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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:811-06241
Loomis Sayles Funds II
(Exact name of Registrant as specified in charter)
888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197 |
(Address of principal executive offices) (Zip code) |
Russell L. Kane, Esq.
Natixis Distribution, L.P.
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617)449-2822
Date of fiscal year end: September 30
Date of reporting period: September 30, 2019
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Item 1. Reports to Stockholders.
The Registrant’s annual report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 is as follows:
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Loomis Sayles Small Cap Growth Fund
Loomis Sayles Small Cap Value Fund
Loomis Sayles Small/Mid Cap Growth Fund
Annual Report
September 30, 2019
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Portfolio Review | 1 | |||
Portfolio of Investments | 22 | |||
Financial Statements | 40 | |||
Notes to Financial Statements | 52 |
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 calling1-800-633-3330. 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/loomissayles.
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LOOMIS SAYLES SMALL CAP GROWTH FUND
Managers | Symbols | |||
Mark F. Burns, CFA® | Institutional Class | LSSIX | ||
John J. Slavik, CFA® | Retail Class | LCGRX | ||
Class N | LSSNX |
Investment Objective
The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.
Market Conditions
The12-month period ending September 30, 2019 was challenging for domestic small cap equities. The worst market conditions came in the fourth quarter of 2018, as stocks sold off dramatically. On a market cap basis, large cap stocks outperformed, as measured by the Russell indices.
Small cap value managers generally fared better than their growth peers, as the Russell 2000® Growth Index was down close to 10% during the12-month period, compared to the Russell 2000® Value Index’s 8.24% decline. Most sectors in the benchmark, the Russell 2000® Growth Index, posted negative returns, with energy being a particularly noteworthy underperformer. The utility sector, however, was an outlier to the upside, posting returns close to 27%.
Performance Results
For the 12 months ended September 30, 2019, Institutional Class shares of the Loomis Sayles Small Cap Growth Fund returned-6.88% at net asset value. The Fund held up better than its benchmark, the Russell 2000® Growth Index, which returned-9.63%.
Explanation of Fund Performance
Among contributors to overall return, stock selection in the financials and communication services sectors, along with an overweight position in the information technology sector, drove the Fund’s outperformance. By contrast, underweight positioning in the real estate and utilities sectors, which outperformed the benchmark, and an overweight position to the energy sector, which underperformed the benchmark, hurt relative performance.
Among individual stocks, the Fund’s top contributors to performance were insurance company Kinsale Capital Group Inc., Goosehead Insurance Inc. and medical device producer Insulet Corp. Kinsale Capital was the Fund’s top performing stock. Kinsale is the only publicly traded property and casualty insurance company focused on the excess and surplus market, and results were strong during the year due to premium growth as the competitive environment became more favorable. Goosehead Insurance reported strong results driven by growth in its franchise and corporate business segments, while better than expected commissions helped to boost results. Insulet reported strong results during the
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year, with healthy international sales after working through inventory issues in the previous quarter. Margins were strong, and US new patient starts were at anall-time high. Insulet also began distributing into a new channel (pharmacy) which expanded its market reach and ease of access for patients.
Conversely, optical retailer National Vision Holdings Inc., cloud-based healthcare management platform provider HealthEquity Inc. and casino gaming products specialist PlayAGS Inc. were the largest detractors to the Fund’s performance. National Vision declined during the year amid concerns that comparable sales would fail to accelerate, attracting a short-seller research report that weighed on the stock. HealthEquity suffered from concerns around slowing growth and abating catalysts. Despite reporting solid results, expectations were high and investors were disappointed. Concern also grew about the impact of lower interest rates on HealthEquity’s custody business. Finally, PlayAGS reported results that fell short of expectations. The shortfall was due to a variety of issues, including regional product weakness, weather and higher than anticipated expenses.
Outlook
As we look forward, we continue to be focused on the underlying business trends of our existing holdings and potential new additions to ensure revenue and earnings growth trends can remain intact. This may prove challenging if earnings estimates continue to see downward pressure.
Markets may be volatile as investors search for clues about the health of the global economy. Central banks appear to be willing to support the global economy, which may reduce some near-term risks. US trade policy remains a source of uncertainty for corporate decision makers and investors. If theUS-China trade war is resolved, there could be a rebound in the broader global economy towards the end of the year. Business confidence indicators in the US have shown some signs of weakness, and the inversion of the yield curve further supports the market’s position at the later stages of the cycle. Volatility remains subdued, but macroeconomic and geopolitical events could cause it to return.
While the outlook remains uncertain, we will not attempt to alter our process. As always, we look to deliver to our clients a compelling level of positive risk-adjusted returns that compound over time.
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LOOMIS SAYLES SMALL CAP GROWTH FUND
Hypothetical Growth of $100,000 Investment in Institutional Class Shares
September 30, 2009 through September 30, 20192
Top Ten Holdings as of September 30, 2019
Security name | % of assets | |||||
1 | Kinsale Capital Group, Inc. | 1.82 | % | |||
2 | POOL CORP. | 1.75 | ||||
3 | WNS Holdings Ltd., ADR | 1.74 | ||||
4 | Albany International Corp., Class A | 1.72 | ||||
5 | InterXion Holding NV | 1.68 | ||||
6 | Mercury Systems, Inc. | 1.64 | ||||
7 | Trex Co., Inc. | 1.63 | ||||
8 | Goosehead Insurance, Inc., Series A | 1.57 | ||||
9 | SiteOne Landscape Supply, Inc. | 1.55 | ||||
10 | RBC Bearings, Inc. | 1.53 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.
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Average Annual Total Returns — September30, 20192
Expense Ratios3 | ||||||||||||||||||||||||
1 year | 5 years | 10 years | Life of Class N | Gross | Net | |||||||||||||||||||
Institutional Class (Inception12/31/96) | -6.88 | % | 11.17 | % | 14.32 | % | — | % | 0.94 | % | 0.94 | % | ||||||||||||
Retail Class (Inception12/31/96) | -7.11 | 10.90 | 14.03 | — | 1.19 | 1.19 | ||||||||||||||||||
Class N (Inception2/1/13) | -6.76 | 11.31 | — | 12.56 | 0.82 | 0.82 | ||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||
Russell2000® Growth Index1 | -9.63 | 9.08 | 12.25 | 10.75 |
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 loomissayles.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 | Russell2000® Growth Index is an unmanaged index that measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values. |
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 01/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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LOOMIS SAYLES SMALL CAP VALUE FUND
Managers | Symbols | |||
Joseph R. Gatz, CFA® | Institutional Class | LSSCX | ||
Jeffrey Schwartz, CFA® | Retail Class | LSCRX | ||
Admin Class | LSVAX | |||
Class N | LSCNX |
Investment Objective
The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.
Market Conditions
Stocks tumbled during the fourth quarter of 2018 over concerns about US Federal Reserve (the Fed) policy tightening, trade wars, and weaker global growth which contributed to a negative turn in investor sentiment. The equity market then staged a remarkable rally during the first nine weeks of 2019 before settling into a trading range for the balance of the12-month period. Large cap stocks recorded a modest gain for the period, while small cap stocks finished modestly lower.
Lingering investor concerns over the Fed having “overtightened” in 2018, evidence of a softening global economy, and heightened activity related to international trade and tariffs led to increased market volatility throughout the year. Top performers included more defensive investments, including larger capitalization stocks, higher visibility business models, and companies with the healthiest balance sheets.
Interest rates fell fairly dramatically across the maturity spectrum as the result of softer economic data and the Fed moving to an accommodative stance, lowering interest rates twice during the third quarter of 2019.
Small cap growth stocks and value stocks swapped leadership throughout the period with small cap value returns ending just ahead of growth, helped by a stunning value rally in the month of September.
Performance Results
For the 12 months ended September 30, 2019, Institutional Class shares of the Loomis Sayles Small Cap Value Fund returned-4.11% at net asset value. The Fund held up better than its benchmark, the Russell 2000® Value Index, which returned-8.24%.
Explanation of Fund Performance
The Fund started the fiscal year period positioned fairly conservatively, favoring the upper portion of the market capitalization range and emphasizing companies with highly durable business models. The Fund maintained a fairly significant underweight to the energy sector, which was by far the worst performing area of the small cap market. An overweight to information technology also added to relative performance.
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Stock selection was favorable across most sectors of the Fund, but especially so in the consumer discretionary and health care sectors. Among individual stocks, Mellanox Technologies, Ltd., Aerojet Rocketdyne Holdings, Inc. and Euronet Worldwide, Inc. had the largest positive contributions to performance for the period.
Mellanox Technologies is a leading provider of networking technologies used for high performance and cloud computing. The company has benefited from the explosion of data and proliferation of data centers driving demand for faster networks and interconnects. During the first quarter of 2019, Mellanox agreed to be acquired, providing an additional boost to their share price.
Aerojet Rocketdyne is the leading independent provider of propulsion systems to space, missile defense, and tactical missile customers. It is benefiting from the overall growth of investments in space as well as an increasingly complex geopolitical environment. Profit margins have improved as the company has consolidated its manufacturing footprint.
Euronet facilitates electronic financial transactions on a global basis and manages ATM networks. The stock outperformed as prior regulatory concerns in its electronic funds transfer segment abated and high earnings visibility companies were in favor with investors.
On the negative side, the Fund’s underweight in the “bond proxy” sectors such as real estate and utilities detracted from relative performance, as interest rates declined fairly substantially during the period. Stock selection was also weak within the information technology and financials sectors. During the12-month period, Conduent, Inc., Avanos Medical, Inc. and Apergy Corporation detracted the most from performance.
Conduent is a leading service company specializing in transaction-intensive services including health savings account administration and toll processing. The company was spun off from Xerox Corporation in 2016 and has made progress reducing its cost structure. However, it has been burdened by legacy technology systems issues and has been unable to add new business as quickly as originally anticipated.
Avanos was spun off from Kimberly-Clark in 2015 and has now transformed itself into a pure-play medical device company. Industry-wide shortages of two pain medications manufactured by Pfizer that are used in the company’sOn-Q pain pumps have temporarily constrained top line growth, negatively affecting investor enthusiasm for the stock.
Apergy provides equipment and services in the drilling and production phases of oil and gas wells. Energy stocks were the worst performing sector over the trailing 12 months, and oil services stocks were the weakest segment within energy as rig counts have fallen and drilling companies have cut back on capital expenditures to maintain current wells.
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LOOMIS SAYLES SMALL CAP VALUE FUND
Outlook
We remain committed to identify inefficiencies in the small cap market that result in stock prices and valuations that do not accurately reflect our assessment of the underlying value of the corporate enterprise. We apply this approach consistently over time, regardless of the current market environment.
While many forms of inefficiency may exist in the market, we focus on companies that are misunderstood, underfollowed or in the midst of a “special situation” where we believe we can use our strengths and consistent process. We require fundamentally sound business models, capable management teams and financial stability. Key to our process are distinct, company-specific catalysts on the horizon to sustain, enhance, or highlight the fundamental outlook. These principles are applied consistently over time, regardless of the current market environment. With a margin of safety and a proper time horizon, our goal is to achieve an attractive return for our investors, while managing to an appropriate level of risk.
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Hypothetical Growth of $100,000 Investment in Institutional Class Shares
September 30, 2009 through September 30, 20193
Top Ten Holdings as of September 30, 2019
Security name | % of assets | |||||
1 | ALLETE, Inc. | 1.54 | % | |||
2 | Viad Corp. | 1.42 | ||||
3 | Churchill Downs, Inc. | 1.31 | ||||
4 | NextEra Energy Partners LP | 1.23 | ||||
5 | Nomad Foods Ltd. | 1.22 | ||||
6 | Littelfuse, Inc. | 1.19 | ||||
7 | Vistra Energy Corp. | 1.17 | ||||
8 | Armstrong World Industries, Inc. | 1.15 | ||||
9 | GCI Liberty, Inc., Class A | 1.15 | ||||
10 | Reinsurance Group of America, Inc. | 1.14 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.
See notes to chart on page 9.
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LOOMIS SAYLES SMALL CAP VALUE FUND
Average Annual Total Returns — September30, 20193
Expense Ratios4 | ||||||||||||||||||||||||
1 year | 5 years | 10 years | Life of Class N | Gross | Net | |||||||||||||||||||
Institutional Class (Inception5/13/91) | -4.11 | % | 7.57 | % | 10.97 | % | — | % | 0.95 | % | 0.93 | % | ||||||||||||
Retail Class (Inception12/31/96) | -4.33 | 7.30 | 10.70 | — | 1.20 | 1.18 | ||||||||||||||||||
Admin Class (Inception1/2/98) | -4.60 | 7.04 | 10.43 | — | 1.45 | 1.43 | ||||||||||||||||||
Class N (Inception2/1/13) | -4.07 | 7.64 | — | 9.15 | 0.86 | 0.86 | ||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||
Russell2000® Value Index1 | -8.24 | 7.17 | 10.06 | 8.23 | ||||||||||||||||||||
Russell2000® Index2 | -8.89 | 8.19 | 11.19 | 9.53 |
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 loomissayles.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 | Russell2000® 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. |
2 | Russell2000® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe. |
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 01/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND
Managers | Symbols | |||
Mark F. Burns, CFA® | Institutional Class | LSMIX | ||
John J. Slavik, CFA® |
Investment Objective
The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.
Market Conditions
The12-month period ending September 30, 2019 was challenging for domestic small cap equities. Mid-cap and large cap equities posted positive returns over the year. After a dramatic selloff in the fourth quarter of 2018, most domestic equity indices bounced back, but the Russell 2500TM Growth Index (the Index) still finished lower for the period. On a market cap basis, large cap stocks outperformed, as measured by the Russell indices.
The Russell benchmarks showed minimal performance differential between growth and value managers in the small/mid-cap market. Most sectors in the growth benchmark posted negative returns, with energy being a particularly noteworthy underperformer within the Index, losing approximately 48%. The utility sector, however, was an outlier to the upside, posting returns close to 27%.
Performance Results
For the 12 months ended September 30, 2019, Institutional Class shares of the Loomis Sayles Small/Mid Cap Growth Fund returned-3.27% at net asset value. The Fund held up better than its benchmark, the Russell 2500TM Growth Index, which returned-4.11%.
Explanation of Fund Performance
The Fund’s relative performance was driven by stock selection, with particularly strong contributions from the health care, industrials and financials sectors. Stock selection in the information technology sector detracted from relative performance.
Among individual stocks, the Fund’s top contributors to performance were medical device producer Insulet Corp., electronic fixed income trading platform provider MarketAxess Holdings Inc. and aftermarket aircraft parts supplier Heico Corp. Insulet reported strong results during the year, with healthy international sales after working through inventory issues in the previous quarter. Margins were also strong, and US new patient starts were at anall-time high. The company began distributing into a new channel (pharmacy) which expanded its market reach and ease of access for patients. MarketAxess reported solid results throughout the year, citing improving market conditions for credit trading, and volume trended ahead of prior time periods. Heico benefited from robust demand and a strong pipeline of M&A targets. The market has been favorable for its flight support business, givenair-traffic increases and fleet expansion. Rising US defense spending has also benefited its electronic technologies business.
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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND
Conversely, transportation and logistics services company XPO Logistics, cloud-based healthcare management platform provider HealthEquity Inc. and modular space rental solutions specialist WillScot Corp. were the largest detractors to performance for the12-month time period. The bulk of the impact from these holdings was concentrated in the market selloff of the fourth quarter of 2018. XPO Logistics declined in response to a report from a short-selling investment firm. The logistics company disputed the report’s merit, but given heavy selling pressure across all equities, the stock declined significantly. HealthEquity suffered from concerns around slowing growth and abating catalysts. Despite reporting solid results, expectations were high and investors were disappointed. Concern also grew about the impact of lower interest rates on HealthEquity’s custody business. Finally, WillScot issued stock to warrant holders during poor market conditions, which likely created selling pressure on the stock.
Outlook
As we look forward, we continue to be focused on the underlying business trends of our existing holdings and potential new additions to ensure revenue and earnings growth trends can remain intact. This may prove challenging if earnings estimates continue to see downward pressure.
Markets may be volatile as investors search for clues about the health of the global economy. Central banks appear to be willing to support the global economy, which may reduce some near-term risks. US trade policy remains a source of uncertainty for corporate decision makers and investors. If theUS-China trade war is resolved, there could be a rebound in the broader global economy towards the end of the year. Business confidence indicators in the US have shown some signs of weakness, and the inversion of the yield curve further supports the market’s position at the later stages of the cycle. Volatility remains subdued, but macroeconomic and geopolitical events could cause it to return.
While the outlook remains uncertain, we will not attempt to alter our process. As always, we look to deliver to our clients a compelling level of positive risk-adjusted returns that compound over time.
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Hypothetical Growth of $1,000,000 Investment in Institutional Class Shares
June 30, 2015 (inception) through September 30, 20192
Top Ten Holdings as of September 30, 2019
Security name | % of assets | |||||
1 | Insulet Corp. | 2.04 | % | |||
2 | Live Nation Entertainment, Inc. | 1.75 | ||||
3 | EPAM Systems, Inc. | 1.75 | ||||
4 | Bright Horizons Family Solutions, Inc. | 1.64 | ||||
5 | Guidewire Software, Inc. | 1.63 | ||||
6 | Generac Holdings, Inc. | 1.59 | ||||
7 | Hexcel Corp. | 1.51 | ||||
8 | HEICO Corp. | 1.49 | ||||
9 | Booz Allen Hamilton Holding Corp. | 1.47 | ||||
10 | ICON PLC | 1.46 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.
See notes to chart on page 13.
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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND
Average Annual Total Returns — September30, 20192
Expense Ratios3 | ||||||||||||||||
1 year | Life of Fund | Gross | Net | |||||||||||||
Institutional Class (Inception6/30/15) | -3.27 | % | 10.02 | % | 1.42 | % | 0.85 | % | ||||||||
Comparative Performance | ||||||||||||||||
Russell2500TM Growth Index1 | -4.11 | 8.23 |
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 loomissayles.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 | TheRussell2500TM Growth Index measures the performance of the small-to-mid-cap growth segment of the US equity universe. It includes those Russell 2500TM Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2500TM Growth Index is constructed to provide a comprehensive and unbiased barometer of the small-to-mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-to-mid-cap opportunity set and that the represented companies continue to reflect growth characteristics. Indices are unmanaged. |
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 01/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
Additional Index Information
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
Proxy Voting Information
A description of the Funds’ proxy voting policies and procedures is available without charge upon request, by calling Loomis Sayles at 800-633-3330; on the Funds’ website, at www.loomissayles.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Funds’ website and the SEC’s website.
Quarterly Portfolio Schedules
The 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 are available on the SEC’s website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
UNDERSTANDING YOUR FUND’S EXPENSES
As a mutual fund shareholder you incur two types of costs: (1)transaction costs and (2) 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
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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 Fund shows theactual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2019 through September 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 Fund 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 Funds to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
Loomis Sayles Small Cap Growth Fund
Institutional Class | Beginning Account Value 4/1/2019 | Ending Account Value 9/30/2019 | Expenses Paid During Period* 4/1/2019 – 9/30/2019 | |||||||||
Actual | $1,000.00 | $1,000.00 | $4.76 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.31 | $4.81 | |||||||||
Retail Class | ||||||||||||
Actual | $1,000.00 | $998.70 | $6.01 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.05 | $6.07 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,000.80 | $4.16 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.91 | $4.20 | |||||||||
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.95%, 1.20% and 0.83% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period). |
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Loomis Sayles Small Cap Value Fund
Institutional Class | Beginning Account Value 4/1/2019 | Ending Account Value 9/30/2019 | Expenses Paid During Period* 4/1/2019 – 9/30/2019 | |||||||||
Actual | $1,000.00 | $1,035.80 | $4.59 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.56 | $4.56 | |||||||||
Retail Class | ||||||||||||
Actual | $1,000.00 | $1,035.00 | $5.87 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.30 | $5.82 | |||||||||
Admin Class | ||||||||||||
Actual | $1,000.00 | $1,033.30 | $7.14 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.05 | $7.08 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,036.10 | $4.24 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.91 | $4.20 | |||||||||
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.83% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period). |
|
Loomis Sayles Small/Mid Cap Growth Fund
Institutional Class | Beginning Account Value 4/1/2019 | Ending Account Value 9/30/2019 | Expenses Paid During Period* 4/1/2019 – 9/30/2019 | |||||||||
Actual | $1,000.00 | $1,028.70 | $4.32 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.81 | $4.31 | |||||||||
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.85%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period). |
|
| 16
Table of Contents
BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS
The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an 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 adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ advisory fees to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about any applicable expense 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) 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 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, 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
17 |
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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, 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.
| 18
Table of Contents
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 Small Cap Growth Fund | 20% | 32% | 29% | |||||||||
Loomis Sayles Small Cap Value Fund | 80% | 62% | 48% | |||||||||
Loomis Sayles Small/Mid Cap Growth Fund | 63% | 27% | N/A |
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 performance, although lagging in certain periods, was competitive over the long term relative to its category and (3) that the Fund’s performance has been competitive when compared to its benchmark.
The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations
19 |
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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 have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under their caps. The Trustees also considered that Loomis Sayles Small Cap Growth Fund’s current expenses are below its cap. The Trustees noted that the Funds had total advisory fee rates that were below the medians of their respective peer groups of funds.
The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about 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 fee charged to each of the Funds was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense caps. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense caps. With respect to economies of scale, the Trustees noted that although none of the Funds’ management fees were subject to breakpoints, 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 Adviser and its affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment the Adviser has made into its business.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
| 20
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 Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Funds. |
• | So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution and administrative services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
• | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2020.
