,535,093 | ||||||
|
| |||||||
13,003,133 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $745,738,266) | 640,271,818 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 1.9% | ||||||||
$ | 12,586,683 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $12,588,257 on 7/01/2019 collateralized by $12,805,000 U.S. Treasury Note, 1.625% due 8/15/2022 valued at $12,839,317 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $12,586,683) | 12,586,683 | |||||
|
| |||||||
Total Investments — 99.7% (Identified Cost $758,324,949) | 652,858,501 | |||||||
Other assets less liabilities — 0.3% | 2,242,506 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 655,101,007 | ||||||
|
| |||||||
(†) | 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. |
| ||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
| ||||||
CHF | Swiss Franc |
|
At June 30, 2019, the Fund had the following open forward foreign currency contracts:
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
State Street Bank and Trust Company | 12/18/2019 | CHF | S | 6,445,000 | $ | 6,588,699 | $ | 6,701,276 | $ | (112,577 | ) | |||||||||||||||
|
|
See accompanying notes to financial statements.
| 30
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis Oakmark International Fund – (continued)
Industry Summary at June 30, 2019 (Unaudited)
Banks | 13.6 | % | ||
Machinery | 9.0 | |||
Automobiles | 8.0 | |||
Media | 6.4 | |||
Capital Markets | 5.8 | |||
Auto Components | 5.2 | |||
Metals & Mining | 5.0 | |||
Pharmaceuticals | 3.8 | |||
Trading Companies & Distributors | 3.2 | |||
Diversified Financial Services | 3.2 | |||
Interactive Media & Services | 3.0 | |||
Insurance | 3.0 | |||
Specialty Retail | 2.7 | |||
Textiles, Apparel & Luxury Goods | 2.7 | |||
Semiconductors & Semiconductor Equipment | 2.6 | |||
Airlines | 2.4 | |||
Hotels, Restaurants & Leisure | 2.0 | |||
Other Investments, less than 2% each | 16.2 | |||
Short-Term Investments | 1.9 | |||
|
| |||
Total Investments | 99.7 | |||
Other assets less liabilities (including forward foreign currency contracts) | 0.3 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2019 (Unaudited)
Euro | 40.4 | % | ||
British Pound | 19.5 | |||
United States Dollar | 9.3 | |||
Swiss Franc | 8.0 | |||
Swedish Krona | 6.4 | |||
Japanese Yen | 4.6 | |||
South Korean Won | 3.5 | |||
Australian Dollar | 2.4 | |||
Other, less than 2% each | 5.6 | |||
|
| |||
Total Investments | 99.7 | |||
Other assets less liabilities (including forward foreign currency contracts) | 0.3 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
31 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Vaughan Nelson Small Cap Value Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 94.6% of Net Assets | ||||||||
Aerospace & Defense — 1.5% |
| |||||||
19,896 | Moog, Inc., Class A | $ | 1,862,465 | |||||
|
| |||||||
Banks — 11.7% |
| |||||||
59,275 | Atlantic Union Bankshares Corp. | 2,094,186 | ||||||
37,775 | Enterprise Financial Services Corp. | 1,571,440 | ||||||
46,275 | First Bancorp | 1,685,336 | ||||||
87,425 | First Financial Bancorp | 2,117,433 | ||||||
53,150 | First Merchants Corp. | 2,014,385 | ||||||
28,525 | Lakeland Financial Corp. | 1,335,826 | ||||||
80,525 | United Community Banks, Inc. | 2,299,794 | ||||||
31,125 | Webster Financial Corp. | 1,486,841 | ||||||
|
| |||||||
14,605,241 | ||||||||
|
| |||||||
Biotechnology — 0.8% |
| |||||||
21,388 | Emergent BioSolutions, Inc.(a) | 1,033,254 | ||||||
|
| |||||||
Building Products — 1.2% |
| |||||||
17,425 | American Woodmark Corp.(a) | 1,474,503 | ||||||
|
| |||||||
Capital Markets — 4.9% |
| |||||||
21,150 | Blucora, Inc.(a) | 642,326 | ||||||
40,425 | LPL Financial Holdings, Inc. | 3,297,467 | ||||||
101,650 | Virtu Financial, Inc., Class A | 2,213,937 | ||||||
|
| |||||||
6,153,730 | ||||||||
|
| |||||||
Chemicals — 1.7% |
| |||||||
206,050 | Element Solutions, Inc.(a) | 2,130,557 | ||||||
|
| |||||||
Commercial Services & Supplies — 5.4% |
| |||||||
48,975 | Brady Corp., Class A | 2,415,447 | ||||||
41,550 | Brink’s Co. (The) | 3,373,029 | ||||||
24,100 | Casella Waste Systems, Inc., Class A(a) | 955,083 | ||||||
|
| |||||||
6,743,559 | ||||||||
|
| |||||||
Communications Equipment — 0.3% |
| |||||||
64,575 | Casa Systems, Inc.(a) | 415,217 | ||||||
|
| |||||||
Consumer Finance — 2.3% |
| |||||||
19,775 | FirstCash, Inc. | 1,977,895 | ||||||
17,200 | Green Dot Corp., Class A(a) | 841,080 | ||||||
|
| |||||||
2,818,975 | ||||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
64,600 | Graphic Packaging Holding Co. | 903,108 | ||||||
|
| |||||||
Diversified Consumer Services — 1.7% |
| |||||||
47,993 | Adtalem Global Education, Inc.(a) | 2,162,085 | ||||||
|
| |||||||
Electrical Equipment — 1.1% |
| |||||||
122,150 | GrafTech International Ltd. | 1,404,725 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.5% |
| |||||||
26,455 | Fabrinet(a) | 1,314,020 | ||||||
10,135 | Littelfuse, Inc. | 1,792,983 | ||||||
|
| |||||||
3,107,003 | ||||||||
|
|
See accompanying notes to financial statements.
| 32
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
Shares | Description | Value (†) | ||||||
Energy Equipment & Services — 1.6% |
| |||||||
117,250 | Newpark Resources, Inc.(a) | $ | 869,995 | |||||
23,325 | Oil States International, Inc.(a) | 426,848 | ||||||
33,625 | ProPetro Holding Corp.(a) | 696,037 | ||||||
|
| |||||||
1,992,880 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.8% |
| |||||||
54,675 | Performance Food Group Co.(a) | 2,188,640 | ||||||
|
| |||||||
Gas Utilities — 4.4% |
| |||||||
33,300 | Southwest Gas Holdings, Inc. | 2,984,346 | ||||||
30,050 | Spire, Inc. | 2,521,796 | ||||||
|
| |||||||
5,506,142 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.6% |
| |||||||
31,825 | Integra LifeSciences Holdings Corp.(a) | 1,777,426 | ||||||
56,328 | Lantheus Holdings, Inc.(a) | 1,594,083 | ||||||
14,825 | LivaNova PLC(a) | 1,066,807 | ||||||
|
| |||||||
4,438,316 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.4% |
| |||||||
31,225 | AMN Healthcare Services, Inc.(a) | 1,693,956 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
15,250 | Dunkin’ Brands Group, Inc. | 1,214,815 | ||||||
|
| |||||||
Insurance — 5.9% |
| |||||||
83,400 | Brown & Brown, Inc. | 2,793,900 | ||||||
31,375 | Mercury General Corp. | 1,960,937 | ||||||
34,975 | Selective Insurance Group, Inc. | 2,619,278 | ||||||
|
| |||||||
7,374,115 | ||||||||
|
| |||||||
IT Services — 6.5% |
| |||||||
47,950 | Booz Allen Hamilton Holding Corp. | 3,174,769 | ||||||
17,735 | CACI International, Inc., Class A(a) | 3,628,404 | ||||||
56,750 | Perspecta, Inc. | 1,328,518 | ||||||
|
| |||||||
8,131,691 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.0% |
| |||||||
13,075 | PRA Health Sciences, Inc.(a) | 1,296,386 | ||||||
|
| |||||||
Machinery — 3.1% |
| |||||||
21,500 | Albany International Corp., Class A | 1,782,565 | ||||||
29,075 | Franklin Electric Co., Inc. | 1,381,063 | ||||||
18,425 | Hillenbrand, Inc. | 729,077 | ||||||
|
| |||||||
3,892,705 | ||||||||
|
| |||||||
Media — 4.2% |
| |||||||
26,675 | Nexstar Media Group, Inc., Class A | 2,694,175 | ||||||
167,625 | TEGNA, Inc. | 2,539,519 | ||||||
|
| |||||||
5,233,694 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.1% |
| |||||||
93,075 | Callon Petroleum Co.(a) | 613,364 | ||||||
280,200 | Kosmos Energy Ltd. | 1,756,854 |
See accompanying notes to financial statements.
33 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
Shares | Description | Value (†) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
25,850 | Unit Corp.(a) | $ | 229,807 | |||||
|
| |||||||
2,600,025 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.2% |
| |||||||
84,225 | Cushman & Wakefield PLC(a) | 1,505,943 | ||||||
|
| |||||||
REITs – Diversified — 0.7% |
| |||||||
44,325 | CoreCivic, Inc. | 920,187 | ||||||
|
| |||||||
REITs – Health Care — 2.2% |
| |||||||
30,368 | Community Healthcare Trust, Inc. | 1,196,803 | ||||||
84,790 | Physicians Realty Trust | 1,478,737 | ||||||
|
| |||||||
2,675,540 | ||||||||
|
| |||||||
REITs – Mortgage — 1.6% |
| |||||||
157,250 | Two Harbors Investment Corp. | 1,992,357 | ||||||
|
| |||||||
REITs – Office Property — 0.5% |
| |||||||
47,250 | Brandywine Realty Trust | 676,620 | ||||||
|
| |||||||
REITs – Storage — 1.0% |
| |||||||
44,275 | National Storage Affiliates Trust | 1,281,319 | ||||||
|
| |||||||
Road & Rail — 1.6% |
| |||||||
18,925 | Landstar System, Inc. | 2,043,711 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.5% |
| |||||||
25,050 | Cabot Microelectronics Corp. | 2,757,504 | ||||||
36,575 | Entegris, Inc. | 1,364,979 | ||||||
117,650 | Lattice Semiconductor Corp.(a) | 1,716,513 | ||||||
48,100 | MaxLinear, Inc., Class A(a) | 1,127,464 | ||||||
10,625 | Nova Measuring Instruments Ltd.(a) | 271,894 | ||||||
9,250 | Power Integrations, Inc. | 741,665 | ||||||
77,200 | Rambus, Inc.(a) | 929,488 | ||||||
6,350 | Silicon Laboratories, Inc.(a) | 656,590 | ||||||
20,550 | Versum Materials, Inc. | 1,059,969 | ||||||
|
| |||||||
10,626,066 | ||||||||
|
| |||||||
Software — 0.7% |
| |||||||
6,775 | CyberArk Software Ltd.(a) | 866,116 | ||||||
|
| |||||||
Specialty Retail — 1.8% |
| |||||||
35,475 | Aaron’s, Inc. | 2,178,520 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
7,600 | Carter’s, Inc. | 741,304 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.8% |
| |||||||
174,800 | MGIC Investment Corp.(a) | 2,296,872 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $108,176,196) | 118,182,342 | |||||||
|
| |||||||
Exchange-Traded Funds — 4.0% | ||||||||
41,600 | iShares® Russell 2000 Value Index ETF (Identified Cost $4,926,754) | 5,012,800 | ||||||
|
|
See accompanying notes to financial statements.
| 34
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
Shares | Description | Value (†) | ||||||
Closed-End Investment Companies — 0.4% | ||||||||
37,925 | BlackRock TCP Capital Corp. (Identified Cost $641,051) | $ | 540,431 | |||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 0.8% | ||||||||
$ | 918,723 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $918,838 on 7/01/2019 collateralized by $905,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $938,541 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $918,723) | 918,723 | |||||
|
| |||||||
Total Investments — 99.8% (Identified Cost $114,662,724) | 124,654,296 | |||||||
Other assets less liabilities — 0.2% | 266,529 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 124,920,825 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Non-income producing security. |
| ||||||
ETF | Exchange-Traded Fund |
| ||||||
REITs | Real Estate Investment Trusts |
|
Industry Summary at June 30, 2019 (Unaudited)
Banks | 11.7 | % | ||
Semiconductors & Semiconductor Equipment | 8.5 | |||
IT Services | 6.5 | |||
Insurance | 5.9 | |||
Commercial Services & Supplies | 5.4 | |||
Capital Markets | 4.9 | |||
Gas Utilities | 4.4 | |||
Media | 4.2 | |||
Health Care Equipment & Supplies | 3.6 | |||
Machinery | 3.1 | |||
Electronic Equipment, Instruments & Components | 2.5 | |||
Consumer Finance | 2.3 | |||
REITs - Health Care | 2.2 | |||
Oil, Gas & Consumable Fuels | 2.1 | |||
Other Investments, less than 2% each | 27.3 | |||
Exchange-Traded Funds | 4.0 | |||
Short-Term Investments | 0.8 | |||
Closed-End Investment Companies | 0.4 | |||
|
| |||
Total Investments | 99.8 | |||
Other assets less liabilities | 0.2 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
35 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Vaughan Nelson Value Opportunity Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 94.6% of Net Assets | ||||||||
Banks — 4.3% |
| |||||||
172,600 | Bank of NT Butterfield & Son Ltd. (The) | $ | 5,861,496 | |||||
209,000 | Chemical Financial Corp. | 8,591,990 | ||||||
79,275 | PacWest Bancorp | 3,078,248 | ||||||
|
| |||||||
17,531,734 | ||||||||
|
| |||||||
Beverages — 1.6% |
| |||||||
32,940 | Constellation Brands, Inc., Class A | 6,487,204 | ||||||
|
| |||||||
Building Products — 1.5% |
| |||||||
53,450 | Allegion PLC | 5,908,897 | ||||||
|
| |||||||
Capital Markets — 5.0% |
| |||||||
186,000 | Ares Management Corp., Class A | 4,867,620 | ||||||
83,100 | Nasdaq, Inc. | 7,991,727 | ||||||
332,450 | Virtu Financial, Inc., Class A | 7,240,761 | ||||||
|
| |||||||
20,100,108 | ||||||||
|
| |||||||
Chemicals — 1.6% |
| |||||||
76,300 | FMC Corp. | 6,329,085 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.8% |
| |||||||
90,300 | Brink’s Co. (The) | 7,330,554 | ||||||
|
| |||||||
Construction & Engineering — 1.3% |
| |||||||
339,475 | WillScot Corp.(a) | 5,105,704 | ||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
88,450 | Synchrony Financial | 3,066,562 | ||||||
|
| |||||||
Containers & Packaging — 3.9% |
| |||||||
35,025 | AptarGroup, Inc. | 4,355,009 | ||||||
35,025 | Avery Dennison Corp. | 4,051,692 | ||||||
123,475 | Crown Holdings, Inc.(a) | 7,544,322 | ||||||
|
| |||||||
15,951,023 | ||||||||
|
| |||||||
Distributors — 0.7% |
| |||||||
15,850 | POOL CORP. | 3,027,350 | ||||||
|
| |||||||
Diversified Consumer Services — 2.3% |
| |||||||
15,125 | Bright Horizons Family Solutions, Inc.(a) | 2,281,909 | ||||||
333,025 | Laureate Education, Inc., Class A(a) | 5,231,823 | ||||||
37,225 | ServiceMaster Global Holdings, Inc.(a) | 1,939,050 | ||||||
|
| |||||||
9,452,782 | ||||||||
|
| |||||||
Electric Utilities — 4.6% |
| |||||||
154,800 | Evergy, Inc. | 9,311,220 | ||||||
123,125 | Eversource Energy | 9,327,950 | ||||||
|
| |||||||
18,639,170 | ||||||||
|
| |||||||
Electrical Equipment — 2.6% |
| |||||||
53,100 | AMETEK, Inc. | 4,823,604 | ||||||
28,025 | Hubbell, Inc. | 3,654,460 |
See accompanying notes to financial statements.
| 36
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
Shares | Description | Value (†) | ||||||
Electrical Equipment — continued |
| |||||||
84,400 | nVent Electric PLC | $ | 2,092,276 | |||||
|
| |||||||
10,570,340 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.3% |
| |||||||
28,375 | CDW Corp. | 3,149,625 | ||||||
69,150 | Keysight Technologies, Inc.(a) | 6,210,361 | ||||||
|
| |||||||
9,359,986 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.6% |
| |||||||
92,150 | Baker Hughes, a GE Co. | 2,269,655 | ||||||
|
| |||||||
Entertainment — 1.2% |
| |||||||
48,275 | Electronic Arts, Inc.(a) | 4,888,327 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.3% |
| |||||||
13,860 | Cooper Cos., Inc. (The) | 4,669,295 | ||||||
110,200 | Hologic, Inc.(a) | 5,291,804 | ||||||
25,425 | West Pharmaceutical Services, Inc. | 3,181,939 | ||||||
|
| |||||||
13,143,038 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.4% |
| |||||||
106,525 | Centene Corp.(a) | 5,586,171 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.4% |
| |||||||
162,175 | Aramark | 5,848,031 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 3.6% |
| |||||||
289,725 | Atlantica Yield PLC | 6,568,066 | ||||||
357,375 | Vistra Energy Corp. | 8,090,970 | ||||||
|
| |||||||
14,659,036 | ||||||||
|
| |||||||
Insurance — 6.6% |
| |||||||
83,300 | Allstate Corp. (The) | 8,470,777 | ||||||
98,775 | Arthur J. Gallagher & Co. | 8,651,702 | ||||||
69,300 | Athene Holding Ltd., Class A(a) | 2,984,058 | ||||||
43,125 | Reinsurance Group of America, Inc. | 6,728,794 | ||||||
|
| |||||||
26,835,331 | ||||||||
|
| |||||||
IT Services — 13.1% |
| |||||||
22,485 | Alliance Data Systems Corp. | 3,150,823 | ||||||
102,850 | Booz Allen Hamilton Holding Corp. | 6,809,698 | ||||||
51,240 | CACI International, Inc., Class A(a) | 10,483,192 | ||||||
83,675 | Fidelity National Information Services, Inc. | 10,265,249 | ||||||
90,675 | Fiserv, Inc.(a) | 8,265,933 | ||||||
50,875 | Global Payments, Inc. | 8,146,614 | ||||||
82,125 | MAXIMUS, Inc. | 5,957,347 | ||||||
|
| |||||||
53,078,856 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 2.2% |
| |||||||
55,737 | IQVIA Holdings, Inc.(a) | 8,968,083 | ||||||
|
| |||||||
Machinery — 1.7% |
| |||||||
39,450 | Oshkosh Corp. | 3,293,680 |
See accompanying notes to financial statements.
37 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
Shares | Description | Value (†) | ||||||
Machinery — continued |
| |||||||
68,550 | Timken Co. (The) | $ | 3,519,357 | |||||
|
| |||||||
6,813,037 | ||||||||
|
| |||||||
Media — 2.9% |
| |||||||
117,225 | Nexstar Media Group, Inc., Class A | 11,839,725 | ||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
310,725 | Constellium NV, Class A(a) | 3,119,679 | ||||||
|
| |||||||
Multi-Utilities — 6.7% |
| |||||||
117,950 | Ameren Corp. | 8,859,225 | ||||||
152,225 | CMS Energy Corp. | 8,815,350 | ||||||
110,950 | WEC Energy Group, Inc. | 9,249,901 | ||||||
|
| |||||||
26,924,476 | ||||||||
|
| |||||||
Multiline Retail — 1.4% |
| |||||||
41,275 | Dollar General Corp. | 5,578,729 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% |
| |||||||
92,525 | Continental Resources, Inc.(a) | 3,894,377 | ||||||
608,925 | QEP Resources, Inc.(a) | 4,396,438 | ||||||
322,150 | WPX Energy, Inc.(a) | 3,707,947 | ||||||
|
| |||||||
11,998,762 | ||||||||
|
| |||||||
REITs – Diversified — 1.0% |
| |||||||
255,550 | New Residential Investment Corp. | 3,932,915 | ||||||
|
| |||||||
REITs – Warehouse/Industrials — 1.1% |
| |||||||
78,100 | CyrusOne, Inc. | 4,507,932 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.6% |
| |||||||
40,925 | Analog Devices, Inc. | 4,619,205 | ||||||
35,225 | Versum Materials, Inc. | 1,816,905 | ||||||
|
| |||||||
6,436,110 | ||||||||
|
| |||||||
Software — 4.0% |
| |||||||
52,350 | Check Point Software Technologies Ltd.(a) | 6,052,183 | ||||||
19,525 | RingCentral, Inc., Class A(a) | 2,243,813 | ||||||
439,300 | SolarWinds Corp.(a) | 8,056,762 | ||||||
|
| |||||||
16,352,758 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
108,000 | Gildan Activewear, Inc. | 4,177,440 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.7% |
| |||||||
47,550 | Essent Group Ltd.(a) | 2,234,375 | ||||||
150,400 | MGIC Investment Corp.(a) | 1,976,256 | ||||||
109,850 | Radian Group, Inc. | 2,510,072 | ||||||
|
| |||||||
6,720,703 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $324,820,177) | 382,539,293 | |||||||
|
|
See accompanying notes to financial statements.
| 38
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Short-Term Investments — 5.5% | ||||||||
$ | 21,956,265 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $21,959,010 on 7/01/2019 collateralized by $21,500,000 U.S. Treasury Inflation Indexed Note, 0.625% due 4/15/2023 valued at $22,397,711 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $21,956,265) | $ | 21,956,265 | ||||
|
| |||||||
Total Investments — 100.1% (Identified Cost $346,776,442) | 404,495,558 | |||||||
Other assets less liabilities — (0.1)% | (237,894 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 404,257,664 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Non-income producing security. |
| ||||||
REITs | Real Estate Investment Trusts |
|
Industry Summary at June 30, 2019 (Unaudited)
IT Services | 13.1 | % | ||
Multi-Utilities | 6.7 | |||
Insurance | 6.6 | |||
Capital Markets | 5.0 | |||
Electric Utilities | 4.6 | |||
Banks | 4.3 | |||
Software | 4.0 | |||
Containers & Packaging | 3.9 | |||
Independent Power & Renewable Electricity Producers | 3.6 | |||
Health Care Equipment & Supplies | 3.3 | |||
Oil, Gas & Consumable Fuels | 3.0 | |||
Media | 2.9 | |||
Electrical Equipment | 2.6 | |||
Diversified Consumer Services | 2.3 | |||
Electronic Equipment, Instruments & Components | 2.3 | |||
Life Sciences Tools & Services | 2.2 | |||
Other Investments, less than 2% each | 24.2 | |||
Short-Term Investments | 5.5 | |||
|
| |||
Total Investments | 100.1 | |||
Other assets less liabilities | (0.1 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
39 |
Table of Contents
This Page Intentionally Left Blank
| 40
Table of Contents
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Loomis Sayles Intermediate Municipal Bond Fund* | Natixis Oakmark Fund | Natixis Oakmark International Fund | ||||||||||
ASSETS |
| |||||||||||
Investments at cost | $ | 18,478,982 | $ | 272,822,070 | $ | 758,324,949 | ||||||
Net unrealized appreciation (depreciation) | 1,161,763 | 35,193,244 | (105,466,448 | ) | ||||||||
|
|
|
|
|
| |||||||
Investments at value | 19,640,745 | 308,015,314 | 652,858,501 | |||||||||
Cash | 458,089 | — | — | |||||||||
Foreign currency at value (identified cost $0, $0 and $30,747, respectively) | — | — | 30,762 | |||||||||
Receivable for Fund shares sold | 23,929 | 160,350 | 334,613 | |||||||||
Receivable from investment adviser (Note 6) | 53,357 | — | — | |||||||||
Receivable for securities sold | — | 1,065,075 | 1,597,187 | |||||||||
Dividends and interest receivable | 250,864 | 115,948 | 1,154,613 | |||||||||
Tax reclaims receivable | — | 95,492 | 2,418,569 | |||||||||
Prepaid expenses (Note 8) | 2 | 36 | 82 | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 20,426,986 | 309,452,215 | 658,394,327 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Payable for securities purchased | — | — | 1,303,803 | |||||||||
Payable for Fund shares redeemed | 105,361 | 314,960 | 1,093,533 | |||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | — | 112,577 | |||||||||
Foreign taxes payable (Note 2) | — | — | 82,919 | |||||||||
Distributions payable | 19,208 | — | — | |||||||||
Management fees payable (Note 6) | — | 169,604 | 448,619 | |||||||||
Deferred Trustees’ fees (Note 6) | 49,713 | 504,228 | 80,358 | |||||||||
Administrative fees payable (Note 6) | 726 | 10,732 | 22,809 | |||||||||
Payable to distributor (Note 6d) | 55 | 1,710 | 8,366 | |||||||||
Other accounts payable and accrued expenses | 38,894 | 53,854 | 140,336 | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 213,957 | 1,055,088 | 3,293,320 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 20,213,029 | $ | 308,397,127 | $ | 655,101,007 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Paid-in capital | $ | 19,761,831 | $ | 268,112,522 | $ | 788,642,322 | ||||||
Accumulated earnings (loss) | 451,198 | 40,284,605 | (133,541,315 | ) | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 20,213,029 | $ | 308,397,127 | $ | 655,101,007 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
41 |
Table of Contents
Statements of Assets and Liabilities (continued)
June 30, 2019 (Unaudited)
Loomis Sayles Intermediate Municipal Bond Fund* | Natixis Oakmark Fund | Natixis Oakmark International Fund | ||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||
Class A shares: |
| |||||||||||
Net assets | $ | 6,882,901 | $ | 182,130,117 | $ | 234,658,022 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 667,694 | 8,431,699 | 18,432,195 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 10.31 | $ | 21.60 | $ | 12.73 | ||||||
|
|
|
|
|
| |||||||
Offering price per share(100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 10.63 | $ | 22.92 | $ | 13.51 | ||||||
|
|
|
|
|
| |||||||
Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | 1,505,728 | $ | 57,472,048 | $ | 206,980,736 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 146,024 | 3,142,582 | 16,573,253 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 10.31 | $ | 18.29 | $ | 12.49 | ||||||
|
|
|
|
|
| |||||||
Class N shares: |
| |||||||||||
Net assets | $ | — | $ | 11,205 | $ | 363,352 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | — | 490 | 28,593 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | — | $ | 22.86 | ** | $ | 12.71 | |||||
|
|
|
|
|
| |||||||
Class Y shares: |
| |||||||||||
Net assets | $ | 11,824,400 | $ | 68,783,757 | $ | 213,098,897 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 1,145,380 | 3,014,939 | 16,778,766 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.32 | $ | 22.81 | $ | 12.70 | ||||||
|
|
|
|
|
|
* | Formerly McDonnell Intermediate Municipal Bond Fund. |
** | Net asset value calculations have been determined utilizing fractional share and penny amounts. |
See accompanying notes to financial statements.
| 42
Table of Contents
Statements of Assets and Liabilities (continued)
June 30, 2019 (Unaudited)
Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | |||||||
ASSETS |
| |||||||
Investments at cost | $ | 114,662,724 | $ | 346,776,442 | ||||
Net unrealized appreciation | 9,991,572 | 57,719,116 | ||||||
|
|
|
| |||||
Investments at value | 124,654,296 | 404,495,558 | ||||||
Receivable for Fund shares sold | 24,321 | 276,152 | ||||||
Receivable for securities sold | 913,232 | 950,866 | ||||||
Dividends and interest receivable | 156,881 | 239,940 | ||||||
Prepaid expenses (Note 8) | 16 | 54 | ||||||
|
|
|
| |||||
TOTAL ASSETS | 125,748,746 | 405,962,570 | ||||||
|
|
|
| |||||
LIABILITIES |
| |||||||
Payable for securities purchased | 283,715 | 760,622 | ||||||
Payable for Fund shares redeemed | 222,575 | 427,029 | ||||||
Management fees payable (Note 6) | 99,497 | 264,535 | ||||||
Deferred Trustees’ fees (Note 6) | 165,222 | 139,188 | ||||||
Administrative fees payable (Note 6) | 4,240 | 13,538 | ||||||
Payable to distributor (Note 6d) | 1,183 | 4,329 | ||||||
Other accounts payable and accrued expenses | 51,489 | 95,665 | ||||||
|
|
|
| |||||
TOTAL LIABILITIES | 827,921 | 1,704,906 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 124,920,825 | $ | 404,257,664 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF: |
| |||||||
Paid-in capital | $ | 118,883,843 | $ | 361,237,380 | ||||
Accumulated earnings | 6,036,982 | 43,020,284 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 124,920,825 | $ | 404,257,664 | ||||
|
|
|
|
See accompanying notes to financial statements.
43 |
Table of Contents
Statements of Assets and Liabilities (continued)
June 30, 2019 (Unaudited)
Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | |||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||||||
Class A shares: |
| |||||||
Net assets | $ | 70,378,708 | $ | 23,022,371 | ||||
|
|
|
| |||||
Shares of beneficial interest | 4,770,654 | 1,105,442 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 14.75 | $ | 20.83 | ||||
|
|
|
| |||||
Offering price per share(100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 15.65 | $ | 22.10 | ||||
|
|
|
| |||||
Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||
Net assets | $ | 2,217,592 | $ | 24,268,777 | ||||
|
|
|
| |||||
Shares of beneficial interest | 294,013 | 1,236,542 | ||||||
|
|
|
| |||||
Net asset value and offering price per share | $ | 7.54 | $ | 19.63 | ||||
|
|
|
| |||||
Class N shares: |
| |||||||
Net assets | $ | 1,087 | $ | 66,583,602 | ||||
|
|
|
| |||||
Shares of beneficial interest | 70 | 3,159,769 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 15.48 | ** | $ | 21.07 | |||
|
|
|
| |||||
Class Y shares: |
| |||||||
Net assets | $ | 52,323,438 | $ | 290,382,914 | ||||
|
|
|
| |||||
Shares of beneficial interest | 3,381,377 | 13,766,880 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 15.47 | $ | 21.09 | ||||
|
|
|
|
** | Net asset value calculations have been determined utilizing fractional share and penny amounts. |
See accompanying notes to financial statements.
| 44
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2019 (Unaudited)
Loomis Sayles Intermediate Municipal Bond Fund* | Natixis Oakmark Fund | Natixis Oakmark International Fund | ||||||||||
INVESTMENT INCOME |
| |||||||||||
Dividends | $ | 13,205 | $ | 3,319,321 | (a) | $ | 20,403,806 | |||||
Non-cash dividends (Note 2b) | — | 352,443 | — | |||||||||
Interest | 304,938 | 119,001 | 70,566 | |||||||||
Less net foreign taxes withheld | — | (1,493 | ) | (2,290,242 | ) | |||||||
|
|
|
|
|
| |||||||
318,143 | 3,789,272 | 18,184,130 | ||||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Management fees (Note 6) | 41,571 | 1,039,863 | 2,943,166 | |||||||||
Service and distribution fees (Note 6) | 15,490 | 516,843 | 1,403,464 | |||||||||
Administrative fees (Note 6) | 4,618 | 67,668 | 153,825 | |||||||||
Trustees’ fees and expenses (Note 6) | 10,511 | 24,770 | 20,593 | |||||||||
Transfer agent fees and expenses (Notes 6 and 7) | 5,914 | 132,616 | 347,425 | |||||||||
Audit and tax services fees | 26,388 | 20,547 | 21,248 | |||||||||
Custodian fees and expenses | 2,645 | 6,261 | 59,054 | |||||||||
Legal fees (Note 8) | 47,390 | 5,377 | 11,553 | |||||||||
Registration fees | 22,911 | 54,011 | 49,687 | |||||||||
Shareholder reporting expenses | 6,153 | 14,831 | 35,468 | |||||||||
Miscellaneous expenses (Note 8) | 11,245 | 19,369 | 43,655 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 194,836 | 1,902,156 | 5,089,138 | |||||||||
Less waiver and/or expense reimbursement (Note 6) | (132,579 | ) | (1,684 | ) | (3,765 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 62,257 | 1,900,472 | 5,085,373 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 255,886 | 1,888,800 | 13,098,757 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 20,676 | 8,115,491 | (7,920,860 | ) | ||||||||
Forward foreign currency contracts (Note 2d) | — | — | 810,835 | |||||||||
Foreign currency transactions (Note 2c) | — | — | (18,793 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 672,755 | 34,491,820 | 78,550,104 | |||||||||
Forward foreign currency contracts (Note 2d) | — | — | (603,777 | ) | ||||||||
Foreign currency translations (Note 2c) | — | — | (4,516 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain on investments, forward foreign currency contracts and foreign currency transactions | 693,431 | 42,607,311 | 70,812,993 | |||||||||
|
|
|
|
|
| |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 949,317 | $ | 44,496,111 | $ | 83,911,750 | ||||||
|
|
|
|
|
|
* | Formerly McDonnell Intermediate Municipal Bond Fund. |
(a) | Includes anon-recurring dividend of $712,261. |
See accompanying notes to financial statements.
45 |
Table of Contents
Statements of Operations (continued)
For the Six Months Ended June 30, 2019 (Unaudited)
Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | |||||||
INVESTMENT INCOME |
| |||||||
Dividends | $ | 1,064,779 | $ | 3,533,751 | ||||
Interest | 40,030 | 132,982 | ||||||
Less net foreign taxes withheld | — | (5,020 | ) | |||||
|
|
|
| |||||
1,104,809 | 3,661,713 | |||||||
|
|
|
| |||||
Expenses |
| |||||||
Management fees (Note 6) | 601,258 | 1,810,743 | ||||||
Service and distribution fees (Note 6) | 104,697 | 160,361 | ||||||
Administrative fees (Note 6) | 29,679 | 100,595 | ||||||
Trustees’ fees and expenses (Note 6) | 12,994 | 19,021 | ||||||
Transfer agent fees and expenses (Notes 6 and 7) | 76,866 | 201,299 | ||||||
Audit and tax services fees | 20,555 | 21,030 | ||||||
Custodian fees and expenses | 7,965 | 12,679 | ||||||
Interest expense (Note 9) | — | 44,414 | ||||||
Legal fees (Note 8) | 2,069 | 8,206 | ||||||
Registration fees | 30,212 | 46,963 | ||||||
Shareholder reporting expenses | 13,739 | 24,124 | ||||||
Miscellaneous expenses (Note 8) | 15,801 | 17,369 | ||||||
|
|
|
| |||||
Total expenses | 915,835 | 2,466,804 | ||||||
Less waiver and/or expense reimbursement (Note 6) | (7,277 | ) | (2,398 | ) | ||||
|
|
|
| |||||
Net expenses | 908,558 | 2,464,406 | ||||||
|
|
|
| |||||
Net investment income | 196,251 | 1,197,307 | ||||||
|
|
|
| |||||
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | ||||||||
Net realized gain on: |
| |||||||
Investments | 538,558 | 5,280,973 | ||||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||
Investments | 21,997,964 | 87,154,568 | ||||||
|
|
|
| |||||
Net realized and unrealized gain on investments | 22,536,522 | 92,435,541 | ||||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,732,773 | $ | 93,632,848 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 46
Table of Contents
Statements of Changes in Net Assets
Loomis Sayles Intermediate Municipal Bond Fund* | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 255,886 | $ | 646,589 | ||||
Net realized gain (loss) on investments | 20,676 | (22,955 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 672,755 | (735,309 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 949,317 | (111,675 | ) | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | (74,026 | ) | (153,865 | ) | ||||
Class C | (12,375 | ) | (30,521 | ) | ||||
Class Y | (169,485 | ) | (484,050 | ) | ||||
|
|
|
| |||||
Total distributions | (255,886 | ) | (668,436 | ) | ||||
|
|
|
| |||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (2,684,906 | ) | (14,374,067 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (1,991,475 | ) | (15,154,178 | ) | ||||
NET ASSETS |
| |||||||
Beginning of the period | 22,204,504 | 37,358,682 | ||||||
|
|
|
| |||||
End of the period | $ | 20,213,029 | $ | 22,204,504 | ||||
|
|
|
|
* | Formerly McDonnell Intermediate Municipal Bond Fund. |
See accompanying notes to financial statements.
47 |
Table of Contents
Statements of Changes in Net Assets (continued)
Natixis Oakmark Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 1,888,800 | $ | 1,069,674 | ||||
Net realized gain on investments | 8,115,491 | 32,340,899 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 34,491,820 | (79,134,938 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 44,496,111 | (45,724,365 | ) | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | (8,678,601 | ) | (16,729,106 | ) | ||||
Class C | (3,308,005 | ) | (5,776,265 | ) | ||||
Class N | (492 | ) | (783 | ) | ||||
Class Y | (3,170,424 | ) | (5,137,882 | ) | ||||
|
|
|
| |||||
Total distributions | (15,157,522 | ) | (27,644,036 | ) | ||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | 6,865,751 | 29,541,538 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets | 36,204,340 | (43,826,863 | ) | |||||
NET ASSETS |
| |||||||
Beginning of the period | 272,192,787 | 316,019,650 | ||||||
|
|
|
| |||||
End of the period | $ | 308,397,127 | $ | 272,192,787 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 48
Table of Contents
Statements of Changes in Net Assets (continued)
Natixis Oakmark International Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 13,098,757 | $ | 16,259,770 | ||||
Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions | (7,128,818 | ) | 50,075,433 | |||||
Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations | 77,941,811 | (341,618,930 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 83,911,750 | (275,283,727 | ) | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | — | (12,193,845 | ) | |||||
Class C | — | (7,685,820 | ) | |||||
Class N | — | (36,370 | ) | |||||
Class Y | — | (10,861,877 | ) | |||||
|
|
|
| |||||
Total distributions | — | (30,777,912 | ) | |||||
|
|
|
| |||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (114,860,575 | ) | (147,874,002 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (30,948,825 | ) | (453,935,641 | ) | ||||
NET ASSETS |
| |||||||
Beginning of the period | 686,049,832 | 1,139,985,473 | ||||||
|
|
|
| |||||
End of the period | $ | 655,101,007 | $ | 686,049,832 | ||||
|
|
|
|
See accompanying notes to financial statements.
49 |
Table of Contents
Statements of Changes in Net Assets (continued)
Vaughan Nelson Small Cap Value Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 196,251 | $ | 247,839 | ||||
Net realized gain on investments | 538,558 | 23,578,542 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 21,997,964 | (48,703,398 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 22,732,773 | (24,877,017 | ) | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | (57,436 | ) | (15,434,632 | ) | ||||
Class C | (4,870 | ) | (1,814,602 | ) | ||||
Class N | (1 | ) | (200 | ) | ||||
Class Y | (46,447 | ) | (16,863,125 | ) | ||||
|
|
|
| |||||
Total distributions | (108,754 | ) | (34,112,559 | ) | ||||
|
|
|
| |||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (26,097,578 | ) | (99,064,102 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (3,473,559 | ) | (158,053,678 | ) | ||||
NET ASSETS |
| |||||||
Beginning of the period | 128,394,384 | 286,448,062 | ||||||
|
|
|
| |||||
End of the period | $ | 124,920,825 | $ | 128,394,384 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 50
Table of Contents
Statements of Changes in Net Assets (continued)
Vaughan Nelson Value Opportunity Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 1,197,307 | $ | 5,677,254 | ||||
Net realized gain on investments | 5,280,973 | 30,646,121 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 87,154,568 | (163,168,095 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 93,632,848 | (126,844,720 | ) | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class A | (2,020 | ) | (4,208,463 | ) | ||||
Class C | (2,248 | ) | (2,370,741 | ) | ||||
Class N | (6,349 | ) | (6,683,144 | ) | ||||
Class Y | (26,345 | ) | (47,408,833 | ) | ||||
|
|
|
| |||||
Total distributions | (36,962 | ) | (60,671,181 | ) | ||||
|
|
|
| |||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12) | (281,061,158 | ) | (244,014,953 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (187,465,272 | ) | (431,530,854 | ) | ||||
NET ASSETS |
| |||||||
Beginning of the period | 591,722,936 | 1,023,253,790 | ||||||
|
|
|
| |||||
End of the period | $ | 404,257,664 | $ | 591,722,936 | ||||
|
|
|
|
See accompanying notes to financial statements.
