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Loomis Sayles Funds Ii N-CSRCertified annual shareholder report (management investment company)

Filed: 2 Dec 19, 12:25pm
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    • N-CSR Certified annual shareholder report (management investment company)
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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

     

     

     


    Table of Contents

    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:

     


    Table of Contents

    LOGO

     

    Loomis Sayles Small Cap Growth Fund

    Loomis Sayles Small Cap Value Fund

    Loomis Sayles Small/Mid Cap Growth Fund

    Annual Report

    September 30, 2019

    TABLE OF CONTENTS 
    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.


    Table of Contents

    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

     

    1  |


    Table of Contents

    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

     

    LOGO

    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.

     

    3  |


    Table of Contents

    Average Annual Total Returns — September30, 20192

     

                       Expense Ratios3 
       1 year  5 years  10 years  

    Life of

    Class N

      Gross  Net 
       
    Institutional Class
    (Inception
    12/31/96)
      -6.88%   11.17%   14.32%   —%   0.94%   0.94% 
       
    Retail Class
    (Inception
    12/31/96)
      -7.11   10.90   14.03   —   1.19   1.19 
       
    Class N
    (Inception
    2/1/13)
      -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.

     

    |  4


    Table of Contents

    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.

     

    5  |


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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.

     

    |  6


    Table of Contents

    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

     

    LOGO

    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.

     

    |  8


    Table of Contents

    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
    (Inception
    5/13/91)
      -4.11%   7.57%   10.97%   —%   0.95%   0.93% 
       
    Retail Class
    (Inception
    12/31/96)
      -4.33   7.30   10.70   —   1.20   1.18 
       
    Admin Class
    (Inception
    1/2/98)
      -4.60   7.04   10.43   —   1.45   1.43 
       
    Class N
    (Inception
    2/1/13)
      -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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    Table of Contents

    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.

     

    |  10


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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.

     

    11  |


    Table of Contents

    Hypothetical Growth of $1,000,000 Investment in Institutional Class Shares

    June 30, 2015 (inception) through September 30, 20192

     

    LOGO

    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.

     

    |  12


    Table of Contents

    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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    Table of Contents

    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).

       

     

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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, 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

     

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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.

     

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    The Board noted that, through December 31, 2018, each Fund’sone-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):

     

       One-Year     Three-Year     Five-Year 

    Loomis Sayles 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

     

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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.

     

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    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.

     

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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.

     

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    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.

     

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    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.

     

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    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.

     

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    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.

     

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    Notes to Financial Statements

    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

     

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    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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    September 30, 2019

     

    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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    September 30, 2019

     

    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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    September 30, 2019

     

    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 
      

     

     

      

     

     

      

     

     

     

    Total undistributed earnings

       145,569,989   51,775,519   721,955 
      

     

     

      

     

     

      

     

     

     

    Late-year ordinary and post-October capital loss deferrals*

       (6,292,971)   —   (67,038) 
      

     

     

      

     

     

      

     

     

     

    Unrealized appreciation

       272,411,649   204,515,794   2,265,785 
      

     

     

      

     

     

      

     

     

     

    Total accumulated earnings

      $411,688,667  $256,291,313  $2,920,702 
      

     

     

      

     

     

      

     

     

     

    * 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 
     

     

     

      

     

     

      

     

     

     

    Gross tax appreciation

     $323,020,604  $227,812,904  $2,768,670 

    Gross tax depreciation

      (50,608,955)   (23,297,110)   (502,885) 
     

     

     

      

     

     

      

     

     

     

    Net tax appreciation

     $272,411,649  $204,515,794  $2,265,785 
     

     

     

      

     

     

      

     

     

     

    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 
     

     

     

      

     

     

      

     

     

      

     

     

     

    Total

     $1,585,307,593  $55,500,624  $      —  $1,640,808,217 
     

     

     

      

     

     

      

     

     

      

     

     

     

    (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 
     

     

     

      

     

     

      

     

     

      

     

     