21 |
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Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Growth Fund
Shares | Description | Value (†) | ||||||
Common Stocks –97.0% of Net Assets | ||||||||
Aerospace & Defense –4.9% |
| |||||||
396,117 | AAR Corp. | $ | 16,323,982 | |||||
299,980 | Hexcel Corp. | 24,637,357 | ||||||
627,968 | Kratos Defense & Security Solutions, Inc.(a) | 11,677,065 | ||||||
331,133 | Mercury Systems, Inc.(a) | 26,878,066 | ||||||
|
| |||||||
79,516,470 | ||||||||
|
| |||||||
Air Freight & Logistics –0.6% |
| |||||||
468,325 | Air Transport Services Group, Inc.(a) | 9,844,192 | ||||||
|
| |||||||
Auto Components –1.8% |
| |||||||
211,674 | Fox Factory Holding Corp.(a) | 13,174,590 | ||||||
533,557 | Stoneridge, Inc.(a) | 16,524,260 | ||||||
|
| |||||||
29,698,850 | ||||||||
|
| |||||||
Banks –0.8% |
| |||||||
324,015 | TCF Financial Corp. | 12,335,251 | ||||||
|
| |||||||
Biotechnology –6.8% |
| |||||||
542,550 | Aimmune Therapeutics, Inc.(a) | 11,360,997 | ||||||
130,269 | Argenx SE, ADR(a) | 14,845,455 | ||||||
155,230 | Blueprint Medicines Corp.(a) | 11,404,748 | ||||||
891,462 | Epizyme, Inc.(a) | 9,195,431 | ||||||
191,893 | Genomic Health, Inc.(a) | 13,014,183 | ||||||
717,044 | Halozyme Therapeutics, Inc.(a) | 11,121,353 | ||||||
214,459 | PTC Therapeutics, Inc.(a) | 7,253,003 | ||||||
211,167 | Repligen Corp.(a) | 16,194,397 | ||||||
132,173 | Ultragenyx Pharmaceutical, Inc.(a) | 5,654,361 | ||||||
324,210 | Xencor, Inc.(a) | 10,935,603 | ||||||
|
| |||||||
110,979,531 | ||||||||
|
| |||||||
Building Products –3.3% |
| |||||||
381,251 | AAON, Inc. | 17,514,671 | ||||||
280,254 | Advanced Drainage Systems, Inc. | 9,043,796 | ||||||
292,715 | Trex Co., Inc.(a) | 26,616,575 | ||||||
|
| |||||||
53,175,042 | ||||||||
|
| |||||||
Capital Markets –1.5% |
| |||||||
473,303 | AssetMark Financial Holdings, Inc.(a) | 12,329,543 | ||||||
210,143 | Hamilton Lane, Inc., Class A | 11,969,745 | ||||||
|
| |||||||
24,299,288 | ||||||||
|
| |||||||
Commercial Services & Supplies –1.4% |
| |||||||
407,711 | Casella Waste Systems, Inc., Class A(a) | 17,507,110 | ||||||
82,854 | McGrath RentCorp | 5,765,810 | ||||||
|
| |||||||
23,272,920 | ||||||||
|
|
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Growth Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Construction & Engineering –0.7% |
| |||||||
586,308 | Primoris Services Corp. | $ | 11,497,500 | |||||
|
| |||||||
Distributors –1.7% |
| |||||||
142,067 | POOL CORP. | 28,654,914 | ||||||
|
| |||||||
Diversified Consumer Services –2.7% |
| |||||||
65,770 | Chegg, Inc.(a) | 1,969,811 | ||||||
221,828 | Grand Canyon Education, Inc.(a) | 21,783,510 | ||||||
1,213,083 | Laureate Education, Inc., Class A(a) | 20,106,851 | ||||||
|
| |||||||
43,860,172 | ||||||||
|
| |||||||
Diversified Telecommunication Services –1.8% |
| |||||||
175,533 | Bandwidth, Inc., Class A(a) | 11,428,954 | ||||||
313,582 | Cogent Communications Holdings, Inc. | 17,278,368 | ||||||
|
| |||||||
28,707,322 | ||||||||
|
| |||||||
Electrical Equipment –1.5% |
| |||||||
306,443 | Generac Holdings, Inc.(a) | 24,006,745 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components –1.8% |
| |||||||
224,265 | Novanta, Inc.(a) | 18,326,936 | ||||||
79,955 | Rogers Corp.(a) | 10,930,648 | ||||||
|
| |||||||
29,257,584 | ||||||||
|
| |||||||
Energy Equipment & Services –1.5% |
| |||||||
361,165 | Apergy Corp.(a) | 9,769,513 | ||||||
486,364 | Cactus, Inc., Class A(a) | 14,075,374 | ||||||
|
| |||||||
23,844,887 | ||||||||
|
| |||||||
Entertainment –1.0% |
| |||||||
772,351 | IMAX Corp.(a) | 16,953,104 | ||||||
|
| |||||||
Food & Staples Retailing –1.2% |
| |||||||
490,272 | Chefs’ Warehouse, Inc. (The)(a) | 19,767,767 | ||||||
|
| |||||||
Food Products –2.5% |
| |||||||
486,364 | Freshpet, Inc.(a) | 24,206,336 | ||||||
592,544 | Simply Good Foods Co. (The)(a) | 17,177,851 | ||||||
|
| |||||||
41,384,187 | ||||||||
|
| |||||||
Health Care Equipment & Supplies –4.3% |
| |||||||
539,957 | AtriCure, Inc.(a) | 13,466,527 | ||||||
232,358 | CONMED Corp. | 22,341,222 | ||||||
403,478 | CryoLife, Inc.(a) | 10,954,428 | ||||||
86,196 | Penumbra, Inc.(a) | 11,592,500 | ||||||
191,307 | Quidel Corp.(a) | 11,736,684 | ||||||
|
| |||||||
70,091,361 | ||||||||
|
|
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Growth Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Health Care Providers & Services –3.1% |
| |||||||
143,042 | Amedisys, Inc.(a) | $ | 18,739,933 | |||||
292,130 | BioTelemetry, Inc.(a) | 11,898,455 | ||||||
172,197 | LHC Group, Inc.(a) | 19,554,691 | ||||||
|
| |||||||
50,193,079 | ||||||||
|
| |||||||
Health Care Technology –2.0% |
| |||||||
480,653 | HMS Holdings Corp.(a) | 16,565,706 | ||||||
317,354 | Inovalon Holdings, Inc., Class A(a) | 5,201,432 | ||||||
123,736 | Medidata Solutions, Inc.(a) | 11,321,844 | ||||||
|
| |||||||
33,088,982 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure –1.9% |
| |||||||
227,202 | Planet Fitness, Inc., Class A(a) | 13,148,180 | ||||||
200,181 | Wingstop, Inc. | 17,471,797 | ||||||
|
| |||||||
30,619,977 | ||||||||
|
| |||||||
Insurance –5.4% |
| |||||||
521,174 | Goosehead Insurance, Inc., Series A | 25,719,937 | ||||||
298,454 | James River Group Holdings Ltd. | 15,292,783 | ||||||
288,327 | Kinsale Capital Group, Inc. | 29,787,062 | ||||||
227,700 | Palomar Holdings, Inc.(a) | 8,975,934 | ||||||
312,539 | Trupanion, Inc.(a) | 7,944,742 | ||||||
|
| |||||||
87,720,458 | ||||||||
|
| |||||||
IT Services –6.0% |
| |||||||
419,962 | EVERTEC, Inc. | 13,111,213 | ||||||
694,439 | Evo Payments, Inc., Class A(a) | 19,527,625 | ||||||
336,496 | InterXion Holding NV(a) | 27,410,964 | ||||||
489,661 | NIC, Inc. | 10,111,500 | ||||||
485,096 | WNS Holdings Ltd., ADR(a) | 28,499,390 | ||||||
|
| |||||||
98,660,692 | ||||||||
|
| |||||||
Leisure Products –1.0% |
| |||||||
807,526 | Callaway Golf Co. | 15,674,080 | ||||||
|
| |||||||
Life Sciences Tools & Services –2.6% |
| |||||||
248,963 | Adaptive Biotechnologies Corp.(a) | 7,692,957 | ||||||
556,959 | NeoGenomics, Inc.(a) | 10,649,056 | ||||||
248,935 | PRA Health Sciences, Inc.(a) | 24,701,820 | ||||||
|
| |||||||
43,043,833 | ||||||||
|
| |||||||
Machinery –7.1% |
| |||||||
312,022 | Albany International Corp., Class A | 28,131,904 | ||||||
259,953 | Chart Industries, Inc.(a) | 16,210,669 | ||||||
757,470 | Harsco Corp.(a) | 14,361,631 | ||||||
558,616 | Kornit Digital Ltd.(a) | 17,194,200 |
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Growth Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Machinery – continued |
| |||||||
154,255 | Proto Labs, Inc.(a) | $ | 15,749,436 | |||||
150,266 | RBC Bearings, Inc.(a) | 24,930,632 | ||||||
|
| |||||||
116,578,472 | ||||||||
|
| |||||||
Pharmaceuticals –3.7% |
| |||||||
526,049 | Horizon Therapeutics PLC(a) | 14,324,314 | ||||||
169,856 | MyoKardia, Inc.(a) | 8,857,991 | ||||||
292,093 | Pacira BioSciences, Inc.(a) | 11,119,981 | ||||||
123,053 | Reata Pharmaceuticals, Inc., Class A(a) | 9,879,925 | ||||||
279,844 | Supernus Pharmaceuticals, Inc.(a) | 7,690,113 | ||||||
211,004 | Zogenix, Inc.(a) | 8,448,600 | ||||||
|
| |||||||
60,320,924 | ||||||||
|
| |||||||
Professional Services –2.5% |
| |||||||
329,963 | Huron Consulting Group, Inc.(a) | 20,239,931 | ||||||
241,771 | ICF International, Inc. | 20,422,396 | ||||||
|
| |||||||
40,662,327 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment –2.6% |
| |||||||
145,285 | Monolithic Power Systems, Inc. | 22,610,705 | ||||||
184,287 | Silicon Laboratories, Inc.(a) | 20,520,357 | ||||||
|
| |||||||
43,131,062 | ||||||||
|
| |||||||
Software –10.4% |
| |||||||
219,097 | Cornerstone OnDemand, Inc.(a) | 12,010,898 | ||||||
311,826 | Envestnet, Inc.(a) | 17,680,534 | ||||||
422,789 | Five9, Inc.(a) | 22,720,681 | ||||||
155,913 | Globant S.A.(a) | 14,278,512 | ||||||
108,071 | HubSpot, Inc.(a) | 16,384,644 | ||||||
396,852 | Mimecast Ltd.(a) | 14,155,711 | ||||||
167,402 | PROS Holdings, Inc.(a) | 9,977,159 | ||||||
299,638 | Q2 Holdings, Inc.(a) | 23,632,449 | ||||||
397,340 | Rapid7, Inc.(a) | 18,035,263 | ||||||
342,834 | RealPage, Inc.(a) | 21,550,545 | ||||||
|
| |||||||
170,426,396 | ||||||||
|
| |||||||
Specialty Retail –1.4% |
| |||||||
618,740 | National Vision Holdings, Inc.(a) | 14,893,072 | ||||||
265,304 | Sonic Automotive, Inc., Class A | 8,333,198 | ||||||
|
| |||||||
23,226,270 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods –2.1% |
| |||||||
218,610 | Columbia Sportswear Co. | 21,181,123 | ||||||
368,575 | Steven Madden Ltd. | 13,191,299 | ||||||
|
| |||||||
34,372,422 | ||||||||
|
|
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Growth Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Thrifts & Mortgage Finance –1.9% |
| |||||||
342,306 | Essent Group Ltd. | $ | 16,317,727 | |||||
563,784 | NMI Holdings, Inc., Class A(a) | 14,804,968 | ||||||
|
| |||||||
31,122,695 | ||||||||
|
| |||||||
Trading Companies & Distributors –1.5% |
| |||||||
342,054 | SiteOne Landscape Supply, Inc.(a) | 25,318,837 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $1,312,164,600) | 1,585,307,593 | |||||||
|
| |||||||
| Principal Amount | |||||||
Short-Term Investments –3.4% | ||||||||
$ | 55,500,624 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $55,502,319 on 10/01/2019 collateralized by $54,620,000 U.S. Treasury Note, 2.125% due 5/15/2025 valued at $56,612,374 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $55,500,624) | 55,500,624 | |||||
|
| |||||||
Total Investments –100.4% (Identified Cost $1,367,665,224) | 1,640,808,217 | |||||||
Other assets less liabilities—(0.4)% | (6,644,063 | ) | ||||||
|
| |||||||
Net Assets –100.0% | $ | 1,634,164,154 | ||||||
|
| |||||||
(†) | 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. |
|
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Growth Fund – continued
Industry Summary at September 30, 2019
Software | 10.4 | % | ||
Machinery | 7.1 | |||
Biotechnology | 6.8 | |||
IT Services | 6.0 | |||
Insurance | 5.4 | |||
Aerospace & Defense | 4.9 | |||
Health Care Equipment & Supplies | 4.3 | |||
Pharmaceuticals | 3.7 | |||
Building Products | 3.3 | |||
Health Care Providers & Services | 3.1 | |||
Diversified Consumer Services | 2.7 | |||
Semiconductors & Semiconductor Equipment | 2.6 | |||
Life Sciences Tools & Services | 2.6 | |||
Food Products | 2.5 | |||
Professional Services | 2.5 | |||
Textiles, Apparel & Luxury Goods | 2.1 | |||
Health Care Technology | 2.0 | |||
Other Investments, less than 2% each | 25.0 | |||
Short-Term Investments | 3.4 | |||
|
| |||
Total Investments | 100.4 | |||
Other assets less liabilities | (0.4 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Value Fund
Shares | Description | Value (†) | ||||||
Common Stocks – 99.0% of Net Assets | ||||||||
Aerospace & Defense –1.7% |
| |||||||
156,282 | Aerojet Rocketdyne Holdings, Inc.(a) | $ | 7,893,804 | |||||
74,984 | BWX Technologies, Inc. | 4,289,834 | ||||||
|
| |||||||
12,183,638 | ||||||||
|
| |||||||
Auto Components –1.5% |
| |||||||
152,445 | Cooper Tire & Rubber Co. | 3,981,863 | ||||||
48,454 | Fox Factory Holding Corp.(a) | 3,015,777 | ||||||
39,753 | LCI Industries | 3,651,313 | ||||||
|
| |||||||
10,648,953 | ||||||||
|
| |||||||
Banks –15.0% |
| |||||||
154,250 | Ameris Bancorp | 6,207,020 | ||||||
166,240 | BancorpSouth Bank | 4,922,366 | ||||||
107,053 | Bank OZK | 2,919,335 | ||||||
160,522 | Bryn Mawr Bank Corp. | 5,860,658 | ||||||
93,549 | Carolina Financial Corp. | 3,324,732 | ||||||
138,995 | Cathay General Bancorp | 4,827,991 | ||||||
227,100 | CenterState Bank Corp. | 5,446,994 | ||||||
256,269 | CVB Financial Corp. | 5,348,334 | ||||||
220,906 | First Financial Bancorp | 5,406,674 | ||||||
346,655 | Home BancShares, Inc. | 6,515,381 | ||||||
89,891 | IBERIABANK Corp. | 6,790,366 | ||||||
139,260 | PacWest Bancorp | 5,060,709 | ||||||
95,744 | Pinnacle Financial Partners, Inc. | 5,433,472 | ||||||
151,044 | Popular, Inc. | 8,168,460 | ||||||
108,832 | Prosperity Bancshares, Inc. | 7,686,804 | ||||||
40,560 | Signature Bank | 4,835,563 | ||||||
160,207 | TCF Financial Corp. | 6,099,081 | ||||||
197,480 | Triumph Bancorp, Inc.(a) | 6,297,637 | ||||||
113,943 | Wintrust Financial Corp. | 7,364,136 | ||||||
|
| |||||||
108,515,713 | ||||||||
|
| |||||||
Beverages –0.7% |
| |||||||
416,350 | Cott Corp. | 5,191,884 | ||||||
|
| |||||||
Biotechnology –0.5% |
| |||||||
44,384 | United Therapeutics Corp.(a) | 3,539,624 | ||||||
|
| |||||||
Building Products –1.7% |
| |||||||
46,323 | American Woodmark Corp.(a) | 4,118,578 | ||||||
85,931 | Armstrong World Industries, Inc. | 8,309,528 | ||||||
|
| |||||||
12,428,106 | ||||||||
|
| |||||||
Capital Markets –1.5% |
| |||||||
325,208 | Donnelley Financial Solutions, Inc.(a) | 4,006,563 | ||||||
116,480 | Stifel Financial Corp. | 6,683,622 | ||||||
|
| |||||||
10,690,185 | ||||||||
|
|
See accompanying notes to financial statements.
| 28
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Value Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Chemicals –3.1% |
| |||||||
186,220 | AdvanSix, Inc.(a) | $ | 4,789,578 | |||||
53,359 | Ashland Global Holdings, Inc. | 4,111,311 | ||||||
122,555 | Cabot Corp. | 5,554,193 | ||||||
40,317 | Ingevity Corp.(a) | 3,420,494 | ||||||
69,697 | WR Grace & Co. | 4,652,972 | ||||||
|
| |||||||
22,528,548 | ||||||||
|
| |||||||
Commercial Services & Supplies –4.4% |
| |||||||
89,279 | Clean Harbors, Inc.(a) | 6,892,339 | ||||||
172,650 | IAA, Inc.(a) | 7,204,684 | ||||||
172,650 | KAR Auction Services, Inc. | 4,238,557 | ||||||
175,199 | Kimball International, Inc., Class B | 3,381,341 | ||||||
152,591 | Viad Corp. | 10,246,486 | ||||||
|
| |||||||
31,963,407 | ||||||||
|
| |||||||
Communications Equipment –1.2% |
| |||||||
272,103 | Digi International, Inc.(a) | 3,706,043 | ||||||
360,583 | Viavi Solutions, Inc.(a) | 5,049,965 | ||||||
|
| |||||||
8,756,008 | ||||||||
|
| |||||||
Construction & Engineering –0.9% |
| |||||||
186,609 | Arcosa, Inc. | 6,383,894 | ||||||
|
| |||||||
Distributors –0.6% |
| |||||||
127,834 | Core-Mark Holding Co., Inc. | 4,105,389 | ||||||
|
| |||||||
Diversified Consumer Services –1.6% |
| |||||||
112,585 | frontdoor, Inc.(a) | 5,468,253 | ||||||
149,813 | OneSpaWorld Holdings Ltd.(a) | 2,326,596 | ||||||
66,542 | ServiceMaster Global Holdings, Inc.(a) | 3,719,698 | ||||||
|
| |||||||
11,514,547 | ||||||||
|
| |||||||
Diversified Financial Services –0.8% |
| |||||||
226,416 | Cannae Holdings, Inc.(a) | 6,219,648 | ||||||
|
| |||||||
Diversified Telecommunication Services –1.1% |
| |||||||
133,581 | GCI Liberty, Inc., Class A(a) | 8,291,373 | ||||||
|
| |||||||
Electric Utilities –1.5% |
| |||||||
127,026 | ALLETE, Inc. | 11,103,343 | ||||||
|
| |||||||
Electrical Equipment –0.6% |
| |||||||
227,061 | TPI Composites, Inc.(a) | 4,257,394 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components –2.8% |
| |||||||
108,422 | Kimball Electronics, Inc.(a) | 1,573,203 | ||||||
48,470 | Littelfuse, Inc. | 8,594,216 | ||||||
157,993 | Methode Electronics, Inc. | 5,314,884 |
See accompanying notes to financial statements.
29 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Value Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Electronic Equipment, Instruments & Components – continued |
| |||||||
15,858 | Rogers Corp.(a) | $ | 2,167,947 | |||||
201,758 | TTM Technologies, Inc.(a) | 2,460,439 | ||||||
|
| |||||||
20,110,689 | ||||||||
|
| |||||||
Energy Equipment & Services –1.1% |
| |||||||
223,506 | Apergy Corp.(a) | 6,045,837 | ||||||
41,390 | DMC Global, Inc. | 1,820,332 | ||||||
|
| |||||||
7,866,169 | ||||||||
|
| |||||||
Entertainment –0.5% |
| |||||||
128,200 | Liberty Media Corp.-Liberty Braves, Class C(a) | 3,557,550 | ||||||
|
| |||||||
Food Products –3.6% |
| |||||||
224,605 | Darling Ingredients, Inc.(a) | 4,296,693 | ||||||
35,446 | J&J Snack Foods Corp. | 6,805,632 | ||||||
431,084 | Nomad Foods Ltd.(a) | 8,837,222 | ||||||
56,983 | Post Holdings, Inc.(a) | 6,031,081 | ||||||
|
| |||||||
25,970,628 | ||||||||
|
| |||||||
Health Care Equipment & Supplies –2.0% |
| |||||||
112,321 | Avanos Medical, Inc.(a) | 4,207,545 | ||||||
77,360 | Quidel Corp.(a) | 4,746,036 | ||||||
187,113 | Varex Imaging Corp.(a) | 5,340,205 | ||||||
|
| |||||||
14,293,786 | ||||||||
|
| |||||||
Health Care Providers & Services –0.8% |
| |||||||
100,333 | AMN Healthcare Services, Inc.(a) | 5,775,167 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure –2.8% |
| |||||||
76,463 | Churchill Downs, Inc. | 9,439,740 | ||||||
22,981 | Cracker Barrel Old Country Store, Inc. | 3,737,860 | ||||||
70,132 | Marriott Vacations Worldwide Corp. | 7,266,376 | ||||||
|
| |||||||
20,443,976 | ||||||||
|
| |||||||
Household Durables –0.8% |
| |||||||
35,486 | Helen of Troy Ltd.(a) | 5,594,723 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers –3.2% |
| |||||||
168,813 | NextEra Energy Partners LP | 8,920,079 | ||||||
140,035 | NRG Energy, Inc. | 5,545,386 | ||||||
317,351 | Vistra Energy Corp. | 8,482,792 | ||||||
|
| |||||||
22,948,257 | ||||||||
|
| |||||||
Industrial Conglomerates –0.7% |
| |||||||
162,759 | Raven Industries, Inc. | 5,445,916 | ||||||
|
| |||||||
Insurance –3.9% |
| |||||||
178,589 | Employers Holdings, Inc. | 7,782,908 |
See accompanying notes to financial statements.
| 30
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Value Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Insurance – continued |
| |||||||
122,468 | First American Financial Corp. | $ | 7,226,837 | |||||
133,106 | ProAssurance Corp. | 5,360,179 | ||||||
51,406 | Reinsurance Group of America, Inc. | 8,218,791 | ||||||
|
| |||||||
28,588,715 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail –0.4% |
| |||||||
287,102 | Qurate Retail, Inc., Class A(a) | 2,961,457 | ||||||
|
| |||||||
IT Services –5.1% |
| |||||||
376,418 | Conduent, Inc.(a) | 2,341,320 | ||||||
115,704 | CSG Systems International, Inc. | 5,979,583 | ||||||
49,840 | Euronet Worldwide, Inc.(a) | 7,291,592 | ||||||
204,987 | Genpact Ltd. | 7,943,246 | ||||||
224,297 | Perspecta, Inc. | 5,858,638 | ||||||
37,706 | WEX, Inc.(a) | 7,619,251 | ||||||
|
| |||||||
37,033,630 | ||||||||
|
| |||||||
Leisure Products –0.6% |
| |||||||
77,944 | Brunswick Corp. | 4,062,441 | ||||||
|
| |||||||
Machinery –4.2% |
| |||||||
55,864 | Alamo Group, Inc. | 6,576,310 | ||||||
67,500 | Altra Industrial Motion Corp. | 1,869,413 | ||||||
157,864 | Columbus McKinnon Corp. | 5,750,986 | ||||||
357,465 | Harsco Corp.(a) | 6,777,536 | ||||||
34,564 | John Bean Technologies Corp. | 3,436,699 | ||||||
69,131 | Kadant, Inc. | 6,069,010 | ||||||
|
| |||||||
30,479,954 | ||||||||
|
| |||||||
Marine –0.4% |
| |||||||
35,137 | Kirby Corp.(a) | 2,886,856 | ||||||
|
| |||||||
Media –1.3% |
| |||||||
374,795 | Gray Television, Inc.(a) | 6,116,654 | ||||||
78,466 | John Wiley & Sons, Inc., Class A | 3,447,796 | ||||||
|
| |||||||
9,564,450 | ||||||||
|
| |||||||
Metals & Mining –0.4% |
| |||||||
507,316 | Ferroglobe R&W Trust(a)(b)(c)(d) | — | ||||||
81,689 | Haynes International, Inc. | 2,927,734 | ||||||
|
| |||||||
2,927,734 | ||||||||
|
| |||||||
Multi-Utilities –2.1% |
| |||||||
245,544 | MDU Resources Group, Inc. | 6,921,885 | ||||||
108,521 | NorthWestern Corp. | 8,144,501 | ||||||
|
| |||||||
15,066,386 | ||||||||
|
|
See accompanying notes to financial statements.