51 |
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
Loomis Sayles Intermediate Municipal Bond Fund*—Class A | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 9.97 | $ | 10.17 | $ | 9.89 | $ | 10.09 | $ | 10.00 | $ | 9.54 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.12 | 0.22 | 0.19 | 0.12 | 0.13 | 0.11 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.19 | ) | 0.28 | (0.20 | ) | 0.10 | 0.47 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.46 | 0.03 | 0.47 | (0.08 | ) | 0.23 | 0.58 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.23 | ) | (0.19 | ) | (0.12 | ) | (0.14 | ) | (0.12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 10.31 | $ | 9.97 | $ | 10.17 | $ | 9.89 | $ | 10.09 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b)(c) | 4.62 | %(d) | 0.33 | % | 4.77 | % | (0.79 | )% | 2.28 | % | 6.08 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 6,883 | $ | 6,019 | $ | 6,004 | $ | 5,474 | $ | 6,427 | $ | 2,399 | ||||||||||||
Net expenses(e) | 0.70 | %(f) | 0.70 | % | 0.70 | % | 0.70 | % | 0.74 | %(g) | 0.80 | % | ||||||||||||
Gross expenses | 1.97 | %(f) | 1.30 | % | 1.10 | % | 0.88 | % | 1.12 | % | 1.26 | % | ||||||||||||
Net investment income | 2.36 | %(f) | 2.24 | % | 1.87 | % | 1.19 | % | 1.27 | % | 1.15 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 65 | % | 34 | % | 48 | % | 20 | % | 10 | % |
* | Formerly McDonnell Intermediate Municipal Bond Fund. |
(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) | A sales charge for Class A shares is not reflected in total return calculations. |
(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, 2015, the expense limit decreased from 0.80% to 0.70%. |
See accompanying notes to financial statements.
| 52
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Intermediate Municipal Bond Fund*—Class C | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 9.98 | $ | 10.18 | $ | 9.90 | $ | 10.09 | $ | 9.99 | $ | 9.54 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.08 | 0.15 | 0.11 | 0.04 | 0.05 | 0.04 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | (0.19 | ) | 0.28 | (0.18 | ) | 0.11 | 0.45 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.41 | (0.04 | ) | 0.39 | (0.14 | ) | 0.16 | 0.49 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.16 | ) | (0.11 | ) | (0.05 | ) | (0.06 | ) | (0.04 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 10.31 | $ | 9.98 | $ | 10.18 | $ | 9.90 | $ | 10.09 | $ | 9.99 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b)(c) | 4.13 | %(d) | (0.42 | )% | 3.98 | % | (1.44 | )% | 1.63 | % | 5.18 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 1,506 | $ | 1,675 | $ | 2,395 | $ | 4,015 | $ | 6,355 | $ | 2,223 | ||||||||||||
Net expenses(e) | 1.45 | %(f) | 1.45 | % | 1.45 | % | 1.45 | % | 1.49 | %(g) | 1.55 | % | ||||||||||||
Gross expenses | 2.73 | %(f) | 2.05 | % | 1.83 | % | 1.63 | % | 1.88 | % | 2.04 | % | ||||||||||||
Net investment income | 1.62 | %(f) | 1.49 | % | 1.10 | % | 0.44 | % | 0.52 | % | 0.41 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 65 | % | 34 | % | 48 | % | 20 | % | 10 | % |
* | Formerly McDonnell Intermediate Municipal Bond Fund. |
(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) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Periods less than one year are not annualized. |
(e) | 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, 2015, the expense limit decreased from 1.55% to 1.45%. |
See accompanying notes to financial statements.
53 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Intermediate Municipal Bond Fund*—Class Y | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 9.99 | $ | 10.19 | $ | 9.90 | $ | 10.10 | $ | 10.00 | $ | 9.54 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.13 | 0.25 | 0.21 | 0.15 | 0.15 | 0.14 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | (0.20 | ) | 0.29 | (0.20 | ) | 0.11 | 0.46 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.46 | 0.05 | 0.50 | (0.05 | ) | 0.26 | 0.60 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.25 | ) | (0.21 | ) | (0.15 | ) | (0.16 | ) | (0.14 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 10.32 | $ | 9.99 | $ | 10.19 | $ | 9.90 | $ | 10.10 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b) | 4.64 | %(c) | 0.58 | % | 5.13 | % | (0.55 | )% | 2.63 | % | 6.36 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 11,824 | $ | 14,510 | $ | 28,960 | $ | 49,179 | $ | 66,713 | $ | 28,314 | ||||||||||||
Net expenses(d) | 0.45 | %(e) | 0.45 | % | 0.45 | % | 0.45 | % | 0.49 | %(f) | 0.55 | % | ||||||||||||
Gross expenses | 1.73 | %(e) | 1.04 | % | 0.83 | % | 0.63 | % | 0.85 | % | 1.02 | % | ||||||||||||
Net investment income | 2.61 | %(e) | 2.47 | % | 2.09 | % | 1.44 | % | 1.48 | % | 1.46 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 65 | % | 34 | % | 48 | % | 20 | % | 10 | % |
* | Formerly McDonnell Intermediate Municipal Bond Fund. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Effective July 1, 2015, the expense limit decreased from 0.55% to 0.45%. |
See accompanying notes to financial statements.
| 54
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Oakmark Fund—Class A | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 19.44 | $ | 24.72 | $ | 21.37 | $ | 18.79 | $ | 20.43 | $ | 21.40 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.14 | (b) | 0.10 | 0.11 | 0.16 | 0.14 | 0.10 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.07 | (3.28 | ) | 4.28 | 3.20 | (1.02 | ) | 2.11 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 3.21 | (3.18 | ) | 4.39 | 3.36 | (0.88 | ) | 2.21 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(c) | (0.08 | ) | (0.10 | ) | (0.16 | ) | (0.13 | ) | (0.07 | ) | ||||||||||||
Net realized capital gains | (1.05 | ) | (2.02 | ) | (0.94 | ) | (0.62 | ) | (0.63 | ) | (3.11 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.05 | ) | (2.10 | ) | (1.04 | ) | (0.78 | ) | (0.76 | ) | (3.18 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 21.60 | $ | 19.44 | $ | 24.72 | $ | 21.37 | $ | 18.79 | $ | 20.43 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(d) | 16.50 | %(b)(e) | (13.01 | )% | 20.75 | % | 18.37 | % | (4.41 | )% | 10.43 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 182,130 | $ | 164,748 | $ | 203,792 | $ | 173,036 | $ | 173,925 | $ | 195,061 | ||||||||||||
Net expenses | 1.16 | %(f) | 1.13 | % | 1.18 | % | 1.18 | % | 1.14 | % | 1.22 | % | ||||||||||||
Gross expenses | 1.16 | %(f) | 1.13 | % | 1.18 | % | 1.18 | % | 1.14 | % | 1.22 | % | ||||||||||||
Net investment income | 1.32 | %(b)(f) | 0.41 | % | 0.48 | % | 0.82 | % | 0.68 | % | 0.44 | % | ||||||||||||
Portfolio turnover rate | 12 | % | 39 | % | 16 | % | 16 | % | 23 | % | 64 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.09, total return would have been 16.25% and the ratio of net investment income to average net assets would have been 0.86%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | A sales charge for Class A shares is not reflected in total return calculations. |
(e) | Periods less than one year are not annualized. |
(f) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
55 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Oakmark Fund—Class C | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 16.66 | $ | 21.58 | $ | 18.83 | $ | 16.65 | $ | 18.19 | $ | 19.48 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.05 | (b) | (0.07 | ) | (0.05 | ) | 0.01 | (0.01 | ) | (0.06 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 2.63 | (2.83 | ) | 3.74 | 2.80 | (0.90 | ) | 1.90 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 2.68 | (2.90 | ) | 3.69 | 2.81 | (0.91 | ) | 1.84 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(c) | — | (0.00 | )(c) | (0.01 | ) | (0.00 | )(c) | (0.02 | ) | |||||||||||||
Net realized capital gains | (1.05 | ) | (2.02 | ) | (0.94 | ) | (0.62 | ) | (0.63 | ) | (3.11 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.05 | ) | (2.02 | ) | (0.94 | ) | (0.63 | ) | (0.63 | ) | (3.13 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 18.29 | $ | 16.66 | $ | 21.58 | $ | 18.83 | $ | 16.65 | $ | 18.19 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(d) | 16.07 | %(b)(e) | (13.63 | )% | 19.85 | % | 17.45 | % | (5.07 | )% | 9.55 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 57,472 | $ | 53,606 | $ | 62,272 | $ | 55,910 | $ | 70,616 | $ | 62,941 | ||||||||||||
Net expenses | 1.91 | %(f) | 1.88 | % | 1.93 | % | 1.93 | % | 1.89 | % | 1.97 | % | ||||||||||||
Gross expenses | 1.91 | %(f) | 1.88 | % | 1.93 | % | 1.93 | % | 1.89 | % | 1.97 | % | ||||||||||||
Net investment income (loss) | 0.58 | %(b)(f) | (0.33 | )% | (0.27 | )% | 0.09 | % | (0.07 | )% | (0.30 | )% | ||||||||||||
Portfolio turnover rate | 12 | % | 39 | % | 16 | % | 16 | % | 23 | % | 64 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been 15.83% and the ratio of net investment income to average net assets would have been 0.11%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(e) | Periods less than one year are not annualized. |
(f) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
| 56
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Oakmark Fund—Class N | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 20.49 | $ | 25.91 | $ | 23.13 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.19 | (b) | 0.22 | 0.14 | ||||||||
Net realized and unrealized gain (loss) | 3.23 | (3.45 | ) | 3.44 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 3.42 | (3.23 | ) | 3.58 | ||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.00 | )(c) | (0.17 | ) | (0.17 | ) | ||||||
Net realized capital gains | (1.05 | ) | (2.02 | ) | (0.63 | ) | ||||||
|
|
|
|
|
| |||||||
Total Distributions | (1.05 | ) | (2.19 | ) | (0.80 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 22.86 | $ | 20.49 | $ | 25.91 | ||||||
|
|
|
|
|
| |||||||
Total return(d) | 16.69 | %(b)(e) | (12.60 | )% | 15.46 | %(e) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 11 | $ | 10 | $ | 1 | ||||||
Net expenses(f) | 0.82 | %(g) | 0.75 | % | 0.75 | %(g) | ||||||
Gross expenses | 2.23 | %(g) | 3.79 | % | 13.79 | %(g) | ||||||
Net investment income | 1.66 | %(b)(g) | 0.88 | % | 0.84 | %(g) | ||||||
Portfolio turnover rate | 12 | % | 39 | % | 16 | %(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 anon-recurring dividend. Without this dividend, net investment income per share would have been $0.13 , total return would have been 16.45% and the ratio of net investment income to average net assets would have been 1.19%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
57 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Oakmark Fund—Class Y | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 20.46 | $ | 25.90 | $ | 22.34 | $ | 19.60 | $ | 21.28 | $ | 22.16 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.18 | (b) | 0.17 | 0.17 | 0.21 | 0.19 | 0.15 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.22 | (3.44 | ) | 4.48 | 3.36 | (1.06 | ) | 2.20 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 3.40 | (3.27 | ) | 4.65 | 3.57 | (0.87 | ) | 2.35 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(c) | (0.15 | ) | (0.15 | ) | (0.21 | ) | (0.18 | ) | (0.12 | ) | ||||||||||||
Net realized capital gains | (1.05 | ) | (2.02 | ) | (0.94 | ) | (0.62 | ) | (0.63 | ) | (3.11 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.05 | ) | (2.17 | ) | (1.09 | ) | (0.83 | ) | (0.81 | ) | (3.23 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 22.81 | $ | 20.46 | $ | 25.90 | $ | 22.34 | $ | 19.60 | $ | 21.28 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 16.61 | %(b)(d) | (12.76 | )% | 21.05 | % | 18.69 | % | (4.18 | )% | 10.70 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 68,784 | $ | 53,829 | $ | 49,955 | $ | 26,252 | $ | 21,696 | $ | 26,694 | ||||||||||||
Net expenses | 0.91 | %(e) | 0.88 | % | 0.93 | % | 0.92 | % | 0.89 | % | 0.97 | % | ||||||||||||
Gross expenses | 0.91 | %(e) | 0.88 | % | 0.93 | % | 0.92 | % | 0.89 | % | 0.97 | % | ||||||||||||
Net investment income | 1.61 | %(b)(e) | 0.68 | % | 0.71 | % | 1.05 | % | 0.92 | % | 0.67 | % | ||||||||||||
Portfolio turnover rate | 12 | % | 39 | % | 16 | % | 16 | % | 23 | % | 64 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.13 , total return would have been 16.37% and the ratio of net investment income to average net assets would have been 1.13%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
| 58
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Oakmark International Fund—Class A | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.29 | $ | 15.58 | $ | 12.15 | $ | 11.47 | $ | 12.44 | $ | 13.74 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.24 | 0.25 | 0.18 | 0.17 | 0.15 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.20 | (4.02 | ) | 3.41 | 0.76 | (0.80 | ) | (1.01 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.44 | (3.77 | ) | 3.59 | 0.93 | (0.65 | ) | (0.83 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | — | (0.29 | ) | (0.16 | ) | (0.21 | ) | (0.20 | ) | (0.25 | ) | |||||||||||||
Net realized capital gains | — | (0.23 | ) | — | (0.04 | ) | (0.12 | ) | (0.22 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | — | (0.52 | ) | (0.16 | ) | (0.25 | ) | (0.32 | ) | (0.47 | ) | |||||||||||||
|
|
|
|
|
|
|
|
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|
|
| |||||||||||||
Net asset value, end of the period | $ | 12.73 | $ | 11.29 | $ | 15.58 | $ | 12.15 | $ | 11.47 | $ | 12.44 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b) | 12.75 | %(c) | (24.15 | )% | 29.56 | % | 8.19 | % | (5.35 | )% | (6.05 | )% | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 234,658 | $ | 257,551 | $ | 603,988 | $ | 533,112 | $ | 722,805 | $ | 617,383 | ||||||||||||
Net expenses | 1.31 | %(d) | 1.31 | % | 1.32 | % | 1.34 | % | 1.31 | % | 1.31 | % | ||||||||||||
Gross expenses | 1.31 | %(d) | 1.31 | % | 1.32 | % | 1.34 | % | 1.31 | % | 1.31 | % | ||||||||||||
Net investment income | 3.93 | %(d) | 1.72 | % | 1.28 | % | 1.54 | % | 1.17 | % | 1.34 | % | ||||||||||||
Portfolio turnover rate | 14 | % | 50 | % | 40 | % | 41 | % | 51 | % | 31 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
59 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Oakmark International Fund—Class C | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 11.11 | $ | 15.30 | $ | 11.96 | $ | 11.29 | $ | 12.25 | $ | 13.53 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.19 | 0.13 | 0.06 | 0.08 | 0.05 | 0.08 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.19 | (3.92 | ) | 3.35 | 0.74 | (0.78 | ) | (0.98 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.38 | (3.79 | ) | 3.41 | 0.82 | (0.73 | ) | (0.90 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | — | (0.17 | ) | (0.07 | ) | (0.11 | ) | (0.11 | ) | (0.16 | ) | |||||||||||||
Net realized capital gains | — | (0.23 | ) | — | (0.04 | ) | (0.12 | ) | (0.22 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | — | (0.40 | ) | (0.07 | ) | (0.15 | ) | (0.23 | ) | (0.38 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 12.49 | $ | 11.11 | $ | 15.30 | $ | 11.96 | $ | 11.29 | $ | 12.25 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(b) | 12.42 | %(c) | (24.74 | )% | 28.55 | % | 7.36 | % | (6.08 | )% | (6.67 | )% | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 206,981 | $ | 212,618 | $ | 363,018 | $ | 255,249 | $ | 341,959 | $ | 327,319 | ||||||||||||
Net expenses | 2.06 | %(d) | 2.07 | % | 2.07 | % | 2.09 | % | 2.06 | % | 2.05 | % | ||||||||||||
Gross expenses | 2.06 | %(d) | 2.07 | % | 2.07 | % | 2.09 | % | 2.06 | % | 2.05 | % | ||||||||||||
Net investment income | 3.20 | %(d) | 0.94 | % | 0.42 | % | 0.73 | % | 0.39 | % | 0.61 | % | ||||||||||||
Portfolio turnover rate | 14 | % | 50 | % | 40 | % | 41 | % | 51 | % | 31 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
| 60
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Oakmark International Fund—Class N | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 11.25 | $ | 15.58 | $ | 13.98 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.23 | 0.28 | 0.15 | |||||||||
Net realized and unrealized gain (loss) | 1.23 | (4.02 | ) | 1.66 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 1.46 | (3.74 | ) | 1.81 | ||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | — | (0.36 | ) | (0.21 | ) | |||||||
Net realized capital gains | — | (0.23 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions | — | (0.59 | ) | (0.21 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 12.71 | $ | 11.25 | $ | 15.58 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 12.98 | %(c) | (23.94 | )% | 12.96 | %(c) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 363 | $ | 758 | $ | 1 | ||||||
Net expenses(d) | 0.96 | %(e) | 0.99 | % | 0.92 | %(e) | ||||||
Gross expenses | 0.99 | %(e) | 1.02 | % | 25.21 | %(e) | ||||||
Net investment income | 3.65 | %(e) | 2.04 | % | 1.54 | %(e) | ||||||
Portfolio turnover rate | 14 | % | 50 | % | 40 | %(f) |
* | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
61 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Oakmark International Fund—Class Y | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 11.25 | $ | 15.56 | $ | 13.98 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.26 | 0.26 | 0.00 | (b) | ||||||||
Net realized and unrealized gain (loss) | 1.19 | (3.99 | ) | 1.79 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 1.45 | (3.73 | ) | 1.79 | ||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | — | (0.35 | ) | (0.21 | ) | |||||||
Net realized capital gains | — | (0.23 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions | — | (0.58 | ) | (0.21 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 12.70 | $ | 11.25 | $ | 15.56 | ||||||
|
|
|
|
|
| |||||||
Total return | 12.89 | %(c) | (23.93 | )% | 12.79 | %(c) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 213,099 | $ | 215,123 | $ | 172,978 | ||||||
Net expenses | 1.06 | %(d) | 1.07 | % | 1.07 | %(d) | ||||||
Gross expenses | 1.06 | %(d) | 1.07 | % | 1.07 | %(d) | ||||||
Net investment income | 4.19 | %(d) | 1.85 | % | 0.03 | %(d) | ||||||
Portfolio turnover rate | 14 | % | 50 | % | 40 | %(e) |
* | 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) | Amount rounds to less than $0.01 per share. |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
| 62
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Small Cap Value Fund—Class A | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 12.48 | $ | 18.71 | $ | 19.79 | $ | 17.74 | $ | 20.65 | $ | 22.34 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.02 | 0.01 | (0.01 | ) | 0.02 | 0.06 | (b) | (0.06 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 2.26 | (2.76 | ) | 1.21 | 3.49 | (0.07 | ) | 1.95 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 2.28 | (2.75 | ) | 1.20 | 3.51 | (0.01 | ) | 1.89 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.00 | )(c) | (0.00 | )(c) | (0.01 | ) | (0.04 | ) | — | |||||||||||||
Net realized capital gains | — | (3.48 | ) | (2.28 | ) | (1.45 | ) | (2.86 | ) | (3.58 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.01 | ) | (3.48 | ) | (2.28 | ) | (1.46 | ) | (2.90 | ) | (3.58 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 14.75 | $ | 12.48 | $ | 18.71 | $ | 19.79 | $ | 17.74 | $ | 20.65 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(d) | 18.28 | %(e)(f) | (14.84 | )% | 6.28 | % | 20.24 | % | (0.29 | )%(b) | 8.79 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 70,379 | $ | 66,376 | $ | 93,751 | $ | 106,447 | $ | 103,092 | $ | 125,201 | ||||||||||||
Net expenses | 1.45 | %(g)(h) | 1.38 | % | 1.36 | % | 1.35 | % | 1.35 | % | 1.37 | % | ||||||||||||
Gross expenses | 1.46 | %(g) | 1.38 | % | 1.36 | % | 1.35 | % | 1.35 | % | 1.37 | % | ||||||||||||
Net investment income (loss) | 0.21 | %(g) | 0.03 | % | (0.03 | )% | 0.11 | % | 0.26 | %(b) | (0.27 | )% | ||||||||||||
Portfolio turnover rate | 33 | % | 70 | % | 92 | % | 74 | % | 62 | % | 58 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includesnon-recurring dividends. Without these dividends, net investment loss per share would have been $(0.04), total return would have been (0.77)% and the ratio of net investment loss to average net assets would have been (0.20)%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | A sales charge for Class A shares is not reflected in total return calculations. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | Periods less than one year are not annualized. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
See accompanying notes to financial statements.
63 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Small Cap Value Fund—Class C | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 6.41 | $ | 11.67 | $ | 13.26 | $ | 12.39 | $ | 15.36 | $ | 17.61 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment loss(a) | (0.02 | ) | (0.09 | ) | (0.10 | ) | (0.08 | ) | (0.08 | )(b) | (0.18 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.16 | (1.69 | ) | 0.79 | 2.40 | (0.03 | ) | 1.51 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 1.14 | (1.78 | ) | 0.69 | 2.32 | (0.11 | ) | 1.33 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.00 | )(c) | (0.00 | )(c) | — | — | — | |||||||||||||||
Net realized capital gains | — | (3.48 | ) | (2.28 | ) | (1.45 | ) | (2.86 | ) | (3.58 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.01 | ) | (3.48 | ) | (2.28 | ) | (1.45 | ) | (2.86 | ) | (3.58 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 7.54 | $ | 6.41 | $ | 11.67 | $ | 13.26 | $ | 12.39 | $ | 15.36 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(d) | 17.81 | %(e)(f) | (15.51 | )% | 5.50 | % | 19.32 | % | (1.02 | )%(b) | 7.94 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 2,218 | $ | 3,480 | $ | 15,756 | $ | 20,379 | $ | 21,188 | $ | 27,292 | ||||||||||||
Net expenses | 2.20 | %(g)(h) | 2.12 | % | 2.11 | % | 2.10 | % | 2.10 | % | 2.12 | % | ||||||||||||
Gross expenses | 2.21 | %(g) | 2.12 | % | 2.11 | % | 2.10 | % | 2.10 | % | 2.12 | % | ||||||||||||
Net investment loss | (0.61 | )%(g) | (0.83 | )% | (0.79 | )% | (0.64 | )% | (0.48 | )%(b) | (1.02 | )% | ||||||||||||
Portfolio turnover rate | 33 | % | 70 | % | 92 | % | 74 | % | 62 | % | 58 | % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Includesnon-recurring dividends. Without these dividends, net investment loss per share would have been $(0.15), total return would have been (1.48)% and the ratio of net investment loss to average net assets would have been (0.96)%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | Periods less than one year are not annualized. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
See accompanying notes to financial statements.
| 64
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Small Cap Value Fund—Class N | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 13.08 | $ | 19.37 | $ | 19.55 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.04 | 0.08 | 0.07 | |||||||||
Net realized and unrealized gain (loss) | 2.37 | (2.86 | ) | 1.35 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 2.41 | (2.78 | ) | 1.42 | ||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.01 | ) | (0.03 | ) | (0.02 | ) | ||||||
Net realized capital gains | — | (3.48 | ) | (1.58 | ) | |||||||
|
|
|
|
|
| |||||||
Total Distributions | (0.01 | ) | (3.51 | ) | (1.60 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 15.48 | $ | 13.08 | $ | 19.37 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 18.51 | %(c) | (14.48 | )% | 7.17 | %(c) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 1 | $ | 1 | $ | 1 | ||||||
Net expenses(d) | 1.10 | %(e) | 0.96 | % | 0.96 | %(e) | ||||||
Gross expenses | 14.85 | %(e) | 15.17 | % | 14.68 | %(e) | ||||||
Net investment income | 0.55 | %(e) | 0.43 | % | 0.56 | %(e) | ||||||
Portfolio turnover rate | 33 | % | 70 | % | 92 | %(f) |
* | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
65 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Small Cap Value Fund—Class Y | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 13.08 | $ | 19.37 | $ | 20.36 | $ | 18.21 | $ | 21.13 | $ | 22.73 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.03 | 0.04 | 0.05 | 0.07 | 0.11 | (b) | (0.00 | )(c) | ||||||||||||||||
Net realized and unrealized gain (loss) | 2.37 | (2.84 | ) | 1.25 | 3.59 | (0.07 | ) | 1.98 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 2.40 | (2.80 | ) | 1.30 | 3.66 | 0.04 | 1.98 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.01 | ) | (0.01 | ) | (0.06 | ) | (0.10 | ) | — | |||||||||||||
Net realized capital gains | — | (3.48 | ) | (2.28 | ) | (1.45 | ) | (2.86 | ) | (3.58 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (0.01 | ) | (3.49 | ) | (2.29 | ) | (1.51 | ) | (2.96 | ) | (3.58 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 15.47 | $ | 13.08 | $ | 19.37 | $ | 20.36 | $ | 18.21 | $ | 21.13 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 18.36 | %(d)(e) | (14.61 | )% | 6.60 | % | 20.53 | % | (0.05 | )%(b) | 9.04 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 52,323 | $ | 58,538 | $ | 176,940 | $ | 183,145 | $ | 179,322 | $ | 176,905 | ||||||||||||
Net expenses | 1.20 | %(f)(g) | 1.12 | % | 1.11 | % | 1.10 | % | 1.10 | % | 1.12 | % | ||||||||||||
Gross expenses | 1.21 | %(g) | 1.12 | % | 1.11 | % | 1.10 | % | 1.10 | % | 1.12 | % | ||||||||||||
Net investment income (loss) | 0.44 | %(g) | 0.22 | % | 0.23 | % | 0.36 | % | 0.50 | %(b) | (0.01 | )% | ||||||||||||
Portfolio turnover rate | 33 | % | 70 | % | 92 | % | 74 | % | 62 | % | 58 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includesnon-recurring dividends. Without these dividends, net investment income per share would have been $0.02, total return would have been (0.53)% and the ratio of net investment income to average net assets would have been 0.07%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
See accompanying notes to financial statements.
| 66
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Value Opportunity Fund—Class A | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 17.37 | $ | 22.65 | $ | 20.55 | $ | 20.04 | $ | 21.29 | $ | 20.63 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.02 | 0.09 | 0.17 | (b) | 0.07 | 0.03 | (c) | (0.08 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 3.44 | (3.71 | ) | 2.48 | 1.05 | (0.79 | ) | 2.31 | ||||||||||||||||
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Total from Investment Operations | 3.46 | (3.62 | ) | 2.65 | 1.12 | (0.76 | ) | 2.23 | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(d) | (0.15 | ) | (0.18 | ) | (0.05 | ) | (0.02 | ) | — | |||||||||||||
Net realized capital gains | — | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | (1.57 | ) | |||||||||||||
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Total Distributions | (0.00 | ) | (1.66 | ) | (0.55 | ) | (0.61 | ) | (0.49 | ) | (1.57 | ) | ||||||||||||
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Net asset value, end of the period | $ | 20.83 | $ | 17.37 | $ | 22.65 | $ | 20.55 | $ | 20.04 | $ | 21.29 | ||||||||||||
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Total return(e) | 19.93 | %(f)(g) | (16.10 | )% | 12.93 | %(b) | 5.85 | % | (3.66 | )%(c) | 10.92 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 23,022 | $ | 43,769 | $ | 67,186 | $ | 87,536 | $ | 142,833 | $ | 73,237 | ||||||||||||
Net expenses | 1.29 | %(h)(i)(j) | 1.24 | % | 1.22 | % | 1.23 | % | 1.23 | % | 1.25 | % | ||||||||||||
Gross expenses | 1.30 | %(i)(j) | 1.24 | % | 1.22 | % | 1.23 | % | 1.23 | % | 1.25 | % | ||||||||||||
Net investment income (loss) | 0.18 | %(i) | 0.42 | % | 0.77 | %(b) | 0.35 | % | 0.16 | %(c) | (0.37 | )% | ||||||||||||
Portfolio turnover rate | 25 | % | 44 | % | 42 | % | 57 | % | 32 | % | 58 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-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) | Includes anon-recurring dividend. Without this dividend, net investment loss per share would have been $(0.01), total return would have been (3.94)% and the ratio of net investment loss to average net assets would have been (0.04)%. |
(d) | Amount rounds to less than $0.01 per share. |
(e) | A sales charge for Class A shares is not reflected in total return calculations. |
(f) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(g) | Periods less than one year are not annualized. |
(h) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(i) | Computed on an annualized basis for periods less than one year. |
(j) | Includes interest expense of 0.03%. Without this expense the ratio of net expenses would have been 1.26% and the ratio of gross expenses would have been 1.27%. |
See accompanying notes to financial statements.
67 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Value Opportunity Fund—Class C | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 16.43 | $ | 21.50 | $ | 19.51 | $ | 19.16 | $ | 20.51 | $ | 20.07 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.03 | ) | (0.08 | ) | 0.00 | (b)(c) | (0.07 | ) | (0.13 | )(d) | (0.23 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 3.23 | (3.48 | ) | 2.36 | 0.98 | (0.75 | ) | 2.24 | ||||||||||||||||
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Total from Investment Operations | 3.20 | (3.56 | ) | 2.36 | 0.91 | (0.88 | ) | 2.01 | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(b) | — | — | (0.00 | )(b) | — | — | ||||||||||||||||
Net realized capital gains | — | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | (1.57 | ) | |||||||||||||
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Total Distributions | (0.00 | ) | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | (1.57 | ) | ||||||||||||
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Net asset value, end of the period | $ | 19.63 | $ | 16.43 | $ | 21.50 | $ | 19.51 | $ | 19.16 | $ | 20.51 | ||||||||||||
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Total return(e) | 19.49 | %(f) | (16.71 | )% | 12.11 | %(c) | 5.03 | % | (4.39 | )%(d) | 10.12 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 24,269 | $ | 23,967 | $ | 47,559 | $ | 68,923 | $ | 89,284 | $ | 35,894 | ||||||||||||
Net expenses | 2.03 | %(g)(h) | 1.98 | % | 1.97 | % | 1.98 | % | 1.98 | % | 2.00 | % | ||||||||||||
Gross expenses | 2.03 | %(g)(h) | 1.98 | % | 1.97 | % | 1.98 | % | 1.98 | % | 2.00 | % | ||||||||||||
Net investment income (loss) | (0.36 | )%(g) | (0.36 | )% | 0.00 | %(c)(i) | (0.38 | )% | (0.61 | )%(d) | (1.10 | )% | ||||||||||||
Portfolio turnover rate | 25 | % | 44 | % | 42 | % | 57 | % | 32 | % | 58 | % |
(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 anon-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) | Includes anon-recurring dividend. Without this dividend, net investment loss per share would have been $(0.16), total return would have been (4.68)% and the ratio of net investment loss to average net assets would have been (0.77)%. |
(e) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(f) | Periods less than one year are not annualized. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Includes interest expense of 0.01%. Without this expense the ratio of net expenses would have been 2.02% and the ratio of gross expenses would have been 2.02%. |
(i) | Amount rounds to less than 0.01%. |
See accompanying notes to financial statements.
| 68
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Value Opportunity Fund—Class N | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 17.54 | $ | 22.87 | $ | 20.75 | $ | 20.26 | $ | 21.50 | $ | 20.76 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.07 | 0.17 | 0.25 | (b) | 0.16 | 0.11 | (c) | (0.00 | )(d) | |||||||||||||||
Net realized and unrealized gain (loss) | 3.46 | (3.75 | ) | 2.51 | 1.04 | (0.81 | ) | 2.31 | ||||||||||||||||
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Total from Investment Operations | 3.53 | (3.58 | ) | 2.76 | 1.20 | (0.70 | ) | 2.31 | ||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(d) | (0.24 | ) | (0.27 | ) | (0.15 | ) | (0.07 | ) | — | |||||||||||||
Net realized capital gains | — | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | (1.57 | ) | |||||||||||||
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Total Distributions | (0.00 | ) | (1.75 | ) | (0.64 | ) | (0.71 | ) | (0.54 | ) | (1.57 | ) | ||||||||||||
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Net asset value, end of the period | $ | 21.07 | $ | 17.54 | $ | 22.87 | $ | 20.75 | $ | 20.26 | $ | 21.50 | ||||||||||||
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Total return | 20.14 | %(e) | (15.78 | )% | 13.31 | %(b) | 6.21 | % | (3.35 | )%(c) | 11.24 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 66,584 | $ | 70,902 | $ | 134,205 | $ | 148,365 | $ | 65,010 | $ | 12,024 | ||||||||||||
Net expenses | 0.93 | %(f)(g) | 0.88 | % | 0.88 | % | 0.88 | % | 0.89 | % | 0.91 | %(h) | ||||||||||||
Gross expenses | 0.93 | %(f)(g) | 0.88 | % | 0.88 | % | 0.88 | % | 0.89 | % | 0.91 | %(h) | ||||||||||||
Net investment income (loss) | 0.72 | %(f) | 0.76 | % | 1.16 | %(b) | 0.78 | % | 0.50 | %(c) | (0.00 | )%(i) | ||||||||||||
Portfolio turnover rate | 25 | % | 44 | % | 42 | % | 57 | % | 32 | % | 58 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-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) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.08, total return would have been (3.59)% and the ratio of net investment income to average net assets would have been 0.35%. |
(d) | Amount rounds to less than $0.01 per share. |
(e) | Periods less than one year are not annualized. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 0.91% and the ratio of gross expenses would have been 0.91%. |
(h) | Includes fee/expense recovery of less than 0.01%. |
(i) | Amount rounds to less than 0.01%. |
See accompanying notes to financial statements.
69 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Vaughan Nelson Value Opportunity Fund—Class Y | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 17.57 | $ | 22.89 | $ | 20.77 | $ | 20.27 | $ | 21.52 | $ | 20.78 | ||||||||||||
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| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.06 | 0.15 | 0.23 | (b) | 0.12 | 0.09 | (c) | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 3.46 | (3.75 | ) | 2.51 | 1.07 | (0.82 | ) | 2.33 | ||||||||||||||||
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| |||||||||||||
Total from Investment Operations | 3.52 | (3.60 | ) | 2.74 | 1.19 | (0.73 | ) | 2.31 | ||||||||||||||||
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| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(d) | (0.21 | ) | (0.25 | ) | (0.13 | ) | (0.05 | ) | — | |||||||||||||
Net realized capital gains | — | (1.51 | ) | (0.37 | ) | (0.56 | ) | (0.47 | ) | (1.57 | ) | |||||||||||||
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Total Distributions | (0.00 | ) | (1.72 | ) | (0.62 | ) | (0.69 | ) | (0.52 | ) | (1.57 | ) | ||||||||||||
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Net asset value, end of the period | $ | 21.09 | $ | 17.57 | $ | 22.89 | $ | 20.77 | $ | 20.27 | $ | 21.52 | ||||||||||||
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| |||||||||||||
Total return | 20.04 | %(e) | (15.85 | )% | 13.19 | %(b) | 6.14 | % | (3.47 | )%(c) | 11.23 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 290,383 | $ | 453,085 | $ | 774,304 | $ | 903,545 | $ | 1,133,634 | $ | 656,071 | ||||||||||||
Net expenses | 1.03 | %(f)(g) | 0.99 | % | 0.97 | % | 0.98 | % | 0.98 | % | 1.00 | % | ||||||||||||
Gross expenses | 1.03 | %(f)(g) | 0.99 | % | 0.97 | % | 0.98 | % | 0.98 | % | 1.00 | % | ||||||||||||
Net investment income (loss) | 0.59 | %(f) | 0.66 | % | 1.04 | %(b) | 0.62 | % | 0.39 | %(c) | (0.10 | )% | ||||||||||||
Portfolio turnover rate | 25 | % | 44 | % | 42 | % | 57 | % | 32 | % | 58 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-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) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been (3.70)% and the ratio of net investment income to average net assets would have been 0.20%. |
(d) | Amount rounds to less than $0.01 per share. |
(e) | Periods less than one year are not annualized. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 1.01% and the ratio of gross expenses would have been 1.02%. |
See accompanying notes to financial statements.
| 70
Table of Contents
June 30, 2019 (Unaudited)
1. Organization. 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 anopen-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:
Natixis Funds Trust I:
Natixis Oakmark International Fund
Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)
Natixis Funds Trust II:
Loomis Sayles Intermediate Municipal Bond Fund (formerly McDonnell Intermediate Municipal Bond Fund) (the “Intermediate Municipal Bond Fund”)
Natixis Oakmark Fund
Vaughan Nelson Value Opportunity Fund (the “Value Opportunity Fund”)
Each Fund is a diversified investment company.
Each Fund offers Class A shares, Class C shares and Class Y shares. Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund also offer Class N shares.
Effective July 31, 2009, the Small Cap Value Fund was closed to new investors. The Fund, in its sole discretion, may permit an investor in another Vaughan Nelson-managed fund or product that follows the same investment strategy as the Fund to transfer assets from that fund or product into the Fund.
Class A shares are sold with a maximumfront-end sales charge of 3.00% for Intermediate Municipal Bond Fund and 5.75% for Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund. Class C shares do not pay afront-end sales charge, pay higher Rule12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay afront-end sales charge, a CDSC or Rule12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Fund’s prospectus.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each
71 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of a Fund are bornepro rataby the holders of each class of shares, except that each class bears expenses unique to the class (such as the Rule12b-1 fees applicable to Class A and Class C) and transfer agent fees for each Fund are borne collectively for Class A, Class C and Class Y and individually for Class N. In addition, each class votes as a class only with respect to its own Rule12b-1 Plan. Shares of each class would receive theirpro ratashare of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser orsub-adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser orsub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an
| 72
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
As of June 30, 2019, securities held by Natixis Oakmark International Fund were fair valued as follows:
Equity | Percentage of | |||
$583,171,039 | 89.0 | % |
1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. |
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax,
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if applicable, is recorded on theex-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 are reflected asnon-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 calendaryear-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 apro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce 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.
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The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are tradedover-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.
e. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2019 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and
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Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
f. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on theex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as taxable over-distribution, capital gains taxes, deferred Trustees’ fees, distribution redesignations and foreign currency gains and losses. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, forward foreign currency contractmark-to-market and return of capital distributions received. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2018 was as follows:
2018 Distributions Paid From: | ||||||||||||||||
Fund | Ordinary | Tax Exempt | Long-Term | Total | ||||||||||||
Intermediate Municipal Bond Fund | $ | 5,716 | $ | 662,720 | $ | — | $ | 668,436 | ||||||||
Natixis Oakmark Fund | 2,211,730 | — | 25,432,306 | 27,644,036 | ||||||||||||
Natixis Oakmark International Fund | 16,730,811 | — | 14,047,101 | 30,777,912 | ||||||||||||
Small Cap Value Fund | 6,205,741 | — | 27,906,818 | 34,112,559 | ||||||||||||
Value Opportunity Fund | 6,805,023 | — | 53,866,158 | 60,671,181 |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of
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America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed inper-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of December 31, 2018, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:
Intermediate | Natixis | Natixis | Small Cap | Value | ||||||||||||||||
Capital loss carryforward: | ||||||||||||||||||||
Short-term: | ||||||||||||||||||||
No expiration date | $ | (684,217 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||
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|
|
|
|
|
|
|
| |||||||||||
Late-year ordinary and post-October capital loss deferrals* | $ | — | $ | (3,155,958 | ) | $ | (18,604,946 | ) | $ | (1,651,386 | ) | $ | (9,183,228 | ) | ||||||
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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. Natixis Oakmark International Fund is deferring foreign currency losses. Natixis Oakmark Fund, Small Cap Value Fund and Value Opportunity Fund are deferring capital losses. |
As of June 30, 2019, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Intermediate | Natixis | Natixis | Small Cap | Value | ||||||||||||||||
Federal tax cost | $ | 18,478,982 | $ | 272,822,070 | $ | 758,324,949 | $ | 114,662,724 | $ | 346,776,442 | ||||||||||
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| |||||||||||
Gross tax appreciation | $ | 1,161,763 | $ | 60,144,747 | $ | 23,085,595 | $ | 15,847,169 | $ | 67,591,152 | ||||||||||
Gross tax depreciation | — | (24,951,503 | ) | (128,664,620 | ) | (5,855,597 | ) | (9,872,036 | ) | |||||||||||
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| |||||||||||
Net tax appreciation (depreciation) | $ | 1,161,763 | $ | 35,193,244 | $ | (105,579,025 | ) | $ | 9,991,572 | $ | 57,719,116 | |||||||||
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Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.
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 aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2019, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
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 fornon-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 bynon-U.S. Governments andnon-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the six months ended June 30, 2019, none of the Funds had loaned securities under this agreement.
i. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve
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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 June 30, 2019, at value:
Intermediate Municipal Bond Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes(a) | $ | — | $ | 18,805,845 | $ | — | $ | 18,805,845 | ||||||||
Exchange-Traded Funds | 834,900 | — | — | 834,900 | ||||||||||||
|
|
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|
|
|
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| |||||||||
Total | $ | 834,900 | $ | 18,805,845 | $ | — | $ | 19,640,745 | ||||||||
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(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
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Natixis Oakmark Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 294,028,728 | $ | — | $ | — | $ | 294,028,728 | ||||||||
Short-Term Investments | — | 13,986,586 | — | 13,986,586 | ||||||||||||
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| |||||||||
Total | $ | 294,028,728 | $ | 13,986,586 | $ | — | $ | 308,015,314 | ||||||||
|
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(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
Natixis Oakmark International Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 15,749,349 | $ | — | $ | 15,749,349 | ||||||||
France | — | 78,357,992 | — | 78,357,992 | ||||||||||||
Germany | — | 112,933,957 | — | 112,933,957 | ||||||||||||
India | — | 1,897,889 | — | 1,897,889 | ||||||||||||
Indonesia | — | 6,383,991 | — | 6,383,991 | ||||||||||||
Italy | — | 23,936,943 | — | 23,936,943 | ||||||||||||
Japan | — | 29,841,156 | — | 29,841,156 | ||||||||||||
Korea | — | 22,845,957 | — | 22,845,957 | ||||||||||||
Netherlands | — | 27,431,922 | — | 27,431,922 | ||||||||||||
South Africa | — | 12,716,100 | — | 12,716,100 | ||||||||||||
Sweden | — | 42,069,195 | — | 42,069,195 | ||||||||||||
Switzerland | — | 73,904,048 | — | 73,904,048 | ||||||||||||
Taiwan | — | 6,944,726 | — | 6,944,726 | ||||||||||||
United Kingdom | 14,042,859 | 119,689,774 | — | 133,732,633 | ||||||||||||
United States | 4,535,093 | 8,468,040 | — | 13,003,133 | ||||||||||||
All Other Common Stocks(a) | 38,522,827 | — | — | 38,522,827 | ||||||||||||
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| |||||||||
Total Common Stocks | 57,100,779 | 583,171,039 | — | 640,271,818 | ||||||||||||
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| |||||||||
Short-Term Investments | — | 12,586,683 | — | 12,586,683 | ||||||||||||
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| |||||||||
Total | $ | 57,100,779 | $ | 595,757,722 | $ | — | $ | 652,858,501 | ||||||||
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June 30, 2019 (Unaudited)
Natixis Oakmark International Fund (continued)
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (112,577 | ) | $ | — | $ | (112,577 | ) | ||||||
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(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
Small Cap Value Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 118,182,342 | $ | — | $ | — | $ | 118,182,342 | ||||||||
Exchange-Traded Funds | 5,012,800 | — | — | 5,012,800 | ||||||||||||
Closed-End Investment Companies | 540,431 | — | — | 540,431 | ||||||||||||
Short-Term Investments | — | 918,723 | — | 918,723 | ||||||||||||
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| |||||||||
Total | $ | 123,735,573 | $ | 918,723 | $ | — | $ | 124,654,296 | ||||||||
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(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
Value Opportunity Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 382,539,293 | $ | — | $ | — | $ | 382,539,293 | ||||||||
Short-Term Investments | — | 21,956,265 | — | 21,956,265 | ||||||||||||
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| |||||||||
Total | $ | 382,539,293 | $ | 21,956,265 | $ | — | $ | 404,495,558 | ||||||||
|
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(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
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June 30, 2019 (Unaudited)
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.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2019, the Fund engaged in forward foreign currency transactions for hedging purposes.