     

    Total

     $716,158,683  $  7,065,933  $      —  $   723,224,616 
     

     

     

      

     

     

      

     

     

      

     

     

     

    (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 
     

     

     

      

     

     

      

     

     

      

     

     

     

    Total

     $     30,568,479  $  1,255,709  $      —  $     31,824,188 
     

     

     

      

     

     

      

     

     

      

     

     

     

    (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
    Average Daily Net Assets

     

    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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    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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    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) 
     

     

     

      

     

     

      

     

     

      

     

     

     

    Net change

      5,168,736  $124,633,256   (733,241)  $(21,527,837) 
     

     

     

      

     

     

      

     

     

      

     

     

     
    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 
     

     

     

      

     

     

      

     

     

      

     

     

     
    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 
     

     

     

      

     

     

      

     

     

      

     

     

     
      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) 
     

     

     

      

     

     

      

     

     

      

     

     

     
    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) 
     

     

     

      

     

     

      

     

     

      

     

     

     
    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) 
     

     

     

      

     

     

      

     

     

      

     

     

     
      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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    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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    Table of Contents

    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.

     

    71  |


    Table of Contents

    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

     

    |  72


    Table of Contents

    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
    with the Trusts,
    Length of Time
    Served and

    Term of Office1

     Principal
    Occupation(s)
    During Past 5 Years
     Number of
    Portfolios in
    Fund Complex
    Overseen2 and
    Other
    Directorships Held
    During Past 5 Years
     Experience,
    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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    Trustee and Officer Information – continued

     

    Name and Year of Birth 

    Position(s) Held
    with the Trusts,
    Length of Time
    Served and

    Term of Office1

     Principal
    Occupation(s)
    During Past 5 Years
     Number of
    Portfolios in
    Fund Complex
    Overseen2 and
    Other
    Directorships Held
    During Past 5 Years
     Experience,
    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
    with the Trusts,
    Length of Time
    Served and

    Term of Office1

     Principal
    Occupation(s)
    During Past 5 Years
     Number of
    Portfolios in
    Fund Complex
    Overseen2 and
    Other
    Directorships Held
    During Past 5 Years
     Experience,
    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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    Trustee and Officer Information – continued

     

    Name and Year of Birth 

    Position(s) Held
    with the Trusts,
    Length of Time
    Served and

    Term of Office1

     Principal
    Occupation(s)
    During Past 5 Years
     Number of
    Portfolios in
    Fund Complex
    Overseen2 and
    Other
    Directorships Held
    During Past 5 Years
     Experience,
    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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    Trustee and Officer Information – continued

     

    Name and Year of Birth 

    Position(s) Held
    with the Trusts,
    Length of Time
    Served and

    Term of Office1

     Principal
    Occupation(s)
    During Past 5 Years
     Number of
    Portfolios in
    Fund Complex
    Overseen2 and
    Other
    Directorships Held
    During Past 5 Years
     Experience,
    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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    Trustee and Officer Information – continued

     

     

    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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    Table of Contents

    LOGO

     

    LOGO

     

    Annual Report

    September 30, 2019

    Loomis Sayles Intermediate Duration Bond Fund

    Loomis Sayles Limited Term Government and Agency Fund

     

    Table of Contents

    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.


    Table of Contents

    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

     

    1  |


    Table of Contents

    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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    Table of Contents

    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

     

    LOGO

     

    3  |


    Table of Contents

    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.

     

    |  4


    Table of Contents

    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%.

     

    5  |


    Table of Contents

    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

     

    LOGO

     

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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

     

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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.

     

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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.

     

    |  18


    Table of Contents

    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.

     

    19  |


    Table of Contents

    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.

     

    |  20


    Table of Contents

    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.

     

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    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)   Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

     

     (b)   Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

     

     

    See accompanying notes to financial statements.

     

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    Table of Contents

    Portfolio of Investments – as of September 30, 2019

    Loomis Sayles Intermediate Duration Bond Fund – (continued)

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