31 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Value Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Oil, Gas & Consumable Fuels –1.5% |
| |||||||
35,050 | Arch Coal, Inc., Class A | $ | 2,600,710 | |||||
565,046 | SRC Energy, Inc.(a) | 2,633,114 | ||||||
192,547 | Viper Energy Partners LP | 5,327,776 | ||||||
|
| |||||||
10,561,600 | ||||||||
|
| |||||||
Personal Products –0.5% |
| |||||||
35,613 | Medifast, Inc. | 3,690,575 | ||||||
|
| |||||||
Pharmaceuticals –1.4% |
| |||||||
124,259 | Catalent, Inc.(a) | 5,922,184 | ||||||
143,865 | Supernus Pharmaceuticals, Inc.(a) | 3,953,410 | ||||||
|
| |||||||
9,875,594 | ||||||||
|
| |||||||
Professional Services –2.8% |
| |||||||
92,412 | ASGN, Inc.(a) | 5,809,018 | ||||||
241,312 | Clarivate Analytics PLC(a) | 4,070,933 | ||||||
61,988 | Insperity, Inc. | 6,113,257 | ||||||
111,257 | Korn Ferry | 4,298,971 | ||||||
|
| |||||||
20,292,179 | ||||||||
|
| |||||||
REITs – Apartments –0.8% |
| |||||||
119,160 | American Campus Communities, Inc. | 5,729,213 | ||||||
|
| |||||||
REITs – Diversified –0.6% |
| |||||||
160,546 | Outfront Media, Inc. | 4,459,968 | ||||||
|
| |||||||
REITs – Hotels –0.8% |
| |||||||
71,375 | Ryman Hospitality Properties, Inc. | 5,839,189 | ||||||
|
| |||||||
REITs – Office Property –0.9% |
| |||||||
160,908 | JBG SMITH Properties | 6,309,203 | ||||||
|
| |||||||
REITs – Shopping Centers –0.8% |
| |||||||
314,399 | Retail Opportunity Investments Corp. | 5,731,494 | ||||||
|
| |||||||
REITs – Single Tenant –1.5% |
| |||||||
274,618 | Essential Properties Realty Trust, Inc. | 6,291,498 | ||||||
85,107 | National Retail Properties, Inc. | 4,800,035 | ||||||
|
| |||||||
11,091,533 | ||||||||
|
| |||||||
REITs – Storage –0.9% |
| |||||||
182,971 | CubeSmart | 6,385,688 | ||||||
|
| |||||||
REITs – Warehouse/Industrials –2.9% |
| |||||||
184,388 | Americold Realty Trust | 6,835,263 | ||||||
87,780 | CyrusOne, Inc. | 6,943,398 | ||||||
173,265 | Rexford Industrial Realty, Inc. | 7,627,125 | ||||||
|
| |||||||
21,405,786 | ||||||||
|
|
See accompanying notes to financial statements.
| 32
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Value Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Road & Rail –1.2% |
| |||||||
39,114 | Genesee & Wyoming, Inc., Class A(a) | $ | 4,322,488 | |||||
24,283 | Old Dominion Freight Line, Inc. | 4,127,382 | ||||||
|
| |||||||
8,449,870 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment –2.1% |
| |||||||
97,629 | Advanced Energy Industries, Inc.(a) | 5,604,881 | ||||||
39,706 | Mellanox Technologies Ltd.(a) | 4,351,381 | ||||||
167,797 | Tower Semiconductor Ltd.(a) | 3,228,414 | ||||||
35,140 | Versum Materials, Inc. | 1,859,960 | ||||||
|
| |||||||
15,044,636 | ||||||||
|
| |||||||
Software –1.5% |
| |||||||
123,311 | ACI Worldwide, Inc.(a) | 3,862,717 | ||||||
42,553 | LogMeIn, Inc. | 3,019,561 | ||||||
95,772 | Verint Systems, Inc.(a) | 4,097,126 | ||||||
|
| |||||||
10,979,404 | ||||||||
|
| |||||||
Specialty Retail –1.7% |
| |||||||
106,551 | Aaron’s, Inc. | 6,846,967 | ||||||
189,878 | Urban Outfitters, Inc.(a) | 5,333,673 | ||||||
|
| |||||||
12,180,640 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance –2.0% |
| |||||||
51,558 | Federal Agricultural Mortgage Corp., Class C | 4,210,226 | ||||||
152,408 | Meta Financial Group, Inc. | 4,970,025 | ||||||
214,056 | OceanFirst Financial Corp. | 5,051,722 | ||||||
|
| |||||||
14,231,973 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $511,675,605) | 716,158,683 | |||||||
|
| |||||||
| Principal Amount | |||||||
Short-Term Investments –1.0% | ||||||||
$ | 7,065,933 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $7,066,149 on 10/01/2019 collateralized by $6,755,000 U.S. Treasury Note, 2.625% due 12/31/2025 valued at $7,207,524 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,065,933) | 7,065,933 | |||||
|
| |||||||
Total Investments –100.0% (Identified Cost $518,741,538) | 723,224,616 | |||||||
Other assets less liabilities—(0.0)% | (252,118 | ) | ||||||
|
| |||||||
Net Assets –100.0% | $ | 722,972,498 | ||||||
|
|
See accompanying notes to financial statements.
33 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small Cap Value Fund – continued
(†) | See Note 2 of Notes to Financial Statements. | |||||
(a) | Non-income producing security. | |||||
(b) | Security subject to restrictions on resale. This security was acquired on November 29, 2016 at a cost of $0. At September 30, 2019, the value of this security amounted to $0. | |||||
(c) | Illiquid security. (Unaudited) | |||||
(d) | Security classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2019, the value of this security amounted to $0. See Note 2 of Notes to Financial Statements. | |||||
REITs | Real Estate Investment Trusts |
Industry Summary at September30, 2019
Banks | 15.0 | % | ||
IT Services | 5.1 | |||
Commercial Services & Supplies | 4.4 | |||
Machinery | 4.2 | |||
Insurance | 3.9 | |||
Food Products | 3.6 | |||
Independent Power & Renewable Electricity Producers | 3.2 | |||
Chemicals | 3.1 | |||
REITs – Warehouse/Industrials | 2.9 | |||
Hotels, Restaurants & Leisure | 2.8 | |||
Professional Services | 2.8 | |||
Electronic Equipment, Instruments & Components | 2.8 | |||
Multi-Utilities | 2.1 | |||
Semiconductors & Semiconductor Equipment | 2.1 | |||
Health Care Equipment & Supplies | 2.0 | |||
Thrifts & Mortgage Finance | 2.0 | |||
Other Investments, less than 2% each | 37.0 | |||
Short-Term Investments | 1.0 | |||
|
| |||
Total Investments | 100.0 | |||
Other assets less liabilities | (0.0 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 34
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Small/Mid Cap Growth Fund
Shares | Description | Value (†) | ||||||
Common Stocks –89.1% of Net Assets | ||||||||
Aerospace & Defense –3.0% |
| |||||||
4,107 | HEICO Corp. | $ | 512,882 | |||||
6,313 | Hexcel Corp. | 518,487 | ||||||
|
| |||||||
1,031,369 | ||||||||
|
| |||||||
Banks –1.1% |
| |||||||
8,551 | Western Alliance Bancorp | 394,030 | ||||||
|
| |||||||
Biotechnology –3.3% |
| |||||||
1,938 | Argenx SE, ADR(a) | 220,855 | ||||||
2,826 | Ascendis Pharma AS, ADR(a) | 272,200 | ||||||
3,554 | Blueprint Medicines Corp.(a) | 261,112 | ||||||
4,152 | Neurocrine Biosciences, Inc.(a) | 374,137 | ||||||
|
| |||||||
1,128,304 | ||||||||
|
| |||||||
Capital Markets –3.6% |
| |||||||
15,962 | Ares Management Corp., Class A | 427,941 | ||||||
1,237 | MarketAxess Holdings, Inc. | 405,118 | ||||||
2,695 | Morningstar, Inc. | 393,847 | ||||||
|
| |||||||
1,226,906 | ||||||||
|
| |||||||
Commercial Services & Supplies –1.4% |
| |||||||
11,984 | Ritchie Bros. Auctioneers, Inc. | 478,162 | ||||||
|
| |||||||
Communications Equipment –1.3% |
| |||||||
11,391 | Ciena Corp.(a) | 446,869 | ||||||
|
| |||||||
Distributors –1.4% |
| |||||||
2,308 | POOL CORP. | 465,524 | ||||||
|
| |||||||
Diversified Consumer Services –4.2% |
| |||||||
3,685 | Bright Horizons Family Solutions, Inc.(a) | 561,962 | ||||||
4,925 | Grand Canyon Education, Inc.(a) | 483,635 | ||||||
24,873 | Laureate Education, Inc., Class A(a) | 412,270 | ||||||
|
| |||||||
1,457,867 | ||||||||
|
| |||||||
Diversified Telecommunication Services –1.1% |
| |||||||
7,051 | Cogent Communications Holdings, Inc. | 388,510 | ||||||
|
| |||||||
Electrical Equipment –2.6% |
| |||||||
2,479 | Acuity Brands, Inc. | 334,144 | ||||||
6,961 | Generac Holdings, Inc.(a) | 545,325 | ||||||
|
| |||||||
879,469 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components –2.5% |
| |||||||
8,104 | FLIR Systems, Inc. | 426,189 | ||||||
10,712 | Trimble, Inc.(a) | 415,733 | ||||||
|
| |||||||
841,922 | ||||||||
|
|
See accompanying notes to financial statements.
35 |
Table of Contents
Portfolio of Investments – as of September30, 2019
Loomis Sayles Small/Mid Cap Growth Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Energy Equipment & Services –0.8% |
| |||||||
9,363 | Cactus, Inc., Class A(a) | $ | 270,965 | |||||
|
| |||||||
Entertainment –1.7% |
| |||||||
9,036 | Live Nation Entertainment, Inc.(a) | 599,448 | ||||||
|
| |||||||
Food & Staples Retailing –2.0% |
| |||||||
2,641 | Casey’s General Stores, Inc. | 425,624 | ||||||
13,951 | Sprouts Farmers Market, Inc.(a) | 269,812 | ||||||
|
| |||||||
695,436 | ||||||||
|
| |||||||
Food Products –2.4% |
| |||||||
8,733 | Freshpet, Inc.(a) | 434,641 | ||||||
19,623 | Nomad Foods Ltd.(a) | 402,272 | ||||||
|
| |||||||
836,913 | ||||||||
|
| |||||||
Health Care Equipment & Supplies –4.9% |
| |||||||
6,340 | Globus Medical, Inc., Class A(a) | 324,101 | ||||||
4,236 | Insulet Corp.(a) | 698,643 | ||||||
1,616 | Penumbra, Inc.(a) | 217,336 | ||||||
3,129 | West Pharmaceutical Services, Inc. | 443,755 | ||||||
|
| |||||||
1,683,835 | ||||||||
|
| |||||||
Health Care Providers & Services –2.0% |
| |||||||
3,988 | LHC Group, Inc.(a) | 452,877 | ||||||
918 | WellCare Health Plans, Inc.(a) | 237,918 | ||||||
|
| |||||||
690,795 | ||||||||
|
| |||||||
Health Care Technology –1.4% |
| |||||||
6,578 | HMS Holdings Corp.(a) | 226,711 | ||||||
2,960 | Medidata Solutions, Inc.(a) | 270,840 | ||||||
|
| |||||||
497,551 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure –3.2% |
| |||||||
6,168 | Planet Fitness, Inc., Class A(a) | 356,942 | ||||||
6,444 | Texas Roadhouse, Inc. | 338,439 | ||||||
1,717 | Vail Resorts, Inc. | 390,721 | ||||||
|
| |||||||
1,086,102 | ||||||||
|
| |||||||
Insurance –2.1% |
| |||||||
5,023 | Kemper Corp. | 391,543 | ||||||
3,159 | Kinsale Capital Group, Inc. | 326,356 | ||||||
|
| |||||||
717,899 | ||||||||
|
| |||||||
IT Services –8.6% |
| |||||||
8,011 | Black Knight, Inc.(a) | 489,152 | ||||||
7,122 | Booz Allen Hamilton Holding Corp. | 505,804 | ||||||
3,789 | Broadridge Financial Solutions, Inc. | 471,465 |
See accompanying notes to financial statements.
| 36
Table of Contents
Portfolio of Investments – as of September30, 2019
Loomis Sayles Small/Mid Cap Growth Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
IT Services – continued |
| |||||||
3,284 | EPAM Systems, Inc.(a) | $ | 598,739 | |||||
13,730 | Evo Payments, Inc., Class A(a) | 386,088 | ||||||
2,453 | WEX, Inc.(a) | 495,678 | ||||||
|
| |||||||
2,946,926 | ||||||||
|
| |||||||
Life Sciences Tools & Services –3.4% |
| |||||||
1,824 | Charles River Laboratories International, Inc.(a) | 241,443 | ||||||
3,399 | ICON PLC(a) | 500,809 | ||||||
4,131 | PRA Health Sciences, Inc.(a) | 409,919 | ||||||
|
| |||||||
1,152,171 | ||||||||
|
| |||||||
Machinery –4.8% |
| |||||||
5,190 | Albany International Corp., Class A | 467,930 | ||||||
14,330 | Gardner Denver Holdings, Inc.(a) | 405,396 | ||||||
6,983 | Helios Technologies, Inc. | 283,300 | ||||||
1,730 | WABCO Holdings, Inc.(a) | 231,388 | ||||||
2,258 | Woodward, Inc. | 243,480 | ||||||
|
| |||||||
1,631,494 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels –0.7% |
| |||||||
2,605 | Diamondback Energy, Inc. | 234,215 | ||||||
|
| |||||||
Pharmaceuticals –1.8% |
| |||||||
6,406 | Catalent, Inc.(a) | 305,310 | ||||||
10,986 | Horizon Therapeutics PLC(a) | 299,149 | ||||||
|
| |||||||
604,459 | ||||||||
|
| |||||||
Professional Services –2.5% |
| |||||||
5,991 | TransUnion | 485,930 | ||||||
6,195 | TriNet Group, Inc.(a) | 385,267 | ||||||
|
| |||||||
871,197 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment –5.4% |
| |||||||
5,954 | Advanced Energy Industries, Inc.(a) | 341,819 | ||||||
3,415 | MKS Instruments, Inc. | 315,136 | ||||||
2,300 | Monolithic Power Systems, Inc. | 357,949 | ||||||
7,036 | Semtech Corp.(a) | 342,020 | ||||||
4,312 | Silicon Laboratories, Inc.(a) | 480,141 | ||||||
|
| |||||||
1,837,065 | ||||||||
|
| |||||||
Software –9.3% |
| |||||||
4,167 | Everbridge, Inc.(a) | 257,146 | ||||||
5,318 | Guidewire Software, Inc.(a) | 560,411 | ||||||
3,107 | HubSpot, Inc.(a) | 471,052 | ||||||
5,360 | j2 Global, Inc. | 486,795 | ||||||
5,121 | Paylocity Holding Corp.(a) | 499,707 | ||||||
3,868 | Pegasystems, Inc. | 263,217 |
See accompanying notes to financial statements.
37 |
Table of Contents
Portfolio of Investments – as of September30, 2019
Loomis Sayles Small/Mid Cap Growth Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Software – continued |
| |||||||
1,068 | Tyler Technologies, Inc.(a) | $ | 280,350 | |||||
4,993 | Zendesk, Inc.(a) | 363,890 | ||||||
|
| |||||||
3,182,568 | ||||||||
|
| |||||||
Specialty Retail –2.3% |
| |||||||
6,547 | Aaron’s, Inc. | 420,710 | ||||||
2,968 | Five Below, Inc.(a) | 374,265 | ||||||
|
| |||||||
794,975 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods –2.1% |
| |||||||
2,764 | Carter’s, Inc. | 252,104 | ||||||
4,296 | Columbia Sportswear Co. | 416,240 | ||||||
2,710 | Under Armour, Inc., Class A(a) | 54,037 | ||||||
|
| |||||||
722,381 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance –1.0% |
| |||||||
7,247 | Essent Group Ltd. | 345,464 | ||||||
|
| |||||||
Trading Companies & Distributors –1.2% |
| |||||||
5,778 | SiteOne Landscape Supply, Inc.(a) | 427,688 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $28,230,728) | 30,568,479 | |||||||
|
| |||||||
| Principal Amount | |||||||
Short-Term Investments –3.6% | ||||||||
$ | 1,255,709 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $1,255,747 on 10/01/2019 collateralized by $1,205,000 U.S. Treasury Note, 2.625% due 1/31/2026 valued at $1,283,779 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,255,709) | 1,255,709 | |||||
|
| |||||||
Total Investments –92.7% (Identified Cost $29,486,437) | 31,824,188 | |||||||
Other assets less liabilities—7.3% | 2,487,780 | |||||||
|
| |||||||
Net Assets –100.0% | $ | 34,311,968 | ||||||
|
| |||||||
(†) | 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. |
|
See accompanying notes to financial statements.
| 38
Table of Contents
Portfolio of Investments – as of September30, 2019
Loomis Sayles Small/Mid Cap Growth Fund – continued
Industry Summary at September 30, 2019
Software | 9.3 | % | ||
IT Services | 8.6 | |||
Semiconductors & Semiconductor Equipment | 5.4 | |||
Health Care Equipment & Supplies | 4.9 | |||
Machinery | 4.8 | |||
Diversified Consumer Services | 4.2 | |||
Capital Markets | 3.6 | |||
Life Sciences Tools & Services | 3.4 | |||
Biotechnology | 3.3 | |||
Hotels, Restaurants & Leisure | 3.2 | |||
Aerospace & Defense | 3.0 | |||
Electrical Equipment | 2.6 | |||
Professional Services | 2.5 | |||
Electronic Equipment, Instruments & Components | 2.5 | |||
Food Products | 2.4 | |||
Specialty Retail | 2.3 | |||
Textiles, Apparel & Luxury Goods | 2.1 | |||
Insurance | 2.1 | |||
Food & Staples Retailing | 2.0 | |||
Health Care Providers & Services | 2.0 | |||
Other Investments, less than 2% each | 14.9 | |||
Short-Term Investments | 3.6 | |||
|
| |||
Total Investments | 92.7 | |||
Other assets less liabilities | 7.3 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
39 |
Table of Contents
Statements of Assets and Liabilities
September 30, 2019
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | ||||||||||
ASSETS |
| |||||||||||
Investments at cost | $ | 1,367,665,224 | $ | 518,741,538 | $ | 29,486,437 | ||||||
Net unrealized appreciation | 273,142,993 | 204,483,078 | 2,337,751 | |||||||||
|
|
|
|
|
| |||||||
Investments at value | 1,640,808,217 | 723,224,616 | 31,824,188 | |||||||||
Cash | — | 21 | — | |||||||||
Receivable for Fund shares sold | 3,854,047 | 733,146 | 2,650,150 | |||||||||
Receivable for securities sold | 16,226,878 | 1,184,781 | 499,418 | |||||||||
Dividends and interest receivable | 280,448 | 771,685 | 3,543 | |||||||||
Prepaid expenses (Note 7) | 117 | 64 | 2 | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 1,661,169,707 | 725,914,313 | 34,977,301 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Payable for securities purchased | 24,440,223 | 1,135,768 | 547,215 | |||||||||
Payable for Fund shares redeemed | 1,139,557 | 1,001,424 | 22,414 | |||||||||
Management fees payable (Note 5) | 1,033,060 | 440,042 | 15,288 | |||||||||
Deferred Trustees’ fees (Note 5) | 197,406 | 236,970 | 25,174 | |||||||||
Administrative fees payable (Note 5) | 60,030 | 26,246 | 1,161 | |||||||||
Payable to distributor (Note 5d) | 15,155 | 6,383 | 9 | |||||||||
Other accounts payable and accrued expenses | 120,122 | 94,982 | 54,072 | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 27,005,553 | 2,941,815 | 665,333 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,634,164,154 | $ | 722,972,498 | $ | 34,311,968 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Paid-in capital | $ | 1,222,672,893 | $ | 466,918,155 | $ | 31,416,440 | ||||||
Accumulated earnings | 411,491,261 | 256,054,343 | 2,895,528 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,634,164,154 | $ | 722,972,498 | $ | 34,311,968 | ||||||
|
|
|
|
|
| |||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||
Institutional Class: |
| |||||||||||
Net assets | $ | 908,615,572 | $ | 433,360,358 | $ | 34,311,968 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 34,548,404 | 15,119,422 | 3,422,035 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 26.30 | $ | 28.66 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Retail Class: |
| |||||||||||
Net assets | $ | 95,634,525 | $ | 134,434,310 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 3,993,192 | 4,783,042 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 23.95 | $ | 28.11 | $ | — | ||||||
|
|
|
|
|
| |||||||
Admin Class shares: |
| |||||||||||
Net assets | $ | — | $ | 13,356,614 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | — | 500,586 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | — | $ | 26.68 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class N shares: |
| |||||||||||
Net assets | $ | 629,914,057 | $ | 141,821,216 | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 23,745,799 | 4,944,207 | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 26.53 | $ | 28.68 | $ | — | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
| 40
Table of Contents
Statements of Operations
For the Year Ended September 30, 2019
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | ||||||||||
INVESTMENT INCOME |
| |||||||||||
Dividends | $ | 4,070,821 | $ | 9,917,219 | $ | 104,043 | ||||||
Interest | 922,045 | 163,867 | 12,865 | |||||||||
Less net foreign taxes withheld | — | (35,326 | ) | (998 | ) | |||||||
|
|
|
|
|
| |||||||
4,992,866 | 10,045,760 | 115,910 | ||||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Management fees (Note 5) | 11,217,209 | 5,996,267 | 175,353 | |||||||||
Service and distribution fees (Note 5) | 269,104 | 475,016 | — | |||||||||
Administrative fees (Note 5) | 658,351 | 351,874 | 10,310 | |||||||||
Trustees’ fees and expenses (Note 5) | 63,099 | 42,520 | 16,461 | |||||||||
Transfer agent fees and expenses (Notes 5 and 6) | 1,209,125 | 655,051 | 2,908 | |||||||||
Audit and tax services fees | 39,427 | 40,130 | 39,697 | |||||||||
Custodian fees and expenses | 48,492 | 25,667 | 6,563 | |||||||||
Legal fees (Note 7) | 44,056 | 24,161 | 637 | |||||||||
Registration fees | 111,127 | 77,888 | 26,339 | |||||||||
Shareholder reporting expenses | 63,833 | 56,174 | 1,497 | |||||||||
Miscellaneous expenses (Note 7) | 70,796 | 45,910 | 23,580 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 13,794,619 | 7,790,658 | 303,345 | |||||||||
Less waiver and/or expense reimbursement (Note 5) | (11,103 | ) | (216,358 | ) | (104,533 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 13,783,516 | 7,574,300 | 198,812 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (8,790,650 | ) | 2,471,460 | (82,902 | ) | |||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||
Net realized gain on: |
| |||||||||||
Investments | 155,991,266 | 55,538,968 | 707,633 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | (268,064,056 | ) | (109,251,529 | ) | (112,924 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | (112,072,790 | ) | (53,712,561 | ) | 594,709 | |||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (120,863,440 | ) | $ | (51,241,101 | ) | $ | 511,807 | ||||
|
|
|
|
|
|
See accompanying notes to financial statements.