The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2019, as reflected within the Statements of Assets and Liabilities:
Liabilities | Unrealized | |||
Over-the-counter asset derivatives | ||||
Foreign exchange contracts | $ | (112,577 | ) |
Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2019, as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Forward foreign | |
Foreign exchange contracts | $810,835 | |
Net Change in Unrealized | Forward foreign | |
Foreign exchange contracts | $(603,777) |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statements of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to benon-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on grossmonth-end notional
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June 30, 2019 (Unaudited)
amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2019:
Natixis Oakmark International Fund | Forwards | |
Average Notional Amount Outstanding | 3.39% | |
Highest Notional Amount Outstanding | 4.16% | |
Lowest Notional Amount Outstanding | 1.02% | |
Notional Amount Outstanding as of June 30, 2019 | 1.02% |
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.
The Fund enters intoover-the-counter derivatives, including forward foreign currency contracts, pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement between the Fund and its counterparty. ISDA agreements typically contain master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. For financial reporting purposes, the Fund does not offset derivative assets and liabilities on the Statements of Assets and Liabilities.
As of June 30, 2019, 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:
Natixis Oakmark International Fund
Counterparty | Gross Amounts of | Offset | Net | |||||||||
State Street Bank and Trust Company | $ | (112,577 | ) | $ | — | $ | (112,577 | ) |
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
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June 30, 2019 (Unaudited)
the terms of the contracts and ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2019:
Fund | Maximum Amount | Maximum Amount | ||||||
Natixis Oakmark International Fund | $ | — | $ | — |
5. Purchases and Sales of Securities. For the six months ended June 30, 2019, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:
Fund | Purchases | Sales | ||||||
Intermediate Municipal Bond Fund | $ | 845,780 | $ | 2,656,431 | ||||
Natixis Oakmark Fund | 34,084,192 | 41,419,149 | ||||||
Natixis Oakmark International Fund | 98,539,343 | 221,348,751 | ||||||
Small Cap Value Fund | 42,675,538 | 67,662,115 | ||||||
Value Opportunity Fund | 113,552,239 | 401,726,159 |
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||||||||||||||||
Fund | First $200 million | Next $300 million | Next $500 million | Next $500 million | Next $500 million | Over $2 billion | ||||||||||||||||||
Intermediate Municipal Bond Fund | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||||
Natixis Oakmark Fund | 0.70 | % | 0.65 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||
Natixis Oakmark International Fund | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||
Small Cap Value Fund | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||
Value Opportunity Fund | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.75 | % | 0.75 | % |
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Effective July 1, 2019, Natixis Oakmark International Fund pays a management fee at the annual rates of 0.85% of the first $150 million, 0.75% of the next $850 million and 0.70% in excess of $1 billion of the Fund’s average daily net assets, calculated daily and payable monthly.
Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.
Intermediate Municipal Bond Fund | Loomis, Sayles & Company, L.P. (“Loomis Sayles”) | |
Natixis Oakmark Fund | Harris Associates L.P. (“Harris”) | |
Natixis Oakmark International Fund | Harris | |
Small Cap Value Fund | Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”) | |
Value Opportunity Fund | Vaughan Nelson |
Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc. is indirectly owned by Natixis.
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 $200 million | Next $1.3 billion | Over $1.5 billion | ||||||||||
Intermediate Municipal Bond Fund | Loomis Sayles | 0.20 | % | 0.20 | % | 0.20 | % | |||||||
Natixis Oakmark Fund | Harris | 0.52 | % | 0.50 | % | 0.50 | % | |||||||
Natixis Oakmark International Fund | Harris | 0.60 | % | 0.60 | % | 0.60 | % | |||||||
Small Cap Value Fund | Vaughan Nelson | 0.55 | % | 0.55 | % | 0.55 | % | |||||||
Value Opportunity Fund | Vaughan Nelson | 0.50 | % | 0.50 | % | 0.47 | % |
Prior to June 30, 2019, McDonnell Investment Management, LLC (“McDonnell”), which was owned by Loomis, Sayles & Company, Inc, was the sub-adviser to the Intermediate Municipal Bond Fund and was paid a subadvisory fee at the same rates.
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Effective July 1, 2019, Natixis Oakmark International Fund has agreed to pay its subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||||||
Fund | Subadviser | First $150 million | Next $850 million | Over $1 billion | ||||||||||
Natixis Oakmark International Fund | Harris | 0.60 | % | 0.50 | % | 0.45 | % |
Natixis Advisors has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, 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, 2020, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the six months ended June 30, 2019 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Intermediate Municipal Bond Fund | 0.70 | % | 1.45 | % | — | 0.45 | % | |||||||||
Natixis Oakmark Fund | 1.30 | % | 2.05 | % | 1.00 | % | 1.05 | % | ||||||||
Natixis Oakmark International Fund | 1.45 | % | 2.20 | % | 1.15 | % | 1.20 | % | ||||||||
Small Cap Value Fund | 1.45 | % | 2.20 | % | 1.15 | % | 1.20 | % | ||||||||
Value Opportunity Fund | 1.40 | % | 2.15 | % | 1.10 | % | 1.15 | % |
Effective July 1, 2019, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund are as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Natixis Oakmark International Fund | 1.37 | % | 2.12 | % | 1.07 | % | 1.12 | % | ||||||||
Small Cap Value Fund | 1.34 | % | 2.09 | % | 1.04 | % | 1.09 | % | ||||||||
Value Opportunity Fund | 1.20 | % | 1.95 | % | 0.90 | % | 0.95 | % |
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These new undertakings are in effect until April 30, 2021, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.
Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended June 30, 2019, the management fees and waivers of management fees for each Fund were as follows:
Fund | Gross | Contractual | Net | Percentage of | ||||||||||||||||
Gross | Net | |||||||||||||||||||
Intermediate Municipal Bond Fund | $ | 41,571 | $ | 41,571 | $ | — | 0.40 | % | — | % | ||||||||||
Natixis Oakmark Fund | 1,039,863 | — | 1,039,863 | 0.68 | % | 0.68 | % | |||||||||||||
Natixis Oakmark International Fund | 2,943,166 | — | 2,943,166 | 0.85 | % | 0.85 | % | |||||||||||||
Small Cap Value Fund | 601,258 | 6,499 | 594,759 | 0.90 | % | 0.89 | % | |||||||||||||
Value Opportunity Fund | 1,810,743 | — | 1,810,743 | 0.80 | % | 0.80 | % |
1 | Management fee waivers are subject to possible recovery until December 31, 2020. |
For the six months ended June 30, 2019, expenses have been reimbursed as follows:
Fund | Reimbursement | |||
Intermediate Municipal Bond Fund | $ | 90,898 |
No expenses were recovered during the six months ended June 30, 2019 under the terms of the expense limitation agreement.
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule12b-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
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Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
For the six months ended June 30, 2019, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||
Fund | Class A | Class C | Class C | |||||||||
Intermediate Municipal Bond Fund | $ | 7,847 | $ | 1,911 | $ | 5,732 | ||||||
Natixis Oakmark Fund | 224,806 | 73,009 | 219,028 | |||||||||
Natixis Oakmark International Fund | 318,081 | 271,346 | 814,037 | |||||||||
Small Cap Value Fund | 89,434 | 3,816 | 11,447 | |||||||||
Value Opportunity Fund | 36,069 | 31,073 | 93,219 |
c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve assub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly itspro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving assub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction insub-administrative fees discussed above. The waiver is in effect through June 30, 2019.
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For the six months ended June 30, 2019, the administrative fees for each Fund were as follows:
Fund | Administrative | Waiver of | Net | |||||||||
Intermediate Municipal Bond Fund | $ | 4,618 | $ | 110 | $ | 4,508 | ||||||
Natixis Oakmark Fund | 67,668 | 1,608 | 66,060 | |||||||||
Natixis Oakmark International Fund | 153,825 | 3,659 | 150,166 | |||||||||
Small Cap Value Fund | 29,679 | 706 | 28,973 | |||||||||
Value Opportunity Fund | 100,595 | 2,398 | 98,197 |
Effective July 1, 2019, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts(sub-transfer agent fees) paid to Natixis Distribution are subject to a currentper-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
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June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, thesub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
Fund | Sub-Transfer | |||
Intermediate Municipal Bond Fund | $ | 2,175 | ||
Natixis Oakmark Fund | 67,827 | |||
Natixis Oakmark International Fund | 316,963 | |||
Small Cap Value Fund | 46,463 | |||
Value Opportunity Fund | 174,889 |
As of June 30, 2019, the Funds owe Natixis Distribution the following reimbursements forsub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements | |||
Intermediate Municipal Bond Fund | $ | 55 | ||
Natixis Oakmark Fund | 1,710 | |||
Natixis Oakmark International Fund | 8,366 | |||
Small Cap Value Fund | 1,183 | |||
Value Opportunity Fund | 4,329 |
Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on apro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2019, were as follows:
Fund | Commissions | |||
Intermediate Municipal Bond Fund | $ | 178 | ||
Natixis Oakmark Fund | 29,996 | |||
Natixis Oakmark International Fund | 45,056 | |||
Small Cap Value Fund | 587 | |||
Value Opportunity Fund | 1,277 |
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 or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $360,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the
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June 30, 2019 (Unaudited)
aggregate, a retainer fee at the annual rate of $190,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocatedpro rataamong the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and affiliates are also officers and/or Trustees of the Trusts.
g. Affiliated Ownership. As of June 30, 2019, Natixis and affiliates held shares of Natixis Oakmark Fund and Small Cap Value Fund representing less than 0.01% of each Funds’ net assets and Intermediate Municipal Bond Fund representing 2.01% of the Fund’s net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Natixis Oakmark Fund, Natixis Oakmark International Fund and Small Cap Value Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2020 and is not subject to recovery under the expense limitation agreement described above.
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For the six months ended June 30, 2019, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:
Reimbursement of | ||||
Fund | Class N | |||
Natixis Oakmark Fund | $ | 76 | ||
Natixis Oakmark International Fund | 106 | |||
Small Cap Value Fund | 72 |
7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses for Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund attributable to Class A, Class C and Class Y are allocated on apro ratabasis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
Intermediate Municipal Bond Fund allocates transfer agent fees and expenses on apro ratabasis based on the relative net assets of each class to the total net assets of those classes.
For the six months ended June 30, 2019, Natixis Oakmark Fund, Natixis Oakmark International Fund, Small Cap Value Fund and Value Opportunity Fund incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):
Transfer Agent Fees and Expenses | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Natixis Oakmark Fund | $ | 78,330 | $ | 25,442 | $ | 76 | $ | 28,768 | ||||||||
Natixis Oakmark International Fund | 128,205 | 108,859 | 106 | 110,255 | ||||||||||||
Small Cap Value Fund | 41,068 | 1,755 | 72 | 33,971 | ||||||||||||
Value Opportunity Fund | 15,810 | 12,902 | 220 | 172,367 |
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an
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June 30, 2019 (Unaudited)
arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected as legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
For the six months ended June 30, 2019, Value Opportunity Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $108,471,250 at a weighted average interest rate of 3.51%. Interest expense incurred was $42,294.
9. Interest Expense. The Funds may incur interest expense on cash overdrafts at the custodian or from use of the line of credit. Interest expense incurred for the six months ended June 30, 2019 is reflected on the Statement of Operations.
10. Concentration of Risk. The Natixis Oakmark International Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
11. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2019, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of 5% Account Holders | Percentage of Ownership | ||||||
Intermediate Municipal Bond Fund | 4 | 34.55 | % | |||||
Value Opportunity Fund | 1 | 17.47 | % |
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for anon-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
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12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
Intermediate Municipal Bond Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 109,907 | $ | 1,116,143 | 275,455 | $ | 2,764,015 | ||||||||||
Issued in connection with the reinvestment of distributions | 6,087 | 61,928 | 12,617 | 125,269 | ||||||||||||
Redeemed | (51,876 | ) | (526,677 | ) | (274,616 | ) | (2,717,698 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 64,118 | $ | 651,394 | 13,456 | $ | 171,586 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 17,912 | $ | 183,711 | 10,557 | $ | 105,987 | ||||||||||
Issued in connection with the reinvestment of distributions | 514 | 5,230 | 1,243 | 12,351 | ||||||||||||
Redeemed | (40,282 | ) | (407,933 | ) | (79,290 | ) | (790,619 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (21,856 | ) | $ | (218,992 | ) | (67,490 | ) | $ | (672,281 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 62,409 | $ | 633,467 | 422,343 | $ | 4,210,756 | ||||||||||
Issued in connection with the reinvestment of distributions | 8,263 | 84,122 | 14,182 | 141,017 | ||||||||||||
Redeemed | (378,184 | ) | (3,834,897 | ) | (1,826,504 | ) | (18,225,145 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (307,512 | ) | $ | (3,117,308 | ) | (1,389,979 | ) | $ | (13,873,372 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (265,250 | ) | $ | (2,684,906 | ) | (1,444,013 | ) | $ | (14,374,067 | ) | ||||||
|
|
|
|
|
|
|
|
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12. Capital Shares (continued).
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
Natixis Oakmark Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 203,406 | $ | 4,390,768 | 1,710,227 | $ | 42,259,538 | ||||||||||
Issued in connection with the reinvestment of distributions | 368,563 | 7,968,348 | 759,153 | 15,279,946 | ||||||||||||
Redeemed | (612,822 | ) | (13,142,247 | ) | (2,242,255 | ) | (53,142,329 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (40,853 | ) | $ | (783,131 | ) | 227,125 | $ | 4,397,155 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 301,651 | $ | 5,541,988 | 1,327,534 | $ | 27,139,192 | ||||||||||
Issued in connection with the reinvestment of distributions | 148,285 | 2,718,062 | 277,335 | 4,799,814 | ||||||||||||
Redeemed | (524,770 | ) | (9,571,242 | ) | (1,273,226 | ) | (26,235,921 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (74,834 | ) | $ | (1,311,192 | ) | 331,643 | $ | 5,703,085 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | — | $ | — | 386 | $ | 10,194 | ||||||||||
Issued in connection with the reinvestment of distributions | 21 | 492 | 38 | 783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 21 | $ | 492 | 424 | $ | 10,977 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 882,451 | $ | 20,258,361 | 2,241,985 | $ | 58,092,396 | ||||||||||
Issued in connection with the reinvestment of distributions | 113,410 | 2,588,016 | 190,395 | 4,001,696 | ||||||||||||
Redeemed | (611,675 | ) | (13,886,795 | ) | (1,730,567 | ) | (42,663,771 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 384,186 | $ | 8,959,582 | 701,813 | $ | 19,430,321 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 268,520 | $ | 6,865,751 | 1,261,005 | $ | 29,541,538 | ||||||||||
|
|
|
|
|
|
|
|
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12. Capital Shares (continued).
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
Natixis Oakmark International Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 1,864,854 | $ | 23,048,746 | 8,614,434 | $ | 129,879,929 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 995,963 | 10,965,551 | ||||||||||||
Redeemed | (6,250,666 | ) | (77,024,582 | ) | (25,557,109 | ) | (364,431,088 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (4,385,812 | ) | $ | (53,975,836 | ) | (15,946,712 | ) | $ | (223,585,608 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 836,053 | $ | 10,140,860 | 4,347,532 | $ | 64,671,210 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 567,617 | 6,152,971 | ||||||||||||
Redeemed | (3,394,153 | ) | (41,351,489 | ) | (9,503,667 | ) | (126,163,655 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (2,558,100 | ) | $ | (31,210,629 | ) | (4,588,518 | ) | $ | (55,339,474 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 3,178 | $ | 39,783 | 92,040 | $ | 1,342,548 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 3,315 | 36,370 | ||||||||||||
Redeemed | (41,916 | ) | (523,125 | ) | (28,097 | ) | (387,970 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (38,738 | ) | $ | (483,342 | ) | 67,258 | $ | 990,948 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 2,538,866 | $ | 31,329,114 | 18,731,471 | $ | 276,949,870 | ||||||||||
Issued in connection with the reinvestment of distributions | — | — | 965,209 | 10,588,341 | ||||||||||||
Redeemed | (4,888,962 | ) | (60,519,882 | ) | (11,681,703 | ) | (157,478,079 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (2,350,096 | ) | $ | (29,190,768 | ) | 8,014,977 | $ | 130,060,132 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (9,332,746 | ) | $ | (114,860,575 | ) | (12,452,995 | ) | $ | (147,874,002 | ) | ||||||
|
|
|
|
|
|
|
|
| 96
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
12. Capital Shares (continued).
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
Small Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 182,740 | $ | 2,629,439 | 712,683 | $ | 12,873,039 | ||||||||||
Issued in connection with the reinvestment of distributions | 3,541 | 52,222 | 1,087,949 | 14,101,401 | ||||||||||||
Redeemed | (732,796 | ) | (10,486,719 | ) | (1,494,118 | ) | (27,125,775 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (546,515 | ) | $ | (7,805,058 | ) | 306,514 | $ | (151,335 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 9,046 | $ | 64,711 | 67,032 | $ | 586,716 | ||||||||||
Issued in connection with the reinvestment of distributions | 481 | 3,624 | 201,322 | 1,524,443 | ||||||||||||
Redeemed | (258,287 | ) | (1,894,914 | ) | (1,075,636 | ) | (12,147,004 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (248,760 | ) | $ | (1,826,579 | ) | (807,282 | ) | $ | (10,035,845 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | — | $ | — | — | $ | — | ||||||||||
Issued in connection with the reinvestment of distributions | — | (a) | 1 | 15 | 200 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | — | $ | 1 | 15 | $ | 200 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 173,759 | $ | 2,571,666 | 441,361 | $ | 8,044,129 | ||||||||||
Issued in connection with the reinvestment of distributions | 2,781 | 42,942 | 1,132,316 | 15,826,362 | ||||||||||||
Redeemed | (1,271,362 | ) | (19,080,550 | ) | (6,233,772 | ) | (112,747,613 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,094,822 | ) | $ | (16,465,942 | ) | (4,660,095 | ) | $ | (88,877,122 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (1,890,097 | ) | $ | (26,097,578 | ) | (5,160,848 | ) | $ | (99,064,102 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one share. |
97 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
12. Capital Shares (continued).
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
Value Opportunity Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 228,770 | $ | 4,129,655 | 495,715 | $ | 10,630,321 | ||||||||||
Issued in connection with the reinvestment of distributions | 94 | 1,895 | 171,431 | 3,074,190 | ||||||||||||
Redeemed | (1,642,973 | ) | (31,832,503 | ) | (1,114,049 | ) | (23,838,889 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,414,109 | ) | $ | (27,700,953 | ) | (446,903 | ) | $ | (10,134,378 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 22,450 | $ | 417,992 | 74,034 | $ | 1,500,519 | ||||||||||
Issued in connection with the reinvestment of distributions | 103 | 1,967 | 121,282 | 2,078,925 | ||||||||||||
Redeemed | (244,920 | ) | (4,583,054 | ) | (948,504 | ) | (19,327,431 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (222,367 | ) | $ | (4,163,095 | ) | (753,188 | ) | $ | (15,747,987 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 196,980 | $ | 3,950,336 | 1,690,373 | $ | 38,824,913 | ||||||||||
Issued in connection with the reinvestment of distributions | 310 | 6,349 | 369,511 | 6,683,144 | ||||||||||||
Redeemed | (1,079,794 | ) | (21,980,922 | ) | (3,884,820 | ) | (89,963,901 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (882,504 | ) | $ | (18,024,237 | ) | (1,824,936 | ) | $ | (44,455,844 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 1,017,203 | $ | 20,066,952 | 7,576,178 | $ | 168,906,227 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,163 | 23,799 | 2,423,432 | 44,084,799 | ||||||||||||
Redeemed | (13,043,795 | ) | (251,263,624 | ) | (18,028,194 | ) | (386,667,770 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (12,025,429 | ) | $ | (231,172,873 | ) | (8,028,584 | ) | $ | (173,676,744 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (14,544,409 | ) | $ | (281,061,158 | ) | (11,053,611 | ) | $ | (244,014,953 | ) | ||||||
|
|
|
|
|
|
|
|
| 98
Table of Contents
Special Meeting of Shareholders. (Unaudited)
A special meeting of shareholders of the Intermediate Municipal Bond Fund was held on June 19, 2019 to approve a new subadvisory agreement between Natixis Funds Trust II on behalf of the Fund, Natixis Advisors and Loomis Sayles. The proposal was approved by shareholders of the Fund. The results of the shareholder vote were as follows:
Loomis Sayles Intermediate Municipal Bond Fund
Voted “FOR” | Withheld | |||
1,289,184.986 | 3,931.000 |
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Table of Contents
NATIXIS FUNDS
LOOMIS SAYLES FUNDS
Supplement dated February 12, 2019 to the Loomis Sayles Funds Statutory Prospectus, dated February 1, 2019, the Natixis Funds Statutory Prospectus dated February 1, 2019, April 1, 2018, May 1, 2018, June 1, 2018 and December 28, 2018, as may be revised or supplemented from time to time, for the following funds:
AEW Real Estate Fund | Mirova International Sustainable Equity Fund | |
ASG Global Alternatives Fund | Natixis Oakmark Fund | |
ASG Managed Futures Strategy Fund | Natixis Oakmark International Fund | |
Gateway Fund | Natixis Sustainable Future 2015 FundSM | |
Gateway Equity Call Premium Fund | Natixis Sustainable Future 2020 FundSM | |
Loomis Sayles Global Allocation Fund | Natixis Sustainable Future 2025 FundSM | |
Loomis Sayles Global Growth Fund | Natixis Sustainable Future 2030 FundSM | |
Loomis Sayles Growth Fund | Natixis Sustainable Future 2035 FundSM | |
Loomis Sayles High Income Fund | Natixis Sustainable Future 2040 FundSM | |
Loomis Sayles Intermediate Duration Bond Fund | Natixis Sustainable Future 2045 FundSM | |
Loomis Sayles Investment Grade Bond Fund | Natixis Sustainable Future 2050 FundSM | |
Loomis Sayles Limited Term Government and Agency Fund | Natixis Sustainable Future 2055 FundSM | |
Loomis Sayles Multi-Asset Income Fund | Natixis Sustainable Future 2060 FundSM | |
Loomis Sayles Senior Floating Rate and Fixed Income Fund | Natixis U.S. Equity Opportunities Fund | |
Loomis Sayles Strategic Alpha Fund | Vaughan Nelson Select Fund | |
Loomis Sayles Strategic Income Fund | Vaughan Nelson Small Cap Value Fund | |
Mirova Global Green Bond Fund | Vaughan Nelson Value Opportunity Fund | |
Mirova Global Sustainable Equity Fund |
Effective immediately, the information under the sub-section “Class N Shares” in the section “Purchase and Sale of Fund Shares” of the Fund Summary for each Fund is hereby amended and restated as follows:
Class N shares of the Fund are subject to a $1,000,000 initial investment minimum. There is no initial investment minimum for Certain Retirement Plans and funds of funds that are distributed by Natixis Distribution, L.P. (the “Distributor”). Sub accounts held
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Table of Contents
within an omnibus account, where the omnibus account has at least $1,000,000, are not required to meet the investment minimum. There is no subsequent investment minimum for these shares. In its sole discretion, the Distributor may waive the investment minimum requirement for accounts as to which the Distributor reasonably believes will have enough assets to exceed the investment minimum requirement within a relatively short period of time following the establishment date of such accounts in Class N. If, after two years, an account’s value does not exceed the investment minimum requirement, the Distributor and the Fund reserve the right to redeem such account.
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Table of Contents
Loomis Sayles Multi-Asset Income Fund
Mirova Global Sustainable Equity Fund
Natixis Oakmark Fund
Natixis Oakmark International Fund
Natixis U.S. Equity Opportunities Fund
(each a “Fund”)
Supplement dated May 23, 2019 to the Natixis Funds Prospectus and Summary Prospectuses, each dated May 1, 2019, as may be revised and supplemented from time to time.
Effective immediately, the text of the last footnote to the “Annual Fund Operating Expenses” table in the “Fund Fees & Expenses” sub-section of the Fund Summary section of each Fund’s prospectus is hereby amended and restated as follows:
Natixis Advisors, L.P. (“Natixis Advisors”) has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for Class N shares. This undertaking is in effect through April 30, 2020 and may be terminated before then only with the consent of the Fund’s Board of Trustees.
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Table of Contents
MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND
Supplement dated June 21, 2019 to the Prospectus, Summary Prospectus and Statement of Additional Information of the McDonnell Intermediate Municipal Bond Fund (the “Fund”), each dated May 1, 2019, as may be revised and supplemented from time to time.
On June 19, 2019, the Shareholders of the Fund approved a new sub-advisory agreement with Loomis, Sayles & Company, L.P. (“Loomis Sayles”).
Effective June 30, 2019, Loomis Sayles is the new Sub-Adviser to the Fund. Therefore, all references to McDonnell Investment Management, LLC (“McDonnell”) are hereby replaced with Loomis Sayles.
Additionally, effective June 30, 2019, the Fund’s name is changed to Loomis Sayles Intermediate Municipal Bond Fund.
The Fund’s principal investment strategies, portfolio managers and advisory fee rate will remain the same.
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Table of Contents
NATIXIS FUNDS
Supplement dated June 28, 2019 to the Natixis Funds Prospectuses and Summary Prospectuses, each dated May 1, 2019, as may be revised or supplemented from time to time, for the following funds:
NATIXIS OAKMARK INTERNATIONAL FUND
(the “Fund”)
Effective July 1, 2019, the Fund’s Board of Trustees approved a proposal to revise the advisory fee rate from 0.85% on all assets to 0.85% on the first $150 million in assets, 0.75% on the next $850 million in assets and 0.70% on assets thereafter. Additionally, the Fund’s Board of Trustees approved a proposal to revise the sub-advisory fee rate from 0.60% on all assets to 0.60% on the first $150 million in assets, 0.50% on the next $850 million in assets and 0.45% on assets thereafter. In addition, effective July 1, 2019, Natixis Advisors, L.P. has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.37%, 2.12%, 1.07%, 1.37% and 1.12% of the Fund’s average daily net assets for Class A, C, N, T and Y shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2021.
Accordingly, the Annual Fund Operating Expenses table and the Example table within the section “Fund Fees & Expenses” are amended and restated as follows with respect to the Fund:
Annual Fund Operating Expenses |
(expenses that you pay each year as a percentage of the value of your investment)
Class A | Class C | Class N | Class T | Class Y | ||||||||||||||||
Management fees1 | 0.76 | % | 0.76 | % | 0.76 | % | 0.76 | % | 0.76 | % | ||||||||||
Distribution and/or service (12b-1) fees | 0.25 | % | 1.00 | % | 0.00 | % | 0.25 | % | 0.00 | % | ||||||||||
Other expenses2 | 0.20 | % | 0.21 | % | 0.16 | % | 0.20 | %3 | 0.21 | % | ||||||||||
Total annual fund operating expenses | 1.21 | % | 1.97 | % | 0.92 | % | 1.21 | % | 0.97 | % | ||||||||||
Fee waiver and/or expense reimbursement4,5 | 0.00 | % | 0.00 | % | 0.03 | % | 0.00 | % | 0.00 | % | ||||||||||
Total annual fund operating expenses after fee waiver and/or expense reimbursement | 1.21 | % | 1.97 | % | 0.89 | % | 1.21 | % | 0.97 | % |
1 | The Fund’s operating expenses have been restated to reflect a reduction in management fees, effective July 1, 2019. |
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Table of Contents
2 | Other expenses have been restated to reflect current custodian fees for the Fund effective October 1, 2018. |
3 | Other expenses are estimated for the current fiscal year. |
4 | The Fund’s investment adviser has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.37%, 2.12%, 1.07%, 1.37% and 1.12% of the Fund’s average daily net assets for Class A, C, N, T and Y shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2021 and may be terminated before then only with the consent of the Fund’s Board of Trustees. The Fund’s investment adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable expense limitations for Class A, C, N, T and Y shares. The Fund will not be obligated to repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed. |
5 | Natixis Advisors, L.P. (“Natixis Advisors”) has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for Class N shares. This undertaking is in effect through April 30, 2020 and may be terminated before then only with the consent of the Fund’s Board of Trustees. |
Example |
This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated). The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the example for Class N is based on the Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waivers and/or reimbursements will only be in place through the dates noted above and on the Total Annual Fund Operating Expenses for the remaining periods. Although your actual costs may be higher or lower, based on these assumptions your costs would be:
If shares are redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class A | $ | 691 | $ | 937 | $ | 1,202 | $ | 1,957 | ||||||||
Class C | $ | 300 | $ | 618 | $ | 1,062 | $ | 2,296 | ||||||||
Class N | $ | 91 | $ | 290 | $ | 506 | $ | 1,128 | ||||||||
Class T | $ | 370 | $ | 624 | $ | 898 | $ | 1,679 | ||||||||
Class Y | $ | 99 | $ | 309 | $ | 536 | $ | 1,190 | ||||||||
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If shares are not redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class C | $ | 200 | $ | 618 | $ | 1,062 | $ | 2,296 |
VAUGHAN NELSON SMALL CAP VALUE FUND
(the “Fund”)
Effective July 1, 2019, Natixis Advisors, L.P. has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.34%, 2.09%, 1.04%, 1.34% and 1.09% of the Fund’s average daily net assets for Class A, C, N, T and Y shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2021.
Accordingly, the Annual Fund Operating Expenses table and the Example table within the section “Fund Fees & Expenses” are amended and restated as follows with respect to the Fund:
Annual Fund Operating Expenses |
(expenses that you pay each year as a percentage of the value of your investment)
Class A | Class C | Class N | Class T | Class Y | ||||||||||||||||
Management fees | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||
Distribution and/or service (12b-1) fees | 0.25 | % | 1.00 | % | 0.00 | % | 0.25 | % | 0.00 | % | ||||||||||
Other expenses | 0.23 | % | 0.22 | % | 14.27 | % | 0.23 | %1 | 0.22 | % | ||||||||||
Acquired Fund Fees and Expenses2 | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | ||||||||||
Total annual fund operating expenses | 1.50 | % | 2.24 | % | 15.29 | % | 1.50 | % | 1.24 | % | ||||||||||
Fee waiver and/or expense reimbursement3,4 | 0.04 | % | 0.03 | % | 14.21 | % | 0.04 | % | 0.03 | % | ||||||||||
Total annual fund operating expenses after fee waiver and/or expense reimbursement | 1.46 | % | 2.21 | % | 1.08 | % | 1.46 | % | 1.21 | % |
1 | Other expenses are estimated for the current fiscal year. |
2 | The expense information shown in the table above differs from the expense information disclosed in the Fund’s financial highlights table because the financial highlights table reflects the operating expenses of the Fund and does not include acquired fund fees and expenses. |
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3 | The Fund’s investment adviser has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.34%, 2.09%, 1.04%, 1.34% and 1.09% of the Fund’s average daily net assets for Class A, C, N, T, and Y shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2021 and may be terminated before then only with the consent of the Fund’s Board of Trustees. The Fund’s investment adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable expense limitations for Class A, C, N, T, and Y shares. The Fund will not be obligated to repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed. |
4 | Natixis Advisors, L.P. (“Natixis Advisors”) has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for Class N shares. This undertaking is in effect through April 30, 2020 and may be terminated before then only with the consent of the Fund’s Board of Trustees. |
Example |
This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated). The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the example is based on the Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waivers and/or reimbursements will only be in place through the dates noted above and on the Total Annual Fund Operating Expenses for the remaining periods. Although your actual costs may be higher or lower, based on these assumptions your costs would be:
If shares are redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class A | $ | 715 | $ | 1,015 | $ | 1,340 | $ | 2,256 | ||||||||
Class C | $ | 324 | $ | 695 | $ | 1,195 | $ | 2,570 | ||||||||
Class N | $ | 111 | $ | 2,007 | $ | 4,613 | $ | 9,113 | ||||||||
Class T | $ | 395 | $ | 705 | $ | 1,041 | $ | 1,989 | ||||||||
Class Y | $ | 123 | $ | 388 | $ | 676 | $ | 1,495 | ||||||||
If shares are not redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class C | $ | 224 | $ | 695 | $ | 1,195 | $ | 2,570 |
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Table of Contents
VAUGHAN NELSON VALUE OPPORTUNITY FUND
(the “Fund”)
Effective July 1, 2019, Natixis Advisors, L.P. has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.20%, 1.95%, 0.90%, 1.20% and 0.95% of the Fund’s average daily net assets for Class A, C, N, T and Y shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2021.
Accordingly, the Annual Fund Operating Expenses table and the Example table within the section “Fund Fees & Expenses” are amended and restated as follows with respect to the Fund:
Annual Fund Operating Expenses |
(expenses that you pay each year as a percentage of the value of your investment)
Class A | Class C | Class N | Class T | Class Y | ||||||||||||||||
Management fees | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | ||||||||||
Distribution and/or service (12b-1) fees | 0.25 | % | 1.00 | % | 0.00 | % | 0.25 | % | 0.00 | % | ||||||||||
Other expenses | 0.19 | % | 0.18 | % | 0.08 | % | 0.19 | %1 | 0.19 | % | ||||||||||
Acquired Fund Fees and Expenses2 | 0.21 | % | 0.21 | % | 0.21 | % | 0.21 | % | 0.21 | % | ||||||||||
Total annual fund operating expenses | 1.45 | % | 2.19 | % | 1.09 | % | 1.45 | % | 1.20 | % | ||||||||||
Fee waiver and/or expense reimbursement3 | 0.04 | % | 0.03 | % | 0.00 | % | 0.04 | % | 0.04 | % | ||||||||||
Total annual fund operating expenses after fee waiver and/or expense reimbursement | 1.41 | % | 2.16 | % | 1.09 | % | 1.41 | % | 1.16 | % |
1 | Other expenses are estimated for the current fiscal year. |
2 | The expense information shown in the table above differs from the expense information disclosed in the Fund’s financial highlights table because the financial highlights table reflects the operating expenses of the Fund and does not include acquired fund fees and expenses. |
3 | The Fund’s investment adviser has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 1.20%, 1.95%, 0.90%, 1.20% and 0.95% of the Fund’s average daily net assets for Class A, C, N, T and Y shares, respectively, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, and organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through April 30, 2021 and may be terminated |
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before then only with the consent of the Fund’s Board of Trustees. The Fund’s investment adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable expense limitations for Class A, C, N, T and Y shares. The Fund will not be obligated to repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed. |
Example |
This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated). The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the example for Class A, C, T and Y shares is based on the Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waivers and/or reimbursements will only be in place through the date noted above and on the Total Annual Fund Operating Expenses for the remaining periods. Although your actual costs may be higher or lower, based on these assumptions your costs would be:
If shares are redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class A | $ | 710 | $ | 1,000 | $ | 1,315 | $ | 2,204 | ||||||||
Class C | $ | 319 | $ | 680 | $ | 1,169 | $ | 2,519 | ||||||||
Class N | $ | 111 | $ | 347 | $ | 601 | $ | 1,329 | ||||||||
Class T | $ | 390 | $ | 690 | $ | 1,015 | $ | 1,936 | ||||||||
Class Y | $ | 118 | $ | 374 | $ | 652 | $ | 1,448 | ||||||||
If shares are not redeemed: | ||||||||||||||||
1 year | 3 years | 5 years | 10 years | |||||||||||||
Class C | $ | 219 | $ | 680 | $ | 1,169 | $ | 2,519 |
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ASG Dynamic Allocation Fund | McDonnell Intermediate Municipal Bond Fund | |
ASG Global Alternatives Fund | Mirova Global Green Bond Fund | |
ASG Managed Futures Strategy Fund | Mirova Global Sustainable Equity Fund | |
ASG Tactical U.S. Market Fund | Mirova International Sustainable Equity Fund | |
Gateway Equity Call Premium Fund | Natixis Oakmark Fund | |
Gateway Fund | Natixis Oakmark International Fund | |
Loomis Sayles High Income Fund | Natixis U.S. Equity Opportunities Fund | |
Loomis Sayles Investment Grade Bond Fund | Vaughan Nelson Small Cap Value Fund | |
Loomis Sayles Multi-Asset Income Fund | Vaughan Nelson Value Opportunity Fund | |
Loomis Sayles Strategic Alpha Fund |
(each a “Fund”)
Effective July 1, 2019, the following is added to the Prospectus as “APPENDIX B — Financial Intermediary Specific Commissions & Investment Minimum Waivers”.
APPENDIX B — Financial Intermediary Specific Commissions & Investment Minimum Waivers
UBS Financial Services, Inc. (“UBS-FS”)
Pursuant to an agreement with the Funds, Class Y shares may be available on certain brokerage platforms at UBS-FS. For such platforms, UBS-FS may charge commissions on brokerage transactions in each Fund’s Class Y shares. A shareholder should contact UBS-FS for information about the commissions charged by UBS-FS for such transactions. Shares of each Fund are available in other share classes that have different fees and expenses.
The initial and subsequent investment minimums for Class Y shares are waived for transactions through such brokerage platforms at UBS-FS.
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Semiannual Report
June 30, 2019
Loomis Sayles Strategic Alpha Fund
Natixis U.S. Equity Opportunities Fund
Portfolio Review | 1 | |||
Portfolio of Investments | 13 | |||
Financial Statements | 51 | |||
Notes to Financial Statements | 64 | |||
Shareholder Supplement (previously posted to the Fund’s website) | enclosed |
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically atwww.icsdelivery.com/natixisfunds.
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LOOMIS SAYLES STRATEGIC ALPHA FUND
Managers | Symbols | |
Matthew J. Eagan, CFA® | Class A LABAX | |
Kevin P. Kearns | Class C LABCX | |
Todd P. Vandam, CFA® | Class N LASNX | |
Loomis, Sayles & Company, L.P. | Class Y LASYX |
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.
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Average Annual Total Returns — June 30, 20194
Expense Ratios5 | ||||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | Life of Class | Gross | Net | |||||||||||||||||||||||
Class Y (Inception 12/15/10) | Class Y/A/C | Class N | ||||||||||||||||||||||||||
NAV | 3.27 | % | 2.66 | % | 2.53 | % | 2.89 | % | — | % | 0.75 | % | 0.75 | % | ||||||||||||||
Class A (Inception 12/15/10) | ||||||||||||||||||||||||||||
NAV | 3.04 | 2.41 | 2.27 | 2.64 | — | 1.00 | 1.00 | |||||||||||||||||||||
With 4.25% Maximum Sales Charge | -1.37 | -1.96 | 1.38 | 2.12 | — | |||||||||||||||||||||||
Class C (Inception 12/15/10) | ||||||||||||||||||||||||||||
NAV | 2.75 | 1.70 | 1.50 | 1.86 | — | 1.75 | 1.75 | |||||||||||||||||||||
With CDSC1 | 1.75 | 0.71 | 1.50 | 1.86 | — | |||||||||||||||||||||||
Class N (Inception 5/1/17) | ||||||||||||||||||||||||||||
NAV | 3.30 | 2.82 | — | — | 2.77 | 0.70 | 0.70 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
3-Month LIBOR2 | 1.42 | 2.59 | 1.12 | 0.79 | 1.98 | |||||||||||||||||||||||
3-Month LIBOR + 300 basis points3 | 2.93 | 5.71 | 4.19 | 3.86 | 5.08 |
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 again or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance.Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate at which a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates. |
3 | 3-Month LIBOR +300 basis points is created by adding 3.00% to the annual return of 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 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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NATIXIS U.S. EQUITY OPPORTUNITIES FUND
Managers | Symbols | |
Large Cap Value Segment | Class A NEFSX | |
Harris Associates L.P. | Class C NECCX | |
All Cap Growth Segment | Class N NESNX | |
Loomis, Sayles & Company, L.P. | Class Y NESYX |
Investment Goal
The Fund seeks long-term growth of capital.