41 |
Table of Contents
Statements of Changes in Net Assets
Small Cap Growth Fund | Small Cap Value Fund | |||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | |||||||||||||
FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (8,790,650 | ) | $ | (7,529,984 | ) | $ | 2,471,460 | $ | 2,080,621 | ||||||
Net realized gain on investments | 155,991,266 | 143,506,294 | 55,538,968 | 118,702,551 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (268,064,056 | ) | 216,618,091 | (109,251,529 | ) | (58,719,669 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (120,863,440 | ) | 352,594,401 | (51,241,101 | ) | 62,063,503 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Institutional Class | (74,228,048 | ) | (93,157,470 | ) | (67,841,584 | ) | (73,726,264 | ) | ||||||||
Retail Class | (11,691,827 | ) | (13,096,336 | ) | (23,416,722 | ) | (27,201,028 | ) | ||||||||
Admin Class | — | — | (3,000,140 | ) | (3,453,473 | ) | ||||||||||
Class N | (45,465,070 | ) | (35,428,773 | ) | (18,276,952 | ) | (16,470,360 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (131,384,945 | ) | (141,682,579 | ) | (112,535,398 | ) | (120,851,125 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9) | 305,348,898 | 159,153,016 | (86,935,502 | ) | (50,857,393 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 53,100,513 | 370,064,838 | (250,712,001 | ) | (109,645,015 | ) | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the year | 1,581,063,641 | 1,210,998,803 | 973,684,499 | 1,083,329,514 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the year | $ | 1,634,164,154 | $ | 1,581,063,641 | $ | 722,972,498 | $ | 973,684,499 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
| 42
Table of Contents
Statements of Changes in Net Assets – continued
Small/Mid Cap Growth Fund | ||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment loss | $ | (82,902 | ) | $ | (61,563 | ) | ||
Net realized gain on investments | 707,633 | 5,067,741 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (112,924 | ) | (965,346 | ) | ||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 511,807 | 4,040,832 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Institutional Class | (4,717,064 | ) | — | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9) | 21,017,023 | (1,132,819 | ) | |||||
|
|
|
| |||||
Net increase in net assets | 16,811,766 | 2,908,013 | ||||||
NET ASSETS |
| |||||||
Beginning of the year | 17,500,202 | 14,592,189 | ||||||
|
|
|
| |||||
End of the year | $ | 34,311,968 | $ | 17,500,202 | ||||
|
|
|
|
See accompanying notes to financial statements.
43 |
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
Small Cap Growth Fund—Institutional Class | ||||||||||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | ||||||||||||||||||||
Net asset value, beginning of the period | $ | 31.55 | $ | 27.37 | $ | 22.03 | $ | 22.22 | $ | 24.27 | ||||||||||||||
|
| |||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment loss(a) | (0.16 | ) | (0.16 | ) | (0.12 | ) | (0.09 | ) | (0.14 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (2.51 | ) | 7.54 | 5.46 | 1.59 | 1.63 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from Investment Operations | (2.67 | ) | 7.38 | 5.34 | 1.50 | 1.49 | ||||||||||||||||||
|
| |||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net realized capital gains | (2.58 | ) | (3.20 | ) | — | (1.69 | ) | (3.54 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of the period | $ | 26.30 | $ | 31.55 | $ | 27.37 | $ | 22.03 | $ | 22.22 | ||||||||||||||
|
| |||||||||||||||||||||||
Total return | (6.88 | )% | 29.77 | % | 24.24 | % | 6.92 | % | 5.78 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 908,616 | $ | 926,914 | $ | 824,103 | $ | 812,383 | $ | 800,883 | ||||||||||||||
Net expenses | 0.95 | % | 0.94 | % | 0.95 | % | 0.95 | % | 0.94 | % | ||||||||||||||
Gross expenses | 0.95 | % | 0.94 | % | 0.95 | % | 0.95 | % | 0.94 | % | ||||||||||||||
Net investment loss | (0.62 | )% | (0.58 | )% | (0.49 | )% | (0.41 | )% | (0.57 | )% | ||||||||||||||
Portfolio turnover rate | 67 | % | 41 | % | 45 | % | 56 | % | 78 | % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
See accompanying notes to financial statements.
| 44
Table of Contents
Financial Highlights – continued
For a share outstanding throughout each period.
Small Cap Growth Fund—Retail Class | ||||||||||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | ||||||||||||||||||||
Net asset value, beginning of the period | $ | 29.09 | $ | 25.53 | $ | 20.61 | $ | 20.93 | $ | 23.10 | ||||||||||||||
|
| |||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment loss(a) | (0.21 | ) | (0.22 | ) | (0.16 | ) | (0.13 | ) | (0.19 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (2.35 | ) | 6.98 | 5.08 | 1.50 | 1.56 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from Investment Operations | (2.56 | ) | 6.76 | 4.92 | 1.37 | 1.37 | ||||||||||||||||||
|
| |||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net realized capital gains | (2.58 | ) | (3.20 | ) | — | (1.69 | ) | (3.54 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of the period | $ | 23.95 | $ | 29.09 | $ | 25.53 | $ | 20.61 | $ | 20.93 | ||||||||||||||
|
| |||||||||||||||||||||||
Total return | (7.11 | )%(b) | 29.45 | % | 23.93 | % | 6.61 | % | 5.58 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 95,635 | $ | 136,415 | $ | 107,387 | $ | 118,670 | $ | 162,906 | ||||||||||||||
Net expenses | 1.19 | %(c) | 1.19 | % | 1.20 | % | 1.20 | % | 1.19 | % | ||||||||||||||
Gross expenses | 1.20 | % | 1.19 | % | 1.20 | % | 1.20 | % | 1.19 | % | ||||||||||||||
Net investment loss | (0.86 | )% | (0.82 | )% | (0.73 | )% | (0.66 | )% | (0.82 | )% | ||||||||||||||
Portfolio turnover rate | 67 | % | 41 | % | 45 | % | 56 | % | 78 | % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
See accompanying notes to financial statements.
45 |
Table of Contents
Financial Highlights – continued
For a share outstanding throughout each period.
Small Cap Growth Fund—Class N | ||||||||||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | ||||||||||||||||||||
Net asset value, beginning of the period | $ | 31.76 | $ | 27.50 | $ | 22.11 | $ | 22.27 | $ | 24.29 | ||||||||||||||
|
| |||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment loss(a) | (0.13 | ) | (0.12 | ) | (0.09 | ) | (0.06 | ) | (0.12 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (2.52 | ) | 7.58 | 5.48 | 1.59 | 1.64 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from Investment Operations | (2.65 | ) | 7.46 | 5.39 | 1.53 | 1.52 | ||||||||||||||||||
|
| |||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net realized capital gains | (2.58 | ) | (3.20 | ) | — | (1.69 | ) | (3.54 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of the period | $ | 26.53 | $ | 31.76 | $ | 27.50 | $ | 22.11 | $ | 22.27 | ||||||||||||||
|
| |||||||||||||||||||||||
Total return | (6.76 | )% | 29.93 | % | 24.38 | % | 7.05 | % | 5.92 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 629,914 | $ | 517,734 | $ | 279,508 | $ | 196,733 | $ | 162,591 | ||||||||||||||
Net expenses | 0.82 | % | 0.82 | % | 0.82 | % | 0.83 | % | 0.83 | % | ||||||||||||||
Gross expenses | 0.82 | % | 0.82 | % | 0.82 | % | 0.83 | % | 0.83 | % | ||||||||||||||
Net investment loss | (0.49 | )% | (0.43 | )% | (0.39 | )% | (0.29 | )% | (0.51 | )% | ||||||||||||||
Portfolio turnover rate | 67 | % | 41 | % | 45 | % | 56 | % | 78 | % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
See accompanying notes to financial statements.
| 46
Table of Contents
Financial Highlights – continued
For a share outstanding throughout each period.
Small Cap Value Fund—Institutional Class | ||||||||||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | ||||||||||||||||||||
Net asset value, beginning of the period | $ | 35.27 | $ | 37.37 | $ | 33.78 | $ | 32.19 | $ | 36.40 | ||||||||||||||
|
| |||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.10 | 0.09 | 0.13 | 0.17 | 0.27 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (2.49 | ) | 2.11 | 6.36 | 4.82 | 0.49 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from Investment Operations | (2.39 | ) | 2.20 | 6.49 | 4.99 | 0.76 | ||||||||||||||||||
|
| |||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.05 | ) | (0.14 | ) | (0.22 | ) | (0.22 | ) | ||||||||||||||
Net realized capital gains | (4.14 | ) | (4.25 | ) | (2.76 | ) | (3.18 | ) | (4.75 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Total Distributions | (4.22 | ) | (4.30 | ) | (2.90 | ) | (3.40 | ) | (4.97 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of the period | $ | 28.66 | $ | 35.27 | $ | 37.37 | $ | 33.78 | $ | 32.19 | ||||||||||||||
|
| |||||||||||||||||||||||
Total return(b) | (4.11 | )% | 6.21 | % | 19.68 | % | 16.75 | % | 1.20 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 433,360 | $ | 587,198 | $ | 665,229 | $ | 654,501 | $ | 666,107 | ||||||||||||||
Net expenses(c) | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||||
Gross expenses | 0.93 | % | 0.92 | % | 0.93 | % | 0.93 | % | 0.92 | % | ||||||||||||||
Net investment income | 0.36 | % | 0.26 | % | 0.37 | % | 0.52 | % | 0.75 | % | ||||||||||||||
Portfolio turnover rate | 24 | % | 19 | % | 25 | % | 22 | % | 22 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
See accompanying notes to financial statements.
47 |
Table of Contents
Financial Highlights – continued
For a share outstanding throughout each period.
Small Cap Value Fund—Retail Class | ||||||||||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | ||||||||||||||||||||
Net asset value, beginning of the period | $ | 34.66 | $ | 36.83 | $ | 33.33 | $ | 31.78 | $ | 35.98 | ||||||||||||||
|
| |||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.03 | 0.00 | (b) | 0.04 | 0.08 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.44 | ) | 2.08 | 6.27 | 4.77 | 0.48 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from Investment Operations | (2.41 | ) | 2.08 | 6.31 | 4.85 | 0.66 | ||||||||||||||||||
|
| |||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | — | — | (0.05 | ) | (0.12 | ) | (0.11 | ) | ||||||||||||||||
Net realized capital gains | (4.14 | ) | (4.25 | ) | (2.76 | ) | (3.18 | ) | (4.75 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Total Distributions | (4.14 | ) | (4.25 | ) | (2.81 | ) | (3.30 | ) | (4.86 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of the period | $ | 28.11 | $ | 34.66 | $ | 36.83 | $ | 33.33 | $ | 31.78 | ||||||||||||||
|
| |||||||||||||||||||||||
Total return(c) | (4.33 | )% | 5.95 | % | 19.38 | % | 16.47 | % | 0.94 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 134,434 | $ | 208,310 | $ | 251,405 | $ | 267,936 | $ | 306,360 | ||||||||||||||
Net expenses(d) | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||||||
Gross expenses | 1.18 | % | 1.17 | % | 1.18 | % | 1.18 | % | 1.17 | % | ||||||||||||||
Net investment income | 0.10 | % | 0.01 | % | 0.12 | % | 0.27 | % | 0.50 | % | ||||||||||||||
Portfolio turnover rate | 24 | % | 19 | % | 25 | % | 22 | % | 22 | % |
(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) | 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.
| 48
Table of Contents
Financial Highlights – continued
For a share outstanding throughout each period.
Small Cap Value Fund—Admin Class | ||||||||||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | ||||||||||||||||||||
Net asset value, beginning of the period | $ | 33.25 | $ | 35.58 | $ | 32.31 | $ | 30.88 | $ | 35.06 | ||||||||||||||
|
| |||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.04 | ) | (0.08 | ) | (0.04 | ) | 0.01 | 0.09 | ||||||||||||||||
Net realized and unrealized gain (loss) | (2.39 | ) | 2.00 | 6.07 | 4.62 | 0.48 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from Investment Operations | (2.43 | ) | 1.92 | 6.03 | 4.63 | 0.57 | ||||||||||||||||||
|
| |||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | — | — | — | (0.02 | ) | (0.00 | )(b) | |||||||||||||||||
Net realized capital gains | (4.14 | ) | (4.25 | ) | (2.76 | ) | (3.18 | ) | (4.75 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Total Distributions | (4.14 | ) | (4.25 | ) | (2.76 | ) | (3.20 | ) | (4.75 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of the period | $ | 26.68 | $ | 33.25 | $ | 35.58 | $ | 32.31 | $ | 30.88 | ||||||||||||||
|
| |||||||||||||||||||||||
Total return(c) | (4.60 | )% | 5.68 | % | 19.10 | % | 16.19 | % | 0.71 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 13,357 | $ | 24,530 | $ | 30,533 | $ | 43,973 | $ | 45,762 | ||||||||||||||
Net expenses(d) | 1.40 | % | 1.40 | % | 1.40 | % | 1.39 | %(e) | 1.38 | %(f) | ||||||||||||||
Gross expenses | 1.43 | % | 1.42 | % | 1.43 | % | 1.42 | %(e) | 1.40 | %(f) | ||||||||||||||
Net investment income (loss) | (0.15 | )% | (0.24 | )% | (0.11 | )% | 0.03 | % | 0.28 | % | ||||||||||||||
Portfolio turnover rate | 24 | % | 19 | % | 25 | % | 22 | % | 22 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Includes refund of prior year service fee of 0.01%. |
(f) | Includes refund of prior year service fee of 0.02%. |
See accompanying notes to financial statements.
49 |
Table of Contents
Financial Highlights – continued
For a share outstanding throughout each period.
Small Cap Value Fund—Class N | ||||||||||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2015 | ||||||||||||||||||||
Net asset value, beginning of the period | $ | 35.31 | $ | 37.41 | $ | 33.81 | $ | 32.22 | $ | 36.44 | ||||||||||||||
|
| |||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(a) | 0.12 | 0.12 | 0.15 | 0.19 | 0.27 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (2.50 | ) | 2.11 | 6.37 | 4.83 | 0.50 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total from Investment Operations | (2.38 | ) | 2.23 | 6.52 | 5.02 | 0.77 | ||||||||||||||||||
|
| |||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.11 | ) | (0.08 | ) | (0.16 | ) | (0.25 | ) | (0.24 | ) | ||||||||||||||
Net realized capital gains | (4.14 | ) | (4.25 | ) | (2.76 | ) | (3.18 | ) | (4.75 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Total Distributions | (4.25 | ) | (4.33 | ) | (2.92 | ) | (3.43 | ) | (4.99 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of the period | $ | 28.68 | $ | 35.31 | $ | 37.41 | $ | 33.81 | $ | 32.22 | ||||||||||||||
|
| |||||||||||||||||||||||
Total return | (4.07 | )% | 6.28 | % | 19.78 | % | 16.84 | % | 1.25 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 141,821 | $ | 153,646 | $ | 136,162 | $ | 68,332 | $ | 38,555 | ||||||||||||||
Net expenses | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | %(b) | ||||||||||||||
Gross expenses | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | %(b) | ||||||||||||||
Net investment income | 0.43 | % | 0.33 | % | 0.44 | % | 0.61 | % | 0.76 | % | ||||||||||||||
Portfolio turnover rate | 24 | % | 19 | % | 25 | % | 22 | % | 22 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes fee/expense recovery of less than 0.01%. |
See accompanying notes to financial statements.
| 50
Table of Contents
Financial Highlights – continued
For a share outstanding throughout each period.
Small/Mid Cap Growth Fund—Institutional Class | ||||||||||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | Period Ended September 30, 2015* | ||||||||||||||||||||
Net asset value, beginning of the period | $ | 15.49 | $ | 12.31 | $ | 9.73 | $ | 9.05 | $ | 10.00 | ||||||||||||||
|
| |||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.04 | ) | (0.05 | ) | 0.00 | (b) | (0.02 | ) | (0.01 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (1.55 | )(c) | 3.23 | 2.60 | 0.70 | (0.94 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total from Investment Operations | (1.59 | ) | 3.18 | 2.60 | 0.68 | (0.95 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | — | — | (0.02 | ) | — | — | ||||||||||||||||||
Net realized capital gains | (3.87 | ) | — | — | — | — | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Distributions | (3.87 | ) | — | (0.02 | ) | — | — | |||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of the period | $ | 10.03 | $ | 15.49 | $ | 12.31 | $ | 9.73 | $ | 9.05 | ||||||||||||||
|
| |||||||||||||||||||||||
Total return(d) | (3.27 | )% | 25.83 | % | 26.74 | % | 7.51 | % | (9.50 | )%(e) | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: | ||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 34,312 | $ | 17,500 | $ | 14,592 | $ | 11,974 | $ | 9,242 | ||||||||||||||
Net expenses(f) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | %(g) | ||||||||||||||
Gross expenses | 1.30 | % | 1.43 | % | 1.57 | % | 1.75 | % | 2.65 | %(g) | ||||||||||||||
Net investment income (loss) | (0.35 | )% | (0.35 | )% | 0.01 | % | (0.22 | )% | (0.53 | )%(g) | ||||||||||||||
Portfolio turnover rate | 67 | % | 102 | %(h) | 49 | % | 53 | % | 14 | % |
* | From commencement of operations on June 30, 2015 through September 30, 2015. |
(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. |
(c) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to significant shareholder flows. |
See accompanying notes to financial statements.
51 |
Table of Contents
September 30, 2019
1. Organization. Loomis Sayles Funds 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:
Loomis Sayles Funds I:
Loomis Sayles Small Cap Value Fund (the “Small Cap Value Fund”)
Loomis Sayles Funds II:
Loomis Sayles Small Cap Growth Fund (the “Small Cap Growth Fund”)
Loomis Sayles Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”)
Each Fund is a diversified investment company.
Small Cap Growth Fund and Small Cap Value Fund were closed to new investors effective September 14, 2012 and September 15, 2008, respectively. Small Cap Growth Fundre-opened to new investors effective October 1, 2018. Small Cap Value Fundre-opened to new investors effective November 27, 2017. Small Cap Growth Fund offers Institutional Class, Retail Class and Class N shares. Small Cap Value Fund offers Institutional Class, Retail Class, Admin Class and Class N shares. Small/Mid Cap Growth Fund offers Institutional Class shares.
Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule12b-1 fee. Class N shares are offered with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Small Cap Growth Fund and Small Cap Value Fund and $1,000,000 for Small/Mid Cap Growth Fund. Certain categories of investors are exempted from the minimum investment amount for Class N and Institutional Class as outlined in the relevant Fund’s prospectus. 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 Retail Class and Admin Class), and transfer agent fees are borne collectively for Institutional Class, Retail Class 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
| 52
Table of Contents
Notes to Financial Statements – continued
September 30, 2019
of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser 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 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.
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
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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.
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. 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
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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.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. 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 September 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts 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
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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.
e. 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 return of capital distributions received, deferred Trustees’ fees, and net operating losses. Permanent book and tax basis differences relating to shareholder distributions 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 return of capital distributions received, deferred Trustees’ fees and wash 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 years ended September 30, 2019 and 2018 were as follows:
2019 Distributions Paid From: | 2018 Distributions Paid From: | |||||||||||||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | Ordinary Income | Long-Term Capital Gains | Total | ||||||||||||||||||
Small Cap Growth Fund | $ | — | $ | 131,384,945 | $ | 131,384,945 | $ | — | $ | 141,682,579 | $ | 141,682,579 | ||||||||||||
Small Cap Value Fund | 1,761,169 | 110,774,229 | 112,535,398 | 1,359,796 | 119,491,329 | 120,851,125 | ||||||||||||||||||
Small/Mid Cap Growth Fund | — | 4,717,064 | 4,717,064 | — | — | — |
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.
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As of September 30, 2019, the components of distributable earnings on a tax basis were as follows:
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | ||||||||||
Undistributed ordinary income | $ | — | $ | 1,766,135 | $ | — | ||||||
Undistributed long-term capital gains | 145,569,989 | 50,009,384 | 721,955 | |||||||||
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Total undistributed earnings | 145,569,989 | 51,775,519 | 721,955 | |||||||||
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| |||||||
Late-year ordinary and post-October capital loss deferrals* | (6,292,971 | ) | — | (67,038 | ) | |||||||
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| |||||||
Unrealized appreciation | 272,411,649 | 204,515,794 | 2,265,785 | |||||||||
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Total accumulated earnings | $ | 411,688,667 | $ | 256,291,313 | $ | 2,920,702 | ||||||
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* Under current tax law, net operating losses, 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. Small Cap Growth Fund and Small/Mid Cap Growth Fund are deferring net operating losses.
As of September 30, 2019, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | ||||||||||
Federal tax cost | $ | 1,368,396,568 | $ | 518,708,822 | $ | 29,558,403 | ||||||
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Gross tax appreciation | $ | 323,020,604 | $ | 227,812,904 | $ | 2,768,670 | ||||||
Gross tax depreciation | (50,608,955 | ) | (23,297,110 | ) | (502,885 | ) | ||||||
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Net tax appreciation | $ | 272,411,649 | $ | 204,515,794 | $ | 2,265,785 | ||||||
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f. 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 September 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.
g. 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
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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 year ended September 30, 2019, none of the Funds had loaned securities under this agreement.
h. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1—quoted prices in active markets for identical assets or liabilities; |
• | Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
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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 following is a summary of the inputs used to value the Funds’ investments as of September 30, 2019, at value:
Small Cap Growth Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 1,585,307,593 | $ | — | $ | — | $ | 1,585,307,593 | ||||||||
Short-Term Investments | — | 55,500,624 | — | 55,500,624 | ||||||||||||
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Total | $ | 1,585,307,593 | $ | 55,500,624 | $ | — | $ | 1,640,808,217 | ||||||||
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(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
For the year ended September 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) | $ | 716,158,683 | $ | — | $ | — | $ | 716,158,683 | ||||||||
Short-Term Investments | — | 7,065,933 | — | 7,065,933 | ||||||||||||
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Total | $ | 716,158,683 | $ | 7,065,933 | $ | — | $ | 723,224,616 | ||||||||
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(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
For the year ended September 30, 2019, there were no transfers among Levels 1, 2 and 3.
Small/Mid Cap Growth Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 30,568,479 | $ | — | $ | — | $ | 30,568,479 | ||||||||
Short-Term Investments | — | 1,255,709 | — | 1,255,709 | ||||||||||||
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Total | $ | 30,568,479 | $ | 1,255,709 | $ | — | $ | 31,824,188 | ||||||||
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(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
For the year ended September 30, 2019, there were no transfers among Levels 1, 2 and 3.
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4. Purchases and Sales of Securities. For the year ended September 30, 2019, purchases and sales of securities (excluding short-term investments) were as follows:
Fund | Purchases | Sales | ||||||
Small Cap Growth Fund | $ | 1,147,534,384 | $ | 966,340,282 | ||||
Small Cap Value Fund | 189,739,344 | 386,389,761 | ||||||
Small/Mid Cap Growth Fund | 28,246,006 | 15,323,220 |
5. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
Under the terms of the management 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 Average Daily Net Assets | |||||||
Small Cap Growth Fund | 0.75% | |||||||
Small Cap Value Fund | 0.75% | |||||||
Small/Mid Cap Growth Fund | 0.75% |
Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 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 year ended September 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 | Institutional Class | Retail Class | Admin Class | Class N | ||||||||||||
Small Cap Growth Fund | 1.00% | 1.25% | — | 0.95% | ||||||||||||
Small Cap Value Fund | 0.90% | 1.15% | 1.40% | 0.85% | ||||||||||||
Small/Mid Cap Growth Fund | 0.85% | — | — | — |
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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.
For the year ended September 30, 2019, the management fees for each Fund were as follows:
Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of | |||||||||||||||||
Fund | Gross | Net | ||||||||||||||||||
Small Cap Growth Fund | $ | 11,217,209 | $ | — | $ | 11,217,209 | 0.75% | 0.75% | ||||||||||||
Small Cap Value Fund | 5,996,267 | — | 5,996,267 | 0.75% | 0.75% | |||||||||||||||
Small/Mid Cap Growth Fund | 175,353 | 104,365 | 70,988 | 0.75% | 0.30% |
For the year ended September 30, 2019, class-specific expenses have been reimbursed as follows:
Reimbursement1 | ||||||||||||||||||||
Fund | Institutional Class | Retail Class | Admin Class | Class N | Total | |||||||||||||||
Small Cap Value Fund | $ | 155,034 | $ | 49,387 | $ | 5,632 | $ | — | $ | 210,053 |
1Waiver/expense reimbursements are subject to possible recovery until September 30, 2020.
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, Small Cap Growth Fund and Small Cap Value Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”) and Small Cap Value Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).
Under the Retail Class Plans, each 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 Retail Class shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Retail 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 Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.
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Under the Admin Class Plan, Small Cap Value 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 Small Cap Value 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 year ended September 30, 2019, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||
Fund | Admin Class | Retail Class | Admin Class | |||||||||
Small Cap Growth Fund | $ | — | $ | 269,104 | $ | — | ||||||
Small Cap Value Fund | 44,171 | 386,674 | 44,171 |
c. Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve assub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, effective July 1, 2019, each Fund pays Natixis Advisors monthly itspro 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.
Prior to July 1, 2019, each Fund paid 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.
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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 was in effect through June 30, 2019.
For the year ended September 30, 2019, the administrative fees for each Fund were as follows:
Fund | Gross Administrative Fees | Waiver of Administrative Fees | Net Administrative Fees | |||||||||
Small Cap Growth Fund | $ | 658,351 | $ | 11,103 | $ | 647,248 | ||||||
Small Cap Value Fund | 351,874 | 6,305 | 345,569 | |||||||||
Small/Mid Cap Growth Fund | 10,310 | 168 | 10,142 |
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 year ended September 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 Agent Fees | |||
Small Cap Growth Fund | $ | 1,187,960 | ||
Small Cap Value Fund | 623,706 | |||
Small/Mid Cap Growth Fund | 561 |
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As of September 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 Sub-Transfer Agent Fees | |||
Small Cap Growth Fund | $ | 15,155 | ||
Small Cap Value Fund | 6,383 | |||
Small/Mid Cap Growth Fund | 9 |
Sub-transfer agent fees attributable to Institutional Class, Retail Class 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. 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.
Prior to January 1, 2019, the Chairperson of the Board received a retainer fee at the annual rate of $340,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $170,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $12,000. All other Trustee fees remained unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions
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September 30, 2019
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.
f. Affiliated Ownership. As of September 30, 2019, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) and Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of the Funds’ net assets:
Fund | Pension Plan | Retirement Plan | Total Affiliated Ownership | |||||||||
Small Cap Growth Fund | 0.18% | 1.38% | 1.56% | |||||||||
Small Cap Value Fund | 0.35% | 3.91% | 4.26% | |||||||||
Small/Mid Cap Growth Fund | — | 14.46% | 14.46% |
Investment activities of affiliated shareholders could have material impacts on the Funds.
6. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Institutional Class, Retail Class 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.
For the year ended September 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 | Institutional Class | Retail Class | Admin Class | Class N | ||||||||||||
Small Cap Growth Fund | $ | 1,073,889 | $ | 133,017 | $ | — | $ | 2,219 | ||||||||
Small Cap Value Fund | 481,548 | 155,099 | 17,723 | 681 | ||||||||||||
Small/Mid Cap Growth Fund | 2,908 | — | — | — |
7. 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
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September 30, 2019
each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
For the year ended September 30, 2019, Small Cap Growth Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $111,196,100 at a weighted average interest rate of 3.49%. Interest expense incurred was $10,790.
8. 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 September 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 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% Non-Affiliated Account Holders | Percentage of Non-Affiliated Ownership | Percentage of Affiliated Ownership (Note 5f) | Total Percentage of Ownership | ||||||||
Small Cap Value Fund | 1 | 6.32% | — | 6.32% | ||||||||
Small/Mid Cap Growth Fund | 4 | 52.63% | 14.46% | 67.09% |
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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September 30, 2019
9. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
Small Cap Growth Fund | ||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | |||||||||||||||
Institutional Class | Shares | Amount | Shares | Amount | ||||||||||||
Issued from the sale of shares | 11,579,961 | $ | 308,840,843 | 5,754,255 | $ | 164,470,396 | ||||||||||
Issued in connection with the reinvestment of distributions | 3,229,384 | 71,175,640 | 3,526,960 | 89,866,953 | ||||||||||||
Redeemed | (9,640,609 | ) | (255,383,227 | ) | (10,014,456 | ) | (275,865,186 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net change | 5,168,736 | $ | 124,633,256 | (733,241 | ) | $ | (21,527,837 | ) | ||||||||
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|
|
| |||||||||
Retail Class | ||||||||||||||||
Issued from the sale of shares | 1,457,788 | $ | 35,354,241 | 1,440,364 | $ | 38,533,569 | ||||||||||
Issued in connection with the reinvestment of distributions | 580,575 | 11,675,362 | 555,428 | 13,074,766 | ||||||||||||
Redeemed | (2,734,300 | ) | (66,088,287 | ) | (1,512,825 | ) | (39,740,093 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (695,937 | ) | $ | (19,058,684 | ) | 482,967 | $ | 11,868,242 | ||||||||
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|
|
|
| |||||||||
Class N | ||||||||||||||||
Issued from the sale of shares | 14,891,081 | $ | 407,213,957 | 6,071,292 | $ | 171,038,280 | ||||||||||
Issued in connection with the reinvestment of distributions | 2,040,644 | 45,322,697 | 1,378,059 | 35,305,861 | ||||||||||||
Redeemed | (9,488,573 | ) | (252,762,328 | ) | (1,311,117 | ) | (37,531,530 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 7,443,152 | $ | 199,774,326 | 6,138,234 | $ | 168,812,611 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase from capital share transactions | 11,915,951 | $ | 305,348,898 | 5,887,960 | $ | 159,153,016 | ||||||||||
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|
|
| |||||||||
Small Cap Value Fund | ||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | |||||||||||||||
Institutional Class | Shares | Amount | Shares | Amount | ||||||||||||
Issued from the sale of shares | 1,885,997 | $ | 52,720,402 | 2,693,880 | $ | 94,890,273 | ||||||||||
Issued in connection with the reinvestment of distributions | 2,757,754 | 64,641,757 | 2,049,039 | 70,363,994 | ||||||||||||
Redeemed | (6,172,550 | ) | (172,631,075 | ) | (5,895,445 | ) | (207,624,212 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,528,799 | ) | $ | (55,268,916 | ) | (1,152,526 | ) | $ | (42,369,945 | ) | ||||||
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September 30, 2019
9. Capital Shares – continued
Small Cap Value Fund – continued | ||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | |||||||||||||||
Retail Class | Shares | Amount | Shares | Amount | ||||||||||||
Issued from the sale of shares | 248,433 | $ | 6,930,683 | 283,804 | $ | 9,876,474 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,013,991 | 23,352,213 | 802,859 | 27,144,677 | ||||||||||||
Redeemed | (2,489,201 | ) | (67,155,838 | ) | (1,902,508 | ) | (66,646,118 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,226,777 | ) | $ | (36,872,942 | ) | (815,845 | ) | $ | (29,624,967 | ) | ||||||
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|
|
|
| |||||||||
Admin Class | ||||||||||||||||
Issued from the sale of shares | 164,641 | $ | 4,244,622 | 189,958 | $ | 6,328,263 | ||||||||||
Issued in connection with the reinvestment of distributions | 103,280 | 2,261,822 | 78,301 | 2,544,008 | ||||||||||||
Redeemed | (505,156 | ) | (12,991,234 | ) | (388,643 | ) | (12,936,046 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (237,235 | ) | $ | (6,484,790 | ) | (120,384 | ) | $ | (4,063,775 | ) | ||||||
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|
|
|
|
| |||||||||
Class N | ||||||||||||||||
Issued from the sale of shares | 1,949,203 | $ | 53,692,224 | 829,306 | $ | 29,863,505 | ||||||||||
Issued in connection with the reinvestment of distributions | 779,733 | 18,276,952 | 479,347 | 16,470,360 | ||||||||||||
Redeemed | (2,136,634 | ) | (60,278,030 | ) | (596,844 | ) | (21,132,571 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 592,302 | $ | 11,691,146 | 711,809 | $ | 25,201,294 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (2,400,509 | ) | $ | (86,935,502 | ) | (1,376,946 | ) | $ | (50,857,393 | ) | ||||||
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| |||||||||
Small/Mid Cap Growth Fund | ||||||||||||||||
Year Ended September 30, 2019 | Year Ended September 30, 2018 | |||||||||||||||
Institutional Class | Shares | Amount | Shares | Amount | ||||||||||||
Issued from the sale of shares | 2,433,625 | $ | 23,898,389 | 925,420 | $ | 12,965,329 | ||||||||||
Issued in connection with the reinvestment of distributions | 540,127 | 4,234,598 | — | — | ||||||||||||
Redeemed | (681,600 | ) | (7,115,964 | ) | (981,019 | ) | (14,098,148 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 2,292,152 | $ | 21,017,023 | (55,599 | ) | $ | (1,132,819 | ) | ||||||||
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September 30, 2019
10. Subsequent Event. Effective October 1, 2019, Small/Mid Cap Growth Fund will begin offering Class N shares to investors. Class N shares will be offered with an initial minimum investment of $1,000,000. There will be no initial minimum investment for certain retirement plans and funds of funds that are distributed by Natixis Distribution. Also effective October 1, 2019, Institutional Class shares of Small/Mid Cap Growth Fund will be subject to a minimum initial investment of $100,000.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Loomis Sayles Funds I and Loomis Sayles Funds II and Shareholders of Loomis Sayles Small Cap Value Fund, Loomis Sayles Small Cap Growth Fund and Loomis Sayles Small/Mid Cap Growth Fund:
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles Small Cap Value Fund (one of the funds constituting Loomis Sayles Funds I), and Loomis Sayles Small Cap Growth Fund and Loomis Sayles Small/Mid Cap Growth Fund (two of the funds constituting Loomis Sayles Funds II) (hereafter collectively referred to as the “Funds”) as of September 30, 2019, the related statements of operations for the year ended September 30, 2019, the statements of changes in net assets for each of the two years in the period ended September 30, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2019 by
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Report of Independent Registered Public Accounting Firm
correspondence with the custodian, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 21, 2019
We have served as the auditor of one or more investment companies in the Natixis Investment Company Complex since at least 1995. We have not determined the specific year we began serving as auditor.
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2019 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2019, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:
Fund | Qualifying Percentage | |||
Small Cap Value | 100.00% |
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2019, unless subsequently determined to be different.
Fund | Amount | |||
Small Cap Growth | $ | 131,384,945 | ||
Small Cap Value | 110,962,781 | |||
Small/Mid Cap Growth | 4,717,064 |
Qualified Dividend Income. For the fiscal year ended September 30, 2019, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2019, complete information will be reported in conjunction with Form1099-DIV.
Fund |
Small Cap Value |
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Trustee and Officer Information
The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trusts and is available by calling Loomis Sayles Funds at800-633-3330.
Name and Year of Birth | Position(s) Held Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership | ||||
INDEPENDENT TRUSTEES | ||||||||
Kenneth A. Drucker (1945) | Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee | Retired | 52 None | Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation) | ||||
Edmond J. English (1953) | Trustee since 2013 Audit Committee Member and Governance Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 52 Director, Burlington Stores, Inc. (retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) | ||||
Richard A. Goglia (1951) | Trustee since 2015 Contract Review Committee Member and Governance Committee Member | Retired; formerly Vice President and Treasurer of Raytheon Company (defense) | 52 None | Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) |
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Name and Year of Birth | Position(s) Held Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership | ||||
INDEPENDENT TRUSTEES– continued | ||||||||
Wendell J. Knox (1948) | Trustee since 2009 Chairperson of Contract Review Committee | Director of Abt Associates Inc. (research and consulting) | 52 Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank) | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) | ||||
Martin T. Meehan(1956) | Trustee since 2012 Audit Committee Member | President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell | 52 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience | ||||
Maureen B. Mitchell (1951) | Trustee since 2017 Contract Review Committee Member and Governance Committee Member | Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services) | 52 Director, Sterling Bancorp (Bank) | Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) |
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Trustee and Officer Information – continued
Name and Year of Birth | Position(s) Held Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership | ||||
INDEPENDENT TRUSTEES– continued | ||||||||
James P. Palermo (1955) | Trustee since 2016 Contract Review Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 52 Director, FutureFuel.io (Chemicals and Biofuels) | Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) | ||||
Erik R. Sirri (1958) | Trustee since 2009 Chairperson of the Audit Committee | Professor of Finance at Babson College | 52 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist | ||||
Peter J. Smail (1952) | Trustee since 2009 Audit Committee Member and Governance Committee Member | Retired | 52 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) |
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Name and Year of Birth | Position(s) Held Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership | ||||
INDEPENDENT TRUSTEES– continued | ||||||||
Kirk A. Sykes (1958) | Trustee since 2019 Contract Review Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance); formerly, President of Urban Strategy America Fund (real estate fund manager) | 52 Trustee, Eastern Bank (bank); formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) | ||||
Cynthia L. Walker (1956) | Trustee since 2005 Chairperson of the Governance Committee and Audit Committee Member | Deputy Dean for Finance and Administration, Yale University School of Medicine | 52 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
INTERESTED TRUSTEES | ||||||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P. | 52 None | Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
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Name and Year of Birth | Position(s) Held Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership | ||||
INTERESTED TRUSTEES– continued | ||||||||
David L. Giunta4 (1965) | Trustee since 2011 President of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015 | President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation | 52 None | Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation |
1 | Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Mr. Drucker was appointed to serve an additional one year term as the Chairperson of the Board on June 12, 2019. |
2 | The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Trusts, Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust and Natixis ETF Trust (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation. |
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Name and Year of Birth | Position(s) Held with the Trusts | Term of Office1 and Length of Time Served | Principal Occupation(s) During Past 5 Years2 | |||
OFFICERS OF THE TRUSTS | ||||||
Daniel J. Fuss (1933) One Financial Center Boston, MA 02111 | Executive Vice President | Since 2003 | Vice Chairman and Director, Loomis, Sayles & Company, L.P. | |||
Russell L. Kane (1969) | Secretary, Clerk and Chief Legal Officer | Since 2016 | Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P. | |||
Michael C. Kardok (1959) | Treasurer, Principal Financial and Accounting Officer | Since 2004 | Senior Vice President, Natixis Advisors, L.P. and Natixis Distribution, L.P. | |||
Kirk D. Johnson (1981) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2018 | Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Associate General Counsel, Natixis Distribution, L.P.; Vice President and Counsel, Natixis Investment Managers, L.P. |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ currentby-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, L.P., Natixis Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
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Annual Report
September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund
Loomis Sayles Limited Term Government and Agency Fund
Portfolio Review | 1 | |||
Portfolio of Investments | 17 | |||
Financial Statements | 43 | |||
Notes to Financial Statements | 55 |
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 DURATION BOND FUND
Managers | Symbols | |
Daniel Conklin, CFA®* | Class A LSDRX | |
Christopher T. Harms | Class C LSCDX | |
Clifton V. Rowe, CFA® | Class N LSDNX | |
Kurt L. Wagner, CFA®, CIC | Class Y LSDIX | |
Loomis Sayles & Company, L.P. |
* | Daniel Conklin was named Associate Portfolio Manager effective October 1, 2019. |
Investment Goal
The Fund’s investment objective is above-average total return through a combination of current income and capital appreciation.
Market Conditions
Global fixed income markets delivered healthy gains over the12-month period, reflecting the combination of slowing economic growth, persistently low inflation and the US Federal Reserve’s (Fed’s) shift toward an increasingly accommodative monetary policy. As recently as the fourth quarter of 2018, the markets generally anticipated that the Fed would continue to raise interest rates for at least another 12 months. As growth slowed in late 2018, however, the Fed indicated that its next move would likely be to reduce interest rates. The Fed indeed cut rates by a quarter point on both August 1 and September 19, 2019, bringing its benchmark federal funds target rate to a range of 1.75% to 2.00%. In addition, the markets appeared to be pricing in the likelihood of further reductions bymid-2020. The dramatic change in the outlook for Fed policy was the leading factor in the strong, broad-based rally in bonds.
These circumstances helped fuel gains for US Treasuries, with longer-term issues registering the largest advance. The yield on the benchmark10-year Treasury note, after reaching a peak of 3.23% in October 2018, fell to 1.47% in early September — near its lowest level of the past decade. (Prices and yields move in opposite directions.)
Investment grade corporates generated robust returns and finished the period as the top performing major fixed income category. In addition to benefiting from the rally in rate-sensitive assets, investment grade corporates were boosted by both positive earnings trends and healthy investor risk appetites.
Securitized assets generated strong absolute returns, but their lower interest rate sensitivity caused them to lag Treasuries and investment grade corporates. Commercial mortgage backed securities (CMBS) delivered the largest gains, followed by mortgage-backed-securities (MBS) and asset-backed securities (ABS), respectively.
Performance Results
For the 12 months ended September 30, 2019, Class Y shares of the Loomis Sayles Intermediate Duration Bond Fund returned 8.38% at net asset value. The Fund
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outperformed its benchmark, the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index, which returned 8.17%.
Explanation of Fund Performance
A meaningful underweight to US Treasuries proved beneficial as the sector underperformed risk assets during the period. Corporate bond exposure was a strong source of positive performance over the period as corporates outperformed US Treasuries of comparable duration (and corresponding interest rate sensitivity). Positive contributions within the Fund’s allocation to corporates were driven by an overweight to financial issuers, most notably within banking and insurance. Additionally, security selection within industrial-related segments such as communications, basic industry and consumer cyclical also contributed to performance. Finally,out-of-benchmark positioning in securitized credit was advantageous over the 12 months, most notably issuer choices withinnon-agency CMBS and car loan receivables within ABS.
On the downside, exposure to agency-backed securitized assets marginally detracted from performance. Security selection within student loan names was also a slight constraint on relative performance during the period. Finally, the Fund’s allocation to government- related sectors weighed modestly on return.
Outlook
We believe that the Fed will cut rates at least one more time in 2019 depending on the progress of trade talks and economic indicators. In our opinion, the cuts should help ameliorate yield curve inversion, stimulate activity and ease concerns about the end of the credit cycle.1 We believe these cuts represent a“mid-cycle adjustment” and we do not expect a US recession to take hold over the next twelve months.