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Average Annual Total Returns — June 30, 20194
Life of Class N | Expense Ratios5 | |||||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | 10 Years | Gross | Net | |||||||||||||||||||||||
Class Y (Inception 11/15/94) | ||||||||||||||||||||||||||||
NAV | 20.47 | % | 8.46 | % | 12.31 | % | 16.58 | % | — | % | 0.91 | % | 0.91 | % | ||||||||||||||
Class A (Inception 7/7/94) | ||||||||||||||||||||||||||||
NAV | 20.32 | 8.18 | 12.03 | 16.29 | — | 1.16 | 1.16 | |||||||||||||||||||||
With 5.75% Maximum Sales Charge | 13.41 | 1.97 | 10.71 | 15.61 | — | |||||||||||||||||||||||
Class C (Inception 7/7/94) | ||||||||||||||||||||||||||||
NAV | 19.86 | 7.37 | 11.19 | 15.42 | — | 1.91 | 1.91 | |||||||||||||||||||||
With CDSC1 | 18.86 | 6.46 | 11.19 | 15.42 | — | |||||||||||||||||||||||
Class N (Inception 5/1/17) | ||||||||||||||||||||||||||||
NAV | 20.54 | 8.57 | — | — | 13.75 | 13.35 | 0.76 | |||||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||||||
S&P 500® Index2 | 18.54 | 10.42 | 10.71 | 14.70 | 12.35 | |||||||||||||||||||||||
Russell 1000® Index3 | 18.84 | 10.02 | 10.45 | 14.77 | 12.20 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the US equities market. |
3 | Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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ADDITIONAL INFORMATION
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis affiliates services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from Natixis Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Forms N-PORT reports are available on the SEC’s website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2019 through June 30, 2019. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown 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.
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LOOMIS SAYLES STRATEGIC ALPHA FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID DURING PERIOD* 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,030.40 | $4.93 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.94 | $4.91 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,027.50 | $8.70 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.22 | $8.65 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,033.00 | $3.38 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.47 | $3.36 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,032.70 | $3.68 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.18 | $3.66 |
* | Expenses are equal to the Fund’s annualized expense ratio: 0.98%, 1.73%, 0.67% and 0.73% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
NATIXIS U.S. EQUITY OPPORTUNITIES FUND | BEGINNING ACCOUNT VALUE 1/1/2019 | ENDING ACCOUNT VALUE 6/30/2019 | EXPENSES PAID DURING PERIOD* 1/1/2019 – 6/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,203.20 | $6.39 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.99 | $5.86 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,198.60 | $10.47 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.27 | $9.59 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,205.40 | $4.59 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.63 | $4.21 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,204.70 | $5.03 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.23 | $4.61 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.17%, 1.92%, 0.84% and 0.92% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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BOARD APPROVAL OF THE EXISTINGADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and Natixis U.S. Equity Opportunities Fund’ssub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additionalone-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers andsub-advisers, as applicable (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory andsub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees andsub-advisory fees, if any, to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category where available, performance ratings provided by a third-party, total return information for
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various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreements for aone-year period at its meeting held in June 2019. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.
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The Board noted that, through December 31, 2018, each Fund’sone-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):
One-Year | Three-Year | Five-Year | ||||||||||
Loomis Sayles Strategic Alpha Fund | 36 | % | 42 | % | 50 | % | ||||||
Natixis U.S. Equity Opportunities Fund | 91 | % | 37 | % | 25 | % |
In the case of a Fund that had performance that lagged that of a relevant category median as determined by the independent third-party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements, including: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance had shown improvement relative to its category; and (3) that the Fund’s performance was strong over the long term relative to its category.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory,sub-advisory and administrative services, as applicable, as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory andsub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Funds have expense caps in place, and they considered the amounts waived or reimbursed by the
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Adviser for Natixis U.S. Equity Opportunities Fund under its cap. The Trustees also considered that the expenses for Loomis Sayles Strategic Alpha Fund were below its cap.
The Trustees noted that Natixis U.S. Equity Opportunities Fund had a total advisory fee rates that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such a relatively higher advisory fee rate, including the quality of the services and the reputation and performance of the portfolio management team and that the Fund’s long-term performance has been consistently strong.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense caps. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense caps. With respect to economies of scale, the Trustees noted that Loomis Sayles Strategic Alpha Fund had breakpoints in its advisory fee and that each of the Funds was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
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Table of Contents
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund. |
· | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
· | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2020.
| 12
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes — 77.1% of Net Assets | ||||||||
Non-Convertible Bonds — 76.1% | ||||||||
ABS Car Loan — 11.6% |
| |||||||
$ | 213,125 | ACC Trust, Series2018-1, Class A, 3.700%, 12/21/2020, 144A | $ | 213,443 | ||||
7,250,000 | Ally Auto Receivables Trust, Series2019-1, Class A3, 2.910%, 9/15/2023(a) | 7,383,907 | ||||||
2,805,000 | AmeriCredit Automobile Receivables Trust, Series2018-2, Class D, 4.010%, 7/18/2024 | 2,909,532 | ||||||
3,498,374 | AmeriCredit Automobile Receivables Trust, Series2018-3, Class A2B,1-month LIBOR + 0.250%, 2.632%, 1/18/2022(a)(b) | 3,497,304 | ||||||
3,845,000 | AmeriCredit Automobile Receivables Trust, Series2018-3, Class D, 4.040%, 11/18/2024 | 4,016,979 | ||||||
531,617 | BMW Vehicle Owner Trust, Series2018-A, Class A2B,1-month LIBOR + 0.007%, 2.474%, 11/25/2020(a)(b) | 531,534 | ||||||
1,785,000 | California Republic Auto Receivables Trust, Series2018-1, Class D, 4.330%, 4/15/2025 | 1,856,216 | ||||||
479,560 | CarMax Auto Owner Trust, Series2018-1, Class A2B,1-month LIBOR + 0.150%, 2.544%, 5/17/2021(a)(b) | 479,450 | ||||||
135,000 | CarMax Auto Owner Trust, Series2018-1, Class D, 3.370%, 7/15/2024 | 136,851 | ||||||
1,435,000 | CarMax Auto Owner Trust, Series2018-2, Class D, 3.990%, 4/15/2025 | 1,479,616 | ||||||
4,953,827 | CarMax Auto Owner Trust, Series2018-3, Class A2B,1-month LIBOR + 0.200%, 2.594%, 10/15/2021(a)(b) | 4,950,973 | ||||||
4,820,678 | CarMax Auto Owner Trust, Series2018-4, Class A2B,1-month LIBOR + 0.200%, 2.594%, 2/15/2022(a)(b) | 4,819,764 | ||||||
1,125,000 | CarMax Auto Owner Trust, Series2018-4, Class D, 4.150%, 4/15/2025 | 1,172,067 | ||||||
7,285,000 | CarMax Auto Owner Trust, Series2019-1, Class A3, 3.050%, 3/15/2024(a) | 7,433,849 | ||||||
2,350,000 | CarMax Auto Owner Trust, Series2019-1, Class D, 4.040%, 8/15/2025 | 2,422,213 | ||||||
172,334 | CIG Auto Receivables Trust, Series2017-1A, Class A, 2.710%, 5/15/2023, 144A(a) | 172,218 | ||||||
815,000 | CPS Auto Receivables Trust, Series2017-D, Class D, 3.730%, 9/15/2023, 144A(a) | 826,652 | ||||||
230,000 | CPS Auto Receivables Trust, Series2018-A, Class C, 3.050%, 12/15/2023, 144A(a) | 231,010 | ||||||
1,795,000 | CPS Auto Receivables Trust, Series2018-D, Class C, 3.830%, 9/15/2023, 144A | 1,836,979 | ||||||
830,000 | CPS Auto Receivables Trust, Series2019-A, Class D, 4.350%, 12/16/2024, 144A | 865,314 | ||||||
525,000 | Credit Acceptance Auto Loan Trust, Series2017-3A, Class C, 3.480%, 10/15/2026, 144A | 530,512 | ||||||
1,205,000 | Credit Acceptance Auto Loan Trust, Series2018-2A, Class C, 4.160%, 9/15/2027, 144A(a) | 1,251,519 | ||||||
4,745,000 | Credit Acceptance Auto Loan Trust, Series2019-1A, Class C, 3.940%, 6/15/2028, 144A | 4,890,189 | ||||||
676,894 | Drive Auto Receivables Trust, Series2016-CA, Class C, 3.020%, 11/15/2021, 144A(a) | 677,403 | ||||||
2,955,000 | Drive Auto Receivables Trust, Series2018-1, Class D, 3.810%, 5/15/2024(a) | 3,007,187 |
See accompanying notes to financial statements.
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Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Car Loan — continued |
| |||||||
$ | 2,149,465 | Drive Auto Receivables Trust, Series2018-5, Class A2B,1-month LIBOR + 0.320%, 2.714%, 7/15/2021(a)(b) | $ | 2,149,620 | ||||
2,395,000 | Drive Auto Receivables Trust, Series2018-5, Class D, 4.300%, 4/15/2026 | 2,492,088 | ||||||
1,330,000 | Drive Auto Receivables Trust, Series2019-1, Class D, 4.090%, 6/15/2026 | 1,376,412 | ||||||
2,365,000 | Drive Auto Receivables Trust, Series2019-3, Class A3, 2.490%, 6/15/2023 | 2,370,308 | ||||||
2,155,000 | DT Auto Owner Trust, Series2018-3A, Class C, 3.790%, 7/15/2024, 144A | 2,198,292 | ||||||
2,827,176 | DT Auto Owner Trust, Series2016-1A, Class D, 4.660%, 12/15/2022, 144A(a) | 2,849,676 | ||||||
2,448,087 | DT Auto Owner Trust, Series2016-2A, Class D, 5.430%, 11/15/2022, 144A(a) | 2,473,551 | ||||||
1,390,000 | DT Auto Owner Trust, Series2018-2A, Class D, 4.150%, 3/15/2024, 144A | 1,428,725 | ||||||
1,655,000 | DT Auto Owner Trust, Series2019-2A, Class D, 3.480%, 2/18/2025, 144A | 1,684,496 | ||||||
345,000 | First Investors Auto Owner Trust, Series2015-1A, Class D, 3.590%, 1/18/2022, 144A(a) | 345,518 | ||||||
1,710,000 | First Investors Auto Owner Trust, Series2015-2A, Class D, 4.220%, 12/15/2021, 144A(a) | 1,727,889 | ||||||
220,000 | First Investors Auto Owner Trust, Series2016-2A, Class D, 3.350%, 11/15/2022(a) | 221,735 | ||||||
493,253 | Flagship Credit Auto Trust, Series2015-1, Class C, 3.760%, 6/15/2021, 144A(a) | 494,739 | ||||||
650,000 | Flagship Credit Auto Trust, Series2016-3, Class D, 3.890%, 11/15/2022, 144A(a) | 659,740 | ||||||
3,305,000 | Flagship Credit Auto Trust, Series2019-2, Class D, 3.530%, 5/15/2025, 144A | 3,351,364 | ||||||
3,676,369 | Ford Credit Auto Lease Trust, Series2018-B, Class A2B,1-month LIBOR + 0.160%, 2.554%, 4/15/2021(a)(b) | 3,675,360 | ||||||
1,260,000 | GLS Auto Receivables Trust, Series2018-3A, Class B, 3.780%, 8/15/2023, 144A(a) | 1,283,759 | ||||||
5,030,000 | GLS Auto Receivables Trust, Series2019-A, Class C, 3.540%, 2/18/2025, 144A | 5,110,854 | ||||||
3,846,547 | GM Financial Automobile Leasing Trust, Series2018-3, Class A2B,1-month LIBOR + 0.170%, 2.553%, 9/21/2020(a)(b) | 3,847,301 | ||||||
3,553,455 | GM Financial Consumer Automobile Receivables Trust, Series2018-3, Class A2B,1-month LIBOR + 0.110%, 2.504%, 7/16/2021(a)(b) | 3,552,666 | ||||||
1,362,000 | Hertz Vehicle Financing II LP, Series2017-2A, Class A, 3.290%, 10/25/2023, 144A(a) | 1,386,541 | ||||||
8,031 | Honda Auto Receivables Owner Trust, Series2016-2, Class A3, 1.390%, 4/15/2020(a) | 8,026 | ||||||
3,135,000 | Honda Auto Receivables Owner Trust, Series2019-1, Class A3, 2.830%, 3/20/2023(a) | 3,180,078 | ||||||
3,045,000 | NextGear Floorplan Master Owner Trust, Series2017-1A, Class A1,1-month LIBOR + 0.850%, 3.244%, 4/18/2022, 144A(a)(b) | 3,056,987 | ||||||
4,355,000 | NextGear Floorplan Master Owner Trust, Series2017-2A, Class A1,1-month LIBOR + 0.680%, 3.074%, 10/17/2022, 144A(a)(b) | 4,370,146 | ||||||
2,590,000 | NextGear Floorplan Master Owner Trust, Series2018-1A, Class A1,1-month LIBOR + 0.640%, 3.034%, 2/15/2023, 144A(a)(b) | 2,597,357 | ||||||
2,820,000 | NextGear Floorplan Master Owner Trust, Series2018-2A, Class A1,1-month LIBOR + 0.600%, 2.994%, 10/15/2023, 144A(a)(b) | 2,824,392 |
See accompanying notes to financial statements.
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Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Car Loan — continued |
| |||||||
$ | 8,095,000 | Nissan Auto Receivables Owner Trust, Series2019-A, Class A3, 2.900%, 10/16/2023(a) | $ | 8,238,585 | ||||
1,043,793 | Nissan Auto Receivables Owner Trust, Series2017-A, Class A3, 1.740%, 8/16/2021(a) | 1,039,819 | ||||||
3,220,000 | Nissan Auto Receivables Owner Trust, Series2018-A, Class A3, 2.650%, 5/16/2022(a) | 3,236,819 | ||||||
2,618,093 | Nissan Auto Receivables Owner Trust, Series2018-B, Class A2B,1-month LIBOR + 0.100%, 2.494%, 7/15/2021(a)(b) | 2,618,532 | ||||||
3,045,000 | Prestige Auto Receivables Trust, Series2016-1A, Class D, 5.150%, 11/15/2021, 144A(a) | 3,123,270 | ||||||
3,585,000 | Santander Drive Auto Receivables Trust, Series2018-2, Class D, 3.880%, 2/15/2024 | 3,673,101 | ||||||
3,028,143 | Santander Drive Auto Receivables Trust, Series2018-5, Class A2B,1-month LIBOR + 0.230%, 2.624%, 7/15/2021(a)(b) | 3,027,882 | ||||||
2,720,000 | Santander Drive Auto Receivables Trust, Series2018-5, Class C, 3.810%, 12/16/2024 | 2,776,477 | ||||||
4,140,000 | Santander Drive Auto Receivables Trust, Series2019-2, Class D, 3.220%, 7/15/2025 | 4,197,614 | ||||||
353,000 | Tidewater Auto Receivables Trust, Series2018-AA, Class D, 4.300%, 11/15/2024, 144A | 361,132 | ||||||
4,018,738 | Toyota Auto Receivables Owner Trust, Series2018-C, Class A2B,1-month LIBOR + 0.120%, 2.514%, 8/16/2021(a)(b) | 4,017,695 | ||||||
9,550,000 | Toyota Auto Receivables Owner Trust, Series2019-A, Class A3, 2.910%, 7/17/2023(a) | 9,692,716 | ||||||
3,025,000 | United Auto Credit Securitization Trust, Series2019-1, Class C, 3.160%, 8/12/2024, 144A | 3,042,360 | ||||||
164,852 | Veros Automobile Receivables Trust, Series2017-1, Class A, 2.840%, 4/17/2023, 144A(a) | 164,750 | ||||||
2,379,638 | Volkswagen Auto Loan Enhanced Trust, Series2018-1, Class A2B,1-month LIBOR + 0.180%, 2.563%, 7/20/2021(a)(b) | 2,380,005 | ||||||
4,605,000 | Volvo Financial Equipment Master Owner Trust, Series2018-A, Class A,1-month LIBOR + 0.520%, 2.914%, 7/17/2023, 144A(a)(b) | 4,621,151 | ||||||
595,000 | Westlake Automobile Receivables Trust, Series2017-1A, Class D, 3.460%, 10/17/2022, 144A(a) | 598,473 | ||||||
740,000 | Westlake Automobile Receivables Trust, Series2018-1A, Class D, 3.410%, 5/15/2023, 144A(a) | 745,509 | ||||||
4,474,971 | Westlake Automobile Receivables Trust, Series2018-3A, Class A2B,1-month LIBOR + 0.350%, 2.744%, 1/18/2022, 144A(a)(b) | 4,473,536 | ||||||
1,140,000 | Westlake Automobile Receivables Trust, Series2018-3A, Class D, 4.000%, 10/16/2023, 144A | 1,168,120 | ||||||
3,877,099 | World Omni Automobile Lease Securitization Trust, Series18-B, Class A2B,1-month LIBOR + 0.180%, 2.574%, 6/15/2021(a)(b) | 3,876,358 | ||||||
|
| |||||||
185,384,205 | ||||||||
|
| |||||||
ABS Credit Card — 3.4% |
| |||||||
3,790,000 | American Express Credit Account Master Trust, Series2018-8, Class A, 3.180%, 4/15/2024(a) | 3,881,584 |
See accompanying notes to financial statements.
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Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Credit Card — continued |
| |||||||
$ | 2,385,000 | American Express Credit Account Master Trust, Series2019-1, Class A, 2.870%, 10/15/2024(a) | $ | 2,437,810 | ||||
4,385,000 | Bank of America Credit Card Trust, Series2017-A1, Class A1, 1.950%, 8/15/2022(a) | 4,376,141 | ||||||
5,875,000 | Bank of America Credit Card Trust, Series2018-A1, Class A1, 2.700%, 7/17/2023(a) | 5,935,379 | ||||||
2,585,000 | Capital One Multi-Asset Execution Trust, Series2017-A1, Class A1, 2.000%, 1/17/2023(a) | 2,580,703 | ||||||
3,440,000 | Capital One Multi-Asset Execution Trust, Series2019-A1, Class A1, 2.840%, 12/15/2024(a) | 3,506,373 | ||||||
3,500,000 | Chase Issuance Trust, Series2015-A4, Class A4, 1.840%, 4/15/2022(a) | 3,492,348 | ||||||
5,800,000 | Citibank Credit Card Issuance Trust, Series2016-A1, Class A1, 1.750%, 11/19/2021(a) | 5,788,337 | ||||||
6,025,000 | Citibank Credit Card Issuance Trust, Series2018-A1, Class A1, 2.490%, 1/20/2023(a) | 6,066,180 | ||||||
6,880,000 | Discover Card Execution Note Trust, Series2018-A5, Class A5, 3.320%, 3/15/2024(a) | 7,064,088 | ||||||
5,425,000 | Discover Card Execution Note Trust, Series2018-A3, Class A3,1-month LIBOR + 0.230%, 2.624%, 12/15/2023(a)(b) | 5,429,883 | ||||||
3,190,000 | Discover Card Execution Note Trust, Series2019-A1, Class A1, 3.040%, 7/15/2024(a) | 3,267,423 | ||||||
640,000 | Genesis Sales Finance Master Trust, Series2019-AA, Class A, 4.680%, 8/20/2023, 144A | 653,081 | ||||||
|
| |||||||
54,479,330 | ||||||||
|
| |||||||
ABS Home Equity — 8.8% |
| |||||||
461,349 | Adjustable Rate Mortgage Trust, Series2004-4, Class 3A1, 4.254%, 3/25/2035(a)(c) | 467,470 | ||||||
905,501 | Adjustable Rate Mortgage Trust, Series2005-1, Class 3A1, 4.411%, 5/25/2035(a)(c) | 928,974 | ||||||
300,400 | Ajax Mortgage Loan Trust, Series2017-A, Class A, 3.470%, 4/25/2057, 144A(a)(c) | 300,828 | ||||||
1,310,154 | Ajax Mortgage Loan Trust, Series2017-B, Class A, 3.163%, 9/25/2056, 144A(a)(c) | 1,319,173 | ||||||
369,054 | Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a) | 385,489 | ||||||
434,805 | Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a) | 454,252 | ||||||
261,084 | Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035(d)(e) | 264,356 | ||||||
662,589 | Alternative Loan Trust, Series2005-J1, Class 2A1, 5.500%, 2/25/2025 | 680,077 | ||||||
175,011 | American Home Mortgage Investment Trust, Series2004-2, Class 5A, 5.500%, 2/25/2044(c) | 178,955 | ||||||
300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a) | 324,937 | ||||||
2,170,000 | American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a) | 2,432,197 | ||||||
1,200,000 | American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a) | 1,359,867 |
See accompanying notes to financial statements.
| 16
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued |
| |||||||
$ | 3,138,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A | $ | 3,442,536 | ||||
568,280 | Banc of America Alternative Loan Trust, Series2003-8, Class 1CB1, 5.500%, 10/25/2033 | 594,958 | ||||||
303,400 | Banc of America Funding Trust, Series2005-5, Class 1A1, 5.500%, 9/25/2035 | 333,066 | ||||||
616,739 | Banc of America Funding Trust, Series2005-7, Class 3A1, 5.750%, 11/25/2035 | 667,803 | ||||||
454,347 | Banc of America Funding Trust, Series2007-4, Class 5A1, 5.500%, 11/25/2034 | 457,532 | ||||||
973,982 | Banc of America Mortgage Trust, Series2005-I, Class 4A1, 3.846%, 10/25/2035(c) | 941,443 | ||||||
179,336 | Bayview Opportunity Master Fund IIb Trust, Series2018-RN5, Class A1, 3.820%, 4/28/2033, 144A(c) | 179,894 | ||||||
3,261,629 | Bayview Opportunity Master Fund IVa Trust, Series2019-RN2, Class A1, 3.967%, 3/28/2034, 144A(c) | 3,287,840 | ||||||
1,497,576 | Bayview Opportunity Master Fund IVb Trust, Series2018-RN9, Class A1, 4.213%, 10/29/2033, 144A(c) | 1,510,276 | ||||||
564,426 | Bayview Opportunity Master Fund Trust, Series2018-RN8, Class A1, 4.066%, 9/28/2033, 144A(c) | 568,957 | ||||||
2,287,616 | Bayview Opportunity Master Fund Trust, Series2019-RN1, Class A1, 4.090%, 2/28/2034, 144A(c) | 2,325,456 | ||||||
348,690 | BCAP LLC Trust, Series2007-AA2, Class 22A1, 6.000%, 3/25/2022(d)(e) | 343,538 | ||||||
93,174 | CAM Mortgage Trust, Series2018-1, Class A1, 3.960%, 12/01/2065, 144A(c) | 93,123 | ||||||
329,428 | CHL Mortgage Pass-Through Trust, Series2004-12, Class 8A1, 4.607%, 8/25/2034(c)(d)(e) | 325,158 | ||||||
1,042,773 | Citigroup Mortgage Loan Trust, Series2005-3, Class 2A3, 4.644%, 8/25/2035(c) | 1,040,101 | ||||||
1,199,982 | Citigroup Mortgage Loan Trust, Series2018-A, Class A1, 4.000%, 1/25/2068, 144A(c) | 1,215,833 | ||||||
2,908,448 | Citigroup Mortgage Loan Trust, Series2018-C, Class A1, 4.125%, 3/25/2059, 144A(c) | 2,941,682 | ||||||
2,285,000 | Citigroup Mortgage Loan Trust, Series2019-B, Class A1, 3.258%, 4/25/2066, 144A(c)(d)(e) | 2,284,999 | ||||||
2,200,000 | Colony American Finance Ltd., Series2015-1, Class D, 5.649%, 10/15/2047, 144A | 2,257,668 | ||||||
1,065,000 | Colony American Finance Ltd., Series2016-1, Class C, 4.638%, 6/15/2048, 144A(a)(c) | 1,077,856 | ||||||
536,771 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a) | 557,827 | ||||||
486,579 | Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034 | 501,075 | ||||||
972,328 | Countrywide Alternative Loan Trust, Series2004-J10, Class 2CB1, 6.000%, 9/25/2034 | 1,037,184 | ||||||
421,279 | Countrywide Alternative Loan Trust, Series2004-J3, Class 1A1, 5.500%, 4/25/2034(a) | 433,862 |
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued |
| |||||||
$ | 67,118 | Countrywide Home Loan Mortgage Pass Through Trust,Series 2004-HYB4, Class 2A1, 4.230%, 9/20/2034(a)(c)(d)(e) | $ | 65,489 | ||||
500,774 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 4.395%, 11/25/2033(a)(c) | 510,814 | ||||||
248,174 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 4.650%, 12/25/2033(a)(c)(d)(e) | 251,386 | ||||||
2,717,148 | Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, 4.030%, 8/25/2062, 144A(c) | 2,723,554 | ||||||
1,154,762 | Credit Suisse Mortgage Trust, Series 2018-RPL7, Class A1, 4.000%, 8/26/2058, 144A | 1,170,528 | ||||||
190,314 | CSFB Mortgage-Backed Pass-Through Certificates,Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a) | 198,782 | ||||||
705,374 | Deutsche Mortgage Securities, Inc., Series2004-4, Class 7AR1,1-month LIBOR + 0.350%, 2.754%, 6/25/2034(b) | 696,311 | ||||||
549,709 | DSLA Mortgage Loan Trust, Series2005-AR5, Class 2A1A,1-month LIBOR + 0.330%, 2.720%, 9/19/2045(b) | 448,922 | ||||||
1,495,014 | Dukinfield II PLC, Series 2, Class A, GBP3-month LIBOR + 1.250%, 2.034%, 12/20/2052, (GBP)(a)(b) | 1,915,713 | ||||||
525,579 | Eurosail PLC, Series2007-2X, Class A3C, GBP3-month LIBOR + 0.150%, 0.939%, 3/13/2045, (GBP)(a)(b) | 652,410 | ||||||
1,505,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series2017-C05, Class 1M2,1-month LIBOR + 2.200%, 4.604%, 1/25/2030(b) | 1,519,319 | ||||||
320,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series2017-C07, Class 1M2,1-month LIBOR + 2.400%, 4.804%, 5/28/2030(b) | 325,206 | ||||||
1,070,494 | Freddie Mac Structured Agency Credit Risk Debt Notes,Series 2014-DN1, Class M2,1-month LIBOR + 2.200%, 4.604%, 2/25/2024(a)(b) | 1,088,664 | ||||||
506,628 | Freddie Mac Structured Agency Credit Risk Debt Notes,Series 2014-DN2, Class M2,1-month LIBOR + 1.650%, 4.054%, 4/25/2024(a)(b) | 509,172 | ||||||
1,695,079 | Freddie Mac Structured Agency Credit Risk Debt Notes,Series 2015-DNA1, Class M2,1-month LIBOR + 1.850%, 4.254%, 10/25/2027(a)(b) | 1,712,822 | ||||||
130,000 | Freddie Mac Structured Agency Credit Risk Debt Notes,Series 2018-DNA1, Class M2,1-month LIBOR + 1.800%, 4.204%, 7/25/2030(b) | 129,318 | ||||||
293,172 | GCAT LLC, Series2017-2, Class A1, 3.500%, 4/25/2047, 144A(a)(c) | 293,463 | ||||||
796,977 | GCAT LLC, Series2018-1, Class A1, 3.844%, 6/25/2048, 144A(c) | 801,490 | ||||||
969,510 | GMACM Mortgage Loan Trust, Series2005-AR1, Class 3A, 4.718%, 3/18/2035(c) | 1,001,250 | ||||||
1,626,292 | Gosforth Funding PLC, Series2018-1A, Class A1,3-month LIBOR + 0.450%, 2.971%, 8/25/2060, 144A(a)(b) | 1,623,059 | ||||||
746,065 | Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, 3.250%, 8/25/2064, 144A | 745,637 | ||||||
195,320 | GSR Mortgage Loan Trust, Series2005-AR4, Class 4A1, 4.633%, 7/25/2035(c)(d)(e) | 193,466 | ||||||
1,115,000 | Home Partners of America Trust, Series2016-2, Class E,1-month LIBOR + 3.780%, 6.174%, 10/17/2033, 144A(b) | 1,116,013 |
See accompanying notes to financial statements.
| 18
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued |
| |||||||
$ | 1,123,000 | Home Partners of America Trust, Series2016-2, Class F,1-month LIBOR + 4.700%, 7.094%, 10/17/2033, 144A(b) | $ | 1,123,666 | ||||
2,254,221 | IndyMac Index Mortgage Loan Trust, Series2004-AR6, Class 4A, 4.759%, 10/25/2034(c) | 2,293,654 | ||||||
662,263 | IndyMac Index Mortgage Loan Trust, Series2004-AR7, Class A5,1-month LIBOR + 1.220%, 3.624%, 9/25/2034(b) | 620,162 | ||||||
2,857,096 | IndyMac Index Mortgage Loan Trust, Series2006-AR2, Class 2A1,1-month LIBOR + 0.210%, 2.614%, 2/25/2046(b) | 2,426,284 | ||||||
2,614,643 | Invitation Homes Trust, Series 2018-SFR1, Class E,1-month LIBOR + 2.000%, 4.394%, 3/17/2037, 144A(b) | 2,618,735 | ||||||
4,475,000 | Invitation Homes Trust, Series 2018-SFR2, Class E,1-month LIBOR + 2.000%, 4.394%, 6/17/2037, 144A(b) | 4,474,986 | ||||||
398,536 | JPMorgan Mortgage Trust, Series2003-A2, Class 3A1, 4.323%, 11/25/2033(a)(c) | 410,001 | ||||||
1,303,621 | JPMorgan Mortgage Trust, Series2004-S1, Class 2A1, 6.000%, 9/25/2034 | 1,386,335 | ||||||
889,263 | JPMorgan Mortgage Trust, Series2005-A2, Class 3A2, 4.557%, 4/25/2035(a)(c) | 908,172 | ||||||
135,132 | JPMorgan Mortgage Trust, Series2005-A3, Class 4A1, 4.863%, 6/25/2035(a)(c)(d)(e) | 137,915 | ||||||
1,730,000 | Lanark Master Issuer PLC, Series2019-1A, Class 1A1,3-month LIBOR + 0.770%, 3.295%, 12/22/2069(a)(b) | 1,734,053 | ||||||
2,525,491 | Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(c) | 2,553,218 | ||||||
22 | Lehman XS Trust, Series2006-12N, Class A2A1,1-month LIBOR + 0.150%, 2.554%, 8/25/2046(b)(d)(e) | 21 | ||||||
526,240 | Lehman XS Trust, Series2006-2N, Class 1A1,1-month LIBOR + 0.260%, 2.664%, 2/25/2046(b) | 481,524 | ||||||
463,265 | Ludgate Funding PLC, Series2007-1, Class A2B, 0.000%, 1/01/2061, (EUR)(a)(c) | 497,531 | ||||||
1,691,730 | Ludgate Funding PLC, Series2008-W1X, Class A1, GBP3-month LIBOR + 0.600%, 1.441%, 1/01/2061, (GBP)(a)(b) | 2,085,374 | ||||||
341,136 | MASTR Adjustable Rate Mortgages Trust, Series2004-4, Class 5A1, 5.137%, 5/25/2034(a)(c)(d)(e) | 338,284 | ||||||
1,102,056 | MASTR Adjustable Rate Mortgages Trust, Series2004-7, Class 3A1, 4.253%, 7/25/2034(a)(c) | 1,098,255 | ||||||
205,378 | MASTR Adjustable Rate Mortgages Trust, Series2006-2, Class 1A1, 4.796%, 4/25/2036(c) | 208,519 | ||||||
336,145 | MASTR Alternative Loan Trust, Series2003-9, Class 4A1, 5.250%, 11/25/2033(a) | 353,909 | ||||||
326,075 | MASTR Alternative Loan Trust, Series2004-5, Class 1A1, 5.500%, 6/25/2034(a) | 340,389 | ||||||
420,454 | MASTR Alternative Loan Trust, Series2004-5, Class 2A1, 6.000%, 6/25/2034(a) | 442,779 | ||||||
1,186,666 | MASTR Alternative Loan Trust, Series2004-8, Class 2A1, 6.000%, 9/25/2034 | 1,280,254 | ||||||
104,581 | Merrill Lynch Mortgage Investors Trust, Series2006-2, Class 2A, 4.435%, 5/25/2036(a)(c)(d)(e) | 105,814 |
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued |
| |||||||
$ | 493,173 | Morgan Stanley Mortgage Loan Trust, Series2005-7, Class 4A2, 5.500%, 11/25/2035(d)(e) | $ | 456,819 | ||||
989,714 | Morgan Stanley Mortgage Loan Trust, Series2005-7, Class 7A5, 5.500%, 11/25/2035 | 1,037,366 | ||||||
670,025 | Newgate Funding PLC, Series2007-3X, Class A2B,3-month EURIBOR + 0.600%, 0.282%, 12/15/2050, (EUR)(a)(b) | 738,920 | ||||||
671,757 | Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1, Class A1, 3.000%, 6/25/2057, 144A(a)(c) | 670,511 | ||||||
1,503,161 | Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, 3.000%, 7/25/2057, 144A(a)(c) | 1,503,927 | ||||||
2,085,284 | Preston Ridge Partners Mortgage LLC, Series2017-2A, Class A1, 3.470%, 9/25/2022, 144A(a)(c) | 2,092,022 | ||||||
1,165,000 | Preston Ridge Partners Mortgage LLC, Series2017-2A, Class A2, 5.000%, 9/25/2022, 144A(c) | 1,171,159 | ||||||
918,896 | Preston Ridge Partners Mortgage LLC, Series2017-3A, Class A1, 3.470%, 11/25/2022, 144A(a)(c) | 920,935 | ||||||
405,000 | Preston Ridge Partners Mortgage LLC, Series2017-3A, Class A2, 5.000%, 11/25/2022, 144A(c) | 402,648 | ||||||
895,000 | Preston Ridge Partners Mortgage LLC, Series2018-1A, Class A2, 5.000%, 4/25/2023, 144A(c) | 893,390 | ||||||
2,621,435 | Prime Mortgage Trust, 6.000%, 8/25/2022 | 2,663,422 | ||||||
681,000 | Progress Residential Trust, Series 2017-SFR2, Class E, 4.142%, 12/17/2034, 144A | 693,984 | ||||||
564,000 | Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A | 584,625 | ||||||
2,398,000 | Progress Residential Trust, Series 2019-SFR1, Class E, 4.466%, 8/17/2035, 144A | 2,486,827 | ||||||
527,810 | RCO V Mortgage LLC, Series2018-1, Class A1, 4.000%, 5/25/2023, 144A(c) | 529,985 | ||||||
3,626,599 | RCO V Mortgage LLC, Series2019-1, Class A1, 3.721%, 5/24/2024, 144A(c) | 3,652,150 | ||||||
1,268,294 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035 | 1,108,975 | ||||||
355,755 | Residential Funding Mortgage Securities, Series2006-S1, Class 1A3, 5.750%, 1/25/2036(d)(e) | 340,816 | ||||||
1,397,741 | Residential Funding Mortgage Securities, Series2006-SA2, Class 3A1, 5.257%, 8/25/2036(c) | 1,310,057 | ||||||
378,754 | RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, 0.000%, 6/12/2044, (EUR)(a)(c) | 412,430 | ||||||
286,375 | RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, GBP3-month LIBOR + 0.150%, 0.943%, 6/12/2044, (GBP)(a)(b) | 341,815 | ||||||
1,425,014 | RMAT, Series 2018-NPL1, Class A1, 4.090%, 5/25/2048, 144A(c) | 1,434,526 | ||||||
1,503,219 | Stanwich Mortgage Loan Trust, Series 2018-NPB1, Class A1, 4.016%, 5/16/2023, 144A(c) | 1,509,746 | ||||||
3,191,085 | Structured Adjustable Rate Mortgage Loan Trust, Series2005-14, Class A1,1-month LIBOR + 0.310%, 2.714%, 7/25/2035(b) | 2,536,052 | ||||||
251,497 | Structured Asset Securities Corp. Trust, Series2005-1, Class 7A7, 5.500%, 2/25/2035(d)(e) | 254,412 | ||||||
2,112,048 | Towd Point Mortgage Trust, Series2015-2, Class 1A13, 2.500%, 11/25/2060, 144A(c) | 2,111,801 |
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued |
| |||||||
$ | 2,492,424 | Vericrest Opportunity Loan Trust, Series 2019-NPL3, Class A1, 3.967%, 3/25/2049, 144A(c) | $ | 2,510,428 | ||||
1,550,957 | VOLT LXVIII LLC, Series 2018-NPL4, Class A1A, 4.336%, 7/27/2048, 144A(c) | 1,563,389 | ||||||
1,696,991 | VOLT LXX LLC, Series 2018-NPL6, Class A1A, 4.115%, 9/25/2048, 144A(c) | 1,713,120 | ||||||
1,271,406 | VOLT LXXI LLC, Series 2018-NPL7, Class A1A, 3.967%, 9/25/2048, 144A(c) | 1,281,173 | ||||||
8,742,235 | VOLT LXXII LLC, Series 2018-NPL8, Class A1A, 4.213%, 10/26/2048, 144A(c) | 8,797,114 | ||||||
3,567,888 | VOLT LXXV LLC, Series 2019-NPL1, Class A1A, 4.336%, 1/25/2049, 144A(c) | 3,616,083 | ||||||
1,162,266 | Wells Fargo Mortgage Backed Securities Trust, Series2004-I, Class 2A1, 5.074%, 7/25/2034(a)(c) | 1,207,115 | ||||||
203,527 | Wells Fargo Mortgage Backed Securities Trust, Series2004-O, Class A1, 4.711%, 8/25/2034(a)(c)(d)(e) | 207,342 | ||||||
112,108 | Wells Fargo Mortgage Backed Securities Trust, Series2005-11, Class 2A3, 5.500%, 11/25/2035(d)(e) | 113,040 | ||||||
566,492 | Wells Fargo Mortgage Backed Securities Trust, Series2005-16, Class A18, 6.000%, 12/25/2035(d)(e) | 571,960 | ||||||
260,674 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 4.947%, 5/01/2035(a)(c) | 271,031 | ||||||
334,505 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A5, 4.988%, 6/25/2035(a)(c) | 346,633 | ||||||
579,732 | Wells Fargo Mortgage Backed Securities Trust, Series2005-AR2, Class 3A1, 5.141%, 3/25/2035(c) | 596,578 | ||||||
1,720,103 | Wells Fargo Mortgage Backed Securities Trust, Series2006-3, Class A11, 5.500%, 3/25/2036 | 1,748,366 | ||||||
|
| |||||||
141,531,556 | ||||||||
|
| |||||||
ABS Other — 4.7% |
| |||||||
893,748 | Accelerated Assets LLC, Series18-1, Class B, 4.510%, 12/02/2033, 144A | 916,668 | ||||||
2,786,061 | AIM Aviation Finance Ltd., Series2015-1A, Class B1, 5.072%, 2/15/2040, 144A(a)(c) | 2,817,628 | ||||||
350,000 | Ascentium Equipment Receivables Trust, Series2017-2A, Class C, 2.870%, 8/10/2022, 144A(a) | 353,345 | ||||||
1,052,708 | Blackbird Capital Aircraft Lease Securitization Ltd., Series2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(c) | 1,084,559 | ||||||
1,413,516 | Blackbird Capital Aircraft Lease Securitization Ltd., Series2016-1A, Class B, 5.682%, 12/16/2041, 144A(a)(c) | 1,480,979 | ||||||
1,252,864 | Castlelake Aircraft Securitization Trust, Series18-1, Class B, 5.300%, 6/15/2043, 144A | 1,270,495 | ||||||
250,000 | CCG Receivables Trust, Series2018-1, Class C, 3.420%, 6/16/2025, 144A(a) | 253,582 | ||||||
580,000 | Chesapeake Funding II LLC, Series2017-2A, Class D, 3.710%, 5/15/2029, 144A | 588,196 | ||||||
775,000 | Chesapeake Funding II LLC, Series2017-4A, Class D, 3.260%, 11/15/2029, 144A | 778,899 | ||||||
790,000 | Chesapeake Funding II LLC, Series2018-1A, Class C, 3.570%, 4/15/2030, 144A | 806,482 |
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Other — continued |
| |||||||
$ | 2,125,000 | Chesapeake Funding II LLC, Series2018-1A, Class D, 3.920%, 4/15/2030, 144A | $ | 2,175,259 | ||||
485,570 | Diamond Resorts Owner Trust, Series2017-1A, Class C, 6.070%, 10/22/2029, 144A | 499,102 | ||||||
2,023,069 | Diamond Resorts Owner Trust, Series2018-1, Class C, 4.530%, 1/21/2031, 144A | 2,048,341 | ||||||
3,100,000 | Fairstone Financial Issuance Trust, Series2019-1A, Class A, 3.948%, 3/21/2033, 144A, (CAD) | 2,391,726 | ||||||
2,190,580 | GCA2014 Holdings Ltd., Series2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)(f)(g) | 1,748,083 | ||||||
912,920 | GCA2014 Holdings Ltd., Series2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)(f)(g) | 456,551 | ||||||
3,410,000 | GCA2014 Holdings Ltd., Series2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f)(g)(h) | — | ||||||
989,059 | Global Container Assets Ltd., Series2015-1A, Class B, 4.500%, 2/05/2030, 144A(g)(i) | 975,037 | ||||||
4,777,834 | Horizon Aircraft Finance I Ltd., Series2018-1, Class A, 4.458%, 12/15/2038, 144A | 4,953,406 | ||||||
2,340,468 | Kestrel Aircraft Funding Ltd., Series2018-1A, Class A, 4.250%, 12/15/2038, 144A | 2,380,499 | ||||||
1,424,620 | MAPS Ltd., Series2018-1A, Class A, 4.212%, 5/15/2043, 144A | 1,460,049 | ||||||
1,857,012 | MAPS Ltd., Series2018-1A, Class B, 5.193%, 5/15/2043, 144A | 1,892,040 | ||||||
1,362,297 | Marlette Funding Trust, Series2019-1A, Class A, 3.440%, 4/16/2029, 144A | 1,373,901 | ||||||
3,515,000 | Marlette Funding Trust, Series2019-3A, Class A, 2.690%, 9/17/2029, 144A(e) | 3,514,714 | ||||||
765,000 | MVW Owner Trust, Series2019-1A, Class C, 3.330%, 11/20/2036, 144A | 774,109 | ||||||
1,100,000 | Navistar Financial Dealer Note Master Owner Trust II, Series2018-1, Class A,1-month LIBOR + 0.630%, 3.034%, 9/25/2023, 144A(a)(b) | 1,102,169 | ||||||
3,120,000 | OneMain Financial Issuance Trust, Series2015-3A, Class B, 4.160%, 11/20/2028, 144A(a) | 3,205,736 | ||||||
3,100,000 | OneMain Financial Issuance Trust, Series2016-1A, Class C, 6.000%, 2/20/2029, 144A(a) | 3,190,654 | ||||||
2,067,412 | OneMain Financial Issuance Trust, Series2016-2A, Class B, 5.940%, 3/20/2028, 144A(a) | 2,075,400 | ||||||
3,230,000 | OneMain Financial Issuance Trust, Series2019-1A, Class D, 4.220%, 2/14/2031, 144A | 3,335,848 | ||||||
810,000 | Oxford Finance Funding Trust, Series2019-1A, Class A2, 4.459%, 2/15/2027, 144A | 831,752 | ||||||
4,590,778 | S-Jets Ltd., Series2017-1, Class A, 3.967%, 8/15/2042, 144A(a) | 4,685,428 | ||||||
3,718,000 | SCF Equipment Trust LLC, Series2018-1A, Class C, 4.210%, 4/20/2027, 144A | 3,913,084 | ||||||
1,264,768 | Shenton Aircraft Investment I Ltd., Series2015-1A, Class A, 4.750%, 10/15/2042, 144A(a) | 1,296,688 | ||||||
580,000 | SoFi Consumer Loan Program Trust, Series2018-1, Class B, 3.650%, 2/25/2027, 144A | 593,731 | ||||||
1,410,000 | SoFi Consumer Loan Program Trust, Series2018-2, Class A2, 3.350%, 4/26/2027, 144A | 1,424,125 |
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Other — continued |
| |||||||
$ | 1,690,000 | SoFi Consumer Loan Program Trust, Series2018-2, Class B, 3.790%, 4/26/2027, 144A | $ | 1,730,904 | ||||
1,010,000 | SoFi Consumer Loan Program Trust, Series2018-4, Class C, 4.170%, 11/26/2027, 144A | 1,051,939 | ||||||
1,122,323 | Sprite Ltd., Series2017-1, Class B, 5.750%, 12/15/2037, 144A(a) | 1,152,844 | ||||||
1,638,583 | TAL Advantage V LLC, Series2013-2A, Class A, 3.550%, 11/20/2038, 144A(a) | 1,659,109 | ||||||
237,832 | Thunderbolt Aircraft Lease Ltd., Series2017-A, Class B, 5.750%, 5/17/2032, 144A(c) | 245,627 | ||||||
5,770,000 | Verizon Owner Trust, Series2017-3A, Class A1B,1-month LIBOR + 0.270%, 2.653%, 4/20/2022, 144A(a)(b) | 5,769,994 | ||||||
1,110,623 | Wave LLC, Series2017-1A, Class B, 5.682%, 11/15/2042, 144A(a) | 1,146,881 | ||||||
|
| |||||||
75,405,563 | ||||||||
|
| |||||||
ABS Student Loan — 0.5% |
| |||||||
1,065,968 | Navient Student Loan Trust, Series18-4A, Class A1,1-month LIBOR + 0.250%, 2.654%, 6/27/2067, 144A(a)(b) | 1,065,334 | ||||||
944,000 | SLM Private Credit Student Loan Trust, Series2003-A, Class A3,28-day ARS, 5.260%, 6/15/2032(a)(b)(e) | 943,717 | ||||||
2,602,000 | SLM Private Credit Student Loan Trust, Series2003-B, Class A3,28-day ARS, 5.280%, 3/15/2033(a)(b)(e) | 2,601,219 | ||||||
282,000 | SLM Private Credit Student Loan Trust, Series2003-B, Class A4,28-day ARS, 5.290%, 3/15/2033(b)(e) | 281,915 | ||||||
997,568 | SMB Private Education Loan Trust, Series18-C, Class A1,1-month LIBOR + 0.300%, 2.694%, 9/15/2025, 144A(a)(b) | 997,474 | ||||||
1,350,000 | SMB Private Education Loan Trust, Series2017-B, Class A2B,1-month LIBOR + 0.750%, 3.144%, 10/15/2035, 144A(a)(b) | 1,349,469 | ||||||
82,106 | SoFi Professional Loan Program LLC, Series2014-B, Class A1,1-month LIBOR + 1.250%, 3.654%, 8/25/2032, 144A(a)(b) | 82,326 | ||||||
367,185 | SoFi Professional Loan Program LLC, Series2015-A, Class A1,1-month LIBOR + 1.200%, 3.604%, 3/25/2033, 144A(a)(b) | 368,002 | ||||||
1,115,533 | SoFi Professional Loan Program LLC, Series2016-A, Class B, 3.570%, 1/26/2038, 144A(a) | 1,106,809 | ||||||
|
| |||||||
8,796,265 | ||||||||
|
| |||||||
ABS Whole Business — 1.5% |
| |||||||
4,318,631 | Adams Outdoor Advertising LP, Series2018-1, Class A, 4.810%, 11/15/2048, 144A | 4,594,875 | ||||||
3,444,700 | Coinstar Funding LLC, Series2017-1A, Class A2, 5.216%, 4/25/2047, 144A(a) | 3,526,951 | ||||||
318,330 | Domino’s Pizza Master Issuer LLC, Series2017-1A, Class A23, 4.118%, 7/25/2047 | 330,579 | ||||||
1,494,900 | Driven Brands Funding LLC, Series2018-1A, Class A2, 4.739%, 4/20/2048, 144A | 1,568,031 | ||||||
2,168,613 | Five Guys Funding LLC, Series2017-1A, Class A2, 4.600%, 7/25/2047, 144A | 2,252,810 | ||||||
3,002,313 | Planet Fitness Master Issuer LLC, Series2018-1A, Class A2I, 4.262%, 9/05/2048, 144A | 3,092,952 | ||||||
2,601,300 | Stack Infrastructure Issuer LLC, Series2019-1A, Class A2, 4.540%, 2/25/2044, 144A | 2,708,273 |
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Whole Business — continued |
| |||||||
$ | 5,572,000 | Taco Bell Funding LLC, Series2018-1A, Class A2I, 4.318%, 11/25/2048, 144A | $ | 5,779,780 | ||||
897,750 | Wingstop Funding LLC, Series2018-1, Class A2, 4.970%, 12/05/2048, 144A | 943,517 | ||||||
|
| |||||||
24,797,768 | ||||||||
|
| |||||||
Aerospace & Defense — 1.6% |
| |||||||
7,380,000 | Boeing Co.(The), 2.700%, 5/01/2022 | 7,486,212 | ||||||
3,425,000 | General Dynamics Corp.,3-month LIBOR + 0.290%, 2.825%, 5/11/2020(a)(b) | 3,432,825 | ||||||
3,425,000 | General Dynamics Corp.,3-month LIBOR + 0.380%, 2.915%, 5/11/2021(a)(b) | 3,437,858 | ||||||
2,550,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 2,486,250 | ||||||
8,700,000 | Rolls-Royce PLC, 2.375%, 10/14/2020, 144A | 8,685,036 | ||||||
|
| |||||||
25,528,181 | ||||||||
|
| |||||||
Agency Commercial Mortgage-Backed Securities — 0.1% |
| |||||||
49,454,220 | Government National Mortgage Association, Series2012-135, Class IO, 0.580%, 1/16/2053(a)(c)(j) | 1,780,426 | ||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
4,037,938 | Latam Airlines Pass Through Trust, Series2015-1, Class B, 4.500%, 8/15/2025 | 3,997,559 | ||||||
|
| |||||||
Automotive — 4.6% |
| |||||||
5,785,000 | BMW U.S. Capital LLC,3-month LIBOR + 0.410%, 2.820%, 9/13/2019, 144A(a)(b) | 5,789,327 | ||||||
5,985,000 | BMW U.S. Capital LLC,3-month LIBOR + 0.410%, 3.014%, 4/12/2021, 144A(a)(b) | 5,990,159 | ||||||
3,135,000 | Daimler Finance North America LLC, 3.100%, 5/04/2020, 144A | 3,151,687 | ||||||
4,780,000 | Daimler Finance North America LLC, 3.400%, 2/22/2022, 144A | 4,877,201 | ||||||
3,585,000 | General Motors Financial Co., Inc.,3-month LIBOR + 0.850%, 3.442%, 4/09/2021(b) | 3,583,364 | ||||||
4,765,000 | General Motors Financial Co., Inc., 3.700%, 11/24/2020 | 4,826,574 | ||||||
7,750,000 | Hyundai Capital America, 3.950%, 2/01/2022, 144A | 7,955,587 | ||||||
5,955,000 | Nissan Motor Acceptance Corp.,3-month LIBOR + 0.580%, 3.177%, 1/13/2020, 144A(a)(b) | 5,963,032 | ||||||
6,865,000 | Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A | 7,028,251 | ||||||
7,925,000 | Toyota Industries Corp., 3.110%, 3/12/2022, 144A(a) | 8,065,573 | ||||||
3,310,000 | Toyota Motor Credit Corp., MTN,3-month LIBOR + 1.500%, 2.754%, 10/09/2020(b) | 3,310,431 | ||||||
12,395,000 | Toyota Motor Credit Corp., MTN,3-month LIBOR + 0.280%, 2.877%, 4/13/2021(a)(b) | 12,433,534 | ||||||
|
| |||||||
72,974,720 | ||||||||
|
| |||||||
Banking — 7.0% |
| |||||||
3,375,000 | American Express Co., 3.000%, 2/22/2021 | 3,411,961 | ||||||
4,910,000 | American Express Co.,3-month LIBOR + 0.600%, 3.165%, 11/05/2021(b) | 4,935,242 | ||||||
44,895,000 | Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 2.500%, 50.417%, 1/12/2020, 144A, (ARS)(b) | 923,164 |
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Banking — continued |
| |||||||
44,570,000 | Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 51.250%, 11/07/2022, 144A, (ARS)(b) | $ | 885,026 | |||||
21,970,000 | Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS) | 312,902 | ||||||
46,000,000 | Banco Supervielle S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.500%, 47.667%, 8/09/2020, 144A, (ARS)(b) | 992,117 | ||||||
2,425,000 | Bank of America Corp., MTN,3-month LIBOR + 0.650%, 2.999%, 6/25/2022(b) | 2,431,995 | ||||||
7,325,000 | Bank of New York Mellon Corp. (The),3-month EURIBOR + 0.300%, 2.803%, 12/04/2020(a)(b) | 7,332,421 | ||||||
2,415,000 | Barclays Bank PLC, 2.650%, 1/11/2021 | 2,421,754 | ||||||
5,895,000 | Citibank NA,3-month LIBOR + 0.350%, 2.885%, 2/12/2021(a)(b) | 5,893,577 | ||||||
5,245,000 | Citibank NA, (fixed rate to 2/19/2021, variable rate thereafter), 3.165%, 2/19/2022 | 5,310,658 | ||||||
4,885,000 | Citigroup, Inc., 2.350%, 8/02/2021 | 4,881,860 | ||||||
7,975,000 | Citizens Bank NA, 3.250%, 2/14/2022(a) | 8,129,772 | ||||||
6,860,000 | HSBC Holdings PLC,3-month LIBOR + 0.650%, 3.086%, 9/11/2021(a)(b) | 6,866,343 | ||||||
2,550,000 | JPMorgan Chase & Co.,3-month LIBOR + 0.680%, 3.200%, 6/01/2021(a)(b) | 2,558,033 | ||||||
3,755,000 | JPMorgan Chase Bank NA,3-month LIBOR + 0.230%, 2.750%, 9/01/2020(a)(b) | 3,755,853 | ||||||
3,960,000 | JPMorgan Chase Bank NA, (fixed rate to 4/26/2020, variable rate thereafter), 3.086%, 4/26/2021(a) | 3,982,255 | ||||||
6,280,000 | KeyBank NA, 3.300%, 2/01/2022 | 6,445,130 | ||||||
2,430,000 | Mitsubishi UFJ Financial Group, Inc., 3.218%, 3/07/2022 | 2,481,278 | ||||||
6,720,000 | Mitsubishi UFJ Financial Group, Inc.,3-month LIBOR + 0.650%, 3.236%, 7/26/2021(a)(b) | 6,746,711 | ||||||
8,035,000 | PNC Bank NA,3-month LIBOR + 0.350%, 2.786%, 3/12/2021(b) | 8,042,633 | ||||||
3,460,000 | Standard Chartered PLC,3-month LIBOR + 1.150%, 3.742%, 1/20/2023, 144A(b) | 3,455,294 | ||||||
3,460,000 | Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), 4.247%, 1/20/2023, 144A | 3,571,689 | ||||||
8,070,000 | Sumitomo Mitsui Financial Group, Inc., 2.846%, 1/11/2022(a) | 8,158,961 | ||||||
4,475,000 | Synchrony Financial, 5.150%, 3/19/2029 | 4,822,126 | ||||||
3,510,000 | Wells Fargo Bank NA, 3.625%, 10/22/2021(a) | 3,609,158 | ||||||
|
| |||||||
112,357,913 | ||||||||
|
| |||||||
Brokerage — 0.2% |
| |||||||
3,140,000 | Ameriprise Financial, Inc., 3.000%, 3/22/2022 | 3,197,626 | ||||||
|
| |||||||
Chemicals — 0.5% |
| |||||||
10,180,000 | Hexion, Inc., 6.625%, 4/15/2020(k) | 7,889,500 | ||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 0.2% |
| |||||||
3,542,569 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 6A3, 4.905%, 10/25/2035(c) | 3,626,023 | ||||||
|
| |||||||
Construction Machinery — 1.2% |
| |||||||
3,050,000 | Caterpillar Financial Services Corp., GMTN,3-month LIBOR + 0.290%, 2.793%, 9/04/2020(a)(b) | 3,055,173 | ||||||
2,400,000 | Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021 | 2,447,733 |
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Construction Machinery — continued |
| |||||||
$ | 6,350,000 | John Deere Capital Corp., MTN,3-month LIBOR + 0.240%, 2.676%, 3/12/2021(a)(b) | $ | 6,349,175 | ||||
6,875,000 | John Deere Capital Corp., MTN, 3.125%, 9/10/2021(a) | 7,014,509 | ||||||
|
| |||||||
18,866,590 | ||||||||
|
| |||||||
Consumer Cyclical Services — 0.9% |
| |||||||
8,135,000 | Uber Technologies, Inc., 7.500%, 11/01/2023, 144A | 8,623,100 | ||||||
4,810,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 5,123,227 | ||||||
|
| |||||||
13,746,327 | ||||||||
|
| |||||||
Consumer Products — 0.5% |
| |||||||
7,040,000 | Unilever Capital Corp., 3.000%, 3/07/2022(a) | 7,201,146 | ||||||
|
| |||||||
Diversified Manufacturing — 0.5% |
| |||||||
7,945,000 | 3M Co., MTN, 2.750%, 3/01/2022(a) | 8,075,797 | ||||||
|
| |||||||
Electric — 1.0% |
| |||||||
6,455,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(a) | 7,439,387 | ||||||
8,230,000 | Florida Power & Light Co.,3-month LIBOR + 0.400%, 2.965%, 5/06/2022(b) | 8,233,732 | ||||||
|
| |||||||
15,673,119 | ||||||||
|
| |||||||
Finance Companies — 1.0% |
| |||||||
6,000,000 | Aircastle Ltd., 4.250%, 6/15/2026 | 6,069,290 | ||||||
6,500,000 | USAA Capital Corp., 3.000%, 7/01/2020, 144A(a) | 6,547,237 | ||||||
3,535,000 | USSA Capital Corp., MTN, 2.625%, 6/01/2021, 144A | 3,564,619 | ||||||
|
| |||||||
16,181,146 | ||||||||
|
| |||||||
Financial Other — 0.4% |
| |||||||
6,550,000 | Mitsubishi UFJ Lease & Finance Co. Ltd., 3.406%, 2/28/2022, 144A | 6,686,895 | ||||||
370,000 | Yanlord Land (HK) Co. Ltd., 5.875%, 1/23/2022 | 374,468 | ||||||
|
| |||||||
7,061,363 | ||||||||
|
| |||||||
Food & Beverage — 1.0% |
| |||||||
3,065,000 | Campbell Soup Co.,3-month LIBOR + 0.500%, 2.910%, 3/16/2020(a)(b) | 3,066,991 | ||||||
1,935,000 | Diageo Capital PLC, 3.000%, 5/18/2020 | 1,945,844 | ||||||
3,925,000 | General Mills, Inc., 3.200%, 4/16/2021 | 3,984,552 | ||||||
6,390,000 | NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A | 6,719,085 | ||||||
|
| |||||||
15,716,472 | ||||||||
|
| |||||||
Gaming — 0.2% |
| |||||||
2,945,000 | MGM China Holdings Ltd., 5.375%, 5/15/2024, 144A | 3,021,570 | ||||||
|
| |||||||
Government Owned – No Guarantee — 1.3% |
| |||||||
4,120,000 | Export-Import Bank of Korea,3-month LIBOR + 0.525%, 2.874%, 6/25/2022(b) | 4,126,461 | ||||||
18,670,000,000 | Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)(a) | 6,201,868 | ||||||
4,935,000 | Petrobras Global Finance BV, 5.750%, 2/01/2029 | 5,144,244 | ||||||
950,000 | Petrobras Global Finance BV, 7.250%, 3/17/2044 | 1,062,584 | ||||||
3,525,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 3,197,880 |
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Government Owned – No Guarantee — continued |
| |||||||
$ | 1,930,000 | YPF S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 48.750%, 7/07/2020, 144A(b) | $ | 680,182 | ||||
|
| |||||||
20,413,219 | ||||||||
|
| |||||||
Health Insurance — 0.6% |
| |||||||
6,900,000 | Cigna Corp.,3-month LIBOR + 0.650%, 3.060%, 9/17/2021, 144A(a)(b) | 6,902,911 | ||||||
3,125,000 | Humana, Inc., 2.500%, 12/15/2020 | 3,126,655 | ||||||
|
| |||||||
10,029,566 | ||||||||
|
| |||||||
Healthcare — 1.6% |
| |||||||
8,095,000 | Cigna Corp., 3.200%, 9/17/2020, 144A | 8,169,755 | ||||||
4,010,000 | CVS Health Corp., 2.800%, 7/20/2020 | 4,020,245 | ||||||
6,065,000 | CVS Health Corp.,3-month LIBOR + 0.630%, 3.083%, 3/09/2020(a)(b) | 6,079,717 | ||||||
6,065,000 | CVS Health Corp.,3-month LIBOR + 0.720%, 3.173%, 3/09/2021(a)(b) | 6,091,742 | ||||||
2,300,000 | Polaris Intermediate Corp., 8.500% PIK, 8.500% Cash, 12/01/2022, 144A(l) | 2,029,750 | ||||||
|
| |||||||
26,391,209 | ||||||||
|
| |||||||
Home Construction — 0.2% |
| |||||||
370,000 | CIFI Holdings Group Co. Ltd., 5.500%, 1/23/2022 | 366,883 | ||||||
740,000 | New Metro Global Ltd., 6.500%, 4/23/2021 | 747,452 | ||||||
740,000 | Shimao Property Holdings Ltd., 4.750%, 7/03/2022 | 745,264 | ||||||
370,000 | Sunac China Holdings Ltd., 7.350%, 7/19/2021 | 378,359 | ||||||
760,000 | Sunac China Holdings Ltd., 8.625%, 7/27/2020 | 781,829 | ||||||
|
| |||||||
3,019,787 | ||||||||
|
| |||||||
Independent Energy — 1.6% |
| |||||||
3,570,000 | Aker BP ASA, 4.750%, 6/15/2024, 144A | 3,679,599 | ||||||
950,000 | Bellatrix Exploration Ltd., 9.500% PIK, 3.000% Cash, 12/15/2023(d)(e)(f)(g)(l) | 627,000 | ||||||
4,155,000 | Bruin E&P Partners LLC, 8.875%, 8/01/2023, 144A | 3,490,200 | ||||||
9,230,000 | California Resources Corp., 8.000%, 12/15/2022, 144A | 6,957,112 | ||||||
2,075,000 | Gulfport Energy Corp., 6.000%, 10/15/2024 | 1,602,938 | ||||||
3,080,000 | Gulfport Energy Corp., 6.375%, 5/15/2025 | 2,383,150 | ||||||
2,315,000 | Jagged Peak Energy LLC, 5.875%, 5/01/2026 | 2,280,275 | ||||||
7,460,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A(d)(e)(k) | — | ||||||
4,420,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(d)(e)(k) | — | ||||||
3,620,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A | 2,353,000 | ||||||
3,465,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A | 2,243,587 | ||||||
|
| |||||||
25,616,861 | ||||||||
|
| |||||||
Industrial Other — 0.0% |
| |||||||
740,000 | CFLD Cayman Investment Ltd., 6.500%, 12/21/2020 | 743,739 | ||||||
|
| |||||||
Integrated Energy — 0.6% |
| |||||||
3,335,000 | Gran Tierra Energy International Holdings Ltd., 6.250%, 2/15/2025, 144A | 3,105,719 | ||||||
5,795,000 | Shell International Finance BV,3-month LIBOR + 0.350%, 2.786%, 9/12/2019(a)(b) | 5,799,611 | ||||||
|
| |||||||
8,905,330 | ||||||||
|
|
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Life Insurance — 2.3% |
| |||||||
$ | 4,545,000 | AEGON Funding Co. LLC, 5.750%, 12/15/2020 | $ | 4,757,638 | ||||
2,770,000 | AIA Group Ltd.,3-month LIBOR + 0.520%, 2.907%, 9/20/2021, 144A(b) | 2,767,313 | ||||||
7,735,000 | Jackson National Life Global Funding, 3.300%, 2/01/2022, 144A(a) | 7,914,029 | ||||||
2,420,000 | MassMutual Global Funding II, 2.500%, 4/13/2022, 144A(a) | 2,440,323 | ||||||
4,270,000 | Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A | 4,389,157 | ||||||
6,940,000 | New York Life Global Funding,3-month LIBOR + 0.160%, 2.479%, 10/01/2020, 144A(a)(b) | 6,942,053 | ||||||
6,780,000 | New York Life Global Funding,3-month LIBOR + 0.320%, 2.885%, 8/06/2021, 144A(a)(b) | 6,793,210 | ||||||
945,000 | New York Life Global Funding, 2.950%, 1/28/2021, 144A(a) | 955,717 | ||||||
|
| |||||||
36,959,440 | ||||||||
|
| |||||||
Local Authorities — 0.5% |
| |||||||
2,280,000 | Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A | 1,896,390 | ||||||
216,360,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 53.821%, 5/31/2022, (ARS)(b) | 4,193,184 | ||||||
67,000,000 | Provincia de Buenos Aires,3-month EURIBOR + 3.75%, 54.501%, 4/12/2025, 144A, (ARS)(b) | 1,248,829 | ||||||
|
| |||||||
7,338,403 | ||||||||
|
| |||||||
Lodging — 0.3% |
| |||||||
5,145,000 | Marriott International, Inc.,3-month LIBOR + 0.650%, 3.103%, 3/08/2021(b) | 5,159,081 | ||||||
|
| |||||||
Media Entertainment — 1.0% |
| |||||||
4,710,000 | Fox Corp., 3.666%, 1/25/2022, 144A | 4,867,391 | ||||||
1,700,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 1,780,784 | ||||||
8,685,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 9,225,120 | ||||||
|
| |||||||
15,873,295 | ||||||||
|
| |||||||
Midstream — 0.5% |
| |||||||
4,960,000 | Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A | 5,082,123 | ||||||
800,000 | Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027 | 971,150 | ||||||
2,160,000 | Transportadora de Gas del Sur S.A., 6.750%, 5/02/2025, 144A | 2,087,640 | ||||||
|
| |||||||
8,140,913 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities — 2.1% |
| |||||||
4,565,000 | CFCRE Commercial Mortgage Trust, Series2011-C1, Class D, 6.272%, 4/15/2044, 144A(a)(c) | 4,775,542 | ||||||
790,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D,1-month LIBOR + 3.600%, 5.994%, 1/15/2034, 144A(b) | 794,073 | ||||||
5,680,000 | Credit Suisse Mortgage Trust, Series2014-USA, Class E, 4.373%, 9/15/2037, 144A | 5,336,897 | ||||||
2,552,340 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.885%, 11/10/2046, 144A(a)(c) | 2,650,944 | ||||||
132,980 | JPMorgan Chase Commercial Mortgage Securities Trust,Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(c) | 132,909 | ||||||
1,570,000 | Morgan Stanley Capital I Trust, Series2011-C2, Class D, 5.668%, 6/15/2044, 144A(a)(c) | 1,598,771 | ||||||
2,515,000 | Morgan Stanley Capital I Trust, Series2011-C2, Class E, 5.668%, 6/15/2044, 144A(c) | 2,483,051 |
See accompanying notes to financial statements.
| 28
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Non-Agency Commercial Mortgage-Backed Securities — continued |
| |||||||
$ | 5,335,283 | Motel 6 Trust, Series 2017-M6MZ, Class M,1-month LIBOR + 6.927%, 9.321%, 8/15/2019, 144A(b) | $ | 5,380,520 | ||||
3,575,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E,1-month LIBOR + 4.150%, 6.544%, 11/15/2027, 144A(b) | 2,932,140 | ||||||
1,370,000 | UBS-Barclays Commercial Mortgage Trust, Series2012-C2, Class E, 5.048%, 5/10/2063, 144A(c)(g)(i) | 1,100,601 | ||||||
2,987,500 | WFRBS Commercial Mortgage Trust, Series2011-C2, Class D, 5.839%, 2/15/2044, 144A(a)(c) | 3,053,472 | ||||||
1,809,189 | WFRBS Commercial Mortgage Trust, Series2011-C3, Class D, 5.856%, 3/15/2044, 144A(c) | 1,632,938 | ||||||
450,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class C, 4.970%, 6/15/2045(c) | 460,411 | ||||||
950,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class E, 4.970%, 6/15/2045, 144A(c) | 838,371 | ||||||
|
| |||||||
33,170,640 | ||||||||
|
| |||||||
Oil Field Services — 0.2% |
| |||||||
872,000 | Bellatrix Exploration Ltd., 8.500%, 9/11/2023(d)(e)(f)(g) | 767,360 | ||||||
2,370,000 | Transocean Sentry Ltd., 5.375%, 5/15/2023, 144A | 2,372,962 | ||||||
|
| |||||||
3,140,322 | ||||||||
|
| |||||||
Pharmaceuticals — 1.9% |
| |||||||
8,040,000 | Bristol-Myers Squibb Co., 2.600%, 5/16/2022, 144A | 8,142,043 | ||||||
4,020,000 | Celgene Corp., 2.250%, 8/15/2021 | 4,006,783 | ||||||
4,010,000 | Celgene Corp., 2.875%, 8/15/2020 | 4,031,276 | ||||||
2,605,000 | Mylan NV, 5.250%, 6/15/2046 | 2,429,838 | ||||||
940,000 | Mylan, Inc., 5.200%, 4/15/2048 | 868,001 | ||||||
6,860,000 | Pfizer, Inc., 3.000%, 9/15/2021(a) | 6,997,269 | ||||||
6,170,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 4,195,292 | ||||||
|
| |||||||
30,670,502 | ||||||||
|
| |||||||
Property & Casualty Insurance — 0.7% |
| |||||||
6,000,000 | Berkshire Hathaway Finance Corp.,3-month LIBOR + 0.320%, 2.904%, 1/10/2020(a)(b) | 6,010,470 | ||||||
5,520,000 | Marsh & McLennan Cos., Inc., 3.500%, 12/29/2020 | 5,612,064 | ||||||
|
| |||||||
11,622,534 | ||||||||
|
| |||||||
Railroads — 0.3% |
| |||||||
4,675,000 | Union Pacific Corp., 2.950%, 3/01/2022 | 4,760,729 | ||||||
|
| |||||||
Real Estate Operations/Development — 0.1% |
| |||||||
600,000 | Easy Tactic Ltd., 7.000%, 4/25/2021 | 611,285 | ||||||
370,000 | Logan Property Holdings Co. Ltd., 5.250%, 2/23/2023 | 353,024 | ||||||
|
| |||||||
964,309 | ||||||||
|
| |||||||
Retailers — 0.9% |
| |||||||
1,463,000 | Alimentation Couche-Tard, Inc.,3-month LIBOR + 0.500%, 2.950%, 12/13/2019, 144A(a)(b) | 1,463,315 | ||||||
5,955,000 | Home Depot, Inc. (The),3-month LIBOR + 0.310%, 2.830%, 3/01/2022(b) | 5,965,353 | ||||||
6,635,000 | Walmart, Inc.,3-month LIBOR + 0.230%, 2.573%, 6/23/2021(a)(b) | 6,650,043 | ||||||
|
| |||||||
14,078,711 | ||||||||
|
|
See accompanying notes to financial statements.
29 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Sovereigns — 0.0% |
| |||||||
29,460,000 | Argentina Politica Monetaria, Argentina Central Bank7-day Repo Reference Rate, 61.779%, 6/21/2020, (ARS)(c) | $ | 678,804 | |||||
|
| |||||||
Student Loans — 0.2% |
| |||||||
3,340,371 | Massachusetts Educational Financing Authority, Series2018-A, Class A, 3.850%, 5/25/2033(a) | 3,573,229 | ||||||
|
| |||||||
Technology — 3.0% |
| |||||||
6,045,000 | Apple, Inc.,3-month LIBOR + 0.070%, 2.605%, 5/11/2020(a)(b) | 6,048,103 | ||||||
6,325,000 | Apple, Inc.,3-month LIBOR + 0.250%, 2.812%, 2/07/2020(a)(b) | 6,334,052 | ||||||
11,695,000 | Broadcom, Inc., 4.750%, 4/15/2029, 144A | 12,008,221 | ||||||
1,990,000 | CalAmp Corp., 2.000%, 8/01/2025, 144A | 1,609,623 | ||||||
530,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 461,100 | ||||||
230,000 | CommScope Technologies LLC, 6.000%, 6/15/2025, 144A | 215,558 | ||||||
3,015,000 | Flex Ltd., 4.875%, 6/15/2029 | 3,072,172 | ||||||
3,250,000 | Hewlett Packard Enterprise Co., 3.600%, 10/15/2020 | 3,292,763 | ||||||
6,000,000 | International Business Machines Corp.,3-month LIBOR + 0.230%, 2.812%, 1/27/2020(a)(b) | 6,006,330 | ||||||
8,280,000 | International Business Machines Corp., 2.850%, 5/13/2022 | 8,421,131 | ||||||
|
| |||||||
47,469,053 | ||||||||
|
| |||||||
Tobacco — 1.0% |
| |||||||
7,945,000 | Altria Group, Inc., 3.490%, 2/14/2022(a) | 8,170,699 | ||||||
8,210,000 | BAT Capital Corp., 2.297%, 8/14/2020 | 8,192,923 | ||||||
|
| |||||||
16,363,622 | ||||||||
|
| |||||||
Transportation Services — 0.7% |
| |||||||
5,050,000 | FedEx Corp., 3.400%, 1/14/2022 | 5,177,387 | ||||||
5,805,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.650%, 7/29/2021, 144A | 5,936,091 | ||||||
|
| |||||||
11,113,478 | ||||||||
|
| |||||||
Treasuries — 1.8% |
| |||||||
54,864,000,000 | Indonesia Treasury Bond, Series FR77, 8.125%, 5/15/2024, (IDR) | 4,085,431 | ||||||
380,700,000 | Republic of South Africa Government Bond, 8.500%, 1/31/2037, (ZAR)(a) | 24,668,122 | ||||||
|
| |||||||
28,753,553 | ||||||||
|
| |||||||
Wireless — 0.3% |
| |||||||
1,130,000 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 1,144,125 | ||||||
2,900,000 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | 3,110,250 | ||||||
|
| |||||||
4,254,375 | ||||||||
|
| |||||||
Wirelines — 0.7% |
| |||||||
4,070,000 | AT&T, Inc., 3.000%, 2/15/2022 | 4,135,112 | ||||||
1,200,000 | AT&T, Inc., 3.000%, 6/30/2022 | 1,221,014 | ||||||
1,245,000 | AT&T, Inc., 3.200%, 3/01/2022 | 1,271,501 | ||||||
4,670,000 | AT&T, Inc., 3.800%, 3/15/2022 | 4,844,831 | ||||||
|
| |||||||
11,472,458 | ||||||||
|
| |||||||
TotalNon-Convertible Bonds (Identified Cost $1,245,491,620) | 1,217,967,327 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 30
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Convertible Bonds — 1.0% | ||||||||
Cable Satellite — 0.5% |
| |||||||
$ | 4,280,000 | DISH Network Corp., 2.375%, 3/15/2024 | $ | 3,953,716 | ||||
3,625,000 | DISH Network Corp., 3.375%, 8/15/2026 | 3,524,167 | ||||||
|
| |||||||
7,477,883 | ||||||||
|
| |||||||
Diversified Manufacturing — 0.0% |
| |||||||
600,000 | Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024 | 576,530 | ||||||
|
| |||||||
Diversified Operations — 0.0% |
| |||||||
775,000 | RWT Holdings, Inc., 5.625%, 11/15/2019 | 779,716 | ||||||
|
| |||||||
Independent Energy — 0.2% |
| |||||||
1,280,000 | Chesapeake Energy Corp., 5.500%, 9/15/2026 | 1,021,668 | ||||||
385,000 | SM Energy Co., 1.500%, 7/01/2021 | 354,257 | ||||||
1,075,000 | Whiting Petroleum Corp., 1.250%, 4/01/2020 | 1,040,063 | ||||||
|
| |||||||
2,415,988 | ||||||||
|
| |||||||
Media Entertainment — 0.0% |
| |||||||
575,000 | Liberty Media Corp., 2.250%, 9/30/2046 | 307,299 | ||||||
|
| |||||||
Oil Field Services — 0.1% |
| |||||||
1,760,000 | Nabors Industries, Inc., 0.750%, 1/15/2024 | 1,255,390 | ||||||
|
| |||||||
Pharmaceuticals — 0.2% |
| |||||||
2,865,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 2,974,228 | ||||||
710,000 | Flexion Therapeutics, Inc., 3.375%, 5/01/2024 | 616,369 | ||||||
|
| |||||||
3,590,597 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $17,686,356) | 16,403,403 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $1,263,177,976) | 1,234,370,730 | |||||||
|
| |||||||
Senior Loans — 5.3% | ||||||||
Aerospace & Defense — 0.1% |
| |||||||
2,281,405 | Science Applications International Corp., 2018 Term Loan B,1-month LIBOR + 1.750%, 4.152%, 10/31/2025(b) | 2,265,002 | ||||||
|
| |||||||
Automotive — 0.1% |
| |||||||
2,289,395 | Truck Hero, Inc., 1st Lien Term Loan,1-month LIBOR + 3.750%, 6.152%, 4/21/2024(b) | 2,147,750 | ||||||
|
| |||||||
Building Materials — 0.7% |
| |||||||
2,336,294 | American Builders & Contractors Supply Co., Inc., 2018 Term Loan B,1-month LIBOR + 2.000%, 4.402%, 10/31/2023(b) | 2,300,268 | ||||||
3,278,502 | Hamilton Holdco LLC, 2018 Term Loan B,3-month LIBOR + 2.000%, 4.330%, 7/02/2025(b) | 3,253,914 | ||||||
5,140,788 | Jeld-Wen, Inc., 2017 1st Lien Term Loan,3-month LIBOR + 2.000%, 4.330%, 12/14/2024(b) | 5,109,943 | ||||||
|
| |||||||
10,664,125 | ||||||||
|
|
See accompanying notes to financial statements.
31 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Cable Satellite — 0.6% |
| |||||||
$ | 2,840,000 | Unitymedia Finance LLC, 2018 Term Loan E,1-month LIBOR + 2.000%, 4.394%, 6/01/2023(b) | $ | 2,831,934 | ||||
4,350,409 | Unitymedia Finance LLC, Term Loan B,1-month LIBOR + 2.250%, 4.644%, 9/30/2025(b) | 4,335,922 | ||||||
2,979,034 | Ziggo Secured Finance Partnership, USD Term Loan E,1-month LIBOR + 2.500%, 4.894%, 4/15/2025(b) | 2,916,058 | ||||||
|
| |||||||
10,083,914 | ||||||||
|
| |||||||
Chemicals — 0.2% |
| |||||||
3,364,285 | Axalta Coating Systems US Holdings, Inc., USD Term Loan B3,3-month LIBOR + 1.750%, 4.080%, 6/01/2024(b) | 3,321,188 | ||||||
|
| |||||||
Construction Machinery — 0.3% |
| |||||||
4,521,830 | United Rentals, Inc., Term Loan B,1-month LIBOR + 1.750%, 4.152%, 10/31/2025(b) | 4,517,580 | ||||||
|
| |||||||
Electric — 0.4% |
| |||||||
3,982,912 | AES Corp., 2018 Term Loan B,3-month LIBOR + 1.750%, 4.272%, 5/31/2022(b) | 3,973,950 | ||||||
2,752,337 | Vistra Operations Co. LLC, 1st Lien Term Loan B3, LIBOR + 2.000%, 4.397%, 12/31/2025(m) | 2,747,878 | ||||||
|
| |||||||
6,721,828 | ||||||||
|
| |||||||
Food & Beverage — 0.4% |
| |||||||
4,474,701 | Aramark Services, Inc., 2018 Term Loan B3,3-month LIBOR + 1.750%, 4.080%, 3/11/2025(b) | 4,455,684 | ||||||
2,320,160 | Post Holdings, Inc., 2017 Series A Incremental Term Loan,1-month LIBOR + 2.000%, 4.404%, 5/24/2024(b) | 2,307,260 | ||||||
|
| |||||||
6,762,944 | ||||||||
|
| |||||||
Healthcare — 0.4% |
| |||||||
1,120,050 | IQVIA, Inc., 2017 USD Term Loan B2,3-month LIBOR + 2.000%, 4.330%, 1/17/2025(b) | 1,117,250 | ||||||
4,696,322 | IQVIA, Inc., 2018 USD Term Loan B3,1-month LIBOR + 1.750%, 4.152%, 6/11/2025(b) | 4,665,983 | ||||||
|
| |||||||
5,783,233 | ||||||||
|
| |||||||
Independent Energy — 0.2% |
| |||||||
811,000 | California Resources Corp., 2017 1st Lien Term Loan,1-month LIBOR + 4.750%, 7.152%, 12/31/2022(b) | 773,929 | ||||||
3,740,000 | Gavilan Resources LLC, 2nd Lien Term Loan,1-month LIBOR + 6.000%, 8.402%, 3/01/2024(b) | 1,907,400 | ||||||
|
| |||||||
2,681,329 | ||||||||
|
| |||||||
Lodging — 0.1% |
| |||||||
848,588 | Wyndham Hotels & Resorts, Inc., Term Loan B,1-month LIBOR + 1.750%, 4.152%, 5/30/2025(b) | 845,541 | ||||||
|
| |||||||
Packaging — 0.1% |
| |||||||
1,686,250 | Berry Global, Inc., USD Term Loan U, 5/15/2026(n) | 1,673,789 | ||||||
|
|
See accompanying notes to financial statements.
| 32
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Pharmaceuticals — 0.3% |
| |||||||
$ | 1,187,025 | Catalent Pharma Solutions, Inc., Term Loan B2,1-month LIBOR + 2.250%, 4.652%, 5/18/2026(b) | $ | 1,186,040 | ||||
3,880,228 | Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan,1-week LIBOR + 2.250%, 4.635%, 1/31/2025(b) | 3,867,423 | ||||||
|
| |||||||
5,053,463 | ||||||||
|
| |||||||
Restaurants — 0.3% |
| |||||||
5,121,666 | 1011778 B.C. Unlimited Liability Co., Term Loan B3,1-month LIBOR + 2.250%, 4.652%, 2/16/2024(b) | 5,079,002 | ||||||
|
| |||||||
Technology — 0.6% |
| |||||||
3,808,808 | First Data Corp., 2017 USD Term Loan,1-month LIBOR + 2.000%, 4.404%, 7/08/2022(b) | 3,804,086 | ||||||
4,604,256 | Iron Mountain, Inc., 2018 Term Loan B,1-month LIBOR + 1.750%, 4.152%, 1/02/2026(b) | 4,466,128 | ||||||
925,576 | Microchip Technology, Inc., 2018 Term Loan B,1-month LIBOR + 2.000%, 4.410%, 5/29/2025(b) | 919,504 | ||||||
|
| |||||||
9,189,718 | ||||||||
|
| |||||||
Transportation Services — 0.3% |
| |||||||
4,171,707 | Uber Technologies, Inc., 2018 Incremental Term Loan,1-month LIBOR + 3.500%, 5.904%, 7/13/2023(b) | 4,165,616 | ||||||
|
| |||||||
Wireless — 0.2% |
| |||||||
3,908,961 | UPC Financing Partnership, USD Term Loan AR,1-month LIBOR + 2.500%, 4.894%, 1/15/2026(b) | 3,903,293 | ||||||
|
| |||||||
Total Senior Loans (Identified Cost $86,692,826) | 84,859,315 | |||||||
|
| |||||||
Collateralized Loan Obligations — 2.0% | ||||||||
4,569,933 | CVP Cascade CLO Ltd., Series2014-2A, Class A1R,3-month LIBOR + 1.200%, 3.801%, 7/18/2026, 144A(b) | 4,573,465 | ||||||
8,040,000 | Elevation CLO Ltd., Series2015-4A, Class AR,3-month LIBOR + 0.990%, 3.385%, 4/18/2027, 144A(b) | 8,040,005 | ||||||
824,327 | Halcyon Loan Advisors Funding Ltd., Series2013-1A, Class A1,3-month LIBOR + 1.150%, 3.747%, 4/15/2025, 144A(b) | 824,454 | ||||||
5,313,783 | Halcyon Loan Advisors Funding Ltd., Series2014-2A, Class A1BR,3-month LIBOR + 1.180%, 3.762%, 4/28/2025, 144A(b) | 5,320,478 | ||||||
3,685,000 | Jamestown CLO VII Ltd., Series2015-7A, Class A1R,3-month LIBOR + 0.830%, 3.410%, 7/25/2027, 144A(b) | 3,669,072 | ||||||
1,175,000 | Madison Park Funding Ltd., Series2014-12A, Class B1R,3-month LIBOR + 1.650%, 4.242%, 7/20/2026, 144A(b) | 1,177,286 | ||||||
4,085,000 | Mountain View CLO X Ltd., Series2015-10A, Class AR,3-month LIBOR + 0.820%, 3.417%, 10/13/2027, 144A(b) | 4,065,239 | ||||||
3,965,000 | Parallel Ltd., Series2015-1A, Class AR,3-month LIBOR + 0.850%, 3.442%, 7/20/2027, 144A(b) | 3,960,473 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $31,674,840) | 31,630,472 | |||||||
|
| |||||||
See accompanying notes to financial statements.
33 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Loan Participations — 0.3% | ||||||||
ABS Other — 0.3% |
| |||||||
$ | 5,146,606 | Harbour Aircraft Investments Ltd., Series2017-1, Class C, 8.000%, 11/15/2037(e) (Identified Cost $5,135,046) | $ | 5,189,236 | ||||
|
| |||||||
Shares | ||||||||
Preferred Stocks — 0.6% | ||||||||
Convertible Preferred Stocks — 0.3% | ||||||||
Food & Beverage — 0.2% |
| |||||||
42,272 | Bunge Ltd., 4.875% | 4,224,124 | ||||||
|
| |||||||
Midstream — 0.1% |
| |||||||
1,714 | Chesapeake Energy Corp., 5.750% | 819,749 | ||||||
2,329 | El Paso Energy Capital Trust I, 4.750% | 123,437 | ||||||
|
| |||||||
943,186 | ||||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $5,225,333) | 5,167,310 | |||||||
|
| |||||||
Non-Convertible Preferred Stocks — 0.3% | ||||||||
Cable Satellite — 0.3% |
| |||||||
4,040,000 | NBCUniversal Enterprise, Inc., 5.250%, 144A(a) (Identified Cost $4,040,000) | 4,136,960 | ||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $9,265,333) | 9,304,270 | |||||||
|
| |||||||
Common Stocks — 3.3% | ||||||||
Aerospace & Defense — 0.1% |
| |||||||
1,968 | Boeing Co. (The) | 716,372 | ||||||
|
| |||||||
Air Freight & Logistics — 0.0% |
| |||||||
3,223 | United Parcel Service, Inc., Class B | 332,839 | ||||||
|
| |||||||
Airlines — 0.0% |
| |||||||
13,754 | Southwest Airlines Co. | 698,428 | ||||||
|
| |||||||
Banks — 0.1% |
| |||||||
10,765 | Citigroup, Inc. | 753,873 | ||||||
6,499 | JPMorgan Chase & Co. | 726,588 | ||||||
|
| |||||||
1,480,461 | ||||||||
|
| |||||||
Beverages — 0.0% |
| |||||||
11,893 | Molson Coors Brewing Co., Class B | 666,008 | ||||||
|
| |||||||
Biotechnology — 0.1% |
| |||||||
9,301 | AbbVie, Inc. | 676,369 | ||||||
3,966 | Amgen, Inc. | 730,854 | ||||||
10,705 | Gilead Sciences, Inc. | 723,230 | ||||||
|
| |||||||
2,130,453 | ||||||||
|
|
See accompanying notes to financial statements.
| 34
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Shares | Description | Value (†) | ||||||
Capital Markets — 0.1% |
| |||||||
8,846 | LPL Financial Holdings, Inc. | $ | 721,568 | |||||
2,278 | Morgan Stanley | 99,799 | ||||||
|
| |||||||
821,367 | ||||||||
|
| |||||||
Chemicals — 0.1% |
| |||||||
8,460 | LyondellBasell Industries NV, Class A | 728,660 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.0% |
| |||||||
4,090 | Waste Management, Inc. | 471,863 | ||||||
|
| |||||||
Communications Equipment — 0.0% |
| |||||||
9,380 | Cisco Systems, Inc. | 513,367 | ||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
673,076 | Cemex SAB de CV, Sponsored ADR | 2,853,842 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% |
| |||||||
26,245 | H&R Block, Inc. | 768,978 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.0% |
| |||||||
8,235 | Verizon Communications, Inc. | 470,466 | ||||||
|
| |||||||
Electric Utilities — 0.1% |
| |||||||
17,029 | FirstEnergy Corp. | 729,011 | ||||||
23,456 | PPL Corp. | 727,371 | ||||||
4,971 | Southern Co. (The) | 274,797 | ||||||
|
| |||||||
1,731,179 | ||||||||
|
| |||||||
Electrical Equipment — 0.1% |
| |||||||
8,847 | Eaton Corp. PLC | 736,778 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
6,653 | CDW Corp. | 738,483 | ||||||
|
| |||||||
Food & Staples Retailing — 0.1% |
| |||||||
13,680 | Walgreens Boots Alliance, Inc. | 747,886 | ||||||
|
| |||||||
Health Care Providers & Services — 0.1% |
| |||||||
8,621 | AmerisourceBergen Corp. | 735,027 | ||||||
4,826 | McKesson Corp. | 648,566 | ||||||
2,904 | UnitedHealth Group, Inc. | 708,605 | ||||||
|
| |||||||
2,092,198 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.1% |
| |||||||
6,259 | Darden Restaurants, Inc. | 761,908 | ||||||
12,287 | Las Vegas Sands Corp. | 726,039 | ||||||
8,680 | Starbucks Corp. | 727,644 | ||||||
|
| |||||||
2,215,591 | ||||||||
|
| |||||||
Household Durables — 0.1% |
| |||||||
22,479 | PulteGroup, Inc. | 710,786 | ||||||
|
| |||||||
Industrial Conglomerates — 0.0% |
| |||||||
1,203 | Honeywell International, Inc. | 210,032 | ||||||
|
| |||||||
Insurance — 0.2% |
| |||||||
12,595 | Aflac, Inc. | 690,332 |
See accompanying notes to financial statements.
35 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Shares | Description | Value (†) | ||||||
Insurance — continued |
| |||||||
17,882 | Fidelity National Financial, Inc. | $ | 720,645 | |||||
14,936 | MetLife, Inc. | 741,871 | ||||||
7,277 | Principal Financial Group, Inc. | 421,484 | ||||||
6,943 | Prudential Financial, Inc. | 701,243 | ||||||
|
| |||||||
3,275,575 | ||||||||
|
| |||||||
IT Services — 0.3% |
| |||||||
3,930 | Accenture PLC, Class A | 726,146 | ||||||
4,325 | Automatic Data Processing, Inc. | 715,052 | ||||||
6,879 | Booz Allen Hamilton Holding Corp. | 455,459 | ||||||
5,580 | Broadridge Financial Solutions, Inc. | 712,455 | ||||||
9,238 | Leidos Holdings, Inc. | 737,654 | ||||||
2,738 | MasterCard, Inc., Class A | 724,283 | ||||||
8,359 | Paychex, Inc. | 687,862 | ||||||
4,226 | Visa, Inc., Class A | 733,422 | ||||||
|
| |||||||
5,492,333 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
2,480 | Thermo Fisher Scientific, Inc. | 728,326 | ||||||
|
| |||||||
Machinery — 0.1% |
| |||||||
4,302 | Cummins, Inc. | 737,105 | ||||||
4,580 | Illinois Tool Works, Inc. | 690,710 | ||||||
10,235 | PACCAR, Inc. | 733,440 | ||||||
|
| |||||||
2,161,255 | ||||||||
|
| |||||||
Media — 0.2% |
| |||||||
1,943 | CBS Corp., Class B | 96,956 | ||||||
16,774 | Comcast Corp., Class A | 709,205 | ||||||
7,128 | Nexstar Media Group, Inc., Class A | 719,928 | ||||||
9,187 | Omnicom Group, Inc. | 752,875 | ||||||
13,750 | Sinclair Broadcast Group, Inc., Class A | 737,412 | ||||||
|
| |||||||
3,016,376 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.2% |
| |||||||
349,549 | Bellatrix Exploration Ltd.(d)(e)(f)(g)(h) | 42,708 | ||||||
11,212 | ConocoPhillips | 683,932 | ||||||
1,884 | Dommo Energia S.A., Sponsored ADR(h) | 11,304 | ||||||
99,386 | Encana Corp. | 509,850 | ||||||
9,696 | Occidental Petroleum Corp. | 487,515 | ||||||
29,900 | Plains GP Holdings LP, Class A(h) | 746,603 | ||||||
73,856 | Whiting Petroleum Corp.(h) | 1,379,630 | ||||||
|
| |||||||
3,861,542 | ||||||||
|
| |||||||
Pharmaceuticals — 0.2% |
| |||||||
4,330 | Allergan PLC | 724,972 | ||||||
14,983 | Bristol-Myers Squibb Co. | 679,479 | ||||||
5,158 | Johnson & Johnson | 718,406 | ||||||
8,594 | Merck & Co., Inc. | 720,607 | ||||||
14,842 | Pfizer, Inc. | 642,956 | ||||||
|
| |||||||
3,486,420 | ||||||||
|
|
See accompanying notes to financial statements.
| 36
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Shares | Description | Value (†) | ||||||
REITs – Diversified — 0.1% |
| |||||||
30,549 | CoreCivic, Inc. | $ | 634,197 | |||||
18,081 | Gaming and Leisure Properties, Inc. | 704,797 | ||||||
30,677 | GEO Group, Inc. (The) | 644,524 | ||||||
3,717 | Outfront Media, Inc. | 95,862 | ||||||
|
| |||||||
2,079,380 | ||||||||
|
| |||||||
REITs – Storage — 0.0% |
| |||||||
21,451 | Iron Mountain, Inc. | 671,416 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
2,375 | Broadcom, Inc. | 683,667 | ||||||
4,727 | QUALCOMM, Inc. | 359,583 | ||||||
2,546 | Texas Instruments, Inc. | 292,179 | ||||||
|
| |||||||
1,335,429 | ||||||||
|
| |||||||
Software — 0.1% |
| |||||||
2,722 | Intuit, Inc. | 711,340 | ||||||
5,351 | Microsoft Corp. | 716,820 | ||||||
12,736 | Oracle Corp. | 725,570 | ||||||
|
| |||||||
2,153,730 | ||||||||
|
| |||||||
Specialty Retail — 0.1% |
| |||||||
2,192 | Best Buy Co., Inc. | 152,848 | ||||||
3,465 | Home Depot, Inc. (The) | 720,616 | ||||||
|
| |||||||
873,464 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.1% |
| |||||||
844 | Apple, Inc. | 167,044 | ||||||
49,216 | Hewlett Packard Enterprise Co. | 735,779 | ||||||
35,331 | HP, Inc. | 734,532 | ||||||
|
| |||||||
1,637,355 | ||||||||
|
| |||||||
Tobacco — 0.0% |
| |||||||
14,570 | Altria Group, Inc. | 689,890 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $54,533,533) | 53,298,528 | |||||||
|
| |||||||
Exchange-Traded Funds — 0.5% | ||||||||
22,686 | Invesco QQQ Trust, Series 1 | 4,236,384 | ||||||
82,282 | iShares® ChinaLarge-Cap ETF | 3,519,201 | ||||||
|
| |||||||
Total Exchange-Traded Funds (Identified Cost $6,980,839) | 7,755,585 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Other Investments — 0.5% | ||||||||
Aircraft ABS — 0.5% | ||||||||
$ | 900 | ECAF I Blocker Ltd.(d)(e)(f)(g) (Identified Cost $9,000,000) | 7,776,000 | |||||
|
|
See accompanying notes to financial statements.
37 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Short-Term Investments — 14.0% | ||||||||
$ | 134,895,122 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $134,911,984 on 7/01/2019 collateralized by $1,105,000 U.S. Treasury Note, 2.250% due 4/30/2021 valued at $1,118,043; $25,485,000 U.S. Treasury Note, 1.625% due 8/31/2022 valued at $25,531,459; $23,335,000 U.S. Treasury Note, 1.625% due 8/15/2022 valued at $23,397,538; $75,000,000 U.S. Treasury Note, 2.125% due 12/31/2022 valued at $76,798,275; $10,320,000 U.S. Treasury Inflation Indexed Note, 0.625% due 4/15/2023 valued at $10,750,901 including accrued interest (Note 2 of Notes to Financial Statements) | $ | 134,895,122 | ||||
40,755,000 | U.S. Treasury Bills, 1.875%, 6/18/2020(o) | 40,004,703 | ||||||
40,705,000 | U.S. Treasury Bills, 1.900%, 5/21/2020(o) | 40,002,111 | ||||||
5,020,000 | U.S. Treasury Bills, 2.438%, 12/05/2019(a)(o) | 4,975,941 | ||||||
4,100,000 | U.S. Treasury Bills, 2.540%, 8/15/2019(o)(p) | 4,089,276 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $223,961,239) | 223,967,153 | |||||||
|
| |||||||
Total Investments — 103.6% (Identified Cost $1,690,421,632) | 1,658,151,289 | |||||||
Other assets less liabilities — (3.6)% | (57,560,062 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,600,591,227 | ||||||
|
|
Written Options — (0.0%) |
| |||||||||||||||||||||
Description | Expiration Date | Exercise Price | Shares (†††) | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||||
Options on Securities — (0.0%) |
| |||||||||||||||||||||
Accenture PLC, Call | 7/19/2019 | 195.00 | (1,200 | ) | $ | (221,724 | ) | $ | (1,184 | ) | $ | (180 | ) | |||||||||
Accenture PLC, Call | 8/16/2019 | 190.00 | (1,200 | ) | (221,724 | ) | (3,260 | ) | (2,550 | ) | ||||||||||||
Accenture PLC, Call | 9/20/2019 | 200.00 | (1,200 | ) | (221,724 | ) | (1,928 | ) | (1,170 | ) | ||||||||||||
Aflac, Inc., Call | 8/16/2019 | 55.00 | (8,300 | ) | (454,923 | ) | (4,707 | ) | (10,998 | ) | ||||||||||||
Aflac, Inc., Call | 8/16/2019 | 52.50 | (4,100 | ) | (224,721 | ) | (1,792 | ) | (12,382 | ) | ||||||||||||
Allergan PLC, Call | 8/16/2019 | 150.00 | (2,800 | ) | (468,804 | ) | (9,650 | ) | (53,270 | ) | ||||||||||||
Altria Group, Inc., Call | 9/20/2019 | 55.00 | (7,200 | ) | (340,920 | ) | (2,499 | ) | (1,764 | ) | ||||||||||||
AmerisourceBergen Corp., Call | 7/19/2019 | 82.50 | (2,800 | ) | (238,728 | ) | (5,536 | ) | (10,500 | ) | ||||||||||||
AmerisourceBergen Corp., Call | 8/16/2019 | 85.00 | (2,800 | ) | (238,728 | ) | (5,937 | ) | (10,780 | ) | ||||||||||||
AmerisourceBergen Corp., Call | 8/16/2019 | 92.50 | (2,800 | ) | (238,728 | ) | (2,680 | ) | (2,800 | ) | ||||||||||||
Amgen, Inc., Call | 7/19/2019 | 185.00 | (1,300 | ) | (239,564 | ) | (2,154 | ) | (4,875 | ) | ||||||||||||
Amgen, Inc., Call | 8/16/2019 | 195.00 | (1,300 | ) | (239,564 | ) | (3,837 | ) | (3,263 | ) | ||||||||||||
Amgen, Inc., Call | 9/20/2019 | 200.00 | (1,300 | ) | (239,564 | ) | (3,168 | ) | (2,750 | ) | ||||||||||||
Apple, Inc., Call | 7/19/2019 | 205.00 | (200 | ) | (39,584 | ) | (311 | ) | (445 | ) | ||||||||||||
Apple, Inc., Call | 8/16/2019 | 210.00 | (200 | ) | (39,584 | ) | (447 | ) | (675 | ) | ||||||||||||
Apple, Inc., Call | 9/20/2019 | 215.00 | (200 | ) | (39,584 | ) | (693 | ) | (745 | ) | ||||||||||||
Automatic Data Processing, Inc., Call | 8/16/2019 | 170.00 | (2,100 | ) | (347,193 | ) | (6,651 | ) | (7,245 | ) | ||||||||||||
Automatic Data Processing, Inc., Call | 8/16/2019 | 180.00 | (2,100 | ) | (347,193 | ) | (2,577 | ) | (1,837 | ) |
See accompanying notes to financial statements.
| 38
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Description | Expiration Date | Exercise Price | Shares (†††) | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||||||
Best Buy Co., Inc., Call | 7/19/2019 | 75.00 | (700 | ) | $ | (48,811 | ) | $ | (1,034 | ) | $ | (157 | ) | |||||||||||
Best Buy Co., Inc., Call | 7/19/2019 | 72.50 | (700 | ) | (48,811 | ) | (201 | ) | (483 | ) | ||||||||||||||
Best Buy Co., Inc., Call | 8/16/2019 | 75.00 | (700 | ) | (48,811 | ) | (313 | ) | (602 | ) | ||||||||||||||
Boeing Co. (The), Call | 7/19/2019 | 380.00 | (600 | ) | (218,406 | ) | (3,520 | ) | (1,692 | ) | ||||||||||||||
Boeing Co. (The), Call | 7/19/2019 | 400.00 | (600 | ) | (218,406 | ) | (736 | ) | (273 | ) | ||||||||||||||
Boeing Co. (The), Call | 8/16/2019 | 405.00 | (600 | ) | (218,406 | ) | (2,170 | ) | (1,344 | ) | ||||||||||||||
Booz Allen Hamilton Holding Corp., Call | 9/20/2019 | 70.00 | (3,400 | ) | (225,114 | ) | (4,010 | ) | (4,250 | ) | ||||||||||||||
Bristol-Myers Squibb Co., Call | 9/20/2019 | 52.50 | (9,700 | ) | (439,895 | ) | (5,037 | ) | (2,134 | ) | ||||||||||||||
Broadcom, Inc., Call | 7/19/2019 | 300.00 | (700 | ) | (201,502 | ) | (1,713 | ) | (2,590 | ) | ||||||||||||||
Broadcom, Inc., Call | 9/20/2019 | 310.00 | (700 | ) | (201,502 | ) | (4,709 | ) | (5,985 | ) | ||||||||||||||
Broadcom, Inc., Call | 9/20/2019 | 300.00 | (700 | ) | (201,502 | ) | (6,874 | ) | (8,610 | ) | ||||||||||||||
Broadridge Financial Solutions, Inc., Call | 9/20/2019 | 135.00 | (1,800 | ) | (229,824 | ) | (4,963 | ) | (4,545 | ) | ||||||||||||||
CBS Corp., Call | 7/19/2019 | 52.50 | (600 | ) | (29,940 | ) | (190 | ) | (129 | ) | ||||||||||||||
CBS Corp., Call | 9/20/2019 | 55.00 | (1,200 | ) | (59,880 | ) | (824 | ) | (774 | ) | ||||||||||||||
CDW Corp., Call | 9/20/2019 | 120.00 | (3,200 | ) | (355,200 | ) | (3,447 | ) | (6,160 | ) | ||||||||||||||
CDW Corp., Call | 9/20/2019 | 115.00 | (3,300 | ) | (366,300 | ) | (7,481 | ) | (11,880 | ) | ||||||||||||||
Cisco Systems, Inc., Call | 8/16/2019 | 60.00 | (4,600 | ) | (251,758 | ) | (3,483 | ) | (1,587 | ) | ||||||||||||||
Cisco Systems, Inc., Call | 9/20/2019 | 62.50 | (4,600 | ) | (251,758 | ) | (2,517 | ) | (1,242 | ) | ||||||||||||||
Citigroup, Inc., Call | 7/19/2019 | 72.50 | (3,500 | ) | (245,105 | ) | (620 | ) | (2,450 | ) | ||||||||||||||
Citigroup, Inc., Call | 9/20/2019 | 70.00 | (3,500 | ) | (245,105 | ) | (6,150 | ) | (10,763 | ) | ||||||||||||||
Citigroup, Inc., Call | 9/20/2019 | 72.50 | (3,500 | ) | (245,105 | ) | (3,735 | ) | (6,790 | ) | ||||||||||||||
Comcast Corp., Call | 7/19/2019 | 45.00 | (8,300 | ) | (350,924 | ) | (1,055 | ) | (373 | ) | ||||||||||||||
Comcast Corp., Call | 9/20/2019 | 47.50 | (8,300 | ) | (350,924 | ) | (2,217 | ) | (1,411 | ) | ||||||||||||||
ConocoPhillips, Call | 8/16/2019 | 67.50 | (5,600 | ) | (341,600 | ) | (1,608 | ) | (1,960 | ) | ||||||||||||||
ConocoPhillips, Call | 8/16/2019 | 65.00 | (5,600 | ) | (341,600 | ) | (3,863 | ) | (4,368 | ) | ||||||||||||||
Cummins, Inc., Call | 9/20/2019 | 175.00 | (1,400 | ) | (239,876 | ) | (3,734 | ) | (7,490 | ) | ||||||||||||||
Cummins, Inc., Call | 9/20/2019 | 185.00 | (1,400 | ) | (239,876 | ) | (2,712 | ) | (2,975 | ) | ||||||||||||||
Darden Restaurants, Inc., Call | 10/18/2019 | 130.00 | (3,000 | ) | (365,190 | ) | (9,051 | ) | (7,575 | ) | ||||||||||||||
Eaton Corp. PLC, Call | 8/16/2019 | 87.50 | (2,900 | ) | (241,512 | ) | (1,906 | ) | (2,175 | ) | ||||||||||||||
Eaton Corp. PLC, Call | 10/18/2019 | 90.00 | (2,900 | ) | (241,512 | ) | (2,588 | ) | (3,335 | ) | ||||||||||||||
Eaton Corp. PLC, Call | 10/18/2019 | 87.50 | (2,900 | ) | (241,512 | ) | (4,344 | ) | (5,510 | ) | ||||||||||||||
Fidelity National Financial, Inc., Call | 7/19/2019 | 42.00 | (5,900 | ) | (237,770 | ) | (1,578 | ) | (1,180 | ) | ||||||||||||||
Fidelity National Financial, Inc., Call | 9/20/2019 | 44.00 | (5,900 | ) | (237,770 | ) | (1,874 | ) | (2,065 | ) | ||||||||||||||
Fidelity National Information Services, Inc., Call | 9/20/2019 | 43.00 | (3,900 | ) | (157,170 | ) | (1,978 | ) | (1,852 | ) | ||||||||||||||
FirstEnergy Corp., Call | 7/19/2019 | 44.00 | (5,600 | ) | (239,736 | ) | (3,288 | ) | (1,400 | ) | ||||||||||||||
FirstEnergy Corp., Call | 7/19/2019 | 43.00 | (5,600 | ) | (239,736 | ) | (1,944 | ) | (3,500 | ) | ||||||||||||||
FirstEnergy Corp., Call | 7/19/2019 | 45.00 | (5,600 | ) | (239,736 | ) | (936 | ) | (560 | ) | ||||||||||||||
Gilead Sciences, Inc., Call | 7/19/2019 | 72.50 | (5,300 | ) | (358,068 | ) | (2,052 | ) | (901 | ) | ||||||||||||||
Gilead Sciences, Inc., Call | 8/16/2019 | 75.00 | (5,300 | ) | (358,068 | ) | (4,351 | ) | (2,465 | ) | ||||||||||||||
H+R Block, Inc., Call | 10/18/2019 | 30.00 | (25,900 | ) | (758,870 | ) | (19,091 | ) | (36,260 | ) | ||||||||||||||
Hewlett Packard Enterprise Co., Call | 8/16/2019 | 18.00 | (14,200 | ) | (212,290 | ) | (5,355 | ) | (426 | ) | ||||||||||||||
Honeywell International, Inc., Call | 7/19/2019 | 180.00 | (600 | ) | (104,754 | ) | (790 | ) | (717 | ) | ||||||||||||||
Honeywell International, Inc., Call | 9/20/2019 | 180.00 | (500 | ) | (87,295 | ) | (1,179 | ) | (1,650 | ) | ||||||||||||||
HP, Inc., Call | 8/16/2019 | 22.00 | (11,600 | ) | (241,164 | ) | (2,750 | ) | (2,900 | ) | ||||||||||||||
Illinois Tool Works, Inc., Call | 9/20/2019 | 170.00 | (1,500 | ) | (226,215 | ) | (1,781 | ) | (1,125 | ) | ||||||||||||||
Illinois Tool Works, Inc., Call | 9/20/2019 | 165.00 | (1,500 | ) | (226,215 | ) | (2,366 | ) | (2,175 | ) | ||||||||||||||
Illinois Tool Works, Inc., Call | 9/20/2019 | 160.00 | (1,500 | ) | (226,215 | ) | (4,301 | ) | (4,013 | ) |
See accompanying notes to financial statements.
39 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Description | Expiration Date | Exercise Price | Shares (†††) | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||||||
Intuit, Inc., Call | 7/19/2019 | 280.00 | (800 | ) | $ | (209,064 | ) | $ | (3,974 | ) | $ | (400 | ) | |||||||||||
Intuit, Inc., Call | 8/16/2019 | 280.00 | (800 | ) | (209,064 | ) | (1,654 | ) | (1,840 | ) | ||||||||||||||
Intuit, Inc., Call | 9/20/2019 | 290.00 | (800 | ) | (209,064 | ) | (2,214 | ) | (2,560 | ) | ||||||||||||||
Iron Mountain, Inc., Call | 10/18/2019 | 35.00 | (14,100 | ) | (441,330 | ) | (3,343 | ) | (3,173 | ) | ||||||||||||||
Johnson & Johnson, Call | 7/19/2019 | 145.00 | (1,700 | ) | (236,776 | ) | (1,848 | ) | (909 | ) | ||||||||||||||
Johnson & Johnson, Call | 8/16/2019 | 150.00 | (1,700 | ) | (236,776 | ) | (1,950 | ) | (748 | ) | ||||||||||||||
Johnson & Johnson, Call | 9/20/2019 | 150.00 | (1,700 | ) | (236,776 | ) | (2,923 | ) | (1,190 | ) | ||||||||||||||
JPMorgan Chase & Co., Call | 7/19/2019 | 120.00 | (2,100 | ) | (234,780 | ) | (1,275 | ) | (178 | ) | ||||||||||||||
Las Vegas Sands Corp., Call | 7/19/2019 | 62.50 | (4,000 | ) | (236,360 | ) | (1,788 | ) | (2,420 | ) | ||||||||||||||
Las Vegas Sands Corp., Call | 8/16/2019 | 65.00 | (4,000 | ) | (236,360 | ) | (2,828 | ) | (3,000 | ) | ||||||||||||||
Leidos Holdings, Inc., Call | 8/16/2019 | 85.00 | (4,600 | ) | (367,310 | ) | (3,943 | ) | (4,025 | ) | ||||||||||||||
LPL Financial Holdings, Inc., Call | 7/19/2019 | 90.00 | (4,300 | ) | (350,751 | ) | (2,911 | ) | (537 | ) | ||||||||||||||
LyondellBasell Industries NV, Call | 7/19/2019 | 90.00 | (2,700 | ) | (232,551 | ) | (2,713 | ) | (2,160 | ) | ||||||||||||||
LyondellBasell Industries NV, Call | 9/20/2019 | 90.00 | (5,500 | ) | (473,715 | ) | (6,379 | ) | (14,300 | ) | ||||||||||||||
MasterCard, Inc., Call | 7/19/2019 | 265.00 | (900 | ) | (238,077 | ) | (3,363 | ) | (4,410 | ) | ||||||||||||||
MasterCard, Inc., Call | 7/19/2019 | 280.00 | (900 | ) | (238,077 | ) | (537 | ) | (495 | ) | ||||||||||||||
MasterCard, Inc., Call | 9/20/2019 | 290.00 | (900 | ) | (238,077 | ) | (2,076 | ) | (2,475 | ) | ||||||||||||||
McKesson Corp., Call | 7/19/2019 | 140.00 | (1,500 | ) | (201,585 | ) | (734 | ) | (1,200 | ) | ||||||||||||||
McKesson Corp., Call | 8/16/2019 | 140.00 | (1,500 | ) | (201,585 | ) | (2,591 | ) | (4,575 | ) | ||||||||||||||
McKesson Corp., Call | 8/16/2019 | 145.00 | (1,500 | ) | (201,585 | ) | (1,710 | ) | (2,362 | ) | ||||||||||||||
Merck & Co., Inc., Call | 7/19/2019 | 85.00 | (2,800 | ) | (234,780 | ) | (832 | ) | (2,380 | ) | ||||||||||||||
Merck & Co., Inc., Call | 8/16/2019 | 87.50 | (5,600 | ) | (469,560 | ) | (8,608 | ) | (5,124 | ) | ||||||||||||||
MetLife, Inc., Call | 7/19/2019 | 50.00 | (4,900 | ) | (243,383 | ) | (3,563 | ) | (3,896 | ) | ||||||||||||||
MetLife, Inc., Call | 8/16/2019 | 52.50 | (9,800 | ) | (486,766 | ) | (3,304 | ) | (4,459 | ) | ||||||||||||||
Microsoft Corp., Call | 7/19/2019 | 135.00 | (1,700 | ) | (227,732 | ) | (2,001 | ) | (4,208 | ) | ||||||||||||||
Microsoft Corp., Call | 8/16/2019 | 145.00 | (1,700 | ) | (227,732 | ) | (1,814 | ) | (1,445 | ) | ||||||||||||||
Microsoft Corp., Call | 9/20/2019 | 150.00 | (1,700 | ) | (227,732 | ) | (1,610 | ) | (1,317 | ) | ||||||||||||||
Morgan Stanley, Call | 8/16/2019 | 47.00 | (700 | ) | (30,667 | ) | (173 | ) | (304 | ) | ||||||||||||||
Morgan Stanley, Call | 10/18/2019 | 48.00 | (700 | ) | (30,667 | ) | (397 | ) | (605 | ) | ||||||||||||||
Nexstar Media Group, Inc., Call | 8/16/2019 | 130.00 | (3,000 | ) | (303,000 | ) | (6,750 | ) | (7,200 | ) | ||||||||||||||
Occidental Petroleum Corp., Call | 8/16/2019 | 60.00 | (4,800 | ) | (241,344 | ) | (3,346 | ) | (720 | ) | ||||||||||||||
Omnicom Group, Inc., Call | 7/19/2019 | 87.50 | (2,800 | ) | (229,460 | ) | (3,016 | ) | (700 | ) | ||||||||||||||
Omnicom Group, Inc., Call | 7/19/2019 | 90.00 | (2,800 | ) | (229,460 | ) | (1,607 | ) | (630 | ) | ||||||||||||||
Omnicom Group, Inc., Call | 8/16/2019 | 87.50 | (3,000 | ) | (245,850 | ) | (1,611 | ) | (2,100 | ) | ||||||||||||||
Oracle Corp., Call | 8/16/2019 | 60.00 | (6,300 | ) | (358,911 | ) | (1,998 | ) | (2,173 | ) | ||||||||||||||
Oracle Corp., Call | 9/20/2019 | 62.50 | (6,300 | ) | (358,911 | ) | (2,439 | ) | (2,930 | ) | ||||||||||||||
Outfront Media, Inc., Call | 9/20/2019 | 30.00 | (3,700 | ) | (95,423 | ) | (951 | ) | (832 | ) | ||||||||||||||
PACCAR, Inc., Call | 8/16/2019 | 75.00 | (5,000 | ) | (358,300 | ) | (5,885 | ) | (6,000 | ) | ||||||||||||||
PACCAR, Inc., Call | 8/16/2019 | 77.50 | (5,000 | ) | (358,300 | ) | (3,285 | ) | (2,875 | ) | ||||||||||||||
Paychex, Inc., Call | 9/20/2019 | 92.50 | (2,700 | ) | (222,183 | ) | (1,401 | ) | (405 | ) | ||||||||||||||
Paychex, Inc., Call | 9/20/2019 | 90.00 | (2,700 | ) | (222,183 | ) | (2,884 | ) | (810 | ) | ||||||||||||||
Pfizer, Inc., Call | 9/20/2019 | 47.00 | (4,800 | ) | (207,936 | ) | (1,570 | ) | (1,224 | ) | ||||||||||||||
Pfizer, Inc., Call | 9/20/2019 | 46.00 | (9,700 | ) | (420,204 | ) | (5,501 | ) | (4,268 | ) | ||||||||||||||
Plains GP Holdings LP, Call | 8/16/2019 | 27.00 | (13,400 | ) | (334,598 | ) | (5,455 | ) | (2,680 | ) | ||||||||||||||
PPL Corp., Call | 7/19/2019 | 33.00 | (7,700 | ) | (238,777 | ) | (1,120 | ) | (385 | ) | ||||||||||||||
PPL Corp., Call | 10/18/2019 | 34.00 | (11,700 | ) | (362,817 | ) | (2,891 | ) | (2,340 | ) | ||||||||||||||
Principal Financial Group, Inc., Call | 7/19/2019 | 60.00 | (4,800 | ) | (278,016 | ) | (1,330 | ) | (2,160 | ) | ||||||||||||||
Principal Financial Group, Inc., Call | 10/18/2019 | 65.00 | (2,400 | ) | (139,008 | ) | (1,169 | ) | (1,500 | ) |
See accompanying notes to financial statements.
| 40
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Description | Expiration Date | Exercise Price | Shares (†††) | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||||||
Prudential Financial, Inc., Call | 9/20/2019 | 110.00 | (4,500 | ) | $ | (454,500 | ) | $ | (2,822 | ) | $ | (4,365 | ) | |||||||||||
PulteGroup, Inc., Call | 7/19/2019 | 34.00 | (7,400 | ) | (233,988 | ) | (1,755 | ) | (592 | ) | ||||||||||||||
PulteGroup, Inc., Call | 10/18/2019 | 35.00 | (14,800 | ) | (467,976 | ) | (14,165 | ) | (10,286 | ) | ||||||||||||||
QUALCOMM, Inc., Call | 7/19/2019 | 77.50 | (1,500 | ) | (114,105 | ) | (1,631 | ) | (2,498 | ) | ||||||||||||||
QUALCOMM, Inc., Call | 8/16/2019 | 80.00 | (1,500 | ) | (114,105 | ) | (2,381 | ) | (3,293 | ) | ||||||||||||||
QUALCOMM, Inc., Call | 10/18/2019 | 80.00 | (1,500 | ) | (114,105 | ) | (4,181 | ) | (5,363 | ) | ||||||||||||||
Sinclair Broadcast Group, Inc., Call | 9/20/2019 | 60.00 | (6,800 | ) | (364,684 | ) | (13,852 | ) | (13,770 | ) | ||||||||||||||
Southern Co. (The), Call | 8/16/2019 | 55.00 | (3,700 | ) | (204,536 | ) | (1,358 | ) | (5,421 | ) | ||||||||||||||
Southwest Airlines Co., Call | 9/20/2019 | 57.50 | (6,800 | ) | (345,304 | ) | (4,060 | ) | (3,400 | ) | ||||||||||||||
Southwest Airlines Co., Call | 9/20/2019 | 55.00 | (6,800 | ) | (345,304 | ) | (7,664 | ) | (6,800 | ) | ||||||||||||||
Starbucks Corp., Call | 7/19/2019 | 85.00 | (2,800 | ) | (234,724 | ) | (468 | ) | (2,464 | ) | ||||||||||||||
Starbucks Corp., Call | 7/19/2019 | 87.50 | (2,800 | ) | (234,724 | ) | (1,196 | ) | (770 | ) | ||||||||||||||
Starbucks Corp., Call | 8/16/2019 | 90.00 | (2,800 | ) | (234,724 | ) | (2,204 | ) | (1,820 | ) | ||||||||||||||
Texas Instruments, Inc., Call | 7/19/2019 | 120.00 | (800 | ) | (91,808 | ) | (454 | ) | (796 | ) | ||||||||||||||
Texas Instruments, Inc., Call | 10/18/2019 | 125.00 | (800 | ) | (91,808 | ) | (1,582 | ) | (1,928 | ) | ||||||||||||||
Texas Instruments, Inc., Call | 10/18/2019 | 120.00 | (800 | ) | (91,808 | ) | (2,734 | ) | (3,260 | ) | ||||||||||||||
Thermo Fisher Scientific, Inc., Call | 7/19/2019 | 300.00 | (1,200 | ) | (352,416 | ) | (5,120 | ) | (3,360 | ) | ||||||||||||||
Thermo Fisher Scientific, Inc., Call | 9/20/2019 | 320.00 | (500 | ) | (146,840 | ) | (1,833 | ) | (1,537 | ) | ||||||||||||||
Thermo Fisher Scientific, Inc., Call | 9/20/2019 | 310.00 | (600 | ) | (176,208 | ) | (4,000 | ) | (3,390 | ) | ||||||||||||||
United Parcel Service, Inc., Call | 8/16/2019 | 110.00 | (1,600 | ) | (165,232 | ) | (763 | ) | (1,904 | ) | ||||||||||||||
United Parcel Service, Inc., Call | 9/20/2019 | 115.00 | (1,600 | ) | (165,232 | ) | (459 | ) | (1,192 | ) | ||||||||||||||
UnitedHealth Group, Inc., Call | 7/19/2019 | 260.00 | (1,900 | ) | (463,619 | ) | (4,706 | ) | (2,128 | ) | ||||||||||||||
UnitedHealth Group, Inc., Call | 9/20/2019 | 260.00 | (900 | ) | (219,609 | ) | (6,364 | ) | (3,758 | ) | ||||||||||||||
Verizon Communications, Inc., Call | 9/20/2019 | 62.50 | (5,400 | ) | (308,502 | ) | (5,924 | ) | (1,485 | ) | ||||||||||||||
Verizon Communications, Inc., Call | 9/20/2019 | 60.00 | (2,700 | ) | (154,251 | ) | (2,935 | ) | (1,890 | ) | ||||||||||||||
Visa, Inc., Call | 7/19/2019 | 180.00 | (1,300 | ) | (225,615 | ) | (880 | ) | (572 | ) | ||||||||||||||
Visa, Inc., Call | 9/20/2019 | 185.00 | (1,300 | ) | (225,615 | ) | (2,557 | ) | (2,366 | ) | ||||||||||||||
Walgreens Boots Alliance, Inc., Call | 7/19/2019 | 57.50 | (13,500 | ) | (738,045 | ) | (7,026 | ) | (3,038 | ) | ||||||||||||||
Waste Management, Inc., Call | 10/18/2019 | 125.00 | (1,300 | ) | (149,981 | ) | (1,790 | ) | (1,397 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | (445,559 | ) | $ | (516,500 | ) | ||||||||||||||||||
|
|
|
|
(‡) | 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. | |||||
(a) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. | |||||
(b) | Variable rate security. Rate as of June 30, 2019 is disclosed. | |||||
(c) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2019 is disclosed. | |||||
(d) | Fair valued by the Fund’s adviser. At June 30, 2019, the value of these securities amounted to $17,672,517 or 1.1% of net assets. See Note 2 of Notes to Financial Statements. | |||||
(e) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
See accompanying notes to financial statements.
41 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
(f) | Securities subject to restriction on resale. At June 30, 2019, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||
Bellatrix Exploration Ltd., 9.500% PIK, 3.000% Cash | 6/04/2019 | $ | 627,000 | $ | 627,000 | Less than 0.1% | ||||||||
Bellatrix Exploration Ltd., 8.500% | 6/04/2019 | 854,560 | 767,360 | Less than 0.1% | ||||||||||
Bellatrix Exploration Ltd. | 6/04/2019 | 439,289 | 42,708 | Less than 0.1% | ||||||||||
ECAF I Blocker Ltd. | 6/18/2015 | 9,000,000 | 7,776,000 | 0.5% | ||||||||||
GCA2014 Holdings Ltd., Series2014-1, Class C | 12/18/2014 | 2,190,580 | 1,748,083 | 0.1% | ||||||||||
GCA2014 Holdings Ltd., Series2014-1, Class D | 12/18/2014 | 912,920 | 456,551 | Less than 0.1% | ||||||||||
GCA2014 Holdings Ltd., Series2014-1, Class E | 12/18/2014 | 2,657,606 | — | — |
(g) | Illiquid security. | |||||||
(h) | Non-income producing security. | |||||||
(i) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2019, the value of these securities amounted to $2,075,638 or 0.1% of net assets. See Note 2 of Notes to Financial Statements. | |||||||
(j) | Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period. | |||||||
(k) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||||||
(l) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended June 30, 2019, interest payments were made in cash. | |||||||
(m) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2019. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. | |||||||
(n) | Position is unsettled. Contract rate was not determined at June 30, 2019 and does not take effect until settlement date. Maturity date is not finalized until settlement date. | |||||||
(o) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
(p) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. | |||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019, the value of Rule 144A holdings amounted to $587,726,140 or 36.7% of net assets. | |||||||
ABS | Asset-Backed Securities | |||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |||||||
ARS | Auction Rate Security | |||||||
ETF | Exchange-Traded Fund | |||||||
EURIBOR | Euro Interbank Offered Rate | |||||||
GMTN | Global Medium Term Note | |||||||
LIBOR | London Interbank Offered Rate | |||||||
MTN | Medium Term Note |
See accompanying notes to financial statements.
| 42
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
PIK | Payment-in-Kind | |||||||
REITs | Real Estate Investment Trusts | |||||||
SLM | Sallie Mae | |||||||
ARS | Argentine Peso | |||||||
BRL | Brazilian Real | |||||||
CAD | Canadian Dollar | |||||||
CHF | Swiss Franc | |||||||
CLP | Chilean Peso | |||||||
CNY | Chinese Yuan Renminbi | |||||||
COP | Colombian Peso | |||||||
CZK | Czech Koruna | |||||||
EUR | Euro | |||||||
GBP | British Pound | |||||||
HUF | Hungarian Forint | |||||||
IDR | Indonesian Rupiah | |||||||
INR | Indian Rupee | |||||||
JPY | Japanese Yen | |||||||
KRW | South Korean Won | |||||||
MXN | Mexican Peso | |||||||
MYR | Malaysian Ringgit | |||||||
NOK | Norwegian Krone | |||||||
PEN | Peruvian Sol | |||||||
PHP | Philippine Peso | |||||||
PLN | Polish Zloty | |||||||
SEK | Swedish Krona | |||||||
SGD | Singapore Dollar | |||||||
TRY | Turkish Lira | |||||||
USD | U.S. Dollar | |||||||
ZAR | South African Rand |
At June 30, 2019, 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) | |||||||||||||||||
Bank of America, N.A. | Enel SpA | (1.00%) | 6/20/2023 | 6,100,000 EUR | $ | (2,783 | ) | $ | (125,652 | ) | $ | (122,869 | ) | |||||||||||
Morgan Stanley Capital Services, Inc. | Enel SpA | (1.00%) | 12/20/2023 | 6,115,000 EUR | 36,395 | (109,478 | ) | (145,873 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||
Total |
| $ | (235,130 | ) | $ | (268,742 | ) | |||||||||||||||||
|
|
|
|
(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
1 | Payments are made quarterly. |
See accompanying notes to financial statements.
43 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
At June 30, 2019, 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. | 7/10/2019 | ARS | B | 36,440,000 | $ | 784,123 | $ | 847,074 | $ | 62,951 | ||||||||||||||||
Bank of America, N.A. | 7/10/2019 | ARS | S | 36,440,000 | 828,558 | 847,074 | (18,516 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/17/2019 | BRL | B | 1,255,000 | 327,334 | 326,378 | (956 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/17/2019 | BRL | S | 1,255,000 | 326,381 | 326,378 | 3 | |||||||||||||||||||
Bank of America, N.A. | 7/18/2019 | CAD | S | 3,020,000 | 2,262,353 | 2,307,023 | (44,670 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | COP | B | 1,065,915,000 | 321,475 | 331,630 | 10,155 | |||||||||||||||||||
Bank of America, N.A. | 7/15/2019 | COP | B | 527,775,000 | 161,498 | 164,122 | 2,624 | |||||||||||||||||||
Bank of America, N.A. | 7/22/2019 | COP | B | 1,058,865,000 | 323,861 | 329,087 | 5,226 | |||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | COP | S | 1,065,915,000 | 327,359 | 331,630 | (4,271 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/15/2019 | COP | S | 527,775,000 | 162,018 | 164,122 | (2,104 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/22/2019 | COP | S | 1,058,865,000 | 329,998 | 329,087 | 911 | |||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | CZK | B | 18,905,000 | 839,018 | 845,540 | 6,522 | |||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | CZK | S | 18,905,000 | 826,710 | 845,540 | (18,830 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/10/2019 | IDR | B | 30,015,240,000 | 2,086,576 | 2,122,781 | 36,205 | |||||||||||||||||||
Bank of America, N.A. | 7/10/2019 | IDR | S | 30,015,240,000 | 2,121,518 | 2,122,781 | (1,263 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | INR | B | 149,055,000 | 2,125,107 | 2,157,615 | 32,508 | |||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | INR | S | 149,055,000 | 2,139,342 | 2,157,615 | (18,273 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | KRW | B | 962,390,000 | 826,512 | 833,645 | 7,133 | |||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | KRW | S | 962,390,000 | 814,997 | 833,645 | (18,648 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/15/2019 | NOK | B | 98,105,000 | 11,552,148 | 11,505,603 | (46,545 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | PEN | B | 4,900,000 | 1,449,147 | 1,487,766 | 38,619 | |||||||||||||||||||
Bank of America, N.A. | 7/08/2019 | PEN | S | 4,900,000 | 1,460,942 | 1,487,766 | (26,824 | ) | ||||||||||||||||||
Bank of America, N.A. | 7/03/2019 | PHP | B | 67,420,000 | 1,292,686 | 1,315,857 | 23,171 | |||||||||||||||||||
Bank of America, N.A. | 7/03/2019 | PHP | S | 67,420,000 | 1,309,330 | 1,315,857 | (6,527 | ) | ||||||||||||||||||
Barclays Bank PLC | 7/15/2019 | CAD | B | 645,000 | 481,972 | 492,691 | 10,719 | |||||||||||||||||||
Barclays Bank PLC | 7/15/2019 | CAD | S | 645,000 | 485,787 | 492,691 | (6,904 | ) | ||||||||||||||||||
Barclays Bank PLC | 7/08/2019 | EUR | B | 2,795,000 | 3,148,947 | 3,179,824 | 30,877 | |||||||||||||||||||
Barclays Bank PLC | 7/08/2019 | EUR | S | 2,795,000 | 3,170,089 | 3,179,824 | (9,735 | ) | ||||||||||||||||||
Barclays Bank PLC | 7/08/2019 | GBP | B | 2,175,000 | 2,767,986 | 2,762,997 | (4,989 | ) | ||||||||||||||||||
Barclays Bank PLC | 7/08/2019 | GBP | S | 2,050,000 | 2,607,538 | 2,604,204 | 3,334 | |||||||||||||||||||
Barclays Bank PLC | 7/08/2019 | GBP | S | 125,000 | 156,934 | 158,793 | (1,859 | ) | ||||||||||||||||||
Barclays Bank PLC | 7/10/2019 | JPY | B | 158,420,000 | 1,466,886 | 1,470,327 | 3,441 | |||||||||||||||||||
Barclays Bank PLC | 7/10/2019 | JPY | S | 158,420,000 | 1,475,569 | 1,470,327 | 5,242 | |||||||||||||||||||
Barclays Bank PLC | 8/23/2019 | PLN | B | 28,780,000 | 7,470,063 | 7,718,023 | 247,960 | |||||||||||||||||||
Barclays Bank PLC | 7/03/2019 | TRY | B | 8,455,000 | 1,422,704 | 1,458,550 | 35,846 | |||||||||||||||||||
Barclays Bank PLC | 7/03/2019 | TRY | S | 8,455,000 | 1,442,508 | 1,458,550 | (16,042 | ) | ||||||||||||||||||
Citibank N.A. | 7/08/2019 | SEK | B | 6,160,000 | 657,664 | 663,659 | 5,995 | |||||||||||||||||||
Citibank N.A. | 7/08/2019 | SEK | S | 6,160,000 | 653,421 | 663,658 | (10,237 | ) | ||||||||||||||||||
Citibank N.A. | 8/15/2019 | SGD | S | 45,150,000 | 32,988,712 | 33,395,202 | (406,490 | ) | ||||||||||||||||||
Credit Suisse International | 7/02/2019 | COP | B | 18,400,000,000 | 5,791,627 | 5,725,844 | (65,783 | ) | ||||||||||||||||||
Credit Suisse International | 7/02/2019 | COP | S | 18,400,000,000 | 5,447,978 | 5,725,844 | (277,866 | ) | ||||||||||||||||||
Credit Suisse International | 10/02/2019 | COP | S | 18,400,000,000 | 5,758,818 | 5,694,714 | 64,104 | |||||||||||||||||||
Deutsche Bank AG | 7/31/2019 | EUR | S | 2,000,000 | 2,246,510 | 2,279,666 | (33,156 | ) | ||||||||||||||||||
Deutsche Bank AG | 7/31/2019 | GBP | S | 5,095,000 | 6,609,896 | 6,479,833 | 130,063 |
See accompanying notes to financial statements.
| 44
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/10/2019 | ARS | B | 13,740,000 | $ | 292,589 | $ | 319,396 | $ | 26,807 | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/10/2019 | ARS | S | 13,740,000 | 314,416 | 319,396 | (4,980 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/08/2019 | CLP | B | 908,130,000 | 1,321,300 | 1,340,259 | 18,959 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/08/2019 | CLP | S | 908,130,000 | 1,290,395 | 1,340,259 | (49,864 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/10/2019 | CNY | B | 3,350,000 | 485,994 | 487,763 | 1,769 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/22/2019 | CNY | B | 1,110,000 | 161,279 | 161,619 | 340 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/10/2019 | CNY | S | 3,350,000 | 485,331 | 487,762 | (2,431 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/22/2019 | CNY | S | 1,110,000 | 161,674 | 161,618 | 56 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 9/30/2019 | GBP | S | 1,225,000 | 1,559,829 | 1,561,824 | (1,995 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/08/2019 | MXN | B | 6,400,000 | 333,446 | 333,117 | (329 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/08/2019 | MXN | S | 6,400,000 | 324,807 | 333,117 | (8,310 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/08/2019 | MYR | B | 2,045,000 | 492,761 | 494,822 | 2,061 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/15/2019 | MYR | B | 47,200,000 | 11,473,019 | 11,419,689 | (53,330 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/22/2019 | MYR | B | 1,345,000 | 323,511 | 325,379 | 1,868 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/08/2019 | MYR | S | 2,045,000 | 487,305 | 494,822 | (7,517 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/22/2019 | MYR | S | 1,345,000 | 324,562 | 325,379 | (817 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 7/31/2019 | ZAR | S | 361,810,000 | 24,956,544 | 25,595,813 | (639,269 | ) | ||||||||||||||||||
UBS AG | 7/08/2019 | CHF | B | 3,705,000 | 3,792,551 | 3,797,529 | 4,978 | |||||||||||||||||||
UBS AG | 7/08/2019 | CHF | S | 3,705,000 | 3,737,227 | 3,797,530 | (60,303 | ) | ||||||||||||||||||
UBS AG | 7/15/2019 | HUF | B | 2,146,330,000 | 7,563,599 | 7,560,867 | (2,732 | ) | ||||||||||||||||||
UBS AG | 7/15/2019 | HUF | S | 233,230,000 | 824,668 | 821,598 | 3,070 | |||||||||||||||||||
UBS AG | 7/15/2019 | HUF | S | 233,230,000 | 816,468 | 821,598 | (5,130 | ) | ||||||||||||||||||
UBS AG | 7/08/2019 | NOK | B | 17,815,000 | 2,049,999 | 2,088,823 | 38,824 | |||||||||||||||||||
UBS AG | 7/08/2019 | NOK | B | 38,320,000 | 4,495,146 | 4,493,050 | (2,096 | ) | ||||||||||||||||||
UBS AG | 7/08/2019 | NOK | S | 56,135,000 | 6,453,159 | 6,581,873 | (128,714 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total |
| $ | (1,145,964 | ) | ||||||||||||||||||||||
|
|
See accompanying notes to financial statements.
45 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
At June 30, 2019, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
E-mini S&P 500® | 9/20/2019 | 217 | $ | 31,748,747 | $ | 31,944,570 | $ | (195,823 | ) | |||||||||||
Ultra 10 Year U.S. Treasury Note | 9/19/2019 | 337 | 46,552,720 | 46,548,125 | 4,595 | |||||||||||||||
Ultra Long U.S. Treasury Bond | 9/19/2019 | 121 | 21,493,803 | 21,485,063 | 8,740 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (182,488 | ) | ||||||||||||||||
|
|
Industry Summary at June 30, 2019 (Unaudited)
ABS Car Loan | 11.6 | % | ||
ABS Home Equity | 8.8 | |||
Banking | 7.0 | |||
ABS Other | 5.0 | |||
Automotive | 4.7 | |||
Technology | 3.6 | |||
ABS Credit Card | 3.4 | |||
Pharmaceuticals | 2.6 | |||
Life Insurance | 2.3 | |||
Non-Agency Commercial Mortgage-Backed Securities | 2.1 | |||
Healthcare | 2.0 | |||
Independent Energy | 2.0 | |||
Other Investments, less than 2% each | 32.0 | |||
Short-Term Investments | 14.0 | |||
Collateralized Loan Obligations | 2.0 | |||
Exchange-Traded Funds | 0.5 | |||
|
| |||
Total Investments | 103.6 | |||
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts) | (3.6 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 46
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis U.S. Equity Opportunities Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 97.6% of Net Assets | ||||||||
Air Freight & Logistics — 2.1% |
| |||||||
274,631 | Expeditors International of Washington, Inc. | $ | 20,833,508 | |||||
|
| |||||||
Airlines — 1.0% |
| |||||||
298,100 | American Airlines Group, Inc. | 9,721,041 | ||||||
|
| |||||||
Automobiles — 2.8% |
| |||||||
1,015,200 | Fiat Chrysler Automobiles NV | 14,030,064 | ||||||
348,600 | General Motors Co. | 13,431,558 | ||||||
|
| |||||||
27,461,622 | ||||||||
|
| |||||||
Banks — 5.4% |
| |||||||
665,470 | Bank of America Corp. | 19,298,630 | ||||||
314,000 | Citigroup, Inc. | 21,989,420 | ||||||
255,800 | Wells Fargo & Co. | 12,104,456 | ||||||
|
| |||||||
53,392,506 | ||||||||
|
| |||||||
Beverages — 3.5% |
| |||||||
172,146 | Coca-Cola Co. (The) | 8,765,674 | ||||||
403,108 | Monster Beverage Corp.(a) | 25,730,384 | ||||||
|
| |||||||
34,496,058 | ||||||||
|
| |||||||
Biotechnology — 4.4% |
| |||||||
30,151 | Amgen, Inc. | 5,556,226 | ||||||
109,667 | BioMarin Pharmaceutical, Inc.(a) | 9,392,979 | ||||||
92,865 | Regeneron Pharmaceuticals, Inc.(a) | 29,066,745 | ||||||
|
| |||||||
44,015,950 | ||||||||
|
| |||||||
Capital Markets — 6.5% |
| |||||||
345,000 | Charles Schwab Corp. (The) | 13,865,550 | ||||||
38,311 | FactSet Research Systems, Inc. | 10,978,400 | ||||||
58,291 | MSCI, Inc. | 13,919,308 | ||||||
235,705 | SEI Investments Co. | 13,223,051 | ||||||
223,200 | State Street Corp. | 12,512,592 | ||||||
|
| |||||||
64,498,901 | ||||||||
|
| |||||||
Communications Equipment — 1.5% |
| |||||||
273,605 | Cisco Systems, Inc. | 14,974,402 | ||||||
|
| |||||||
Consumer Finance — 2.6% |
| |||||||
58,328 | American Express Co. | 7,200,008 | ||||||
206,800 | Capital One Financial Corp. | 18,765,032 | ||||||
|
| |||||||
25,965,040 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.7% |
| |||||||
174,200 | TE Connectivity Ltd. | 16,684,876 | ||||||
|
| |||||||
Energy Equipment & Services — 0.8% |
| |||||||
209,998 | Schlumberger Ltd. | 8,345,321 | ||||||
|
| |||||||
Entertainment — 2.1% |
| |||||||
58,390 | Netflix, Inc.(a) | 21,447,815 | ||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
653,239 | Danone S.A., Sponsored ADR | 11,059,336 | ||||||
|
|
See accompanying notes to financial statements.
47 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis U.S. Equity Opportunities Fund – (continued)
Shares | Description | Value (†) | ||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
14,503 | Alcon, Inc.(a) | $ | 899,911 | |||||
70,995 | Varian Medical Systems, Inc.(a) | 9,664,549 | ||||||
|
| |||||||
10,564,460 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.2% |
| |||||||
219,500 | CVS Health Corp. | 11,960,555 | ||||||
|
| |||||||
Health Care Technology — 1.5% |
| |||||||
203,011 | Cerner Corp. | 14,880,706 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 5.5% |
| |||||||
100,200 | Hilton Worldwide Holdings, Inc. | 9,793,548 | ||||||
209,460 | Starbucks Corp. | 17,559,032 | ||||||
397,219 | Yum China Holdings, Inc. | 18,351,518 | ||||||
84,028 | Yum! Brands, Inc. | 9,299,378 | ||||||
|
| |||||||
55,003,476 | ||||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
115,523 | Colgate-Palmolive Co. | 8,279,534 | ||||||
88,182 | Procter & Gamble Co. (The) | 9,669,156 | ||||||
|
| |||||||
17,948,690 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.6% |
| |||||||
1,532,750 | General Electric Co. | 16,093,875 | ||||||
|
| |||||||
Insurance — 1.5% |
| |||||||
275,655 | American International Group, Inc. | 14,686,898 | ||||||
|
| |||||||
Interactive Media & Services — 9.0% |
| |||||||
30,504 | Alphabet, Inc., Class A(a) | 33,029,731 | ||||||
10,449 | Alphabet, Inc., Class C(a) | 11,294,429 | ||||||
235,903 | Facebook, Inc., Class A(a) | 45,529,279 | ||||||
|
| |||||||
89,853,439 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 8.6% |
| |||||||
170,955 | Alibaba Group Holding Ltd., Sponsored ADR(a) | 28,968,325 | ||||||
20,207 | Amazon.com, Inc.(a) | 38,264,581 | ||||||
7,100 | Booking Holdings, Inc.(a) | 13,310,441 | ||||||
436,600 | Qurate Retail, Inc., Class A(a) | 5,409,474 | ||||||
|
| |||||||
85,952,821 | ||||||||
|
| |||||||
IT Services — 5.6% |
| |||||||
35,056 | Automatic Data Processing, Inc. | 5,795,808 | ||||||
41,800 | MasterCard, Inc., Class A | 11,057,354 | ||||||
226,183 | Visa, Inc., Class A | 39,254,060 | ||||||
|
| |||||||
56,107,222 | ||||||||
|
| |||||||
Machinery — 2.1% |
| |||||||
63,100 | Caterpillar, Inc. | 8,599,899 | ||||||
77,604 | Deere & Co. | 12,859,759 | ||||||
|
| |||||||
21,459,658 | ||||||||
|
| |||||||
Media — 3.3% |
| |||||||
43,145 | Charter Communications, Inc., Class A(a) | 17,050,041 |
See accompanying notes to financial statements.
| 48
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis U.S. Equity Opportunities Fund – (continued)
Shares | Description | Value (†) | ||||||
Media — continued |
| |||||||
383,800 | Comcast Corp., Class A | $ | 16,227,064 | |||||
|
| |||||||
33,277,105 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.7% |
| |||||||
384,300 | Apache Corp. | 11,133,171 | ||||||
61,300 | Concho Resources, Inc. | 6,324,934 | ||||||
|
| |||||||
17,458,105 | ||||||||
|
| |||||||
Pharmaceuticals — 2.4% |
| |||||||
48,809 | Merck & Co., Inc. | 4,092,635 | ||||||
72,530 | Novartis AG, Sponsored ADR | 6,622,714 | ||||||
261,394 | Novo Nordisk AS, Sponsored ADR | 13,341,550 | ||||||
|
| |||||||
24,056,899 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.2% |
| |||||||
240,830 | Intel Corp. | 11,528,532 | ||||||
81,130 | NVIDIA Corp. | 13,323,980 | ||||||
211,122 | QUALCOMM, Inc. | 16,060,051 | ||||||
94,165 | Texas Instruments, Inc. | 10,806,375 | ||||||
|
| |||||||
51,718,938 | ||||||||
|
| |||||||
Software — 6.7% |
| |||||||
150,871 | Autodesk, Inc.(a) | 24,576,886 | ||||||
102,536 | Microsoft Corp. | 13,735,722 | ||||||
506,277 | Oracle Corp. | 28,842,601 | ||||||
|
| |||||||
67,155,209 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.7% |
| |||||||
84,490 | Apple, Inc. | 16,722,261 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
633,561 | Under Armour, Inc., Class A(a) | 16,060,771 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $724,065,912) | 973,857,464 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 2.2% | ||||||||
$ | 21,561,436 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $21,564,131 on 7/01/2019 collateralized by $21,210,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $21,996,085 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $21,561,436) | 21,561,436 | |||||
|
| |||||||
Total Investments — 99.8% (Identified Cost $745,627,348) | 995,418,900 | |||||||
Other assets less liabilities — 0.2% | 2,002,995 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 997,421,895 | ||||||
|
|
See accompanying notes to financial statements.
49 |
Table of Contents
Portfolio of Investments – as of June 30, 2019 (Unaudited)
Natixis U.S. Equity Opportunities Fund – (continued)
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Non-income producing security. | |||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
|
Industry Summary at June 30, 2019 (Unaudited)
Interactive Media & Services | 9.0 | % | ||
Internet & Direct Marketing Retail | 8.6 | |||
Software | 6.7 | |||
Capital Markets | 6.5 | |||
IT Services | 5.6 | |||
Hotels, Restaurants & Leisure | 5.5 | |||
Banks | 5.4 | |||
Semiconductors & Semiconductor Equipment | 5.2 | |||
Biotechnology | 4.4 | |||
Beverages | 3.5 | |||
Media | 3.3 | |||
Automobiles | 2.8 | |||
Consumer Finance | 2.6 | |||
Pharmaceuticals | 2.4 | |||
Machinery | 2.1 | |||
Entertainment | 2.1 | |||
Air Freight & Logistics | 2.1 | |||
Other Investments, less than 2% each | 19.8 | |||
Short-Term Investments | 2.2 | |||
|
| |||
Total Investments | 99.8 | |||
Other assets less liabilities | 0.2 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 50
Table of Contents
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund | Natixis U.S. Equity Opportunities Fund | |||||||
ASSETS | ||||||||
Investments at cost | $ | 1,690,421,632 | $ | 745,627,348 | ||||
Net unrealized appreciation (depreciation) | (32,270,343 | ) | 249,791,552 | |||||
|
|
|
| |||||
Investments at value | 1,658,151,289 | 995,418,900 | ||||||
Cash | 417,491 | 143 | ||||||
Due from brokers (Note 2) | 14,361,080 | — | ||||||
Foreign currency at value (identified cost $840,354 and $0, respectively) | 874,738 | — | ||||||
Receivable for Fund shares sold | 2,478,536 | 381,905 | ||||||
Receivable for securities sold | 282,270,300 | 4,189,858 | ||||||
Collateral received for open forward foreign currency contracts (Notes 2 and 4) | 850,000 | — | ||||||
Dividends and interest receivable | 9,429,896 | 451,808 | ||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | 862,341 | — | ||||||
Tax reclaims receivable | 21,253 | 297,119 | ||||||
Unamortized upfront premiums paid on bilateral swap agreements (Note 2) | 36,395 | — | ||||||
Prepaid expenses (Note 8) | 185 | 116 | ||||||
|
|
|
| |||||
TOTAL ASSETS | 1,969,753,504 | 1,000,739,849 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Options written, at value (premiums received $445,559 and $0, respectively) (Note 2) | 516,500 | — | ||||||
Payable for securities purchased | 362,510,376 | 466,073 | ||||||
Unrealized depreciation on bilateral swap agreements (Note 2) | 268,742 | — | ||||||
Payable for Fund shares redeemed | 1,740,006 | 1,676,378 | ||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 2,008,305 | — | ||||||
Unamortized upfront premiums received on bilateral swap agreements (Note 2) | 2,783 | — | ||||||
Foreign taxes payable (Note 2) | 2,910 | — | ||||||
Due to brokers (Note 2) | 850,000 | — | ||||||
Payable for variation margin on futures contracts (Note 2) | 132,149 | — | ||||||
Fees payable on swap agreements (Note 2) | 6,047 | — | ||||||
Management fees payable (Note 6) | 781,055 | 608,501 | ||||||
Deferred Trustees’ fees (Note 6) | 142,086 | 372,316 | ||||||
Administrative fees payable (Note 6) | 55,650 | 34,942 | ||||||
Payable to distributor (Note 6d) | 9,820 | 5,858 | ||||||
Other accounts payable and accrued expenses | 135,848 | 153,886 | ||||||
|
|
|
| |||||
TOTAL LIABILITIES | 369,162,277 | 3,317,954 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 1,600,591,227 | $ | 997,421,895 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital | $ | 1,691,609,803 | $ | 707,315,285 | ||||
Accumulated earnings (loss) | (91,018,576 | ) | 290,106,610 | |||||
|
|
|
| |||||
NET ASSETS | $ | 1,600,591,227 | $ | 997,421,895 | ||||
|
|
|
|
See accompanying notes to financial statements.
51 |
Table of Contents
Statements of Assets and Liabilities (continued)
June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund | Natixis U.S. Equity Opportunities Fund | |||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||
Class A shares: | ||||||||
Net assets | $ | 64,993,261 | $ | 608,253,042 | ||||
|
|
|
| |||||
Shares of beneficial interest | 6,649,323 | 16,772,499 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 9.77 | $ | 36.26 | ||||
|
|
|
| |||||
Offering price per share(100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 10.20 | $ | 38.47 | ||||
|
|
|
| |||||
Class C shares:(redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||
Net assets | $ | 21,718,431 | $ | 84,601,747 | ||||
|
|
|
| |||||
Shares of beneficial interest | 2,229,482 | 3,607,079 | ||||||
|
|
|
| |||||
Net asset value and offering price per share | $ | 9.74 | $ | 23.45 | ||||
|
|
|
| |||||
Class N shares: | ||||||||
Net assets | $ | 283,634,195 | $ | 1,594 | ||||
|
|
|
| |||||
Shares of beneficial interest | 29,070,600 | 37 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 9.76 | $ | 42.80 | * | |||
|
|
|
| |||||
Class Y shares: | ||||||||
Net assets | $ | 1,230,245,340 | $ | 304,565,512 | ||||
|
|
|
| |||||
Shares of beneficial interest | 126,146,309 | 7,125,493 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 9.75 | $ | 42.74 | ||||
|
|
|
|
* | Net asset value calculations have been determined utilizing fractional share and penny amounts. |
See accompanying notes to financial statements.
| 52
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund | Natixis U.S. Equity Opportunities Fund | |||||||
INVESTMENT INCOME | ||||||||
Dividends | $ | 1,020,853 | $ | 8,941,638 | (a) | |||
Non-cash dividends (Note 2b) | — | 816,007 | ||||||
Interest | 32,646,823 | 136,541 | ||||||
Less net foreign taxes withheld | (19,713 | ) | (109,910 | ) | ||||
|
|
|
| |||||
33,647,963 | 9,784,276 | |||||||
|
|
|
| |||||
Expenses | ||||||||
Management fees (Note 6) | 4,687,670 | 3,720,218 | ||||||
Service and distribution fees (Note 6) | 193,095 | 1,162,323 | ||||||
Administrative fees (Note 6) | 353,557 | 220,326 | ||||||
Trustees’ fees and expenses (Note 6) | 37,070 | 28,608 | ||||||
Transfer agent fees and expenses (Notes 6 and 7) | 428,861 | 406,194 | ||||||
Audit and tax services fees | 42,483 | 21,043 | ||||||
Custodian fees and expenses | 42,465 | 16,630 | ||||||
Legal fees (Note 8) | 27,753 | 17,246 | ||||||
Registration fees | 58,255 | 71,464 | ||||||
Shareholder reporting expenses | 22,644 | 42,202 | ||||||
Miscellaneous expenses (Note 8) | 33,333 | 30,062 | ||||||
|
|
|
| |||||
Total expenses | 5,927,186 | 5,736,316 | ||||||
Less waiver and/or expense reimbursement (Note 6) | (8,607 | ) | (5,314 | ) | ||||
|
|
|
| |||||
Net expenses | 5,918,579 | 5,731,002 | ||||||
|
|
|
| |||||
Net investment income | 27,729,384 | 4,053,274 | ||||||
|
|
|
| |||||
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 | (4,935,754 | ) | 37,483,676 | |||||
Futures contracts | (8,227,420 | ) | — | |||||
Options written | (210,911 | ) | — | |||||
Swap agreements | 4,729,955 | — | ||||||
Forward foreign currency contracts (Note 2d) | (724,784 | ) | — | |||||
Foreign currency transactions (Note 2c) | (314,754 | ) | — | |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | 39,952,769 | 139,255,868 | ||||||
Futures contracts | (539,434 | ) | — | |||||
Options written | (172,796 | ) | — | |||||
Swap agreements | (6,090,100 | ) | — | |||||
Forward foreign currency contracts (Note 2d) | (1,020,229 | ) | — | |||||
Foreign currency translations (Note 2c) | 191,869 | — | ||||||
|
|
|
| |||||
Net realized and unrealized gain on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions | 22,638,411 | 176,739,544 | ||||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 50,367,795 | $ | 180,792,818 | ||||
|
|
|
|
(a) | Includes anon-recurring dividend of $1,569,910. |
See accompanying notes to financial statements.
53 |
Table of Contents
Statements of Changes in Net Assets
Loomis Sayles Strategic Alpha Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income | $ | 27,729,384 | $ | 45,919,105 | ||||
Net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions | (9,683,668 | ) | 10,761,528 | |||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations | 32,322,079 | (53,347,336 | ) | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 50,367,795 | 3,333,297 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (918,352 | ) | (974,914 | ) | ||||
Class C | (239,890 | ) | (700,709 | ) | ||||
Class N | (4,402,042 | ) | (9,315,262 | ) | ||||
Class Y | (19,550,723 | ) | (38,722,335 | ) | ||||
|
|
|
| |||||
Total distributions | (25,111,007 | ) | (49,713,220 | ) | ||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | 70,375,222 | 398,742,039 | ||||||
|
|
|
| |||||
Net increase in net assets | 95,632,010 | 352,362,116 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 1,504,959,217 | 1,152,597,101 | ||||||
|
|
|
| |||||
End of the period | $ | 1,600,591,227 | $ | 1,504,959,217 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 54
Table of Contents
Statements of Changes in Net Assets (continued)
Natixis U.S. Equity Opportunities Fund | ||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income | $ | 4,053,274 | $ | 2,195,963 | ||||
Net realized gain on investments | 37,483,676 | 99,574,323 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 139,255,868 | (167,182,286 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 180,792,818 | (65,412,000 | ) | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (16,926,769 | ) | (55,296,627 | ) | ||||
Class C | (3,698,685 | ) | (12,571,844 | ) | ||||
Class N | (35 | ) | (100 | ) | ||||
Class Y | (7,824,961 | ) | (27,216,994 | ) | ||||
|
|
|
| |||||
Total distributions | (28,450,450 | ) | (95,085,565 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | (53,624,303 | ) | 57,246,243 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | 98,718,065 | (103,251,322 | ) | |||||
NET ASSETS | ||||||||
Beginning of the period | 898,703,830 | 1,001,955,152 | ||||||
|
|
|
| |||||
End of the period | $ | 997,421,895 | $ | 898,703,830 | ||||
|
|
|
|
See accompanying notes to financial statements.
55 |
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
Loomis Sayles Strategic Alpha Fund—Class A | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 9.62 | $ | 9.92 | $ | 9.86 | $ | 9.45 | $ | 9.96 | $ | 10.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.16 | 0.33 | 0.32 | 0.30 | 0.26 | 0.29 | (b) | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.13 | (0.30 | ) | (0.01 | ) | 0.31 | (0.42 | ) | (0.07 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.29 | 0.03 | 0.31 | 0.61 | (0.16 | ) | 0.22 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.14 | ) | (0.33 | ) | (0.25 | ) | (0.20 | ) | (0.35 | ) | (0.32 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 9.77 | $ | 9.62 | $ | 9.92 | $ | 9.86 | $ | 9.45 | $ | 9.96 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(c) | 3.04 | %(d) | 0.39 | % | 3.22 | %(e) | 6.57 | % | (1.68 | )% | 2.24 | %(b) | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 64,993 | $ | 36,528 | $ | 28,020 | $ | 67,746 | $ | 116,055 | $ | 104,056 | ||||||||||||
Net expenses | 0.98 | %(f) | 1.00 | %(g) | 1.05 | %(h)(i) | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||
Gross expenses | 0.98 | %(f) | 1.00 | %(g) | 1.06 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||
Net investment income | 3.27 | %(f) | 3.29 | % | 3.26 | % | 3.14 | % | 2.66 | % | 2.90 | %(b) | ||||||||||||
Portfolio turnover rate | 219 | % | 379 | %(j) | 178 | %(k) | 72 | % | 72 | % | 87 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.28, total return would have been 2.14% and the ratio of net investment income to average net assets would have been 2.81%. |
(c) | A sales charge for Class A shares is not reflected in total return calculations. |
(d) | Periods less than one year are not annualized. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Includes fee/expense recovery of less than 0.01%. |
(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, 2017, the expense limit decreased from 1.30% to 1.00%. |
(j) | The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. |
(k) | The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio. |
See accompanying notes to financial statements.
| 56
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Strategic Alpha Fund—Class C | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 9.58 | $ | 9.88 | $ | 9.82 | $ | 9.42 | $ | 9.93 | $ | 10.03 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.12 | 0.26 | 0.25 | 0.23 | 0.19 | 0.21 | (b) | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.14 | (0.31 | ) | 0.00 | (c)(d) | 0.30 | (0.43 | ) | (0.06 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.26 | (0.05 | ) | 0.25 | 0.53 | (0.24 | ) | 0.15 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.25 | ) | (0.19 | ) | (0.13 | ) | (0.27 | ) | (0.25 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 9.74 | $ | 9.58 | $ | 9.88 | $ | 9.82 | $ | 9.42 | $ | 9.93 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(e) | 2.75 | %(f) | (0.42 | )% | 2.53 | % | 5.70 | % | (2.44 | )% | 1.47 | %(b) | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 21,718 | $ | 26,883 | $ | 33,759 | $ | 45,674 | $ | 62,453 | $ | 71,215 | ||||||||||||
Net expenses | 1.73 | %(g) | 1.75 | %(h) | 1.81 | %(i) | 1.85 | % | 1.85 | % | 1.85 | % | ||||||||||||
Gross expenses | 1.73 | %(g) | 1.75 | %(h) | 1.81 | % | 1.85 | % | 1.85 | % | 1.85 | % | ||||||||||||
Net investment income | 2.48 | %(g) | 2.61 | % | 2.52 | % | 2.40 | % | 1.91 | % | 2.13 | %(b) | ||||||||||||
Portfolio turnover rate | 219 | % | 379 | %(j) | 178 | %(k) | 72 | % | 72 | % | 87 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.21, total return would have been 1.37% and the ratio of net investment income to average net assets would have been 2.05%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(e) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(f) | Periods less than one year are not annualized. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Includes fee/expense recovery of less than 0.01%. |
(i) | Effective July 1, 2017, the expense limit decreased from 2.05% to 1.75%. |
(j) | The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. |
(k) | The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio. |
See accompanying notes to financial statements.
57 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Strategic Alpha Fund—Class N | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 9.60 | $ | 9.90 | $ | 9.90 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.17 | 0.34 | 0.25 | |||||||||
Net realized and unrealized gain (loss) | 0.15 | (0.28 | ) | (0.04 | ) | |||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 0.32 | 0.06 | 0.21 | |||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.16 | ) | (0.36 | ) | (0.21 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of the period | $ | 9.76 | $ | 9.60 | $ | 9.90 | ||||||
|
|
|
|
|
| |||||||
Total return | 3.30 | %(b) | 0.68 | % | 2.11 | %(b)(c) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 283,634 | $ | 255,226 | $ | 59,282 | ||||||
Net expenses | 0.67 | %(d) | 0.70 | %(e) | 0.70 | %(d)(f)(g) | ||||||
Gross expenses | 0.67 | %(d) | 0.70 | %(e) | 0.72 | %(d) | ||||||
Net investment income | 3.56 | %(d) | 3.44 | % | 3.83 | %(d) | ||||||
Portfolio turnover rate | 219 | % | 379 | %(h) | 178 | %(i) |
* | From commencement of Class operations on May 1, 2017 through December 31, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | Includes fee/expense recovery of 0.01%. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Effective July 1, 2017, the expense limit decreased from 1.00% to 0.70%. |
(h) | The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. |
(i) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
| 58
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Loomis Sayles Strategic Alpha Fund—Class Y | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 9.59 | $ | 9.90 | $ | 9.85 | $ | 9.44 | $ | 9.95 | $ | 10.05 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.17 | 0.35 | 0.35 | 0.32 | 0.29 | 0.31 | (b) | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.14 | (0.31 | ) | (0.01 | ) | 0.32 | (0.43 | ) | (0.06 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 0.31 | 0.04 | 0.34 | 0.64 | (0.14 | ) | 0.25 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.35 | ) | (0.29 | ) | (0.23 | ) | (0.37 | ) | (0.35 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 9.75 | $ | 9.59 | $ | 9.90 | $ | 9.85 | $ | 9.44 | $ | 9.95 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return | 3.27 | %(c) | 0.53 | % | 3.48 | %(d) | 6.86 | % | (1.43 | )% | 2.52 | %(b) | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 1,230,245 | $ | 1,186,322 | $ | 1,031,537 | $ | 1,083,527 | $ | 1,183,723 | $ | 1,188,605 | ||||||||||||
Net expenses | 0.73 | %(e) | 0.75 | %(f) | 0.80 | %(g)(h) | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||
Gross expenses | 0.73 | %(e) | 0.75 | %(f) | 0.81 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||
Net investment income | 3.50 | %(e) | 3.51 | % | 3.53 | % | 3.39 | % | 2.91 | % | 3.10 | %(b) | ||||||||||||
Portfolio turnover rate | 219 | % | 379 | %(i) | 178 | %(j) | 72 | % | 72 | % | 87 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.31, total return would have been 2.42% and the ratio of net investment income to average net assets would have been 3.03%. |
(c) | Periods less than one year are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Includes fee/expense recovery of less than 0.01%. |
(g) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(h) | Effective July 1, 2017, the expense limit decreased from 1.05% to 0.75%. |
(i) | The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. |
(j) | The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio. |
See accompanying notes to financial statements.
59 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis U.S. Equity Opportunities Fund—Class A | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 31.00 | $ | 36.90 | $ | 30.27 | $ | 27.60 | $ | 27.40 | $ | 33.07 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.14 | (b) | 0.08 | 0.06 | 0.12 | 0.06 | 0.02 | |||||||||||||||||
Net realized and unrealized gain (loss) | 6.12 | (2.51 | ) | 7.88 | 3.12 | 1.55 | 4.31 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 6.26 | (2.43 | ) | 7.94 | 3.24 | 1.61 | 4.33 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(c) | (0.05 | ) | (0.06 | ) | (0.12 | ) | — | — | ||||||||||||||
Net realized capital gains | (1.00 | ) | (3.42 | ) | (1.25 | ) | (0.45 | ) | (1.41 | ) | (10.00 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.00 | ) | (3.47 | ) | (1.31 | ) | (0.57 | ) | (1.41 | ) | (10.00 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 36.26 | $ | 31.00 | $ | 36.90 | $ | 30.27 | $ | 27.60 | $ | 27.40 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(d) | 20.32 | %(b)(e) | (6.48 | )% | 26.28 | % | 11.86 | % | 5.86 | % | 12.94 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 608,253 | $ | 523,665 | $ | 604,330 | $ | 472,436 | $ | 422,069 | $ | 400,678 | ||||||||||||
Net expenses | 1.17 | %(f) | 1.16 | % | 1.21 | %(g) | 1.23 | %(h) | 1.25 | %(i) | 1.29 | %(j) | ||||||||||||
Gross expenses | 1.17 | %(f) | 1.16 | % | 1.21 | % | 1.23 | %(h) | 1.25 | % | 1.29 | %(j) | ||||||||||||
Net investment income | 0.80 | %(b)(f) | 0.20 | % | 0.16 | % | 0.42 | % | 0.21 | % | 0.07 | % | ||||||||||||
Portfolio turnover rate | 7 | % | 23 | % | 17 | % | 17 | % | 20 | % | 93 | %(k) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.08, total return would have been 20.16% and the ratio of net investment income to average net assets would have been 0.48%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | A sales charge for Class A shares is not reflected in total return calculations. |
(e) | Periods less than one year are not annualized. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Effective July 1, 2017, the expense limit decreased from 1.25% to 1.20%. |
(h) | Includes fee/expense recovery of less than 0.01%. |
(i) | Effective July 1, 2015, the expense limit decreased from 1.30% to 1.25%. |
(j) | Includes fee/expense recovery of 0.02%. |
(k) | The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to the change in the structure of the Fund from four segments to two segments. |
See accompanying notes to financial statements.
| 60
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis U.S. Equity Opportunities Fund—Class C | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 20.42 | $ | 25.73 | $ | 21.54 | $ | 19.86 | $ | 20.24 | $ | 26.92 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | 0.01 | (b) | (0.14 | ) | (0.14 | ) | (0.07 | ) | (0.11 | ) | (0.19 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 4.02 | (1.75 | ) | 5.58 | 2.22 | 1.14 | 3.51 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from Investment Operations | 4.03 | (1.89 | ) | 5.44 | 2.15 | 1.03 | 3.32 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(c) | — | (0.00 | )(c) | (0.02 | ) | — | — | |||||||||||||||
Net realized capital gains | (1.00 | ) | (3.42 | ) | (1.25 | ) | (0.45 | ) | (1.41 | ) | (10.00 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | (1.00 | ) | (3.42 | ) | (1.25 | ) | (0.47 | ) | (1.41 | ) | (10.00 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of the period | $ | 23.45 | $ | 20.42 | $ | 25.73 | $ | 21.54 | $ | 19.86 | $ | 20.24 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(d) | 19.86 | %(b)(e) | (7.18 | )% | 25.35 | % | 11.02 | % | 5.06 | % | 12.12 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 84,602 | $ | 78,783 | $ | 112,615 | $ | 72,768 | $ | 61,864 | $ | 53,925 | ||||||||||||
Net expenses | 1.92 | %(f) | 1.91 | % | 1.96 | %(g) | 1.98 | %(h) | 2.00 | %(i) | 2.04 | %(j) | ||||||||||||
Gross expenses | 1.92 | %(f) | 1.91 | % | 1.96 | % | 1.98 | %(h) | 2.00 | % | 2.04 | %(j) | ||||||||||||
Net investment income (loss) | 0.05 | %(b)(f) | (0.54 | )% | (0.59 | )% | (0.33 | )% | (0.54 | )% | (0.68 | )% | ||||||||||||
Portfolio turnover rate | 7 | % | 23 | % | 17 | % | 17 | % | 20 | % | 93 | %(k) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $(0.03), total return would have been 19.72% and the ratio of net investment income to average net assets would have been (0.27)%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(e) | Periods less than one year are not annualized. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Effective July 1, 2017, the expense limit decreased from 2.00% to 1.95%. |
(h) | Includes fee/expense recovery of less than 0.01%. |
(i) | Effective July 1, 2015, the expense limit decreased from 2.05% to 2.00%. |
(j) | Includes fee/expense recovery of 0.01%. |
(k) | The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to the change in the structure of the Fund from four segments to two segments. |
See accompanying notes to financial statements.
61 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis U.S. Equity Opportunities Fund—Class N | ||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Period Ended December 31, 2017* | ||||||||||
Net asset value, beginning of the period | $ | 36.37 | $ | 42.63 | $ | 37.62 | ||||||
|
|
|
|
|
| |||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income(a) | 0.23 | (b) | 0.25 | 0.12 | ||||||||
Net realized and unrealized gain (loss) | 7.20 | (2.91 | ) | 6.20 | ||||||||
|
|
|
|
|
| |||||||
Total from Investment Operations | 7.43 | (2.66 | ) | 6.32 | ||||||||
|
|
|
|
|
| |||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||
Net investment income | (0.00 | )(c) | (0.18 | ) | (0.16 | ) | ||||||
Net realized capital gains | (1.00 | ) | (3.42 | ) | (1.15 | ) | ||||||
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Total Distributions | (1.00 | ) | (3.60 | ) | (1.31 | ) | ||||||
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Net asset value, end of the period | $ | 42.80 | $ | 36.37 | $ | 42.63 | ||||||
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Total return(d) | 20.54 | %(b)(e) | (6.11 | )% | 16.78 | %(e) | ||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||
Net assets, end of the period (000’s) | $ | 2 | $ | 1 | $ | 1 | ||||||
Net expenses(f) | 0.84 | %(g) | 0.76 | % | 0.78 | %(g)(h) | ||||||
Gross expenses | 12.17 | %(g) | 13.35 | % | 13.41 | %(g) | ||||||
Net investment income | 1.14 | %(b)(g) | 0.56 | % | 0.44 | %(g) | ||||||
Portfolio turnover rate | 7 | % | 23 | % | 17 | %(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 anon-recurring dividend. Without this dividend, net investment income per share would have been $0.17, total return would have been 20.34% 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) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Effective July 1, 2017, the expense limit decreased from 0.95% to 0.90%. |
(i) | Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017. |
See accompanying notes to financial statements.
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Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis U.S. Equity Opportunities Fund—Class Y | ||||||||||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) | Year Ended December 31, 2018 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||||||||||||||
Net asset value, beginning of the period | $ | 36.33 | $ | 42.61 | $ | 34.77 | $ | 31.61 | $ | 31.18 | $ | 36.32 | ||||||||||||
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INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.21 | (b) | 0.20 | 0.16 | 0.21 | 0.15 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | 7.20 | (2.92 | ) | 9.07 | 3.59 | 1.76 | 4.74 | |||||||||||||||||
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Total from Investment Operations | 7.41 | (2.72 | ) | 9.23 | 3.80 | 1.91 | 4.86 | |||||||||||||||||
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LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.00 | )(c) | (0.14 | ) | (0.14 | ) | (0.19 | ) | (0.07 | ) | — | |||||||||||||
Net realized capital gains | (1.00 | ) | (3.42 | ) | (1.25 | ) | (0.45 | ) | (1.41 | ) | (10.00 | ) | ||||||||||||
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Total Distributions | (1.00 | ) | (3.56 | ) | (1.39 | ) | (0.64 | ) | (1.48 | ) | (10.00 | ) | ||||||||||||
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Net asset value, end of the period | $ | 42.74 | $ | 36.33 | $ | 42.61 | $ | 34.77 | $ | 31.61 | $ | 31.18 | ||||||||||||
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Total return | 20.47 | %(b)(d) | (6.24 | )% | 26.60 | % | 12.13 | % | 6.11 | % | 13.25 | % | ||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 304,566 | $ | 296,255 | $ | 285,008 | $ | 143,231 | $ | 70,643 | $ | 37,636 | ||||||||||||
Net expenses | 0.92 | %(e) | 0.91 | % | 0.95 | %(f) | 0.98 | %(g) | 1.00 | %(h) | 1.05 | %(i) | ||||||||||||
Gross expenses | 0.92 | %(e) | 0.91 | % | 0.95 | % | 0.98 | %(g) | 1.00 | % | 1.05 | %(i) | ||||||||||||
Net investment income | 1.05 | %(b)(e) | 0.45 | % | 0.40 | % | 0.63 | % | 0.46 | % | 0.32 | % | ||||||||||||
Portfolio turnover rate | 7 | % | 23 | % | 17 | % | 17 | % | 20 | % | 93 | %(j) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes anon-recurring dividend. Without this dividend, net investment income per share would have been $0.15, total return would have been 20.31% and the ratio of net investment income to average net assets would have been 0.74%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%. |
(g) | Includes fee/expense recovery of less than 0.01%. |
(h) | Effective July 1, 2015, the expense limit decreased from 1.05% to 1.00%. |
(i) | Includes fee/expense recovery of 0.01%. |
(j) | The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to the change in the structure of the Fund from four segments to two segments. |
See accompanying notes to financial statements.
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Table of Contents
June 30, 2019 (Unaudited)
1. Organization. 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 anopen-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:
Natixis Funds Trust I:
Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”)
Natixis Funds Trust II:
Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)
The U.S. Equity Opportunities Fund is a diversified investment company and the Strategic Alpha Fund is anon-diversified investment company.
Each Fund offers Class A, Class C, Class N and Class Y shares.
Class A shares are sold with a maximumfront-end sales charge of 4.25% for Strategic Alpha Fund and 5.75% for U.S. Equity Opportunities Fund. Class C shares do not pay afront-end sales charge, pay higher Rule12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay afront-end sales charge, a CDSC or Rule12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. Expenses of a Fund are bornepro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule12b-1 fee applicable to Class A and Class C) and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule12b-1 Plan. Shares of each class would receive theirpro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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 toperiod-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser orsub-adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser orsub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available. 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
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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 single name equity option contracts are valued at the mean of the National Best Bid and Offer quotations. 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 domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“CBOE”). 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.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
As of June 30, 2019, securities and other investments of the funds included in net assets were fair valued as follows:
Fund | Securities | Percentage | Securities | Percentage | ||||||||||||
Strategic Alpha Fund | $ | 2,075,638 | 0.1 | % | $ | 17,672,517 | 1.1 | % |
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on theex-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 are reflected asnon-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. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendaryear-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 apro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
For the six months ended June 30, 2019, 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 | $ | 1,927,458 |
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are tradedover-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
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.
e. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
f. Option Contracts. The Funds may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequentlymarked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument 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
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.
g. Swaptions. The Funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.
When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequentlymarked-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.
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.
There were no swaptions held by the Funds as of June 30, 2019.
h. Swap Agreements. The Funds may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
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.
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the 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.
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 Strategic Alpha Fund represents cash pledged as collateral for forward foreign currency contracts, options and as initial margin for futures contracts. The due to brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash received as collateral for forward foreign currency contracts. In certain circumstances the Funds’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.
j. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30,
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2019 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
k. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on theex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, controlled foreign corporations, defaulted and/ornon-income producing securities, deferred Trustees’ fees, swap adjustments, foreign currency gains and losses, convertible bond adjustments 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/ornon-income producing securities, swap adjustments, wash sales, convertible bond adjustments, forward foreign currency contractmark-to-market, straddle loss deferrals and futures contractsmark-to-market. Amounts of income and capital gain available to be distributed on a tax basis are determined
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annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2018 was as follows:
2018 Distributions Paid From: | ||||||||||||
Fund | Ordinary | Long-Term | Total | |||||||||
Strategic Alpha Fund | $ | 49,713,220 | $ | — | $ | 49,713,220 | ||||||
U.S. Equity Opportunities Fund | 7,917,360 | 87,168,205 | 95,085,565 |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed inper-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of December 31, 2018 capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:
Strategic | U.S. Equity | |||||||
Capital loss carryforward: | ||||||||
Short-term: |
| |||||||
No expiration date | $ | (36,014,163 | ) | $ | — | |||
Long-term: |
| |||||||
No expiration date | (4,070,186 | ) | — | |||||
|
|
|
| |||||
Total capital loss carryforward | $ | (40,084,349 | ) | $ | — | |||
|
|
|
| |||||
Late-year ordinary and post-October capital loss deferrals* | $ | (578,810 | ) | $ | — | |||
|
|
|
|
* | Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Strategic Alpha Fund is deferring foreign currency losses. |
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June 30, 2019 (Unaudited)
As of June 30, 2019, unrealized appreciation (depreciation) on a tax basis was approximately as follows:
Strategic | U.S. Equity | |||||||
Unrealized appreciation (depreciation) | ||||||||
Investments | $ | (7,149,983 | ) | $ | 249,791,552 | |||
Foreign currency translations | (27,213,988 | ) | — | |||||
|
|
|
| |||||
Total unrealized appreciation (depreciation) | $ | (34,363,971 | ) | $ | 249,791,552 | |||
|
|
|
|
As of June 30, 2019, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Strategic | U.S. Equity | |||||||
Federal tax cost | $ | 1,690,877,283 | $ | 745,627,348 | ||||
|
|
|
| |||||
Gross tax appreciation | $ | 33,606,344 | $ | 301,112,993 | ||||
Gross tax depreciation | (68,000,473 | ) | (51,321,441 | ) | ||||
|
|
|
| |||||
Net tax appreciation (depreciation) | $ | (34,394,129 | ) | $ | 249,791,552 | |||
|
|
|
|
Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.
The difference between these amounts and those reported in the preceding table are primarily attributable to foreign currencymark-to-market.
l. Senior Loans. Strategic Alpha Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the 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. Senior loans outstanding at the end of the period are listed in the Fund’s Portfolio of Investments.
m. Loan Participations. Strategic Alpha Fund’s investments in senior loans may be in the form of participations in loans. When investing in a loan participation, the Fund has
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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 are listed in the Fund’s Portfolio of Investments.
n. Collateralized Loan Obligations. Strategic Alpha 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 are listed in the Fund’s Portfolio of Investments.
o. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2019, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
p. When-Issued and Delayed Delivery Transactions. The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the
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security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.
Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the netmark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.
Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2019.
q. Stripped Securities. Each Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs.
r. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities fornon-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 bynon-U.S. Governments andnon-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
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June 30, 2019 (Unaudited)
extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the six months ended June 30, 2019, the Funds did not loan securities under this agreement.
s. Unfunded Loan Commitments. The Funds may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may arise due to changes in the value of the unfunded loan commitments.
As of June 30, 2019, the Funds did not have any unfunded loan commitments.
t. Indemnifications. Under the Trusts’ 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). |
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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2019, at value:
Strategic Alpha Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Home Equity | $ | — | $ | 135,276,741 | $ | 6,254,815 | (b) | $ | 141,531,556 | |||||||
ABS Other | — | 69,686,215 | 5,719,348 | (c)(d) | 75,405,563 | |||||||||||
ABS Student Loan | — | 4,969,414 | 3,826,851 | (e) | 8,796,265 | |||||||||||
Independent Energy | — | 24,989,861 | 627,000 | (b)(d) | 25,616,861 | |||||||||||
Oil Field Services | — | 2,372,962 | 767,360 | (b) | 3,140,322 | |||||||||||
All Other Non-Convertible Bonds(a) | — | 963,476,760 | — | 963,476,760 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TotalNon-Convertible Bonds | — | 1,200,771,953 | 17,195,374 | 1,217,967,327 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 16,403,403 | — | 16,403,403 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 1,217,175,356 | 17,195,374 | 1,234,370,730 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans(a) | — | 84,859,315 | — | 84,859,315 | ||||||||||||
Collateralized Loan Obligations | — | 31,630,472 | — | 31,630,472 | ||||||||||||
Loan Participations(a) | — | — | 5,189,236 | (e) | 5,189,236 | |||||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 4,224,124 | — | 4,224,124 | ||||||||||||
Midstream | 123,437 | 819,749 | — | 943,186 | ||||||||||||
Non-Convertible Preferred Stocks(a) | — | 4,136,960 | — | 4,136,960 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 123,437 | 9,180,833 | — | 9,304,270 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Oil, Gas & Consumable Fuels | 3,818,834 | — | 42,708 | (b) | 3,861,542 | |||||||||||
All Other Common Stocks(a) | 49,436,986 | — | — | 49,436,986 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 53,255,820 | — | 42,708 | 53,298,528 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Exchange-Traded Funds | 7,755,585 | — | — | 7,755,585 | ||||||||||||
Other Investments(a) | — | — | 7,776,000 | (f) | 7,776,000 | |||||||||||
Short-Term Investments | — | 223,967,153 | — | 223,967,153 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 61,134,842 | $ | 1,566,813,129 | $ | 30,203,318 | $ | 1,658,151,289 | ||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Strategic Alpha Fund (continued)
Asset Valuation Inputs (continued)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | $ | — | $ | 862,341 | $ | — | $ | 862,341 | ||||||||
Futures Contracts (unrealized appreciation) | 13,335 | — | — | 13,335 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 61,148,177 | $ | 1,567,675,470 | $ | 30,203,318 | $ | 1,659,026,965 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options(a) | $ | (516,500 | ) | $ | — | $ | — | $ | (516,500 | ) | ||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) | — | (268,742 | ) | — | (268,742 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (2,008,305 | ) | — | (2,008,305 | ) | ||||||||||
Futures Contracts (unrealized depreciation) | (195,823 | ) | — | — | (195,823 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (712,323 | ) | $ | (2,277,047 | ) | $ | — | $ | (2,989,370 | ) | |||||
|
|
|
|
|
|
|
|
(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) | Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund ($1,748,083) or fair valued by the Fund’s adviser ($456,551) or valued using broker-dealer bid prices ($3,514,714). |
(d) | Includes securities fair valued at zero using level 3 inputs. |
(e) | Valued using broker-dealer bid prices. |
(f) | Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund. |
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June 30, 2019 (Unaudited)
U.S. Equity Opportunities Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 973,857,464 | $ | — | $ | — | $ | 973,857,464 | ||||||||
Short-Term Investments | — | 21,561,436 | — | 21,561,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 973,857,464 | $ | 21,561,436 | $ | — | $ | 995,418,900 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2018 and/or June 30, 2019:
Strategic Alpha Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | 1 | $ | — | $ | 21,722 | $ | 10,233 | $ | 2,284,999 | ||||||||||
ABS Other | 4,468,825 | — | — | 72,661 | 3,572,373 | |||||||||||||||
ABS Student Loan | 4,307,138 | — | 559 | (846 | ) | — | ||||||||||||||
Independent Energy | — | (a) | 100,378 | — | (100,378 | ) | 627,000 | |||||||||||||
Oil Field Services | — | 252 | — | (87,452 | ) | 854,560 | ||||||||||||||
Loan Participations | 6,733,310 | 215 | (10,268 | ) | 96,255 | — | ||||||||||||||
Common Stocks | ||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | — | — | (396,581 | ) | 439,289 | ||||||||||||||
Other Investments | ||||||||||||||||||||
Aircraft ABS | 7,790,625 | — | — | (14,625 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 23,299,899 | $ | 100,845 | $ | 12,013 | $ | (420,733 | ) | $ | 7,778,221 | |||||||||
|
|
|
|
|
|
|
|
|
|
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Strategic Alpha Fund (continued)
Asset Valuation Inputs (continued)
Investments in Securities | Sales | Transfers Level 3 | Transfers | Balance | Change in | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | (634,924 | ) | $ | 4,572,784 | $ | — | $ | 6,254,815 | $ | 10,233 | |||||||||
ABS Other | (28,376 | ) | — | (2,366,135 | ) | 5,719,348 | 72,920 | |||||||||||||
ABS Student Loan | (480,000 | ) | — | — | 3,826,851 | (383 | ) | |||||||||||||
Independent Energy | — | — | — | 627,000 | (a) | (100,378 | ) | |||||||||||||
Oil Field Services | — | — | — | 767,360 | (87,452 | ) | ||||||||||||||
Loan Participations | (1,630,276 | ) | — | — | 5,189,236 | 43,285 | ||||||||||||||
Common Stocks | ||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | — | — | 42,708 | (396,581 | ) | ||||||||||||||
Other Investments | ||||||||||||||||||||
Aircraft ABS | — | — | — | 7,776,000 | (14,625 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $(2,773,576) | $ | 4,572,784 | $ | (2,366,135 | ) | $ | 30,203,318 | $ | (472,981 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Includes securities fair valued at zero using level 3 inputs. |
Debt securities valued at $4,572,784 were transferred from Level 2 to Level 3 during the period ended June 30, 2019. At December 31, 2018, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2019 these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.
A debt security valued at $2,366,135 was transferred from Level 3 to Level 2 during the period ended June 30, 2019. At December 31, 2018, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
All transfers are recognized as of the beginning of the reporting period.
83 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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 Strategic Alpha Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.
Strategic Alpha Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the six months ended June 30, 2019, the Fund used futures, forward foreign currency contracts, option contracts, interest rate swap agreements and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.
Strategic Alpha Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts, interest rate swap agreements and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended June 30, 2019, the Fund engaged in interest rate swaps for hedging purposes.
Strategic Alpha Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2019, the Fund engaged in forward foreign currency and option contracts for hedging purposes.
Strategic Alpha Fund is 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 Fund 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. During the six months ended June 30, 2019, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.
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. During the six months ended June 30, 2019, the Fund engaged in futures and option contracts for hedging purposes.
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2019, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized | Unrealized | Swap | Total | ||||||||||||||||
Over-the-counter asset derivatives |
| |||||||||||||||||||
Foreign exchange contracts |
| $ | 862,341 | $ | — | $ | — | $ | 862,341 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Totalover-the counter asset derivatives |
| $ | 862,341 | $ | — | $ | — | $ | 862,341 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Exchange-traded/cleared asset derivatives |
| |||||||||||||||||||
Interest rate contracts |
| $ | — | $ | 13,335 | $ | — | $ | 13,335 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total exchange-traded/cleared asset derivatives |
| $ | — | $ | 13,335 | $ | — | $ | 13,335 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total asset derivatives |
| $ | 862,341 | $ | 13,335 | $ | — | $ | 875,676 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | Options | Unrealized | Unrealized | Swap | Total | |||||||||||||||
Over-the-counter liability derivatives | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | (2,008,305 | ) | $ | — | $ | — | $ | (2,008,305 | ) | ||||||||
Credit contracts | — | — | — | (235,130 | ) | (235,130 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Totalover-the counter liability derivatives | $ | — | $ | (2,008,305 | ) | $ | — | $ | (235,130 | ) | $ | (2,243,435 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Exchange-traded/cleared liability derivatives | ||||||||||||||||||||
Equity contracts | $ | (516,500 | ) | $ | — | $ | (195,823 | ) | $ | — | $ | (712,323 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total exchange-traded/cleared liability derivatives | $ | (516,500 | ) | $ | — | $ | (195,823 | ) | $ | — | $ | (712,323 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total liability derivatives | $ | (516,500 | ) | $ | (2,008,305 | ) | $ | (195,823 | ) | $ | (235,130 | ) | $ | (2,955,758 | ) | |||||
|
|
|
|
|
|
|
|
|
|
85 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
2 | Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. |
Transactions in derivative instruments for Strategic Alpha Fund during the six months ended June 30, 2019, as reflected within the Statements of Operations were as follows:
Net Realized Gain | Investments3 | Futures | Options | Swap | Forward | |||||||||||||||
Interest rate contracts | $ | — | $ | (4,725,759 | ) | $ | — | $ | 4,795,769 | $ | — | |||||||||
Foreign exchange contracts | (346,401 | ) | — | — | — | (724,784 | ) | |||||||||||||
Credit contracts | — | — | — | (65,814 | ) | — | ||||||||||||||
Equity contracts | (821,890 | ) | (3,501,661 | ) | (210,911 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (1,168,291 | ) | $ | (8,227,420 | ) | $ | (210,911 | ) | $ | 4,729,955 | $ | (724,784 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Unrealized | Investments3 | Futures | Options | Swap | Forward | |||||||||||||||
Interest rate contracts | $ | — | $ | (15,909 | ) | $ | — | $ | (5,824,977 | ) | $ | — | ||||||||
Foreign exchange contracts | 276,968 | — | — | — | (1,020,229 | ) | ||||||||||||||
Credit contracts | — | — | — | (265,123 | ) | — | ||||||||||||||
Equity contracts | — | (523,525 | ) | (172,796 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 276,968 | $ | (539,434 | ) | $ | (172,796 | ) | $ | (6,090,100 | ) | $ | (1,020,229 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
3 | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period. |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the 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 benon-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 Strategic Alpha Fund, based on
| 86
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
grossmonth-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2019:
Strategic Alpha Fund | Forwards | Futures | Credit Default Swaps | Interest Rate Swaps | ||||||||||||
Average Notional Amount Outstanding | 8.52 | % | 11.86 | % | 2.27 | % | 43.47 | % | ||||||||
Highest Notional Amount Outstanding | 12.36 | % | 17.92 | % | 3.83 | % | 113.28 | % | ||||||||
Lowest Notional Amount Outstanding | 6.61 | % | 6.25 | % | 0.87 | % | 0.00 | % | ||||||||
Notional Amount Outstanding as of June 30, 2019 | 12.36 | % | 6.25 | % | 0.87 | % | 0.00 | % |
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 Fund’s net assets.
The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on themonth-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2019:
Strategic Alpha Fund | Call Options | Put Options Purchased* | Call Options Written* | Put Options Written* | ||||||||||||
Average Market Value of Underlying Instruments | 0.10 | % | 1.23 | % | 2.09 | % | 1.23 | % | ||||||||
Highest Market Value of Underlying Instruments | 0.00 | % | 2.69 | % | 2.41 | % | 2.69 | % | ||||||||
Lowest Market Value of Underlying Instruments | 0.00 | % | 0.00 | % | 1.73 | % | 0.00 | % | ||||||||
Market Value of Underlying Instruments as of June 30, 2019 | 0.00 | % | 0.00 | % | 2.23 | % | 0.00 | % |
* | Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate, for foreign indices by multiplying the number of contracts by the contract multiplier by the price of the underlying index and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract. |
Amounts outstanding at the end of the prior period are included in the average amount outstanding.
87 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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 netmark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.
As of June 30, 2019, gross amounts ofover-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:
Strategic Alpha Fund
Counterparty | Gross Amounts of | Offset | Net Asset | Collateral | Net | |||||||||||||||
Bank of America, N.A. | $ | 226,028 | $ | (226,028 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC | 337,419 | (39,529 | ) | 297,890 | (297,890 | ) | — | |||||||||||||
Citibank N.A. | 5,995 | (5,995 | ) | — | — | — | ||||||||||||||
Credit Suisse International | 64,104 | (64,104 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG | 130,063 | (33,156 | ) | 96,907 | — | 96,907 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | 51,860 | (51,860 | ) | — | — | — | ||||||||||||||
UBS AG | 46,872 | (46,872 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 862,341 | $ | (467,544 | ) | $ | 394,797 | $ | (297,890 | ) | $ | 96,907 | |||||||||
|
|
|
|
|
|
|
|
|
|
| 88
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Strategic Alpha Fund (continued)
Counterparty | Gross Amounts of | Offset | Net | Collateral | Net | |||||||||||||||
Bank of America, N.A. | $ | (333,079 | ) | $ | 226,028 | $ | (107,051 | ) | $ | — | $ | (107,051 | ) | |||||||
Barclays Bank PLC | (39,529 | ) | 39,529 | — | — | — | ||||||||||||||
Citibank N.A. | (416,727 | ) | 5,995 | (410,732 | ) | 410,732 | — | |||||||||||||
Credit Suisse International | (343,649 | ) | 64,104 | (279,545 | ) | 279,545 | — | |||||||||||||
Deutsche Bank AG | (33,156 | ) | 33,156 | — | — | — | ||||||||||||||
Morgan Stanley Capital Services, Inc. | (878,320 | ) | 51,860 | (826,460 | ) | 751,080 | (75,380 | ) | ||||||||||||
UBS AG | (198,975 | ) | 46,872 | (152,103 | ) | 152,103 | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (2,243,435 | ) | $ | 467,544 | $ | (1,775,891 | ) | $ | 1,593,460 | $ | (182,431 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
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 aremarked-to-market and when collateral moves. The ISDA agreements includetri-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 onover-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 atpre-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 are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s
89 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2019:
Fund | Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | ||||||
Strategic Alpha Fund | $ | 18,614,528 | $ | 16,255,634 |
Net loss amount reflects cash received as collateral of $850,000, which is recorded on the Statements of Assets and Liabilities.
5. Purchases and Sales of Securities. For the six months ended June 30, 2019, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:
U.S. Government/Agency Securities | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
Strategic Alpha Fund | $ | 2,386,917,476 | $ | 2,387,482,969 | $ | 840,604,294 | $ | 697,101,700 | ||||||||
U.S. Equity Opportunities Fund | — | — | 70,083,135 | 160,735,521 |
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to U.S. Equity Opportunities Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.75% of the Fund’s average daily net assets, calculated daily and payable monthly.
Natixis Advisors has entered into subadvisory agreements for the Fund as listed below.
U.S. Equity Opportunities Fund | Harris Associates L.P. (“Harris”) | |
Loomis, Sayles & Company, L.P. (“Loomis Sayles”) |
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis. Harris is a wholly-owned subsidiary of Natixis.
Under the terms of the subadvisory agreement, the Fund has agreed to pay its subadvisers a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Segment’s average daily net assets:
Fund | Subadviser | Percentage of | ||||
U.S. Equity Opportunities Fund | ||||||
Large Cap Value Segment | Harris | 0.52 | % | |||
All Cap Growth Segment | Loomis Sayles | 0.35 | % |
Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.
Loomis Sayles is the investment adviser to Strategic Alpha Fund. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.60% of the first $1.25 billion and 0.55% in excess of $1.25 billion of the Fund’s average daily net assets, calculated daily and payable monthly.
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, 2020, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the six months ended June 30, 2019, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Strategic Alpha Fund | 1.00 | % | 1.75 | % | 0.70 | % | 0.75 | % | ||||||||
U.S. Equity Opportunities Fund | 1.20 | % | 1.95 | % | 0.90 | % | 0.95 | % |
Natixis Advisors and Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees
91 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended June 30, 2019, the management fees for each Fund were as follows:
Fund | Gross | Percentage of | ||||||
Strategic Alpha Fund | $ | 4,687,670 | 0.59 | % | ||||
U.S. Equity Opportunities Fund | 3,720,218 | 0.75 | % |
No expenses were recovered for any of the Funds during the six months ended June 30, 2019 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule12b-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 Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
| 92
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||
Fund | Class A | Class C | Class C | |||||||||
Strategic Alpha Fund | $ | 73,744 | $ | 29,838 | $ | 89,513 | ||||||
U.S. Equity Opportunities Fund | 737,283 | 106,260 | 318,780 |
c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve assub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly itspro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving assub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction insub-administrative fees discussed above. The waiver is in effect through June 30, 2019.
For the six months ended June 30, 2019, the administrative fees for each Fund were as follows:
Fund | Administrative | Waiver of | Net | |||||||||
Strategic Alpha Fund | $ | 353,557 | $ | 8,402 | $ | 345,155 | ||||||
U.S. Equity Opportunities Fund | 220,326 | 5,238 | 215,088 |
Effective July 1, 2019, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts(sub-transfer agent fees) paid to Natixis Distribution are subject to a currentper-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the six months ended June 30, 2019, thesub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
Fund | Sub-Transfer | |||
Strategic Alpha Fund | $ | 412,896 | ||
U.S. Equity Opportunities Fund | 244,314 |
As of June 30, 2019, the Funds owe Natixis Distribution the following reimbursements forsub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements of | |||
Strategic Alpha Fund | $ | 9,820 | ||
U.S. Equity Opportunities Fund | 5,858 |
Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on apro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2019 were as follows:
Fund | Commissions | |||
Strategic Alpha Fund | $ | 1,261 | ||
U.S. Equity Opportunities Fund | 18,376 |
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 or their affiliates. The Chairperson of the Board of Trustees
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
receives a retainer fee at the annual rate of $360,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $190,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocatedpro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
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 the U.S. Equity Opportunities Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2020 and is not subject to recovery under the expense limitation agreement described above. Natixis Advisors had given a binding contractual undertaking to the Strategic Alpha Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking was in effect through April 30, 2019 and is not subject to recovery under the expense limitation agreement described above.
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:
Reimbursement of | ||||
Fund | Class N | |||
Strategic Alpha Fund | 205 | |||
U.S. Equity Opportunities Fund | 76 |
h. Affiliated Ownership. As of June 30, 2019, the Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Strategic Alpha Fund representing 0.16% of the Fund’s net assets. Natixis and affiliates held shares of U.S. Equity Opportunities Fund representing less than 0.01% of the Fund’s net assets.
7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C, and Class Y are allocated on apro ratabasis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
For the six months ended June 30, 2019, the Funds incurred the following class-specific transfer agent fees and expenses (includingsub-transfer agent fees, where applicable):
Transfer Agent Fees and Expenses | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Strategic Alpha Fund | $ | 19,290 | $ | 7,662 | $ | 318 | $ | 401,591 | ||||||||
U.S. Equity Opportunities Fund | 241,595 | 34,842 | 76 | 129,681 |
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected as legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, neither Fund had borrowings under this agreement.
9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
Strategic Alpha Fund isnon-diversified, which means it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.
10. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
Strategic Alpha Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 3,506,495 | $ | 34,083,805 | 1,902,859 | $ | 18,643,184 | ||||||||||
Issued in connection with the reinvestment of distributions | 89,388 | 870,814 | 87,934 | 860,102 | ||||||||||||
Redeemed | (744,176 | ) | (7,256,417 | ) | (1,018,074 | ) | (10,074,904 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,851,707 | $ | 27,698,202 | 972,719 | $ | 9,428,382 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 62,881 | $ | 609,063 | 632,600 | $ | 6,161,447 | ||||||||||
Issued in connection with the reinvestment of distributions | 15,708 | 152,310 | 51,094 | 498,519 | ||||||||||||
Redeemed | (655,433 | ) | (6,352,277 | ) | (1,295,865 | ) | (12,777,946 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (576,844 | ) | $ | (5,590,904 | ) | (612,171 | ) | $ | (6,117,980 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 2,305,331 | $ | 22,419,868 | 22,029,860 | $ | 218,736,227 | ||||||||||
Issued in connection with the reinvestment of distributions | 452,543 | 4,402,042 | 952,881 | 9,315,262 | ||||||||||||
Redeemed | (275,868 | ) | (2,684,563 | ) | (2,385,120 | ) | (23,546,282 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,482,006 | $ | 24,137,347 | 20,597,621 | $ | 204,505,207 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 23,484,544 | $ | 228,418,771 | 60,785,713 | $ | 599,944,907 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,299,718 | 12,641,633 | 2,375,280 | 23,181,067 | ||||||||||||
Redeemed | (22,282,042 | ) | (216,929,827 | ) | (43,762,727 | ) | (432,199,544 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 2,502,220 | $ | 24,130,577 | 19,398,266 | $ | 190,926,430 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 7,259,089 | $ | 70,375,222 | 40,356,435 | $ | 398,742,039 | ||||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
10. Capital Shares (continued).
| Six Months Ended June 30, 2019 | | Year Ended December 31, 2018 | |||||||||||||
U.S. Equity Opportunities Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A |
| |||||||||||||||
Issued from the sale of shares | 752,423 | $ | 25,370,120 | 2,296,546 | $ | 86,556,990 | ||||||||||
Issued in connection with the reinvestment of distributions | 451,049 | 16,007,700 | 1,653,093 | 51,341,261 | ||||||||||||
Redeemed | (1,326,064 | ) | (46,562,952 | ) | (3,432,504 | ) | (126,242,869 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (122,592 | ) | $ | (5,185,132 | ) | 517,135 | $ | 11,655,382 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued from the sale of shares | 260,586 | $ | 5,926,569 | 1,030,778 | $ | 25,786,943 | ||||||||||
Issued in connection with the reinvestment of distributions | 134,573 | 3,093,849 | 503,353 | 10,537,724 | ||||||||||||
Redeemed | (645,783 | ) | (14,749,326 | ) | (2,053,605 | ) | (52,913,322 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (250,624 | ) | $ | (5,728,908 | ) | (519,474 | ) | $ | (16,588,655 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class N |
| |||||||||||||||
Issued from the sale of shares | 6 | $ | 264 | — | $ | — | ||||||||||
Issued in connection with the reinvestment of distributions | 1 | 35 | 3 | 100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 7 | $ | 299 | 3 | $ | 100 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y |
| |||||||||||||||
Issued from the sale of shares | 1,198,307 | $ | 48,906,914 | 3,676,417 | $ | 160,325,492 | ||||||||||
Issued in connection with the reinvestment of distributions | 156,754 | 6,553,873 | 628,147 | 22,760,558 | ||||||||||||
Redeemed | (2,382,999 | ) | (98,171,349 | ) | (2,840,359 | ) | (120,906,634 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,027,938 | ) | $ | (42,710,562 | ) | 1,464,205 | $ | 62,179,416 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (1,401,147 | ) | $ | (53,624,303 | ) | 1,461,869 | $ | 57,246,243 | ||||||||
|
|
|
|
|
|
|
|
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Table of Contents
LOOMIS SAYLES FUNDS
Supplement dated February 12, 2019 to the Loomis Sayles Funds Statutory Prospectus, dated February 1, 2019, the Natixis Funds Statutory Prospectus dated February 1, 2019, April 1, 2018, May 1, 2018, June 1, 2018 and December 28, 2018, as may be revised or supplemented from time to time, for the following funds:
AEW Real Estate Fund | Mirova International Sustainable Equity Fund | |
ASG Global Alternatives Fund | Natixis Oakmark Fund | |
ASG Managed Futures Strategy Fund | Natixis Oakmark International Fund | |
Gateway Fund | Natixis Sustainable Future 2015 FundSM | |
Gateway Equity Call Premium Fund | Natixis Sustainable Future 2020 FundSM | |
Loomis Sayles Global Allocation Fund | Natixis Sustainable Future 2025 FundSM | |
Loomis Sayles Global Growth Fund | Natixis Sustainable Future 2030 FundSM | |
Loomis Sayles Growth Fund | Natixis Sustainable Future 2035 FundSM | |
Loomis Sayles High Income Fund | Natixis Sustainable Future 2040 FundSM | |
Loomis Sayles Intermediate Duration Bond Fund | Natixis Sustainable Future 2045 FundSM | |
Loomis Sayles Investment Grade Bond Fund | Natixis Sustainable Future 2050 FundSM | |
Loomis Sayles Limited Term Government and Agency Fund | Natixis Sustainable Future 2055 FundSM | |
Loomis Sayles Multi-Asset Income Fund | Natixis Sustainable Future 2060 FundSM | |
Loomis Sayles Senior Floating Rate and Fixed Income Fund | Natixis U.S. Equity Opportunities Fund | |
Loomis Sayles Strategic Alpha Fund | Vaughan Nelson Select Fund | |
Loomis Sayles Strategic Income Fund | Vaughan Nelson Small Cap Value Fund | |
Mirova Global Green Bond Fund | Vaughan Nelson Value Opportunity Fund | |
Mirova Global Sustainable Equity Fund |
Effective immediately, the information under thesub-section “Class N Shares” in the section “Purchase and Sale of Fund Shares” of the Fund Summary for each Fund is hereby amended and restated as follows:
Class N shares of the Fund are subject to a $1,000,000 initial investment minimum. There is no initial investment minimum for Certain Retirement Plans and funds of funds that are distributed by Natixis Distribution, L.P. (the “Distributor”). Sub accounts held
This page not part of shareholder report | SP2019-32 |
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within an omnibus account, where the omnibus account has at least $1,000,000, are not required to meet the investment minimum. There is no subsequent investment minimum for these shares. In its sole discretion, the Distributor may waive the investment minimum requirement for accounts as to which the Distributor reasonably believes will have enough assets to exceed the investment minimum requirement within a relatively short period of time following the establishment date of such accounts in Class N. If, after two years, an account’s value does not exceed the investment minimum requirement, the Distributor and the Fund reserve the right to redeem such account.
This page not part of shareholder report
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Loomis Sayles Multi-Asset Income Fund
Mirova Global Sustainable Equity Fund
Natixis Oakmark Fund
Natixis Oakmark International Fund
Natixis U.S. Equity Opportunities Fund
(each a “Fund”)
Supplement dated May 23, 2019 to the Natixis Funds Prospectus and Summary Prospectuses, each dated May 1, 2019, as may be revised and supplemented from time to time.
Effective immediately, the text of the last footnote to the “Annual Fund Operating Expenses” table in the “Fund Fees & Expenses”sub-section of the Fund Summary section of each Fund’s prospectus is hereby amended and restated as follows:
Natixis Advisors, L.P. (“Natixis Advisors”) has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for Class N shares. This undertaking is in effect through April 30, 2020 and may be terminated before then only with the consent of the Fund’s Board of Trustees.
This page not part of shareholder report
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NATIXIS FUNDS
Supplement dated June 28, 2019 to the Natixis Funds Prospectuses and Summary Prospectuses, each dated May 1, 2019, as may be revised or supplemented from time to time, for the following funds:
LOOMIS SAYLES HIGH INCOME FUND
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
LOOMIS SAYLES STRATEGIC ALPHA FUND
The biographical information for Matthew J. Eagan, under “Loomis Sayles” in the subsection “Meet the Funds’ Portfolio Managers” under the section “Management Team” in the Prospectus is amended to include the following:
Matthew J. Eagan is an Executive Vice President and a member of the Board of Directors of Loomis Sayles.
ASG Dynamic Allocation Fund | McDonnell Intermediate Municipal Bond Fund | |
ASG Global Alternatives Fund | Mirova Global Green Bond Fund | |
ASG Managed Futures Strategy Fund | Mirova Global Sustainable Equity Fund | |
ASG Tactical U.S. Market Fund | Mirova International Sustainable Equity Fund | |
Gateway Equity Call Premium Fund | Natixis Oakmark Fund | |
Gateway Fund | Natixis Oakmark International Fund | |
Loomis Sayles High Income Fund | Natixis U.S. Equity Opportunities Fund | |
Loomis Sayles Investment Grade Bond Fund | Vaughan Nelson Small Cap Value Fund | |
Loomis Sayles Multi-Asset Income Fund | Vaughan Nelson Value Opportunity Fund | |
Loomis Sayles Strategic Alpha Fund |
(each a “Fund”)
Effective July 1, 2019, the following is added to the Prospectus as “APPENDIX B — Financial Intermediary Specific Commissions & Investment Minimum Waivers”.
APPENDIX B — Financial Intermediary Specific Commissions & Investment Minimum Waivers
UBS Financial Services, Inc.(“UBS-FS”)
Pursuant to an agreement with the Funds, Class Y shares may be available on certain brokerage platforms atUBS-FS. For such platforms,UBS-FS may charge commissions
This page not part of shareholder report
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on brokerage transactions in each Fund’s Class Y shares. A shareholder should contactUBS-FS for information about the commissions charged byUBS-FS for such transactions. Shares of each Fund are available in other share classes that have different fees and expenses.
The initial and subsequent investment minimums for Class Y shares are waived for transactions through such brokerage platforms atUBS-FS.
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Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Companies and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Securities Holders. |
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. | Controls and Procedures. |
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this FormN-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that 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 forClosed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a) | (1) | Not applicable. | ||
(a) | (2) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule30a-2(a) under the Investment Company Act of 1940 (17 CFR270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively. | ||
(a) | (3) | Not applicable. | ||
(b) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b). |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust I | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | August 21, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | August 21, 2019 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | August 21, 2019 |