Corporate fundamentals remain consistent with a credit cycle in late expansion mode. Top line revenues have plateaued, margins have started to deteriorate, leverage is elevated, and businesses are concerned with the economic environment, particularly given the ongoing discussions around trade. Primary cycle risks continue to include the pace of global growth, US trade policy, strong dollar, global central bank policy accommodation and the potential for further escalation of Middle East tensions.
We continue to favor sectors offering higher yield potential than Treasuries and therefore remain underweight government bonds given low yields.
Additionally, we continue to be overweight credit. We are focused on security selection opportunities, buying new issues with favorable concessions and secondary market bonds that offer potentially favorable risk/return profiles. We remain overweight both agency andnon-agency CMBS, particularly senior parts of the capital stack.
Within MBS, we are focused on securities with limited prepayment risk. The high-quality ABS sector remains attractive relative to government bonds. Consumer fundamentals continue to be healthy and we still favor auto loans and credit card receivables within ABS.
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LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND
We have been maintaining a higher yield and exposure to more credit-sensitive sectors relative to the benchmark. We continue to monitor the portfolio and diversify our holdings with an eye toward minimizing undue exposure to macroeconomic risk and/or issuer-specific events.
1 | A credit cycle is a cyclical pattern that follows credit availability and corporate health. |
Hypothetical Growth of $100,000 Investment in Class Y Shares
September 30, 2009 through September 30, 20191,4,5
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Average Annual Total Returns — September 30, 20194,5
Life of | Expense Ratios6 | |||||||||||||||||||||||
1 Year | 5 Years | 10 Years | Class N | Gross | Net | |||||||||||||||||||
Class Y (Inception 1/28/98)1 | ||||||||||||||||||||||||
NAV | 8.38 | % | 2.91 | % | 3.75 | % | — | % | 0.45 | % | 0.40 | % | ||||||||||||
Class A (Inception 5/28/10)1 | ||||||||||||||||||||||||
NAV | 8.11 | 2.65 | 3.50 | — | 0.70 | 0.65 | ||||||||||||||||||
With 4.25% Maximum Sales Charge | 3.54 | 1.77 | 3.05 | — | ||||||||||||||||||||
Class C (Inception 8/31/16)1 | ||||||||||||||||||||||||
NAV | 7.28 | 1.86 | 2.64 | — | 1.45 | 1.40 | ||||||||||||||||||
With CDSC2 | 6.28 | 1.86 | 2.64 | — | ||||||||||||||||||||
Class N (Inception 2/01/19) | ||||||||||||||||||||||||
NAV | — | — | — | 6.19 | 0.40 | 0.35 | ||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||
Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index3 | 8.17 | 2.68 | 3.05 | 5.70 |
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 | As of August 31, 2016, the Fund’s Retail Class shares and Institutional Class shares were redesignated as Class A shares and Class Y shares, respectively. Accordingly, the returns shown in the table for Class A shares prior to August 31, 2016 are those of Retail Class shares, restated to reflect the sales loads of Class A shares, and the returns in the table for Class Y shares prior to August 31, 2016 are those of Institutional Class shares. Prior to the inception of Retail Class shares (May 28, 2010), performance is that of Institutional Class shares, restated to reflect the higher net expenses and sales loads of Class A shares. Prior to the inception of Class C shares (August 31, 2016), performance is that of Retail Class shares, restated to reflect the higher net expenses and sales loads of Class C shares. |
2 | Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
3 | The Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index includes securities in the intermediate maturity range within the Government and Credit Indices. The Government Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. |
4 | The Fund revised its investment strategy on May 28, 2010; performance may have been different had the current investment strategy been in place for all periods shown. |
5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
6 | 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 1/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND
Managers | Symbols | |
Daniel Conklin, CFA®* | Class A NEFLX | |
Christopher T. Harms | Class C NECLX | |
Clifton V. Rowe, CFA® | Class N LGANX | |
Kurt L. Wagner, CFA®, CIC | Class Y NELYX | |
Loomis, Sayles & Company, L.P. |
* | Daniel Conklin was named Associate Portfolio Manager effective October 1, 2019. |
Investment Goal
The Fund seeks high current return consistent with preservation of capital.
Market Conditions
Global fixed income markets delivered healthy gains over the12-month period, reflecting the combination of slowing economic growth, persistently low inflation and the US Federal Reserve’s (Fed’s) shift toward an increasingly accommodative monetary policy. As recently as the fourth quarter of 2018, the markets generally anticipated that the Fed would continue to raise interest rates for at least another 12 months. As growth slowed in late 2018, however, the Fed indicated that its next move would likely be to reduce interest rates.
The Fed indeed cut rates by a quarter point on both August 1 and September 19, 2019, bringing its benchmark federal funds target rate to a range of 1.75% to 2.00%. In addition, the markets appeared to be pricing in the likelihood of further reductions bymid-2020. The dramatic change in the outlook for Fed policy was the leading factor in the strong, broad-based rally in bonds.
These circumstances helped fuel gains for US Treasuries, with longer-term issues registering the largest advance. The yield on the benchmark10-year Treasury note, after reaching a peak of 3.23% in October 2018, fell to 1.47% in early September — near its lowest level of the past decade. (Prices and yields move in opposite directions.)
Securitized assets generated strong absolute returns, but their lower interest rate sensitivity caused them to lag Treasuries and investment grade corporates. Commercial mortgage-backed securities (CMBS) delivered the largest gains, followed by mortgage-backed securities (MBS) and asset-backed securities (ABS), respectively.
Performance Results
For the 12 months ended September 30, 2019, Class Y shares of the Loomis Sayles Limited Term Government and Agency Fund returned 4.67% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S.1-5 Year Government Bond Index, which returned 5.69%.
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Explanation of Fund Performance
The Fund’s positioning along the yield curve (which depicts the relationship among bond yields across the maturity spectrum) was the main detractor from relative return. The portfolio’s slightly shorter-than-benchmark stance with respect to duration (and corresponding sensitivity to changes in interest rates) weighed on results as yields fell. An underweight allocation to US Agency bonds acted as a constraint on performance as the sector outperformed comparable-duration Treasuries over the period. Finally, the Fund’s cash position detracted from relative return.
The Fund’s selection within securitized assets aided performance relative to the benchmark for the12-month period. On the agency-backed side of securitized assets, holdings of CMBS led positive contributions, while auto receivables within ABS contributed positively on thenon-agency side.
Outlook
Agency MBS spreads (the difference in yield between agency MBS and Treasuries of similar maturity) are more attractive with valuations near longer-term averages. Mortgages issued in recent years are relatively high quality compared with those issued in prior years. Therefore, we favor an underweight to recently issued30-year MBS and prefer MBS sectors less likely to face refinancing and extension risk, such as low loan balance mortgages and home equity conversion mortgages.
Within the commercial real estate sector,top-tier assets and markets have generally recovered and are at or above prior peak levels. We believe investment grade CMBS remain attractive.
We believe ABS currently offer an attractive combination of strong credit quality and enhanced yield. Within the sector we favor higher-yielding securities and bonds of less frequent issuers within ABS. Our analysis indicates the credit risk of these securities is inefficiently priced and they offer potentially attractive opportunities for additional yield.
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LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares
September 30, 2009 through September 30, 20193
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Average Annual Total Returns — September 30, 20193
Life of | Expense Ratios4 | |||||||||||||||||||||||
1 Year | 5 Years | 10 Years | Class N | Gross | Net | |||||||||||||||||||
Class Y (Inception 3/31/94) | ||||||||||||||||||||||||
NAV | 4.67 | % | 1.52 | % | 2.11 | % | — | % | 0.55 | % | 0.55 | % | ||||||||||||
Class A (Inception 1/3/89) | ||||||||||||||||||||||||
NAV | 4.42 | 1.27 | 1.85 | — | 0.80 | 0.80 | ||||||||||||||||||
With 2.25% Maximum Sales Charge | 2.03 | 0.80 | 1.62 | — | ||||||||||||||||||||
Class C (Inception 12/30/94) | ||||||||||||||||||||||||
NAV | 3.64 | 0.51 | 1.09 | — | 1.55 | 1.55 | ||||||||||||||||||
With CDSC1 | 2.64 | 0.51 | 1.09 | — | ||||||||||||||||||||
Class N (Inception 2/1/17) | ||||||||||||||||||||||||
NAV | 4.77 | — | — | 2.23 | 0.48 | 0.46 | ||||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||
Bloomberg Barclays U.S.1-5 Year Government Bond Index2 | 5.69 | 1.69 | 1.68 | 2.23 |
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. 1-5 Year Government Bond Index is a subindex of the Bloomberg Barclays U.S. Government Index, which is composed of the Bloomberg Barclays U.S. Treasury and U.S. Agency Indices. The Bloomberg Barclays U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Bloomberg Barclays U.S. Government Index is a component of the Bloomberg Barclays U.S. Government/Credit Index and the Bloomberg Barclays U.S. Aggregate Bond Index. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/20. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC”) 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
The 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 April 1, 2019 through September 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 INTERMEDIATE DURATION BOND FUND | BEGINNING ACCOUNT VALUE 4/1/2019 | ENDING ACCOUNT VALUE 9/30/2019 | EXPENSES PAID DURING PERIOD* 4/1/2019 – 9/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,039.80 | $3.32 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.81 | $3.29 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,037.00 | $7.15 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.05 | $7.08 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,041.40 | $1.79 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.31 | $1.78 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,042.10 | $2.05 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.06 | $2.03 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40%, 0.35% and 0.40% 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 (183), divided by 365 (to reflect the half-year period). |
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND | BEGINNING ACCOUNT VALUE 4/1/2019 | ENDING ACCOUNT VALUE 9/30/2019 | EXPENSES PAID DURING PERIOD* 4/1/2019 – 9/30/2019 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,020.90 | $4.05 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.06 | $4.05 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,017.10 | $7.84 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.30 | $7.84 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,022.70 | $2.33 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.76 | $2.33 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,023.10 | $2.79 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.31 | $2.79 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55%, 0.46% and 0.55% 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 (183), divided by 365 (to reflect the half-year period). |
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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS
The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an 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 adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ advisory fees to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of peer groups of funds and information about any applicable expense 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) 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 Adviser.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review
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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, 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 Intermediate Duration Bond Fund | 17 | % | 76 | % | 83 | % | ||||||
Loomis Sayles Limited Term Government and Agency Fund | 29 | % | 15 | % | 22 | % |
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In the case of a Fund that had performance that lagged that of a relevant category group 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 Agreement, including: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance had shown improvement relative to its category;(3) the Fund had outperformed its relevant performance benchmark; and (4) 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.
The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had 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 both of 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 total advisory fee rates for the Funds were below the medians of their respective peer group of funds.
The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its
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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 fee charged to each of the Funds was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense 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 the Loomis Sayles Limited Term Government and Agency Fund had breakpoints in its advisory fee and that all of the Funds were 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. The Trustees also considered that the Funds have benefitted from the substantial reinvestment the Adviser has made into its business.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding 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 |
15 |
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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.
| 16
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Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes — 97.5% of Net Assets | ||||||||
ABS Car Loan — 9.0% | ||||||||
$ | 22,037 | ACC Trust,Series 2018-1, Class A, 3.700%, 12/21/2020, 144A | $ | 22,064 | ||||
70,164 | AmeriCredit Automobile Receivables Trust,Series 2016-2, Class C, 2.870%, 11/08/2021 | 70,323 | ||||||
160,000 | AmeriCredit Automobile Receivables Trust,Series 2016-3, Class C, 2.240%, 4/08/2022 | 159,940 | ||||||
555,000 | AmeriCredit Automobile Receivables Trust,Series 2016-4, Class B, 1.830%, 12/08/2021(a) | 554,335 | ||||||
110,000 | AmeriCredit Automobile Receivables Trust,Series 2017-1, Class B, 2.300%, 2/18/2022 | 109,990 | ||||||
510,000 | AmeriCredit Automobile Receivables Trust,Series 2018-3, Class B, 3.580%, 10/18/2024 | 526,963 | ||||||
480,000 | AmeriCredit Automobile Receivables Trust,Series 2019-2, Class B, 2.540%, 7/18/2024 | 483,707 | ||||||
695,000 | AmeriCredit Automobile Receivables Trust,Series 2019-3, Class A3, 2.060%, 4/18/2024 | 695,536 | ||||||
360,000 | Avis Budget Rental Car Funding AESOP LLC,Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A(a) | 363,898 | ||||||
100,000 | Avis Budget Rental Car Funding AESOP LLC,Series 2019-1, Class A, 3.450%, 3/20/2023, 144A | 102,714 | ||||||
640,000 | Avis Budget Rental Car Funding AESOP LLC,Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | 665,998 | ||||||
261,072 | Bank of the West Auto Trust,Series 2017-1, Class A3, 2.110%, 1/15/2023, 144A | 260,875 | ||||||
450,000 | Bank of the West Auto Trust,Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A | 453,441 | ||||||
461,067 | California Republic Auto Receivables Trust,Series 2017-1, Class A4, 2.280%, 6/15/2022(a) | 461,121 | ||||||
87,552 | Capital Auto Receivables Asset Trust,Series 2017-1, Class A3, 2.020%, 8/20/2021, 144A | 87,500 | ||||||
565,000 | Capital One Prime Auto Receivables Trust,Series 2019-2, Class A3, 1.920%, 5/15/2024 | 565,352 | ||||||
624,827 | CarMax Auto Owner Trust,Series 2017-2, Class A3, 1.930%, 3/15/2022(a) | 624,158 | ||||||
660,000 | Carvana Auto Receivables Trust,Series 2019-3A, Class A3, 2.340%, 6/15/2023, 144A(b)(c) | 660,000 | ||||||
10,742 | Chrysler Capital Auto Receivables Trust,Series 2016-BA, Class A3, 1.640%, 7/15/2021, 144A | 10,740 | ||||||
25,558 | CIG Auto Receivables Trust,Series 2017-1A, Class A, 2.710%, 5/15/2023, 144A | 25,584 | ||||||
27,454 | CPS Auto Receivables Trust,Series 2017-C, Class B, 2.300%, 7/15/2021, 144A | 27,453 | ||||||
775,000 | CPS Auto Receivables Trust,Series 2018-D, Class B, 3.610%, 11/15/2022, 144A | 784,893 | ||||||
1,005,000 | Drive Auto Receivables Trust,Series 2018-5, Class B, 3.680%, 7/15/2023 | 1,019,949 | ||||||
215,000 | Drive Auto Receivables Trust,Series 2019-3, Class B, 2.650%, 2/15/2024 | 217,034 | ||||||
153,564 | DT Auto Owner Trust,Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A | 153,711 | ||||||
170,881 | DT Auto Owner Trust,Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A | 172,767 | ||||||
3,715 | DT Auto Owner Trust,Series 2017-1A, Class C, 2.700%, 11/15/2022, 144A | 3,716 | ||||||
60,000 | DT Auto Owner Trust,Series 2018-2A, Class C, 3.670%, 3/15/2024, 144A | 60,777 | ||||||
285,000 | DT Auto Owner Trust,Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A | 290,586 | ||||||
270,000 | DT Auto Owner Trust,Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A | 274,000 |
See accompanying notes to financial statements.
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Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
ABS Car Loan — continued | ||||||||
$ | 184,397 | Exeter Automobile Receivables Trust,Series 2017-2A, Class B, 2.820%, 5/16/2022, 144A | $ | 184,701 | ||||
111,732 | Exeter Automobile Receivables Trust,Series 2018-1A, Class B, 2.750%, 4/15/2022, 144A | 111,809 | ||||||
368,667 | Exeter Automobile Receivables Trust,Series 2018-2A, Class B, 3.270%, 5/16/2022, 144A | 369,620 | ||||||
150,000 | Exeter Automobile Receivables Trust,Series 2019-2A, Class B, 3.060%, 5/15/2023, 144A | 151,561 | ||||||
123,173 | First Investors Auto Owner Trust,Series 2017-1A, Class A2, 2.200%, 3/15/2022, 144A | 123,147 | ||||||
269,841 | First Investors Auto Owner Trust,Series 2017-2A, Class A2, 2.270%, 7/15/2022, 144A | 269,732 | ||||||
270,465 | First Investors Auto Owner Trust,Series 2018-2A, Class A1, 3.230%, 12/15/2022, 144A | 271,724 | ||||||
183,065 | Flagship Credit Auto Trust,Series 2016-2, Class B, 3.840%, 9/15/2022, 144A | 183,877 | ||||||
4,893 | Flagship Credit Auto Trust,Series 2016-3, Class B, 2.430%, 6/15/2021, 144A | 4,893 | ||||||
64,560 | Flagship Credit Auto Trust,Series 2016-4, Class B, 2.410%, 10/15/2021, 144A | 64,547 | ||||||
800,000 | Flagship Credit Auto Trust,Series 2018-4, Class B, 3.880%, 10/16/2023, 144A | 824,530 | ||||||
230,000 | Ford Credit Auto Owner Trust,Series 2014-2, Class A, 2.310%, 4/15/2026, 144A | 230,002 | ||||||
705,000 | Ford Credit Auto Owner Trust,Series 2016-2, Class A, 2.030%, 12/15/2027, 144A(a) | 704,581 | ||||||
595,000 | Ford Credit Auto Owner Trust,Series 2018-1, Class A, 3.190%, 7/15/2031, 144A(a) | 619,703 | ||||||
635,000 | Ford Credit Floorplan Master Owner Trust,Series 2019-1, Class A, 2.840%, 3/15/2024 | 646,926 | ||||||
265,000 | GLS Auto Receivables Trust,Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A | 269,622 | ||||||
631,525 | GLS Auto Receivables Trust,Series 2019-2A, Class A, 3.060%, 4/17/2023, 144A | 635,377 | ||||||
133,460 | GM Financial Consumer Automobile Receivables Trust,Series 2017-1A, Class A3, 1.780%, 10/18/2021, 144A | 133,235 | ||||||
416,056 | GM Financial Consumer Automobile Receivables Trust,Series 2017-3A, Class A3, 1.970%, 5/16/2022, 144A(a) | 416,009 | ||||||
450,000 | GM Financial Consumer Automobile Receivables Trust,Series 2019-3, Class A3, 2.180%, 4/16/2024 | 452,683 | ||||||
510,000 | NextGear Floorplan Master Owner Trust,Series 2017-1A, Class A2, 2.540%, 4/18/2022, 144A(a) | 510,451 | ||||||
150,000 | NextGear Floorplan Master Owner Trust,Series 2017-2A, Class A2, 2.560%, 10/17/2022, 144A | 150,601 | ||||||
125,000 | NextGear Floorplan Master Owner Trust,Series 2018-1A, Class A2, 3.220%, 2/15/2023, 144A | 126,656 | ||||||
310,000 | NextGear Floorplan Master Owner Trust,Series 2018-2A, Class A2, 3.690%, 10/15/2023, 144A | 319,164 | ||||||
1,045,000 | Prestige Auto Receivables Trust,Series 2019-1A, Class A3, 2.450%, 5/15/2023, 144A | 1,048,406 | ||||||
370,000 | Santander Drive Auto Receivables Trust,Series 2019-2, Class C, 2.900%, 10/15/2024 | 375,959 | ||||||
460,000 | Santander Drive Auto Receivables Trust,Series 2018-5, Class C, 3.810%, 12/16/2024 | 468,424 |
See accompanying notes to financial statements.
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Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
ABS Car Loan — continued | ||||||||
$ | 655,000 | Santander Drive Auto Receivables Trust,Series 2019-3, Class A3, 2.160%, 11/15/2022 | $ | 655,112 | ||||
129,353 | Westlake Automobile Receivables Trust,Series 2018-1A, Class B, 2.670%, 5/17/2021, 144A | 129,418 | ||||||
515,000 | Westlake Automobile Receivables Trust,Series 2019-1A, Class B, 3.260%, 10/17/2022, 144A | 520,073 | ||||||
830,000 | Westlake Automobile Receivables Trust,Series 2019-2A, Class B, 2.620%, 7/15/2024, 144A | 834,281 | ||||||
105,227 | World Omni Auto Receivables Trust,Series 2017-B, Class A3, 1.950%, 2/15/2023 | 105,187 | ||||||
|
| |||||||
21,821,136 | ||||||||
|
| |||||||
ABS Credit Card — 1.9% | ||||||||
620,000 | American Express Credit Account Master Trust,Series 2019-1, Class A, 2.870%, 10/15/2024 | 635,223 | ||||||
925,000 | Barclays Dryrock Issuance Trust,Series 2019-1, Class A, 1.960%, 5/15/2025 | 926,745 | ||||||
805,000 | Capital One Multi-Asset Execution Trust,Series 2017-A4, Class A4, 1.990%, 7/17/2023(a) | 805,186 | ||||||
260,000 | Citibank Credit Card Issuance Trust,Series 2014-A1, Class A1, 2.880%, 1/23/2023 | 263,155 | ||||||
555,000 | World Financial Network Credit Card Master Trust,Series 2016-C, Class A, 1.720%, 8/15/2023(a) | 554,888 | ||||||
730,000 | World Financial Network Credit Card Master Trust,Series 2017-A, Class A, 2.120%, 3/15/2024(a) | 729,410 | ||||||
585,000 | World Financial Network Credit Card Master Trust,Series 2019-C, Class A, 2.210%, 7/15/2026 | 584,609 | ||||||
|
| |||||||
4,499,216 | ||||||||
|
| |||||||
ABS Home Equity — 0.4% | ||||||||
244,830 | Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A | 250,106 | ||||||
55,315 | Colony American Finance Ltd.,Series 2015-1, Class A, 2.896%, 10/15/2047, 144A | 55,233 | ||||||
139,800 | CoreVest American Finance Trust,Series 2017-1, Class A, 2.968%, 10/15/2049, 144A | 140,484 | ||||||
11,866 | Countrywide Alternative Loan Trust,Series 2006-J5, Class 4A1, 4.924%, 7/25/2021(b)(c)(d) | 11,336 | ||||||
5,332 | Countrywide Asset-Backed Certificates,Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c)(d) | 5,273 | ||||||
279,300 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2,1-month LIBOR + 1.850%, 3.868%, 10/25/2027(a)(e) | 281,117 | ||||||
92,911 | Mill City Mortgage Loan Trust,Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(d) | 93,053 | ||||||
79,350 | Towd Point Mortgage Trust,Series 2015-2, Class 1A12, 2.750%, 11/25/2060, 144A(d) | 79,441 | ||||||
35,025 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 4.968%, 5/01/2035(d) | 36,463 | ||||||
|
| |||||||
952,506 | ||||||||
|
|
See accompanying notes to financial statements.
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Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
ABS Other — 2.8% | ||||||||
$ | 195,765 | Diamond Resorts Owner Trust,Series 2018-1, Class A, 3.700%, 1/21/2031, 144A | $ | 199,656 | ||||
176,558 | John Deere Owner Trust,Series 2017-B, Class A3, 1.820%, 10/15/2021 | 176,284 | ||||||
520,000 | Mariner Finance Issuance Trust,Series 2017-BA, Class A, 2.920%, 12/20/2029, 144A | 521,249 | ||||||
194,829 | Merlin Aviation Holdings DAC,Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(d) | 198,638 | ||||||
113,635 | OneMain Financial Issuance Trust,Series 2016-1A, Class A, 3.660%, 2/20/2029, 144A | 114,028 | ||||||
555,000 | OneMain Financial Issuance Trust,Series 2018-1A, Class A, 3.300%, 3/14/2029, 144A(a) | 564,780 | ||||||
285,618 | S-Jets Ltd.,Series 2017-1, Class A, 3.967%, 8/15/2042, 144A | 294,198 | ||||||
338,894 | SCF Equipment Leasing LLC,Series 2018-1A, Class A2, 3.630%, 10/20/2024, 144A(a) | 341,636 | ||||||
64,021 | Sierra Timeshare Conduit Receivables Funding LLC,Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A | 64,599 | ||||||
730,000 | SoFi Consumer Loan Program Trust,Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A | 736,198 | ||||||
789,382 | SoFi Consumer Loan Program Trust,Series 2018-4, Class A, 3.540%, 11/26/2027, 144A | 797,440 | ||||||
121,458 | TAL Advantage V LLC,Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A | 121,312 | ||||||
48,889 | TAL Advantage V LLC,Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A | 48,873 | ||||||
129,167 | TAL Advantage V LLC,Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A | 129,476 | ||||||
2,180,000 | Verizon Owner Trust,Series 2019-B, Class A1A, 2.330%, 12/20/2023 | 2,197,250 | ||||||
345,000 | Wheels SPV 2 LLC,Series 2019-1A, Class A2, 2.300%, 5/22/2028, 144A | 345,700 | ||||||
|
| |||||||
6,851,317 | ||||||||
|
| |||||||
ABS Student Loan — 0.4% | ||||||||
89,546 | Earnest Student Loan Program LLC,Series 2017-A, Class A2, 2.650%, 1/25/2041, 144A | 89,819 | ||||||
318,534 | Massachusetts Educational Financing Authority,Series 2018-A, Class A, 3.850%, 5/25/2033 | 326,367 | ||||||
123,988 | North Carolina State Education Assistance Authority,Series 2011-2, Class A2,3-month LIBOR + 0.800%, 3.076%, 7/25/2025(e) | 124,020 | ||||||
34,516 | SoFi Professional Loan Program LLC,Series 2015-A, Class A2, 2.420%, 3/25/2030, 144A | 34,517 | ||||||
174,816 | SoFi Professional Loan Program LLC,Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A | 176,262 | ||||||
180,000 | SoFi Professional Loan Program LLC,Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A | 183,352 | ||||||
77,479 | South Carolina Student Loan Corp.,Series 2010-1, Class A2,3-month LIBOR + 1.000%, 3.276%, 7/25/2025(e) | 77,540 | ||||||
|
| |||||||
1,011,877 | ||||||||
|
| |||||||
ABS Whole Business — 0.2% | ||||||||
529,650 | Planet Fitness Master Issuer LLC,Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A | 554,983 | ||||||
|
| |||||||
Aerospace & Defense — 0.2% | ||||||||
450,000 | Rolls-Royce PLC, 2.375%, 10/14/2020, 144A | 450,414 | ||||||
|
|
See accompanying notes to financial statements.
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Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Agency Commercial Mortgage-Backed Securities — 0.8% | ||||||||
$ | 648,018 | FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(a)(d) | $ | 661,141 | ||||
509,476 | FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(a) | 530,657 | ||||||
701,647 | FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024(a) | 723,635 | ||||||
|
| |||||||
1,915,433 | ||||||||
|
| |||||||
Airlines — 0.0% | ||||||||
34,207 | Delta Air Lines Pass Through Trust,Series 2009-1, Class A, 7.750%, 6/17/2021 | 34,548 | ||||||
|
| |||||||
Automotive — 5.0% | ||||||||
425,000 | American Honda Finance Corp., MTN, 2.000%, 2/14/2020 | 424,958 | ||||||
925,000 | American Honda Finance Corp., MTN, 2.150%, 9/10/2024 | 921,052 | ||||||
1,095,000 | American Honda Finance Corp., MTN, 2.200%, 6/27/2022 | 1,099,041 | ||||||
245,000 | American Honda Finance Corp., MTN, 3.625%, 10/10/2023 | 259,450 | ||||||
290,000 | BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A | 288,680 | ||||||
1,100,000 | Daimler Finance North America LLC, 3.350%, 2/22/2023, 144A | 1,129,528 | ||||||
670,000 | Ford Motor Credit Co. LLC, 2.979%, 8/03/2022 | 664,488 | ||||||
200,000 | Ford Motor Credit Co. LLC, 3.810%, 1/09/2024 | 199,286 | ||||||
535,000 | Ford Motor Credit Co. LLC, 4.542%, 8/01/2026 | 534,504 | ||||||
360,000 | General Motors Financial Co., Inc., 4.150%, 6/19/2023 | 374,155 | ||||||
315,000 | Harley-Davidson Financial Services, Inc., 3.350%, 2/15/2023, 144A | 321,177 | ||||||
220,000 | Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A | 226,904 | ||||||
585,000 | Hyundai Capital America, 2.750%, 9/18/2020, 144A | 586,142 | ||||||
1,175,000 | Hyundai Capital America, 3.000%, 6/20/2022, 144A | 1,183,904 | ||||||
175,000 | Hyundai Capital America, 3.450%, 3/12/2021, 144A | 177,200 | ||||||
1,065,000 | Nissan Motor Acceptance Corp., 2.150%, 7/13/2020, 144A | 1,063,841 | ||||||
730,000 | Nissan Motor Acceptance Corp., 3.450%, 3/15/2023, 144A | 749,472 | ||||||
870,000 | Toyota Motor Credit Corp., MTN, 2.150%, 9/08/2022 | 875,233 | ||||||
255,000 | Volkswagen Group of America Finance LLC, 3.200%, 9/26/2026, 144A | 256,986 | ||||||
615,000 | Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A | 655,224 | ||||||
|
| |||||||
11,991,225 | ||||||||
|
| |||||||
Banking — 17.3% | ||||||||
315,000 | American Express Co., 2.200%, 10/30/2020 | 315,470 | ||||||
495,000 | American Express Co., 3.700%, 8/03/2023 | 521,514 | ||||||
915,000 | ANZ New Zealand International Ltd., 2.200%, 7/17/2020, 144A | 916,469 | ||||||
395,000 | Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A | 413,587 | ||||||
545,000 | Bank of Montreal, MTN, 2.500%, 6/28/2024 | 550,784 | ||||||
950,000 | Bank of Nova Scotia (The), 2.150%, 7/14/2020 | 951,239 | ||||||
450,000 | Banque Federative du Credit Mutuel S.A., 2.200%, 7/20/2020, 144A | 450,551 | ||||||
460,000 | Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A | 466,048 | ||||||
485,000 | Banque Federative du Credit Mutuel S.A., 3.750%, 7/20/2023, 144A | 510,389 | ||||||
1,110,000 | Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024 | 1,160,136 | ||||||
770,000 | Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030 | 802,874 | ||||||
720,000 | BB&T Corp., MTN, 2.500%, 8/01/2024 | 725,777 |
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Banking — continued | ||||||||
$ | 1,015,000 | BB&T Corp., MTN, 3.050%, 6/20/2022 | $ | 1,039,842 | ||||
490,000 | BNZ International Funding Ltd., 2.400%, 2/21/2020, 144A | 490,558 | ||||||
160,000 | Capital One Financial Corp., 3.750%, 3/09/2027 | 167,951 | ||||||
545,000 | Capital One NA, 2.150%, 9/06/2022 | 544,466 | ||||||
215,000 | Citigroup, Inc., 2.900%, 12/08/2021 | 218,172 | ||||||
1,000,000 | Citigroup, Inc., (fixed rate to 1/24/2022, variable rate thereafter), 3.142%, 1/24/2023 | 1,018,220 | ||||||
310,000 | Citizens Bank NA, 2.250%, 3/02/2020 | 310,097 | ||||||
250,000 | Comerica Bank, 2.500%, 6/02/2020 | 250,659 | ||||||
225,000 | Comerica, Inc., 3.700%, 7/31/2023 | 236,239 | ||||||
660,000 | Cooperatieve Rabobank U.A. (NY), 2.750%, 1/10/2023 | 671,687 | ||||||
925,000 | Credit Agricole S.A., 3.750%, 4/24/2023, 144A | 966,749 | ||||||
940,000 | Danske Bank A/S, 3.875%, 9/12/2023, 144A | 974,541 | ||||||
215,000 | Deutsche Bank AG, 3.150%, 1/22/2021 | 214,851 | ||||||
795,000 | Discover Bank, 2.450%, 9/12/2024 | 793,132 | ||||||
240,000 | Discover Financial Services, 4.500%, 1/30/2026 | 260,764 | ||||||
520,000 | Goldman Sachs Group, Inc. (The), (fixed rate to 10/31/2021, variable rate thereafter), 2.876%, 10/31/2022 | 525,934 | ||||||
520,000 | HSBC Holdings PLC, (fixed rate to 9/12/2025, variable rate thereafter), 4.292%, 9/12/2026 | 557,603 | ||||||
185,000 | HSBC USA, Inc., 2.375%, 11/13/2019 | 185,041 | ||||||
350,000 | ING Groep NV, 4.625%, 1/06/2026, 144A | 387,534 | ||||||
695,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 | 690,118 | ||||||
535,000 | JPMorgan Chase & Co., (fixed rate to 4/1/2022, variable rate thereafter), 3.207%, 4/01/2023 | 548,037 | ||||||
790,000 | KeyCorp, MTN, 2.550%, 10/01/2029 | 772,737 | ||||||
665,000 | Lloyds Bank PLC, 2.250%, 8/14/2022 | 663,357 | ||||||
495,000 | Lloyds Banking Group PLC, 4.050%, 8/16/2023 | 519,027 | ||||||
560,000 | Mitsubishi UFJ Financial Group, Inc., 3.195%, 7/18/2029 | 578,645 | ||||||
790,000 | Mizuho Financial Group, Inc., (fixed rate to 9/13/2029, variable rate thereafter), 2.869%, 9/13/2030 | 786,689 | ||||||
930,000 | National Australia Bank Ltd., 3.700%, 11/04/2021 | 960,230 | ||||||
1,135,000 | National Bank of Canada, 2.200%, 11/02/2020 | 1,137,497 | ||||||
620,000 | Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A | 636,653 | ||||||
1,020,000 | NatWest Markets PLC, 3.625%, 9/29/2022, 144A | 1,047,147 | ||||||
1,055,000 | Nordea Bank Abp, 2.125%, 5/29/2020, 144A | 1,054,895 | ||||||
315,000 | Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032 | 323,275 | ||||||
820,000 | PNC Financial Services Group, Inc. (The), 2.600%, 7/23/2026 | 830,252 | ||||||
1,125,000 | Royal Bank of Canada, GMTN, 2.550%, 7/16/2024 | 1,140,237 | ||||||
690,000 | Santander Holdings USA, Inc., 3.500%, 6/07/2024 | 707,877 | ||||||
635,000 | Santander Holdings USA, Inc., 3.700%, 3/28/2022 | 652,831 | ||||||
235,000 | Santander Holdings USA, Inc., 4.450%, 12/03/2021 | 245,450 | ||||||
350,000 | Santander UK PLC, 2.125%, 11/03/2020 | 349,659 | ||||||
715,000 | Santander UK PLC, 2.500%, 1/05/2021 | 715,903 |
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Banking — continued | ||||||||
$ | 580,000 | Santander UK PLC, 2.875%, 6/18/2024 | $ | 588,648 | ||||
530,000 | Standard Chartered PLC, (fixed rate to 5/21/2024, variable rate thereafter), 3.785%, 5/21/2025, 144A | 547,117 | ||||||
305,000 | State Street Corp., (fixed rate to 5/15/2022, variable rate thereafter), 2.653%, 5/15/2023 | 309,961 | ||||||
545,000 | Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024 | 551,081 | ||||||
235,000 | Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022 | 238,401 | ||||||
440,000 | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029 | 450,067 | ||||||
515,000 | Svenska Handelsbanken AB, 3.900%, 11/20/2023 | 550,324 | ||||||
1,140,000 | Synchrony Bank, 3.650%, 5/24/2021 | 1,161,902 | ||||||
150,000 | Synchrony Financial, 3.700%, 8/04/2026 | 153,095 | ||||||
75,000 | Synchrony Financial, 4.250%, 8/15/2024 | 79,056 | ||||||
1,065,000 | Toronto Dominion Bank (The), MTN, 3.250%, 6/11/2021 | 1,087,382 | ||||||
840,000 | U.S. Bank NA, 2.000%, 1/24/2020 | 840,062 | ||||||
1,150,000 | UBS AG, 2.200%, 6/08/2020, 144A | 1,151,081 | ||||||
665,000 | UniCredit SpA, 3.750%, 4/12/2022, 144A | 680,007 | ||||||
1,030,000 | Wells Fargo Bank NA, 3.625%, 10/22/2021 | 1,059,831 | ||||||
195,000 | Westpac Banking Corp., 2.800%, 1/11/2022 | 198,361 | ||||||
|
| |||||||
41,605,770 | ||||||||
|
| |||||||
Brokerage — 0.2% | ||||||||
415,000 | Ameriprise Financial, Inc., 3.000%, 3/22/2022 | 422,695 | ||||||
|
| |||||||
Building Materials — 0.3% | ||||||||
107,000 | Fortune Brands Home & Security, Inc., 3.000%, 6/15/2020 | 107,385 | ||||||
600,000 | Martin Marietta Materials, Inc.,3-month LIBOR + 0.650%, 2.800%, 5/22/2020(e) | 600,824 | ||||||
40,000 | Masco Corp., 3.500%, 4/01/2021 | 40,549 | ||||||
4,000 | Masco Corp., 7.125%, 3/15/2020 | 4,079 | ||||||
|
| |||||||
752,837 | ||||||||
|
| |||||||
Cable Satellite — 0.1% | ||||||||
320,000 | Cox Communications, Inc., 3.150%, 8/15/2024, 144A | 327,713 | ||||||
|
| |||||||
Chemicals — 0.7% | ||||||||
205,000 | Alpek SAB de CV, 4.250%, 9/18/2029, 144A | 206,743 | ||||||
480,000 | Cabot Corp., 4.000%, 7/01/2029 | 502,768 | ||||||
255,000 | DuPont de Nemours, Inc., 3.766%, 11/15/2020 | 259,694 | ||||||
9,000 | Eastman Chemical Co., 4.500%, 1/15/2021 | 9,185 | ||||||
45,000 | Methanex Corp., 3.250%, 12/15/2019 | 45,089 | ||||||
740,000 | Methanex Corp., 5.250%, 12/15/2029 | 742,989 | ||||||
|
| |||||||
1,766,468 | ||||||||
|
| |||||||
Collateralized Mortgage Obligations — 3.5% | ||||||||
672,484 | Government National Mortgage Association,Series 2010-H02, Class FA,1-month LIBOR + 0.680%, 2.820%, 2/20/2060(e) | 675,080 | ||||||
328,151 | Government National Mortgage Association,Series 2010-H03, Class FA,1-month LIBOR + 0.550%, 2.690%, 3/20/2060(e) | 328,645 | ||||||
173,905 | Government National Mortgage Association,Series 2014-H14, Class FA,1-month LIBOR + 0.500%, 2.880%, 7/20/2064(e) | 173,990 |
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
$ | 123,467 | Government National Mortgage Association,Series 2014-H15, Class FA,1-month LIBOR + 0.500%, 2.729%, 7/20/2064(e) | $ | 123,529 | ||||
23,619 | Government National Mortgage Association,Series 2015-H09, Class HA, 1.750%, 3/20/2065 | 23,495 | ||||||
315,609 | Government National Mortgage Association,Series 2015-H10, Class JA, 2.250%, 4/20/2065(a) | 311,593 | ||||||
511,053 | Government National Mortgage Association,Series 2016-H06, Class FC,1-month LIBOR + 0.920%, 3.149%, 2/20/2066(a)(e) | 516,423 | ||||||
571,230 | Government National Mortgage Association,Series 2016-H10, Class FJ,1-month LIBOR + 0.600%, 2.829%, 4/20/2066(a)(e) | 571,946 | ||||||
2,193,853 | Government National Mortgage Association,Series 2018-H17, Class JA, 3.750%, 9/20/2068(a)(d) | 2,372,724 | ||||||
429,135 | Government National Mortgage Association,Series 2019-H01, Class FL,1-month LIBOR + 0.450%, 2.679%, 12/20/2068(e) | 428,704 | ||||||
1,497,078 | Government National Mortgage Association,Series 2019-H01, Class FT,1-month LIBOR + 0.400%, 2.629%, 10/20/2068(a)(e) | 1,494,981 | ||||||
1,304,620 | Government National Mortgage Association,Series 2019-H10, Class FM,1-month LIBOR + 0.400%, 2.629%, 5/20/2069(e) | 1,303,830 | ||||||
|
| |||||||
8,324,940 | ||||||||
|
| |||||||
Construction Machinery — 0.6% | ||||||||
265,000 | Caterpillar Financial Services Corp., 2.650%, 5/17/2021 | 267,880 | ||||||
300,000 | Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021 | 306,206 | ||||||
500,000 | Caterpillar Financial Services Corp., MTN, 3.650%, 12/07/2023 | 530,837 | ||||||
110,000 | John Deere Capital Corp., MTN, 2.600%, 3/07/2024 | 112,242 | ||||||
174,000 | John Deere Capital Corp., Series 0014, MTN, 2.450%, 9/11/2020 | 174,761 | ||||||
|
| |||||||
1,391,926 | ||||||||
|
| |||||||
Consumer Cyclical Services — 0.7% | ||||||||
790,000 | Expedia Group, Inc., 3.250%, 2/15/2030, 144A | 787,747 | ||||||
285,000 | Experian Finance PLC, 4.250%, 2/01/2029, 144A | 320,116 | ||||||
495,000 | Western Union Co. (The), 4.250%, 6/09/2023 | 520,323 | ||||||
|
| |||||||
1,628,186 | ||||||||
|
| |||||||
Diversified Manufacturing — 0.8% | ||||||||
455,000 | Kennametal, Inc., 4.625%, 6/15/2028 | 483,965 | ||||||
265,000 | Timken Co. (The), 4.500%, 12/15/2028 | 284,250 | ||||||
860,000 | United Technologies Corp., 3.650%, 8/16/2023 | 910,079 | ||||||
175,000 | Wabtec Corp.,3-month LIBOR + 1.300%, 3.419%, 9/15/2021(e) | 175,005 | ||||||
155,000 | Wabtec Corp., 4.950%, 9/15/2028 | 170,916 | ||||||
|
| |||||||
2,024,215 | ||||||||
|
| |||||||
Electric — 5.2% | ||||||||
720,000 | Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A | 772,882 | ||||||
225,000 | Ameren Corp., 2.500%, 9/15/2024 | 226,117 | ||||||
120,000 | Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026 | 123,009 | ||||||
1,035,000 | Consolidated Edison, Inc., Series A, 2.000%, 3/15/2020 | 1,034,434 | ||||||
225,000 | Dominion Energy, Inc., 3.071%, 8/15/2024 | 230,480 | ||||||
590,000 | DTE Energy Co., Series C, 2.529%, 10/01/2024 | 591,757 |
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Electric — continued | ||||||||
$ | 1,135,000 | Duke Energy Carolinas LLC, 3.050%, 3/15/2023 | $ | 1,174,325 | ||||
575,000 | Evergy, Inc., 2.900%, 9/15/2029 | 572,092 | ||||||
451,000 | Exelon Corp., 2.450%, 4/15/2021 | 452,010 | ||||||
179,000 | Exelon Generation Co. LLC, 2.950%, 1/15/2020 | 179,244 | ||||||
116,000 | Exelon Generation Co. LLC, 4.250%, 6/15/2022 | 121,464 | ||||||
605,000 | Fortis, Inc., 2.100%, 10/04/2021 | 603,007 | ||||||
188,000 | National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043 | 191,491 | ||||||
690,000 | National Rural Utilities Cooperative Finance Corp., MTN, 1.500%, 11/01/2019 | 688,129 | ||||||
830,000 | Nextera Energy Capital Holding, Inc., 2.403%, 9/01/2021 | 835,121 | ||||||
1,115,000 | PNM Resources, Inc., 3.250%, 3/09/2021 | 1,125,529 | ||||||
370,000 | PSEG Power LLC, 3.850%, 6/01/2023 | 390,836 | ||||||
235,000 | Public Service Enterprise Group, Inc., 2.875%, 6/15/2024 | 241,112 | ||||||
273,000 | Southern Co. (The), 2.750%, 6/15/2020 | 273,997 | ||||||
720,000 | Southern Power Co., Series E, 2.500%, 12/15/2021 | 721,234 | ||||||
815,000 | Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A | 820,409 | ||||||
1,030,000 | Wisconsin Public Service Corp., 3.350%, 11/21/2021 | 1,058,795 | ||||||
|
| |||||||
12,427,474 | ||||||||
|
| |||||||
Finance Companies — 1.3% | ||||||||
790,000 | Air Lease Corp., 3.250%, 10/01/2029 | 778,882 | ||||||
275,000 | Air Lease Corp., 3.875%, 7/03/2023 | 286,975 | ||||||
210,000 | Aircastle Ltd., 4.125%, 5/01/2024 | 218,785 | ||||||
1,005,000 | Ares Capital Corp., 4.200%, 6/10/2024 | 1,030,130 | ||||||
305,000 | Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A | 315,403 | ||||||
225,000 | Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A | 236,935 | ||||||
375,000 | Avolon Holdings Funding Ltd., 3.625%, 5/01/2022, 144A | 380,063 | ||||||
|
| |||||||
3,247,173 | ||||||||
|
| |||||||
Financial Other — 0.2% | ||||||||
410,000 | Mitsubishi UFJ Lease & Finance Co. Ltd., 2.652%, 9/19/2022, 144A | 411,275 | ||||||
185,000 | ORIX Corp., 3.250%, 12/04/2024 | 191,764 | ||||||
|
| |||||||
603,039 | ||||||||
|
| |||||||
Food & Beverage — 2.8% | ||||||||
835,000 | Bacardi Ltd., 4.700%, 5/15/2028, 144A | 911,961 | ||||||
120,000 | Brown-Forman Corp., 3.500%, 4/15/2025 | 127,695 | ||||||
525,000 | Bunge Ltd. Finance Corp., 4.350%, 3/15/2024 | 552,998 | ||||||
565,000 | Coca-Cola Co. (The), 1.750%, 9/06/2024 | 559,702 | ||||||
785,000 | Diageo Capital PLC, 2.375%, 10/24/2029 | 777,904 | ||||||
1,095,000 | General Mills, Inc., 2.600%, 10/12/2022 | 1,107,033 | ||||||
90,000 | Kraft Heinz Foods Co., 3.000%, 6/01/2026 | 89,045 | ||||||
555,000 | Kraft Heinz Foods Co., 3.750%, 4/01/2030, 144A | 560,182 | ||||||
845,000 | Molson Coors Brewing Co., 2.250%, 3/15/2020 | 844,484 | ||||||
795,000 | Mondelez International Holdings Netherlands BV, 2.250%, 9/19/2024, 144A | 791,163 | ||||||
140,000 | Smithfield Foods, Inc., 3.350%, 2/01/2022, 144A | 140,417 | ||||||
320,000 | Sysco Corp., 3.550%, 3/15/2025 | 339,023 | ||||||
|
| |||||||
6,801,607 | ||||||||
|
|
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Government Owned – No Guarantee — 0.1% | ||||||||
$ | 155,000 | Petroleos Mexicanos, 6.875%, 8/04/2026 | $ | 166,644 | ||||
|
| |||||||
Health Insurance — 0.1% | ||||||||
310,000 | Humana, Inc., 2.500%, 12/15/2020 | 310,707 | ||||||
|
| |||||||
Healthcare — 0.8% | ||||||||
630,000 | Cigna Corp., 3.750%, 7/15/2023 | 659,721 | ||||||
95,000 | Express Scripts Holding Co., 4.500%, 2/25/2026 | 103,750 | ||||||
65,000 | Express Scripts Holding Co., 4.750%, 11/15/2021 | 68,311 | ||||||
190,000 | Fresenius Med Care III Co., 3.750%, 6/15/2029, 144A | 191,116 | ||||||
195,000 | HCA, Inc., 4.125%, 6/15/2029 | 204,494 | ||||||
183,000 | Life Technologies Corp., 6.000%, 3/01/2020 | 185,802 | ||||||
310,000 | MEDNAX, Inc., 6.250%, 1/15/2027, 144A | 307,653 | ||||||
94,000 | Quest Diagnostics, Inc., 4.750%, 1/30/2020 | 94,712 | ||||||
|
| |||||||
1,815,559 | ||||||||
|
| |||||||
Hybrid ARMs — 0.1% | ||||||||
40,677 | FHLMC,1-year CMT + 2.255%, 4.586%, 1/01/2035(e) | 42,965 | ||||||
90,563 | FHLMC,1-year CMT + 2.500%, 4.992%, 5/01/2036(e) | 96,063 | ||||||
|
| |||||||
139,028 | ||||||||
|
| |||||||
Life Insurance — 2.3% | ||||||||
85,000 | AIG Global Funding, 2.150%, 7/02/2020, 144A | 85,059 | ||||||
380,000 | Athene Global Funding, 2.750%, 4/20/2020, 144A | 381,323 | ||||||
330,000 | Brighthouse Financial, Inc., Series WI, 3.700%, 6/22/2027 | 325,879 | ||||||
405,000 | Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A | 404,312 | ||||||
155,000 | Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A | 166,711 | ||||||
505,000 | Metropolitan Life Global Funding I, 2.400%, 6/17/2022, 144A | 509,248 | ||||||
1,070,000 | New York Life Global Funding, 2.875%, 4/10/2024, 144A | 1,103,395 | ||||||
915,000 | New York Life Global Funding, 2.950%, 1/28/2021, 144A | 926,612 | ||||||
615,000 | Protective Life Corp., 3.400%, 1/15/2030, 144A | 625,236 | ||||||
720,000 | Reliance Standard Life Global Funding, 3.850%, 9/19/2023, 144A | 756,564 | ||||||
170,000 | Unum Group, 4.000%, 6/15/2029 | 176,706 | ||||||
63,000 | Unum Group, 5.625%, 9/15/2020 | 65,005 | ||||||
|
| |||||||
5,526,050 | ||||||||
|
| |||||||
Lodging — 0.2% | ||||||||
350,000 | Marriott International, Inc., Series Z, 4.150%, 12/01/2023 | 372,518 | ||||||
|
| |||||||
Media Entertainment — 0.3% | ||||||||
95,000 | Activision Blizzard, Inc., 2.300%, 9/15/2021 | 95,244 | ||||||
425,000 | CBS Corp., 2.900%, 6/01/2023 | 430,875 | ||||||
130,000 | Interpublic Group of Cos., Inc. (The), 3.500%, 10/01/2020 | 131,527 | ||||||
112,000 | S&P Global, Inc., 3.300%, 8/14/2020 | 113,072 | ||||||
|
| |||||||
770,718 | ||||||||
|
| |||||||
Metals & Mining — 0.3% | ||||||||
585,000 | ArcelorMittal, 3.600%, 7/16/2024 | 590,957 | ||||||
155,000 | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | 162,588 | ||||||
|
| |||||||
753,545 | ||||||||
|
|
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Midstream — 0.7% | ||||||||
$ | 25,000 | Energy Transfer Operating LP, 4.250%, 3/15/2023 | $ | 26,119 | ||||
440,000 | Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A | 451,357 | ||||||
1,130,000 | MPLX LP,3-month LIBOR + 0.900%, 3.002%, 9/09/2021(e) | 1,133,751 | ||||||
195,000 | ONEOK, Inc., 3.400%, 9/01/2029 | 193,715 | ||||||
|
| |||||||
1,804,942 | ||||||||
|
| |||||||
Mortgage Related — 2.2% | ||||||||
2,672 | FHLMC, 3.000%, 10/01/2026 | 2,746 | ||||||
237 | FHLMC, 6.500%, 1/01/2024 | 264 | ||||||
54 | FHLMC, 8.000%, 7/01/2025 | 58 | ||||||
54 | FNMA, 6.000%, 9/01/2021 | 54 | ||||||
176,347 | GNMA, 4.200%, 2/20/2063(a)(d) | 177,907 | ||||||
164,811 | GNMA, 4.217%, 2/20/2063(d) | 166,772 | ||||||
44,154 | GNMA, 4.224%, 5/20/2062(d) | 44,482 | ||||||
38,217 | GNMA, 4.307%, 5/20/2062(d) | 38,811 | ||||||
73,356 | GNMA, 4.360%, 10/20/2062(d) | 74,299 | ||||||
106,192 | GNMA, 4.395%, 4/20/2063(d) | 107,635 | ||||||
60,484 | GNMA, 4.404%, 6/20/2066(d) | 65,708 | ||||||
222,178 | GNMA, 4.431%, 10/20/2066(d) | 244,143 | ||||||
104,102 | GNMA, 4.436%, 9/20/2066(d) | 113,815 | ||||||
99,405 | GNMA, 4.442%, 11/20/2064(d) | 100,815 | ||||||
59,657 | GNMA, 4.443%, 11/20/2066(d) | 64,952 | ||||||
68,599 | GNMA, 4.465%, 8/20/2066(d) | 74,706 | ||||||
110,346 | GNMA, 4.499%, 11/20/2066(d) | 120,920 | ||||||
215,877 | GNMA, 4.504%, 4/20/2063(a)(d) | 218,963 | ||||||
123,511 | GNMA, 4.524%, 10/20/2066(d) | 135,341 | ||||||
192,292 | GNMA, 4.529%, 9/20/2066(d) | 212,262 | ||||||
1,037,337 | GNMA, 4.530%, 4/20/2067(a)(d) | 1,148,890 | ||||||
89,322 | GNMA, 4.532%, 10/20/2066(d) | 98,678 | ||||||
92,821 | GNMA, 4.545%, 3/20/2063(d) | 93,872 | ||||||
458,596 | GNMA, 4.549%, 7/20/2067(a)(d) | 511,488 | ||||||
89,240 | GNMA, 4.551%, 2/20/2063(d) | 90,143 | ||||||
874,764 | GNMA, 4.590%, 1/20/2067(a)(d) | 973,267 | ||||||
12,291 | GNMA, 4.622%, 7/20/2062(d) | 12,493 | ||||||
415,378 | GNMA, 4.686%, 5/20/2064(a)(d) | 447,618 | ||||||
674 | GNMA, 4.700%, 8/20/2061(d) | 732 | ||||||
793 | GNMA, 6.500%, 12/15/2023 | 878 | ||||||
|
| |||||||
5,342,712 | ||||||||
|
| |||||||
Natural Gas — 0.5% | ||||||||
250,000 | Atmos Energy Corp., 2.625%, 9/15/2029 | 252,826 | ||||||
965,000 | Sempra Energy, 1.625%, 10/07/2019 | 964,909 | ||||||
|
| |||||||
1,217,735 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities — 5.4% | ||||||||
565,000 | Barclays Commercial Mortgage Securities Trust,Series 2017-C1, Class A2, 3.189%, 2/15/2050(a) | 577,387 | ||||||
491,600 | CFCRE Commercial Mortgage Trust,Series 2016-C3, Class A3, 3.865%, 1/10/2048(a) | 532,613 |
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Non-Agency Commercial Mortgage-Backed Securities — continued | ||||||||
$ | 361,996 | CFCRE Commercial Mortgage Trust,Series 2016-C4, Class A4, 3.283%, 5/10/2058 | $ | 381,352 | ||||
992,138 | Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049(a) | 1,049,631 | ||||||
263,676 | Commercial Mortgage Pass Through Certificates,Series 2013-CR8, Class A5, 3.612%, 6/10/2046(d) | �� | 276,015 | |||||
535,000 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A(a) | 543,528 | ||||||
28,635 | Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047 | 28,627 | ||||||
68,558 | Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047 | 68,545 | ||||||
189,792 | Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047 | 195,515 | ||||||
478,193 | Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047(a) | 493,071 | ||||||
280,000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047 | 297,521 | ||||||
280,000 | Commercial Mortgage Pass Through Certificates,Series 2015-DC1, Class A5, 3.350%, 2/10/2048 | 293,931 | ||||||
520,299 | Commercial Mortgage Pass Through Certificates,Series 2016-DC2, Class A5, 3.765%, 2/10/2049(a) | 561,830 | ||||||
640,000 | Credit Suisse Mortgage Capital Certificates,Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(a) | 685,232 | ||||||
84,913 | CSAIL Commercial Mortgage Trust,Series 2015-C4, Class ASB, 3.617%, 11/15/2048 | 89,026 | ||||||
340,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(d) | 354,634 | ||||||
330,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047 | 354,437 | ||||||
180,000 | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A | 188,534 | ||||||
355,000 | Hudsons Bay Simon JV Trust,Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A | 362,582 | ||||||
102,657 | JPMorgan Chase Commercial Mortgage Securities Trust,Series 2014-C19, Class ASB, 3.584%, 4/15/2047 | 105,556 | ||||||
166,200 | JPMorgan Chase Commercial Mortgage Securities Trust,Series 2017-JP5, Class A1, 2.086%, 3/15/2050 | 165,854 | ||||||
1,100,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052 | 1,182,152 | ||||||
240,000 | Morgan Stanley Bank of America Merrill Lynch Trust,Series 2013-C10, Class A4, 4.218%, 7/15/2046(d) | 255,948 | ||||||
181,889 | Morgan Stanley Bank of America Merrill Lynch Trust,Series 2014-C14, Class A3, 3.669%, 2/15/2047 | 184,768 | ||||||
129,604 | Morgan Stanley Bank of America Merrill Lynch Trust,Series 2015-C22, Class A4, 3.306%, 4/15/2048 | 136,292 | ||||||
195,456 | Starwood Retail Property Trust, Inc., Series 2014-STAR, Class A,1-month LIBOR + 1.220%, 3.248%, 11/15/2027, 144A(e) | 195,200 |
See accompanying notes to financial statements.
| 28
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Non-Agency Commercial Mortgage-Backed Securities — continued | ||||||||
$ | 505,000 | UBS-Barclays Commercial Mortgage Trust,Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A(a) | $ | 504,682 | ||||
565,000 | UBS-Barclays Commercial Mortgage Trust,Series 2013-C6, Class A4, 3.244%, 4/10/2046(a) | 582,733 | ||||||
201,109 | Wells Fargo Commercial Mortgage Trust,Series 2016-C33, Class A4, 3.426%, 3/15/2059 | 213,652 | ||||||
1,295,000 | Wells Fargo Commercial Mortgage Trust,Series 2017-RC1, Class A2, 3.118%, 1/15/2060(a) | 1,319,365 | ||||||
152,101 | WFRBS Commercial Mortgage Trust,Series 2014-C19, Class A3, 3.660%, 3/15/2047 | 154,462 | ||||||
325,000 | WFRBS Commercial Mortgage Trust,Series 2014-C19, Class A5, 4.101%, 3/15/2047 | 349,872 | ||||||
325,752 | WFRBS Commercial Mortgage Trust,Series 2014-C20, Class ASB, 3.638%, 5/15/2047(a) | 336,026 | ||||||
|
| |||||||
13,020,573 | ||||||||
|
| |||||||
Oil Field Services — 0.4% | ||||||||
980,000 | Baker Hughes a GE Co. LLC/Baker HughesCo-Obligor, Inc., 2.773%, 12/15/2022 | 996,313 | ||||||
|
| |||||||
Pharmaceuticals — 0.5% | ||||||||
305,000 | AbbVie, Inc., 3.600%, 5/14/2025 | 317,226 | ||||||
235,000 | Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A | 240,365 | ||||||
525,000 | Pfizer, Inc., 3.200%, 9/15/2023 | 549,833 | ||||||
|
| |||||||
1,107,424 | ||||||||
|
| |||||||
Property & Casualty Insurance — 0.9% | ||||||||
645,000 | American Financial Group, Inc., 3.500%, 8/15/2026 | 662,474 | ||||||
180,000 | Assurant, Inc., 4.200%, 9/27/2023 | 188,274 | ||||||
145,000 | AXIS Specialty Finance LLC, 3.900%, 7/15/2029 | 151,656 | �� | |||||
275,000 | Enstar Group Ltd., 4.950%, 6/01/2029 | 290,333 | ||||||
690,000 | PartnerRe Finance B LLC, 3.700%, 7/02/2029 | 718,978 | ||||||
270,000 | Willis North America, Inc., 2.950%, 9/15/2029 | 265,744 | ||||||
|
| |||||||
2,277,459 | ||||||||
|
| |||||||
Railroads — 0.2% | ||||||||
206,000 | CSX Corp., 3.700%, 10/30/2020 | 208,522 | ||||||
215,000 | Union Pacific Corp., 3.646%, 2/15/2024 | 227,472 | ||||||
|
| |||||||
435,994 | ||||||||
|
| |||||||
REITs – Apartments — 0.1% | ||||||||
270,000 | UDR, Inc., 3.000%, 8/15/2031 | 270,275 | ||||||
|
| |||||||
REITs – Diversified — 0.2% | ||||||||
565,000 | EPR Properties, 3.750%, 8/15/2029 | 564,811 | ||||||
|
| |||||||
REITs – Health Care — 0.4% | ||||||||
615,000 | Omega Healthcare Investors, Inc., 4.500%, 1/15/2025 | 648,251 | ||||||
190,000 | Sabra Health Care LP/Sabra Capital Corp., 4.800%, 6/01/2024 | 200,490 | ||||||
|
| |||||||
848,741 | ||||||||
|
|
See accompanying notes to financial statements.
29 |
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
REITs – Hotels — 0.6% | ||||||||
$ | 695,000 | Host Hotels & Resorts LP, Series H, 3.375%, 12/15/2029 | $ | 693,960 | ||||
785,000 | Service Properties Trust, 4.950%, 10/01/2029 | 778,239 | ||||||
|
| |||||||
1,472,199 | ||||||||
|
| |||||||
REITs – Office Property — 0.3% | ||||||||
140,000 | Alexandria Real Estate Equities, Inc., 2.750%, 12/15/2029 | 137,973 | ||||||
185,000 | Kilroy Realty LP, 3.050%, 2/15/2030 | 181,219 | ||||||
290,000 | Office Properties Income Trust, 4.250%, 5/15/2024 | 296,441 | ||||||
|
| |||||||
615,633 | ||||||||
|
| |||||||
REITs – Regional Malls — 0.3% | ||||||||
735,000 | Simon Property Group LP, 2.000%, 9/13/2024 | 727,850 | ||||||
|
| |||||||
REITs – Shopping Centers — 0.3% | ||||||||
565,000 | Brixmor Operating Partnership LP, 3.650%, 6/15/2024 | 587,646 | ||||||
120,000 | Regency Centers LP, 2.950%, 9/15/2029 | 119,678 | ||||||
|
| |||||||
707,324 | ||||||||
|
| |||||||
REITs – Single Tenant — 0.2% | ||||||||
525,000 | Spirit Realty LP, 3.400%, 1/15/2030 | 521,140 | ||||||
|
| |||||||
Restaurants — 0.7% | ||||||||
1,280,000 | McDonald’s Corp., MTN, 2.625%, 1/15/2022 | 1,299,475 | ||||||
420,000 | McDonald’s Corp., MTN, 3.350%, 4/01/2023 | 438,337 | ||||||
|
| |||||||
1,737,812 | ||||||||
|
| |||||||
Retailers — 0.8% | ||||||||
345,000 | AutoNation, Inc., 3.500%, 11/15/2024 | 351,580 | ||||||
290,000 | AutoNation, Inc., 4.500%, 10/01/2025 | 308,169 | ||||||
415,000 | Best Buy Co., Inc., 4.450%, 10/01/2028 | 450,759 | ||||||
55,000 | Ralph Lauren Corp., 3.750%, 9/15/2025 | 59,023 | ||||||
850,000 | Seven & i Holdings Co. Ltd., 3.350%, 9/17/2021, 144A | 867,609 | ||||||
|
| |||||||
2,037,140 | ||||||||
|
| |||||||
Sovereigns — 0.4% | ||||||||
930,000 | Abu Dhabi Government International Bond, 2.500%, 9/30/2029, 144A | 923,471 | ||||||
|
| |||||||
Technology — 2.6% | ||||||||
560,000 | Amphenol Corp., 2.800%, 2/15/2030 | 544,485 | ||||||
915,000 | Flex Ltd., 4.875%, 6/15/2029 | 960,508 | ||||||
450,000 | Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022 | 456,819 | ||||||
565,000 | Global Payments, Inc., 2.650%, 2/15/2025 | 567,616 | ||||||
610,000 | Hewlett Packard Enterprise Co., 2.100%, 10/04/2019, 144A | 609,992 | ||||||
1,145,000 | Hewlett Packard Enterprise Co.,3-month LIBOR + 0.680%, 2.807%, 3/12/2021(e) | 1,147,246 | ||||||
530,000 | International Business Machines Corp., 2.850%, 5/13/2022 | 541,143 | ||||||
89,000 | Jabil, Inc., 5.625%, 12/15/2020 | 92,175 | ||||||
175,000 | Marvell Technology Group Ltd., 4.200%, 6/22/2023 | 183,423 | ||||||
140,000 | Microchip Technologies, Inc., 3.922%, 6/01/2021 | 142,993 | ||||||
565,000 | Panasonic Corp., 2.536%, 7/19/2022, 144A | 568,422 | ||||||
205,000 | Seagate HDD Cayman, 4.875%, 3/01/2024 | 215,331 | ||||||
130,000 | Texas Instruments, Inc., 2.250%, 9/04/2029 | 127,983 | ||||||
|
| |||||||
6,158,136 | ||||||||
|
|
See accompanying notes to financial statements.
| 30
Table of Contents
Portfolio of Investments – as of September 30, 2019
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Tobacco — 0.3% | ||||||||
$ | 565,000 | BAT Capital Corp., 3.215%, 9/06/2026 | $ | 557,879 | ||||
215,000 | Imperial Brands Finance PLC, 3.500%, 7/26/2026, 144A | 214,994 | ||||||
|
| |||||||
772,873 | ||||||||
|
| |||||||
Transportation Services — 1.0% | ||||||||
410,000 | FedEx Corp., 3.100%, 8/05/2029 | 406,392 | ||||||
695,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A | 735,478 | ||||||
135,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.450%, 1/29/2026, 144A | 145,783 | ||||||
320,000 | Ryder System, Inc., MTN, 3.750%, 6/09/2023 | 335,722 | ||||||
275,000 | Ryder System, Inc., MTN, 3.875%, 12/01/2023 | 291,675 | ||||||
430,000 | TTX Co., 2.600%, 6/15/2020, 144A | 430,994 | ||||||
|
| |||||||
2,346,044 | ||||||||
|
| |||||||
Treasuries — 19.6% | ||||||||
6,585,000 | U.S. Treasury Note, 1.125%, 2/28/2021 | 6,527,124 | ||||||
21,825,000 | U.S. Treasury Note, 1.250%, 8/31/2024 | 21,518,939 | ||||||
2,395,000 | U.S. Treasury Note, 1.500%, 9/15/2022 | 2,390,509 | ||||||
9,330,000 | U.S. Treasury Note, 1.750%, 6/30/2024 | 9,409,086 | ||||||
7,015,000 | U.S. Treasury Note, 2.375%, 5/15/2029 | 7,449,601 | ||||||
|
| |||||||
47,295,259 | ||||||||
|
| |||||||
Wireless — 0.1% | ||||||||
200,000 | SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A | 208,655 | ||||||
|
| |||||||
Wirelines — 0.2% | ||||||||
205,000 | British Telecommunications PLC, 4.500%, 12/04/2023 | 220,471 | ||||||
144,000 | Verizon Communications, Inc., 3.376%, 2/15/2025 | 151,901 | ||||||
|
| |||||||
372,372 | ||||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $231,408,623) | 235,044,354 | |||||||
|
| |||||||
Short-Term Investments — 3.6% | ||||||||
8,791,292 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $8,791,560 on 10/01/2019 collateralized by $8,420,000 U.S. Treasury Note, 2.625% due 1/31/2026 valued at $8,970,474 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,791,292) | 8,791,292 | ||||||
|
| |||||||
Total Investments — 101.1% (Identified Cost $240,199,915) | 243,835,646 | |||||||
Other assets less liabilities — (1.1)% | (2,655,425 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 241,180,221 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | < |