UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-06241
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, 2020
Item 1. Reports to Stockholders.
The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
Loomis Sayles Small Cap Growth Fund
Loomis Sayles Small Cap Value Fund
Loomis Sayles Small/Mid Cap Growth Fund
Annual Report
September 30, 2020
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 1-800-633-3330. 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 at www.icsdelivery.com/loomissayles.
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
The one-year period ending September 30, 2020 was positive for most domestic equity markets, although those positive returns were hard-fought. The robust positive returns in some ways masked the full extent of the challenges that investors faced over the course of this time period. After starting the period strongly, the Russell 2000® Growth Index declined in historic fashion during the first quarter of 2020 but then saw an equally sharp rebound in the second quarter. Further gains in the third quarter of 2020 added to the period’s total return.
Growth, as measured by the Russell 2000® Growth Index, significantly outperformed value, as measured by the Russell 2000® Value Index, over this time period.
Performance Results
For the 12 months ended September 30, 2020, Institutional Class shares of the Loomis Sayles Small Cap Growth Fund returned 17.98% at net asset value. The Fund outperformed its benchmark, the Russell 2000® Growth Index, which returned 15.71%.
Explanation of Fund Performance
Among contributors to overall return, stock selection in the healthcare, financials, and information technology sectors, along with an underweight position in the real estate sector, drove the Fund’s outperformance. By contrast, stock selection in the consumer discretionary sector hurt relative performance.
Among individual stocks, the Fund’s top contributors to performance were medical equipment manufacturer Quidel Corp., contact center software provider Five9 Inc. and pet food maker Freshpet Inc. Quidel performed very well during the period, as its diagnostic tests were among those used for Covid-19 testing, boosting sales. Secular growth trends toward migrating contact-center solutions to the cloud and virtualizing workforces remained in place and supported Five9’s growth. Freshpet issued robust guidance in the belief that it has ample room to grow and to continue to penetrate the dog food market. Sales rose significantly as people began to shelter in place and bought supplies in bulk, and pet adoptions were also up during the pandemic, raising investor sentiment around the stock.
1 |
Conversely, specialty food distributor The Chefs’ Warehouse Inc., industrial manufacturer Hexcel Corp. and online education provider Laureate Education Inc. were the largest detractors from the Fund’s performance. Chefs’ Warehouse saw its end markets significantly impacted by the Covid-19 crisis, especially among caterers and restaurants. Hexcel encountered disruptions in the Boeing supply chain that weighed on the stock, and the effect of the Covid-19 crisis on the airline industry only exacerbated that impact. Laureate Education reported lackluster results during the period, and guidance was below expectations. Investor concerns about slowing growth in the US market and the ability to continue making divestitures in the current industry environment appeared to weigh on the stock. The Fund sold its positions in all three of these stocks.
Outlook
Despite the pause in September, the markets have been able to deliver spectacular returns, particularly when measured from the market bottom in March of this year. Despite strong returns, however, small-cap stocks underperformed their large-cap peers. The underperformance of small-caps during the third quarter put the rolling three-year differential between large-cap and small-cap performance at its widest level since 1999. The last time large-caps outperformed small-caps by such a wide margin, small-caps subsequently enjoyed a prolonged period of outperformance.
Volatility is likely to increase as we approach the election, and regardless of the outcome, it may continue to be an uncertain time for the markets. However, increasing visibility surrounding a potential vaccine for Covid-19 may provide some stability.
While there is so much that is not known about the pandemic and the continued economic impact, we remain focused on the underlying fundamentals of our companies. These stock-specific fundamentals should have a more significant effect on investment returns as uncertainty surrounding the virus and its economic ramifications fade. We certainly take into account how the world may change as a result of what we are going through and the impact those changes may have on individual companies, but we continue to seek out long-term secular winners that can grow into larger entities and create value for stakeholders.
LOOMIS SAYLES SMALL CAP GROWTH FUND
Hypothetical Growth of $100,000 Investment in Institutional Class Shares
September 30, 2010 through September 30, 20202
See notes to chart on page 4.
Top Ten Holdings as of September 30, 2020
| | | | | | |
Security name | | % of assets | |
1 | | Freshpet, Inc. | | | 2.07 | % |
2 | | Five9, Inc. | | | 1.92 | |
3 | | LHC Group, Inc. | | | 1.87 | |
4 | | SiteOne Landscape Supply, Inc. | | | 1.85 | |
5 | | Generac Holdings, Inc. | | | 1.74 | |
6 | | Kinsale Capital Group, Inc. | | | 1.68 | |
7 | | Palomar Holdings, Inc. | | | 1.63 | |
8 | | Inovalon Holdings, Inc., Class A | | | 1.57 | |
9 | | Globant S.A. | | | 1.54 | |
10 | | Goosehead Insurance, Inc., Series A | | | 1.52 | |
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.
Average Annual Total Returns — September 30, 20202
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Expense Ratios3 | |
| | 1 year | | | 5 years | | | 10 years | | | Life of Class N | | | Gross | | | Net | |
| | | | | | |
Institutional Class (Inception 12/31/96) | | | 17.98 | % | | | 13.62 | % | | | 14.02 | % | | | — | % | | | 0.95 | % | | | 0.95 | % |
| | | | | | |
Retail Class (Inception 12/31/96) | | | 17.67 | | | | 13.33 | | | | 13.72 | | | | — | | | | 1.20 | | | | 1.20 | |
| | | | | | |
Class N (Inception 2/1/13) | | | 18.09 | | | | 13.76 | | | | — | | | | 13.27 | | | | 0.82 | | | | 0.82 | |
| | | | | | |
Comparative Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Russell 2000® Growth Index1 | | | 15.71 | | | | 11.42 | | | | 12.34 | | | | 11.34 | | | | | | | | | |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit 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 | | Russell 2000® 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 1/31/21. 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
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
The one-year period ending September 30, 2020 included several distinct market phases. The first brought a cyclical-led rally that took domestic equity markets to new all-time highs by early 2020, based on improving leading economic indicators, renewed optimism over a trade deal with China and a supportive US Federal Reserve (the “Fed”) that provided an additional interest rate cut in the fourth quarter of 2019. In late February and March, the equity markets entered a swift and steep correction period as the Covid-19 emerged, causing resulting economic activity and corporate earnings projections to fall sharply. However, with a supportive Fed and many governmental stimulus programs, the market rebounded from its lows in record time as investors began to look beyond the impact of the virus with few attractive investment alternatives to stocks.
Small-cap stocks participated in the equity market recovery, matching the very healthy rebound of larger-cap stocks. The net result for the Russell 2000® Index was a slightly positive total return for the period. However, small-cap value stocks dramatically underperformed small-cap growth stocks by a margin of over 30 percentage points, with the Russell 2000® Growth Index returning +15.7% compared to the Russell 2000® Value Index return of -14.9%.
One of the driving forces behind growth stocks’ domination of market return was an investor preference for higher-visibility sales and earnings that certain sectors and industries provided during a period of increased global economic uncertainty. Record-low interest rates also had an impact on separating leading and lagging economic sectors over the course of the year. With optimism over Covid-19 vaccine development and future production volumes, the healthcare sector was the top performer. Lagging sectors included energy due to falling oil prices and demand, financials on concerns over lending credit problems and defensive sectors such as real estate and utilities.
Performance Review
For the 12 months ended September 30, 2020, Institutional Class shares of the Loomis Sayles Small Cap Value Fund returned -15.31% at net asset value. The Fund underperformed its benchmark, the Russell 2000® Value Index, which returned -14.88%.
5 |
Explanation of Performance
Global event services provider Viad Corp., hotel meeting and conference company Ryman Hospitality Properties, Inc. and oilfield services company ChampionX Corp. detracted the most from relative performance. Viad’s operations include corporate gatherings, conventions, conferences, trade shows and exhibitions as well as a travel and tourism business that serves destinations in the US, Canada and Iceland. Both business lines were significantly impacted by Covid-19 and the near elimination of large group gatherings and tourism-related travel. Similarly, Ryman Hospitality is a REIT that specializes in group-oriented hotels used for large-scale meetings and conferences. The outbreak of Covid-19 created an immediate and severe disruption to the business that extended throughout the period. ChampionX, formerly known as Apergy Corp., struggled as energy stocks significantly underperformed the market. Investors also had concerns that the announced merger with the oilfield service division of Ecolabs might not close, and even once it did in June, the subsequent rally in the stock failed to offset declines from earlier in the period. The Fund sold its positions in Viad and Ryman Hospitality.
Looking at drivers of the Fund’s performance, very positive sector allocation was offset by lagging stock selection. The Fund started the fiscal year positioned fairly conservatively, residing in the upper portion of the market capitalization range and emphasizing companies with highly durable business models. This served the Fund well throughout the market correction and shortly thereafter, but caused it to lag the benchmark during the cyclical rally of lower quality stocks over the last few months of the fiscal period.
From a sector standpoint, the Fund’s fairly significant underweight positions in energy and financials contributed to performance, as these were the two worst performing sectors of the small-cap value market. An overweight to the industrials and information technology was also a positive to relative performance. Stock selection was favorable in the financials, communication services and healthcare sectors. By contrast, the Fund was negatively affected by its overweight position in the communication services sector and by stock selection particularly within the information technology, consumer discretionary and materials sectors.
Among individual stocks, medical diagnostic test manufacturer Quidel Corp., drug compound contract manufacturer Catalent Inc. and biopharmaceutical vaccine specialist Emergent BioSolutions Inc. had the largest positive contributions to performance for the period. During the last six months of the period, Quidel received emergency use authorization from the FDA to provide Covid-19 tests both to clinical labs and for point of care testing. The company ramped up manufacturing to produce nearly 7 million Covid-19 tests quarterly for healthcare workers, schools, and businesses as the economy reopened. Catalent’s expanding presence in biologics improved top line growth, expanding operating margins, and generating stronger free cash flow, which attracted new investors to the stock. During 2020, Catalent made numerous announcements regarding partnerships to manufacture potential Covid-19 vaccines on behalf of several well-known pharmaceutical
LOOMIS SAYLES SMALL CAP VALUE FUND
developers. Emergent BioSolutions is a specialty biopharmaceutical company providing vaccines and medical countermeasures for biological and chemical threats as well as infectious disease. Given the company’s area of expertise, as well as an established contract manufacturing operation, it recently announced several large contracts providing development and manufacturing services to a number of Covid-19 vaccine organizations. In addition, the company leveraged its own proprietary platform technology to develop Covid-19 therapeutic products.
Outlook
We remain committed to identifying 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.
While many forms of inefficiency may exist, we focus on companies that are misunderstood, underfollowed or in the midst of a “special situation” where we believe we can use our strengths in the form of our time horizon, resource deployment or a willingness to solve complex situations. 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 total return for our investors, while managing to an appropriate level of risk.
Hypothetical Growth of $100,000 Investment in Institutional Class Shares
September 30, 2010 through September 30, 20203
See notes to chart on page 9.
Top Ten Holdings as of September 30, 2020
| | | | | | |
Security name | | % of assets | |
1 | | Nomad Foods Ltd. | | | 1.75 | % |
2 | | GCI Liberty, Inc., Class A | | | 1.66 | |
3 | | NextEra Energy Partners LP | | | 1.49 | |
4 | | Arcosa, Inc. | | | 1.33 | |
5 | | Churchill Downs, Inc. | | | 1.29 | |
6 | | Darling Ingredients, Inc. | | | 1.28 | |
7 | | IAA, Inc. | | | 1.27 | |
8 | | Rexford Industrial Realty, Inc. | | | 1.25 | |
9 | | Vertiv Holdings Co. | | | 1.23 | |
10 | | Alamo Group, Inc. | | | 1.17 | |
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.
LOOMIS SAYLES SMALL CAP VALUE FUND
Average Annual Total Returns — September 30, 20203
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Expense Ratios4 | |
| | 1 year | | | 5 years | | | 10 years | | | Life of Class N | | | Gross | | | Net | |
| | | | | | |
Institutional Class (Inception 5/13/91) | | | -15.31 | % | | | 3.80 | % | | | 7.98 | % | | | — | % | | | 0.95 | % | | | 0.92 | % |
| | | | | | |
Retail Class (Inception 12/31/96) | | | -15.56 | | | | 3.54 | | | | 7.70 | | | | — | | | | 1.20 | | | | 1.17 | |
| | | | | | |
Admin Class (Inception 1/2/98) | | | -15.74 | | | | 3.29 | | | | 7.43 | | | | — | | | | 1.45 | | | | 1.42 | |
| | | | | | |
Class N (Inception 2/1/13) | | | -15.28 | | | | 3.87 | | | | — | | | | 5.60 | | | | 0.85 | | | | 0.85 | |
| | | | | | |
Comparative Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Russell 2000® Value Index1 | | | -14.88 | | | | 4.11 | | | | 7.09 | | | | 4.86 | | | | | | | | | |
Russell 2000® Index2 | | | 0.39 | | | | 8.00 | | | | 9.85 | | | | 8.25 | | | | | | | | | |
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 | | Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values. |
2 | | Russell 2000® 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 1/31/21. 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. |
LOOMIS SAYLES SMALL/MID CAP GROWTH FUND
| | | | |
Managers | | Symbols | | |
Mark F. Burns, CFA® | | Institutional Class | | LSMIX |
John J. Slavik, CFA® | | Class N | | LSMNX |
Investment Objective
The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.
Market Conditions
The one-year period ending September 30, 2020 was positive for most domestic equity markets, although those positive returns were hard-fought. The robust positive returns in some ways masked the full extent of the challenges that investors faced over the course of this time period. After starting the period strongly, the Russell 2500™ Growth Index declined in historic fashion during the first quarter of 2020 but then saw an equally sharp rebound in the second quarter. Further gains in the third quarter of 2020 added to the period’s total return.
Growth, as measured by the Russell 2500™ Growth Index, significantly outperformed value, as measured by the Russell 2500™ Value Index, over this time period.
Performance Results
For the 12 months ended September 30, 2020, Institutional Class shares of the Loomis Sayles Small/Mid Cap Growth Fund returned 20.38% at net asset value. The Fund underperformed its benchmark, the Russell 2500™ Growth Index, which returned 23.37% during the one-year period.
Explanation of Fund Performance
The bulk of the Fund’s underperformance was concentrated in the second quarter of 2020. Stock selection in the information technology and consumer discretionary sectors drove the Fund’s underperformance. An underweight position in the real estate sector, along with stock selection in the consumer staples and financials sectors, contributed positively to relative returns.
Industrial manufacturer Hexcel Corp., online education provider Laureate Education Inc. and payment processing company WEX Inc. were the largest detractors from the Fund’s performance. Hexcel encountered disruptions in the Boeing supply chain that weighed on the stock, and the effect of the Covid-19 crisis on the airline industry only exacerbated that impact. Laureate Education reported lackluster results during the period, and guidance was below expectations. Investor concerns about slowing growth in the US market and the ability to continue making divestitures in the current industry environment appeared to weigh on the stock. Finally, the Covid-19 pandemic had a significant negative impact on WEX’s closed loop fuel card business for fleets of commercial vehicles, given the economic shutdown. The Fund sold its positions in all three of these stocks.
LOOMIS SAYLES SMALL/MID CAP GROWTH FUND
Among individual stocks, the Fund’s top contributors to performance were biotech company Immunomedics Inc., pet food maker Freshpet Inc. and electrical generator specialist Generac Holdings Inc. Immunomedics reported positive phase 3 drug testing data during the year, with the company stopping the trial early and the treatment receiving accelerated approval. Subsequently, industry peer Gilead Sciences announced it would acquire the company, and investors reacted positively. Freshpet issued robust guidance in the belief that it has ample room to grow and to continue to penetrate the dog food market. Sales rose significantly as people began to shelter in place and bought supplies in bulk, and pet adoptions were also up during the pandemic, raising investor sentiment around the stock. Generac benefited from continued national adoption of its home standby generators and continued to see new market development.
Outlook
Despite the pause in September, the markets have been able to deliver spectacular returns, particularly when measured from the market bottom in March of this year. Despite strong returns, however, small-cap stocks underperformed their large-cap peers. The underperformance of small-caps during the third quarter put the rolling three-year differential between large-cap and small-cap performance at its widest level since 1999. The last time large-caps outperformed small-caps by such a wide margin, small-caps subsequently enjoyed a prolonged period of outperformance.
Volatility is likely to increase as we approach the election, and regardless of the outcome, it may continue to be an uncertain time for the markets. However, increasing visibility surrounding a potential vaccine for Covid-19 may provide some stability.
While there is so much that is not known about the pandemic and the continued economic impact, we remain focused on the underlying fundamentals of our companies. These stock-specific fundamentals should have a more significant effect on investment returns as uncertainty surrounding the virus and its economic ramifications fades. We certainly take into account how the world may change as a result of what we are going through and the impact those changes may have on individual companies, but we continue to seek out long-term secular winners that can grow into larger entities and create value for stakeholders.
Hypothetical Growth of $100,000 Investment in Institutional Class Shares2
June 30, 2015 (inception) through September 30, 2020
See notes to chart on page 13.
Top Ten Holdings as of September 30, 2020
| | | | | | |
Security name | | % of assets | |
1 | | Freshpet, Inc. | | | 2.35 | % |
2 | | EPAM Systems, Inc. | | | 2.15 | |
3 | | SiteOne Landscape Supply, Inc. | | | 2.08 | |
4 | | Insulet Corp. | | | 2.07 | |
5 | | Black Knight, Inc. | | | 1.84 | |
6 | | Catalent, Inc. | | | 1.81 | |
7 | | LHC Group, Inc. | | | 1.71 | |
8 | | Ares Management Corp., Class A | | | 1.70 | |
9 | | Generac Holdings, Inc. | | | 1.67 | |
10 | | Monolithic Power Systems, Inc. | | | 1.66 | |
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.
LOOMIS SAYLES SMALL/MID CAP GROWTH FUND
Average Annual Total Returns — September 30, 20202
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Expense Ratios3 | |
| | 1 year | | | 5 years | | | Life of Class I | | | Life of Class N | | | Gross | | | Net | |
| | | | | | |
Institutional Class (Inception 6/30/15) | | | 20.38 | % | | | 14.83 | % | | | 11.92 | % | | | — | % | | | 1.30 | % | | | 0.85 | % |
| | | | | | |
Class N (Inception 10/1/19) | | | — | | | | — | | | | — | | | | 22.08 | | | | 1.29 | | | | 0.83 | |
| | | | | | |
Comparative Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Russell 2500TM Growth Index1 | | | 23.37 | | | | 14.19 | | | | 10.92 | | | | 25.41 | | | | | | | | | |
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 | | The Russell 2500™ Growth Index measures the performance of the small-to-mid-cap growth segment of the U.S. 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 1/31/21. 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. |
ADDITIONAL INFORMATION
The views expressed in this report reflects 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 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 the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2020 through September 30, 2020. 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 4/1/2020 | | | Ending Account Value 9/30/2020 | | | Expenses Paid During Period* 4/1/2020 – 9/30/2020 | |
Actual | | | $1,000.00 | | | | $1,415.60 | | | | $5.62 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,020.35 | | | | $4.70 | |
| | |
Retail Class | | | | | | | |
Actual | | | $1,000.00 | | | | $1,413.50 | | | | $7.12 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,019.10 | | | | $5.96 | |
| | |
Class N | | | | | | | |
Actual | | | $1,000.00 | | | | $1,415.70 | | | | $4.95 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,020.90 | | | | $4.14 | |
|
* Expenses are equal to the Fund’s annualized expense ratio: 0.93%, 1.18% and 0.82% 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 366 (to reflect the half-year period). | |
Loomis Sayles Small Cap Value Fund
| | | | | | | | | | |
Institutional Class | | Beginning Account Value 4/1/2020 | | | Ending Account Value 9/30/2020 | | | Expenses Paid During Period* 4/1/2020 – 9/30/2020 |
Actual | | $ | 1,000.00 | | | $ | 1,210.20 | | | $4.97 |
Hypothetical (5% return before expenses) | | $ | 1,000.00 | | | $ | 1,020.50 | | | $4.55 |
| | | |
Retail Class | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,208.30 | | | $6.35 |
Hypothetical (5% return before expenses) | | $ | 1,000.00 | | | $ | 1,019.25 | | | $5.81 |
| | | |
Admin Class | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,206.90 | | | $7.72 |
Hypothetical (5% return before expenses) | | $ | 1,000.00 | | | $ | 1,018.00 | | | $7.06 |
| | | |
Class N | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,210.10 | | | $4.70 |
Hypothetical (5% return before expenses) | | $ | 1,000.00 | | | $ | 1,020.75 | | | $4.29 |
| | | | | | |
|
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.85% 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 366 (to reflect the half-year period). |
Loomis Sayles Small/Mid Cap Growth Fund
| | | | | | | | | | |
Institutional Class | | Beginning Account Value 4/1/2020 | | | Ending Account Value 9/30/2020 | | | Expenses Paid During Period* 4/1/2020 – 9/30/2020 |
Actual | | $ | 1,000.00 | | | $ | 1,414.40 | | | $5.07 |
Hypothetical (5% return before expenses) | | $ | 1,000.00 | | | $ | 1,020.80 | | | $4.24 |
| | |
Class N | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,412.70 | | | $5.01 |
Hypothetical (5% return before expenses) | | $ | 1,000.00 | | | $ | 1,020.85 | | | $4.19 |
| | | | | | |
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) 0.84% and 0.83% for Institutional 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 366 (to reflect the half-year period). |
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 additional one-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
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. These updates have increased in frequency during the Covid-19 crisis.
The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. 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. They also took into consideration increases in the services provided resulting from new regulatory requirements.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
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, 2019, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the
independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):
| | | | | | | | | | | | |
| | One-Year | | | Three-Year | | | Five-Year | |
Loomis Sayles Small Cap Growth Fund | | | 55% | | | | 29% | | | | 30% | |
Loomis Sayles Small Cap Value Fund | | | 42% | | | | 80% | | | | 57% | |
Loomis Sayles Small/Mid Cap Growth Fund | | | 62% | | | | 36% | | | | 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 Loomis Sayles Small Cap Growth Fund’s performance, although lagging in certain periods, was competitive over the long term relative to its category; (3) that the Loomis Sayles Small Cap Growth Fund’s more recent performance had been stronger relative to its category; (4) that the Loomis Sayles Small/Mid Cap Growth Fund’s mid-term performance has been strong relative to its category; and (5) that the Loomis Sayles Small Cap Value Fund’s shorter-term performance has been strong relative to its category. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the Covid-19 crisis.
The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory fee, the
Trustees also took into account the demands, complexity and quality of the investment management of such Fund 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 regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Loomis Sayles Small Cap Value Fund and Loomis Sayles Small/Mid Cap Growth Fund have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under their respective expense cap agreements. 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 how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense 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.
The Trustees also considered other factors, which included but were not limited to the following:
• | | The effect of recent market and economic events, including but not limited to the Covid-19 crisis, 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, 2021.
LIQUIDITY RISK MANAGEMENT PROGRAM
Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through September 30, 2020)
Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.
The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator which is the adviser of the Fund.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). None of the Funds has established an HLIM.
During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations during the period.
During the period January 1, 2020 through September 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.
Annual Program Assessment and Conclusion
In the opinion of the Program Administrator, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator have also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Programs are operating effectively.
Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Growth Fund
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – 95.4% of Net Assets | | | |
| | |
| | | Aerospace & Defense – 2.3% | | | |
| 1,155,064 | | | Kratos Defense & Security Solutions, Inc.(a) | | $ | 22,269,634 | |
| 372,156 | | | Mercury Systems, Inc.(a) | | | 28,827,204 | |
| | | | | | | | |
| | | | | | | 51,096,838 | |
| | | | | | | | |
| | |
| | | Air Freight & Logistics – 1.0% | | | |
| 874,105 | | | Air Transport Services Group, Inc.(a) | | | 21,905,071 | |
| | | | | | | | |
| | |
| | | Auto Components – 1.7% | | | |
| 83,566 | | | Dorman Products, Inc.(a) | | | 7,552,695 | |
| 291,701 | | | Fox Factory Holding Corp.(a) | | | 21,682,135 | |
| 488,815 | | | Stoneridge, Inc.(a) | | | 8,979,532 | |
| | | | | | | | |
| | | | | | | 38,214,362 | |
| | | | | | | | |
| | |
| | | Beverages – 0.5% | | | |
| 780,861 | | | Primo Water Corp. | | | 11,088,226 | |
| | | | | | | | |
| | |
| | | Biotechnology – 9.4% | | | |
| 199,179 | | | Blueprint Medicines Corp.(a) | | | 18,463,893 | |
| 266,067 | | | ChemoCentryx, Inc.(a) | | | 14,580,472 | |
| 589,709 | | | Dicerna Pharmaceuticals, Inc.(a) | | | 10,608,865 | |
| 152,537 | | | Emergent BioSolutions, Inc.(a) | | | 15,761,648 | |
| 805,957 | | | Halozyme Therapeutics, Inc.(a) | | | 21,180,550 | |
| 405,099 | | | Natera, Inc.(a) | | | 29,264,352 | |
| 323,557 | | | PTC Therapeutics, Inc.(a) | | | 15,126,290 | |
| 599,929 | | | Rocket Pharmaceuticals, Inc.(a) | | | 13,714,377 | |
| 324,427 | | | SpringWorks Therapeutics, Inc.(a) | | | 15,465,435 | |
| 597,319 | | | Veracyte, Inc.(a) | | | 19,406,894 | |
| 426,408 | | | Xencor, Inc.(a) | | | 16,540,366 | |
| 439,455 | | | Y-mAbs Therapeutics, Inc.(a) | | | 16,870,678 | |
| | | | | | | | |
| | | | | | | 206,983,820 | |
| | | | | | | | |
| | |
| | | Building Products – 5.6% | | | |
| 428,365 | | | AAON, Inc. | | | 25,808,991 | |
| 491,098 | | | Advanced Drainage Systems, Inc. | | | 30,664,159 | |
| 327,400 | | | Patrick Industries, Inc. | | | 18,832,048 | |
| 418,580 | | | Trex Co., Inc.(a) | | | 29,970,328 | |
| 301,378 | | | UFP Industries, Inc. | | | 17,030,871 | |
| | | | | | | | |
| | | | | | | 122,306,397 | |
| | | | | | | | |
| | |
| | | Capital Markets – 3.4% | | | |
| 822,483 | | | AssetMark Financial Holdings, Inc.(a) | | | 17,880,780 | |
| 465,405 | | | Focus Financial Partners, Inc., Class A(a) | | | 15,260,630 | |
| 273,871 | | | Hamilton Lane, Inc., Class A | | | 17,689,328 | |
| 411,731 | | | PJT Partners, Inc., Class A | | | 24,955,016 | |
| | | | | | | | |
| | | | | | | 75,785,754 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Growth Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Commercial Services & Supplies – 2.3% | | | |
| 516,104 | | | Casella Waste Systems, Inc., Class A(a) | | $ | 28,824,408 | |
| 348,672 | | | McGrath RentCorp | | | 20,777,365 | |
| | | | | | | | |
| | | | | | | 49,601,773 | |
| | | | | | | | |
| | |
| | | Construction & Engineering – 0.9% | | | |
| 1,127,993 | | | WillScot Mobile Mini Holdings Corp.(a) | | | 18,814,923 | |
| | | | | | | | |
| | |
| | | Diversified Consumer Services – 1.6% | | | |
| 307,575 | | | Arco Platform Ltd., Class A(a) | | | 12,561,363 | |
| 566,986 | | | frontdoor, Inc.(a) | | | 22,061,425 | |
| | | | | | | | |
| | | | | | | 34,622,788 | |
| | | | | | | | |
| | |
| | | Electrical Equipment – 1.7% | | | |
| 197,874 | | | Generac Holdings, Inc.(a) | | | 38,316,321 | |
| | | | | | | | |
| | |
| | | Electronic Equipment, Instruments & Components – 2.6% | | | |
| 251,691 | | | Itron, Inc.(a) | | | 15,287,711 | |
| 532,978 | | | nLight, Inc.(a) | | | 12,514,324 | |
| 271,044 | | | Novanta, Inc.(a) | | | 28,551,775 | |
| | | | | | | | |
| | | | | | | 56,353,810 | |
| | | | | | | | |
| | |
| | | Food Products – 2.8% | | | |
| 408,360 | | | Freshpet, Inc.(a) | | | 45,593,394 | |
| 766,817 | | | Simply Good Foods Co. (The)(a) | | | 16,908,315 | |
| | | | | | | | |
| | | | | | | 62,501,709 | |
| | | | | | | | |
| | |
| | | Health Care Equipment & Supplies – 5.5% | | | |
| 407,490 | | | AtriCure, Inc.(a) | | | 16,258,851 | |
| 430,322 | | | CryoPort, Inc.(a) | | | 20,397,263 | |
| 136,120 | | | iRhythm Technologies, Inc.(a) | | | 32,411,533 | |
| 236,470 | | | NuVasive, Inc.(a) | | | 11,485,348 | |
| 105,678 | | | Penumbra, Inc.(a) | | | 20,541,690 | |
| 350,629 | | | STAAR Surgical Co.(a) | | | 19,831,576 | |
| | | | | | | | |
| | | | | | | 120,926,261 | |
| | | | | | | | |
| | |
| | | Health Care Providers & Services – 4.8% | | | |
| 138,729 | | | Amedisys, Inc.(a) | | | 32,799,697 | |
| 415,753 | | | BioTelemetry, Inc.(a) | | | 18,950,022 | |
| 255,497 | | | HealthEquity, Inc.(a) | | | 13,124,881 | |
| 193,634 | | | LHC Group, Inc.(a) | | | 41,158,843 | |
| | | | | | | | |
| | | | | | | 106,033,443 | |
| | | | | | | | |
| | |
| | | Health Care Technology – 3.7% | | | |
| 1,304,123 | | | Inovalon Holdings, Inc., Class A(a) | | | 34,494,053 | |
| 220,379 | | | Inspire Medical Systems, Inc.(a) | | | 28,439,910 | |
| 546,780 | | | Phreesia, Inc.(a) | | | 17,568,042 | |
| | | | | | | | |
| | | | | | | 80,502,005 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Growth Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Hotels, Restaurants & Leisure – 2.2% | | | |
| 275,570 | | | Texas Roadhouse, Inc. | | $ | 16,751,900 | |
| 224,946 | | | Wingstop, Inc. | | | 30,738,871 | |
| | | | | | | | |
| | | | | | | 47,490,771 | |
| | | | | | | | |
| | |
| | | Insurance – 4.8% | | | |
| 387,703 | | | Goosehead Insurance, Inc., Series A | | | 33,571,203 | |
| 193,960 | | | Kinsale Capital Group, Inc. | | | 36,887,313 | |
| 343,888 | | | Palomar Holdings, Inc.(a) | | | 35,846,885 | |
| | | | | | | | |
| | | | | | | 106,305,401 | |
| | | | | | | | |
| | |
| | | Internet & Direct Marketing Retail – 0.6% | | | |
| 266,400 | | | Shutterstock, Inc. | | | 13,863,456 | |
| | | | | | | | |
| | |
| | | IT Services – 4.0% | | | |
| 535,314 | | | EVERTEC, Inc. | | | 18,580,749 | |
| 466,095 | | | KBR, Inc. | | | 10,421,884 | |
| 186,676 | | | ManTech International Corp., Class A | | | 12,858,243 | |
| 863,471 | | | NIC, Inc. | | | 17,010,379 | |
| 443,586 | | | WNS Holdings Ltd., ADR(a) | | | 28,371,760 | |
| | | | | | | | |
| | | | | | | 87,243,015 | |
| | | | | | | | |
| | |
| | | Leisure Products – 0.7% | | | |
| 309,510 | | | Malibu Boats, Inc., Class A(a) | | | 15,339,316 | |
| | | | | | | | |
| | |
| | | Life Sciences Tools & Services – 3.7% | | | |
| 697,887 | | | NeoGenomics, Inc.(a) | | | 25,745,051 | |
| 279,851 | | | PRA Health Sciences, Inc.(a) | | | 28,388,086 | |
| 190,481 | | | Repligen Corp.(a) | | | 28,103,567 | |
| | | | | | | | |
| | | | | | | 82,236,704 | |
| | | | | | | | |
| | |
| | | Machinery – 2.9% | | | |
| 434,127 | | | Kornit Digital Ltd.(a) | | | 28,161,818 | |
| 146,873 | | | Proto Labs, Inc.(a) | | | 19,020,054 | |
| 136,663 | | | RBC Bearings, Inc.(a) | | | 16,564,922 | |
| | | | | | | | |
| | | | | | | 63,746,794 | |
| | | | | | | | |
| | |
| | | Media – 0.7% | | | |
| 333,885 | | | TechTarget, Inc.(a) | | | 14,677,585 | |
| | | | | | | | |
| | |
| | | Pharmaceuticals – 3.4% | | | |
| 1,073,759 | | | Aerie Pharmaceuticals, Inc.(a) | | | 12,638,144 | |
| 118,398 | | | GW Pharmaceuticals PLC, Sponsored ADR(a) | | | 11,526,045 | |
| 170,802 | | | MyoKardia, Inc.(a) | | | 23,285,437 | |
| 469,027 | | | Pacira BioSciences, Inc.(a) | | | 28,197,903 | |
| | | | | | | | |
| | | | | | | 75,647,529 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Growth Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Professional Services – 0.6% | | | |
| 343,344 | | | Huron Consulting Group, Inc.(a) | | $ | 13,503,719 | |
| | | | | | | | |
| | |
| | | Semiconductors & Semiconductor Equipment – 5.0% | | | |
| 270,609 | | | Advanced Energy Industries, Inc.(a) | | | 17,032,131 | |
| 822,809 | | | FormFactor, Inc.(a) | | | 20,512,628 | |
| 674,621 | | | MACOM Technology Solutions Holdings, Inc.(a) | | | 22,943,860 | |
| 1,217,036 | | | Rambus, Inc.(a) | | | 16,661,223 | |
| 207,007 | | | Silicon Laboratories, Inc.(a) | | | 20,255,635 | |
| 360,522 | | | Silicon Motion Technology Corp., ADR | | | 13,620,521 | |
| | | | | | | | |
| | | | | | | 111,025,998 | |
| | | | | | | | |
| | |
| | | Software – 12.6% | | | |
| 219,184 | | | Blackline, Inc.(a) | | | 19,645,462 | |
| 376,911 | | | Envestnet, Inc.(a) | | | 29,082,453 | |
| 326,057 | | | Five9, Inc.(a) | | | 42,283,072 | |
| 189,176 | | | Globant S.A.(a) | | | 33,904,123 | |
| 484,140 | | | Mimecast Ltd.(a) | | | 22,715,849 | |
| 336,712 | | | Q2 Holdings, Inc.(a) | | | 30,728,337 | |
| 446,739 | | | Rapid7, Inc.(a) | | | 27,358,296 | |
| 356,174 | | | RealPage, Inc.(a) | | | 20,529,869 | |
| 685,058 | | | Tenable Holdings, Inc.(a) | | | 25,860,939 | |
| 226,364 | | | Varonis Systems, Inc.(a) | | | 26,126,933 | |
| | | | | | | | |
| | | | | | | 278,235,333 | |
| | | | | | | | |
| | |
| | | Specialty Retail – 1.2% | | | |
| 705,389 | | | National Vision Holdings, Inc.(a) | | | 26,974,075 | |
| | | | | | | | |
| | |
| | | Textiles, Apparel & Luxury Goods – 1.3% | | | |
| 245,712 | | | Columbia Sportswear Co. | | | 21,372,030 | |
| 414,340 | | | Steven Madden Ltd. | | | 8,079,630 | |
| | | | | | | | |
| | | | | | | 29,451,660 | |
| | | | | | | | |
| | |
| | | Trading Companies & Distributors – 1.9% | | | |
| 334,212 | | | SiteOne Landscape Supply, Inc.(a) | | | 40,757,153 | |
| | | | | | | | |
| | |
| | | Total Common Stocks (Identified Cost $1,517,178,654) | | 2,101,552,010 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Growth Fund – continued
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| |
| Short-Term Investments – 4.1% | | | | |
| | |
$ | 89,820,709 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $89,820,709 on 10/01/2020 collateralized by $91,624,300 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $91,617,154 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $89,820,709) | | $ | 89,820,709 | |
| | | | | | | | |
| | |
| | | Total Investments – 99.5% (Identified Cost $1,606,999,363) | | 2,191,372,719 | |
| | |
| | | | Other assets less liabilities – 0.5% | | | 10,523,805 | |
| | | | | | | | |
| | |
| | | | Net Assets – 100.0% | | $ | 2,201,896,524 | |
| | | | | | | | |
| |
| (†) | | | See Note 2 of Notes to Financial Statements. | |
| | |
| (a) | | | Non-income producing security. | | | | |
| |
| ADR | | | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |
Industry Summary at September 30, 2020
| | | | |
Software | | | 12.6 | % |
Biotechnology | | | 9.4 | |
Building Products | | | 5.6 | |
Health Care Equipment & Supplies | | | 5.5 | |
Semiconductors & Semiconductor Equipment | | | 5.0 | |
Insurance | | | 4.8 | |
Health Care Providers & Services | | | 4.8 | |
IT Services | | | 4.0 | |
Life Sciences Tools & Services | | | 3.7 | |
Health Care Technology | | | 3.7 | |
Capital Markets | | | 3.4 | |
Pharmaceuticals | | | 3.4 | |
Machinery | | | 2.9 | |
Food Products | | | 2.8 | |
Electronic Equipment, Instruments & Components | | | 2.6 | |
Aerospace & Defense | | | 2.3 | |
Commercial Services & Supplies | | | 2.3 | |
Hotels, Restaurants & Leisure | | | 2.2 | |
Other Investments, less than 2% each | | | 14.4 | |
Short-Term Investments | | | 4.1 | |
| | | | |
Total Investments | | | 99.5 | |
Other assets less liabilities | | | 0.5 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Value Fund
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – 98.9% of Net Assets | | | |
| | |
| | | Aerospace & Defense – 1.5% | | | |
| 123,384 | | | Aerojet Rocketdyne Holdings, Inc.(a) | | $ | 4,921,788 | |
| 36,809 | | | BWX Technologies, Inc. | | | 2,072,715 | |
| | | | | | | | |
| | | | | | | 6,994,503 | |
| | | | | | | | |
| | |
| | | Auto Components – 2.8% | | | |
| 134,171 | | | Cooper Tire & Rubber Co. | | | 4,253,221 | |
| 288,336 | | | Dana, Inc. | | | 3,552,299 | |
| 20,928 | | | Fox Factory Holding Corp.(a) | | | 1,555,578 | |
| 38,655 | | | LCI Industries | | | 4,108,640 | |
| | | | | | | | |
| | | | | | | 13,469,738 | |
| | | | | | | | |
| | |
| | | Banks – 11.7% | | | |
| 158,448 | | | Ameris Bancorp | | | 3,609,445 | |
| 178,809 | | | Atlantic Union Bankshares Corp. | | | 3,821,148 | |
| 183,909 | | | BancorpSouth Bank | | | 3,564,156 | |
| 143,342 | | | Bryn Mawr Bank Corp. | | | 3,564,916 | |
| 129,117 | | | Cathay General Bancorp | | | 2,799,257 | |
| 205,315 | | | CVB Financial Corp. | | | 3,414,388 | |
| 264,872 | | | Home BancShares, Inc. | | | 4,015,460 | |
| 214,326 | | | OceanFirst Financial Corp. | | | 2,934,123 | |
| 89,424 | | | Pinnacle Financial Partners, Inc. | | | 3,182,600 | |
| 132,588 | | | Popular, Inc. | | | 4,808,967 | |
| 86,403 | | | Prosperity Bancshares, Inc. | | | 4,478,267 | |
| 62,945 | | | South State Corp. | | | 3,030,802 | |
| 146,038 | | | TCF Financial Corp. | | | 3,411,448 | |
| 152,089 | | | Triumph Bancorp, Inc.(a) | | | 4,736,051 | |
| 118,577 | | | Wintrust Financial Corp. | | | 4,749,009 | |
| | | | | | | | |
| | | | | | | 56,120,037 | |
| | | | | | | | |
| | |
| | | Beverages – 1.1% | | | |
| 384,847 | | | Primo Water Corp. | | | 5,464,827 | |
| | | | | | | | |
| | |
| | | Biotechnology – 1.9% | | | |
| 49,164 | | | Emergent BioSolutions, Inc.(a) | | | 5,080,116 | |
| 41,704 | | | United Therapeutics Corp.(a) | | | 4,212,104 | |
| | | | | | | | |
| | | | | | | 9,292,220 | |
| | | | | | | | |
| | |
| | | Building Products – 2.4% | | | |
| 41,253 | | | American Woodmark Corp.(a) | | | 3,240,011 | |
| 52,093 | | | Armstrong World Industries, Inc. | | | 3,584,519 | |
| 85,538 | | | UFP Industries, Inc. | | | 4,833,752 | |
| | | | | | | | |
| | | | | | | 11,658,282 | |
| | | | | | | | |
| | |
| | | Capital Markets – 1.8% | | | |
| 322,542 | | | Donnelley Financial Solutions, Inc.(a) | | | 4,309,161 | |
| 85,801 | | | Stifel Financial Corp. | | | 4,338,099 | |
| | | | | | | | |
| | | | | | | 8,647,260 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Value Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Chemicals – 3.4% | | | |
| 46,766 | | | Ashland Global Holdings, Inc. | | $ | 3,316,645 | |
| 86,315 | | | Cabot Corp. | | | 3,109,929 | |
| 48,315 | | | Ingevity Corp.(a) | | | 2,388,694 | |
| 220,616 | | | Valvoline, Inc. | | | 4,200,529 | |
| 75,242 | | | WR Grace & Co. | | | 3,031,500 | |
| | | | | | | | |
| | | | | | | 16,047,297 | |
| | | | | | | | |
| | |
| | | Commercial Services & Supplies – 4.5% | | | |
| 55,355 | | | Clean Harbors, Inc.(a) | | | 3,101,541 | |
| 270,322 | | | Harsco Corp.(a) | | | 3,760,179 | |
| 116,763 | | | IAA, Inc.(a) | | | 6,079,849 | |
| 137,373 | | | KAR Auction Services, Inc. | | | 1,978,171 | |
| 220,407 | | | Kimball International, Inc., Class B | | | 2,323,090 | |
| 68,491 | | | McGrath RentCorp | | | 4,081,379 | |
| | | | | | | | |
| | | | | | | 21,324,209 | |
| | | | | | | | |
| | |
| | | Communications Equipment – 0.7% | | | |
| 300,248 | | | Viavi Solutions, Inc.(a) | | | 3,521,909 | |
| | | | | | | | |
| | |
| | | Construction & Engineering – 2.4% | | | |
| 116,522 | | | AECOM(a) | | | 4,875,281 | |
| 144,312 | | | Arcosa, Inc. | | | 6,362,716 | |
| | | | | | | | |
| | | | | | | 11,237,997 | |
| | | | | | | | |
| | |
| | | Distributors – 0.8% | | | |
| 132,357 | | | Core-Mark Holding Co., Inc. | | | 3,829,088 | |
| | | | | | | | |
| | |
| | | Diversified Consumer Services – 0.7% | | | |
| 83,035 | | | frontdoor, Inc.(a) | | | 3,230,892 | |
| | | | | | | | |
| | |
| | | Diversified Financial Services – 0.9% | | | |
| 110,496 | | | Cannae Holdings, Inc.(a) | | | 4,117,081 | |
| | | | | | | | |
| | |
| | | Diversified Telecommunication Services – 2.0% | | | |
| 96,973 | | | GCI Liberty, Inc., Class A(a) | | | 7,947,907 | |
| 204,894 | | | Liberty Latin America Ltd., Class C(a) | | | 1,667,837 | |
| | | | | | | | |
| | | | | | | 9,615,744 | |
| | | | | | | | |
| | |
| | | Electric Utilities – 2.1% | | | |
| 93,264 | | | ALLETE, Inc. | | | 4,825,479 | |
| 169,437 | | | NRG Energy, Inc. | | | 5,208,494 | |
| | | | | | | | |
| | | | | | | 10,033,973 | |
| | | | | | | | |
| | |
| | | Electrical Equipment – 1.2% | | | |
| 339,757 | | | Vertiv Holdings Co.(a) | | | 5,884,591 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Value Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Electronic Equipment, Instruments & Components – 4.2% | | | |
| 65,374 | | | Belden, Inc. | | $ | 2,034,439 | |
| 126,191 | | | Kimball Electronics, Inc.(a) | | | 1,458,768 | |
| 23,662 | | | Littelfuse, Inc. | | | 4,196,219 | |
| 174,037 | | | Methode Electronics, Inc. | | | 4,960,054 | |
| 27,993 | | | SYNNEX Corp. | | | 3,920,700 | |
| 309,574 | | | TTM Technologies, Inc.(a) | | | 3,532,239 | |
| | | | | | | | |
| | | | | | | 20,102,419 | |
| | | | | | | | |
| | |
| | | Energy Equipment & Services – 1.4% | | | |
| 402,714 | | | ChampionX Corp.(a) | | | 3,217,685 | |
| 102,555 | | | DMC Global, Inc. | | | 3,378,162 | |
| | | | | | | | |
| | | | | | | 6,595,847 | |
| | | | | | | | |
| | |
| | | Entertainment – 1.2% | | | |
| 139,588 | | | Liberty Media Corp.-Liberty Braves, Class C(a) | | | 2,932,744 | |
| 41,130 | | | Madison Square Garden Entertainment Corp.(a) | | | 2,816,994 | |
| | | | | | | | |
| | | | | | | 5,749,738 | |
| | | | | | | | |
| | |
| | | Food Products – 4.4% | | | |
| 169,521 | | | Darling Ingredients, Inc.(a) | | | 6,107,842 | |
| 22,737 | | | J&J Snack Foods Corp. | | | 2,964,677 | |
| 328,895 | | | Nomad Foods Ltd.(a) | | | 8,380,245 | |
| 43,337 | | | Post Holdings, Inc.(a) | | | 3,726,982 | |
| | | | | | | | |
| | | | | | | 21,179,746 | |
| | | | | | | | |
| | |
| | | Health Care Equipment & Supplies – 1.8% | | | |
| 26,003 | | | CONMED Corp. | | | 2,045,656 | |
| 54,105 | | | Inmode Ltd.(a) | | | 1,957,519 | |
| 109,619 | | | Lantheus Holdings, Inc.(a) | | | 1,388,873 | |
| 13,717 | | | Quidel Corp.(a) | | | 3,009,235 | |
| | | | | | | | |
| | | | | | | 8,401,283 | |
| | | | | | | | |
| | |
| | | Health Care Providers & Services – 0.6% | | | |
| 46,740 | | | AMN Healthcare Services, Inc.(a) | | | 2,732,420 | |
| | | | | | | | |
| | |
| | | Hotels, Restaurants & Leisure – 2.6% | | | |
| 37,625 | | | Churchill Downs, Inc. | | | 6,163,727 | |
| 18,625 | | | Cracker Barrel Old Country Store, Inc. | | | 2,135,543 | |
| 47,411 | | | Marriott Vacations Worldwide Corp. | | | 4,305,393 | |
| | | | | | | | |
| | | | | | | 12,604,663 | |
| | | | | | | | |
| | |
| | | Household Durables – 1.8% | | | |
| 27,664 | | | Helen of Troy Ltd.(a) | | | 5,353,537 | |
| 124,060 | | | Skyline Champion Corp.(a) | | | 3,321,086 | |
| | | | | | | | |
| | | | | | | 8,674,623 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Value Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Independent Power & Renewable Electricity Producers – 2.1% | | | |
| 119,094 | | | NextEra Energy Partners LP | | $ | 7,140,876 | |
| 148,639 | | | Vistra Corp. | | | 2,803,332 | |
| | | | | | | | |
| | | | | | | 9,944,208 | |
| | | | | | | | |
| | |
| | | Industrial Conglomerates – 0.5% | | | |
| 117,877 | | | Raven Industries, Inc. | | | 2,536,713 | |
| | | | | | | | |
| | |
| | | Insurance – 2.3% | | | |
| 142,727 | | | Employers Holdings, Inc. | | | 4,317,492 | |
| 101,483 | | | First American Financial Corp. | | | 5,166,499 | |
| 106,969 | | | ProAssurance Corp. | | | 1,672,995 | |
| | | | | | | | |
| | | | | | | 11,156,986 | |
| | | | | | | | |
| | |
| | | Internet & Direct Marketing Retail – 0.3% | | | |
| 208,714 | | | Qurate Retail, Inc., Class A | | | 1,498,567 | |
| | | | | | | | |
| | |
| | | IT Services – 5.1% | | | |
| 101,922 | | | CSG Systems International, Inc. | | | 4,173,706 | |
| 38,552 | | | Euronet Worldwide, Inc.(a) | | | 3,512,087 | |
| 100,602 | | | Genpact Ltd. | | | 3,918,448 | |
| 196,739 | | | Perspecta, Inc. | | | 3,826,574 | |
| 30,944 | | | Science Applications International Corp. | | | 2,426,628 | |
| 252,186 | | | Unisys Corp.(a) | | | 2,690,825 | |
| 29,162 | | | WEX, Inc.(a) | | | 4,052,643 | |
| | | | | | | | |
| | | | | | | 24,600,911 | |
| | | | | | | | |
| | |
| | | Leisure Products – 1.0% | | | |
| 80,374 | | | Brunswick Corp. | | | 4,734,832 | |
| | | | | | | | |
| | |
| | | Machinery – 5.9% | | | |
| 51,785 | | | Alamo Group, Inc. | | | 5,594,334 | |
| 43,413 | | | Albany International Corp., Class A | | | 2,149,378 | |
| 131,281 | | | Altra Industrial Motion Corp. | | | 4,853,459 | |
| 129,874 | | | Columbus McKinnon Corp. | | | 4,298,829 | |
| 28,114 | | | John Bean Technologies Corp. | | | 2,583,395 | |
| 49,294 | | | Kadant, Inc. | | | 5,403,608 | |
| 103,261 | | | Miller Industries, Inc. | | | 3,156,689 | |
| | | | | | | | |
| | | | | | | 28,039,692 | |
| | | | | | | | |
| | |
| | | Marine – 0.5% | | | |
| 66,581 | | | Kirby Corp.(a) | | | 2,408,235 | |
| | | | | | | | |
| | |
| | | Media – 1.2% | | | |
| 257,673 | | | Gray Television, Inc.(a) | | | 3,548,157 | |
| 74,961 | | | John Wiley & Sons, Inc., Class A | | | 2,377,014 | |
| | | | | | | | |
| | | | | | | 5,925,171 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Value Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Metals & Mining – 0.0% | | | |
| 10,560 | | | Haynes International, Inc. | | $ | 180,470 | |
| | | | | | | | |
| | |
| | | Multi-Utilities – 1.7% | | | |
| 180,920 | | | MDU Resources Group, Inc. | | | 4,070,700 | |
| 79,677 | | | NorthWestern Corp. | | | 3,875,489 | |
| | | | | | | | |
| | | | | | | 7,946,189 | |
| | | | | | | | |
| | |
| | | Oil, Gas & Consumable Fuels – 0.3% | | | |
| 126,150 | | | Delek U.S. Holdings, Inc. | | | 1,404,049 | |
| | | | | | | | |
| | |
| | | Pharmaceuticals – 1.6% | | | |
| 55,941 | | | Catalent, Inc.(a) | | | 4,791,906 | |
| 139,461 | | | Supernus Pharmaceuticals, Inc.(a) | | | 2,906,367 | |
| | | | | | | | |
| | | | | | | 7,698,273 | |
| | | | | | | | |
| | |
| | | Professional Services – 2.5% | | | |
| 53,558 | | | ASGN, Inc.(a) | | | 3,404,147 | |
| 98,566 | | | Clarivate PLC(a) | | | 3,054,560 | |
| 46,366 | | | Insperity, Inc. | | | 3,036,509 | |
| 77,708 | | | Korn Ferry | | | 2,253,532 | |
| | | | | | | | |
| | | | | | | 11,748,748 | |
| | | | | | | | |
| | |
| | | REITs – Apartments – 0.4% | | | |
| 55,561 | | | American Campus Communities, Inc. | | | 1,940,190 | |
| | | | | | | | |
| | |
| | | REITs – Shopping Centers – 0.5% | | | |
| 236,448 | | | Retail Opportunity Investments Corp. | | | 2,462,606 | |
| | | | | | | | |
| | |
| | | REITs – Single Tenant – 0.9% | | | |
| 68,298 | | | Agree Realty Corp. | | | 4,346,485 | |
| | | | | | | | |
| | |
| | | REITs – Storage – 0.9% | | | |
| 134,064 | | | CubeSmart | | | 4,331,608 | |
| | | | | | | | |
| | |
| | | REITs – Warehouse/Industrials – 3.7% | | | |
| 144,498 | | | Americold Realty Trust | | | 5,165,803 | |
| 42,797 | | | CyrusOne, Inc. | | | 2,997,074 | |
| 130,767 | | | Rexford Industrial Realty, Inc. | | | 5,983,898 | |
| 119,743 | | | STAG Industrial, Inc. | | | 3,650,964 | |
| | | | | | | | |
| | | | | | | 17,797,739 | |
| | | | | | | | |
| | |
| | | Semiconductors & Semiconductor Equipment – 1.9% | | | |
| 80,680 | | | Advanced Energy Industries, Inc.(a) | | | 5,077,999 | |
| 209,440 | | | Tower Semiconductor Ltd.(a) | | | 3,815,997 | |
| | | | | | | | |
| | | | | | | 8,893,996 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small Cap Value Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Software – 1.3% | | | |
| 108,958 | | | ACI Worldwide, Inc.(a) | | $ | 2,847,073 | |
| 67,041 | | | Verint Systems, Inc.(a) | | | 3,230,035 | |
| | | | | | | | |
| | | | | | | 6,077,108 | |
| | | | | | | | |
| | |
| | | Specialty Retail – 1.3% | | | |
| 45,881 | | | Aaron’s, Inc. | | | 2,599,159 | |
| 160,771 | | | Urban Outfitters, Inc.(a) | | | 3,345,644 | |
| | | | | | | | |
| | | | | | | 5,944,803 | |
| | | | | | | | |
| | |
| | | Thrifts & Mortgage Finance – 1.2% | | | |
| 51,041 | | | Federal Agricultural Mortgage Corp., Class C | | | 3,249,270 | |
| 139,845 | | | Meta Financial Group, Inc. | | | 2,687,821 | |
| | | | | | | | |
| | | | | | | 5,937,091 | |
| | | | | | | | |
| | |
| | | Trading Companies & Distributors – 1.1% | | | |
| 187,898 | | | Alta Equipment Group, Inc.(a) | | | 1,471,241 | |
| 96,714 | | | Herc Holdings, Inc.(a) | | | 3,830,842 | |
| | | | | | | | |
| | | | | | | 5,302,083 | |
| | | | | | | | |
| | |
| | | Wireless Telecommunication Services – 0.8% | | | |
| 132,811 | | | United States Cellular Corp.(a) | | | 3,921,909 | |
| | | | | | | | |
| | |
| | | | Total Common Stocks (Identified Cost $414,919,972) | | | 473,309,049 | |
| | | | | | | | |
| |
| Other Investments – 0.0% | | | | |
| | |
| | | Metals & Mining – 0.0% | | | |
| 507,316 | | | Ferroglobe R&W Trust(a)(b)(c)(d) (Identified Cost $0) | | | — | |
| | | | | | | | |
| | |
| Principal Amount | | | | | | | |
| |
| Short-Term Investments – 0.9% | | | | |
| | |
$ | 4,424,559 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $4,424,559 on 10/01/2020 collateralized by $4,513,500 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $4,513,148 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,424,559) | | | 4,424,559 | |
| | | | | | | | |
| | |
| | | | Total Investments – 99.8% (Identified Cost $419,344,531) | | | 477,733,608 | |
| | |
| | | | Other assets less liabilities – 0.2% | | | 915,727 | |
| | | | | | | | |
| | |
| | | | Net Assets – 100.0% | | $ | 478,649,335 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
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. | | | | |
| | |
| (c) | | | Illiquid security. (Unaudited) | | | | |
| | |
| (d) | | | Security classified as fair valued pursuant to the Fund’s pricing policies and procedures. | | | | |
| | |
| REITs | | | Real Estate Investment Trusts | | | | |
Industry Summary at September 30, 2020
| | | | |
Banks | | | 11.7 | % |
Machinery | | | 5.9 | |
IT Services | | | 5.1 | |
Commercial Services & Supplies | | | 4.5 | |
Food Products | | | 4.4 | |
Electronic Equipment, Instruments & Components | | | 4.2 | |
REITs – Warehouse/Industrials | | | 3.7 | |
Chemicals | | | 3.4 | |
Auto Components | | | 2.8 | |
Hotels, Restaurants & Leisure | | | 2.6 | |
Professional Services | | | 2.5 | |
Building Products | | | 2.4 | |
Construction & Engineering | | | 2.4 | |
Insurance | | | 2.3 | |
Electric Utilities | | | 2.1 | |
Independent Power & Renewable Electricity Producers | | | 2.1 | |
Diversified Telecommunication Services | | | 2.0 | |
Other Investments, less than 2% each | | | 34.8 | |
Short-Term Investments | | | 0.9 | |
| | | | |
Total Investments | | | 99.8 | |
Other assets less liabilities | | | 0.2 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small/Mid Cap Growth Fund
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – 96.8% of Net Assets | | | |
| | |
| | | Aerospace & Defense – 3.5% | | | |
| 6,921 | | | Aerojet Rocketdyne Holdings, Inc.(a) | | $ | 276,079 | |
| 8,216 | | | Axon Enterprise, Inc.(a) | | | 745,191 | |
| 5,649 | | | HEICO Corp. | | | 591,224 | |
| 5,333 | | | Kaman Corp. | | | 207,827 | |
| | | | | | | | |
| | | | | | | 1,820,321 | |
| | | | | | | | |
| | |
| | | Auto Components – 1.6% | | | |
| 4,237 | | | Fox Factory Holding Corp.(a) | | | 314,936 | |
| 4,893 | | | LCI Industries | | | 520,077 | |
| | | | | | | | |
| | | | | | | 835,013 | |
| | | | | | | | |
| | |
| | | Biotechnology – 7.1% | | | |
| 28,722 | | | Amicus Therapeutics, Inc.(a) | | | 405,555 | |
| 2,322 | | | Argenx SE, ADR(a) | | | 609,571 | |
| 3,881 | | | Ascendis Pharma A/S, ADR(a) | | | 598,916 | |
| 3,571 | | | Emergent BioSolutions, Inc.(a) | | | 368,991 | |
| 9,213 | | | Immunomedics, Inc.(a) | | | 783,381 | |
| 6,316 | | | Neurocrine Biosciences, Inc.(a) | | | 607,347 | |
| 6,734 | | | PTC Therapeutics, Inc.(a) | | | 314,815 | |
| | | | | | | | |
| | | | | | | 3,688,576 | |
| | | | | | | | |
| | |
| | | Building Products – 1.4% | | | |
| 7,123 | | | Advanced Drainage Systems, Inc. | | | 444,760 | |
| 2,932 | | | Masonite International Corp.(a) | | | 288,509 | |
| | | | | | | | |
| | | | | | | 733,269 | |
| | | | | | | | |
| | |
| | | Capital Markets – 4.7% | | | |
| 21,882 | | | Ares Management Corp., Class A | | | 884,470 | |
| 5,567 | | | Hamilton Lane, Inc., Class A | | | 359,573 | |
| 1,282 | | | MarketAxess Holdings, Inc. | | | 617,398 | |
| 3,700 | | | Morningstar, Inc. | | | 594,257 | |
| | | | | | | | |
| | | | | | | 2,455,698 | |
| | | | | | | | |
| | |
| | | Commercial Services & Supplies – 2.3% | | | |
| 12,694 | | | Ritchie Bros. Auctioneers, Inc. | | | 752,119 | |
| 4,673 | | | Tetra Tech, Inc. | | | 446,272 | |
| | | | | | | | |
| | | | | | | 1,198,391 | |
| | | | | | | | |
| | |
| | | Communications Equipment – 0.7% | | | |
| 9,715 | | | Ciena Corp.(a) | | | 385,588 | |
| | | | | | | | |
| | |
| | | Distributors – 1.6% | | | |
| 2,542 | | | POOL CORP. | | | 850,401 | |
| | | | | | | | |
| | |
| | | Diversified Consumer Services – 1.2% | | | |
| 9,017 | | | Chegg, Inc.(a) | | | 644,175 | |
| | | | | | | | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small/Mid Cap Growth Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Electrical Equipment – 1.7% | | | |
| 4,501 | | | Generac Holdings, Inc.(a) | | $ | 871,574 | |
| | | | | | | | |
| | |
| | | Electronic Equipment, Instruments & Components – 2.1% | | | |
| 10,486 | | | FLIR Systems, Inc. | | | 375,923 | |
| 14,734 | | | Trimble, Inc.(a) | | | 717,546 | |
| | | | | | | | |
| | | | | | | 1,093,469 | |
| | | | | | | | |
| |
| | | Food & Staples Retailing – 1.2% | |
| 3,627 | | | Casey’s General Stores, Inc. | | | 644,337 | |
| | | | | | | | |
| | |
| | | Food Products – 4.4% | | | |
| 10,966 | | | Freshpet, Inc.(a) | | | 1,224,354 | |
| 27,000 | | | Nomad Foods Ltd.(a) | | | 687,960 | |
| 17,503 | | | Simply Good Foods Co. (The)(a) | | | 385,941 | |
| | | | | | | | |
| | | | | | | 2,298,255 | |
| | | | | | | | |
| |
| | | Health Care Equipment & Supplies – 5.3% | |
| 10,966 | | | Globus Medical, Inc., Class A(a) | | | 543,036 | |
| 4,559 | | | Insulet Corp.(a) | | | 1,078,614 | |
| 2,683 | | | Penumbra, Inc.(a) | | | 521,521 | |
| 2,332 | | | West Pharmaceutical Services, Inc. | | | 641,067 | |
| | | | | | | | |
| | | | | | | 2,784,238 | |
| | | | | | | | |
| | |
| | | Health Care Providers & Services – 3.8% | | | |
| 1,525 | | | Chemed Corp. | | | 732,534 | |
| 5,322 | | | Encompass Health Corp. | | | 345,823 | |
| 4,198 | | | LHC Group, Inc.(a) | | | 892,327 | |
| | | | | | | | |
| | | | | | | 1,970,684 | |
| | | | | | | | |
| | |
| | | Hotels, Restaurants & Leisure – 2.4% | | | |
| 9,819 | | | Texas Roadhouse, Inc. | | | 596,897 | |
| 29,859 | | | Wendy’s Co. (The) | | | 665,706 | |
| | | | | | | | |
| | | | | | | 1,262,603 | |
| | | | | | | | |
| | |
| | | Household Durables – 1.2% | | | |
| 3,267 | | | Helen of Troy Ltd.(a) | | | 632,230 | |
| | | | | | | | |
| | |
| | | Insurance – 3.0% | | | |
| 6,904 | | | Kemper Corp. | | | 461,395 | |
| 4,339 | | | Kinsale Capital Group, Inc. | | | 825,191 | |
| 3,514 | | | RLI Corp. | | | 294,227 | |
| | | | | | | | |
| | | | | | | 1,580,813 | |
| | | | | | | | |
| | |
| | | IT Services – 7.6% | | | |
| 11,022 | | | Black Knight, Inc.(a) | | | 959,465 | |
| 9,791 | | | Booz Allen Hamilton Holding Corp. | | | 812,457 | |
| 5,203 | | | Broadridge Financial Solutions, Inc. | | | 686,796 | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small/Mid Cap Growth Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | IT Services – continued | | | |
| 3,470 | | | EPAM Systems, Inc.(a) | | $ | 1,121,782 | |
| 16,633 | | | KBR, Inc. | | | 371,914 | |
| | | | | | | | |
| | | | | | | 3,952,414 | |
| | | | | | | | |
| | |
| | | Leisure Products – 1.2% | | | |
| 10,263 | | | Brunswick Corp. | | | 604,593 | |
| | | | | | | | |
| | |
| | | Life Sciences Tools & Services – 5.2% | | | |
| 2,293 | | | Bio-Techne Corp. | | | 568,045 | |
| 2,684 | | | Charles River Laboratories International, Inc.(a) | | | 607,792 | |
| 3,108 | | | ICON PLC(a) | | | 593,908 | |
| 5,672 | | | PRA Health Sciences, Inc.(a) | | | 575,367 | |
| 6,658 | | | Syneos Health, Inc.(a) | | | 353,939 | |
| | | | | | | | |
| | | | | | | 2,699,051 | |
| | | | | | | | |
| | |
| | | Machinery – 2.4% | | | |
| 6,570 | | | ESCO Technologies, Inc. | | | 529,279 | |
| 19,712 | | | Ingersoll Rand, Inc.(a) | | | 701,747 | |
| | | | | | | | |
| | | | | | | 1,231,026 | |
| | | | | | | | |
| | |
| | | Pharmaceuticals – 3.4% | | | |
| 11,006 | | | Catalent, Inc.(a) | | | 942,774 | |
| 10,549 | | | Horizon Therapeutics PLC(a) | | | 819,446 | |
| | | | | | | | |
| | | | | | | 1,762,220 | |
| | | | | | | | |
| | |
| | | Professional Services – 2.0% | | | |
| 3,232 | | | FTI Consulting, Inc.(a) | | | 342,495 | |
| 8,237 | | | TransUnion | | | 692,979 | |
| | | | | | | | |
| | | | | | | 1,035,474 | |
| | | | | | | | |
| | |
| | | Semiconductors & Semiconductor Equipment – 6.7% | | | |
| 9,435 | | | Advanced Energy Industries, Inc.(a) | | | 593,839 | |
| 5,497 | | | MKS Instruments, Inc. | | | 600,437 | |
| 3,101 | | | Monolithic Power Systems, Inc. | | | 867,071 | |
| 5,311 | | | Nova Measuring Instruments Ltd.(a) | | | 276,915 | |
| 10,506 | | | Semtech Corp.(a) | | | 556,398 | |
| 5,926 | | | Silicon Laboratories, Inc.(a) | | | 579,859 | |
| | | | | | | | |
| | | | | | | 3,474,519 | |
| | | | | | | | |
| | |
| | | Software – 14.0% | | | |
| 4,546 | | | Avalara, Inc.(a) | | | 578,888 | |
| 7,130 | | | Blackline, Inc.(a) | | | 639,062 | |
| 6,068 | | | Five9, Inc.(a) | | | 786,898 | |
| 7,316 | | | Guidewire Software, Inc.(a) | | | 762,839 | |
| 5,067 | | | Paylocity Holding Corp.(a) | | | 817,915 | |
| 5,694 | | | Pegasystems, Inc. | | | 689,202 | |
See accompanying notes to financial statements.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small/Mid Cap Growth Fund – continued
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| |
Common Stocks – continued | | | |
| | |
| | | Software – continued | | | |
| 8,827 | | | Q2 Holdings, Inc.(a) | | $ | 805,552 | |
| 9,249 | | | Smartsheet, Inc., Class A(a) | | | 457,086 | |
| 23,093 | | | SVMK, Inc.(a) | | | 510,586 | |
| 17,254 | | | Tenable Holdings, Inc.(a) | | | 651,338 | |
| 1,751 | | | Tyler Technologies, Inc.(a) | | | 610,329 | |
| | | | | | | | |
| | | | | | | 7,309,695 | |
| | | | | | | | |
| | |
| | | Specialty Retail – 1.3% | | | |
| 9,361 | | | Floor & Decor Holdings, Inc., Class A(a) | | | 700,203 | |
| | | | | | | | |
| | |
| | | Textiles, Apparel & Luxury Goods – 1.7% | | | |
| 5,904 | | | Columbia Sportswear Co. | | | 513,530 | |
| 12,358 | | | Skechers U.S.A., Inc., Class A(a) | | | 373,459 | |
| | | | | | | | |
| | | | | | | 886,989 | |
| | | | | | | | |
| | |
| | | Trading Companies & Distributors – 2.1% | | | |
| 8,881 | | | SiteOne Landscape Supply, Inc.(a) | | | 1,083,038 | |
| | | | | | | | |
| | |
| | | | Total Common Stocks (Identified Cost $40,505,890) | | | 50,488,857 | |
| | | | | | | | |
| | |
| Principal Amount | | | | | | | |
| |
| Short-Term Investments – 3.1% | | | | |
| | |
$ | 1,648,808 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $1,648,808 on 10/01/2020 collateralized by $1,682,000 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $1,681,869 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,648,808) | | | 1,648,808 | |
| | | | | | | | |
| | |
| | | | Total Investments – 99.9% (Identified Cost $42,154,698) | | | 52,137,665 | |
| | |
| | | | Other assets less liabilities – 0.1% | | | 33,810 | |
| | | | | | | | |
| | |
| | | | Net Assets – 100.0% | | $ | 52,171,475 | |
| | | | | | | | |
| |
| (†) | | | 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.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Small/Mid Cap Growth Fund – continued
Industry Summary at September 30, 2020
| | | | |
Software | | | 14.0 | % |
IT Services | | | 7.6 | |
Biotechnology | | | 7.1 | |
Semiconductors & Semiconductor Equipment | | | 6.7 | |
Health Care Equipment & Supplies | | | 5.3 | |
Life Sciences Tools & Services | | | 5.2 | |
Capital Markets | | | 4.7 | |
Food Products | | | 4.4 | |
Health Care Providers & Services | | | 3.8 | |
Aerospace & Defense | | | 3.5 | |
Pharmaceuticals | | | 3.4 | |
Insurance | | | 3.0 | |
Hotels, Restaurants & Leisure | | | 2.4 | |
Machinery | | | 2.4 | |
Commercial Services & Supplies | | | 2.3 | |
Electronic Equipment, Instruments & Components | | | 2.1 | |
Trading Companies & Distributors | | | 2.1 | |
Professional Services | | | 2.0 | |
Other Investments, less than 2% each | | | 14.8 | |
Short-Term Investments | | | 3.1 | |
| | | | |
Total Investments | | | 99.9 | |
Other assets less liabilities | | | 0.1 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
See accompanying notes to financial statements.
Statements of Assets and Liabilities
September 30, 2020
| | | | | | | | | | | | |
| | Small Cap Growth Fund | | | Small Cap Value Fund | | | Small/Mid Cap Growth Fund | |
ASSETS | | | | | | | | | | | | |
Investments at cost | | $ | 1,606,999,363 | | | $ | 419,344,531 | | | $ | 42,154,698 | |
Net unrealized appreciation | | | 584,373,356 | | | | 58,389,077 | | | | 9,982,967 | |
| | | | | | | | | | | | |
Investments at value | | | 2,191,372,719 | | | | 477,733,608 | | | | 52,137,665 | |
Cash | | | — | | | | 21,932 | | | | — | |
Receivable for Fund shares sold | | | 14,564,189 | | | | 232,960 | | | | 738 | |
Receivable for securities sold | | | 1,841,143 | | | | 818,207 | | | | 186,910 | |
Dividends and interest receivable | | | 132,194 | | | | 1,045,626 | | | | 11,198 | |
Prepaid expenses (Note 7) | | | 209 | | | | 70 | | | | 5 | |
| | | | | | | | | | | | |
TOTAL ASSETS | | | 2,207,910,454 | | | | 479,852,403 | | | | 52,336,516 | |
| | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | |
Payable for securities purchased | | | 2,926,366 | | | | 193,897 | | | | 51,118 | |
Payable for Fund shares redeemed | | | 1,299,174 | | | | 342,353 | | | | 5,867 | |
Management fees payable (Note 5) | | | 1,333,211 | | | | 279,231 | | | | 23,565 | |
Deferred Trustees’ fees (Note 5) | | | 249,236 | | | | 279,244 | | | | 31,787 | |
Administrative fees payable (Note 5) | | | 77,707 | | | | 17,595 | | | | 1,843 | |
Payable to distributor (Note 5d) | | | 16,037 | | | | 4,420 | | | | 29 | |
Other accounts payable and accrued expenses | | | 112,199 | | | | 86,328 | | | | 50,832 | |
| | | | | | | | | | | | |
TOTAL LIABILITIES | | | 6,013,930 | | | | 1,203,068 | | | | 165,041 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 2,201,896,524 | | | $ | 478,649,335 | | | $ | 52,171,475 | |
| | | | | | | | | | | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | |
Paid-in capital | | $ | 1,587,610,383 | | | $ | 384,114,548 | | | $ | 42,835,718 | |
Accumulated earnings | | | 614,286,141 | | | | 94,534,787 | | | | 9,335,757 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 2,201,896,524 | | | $ | 478,649,335 | | | $ | 52,171,475 | |
| | | | | | | | | | | | |
| | | |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | | | | | | | | | | | | |
Institutional Class: | | | | | | | | | | | | |
Net assets | | $ | 1,037,625,163 | | | $ | 295,006,489 | | | $ | 52,170,254 | |
| | | | | | | | | | | | |
Shares of beneficial interest | | | 36,400,149 | | | | 13,206,714 | | | | 4,419,204 | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 28.51 | | | $ | 22.34 | | | $ | 11.81 | |
| | | | | | | | | | | | |
Retail Class: | | | | | | | | | | | | |
Net assets | | $ | 98,204,643 | | | $ | 83,163,321 | | | $ | — | |
| | | | | | | | | | | | |
Shares of beneficial interest | | | 3,825,964 | | | | 3,801,913 | | | | — | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 25.67 | | | $ | 21.87 | | | $ | — | |
| | | | | | | | | | | | |
Admin Class shares: | | | | | | | | | | | | |
Net assets | | $ | — | | | $ | 7,661,829 | | | $ | — | |
| | | | | | | | | | | | |
Shares of beneficial interest | | | — | | | | 371,066 | | | | — | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per share | | $ | — | | | $ | 20.65 | | | $ | — | |
| | | | | | | | | | | | |
Class N shares: | | | | | | | | | | | | |
Net assets | | $ | 1,066,066,718 | | | $ | 92,817,696 | | | $ | 1,221 | |
| | | | | | | | | | | | |
Shares of beneficial interest | | | 37,003,469 | | | | 4,152,550 | | | | 103 | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 28.81 | | | $ | 22.35 | | | $ | 11.81 | * |
| | | | | | | | | | | | |
* | Net asset value calculations have been determined utilizing fractional share and penny amounts. |
See accompanying notes to financial statements.
Statements of Operations
For the Year Ended September 30, 2020
| | | | | | | | | | | | |
| | Small Cap Growth Fund | | | Small Cap Value Fund | | | Small/Mid Cap Growth Fund | |
INVESTMENT INCOME | | | | | | | | | | | | |
Dividends | | $ | 4,880,817 | | | $ | 7,994,841 | | | $ | 204,514 | |
Interest | | | 317,142 | | | | 39,748 | | | | 6,143 | |
Less net foreign taxes withheld | | | — | | | | (34,033 | ) | | | (1,752 | ) |
| | | | | | | | | | | | |
| | | 5,197,959 | | | | 8,000,556 | | | | 208,905 | |
| | | | | | | | | | | | |
Expenses | | | | | | | | | | | | |
Management fees (Note 5) | | | 13,879,951 | | | | 4,342,299 | | | | 313,390 | |
Service and distribution fees (Note 5) | | | 232,060 | | | | 313,021 | | | | — | |
Administrative fees (Note 5) | | | 817,150 | | | | 255,444 | | | | 18,443 | |
Trustees’ fees and expenses (Note 5) | | | 114,088 | | | | 70,677 | | | | 21,599 | |
Transfer agent fees and expenses (Notes 5 and 6) | | | 1,254,238 | | | | 481,264 | | | | 5,581 | |
Audit and tax services fees | | | 40,311 | | | | 40,800 | | | | 40,281 | |
Custodian fees and expenses | | | 61,088 | | | | 18,999 | | | | 8,738 | |
Legal fees (Note 7) | | | 44,190 | | | | 13,469 | | | | 1,317 | |
Registration fees | | | 106,742 | | | | 75,268 | | | | 65,121 | |
Shareholder reporting expenses | | | 84,397 | | | | 56,629 | | | | 8,096 | |
Miscellaneous expenses (Note 7) | | | 67,012 | | | | 43,031 | | | | 25,270 | |
| | | | | | | | | | | | |
Total expenses | | | 16,701,227 | | | | 5,710,901 | | | | 507,836 | |
Less waiver and/or expense reimbursement (Note 5) | | | — | | | | (242,252 | ) | | | (156,297 | ) |
| | | | | | | | | | | | |
Net expenses | | | 16,701,227 | | | | 5,468,649 | | | | 351,539 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | (11,503,268 | ) | | | 2,531,907 | | | | (142,634 | ) |
| | | | | | | | | | | | |
| | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | |
Net realized gain on: | | | | | | | | | | | | |
Investments | | | 44,416,635 | | | | 39,651,898 | | | | 478,820 | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments | | | 311,230,363 | | | | (146,094,001 | ) | | | 7,645,216 | |
| | | | | | | | | | | | |
Net realized and unrealized gain (loss) on investments | | | 355,646,998 | | | | (106,442,103 | ) | | | 8,124,036 | |
| | | | | | | | | | | | |
| | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 344,143,730 | | | $ | (103,910,196 | ) | | $ | 7,981,402 | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | Small Cap Growth Fund | | | Small Cap Value Fund | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | |
FROM OPERATIONS: | |
Net investment income (loss) | | $ | (11,503,268 | ) | | $ | (8,790,650 | ) | | $ | 2,531,907 | | | $ | 2,471,460 | |
Net realized gain on investments | | | 44,416,635 | | | | 155,991,266 | | | | 39,651,898 | | | | 55,538,968 | |
Net change in unrealized appreciation (depreciation) on investments | | | 311,230,363 | | | | (268,064,056 | ) | | | (146,094,001 | ) | | | (109,251,529 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 344,143,730 | | | | (120,863,440 | ) | | | (103,910,196 | ) | | | (51,241,101 | ) |
| | | | | | | | | | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Institutional Class | | | (80,218,616 | ) | | | (74,228,048 | ) | | | (34,882,909 | ) | | | (67,841,584 | ) |
Retail Class | | | (9,162,211 | ) | | | (11,691,827 | ) | | | (10,573,237 | ) | | | (23,416,722 | ) |
Admin Class | | | — | | | | — | | | | (1,107,925 | ) | | | (3,000,140 | ) |
Class N | | | (61,460,368 | ) | | | (45,465,070 | ) | | | (11,045,289 | ) | | | (18,276,952 | ) |
| | | | | | | | | | | | | | | | |
Total distributions | | | (150,841,195 | ) | | | (131,384,945 | ) | | | (57,609,360 | ) | | | (112,535,398 | ) |
| | | | | | | | | | | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | | | 374,429,835 | | | | 305,348,898 | | | | (82,803,607 | ) | | | (86,935,502 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | 567,732,370 | | | | 53,100,513 | | | | (244,323,163 | ) | | | (250,712,001 | ) |
NET ASSETS | | | | | | | | | | | | | | | | |
Beginning of the year | | | 1,634,164,154 | | | | 1,581,063,641 | | | | 722,972,498 | | | | 973,684,499 | |
| | | | | | | | | | | | | | | | |
End of the year | | $ | 2,201,896,524 | | | $ | 1,634,164,154 | | | $ | 478,649,335 | | | $ | 722,972,498 | |
| | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Statements of Changes in Net Assets – continued
| | | | | | | | |
| | Small/Mid Cap Growth Fund | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | |
FROM OPERATIONS: | |
Net investment loss | | $ | (142,634 | ) | | $ | (82,902 | ) |
Net realized gain on investments | | | 478,820 | | | | 707,633 | |
Net change in unrealized appreciation (depreciation) on investments | | | 7,645,216 | | | | (112,924 | ) |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 7,981,402 | | | | 511,807 | |
| | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Institutional Class | | | (817,090 | ) | | | (4,717,064 | ) |
Class N | | | (24 | ) | | | — | |
| | | | | | | | |
Total distributions | | | (817,114 | ) | | | (4,717,064 | ) |
| | | | | | | | |
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | | | 10,695,219 | | | | 21,017,023 | |
| | | | | | | | |
Net increase in net assets | | | 17,859,507 | | | | 16,811,766 | |
NET ASSETS | | | | | | | | |
Beginning of the year | | | 34,311,968 | | | | 17,500,202 | |
| | | | | | | | |
End of the year | | $ | 52,171,475 | | | $ | 34,311,968 | |
| | | | | | | | |
See accompanying notes to financial statements.
Financial Highlights
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Small Cap Growth Fund—Institutional Class | | | | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| | | | |
Net asset value, beginning of the period | | $ | 26.30 | | | $ | 31.55 | | | $ | 27.37 | | | $ | 22.03 | | | $ | 22.22 | | | | | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss(a) | | | (0.17 | ) | | | (0.16 | ) | | | (0.16 | ) | | | (0.12 | ) | | | (0.09 | ) | | | | |
Net realized and unrealized gain (loss) | | | 4.73 | | | | (2.51 | ) | | | 7.54 | | | | 5.46 | | | | 1.59 | | | | | |
| | | | |
Total from Investment Operations | | | 4.56 | | | | (2.67 | ) | | | 7.38 | | | | 5.34 | | | | 1.50 | | | | | |
| | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized capital gains | | | (2.35 | ) | | | (2.58 | ) | | | (3.20 | ) | | | — | | | | (1.69 | ) | | | | |
| | | | |
Net asset value, end of the period | | $ | 28.51 | | | $ | 26.30 | | | $ | 31.55 | | | $ | 27.37 | | | $ | 22.03 | | | | | |
| | | | |
Total return | | | 17.98 | % | | | (6.88 | )% | | | 29.77 | % | | | 24.24 | % | | | 6.92 | % | | | | |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 1,037,625 | | | $ | 908,616 | | | $ | 926,914 | | | $ | 824,103 | | | $ | 812,383 | | | | | |
Net expenses | | | 0.94 | % | | | 0.95 | % | | | 0.94 | % | | | 0.95 | % | | | 0.95 | % | | | | |
Gross expenses | | | 0.94 | % | | | 0.95 | % | | | 0.94 | % | | | 0.95 | % | | | 0.95 | % | | | | |
Net investment loss | | | (0.66 | )% | | | (0.62 | )% | | | (0.58 | )% | | | (0.49 | )% | | | (0.41 | )% | | | | |
Portfolio turnover rate | | | 52 | % | | | 67 | % | | | 41 | % | | | 45 | % | | | 56 | % | | | | |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
See accompanying notes to financial statements.
Financial Highlights – continued
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Small Cap Growth Fund—Retail Class | | | | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| | | | |
Net asset value, beginning of the period | | $ | 23.95 | | | $ | 29.09 | | | $ | 25.53 | | | $ | 20.61 | | | $ | 20.93 | | | | | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss(a) | | | (0.21 | ) | | | (0.21 | ) | | | (0.22 | ) | | | (0.16 | ) | | | (0.13 | ) | | | | |
Net realized and unrealized gain (loss) | | | 4.28 | | | | (2.35 | ) | | | 6.98 | | | | 5.08 | | | | 1.50 | | | | | |
| | | | |
Total from Investment Operations | | | 4.07 | | | | (2.56 | ) | | | 6.76 | | | | 4.92 | | | | 1.37 | | | | | |
| | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized capital gains | | | (2.35 | ) | | | (2.58 | ) | | | (3.20 | ) | | | — | | | | (1.69 | ) | | | | |
| | | | |
Net asset value, end of the period | | $ | 25.67 | | | $ | 23.95 | | | $ | 29.09 | | | $ | 25.53 | | | $ | 20.61 | | | | | |
| | | | |
Total return | | | 17.67 | % | | | (7.11 | )%(b) | | | 29.45 | % | | | 23.93 | % | | | 6.61 | % | | | | |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 98,205 | | | $ | 95,635 | | | $ | 136,415 | | | $ | 107,387 | | | $ | 118,670 | | | | | |
Net expenses | | | 1.19 | % | | | 1.19 | %(c) | | | 1.19 | % | | | 1.20 | % | | | 1.20 | % | | | | |
Gross expenses | | | 1.19 | % | | | 1.20 | % | | | 1.19 | % | | | 1.20 | % | | | 1.20 | % | | | | |
Net investment loss | | | (0.91 | )% | | | (0.86 | )% | | | (0.82 | )% | | | (0.73 | )% | | | (0.66 | )% | | | | |
Portfolio turnover rate | | | 52 | % | | | 67 | % | | | 41 | % | | | 45 | % | | | 56 | % | | | | |
(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.
Financial Highlights – continued
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Small Cap Growth Fund—Class N | | | | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| | | | |
Net asset value, beginning of the period | | $ | 26.53 | | | $ | 31.76 | | | $ | 27.50 | | | $ | 22.11 | | | $ | 22.27 | | | | | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss(a) | | | (0.14 | ) | | | (0.13 | ) | | | (0.12 | ) | | | (0.09 | ) | | | (0.06 | ) | | | | |
Net realized and unrealized gain (loss) | | | 4.77 | | | | (2.52 | ) | | | 7.58 | | | | 5.48 | | | | 1.59 | | | | | |
| | | | |
Total from Investment Operations | | | 4.63 | | | | (2.65 | ) | | | 7.46 | | | | 5.39 | | | | 1.53 | | | | | |
| | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized capital gains | | | (2.35 | ) | | | (2.58 | ) | | | (3.20 | ) | | | — | | | | (1.69 | ) | | | | |
| | | | |
Net asset value, end of the period | | $ | 28.81 | | | $ | 26.53 | | | $ | 31.76 | | | $ | 27.50 | | | $ | 22.11 | | | | | |
| | | | |
Total return | | | 18.09 | % | | | (6.76 | )% | | | 29.93 | % | | | 24.38 | % | | | 7.05 | % | | | | |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 1,066,067 | | | $ | 629,914 | | | $ | 517,734 | | | $ | 279,508 | | | $ | 196,733 | | | | | |
Net expenses | | | 0.82 | % | | | 0.82 | % | | | 0.82 | % | | | 0.82 | % | | | 0.83 | % | | | | |
Gross expenses | | | 0.82 | % | | | 0.82 | % | | | 0.82 | % | | | 0.82 | % | | | 0.83 | % | | | | |
Net investment loss | | | (0.54 | )% | | | (0.49 | )% | | | (0.43 | )% | | | (0.39 | )% | | | (0.29 | )% | | | | |
Portfolio turnover rate | | | 52 | % | | | 67 | % | | | 41 | % | | | 45 | % | | | 56 | % | | | | |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
See accompanying notes to financial statements.
Financial Highlights – continued
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Small Cap Value Fund—Institutional Class | | | | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| | | | |
Net asset value, beginning of the period | | $ | 28.66 | | | $ | 35.27 | | | $ | 37.37 | | | $ | 33.78 | | | $ | 32.19 | | | | | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.12 | | | | 0.10 | | | | 0.09 | | | | 0.13 | | | | 0.17 | | | | | |
Net realized and unrealized gain (loss) | | | (4.03 | ) | | | (2.49 | ) | | | 2.11 | | | | 6.36 | | | | 4.82 | | | | | |
| | | | |
Total from Investment Operations | | | (3.91 | ) | | | (2.39 | ) | | | 2.20 | | | | 6.49 | | | | 4.99 | | | | | |
| | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.12 | ) | | | (0.08 | ) | | | (0.05 | ) | | | (0.14 | ) | | | (0.22 | ) | | | | |
Net realized capital gains | | | (2.29 | ) | | | (4.14 | ) | | | (4.25 | ) | | | (2.76 | ) | | | (3.18 | ) | | | | |
| | | | |
Total Distributions | | | (2.41 | ) | | | (4.22 | ) | | | (4.30 | ) | | | (2.90 | ) | | | (3.40 | ) | | | | |
| | | | |
Net asset value, end of the period | | $ | 22.34 | | | $ | 28.66 | | | $ | 35.27 | | | $ | 37.37 | | | $ | 33.78 | | | | | |
| | | | |
Total return(b) | | | (15.31 | )% | | | (4.11 | )% | | | 6.21 | % | | | 19.68 | % | | | 16.75 | % | | | | |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 295,006 | | | $ | 433,360 | | | $ | 587,198 | | | $ | 665,229 | | | $ | 654,501 | | | | | |
Net expenses(c) | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | | |
Gross expenses | | | 0.95 | % | | | 0.93 | % | | | 0.92 | % | | | 0.93 | % | | | 0.93 | % | | | | |
Net investment income | | | 0.48 | % | | | 0.36 | % | | | 0.26 | % | | | 0.37 | % | | | 0.52 | % | | | | |
Portfolio turnover rate | | | 23 | % | | | 24 | % | | | 19 | % | | | 25 | % | | | 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.
Financial Highlights – continued
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Small Cap Value Fund—Retail Class | | | | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| | | | |
Net asset value, beginning of the period | | $ | 28.11 | | | $ | 34.66 | | | $ | 36.83 | | | $ | 33.33 | | | $ | 31.78 | | | | | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.05 | | | | 0.03 | | | | 0.00 | (b) | | | 0.04 | | | | 0.08 | | | | | |
Net realized and unrealized gain (loss) | | | (3.96 | ) | | | (2.44 | ) | | | 2.08 | | | | 6.27 | | | | 4.77 | | | | | |
| | | | |
Total from Investment Operations | | | (3.91 | ) | | | (2.41 | ) | | | 2.08 | | | | 6.31 | | | | 4.85 | | | | | |
| | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.04 | ) | | | — | | | | — | | | | (0.05 | ) | | | (0.12 | ) | | | | |
Net realized capital gains | | | (2.29 | ) | | | (4.14 | ) | | | (4.25 | ) | | | (2.76 | ) | | | (3.18 | ) | | | | |
| | | | |
Total Distributions | | | (2.33 | ) | | | (4.14 | ) | | | (4.25 | ) | | | (2.81 | ) | | | (3.30 | ) | | | | |
| | | | |
Net asset value, end of the period | | $ | 21.87 | | | $ | 28.11 | | | $ | 34.66 | | | $ | 36.83 | | | $ | 33.33 | | | | | |
| | | | |
Total return(c) | | | (15.56 | )% | | | (4.33 | )% | | | 5.95 | % | | | 19.38 | % | | | 16.47 | % | | | | |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 83,163 | | | $ | 134,434 | | | $ | 208,310 | | | $ | 251,405 | | | $ | 267,936 | | | | | |
Net expenses(d) | | | 1.15 | % | | | 1.15 | % | | | 1.15 | % | | | 1.15 | % | | | 1.15 | % | | | | |
Gross expenses | | | 1.20 | % | | | 1.18 | % | | | 1.17 | % | | | 1.18 | % | | | 1.18 | % | | | | |
Net investment income | | | 0.23 | % | | | 0.10 | % | | | 0.01 | % | | | 0.12 | % | | | 0.27 | % | | | | |
Portfolio turnover rate | | | 23 | % | | | 24 | % | | | 19 | % | | | 25 | % | | | 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.
Financial Highlights – continued
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Small Cap Value Fund—Admin Class | | | | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| | | | |
Net asset value, beginning of the period | | $ | 26.68 | | | $ | 33.25 | | | $ | 35.58 | | | $ | 32.31 | | | $ | 30.88 | | | | | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(a) | | | (0.01 | ) | | | (0.04 | ) | | | (0.08 | ) | | | (0.04 | ) | | | 0.01 | | | | | |
Net realized and unrealized gain (loss) | | | (3.73 | ) | | | (2.39 | ) | | | 2.00 | | | | 6.07 | | | | 4.62 | | | | | |
| | | | |
Total from Investment Operations | | | (3.74 | ) | | | (2.43 | ) | | | 1.92 | | | | 6.03 | | | | 4.63 | | | | | |
| | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | — | | | | — | | | | — | | | | — | | | | (0.02 | ) | | | | |
Net realized capital gains | | | (2.29 | ) | | | (4.14 | ) | | | (4.25 | ) | | | (2.76 | ) | | | (3.18 | ) | | | | |
| | | | |
Total Distributions | | | (2.29 | ) | | | (4.14 | ) | | | (4.25 | ) | | | (2.76 | ) | | | (3.20 | ) | | | | |
| | | | |
Net asset value, end of the period | | $ | 20.65 | | | $ | 26.68 | | | $ | 33.25 | | | $ | 35.58 | | | $ | 32.31 | | | | | |
| | | | |
Total return(b) | | | (15.74 | )% | | | (4.60 | )% | | | 5.68 | % | | | 19.10 | % | | | 16.19 | % | | | | |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 7,662 | | | $ | 13,357 | | | $ | 24,530 | | | $ | 30,533 | | | $ | 43,973 | | | | | |
Net expenses(c) | | | 1.40 | % | | | 1.40 | % | | | 1.40 | % | | | 1.40 | % | | | 1.39 | %(d) | | | | |
Gross expenses | | | 1.45 | % | | | 1.43 | % | | | 1.42 | % | | | 1.43 | % | | | 1.42 | %(d) | | | | |
Net investment income (loss) | | | (0.03 | )% | | | (0.15 | )% | | | (0.24 | )% | | | (0.11 | )% | | | 0.03 | % | | | | |
Portfolio turnover rate | | | 23 | % | | | 24 | % | | | 19 | % | | | 25 | % | | | 22 | % | | | | |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | Includes refund of prior year service fee of 0.01%. |
See accompanying notes to financial statements.
Financial Highlights – continued
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Small Cap Value Fund—Class N | | | | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| | | | |
Net asset value, beginning of the period | | $ | 28.68 | | | $ | 35.31 | | | $ | 37.41 | | | $ | 33.81 | | | $ | 32.22 | | | | | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.13 | | | | 0.12 | | | | 0.12 | | | | 0.15 | | | | 0.19 | | | | | |
Net realized and unrealized gain (loss) | | | (4.03 | ) | | | (2.50 | ) | | | 2.11 | | | | 6.37 | | | | 4.83 | | | | | |
| | | | |
Total from Investment Operations | | | (3.90 | ) | | | (2.38 | ) | | | 2.23 | | | | 6.52 | | | | 5.02 | | | | | |
| | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.14 | ) | | | (0.11 | ) | | | (0.08 | ) | | | (0.16 | ) | | | (0.25 | ) | | | | |
Net realized capital gains | | | (2.29 | ) | | | (4.14 | ) | | | (4.25 | ) | | | (2.76 | ) | | | (3.18 | ) | | | | |
| | | | |
Total Distributions | | | (2.43 | ) | | | (4.25 | ) | | | (4.33 | ) | | | (2.92 | ) | | | (3.43 | ) | | | | |
| | | | |
Net asset value, end of the period | | $ | 22.35 | | | $ | 28.68 | | | $ | 35.31 | | | $ | 37.41 | | | $ | 33.81 | | | | | |
| | | | |
Total return | | | (15.28 | )% | | | (4.07 | )% | | | 6.28 | % | | | 19.78 | % | | | 16.84 | % | | | | |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 92,818 | | | $ | 141,821 | | | $ | 153,646 | | | $ | 136,162 | | | $ | 68,332 | | | | | |
Net expenses | | | 0.85 | % | | | 0.83 | % | | | 0.83 | % | | | 0.83 | % | | | 0.83 | % | | | | |
Gross expenses | | | 0.85 | % | | | 0.83 | % | | | 0.83 | % | | | 0.83 | % | | | 0.83 | % | | | | |
Net investment income | | | 0.53 | % | | | 0.43 | % | | | 0.33 | % | | | 0.44 | % | | | 0.61 | % | | | | |
Portfolio turnover rate | | | 23 | % | | | 24 | % | | | 19 | % | | | 25 | % | | | 22 | % | | | | |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
See accompanying notes to financial statements.
Financial Highlights – continued
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Small/Mid Cap Growth Fund—Institutional Class | | | | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| | | | |
Net asset value, beginning of the period | | $ | 10.03 | | | $ | 15.49 | | | $ | 12.31 | | | $ | 9.73 | | | $ | 9.05 | | | | | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(a) | | | (0.04 | ) | | | (0.04 | ) | | | (0.05 | ) | | | 0.00 | (b) | | | (0.02 | ) | | | | |
Net realized and unrealized gain (loss) | | | 2.06 | | | | (1.55 | )(c) | | | 3.23 | | | | 2.60 | | | | 0.70 | | | | | |
| | | | |
Total from Investment Operations | | | 2.02 | | | | (1.59 | ) | | | 3.18 | | | | 2.60 | | | | 0.68 | | | | | |
| | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | — | | | | — | | | | — | | | | (0.02 | ) | | | — | | | | | |
Net realized capital gains | | | (0.24 | ) | | | (3.87 | ) | | | — | | | | — | | | | — | | | | | |
| | | | |
Total Distributions | | | (0.24 | ) | | | (3.87 | ) | | | — | | | | (0.02 | ) | | | — | | | | | |
| | | | |
Net asset value, end of the period | | $ | 11.81 | | | $ | 10.03 | | | $ | 15.49 | | | $ | 12.31 | | | $ | 9.73 | | | | | |
| | | | |
Total return(d) | | | 20.38 | % | | | (3.27 | )% | | | 25.83 | % | | | 26.74 | % | | | 7.51 | % | | | | |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 52,170 | | | $ | 34,312 | | | $ | 17,500 | | | $ | 14,592 | | | $ | 11,974 | | | | | |
Net expenses(e) | | | 0.84 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | | |
Gross expenses | | | 1.21 | % | | | 1.30 | % | | | 1.43 | % | | | 1.57 | % | | | 1.75 | % | | | | |
Net investment income (loss) | | | (0.34 | )% | | | (0.35 | )% | | | (0.35 | )% | | | 0.01 | % | | | (0.22 | )% | | | | |
Portfolio turnover rate | | | 60 | % | | | 67 | % | | | 102 | %(f) | | | 49 | % | | | 53 | % | | | | |
(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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | 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.
Financial Highlights – continued
For a share outstanding throughout each period.
| | | | | | | | | | | | |
| | Small/Mid Cap Growth Fund— Class N | | | | |
| | | | | Period Ended September 30, 2020*
| | | | |
Net asset value, beginning of the period | | | | | | $ | 9.89 | | | | | |
| | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | |
Net investment loss(a) | | | | | | | (0.04 | ) | | | | |
Net realized and unrealized gain (loss) | | | | | | | 2.20 | | | | | |
| | | | | | | | |
Total from Investment Operations | | | | | | | 2.16 | | | | | |
| | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | |
Net realized capital gains | | | | | | | (0.24 | ) | | | | |
| | | | | | | | |
Net asset value, end of the period | | | | | | $ | 11.81 | | | | | |
| | | | | | | | |
Total return(b)(c) | | | | | | | 22.08 | % | | | | |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | | | | | $ | 1 | | | | | |
Net expenses(d)(e) | | | | | | | 0.83 | % | | | | |
Gross expenses(e) | | | | | | | 107.49 | % | | | | |
Net investment loss(e) | | | | | | | (0.34 | )% | | | | |
Portfolio turnover rate(f) | | | | | | | 60 | % | | | | |
* | Class operations commenced on October 1, 2019. |
(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) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Represents the Fund’s portfolio turnover rate for the year ended September 30, 2020. |
See accompanying notes to financial statements.
Notes to Financial Statements
September 30, 2020
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 an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Loomis Sayles Funds 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 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 and Class N shares (effective October 1, 2019).
Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-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. 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 and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to 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 Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
Notes to Financial Statements – continued
September 30, 2020
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 of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. 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 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
Notes to Financial Statements – continued
September 30, 2020
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.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes
Notes to Financial Statements – continued
September 30, 2020
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, 2020 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 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
Notes to Financial Statements – continued
September 30, 2020
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 the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as return of capital distributions received, deferred Trustees’ fees, redemptions-in-kind, capital gain distributions received 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, capital gain distributions received 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 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, 2020 and 2019 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 2020 Distributions Paid From: | | | 2019 Distributions Paid From: | |
Fund | | Ordinary Income | | | Long-Term Capital Gains | | | Total | | | Ordinary Income | | | Long-Term Capital Gains | | | Total | |
Small Cap Growth Fund | | $ | — | | | $ | 150,841,195 | | | $ | 150,841,195 | | | $ | — | | | $ | 131,384,945 | | | $ | 131,384,945 | |
Small Cap Value Fund | | | 2,526,541 | | | | 55,082,819 | | | | 57,609,360 | | | | 1,761,169 | | | | 110,774,229 | | | | 112,535,398 | |
Small/Mid Cap Growth Fund | | | — | | | | 817,114 | | | | 817,114 | | | | — | | | | 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 in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
Notes to Financial Statements – continued
September 30, 2020
As of September 30, 2020, 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 | | $ | — | | | $ | 1,813,776 | | | $ | — | |
Undistributed long-term capital gains | | | 41,523,437 | | | | 35,346,868 | | | | 841 | |
| | | | | | | | | | | | |
Total undistributed earnings | | | 41,523,437 | | | | 37,160,644 | | | | 841 | |
| | | | | | | | | | | | |
Late-year ordinary and post-October capital loss deferrals* | | | (8,252,065 | ) | | | — | | | | (522,399 | ) |
| | | | | | | | | | | | |
Unrealized appreciation | | | 581,264,005 | | | | 57,653,388 | | | | 9,889,102 | |
| | | | | | | | | | | | |
Total accumulated earnings | | $ | 614,535,377 | | | $ | 94,814,032 | | | $ | 9,367,544 | |
| | | | | | | | | | | | |
* | 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, 2020, 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 | | $ | 1,610,108,714 | | | $ | 420,080,220 | | | $ | 42,248,563 | |
| | | | | | | | | | | | |
Gross tax appreciation | | $ | 627,992,151 | | | $ | 106,990,712 | | | $ | 10,949,590 | |
Gross tax depreciation | | | (46,728,146 | ) | | | (49,337,324 | ) | | | (1,060,488 | ) |
| | | | | | | | | | | | |
Net tax appreciation | | $ | 581,264,005 | | | $ | 57,653,388 | | | $ | 9,889,102 | |
| | | | | | | | | | | | |
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 are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2020, 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. Small Cap Growth Fund and Small Cap Value Fund have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as
Notes to Financial Statements – continued
September 30, 2020
agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the year ended September 30, 2020, neither Fund 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.
i. New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of the adoption of ASU 2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. Amended disclosures required and permitted for early adoption by ASU 2018-13 have been incorporated in the Funds’ annual financial statements as of September 30, 2020.
Notes to Financial Statements – continued
September 30, 2020
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
| • | | Level 1—quoted prices in active markets for identical assets or liabilities; |
| • | | Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| • | | Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2020, at value:
Small Cap Growth Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks(a) | | $ | 2,101,552,010 | | | $ | — | | | $ | — | | | $ | 2,101,552,010 | |
Short-Term Investments | | | — | | | | 89,820,709 | | | | — | | | | 89,820,709 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 2,101,552,010 | | | $ | 89,820,709 | | | $ | — | | | $ | 2,191,372,719 | |
| | | | | | | | | | | | | | | | |
(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
Small Cap Value Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks(a) | | $ | 473,309,049 | | | $ | — | | | $ | — | | | $ | 473,309,049 | |
Other Investments(a) | | | — | | | | — | | | | — | | | | — | |
Short-Term Investments | | | — | | | | 4,424,559 | | | | — | | | | 4,424,559 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 473,309,049 | | | $ | 4,424,559 | | | $ | — | | | $ | 477,733,608 | |
| | | | | | | | | | | | | | | | |
(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
Notes to Financial Statements – continued
September 30, 2020
Small/Mid Cap Growth Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks(a) | | $ | 50,488,857 | | | $ | — | | | $ | — | | | $ | 50,488,857 | |
Short-Term Investments | | | — | | | | 1,648,808 | | | | — | | | | 1,648,808 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 50,488,857 | | | $ | 1,648,808 | | | $ | — | | | $ | 52,137,665 | |
| | | | | | | | | | | | | | | | |
(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
4. Purchases and Sales of Securities. For the year ended September 30, 2020, purchases and sales of securities (excluding short-term investments) were as follows:
| | | | | | | | |
Fund | | Purchases | | | Sales | |
Small Cap Growth Fund | | $ | 1,091,080,281 | | | $ | 924,279,379 | |
Small Cap Value Fund | | | 131,996,209 | | | | 267,405,033 | |
Small/Mid Cap Growth Fund | | | 36,492,481 | | | | 24,550,298 | |
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, LLC (“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, 2021, 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.
Notes to Financial Statements – continued
September 30, 2020
For the year ended September 30, 2020, 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% | | | | — | | | | — | | | | 0.83% | |
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, 2020, the management fees for each Fund were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Gross Management Fees | | | Contractual Waivers of Management Fees1 | | | Voluntary Waivers of Management Fees2 | | | Net Management Fees | | | Percentage of Average Daily Net Assets | |
Fund | | Gross | | | Net | |
Small Cap Growth Fund | | $ | 13,879,951 | | | $ | — | | | $ | — | | | $ | 13,879,951 | | | | 0.75% | | | | 0.75% | |
Small Cap Value Fund | | | 4,342,299 | | | | 242,252 | | | | — | | | | 4,100,047 | | | | 0.75% | | | | 0.71% | |
Small/Mid Cap Growth Fund | | | 313,390 | | | | 151,521 | | | | 3,635 | | | | 158,234 | | | | 0.75% | | | | 0.38% | |
1 | Contractual management fee waivers are subject to possible recovery until September 30, 2021. |
2 | Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described above. |
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 Rule 12b-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
Notes to Financial Statements – continued
September 30, 2020
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.
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, 2020, 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 | | $ | — | | | $ | 232,060 | | | $ | — | |
Small Cap Value Fund | | | 24,910 | | | | 263,201 | | | | 24,910 | |
c. Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.
Notes to Financial Statements – continued
September 30, 2020
For the year ended September 30, 2020, the administrative fees for each Fund were as follows:
| | | | |
Fund | | Administrative Fees | |
Small Cap Growth Fund | | $ | 817,150 | |
Small Cap Value Fund | | | 255,444 | |
Small/Mid Cap Growth Fund | | | 18,443 | |
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the year ended September 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
| | | | |
Fund | | Sub-Transfer Agent Fees | |
Small Cap Growth Fund | | $ | 1,224,338 | |
Small Cap Value Fund | | | 453,300 | |
Small/Mid Cap Growth Fund | | | 1,848 | |
As of September 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
| | | | |
Fund | | Reimbursements of Sub-Transfer Agent Fees | |
Small Cap Growth Fund | | $ | 16,037 | |
Small Cap Value Fund | | | 4,420 | |
Small/Mid Cap Growth Fund | | | 29 | |
Sub-transfer agent fees attributable to Institutional Class, Retail Class and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
Notes to Financial Statements – continued
September 30, 2020
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 $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. 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 of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.
Notes to Financial Statements – continued
September 30, 2020
f. Affiliated Ownership. As of September 30, 2020, Natixis and affiliates, 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 | | Natixis | | | Pension Plan | | | Retirement Plan | | | Total Affiliated Ownership | |
Small Cap Growth Fund | | | — | | | | 0.13% | | | | 1.14% | | | | 1.27% | |
Small Cap Value Fund | | | — | | | | 0.56% | | | | 4.46% | | | | 5.02% | |
Small/Mid Cap Growth Fund | | | Less than 1% | | | | — | | | | — | | | | Less than 1% | |
Investment activities of affiliated shareholders could have material impacts on the Funds.
g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to Small/Mid Cap Growth Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through January 31, 2021 and is not subject to recovery under the expense limitation agreement described above.
For the year ended September 30, 2020, Natixis Advisors reimbursed Small/Mid Cap Growth Fund $1,141 for transfer agency expenses related to Class N shares.
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 a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
For the year ended September 30, 2020, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):
| | | | | | | | | | | | | | | | |
| | Transfer Agent Fees and Expenses | |
Fund | | Institutional Class | | | Retail Class | | | Admin Class | | | Class N | |
Small Cap Growth Fund | | $ | 1,134,392 | | | $ | 112,695 | | | $ | — | | | $ | 7,151 | |
Small Cap Value Fund | | | 360,825 | | | | 108,240 | | | | 10,222 | | | | 1,977 | |
Small/Mid Cap Growth Fund | | | 4,440 | | | | — | | | | — | | | | 1,141 | |
7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar
Notes to Financial Statements – continued
September 30, 2020
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, 2020, none of the Funds had borrowings under this agreement.
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, 2020, 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 | | | 2 | | | | 19.45% | | | | 5.02% | | | | 24.47% | |
Small/Mid Cap Growth Fund | | | 6 | | | | 78.17% | | | | — | | | | 78.17% | |
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
9. Risk. Global markets have experienced periods of high volatility triggered by the ongoing public health emergency known as coronavirus (“Covid-19”). As the situation continues, the extent and duration of the impact that the Covid-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the Covid-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.
Notes to Financial Statements – continued
September 30, 2020
10. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| | | | | | | | | | | | | | | | |
| | Small Cap Growth Fund | |
| | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | |
| | | | |
Institutional Class | | Shares | | | Amount | | | Shares | | | Amount | |
Issued from the sale of shares | | | 13,167,719 | | | $ | 318,448,815 | | | | 11,579,961 | | | $ | 308,840,843 | |
Issued in connection with the reinvestment of distributions | | | 2,907,753 | | | | 77,404,396 | | | | 3,229,384 | | | | 71,175,640 | |
Redeemed | | | (14,223,727 | ) | | | (360,653,006 | ) | | | (9,640,609 | ) | | | (255,383,227 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 1,851,745 | | | $ | 35,200,205 | | | | 5,168,736 | | | $ | 124,633,256 | |
| | | | | | | | | | | | | | | | |
|
Retail Class | |
Issued from the sale of shares | | | 912,597 | | | $ | 20,495,084 | | | | 1,457,788 | | | $ | 35,354,241 | |
Issued in connection with the reinvestment of distributions | | | 379,550 | | | | 9,116,785 | | | | 580,575 | | | | 11,675,362 | |
Redeemed | | | (1,459,375 | ) | | | (33,506,278 | ) | | | (2,734,300 | ) | | | (66,088,287 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (167,228 | ) | | $ | (3,894,409 | ) | | | (695,937 | ) | | $ | (19,058,684 | ) |
| | | | | | | | | | | | | | | | |
|
Class N | |
Issued from the sale of shares | | | 17,628,357 | | | $ | 452,596,699 | | | | 14,891,081 | | | $ | 407,213,957 | |
Issued in connection with the reinvestment of distributions | | | 2,249,879 | | | | 60,476,756 | | | | 2,040,644 | | | | 45,322,697 | |
Redeemed | | | (6,620,566 | ) | | | (169,949,416 | ) | | | (9,488,573 | ) | | | (252,762,328 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 13,257,670 | | | $ | 343,124,039 | | | | 7,443,152 | | | $ | 199,774,326 | |
| | | | | | | | | | | | | | | | |
Increase from capital share transactions | | | 14,942,187 | | | $ | 374,429,835 | | | | 11,915,951 | | | $ | 305,348,898 | |
| | | | | | | | | | | | | | | | |
Notes to Financial Statements – continued
September 30, 2020
10. Capital Shares – continued
| | | | | | | | | | | | | | | | |
| | Small Cap Value Fund | |
| | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | |
| | | | |
Institutional Class | | Shares | | | Amount | | | Shares | | | Amount | |
Issued from the sale of shares | | | 3,070,880 | | | $ | 72,483,944 | | | | 1,885,997 | | | $ | 52,720,402 | |
Issued in connection with the reinvestment of distributions | | | 1,187,726 | | | | 33,101,927 | | | | 2,757,754 | | | | 64,641,757 | |
Redeemed | | | (6,171,314 | ) | | | (143,712,872 | ) | | | (6,172,550 | ) | | | (172,631,075 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (1,912,708 | ) | | $ | (38,127,001 | ) | | | (1,528,799 | ) | | $ | (55,268,916 | ) |
| | | | | | | | | | | | | | | | |
|
Retail Class | |
Issued from the sale of shares | | | 209,646 | | | $ | 4,830,652 | | | | 248,433 | | | $ | 6,930,683 | |
Issued in connection with the reinvestment of distributions | | | 385,444 | | | | 10,541,881 | | | | 1,013,991 | | | | 23,352,213 | |
Redeemed | | | (1,576,219 | ) | | | (38,194,968 | ) | | | (2,489,201 | ) | | | (67,155,838 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (981,129 | ) | | $ | (22,822,435 | ) | | | (1,226,777 | ) | | $ | (36,872,942 | ) |
| | | | | | | | | | | | | | | | |
|
Admin Class | |
Issued from the sale of shares | | | 89,240 | | | $ | 2,047,167 | | | | 164,641 | | | $ | 4,244,622 | |
Issued in connection with the reinvestment of distributions | | | 33,393 | | | | 863,879 | | | | 103,280 | | | | 2,261,822 | |
Redeemed | | | (252,153 | ) | | | (5,146,329 | ) | | | (505,156 | ) | | | (12,991,234 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (129,520 | ) | | $ | (2,235,283 | ) | | | (237,235 | ) | | $ | (6,484,790 | ) |
| | | | | | | | | | | | | | | | |
|
Class N | |
Issued from the sale of shares | | | 606,779 | | | $ | 14,233,156 | | | | 1,949,203 | | | $ | 53,692,224 | |
Issued in connection with the reinvestment of distributions | | | 396,172 | | | | 11,045,289 | | | | 779,733 | | | | 18,276,952 | |
Redeemed | | | (1,794,608 | ) | | | (44,897,333 | ) | | | (2,136,634 | ) | | | (60,278,030 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (791,657 | ) | | $ | (19,618,888 | ) | | | 592,302 | | | $ | 11,691,146 | |
| | | | | | | | | | | | | | | | |
Decrease from capital share transactions | | | (3,815,014 | ) | | $ | (82,803,607 | ) | | | (2,400,509 | ) | | $ | (86,935,502 | ) |
| | | | | | | | | | | | | | | | |
Notes to Financial Statements – continued
September 30, 2020
10. Capital Shares – continued
| | | | | | | | | | | | | | | | |
| | Small/Mid Cap Growth Fund | |
| | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | |
| | | | |
Institutional Class | | Shares | | | Amount | | | Shares | | | Amount | |
Issued from the sale of shares | | | 2,299,458 | | | $ | 24,306,399 | | | | 2,433,625 | | | $ | 23,898,389 | |
Issued in connection with the reinvestment of distributions | | | 74,958 | | | | 787,810 | | | | 540,127 | | | | 4,234,598 | |
Redeemed | | | (844,906 | ) | | | (8,799,784 | ) | | | (681,600 | ) | | | (7,115,964 | ) |
Redeemed in-kind (Note 11) | | | (532,341 | ) | | | (5,600,230 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net change | | | 997,169 | | | $ | 10,694,195 | | | | 2,292,152 | | | $ | 21,017,023 | |
| | | | | | | | | | | | | | | | |
|
Class N(a) | |
Issued from the sale of shares | | | 101 | | | $ | 1,000 | | | | — | | | $ | — | |
Issued in connection with the reinvestment of distributions | | | 2 | | | | 24 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net change | | | 103 | | | $ | 1,024 | | | | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Increase from capital share transactions | | | 997,272 | | | $ | 10,695,219 | | | | 2,292,152 | | | $ | 21,017,023 | |
| | | | | | | | | | | | | | | | |
(a) Class operations commenced on October 1, 2019.
11. Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. Small/Mid Cap Growth Fund realized a gain of $779,521 on redemptions in-kind during the year ended September 30, 2020. This amount is included in realized gain (loss) on the Statements of Operations.
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, 2020, the related statements of operations for the year ended September 30, 2020, the statements of changes in net assets for each of the two years in the period ended September 30, 2020, 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, 2020, 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, 2020 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, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
November 20, 2020
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.
2020 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2020, 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 Fund | | | 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, 2020, unless subsequently determined to be different.
| | | | |
Fund | | Amount | |
Small Cap Growth Fund | | $ | 150,841,195 | |
Small Cap Value Fund | | | 55,082,819 | |
Small/Mid Cap Growth Fund | | | 817,114 | |
Qualified Dividend Income. For the fiscal year ended September 30, 2020, 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 2020, complete information will be reported in conjunction with Form 1099-DIV.
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’ Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Loomis Sayles Funds at 800-633-3330.
| | | | | | | | |
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 | | 54 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 Chairperson of Governance Committee and Audit Committee Member | | Executive Chairman of Bob’s Discount Furniture (retail) | | 54 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 | | 54 Director of Triumph Group (aerospace industry) | | Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) |
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 | | Retired | | 54 Director of Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank) | | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) |
| | | | |
Martin T. Meehan (1956) | | Trustee since 2012 Audit Committee Member | | President, University of Massachusetts | | 54 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) | | 54 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) |
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) | | 54 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 Audit Committee Member | | Professor of Finance at Babson College | | 54 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 | | 54 None | | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) |
| | | | |
Kirk A. Sykes
(1958) | | Trustee since 2019 Contract Review Committee Member | | 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) | | 54 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) |
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 | | | | |
| | | | |
Cynthia L. Walker
(1956) | | Trustee since 2005 Chairperson of the Audit Committee and Governance Committee Member | | Deputy Dean for Finance and Administration, Yale University School of Medicine | | 54 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 Fund I since 2015 | | President, Chief Executive Officer and Chairman of the Board of Directors | | 54 None | | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
| | | | |
David L. Giunta4 (1965) | | Trustee since 2011 President 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 | | 54
None | | Significant experience on the Board; experience as President and Chief Executive Officer of 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 Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation. |
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 Chief Compliance Officer and Anti-Money Laundering Officer | | Since 2016 Since 2020 | | Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, 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. |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, 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. |
Annual Report
September 30, 2020
Loomis Sayles Credit Income Fund
Loomis Sayles Intermediate Duration Bond Fund
Loomis Sayles Limited Term Government and Agency Fund
Table of Contents
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.
LOOMIS SAYLES CREDIT INCOME FUND
| | |
| |
Managers | | Symbols |
| |
Matthew J. Eagan, CFA® | | Class A LOCAX |
| |
Elaine M. Stokes | | Class C LOCCX |
| |
Brain P. Kennedy | | Class N LOCNX |
| |
| | Class Y LOCYX |
|
Loomis, Sayles & Company, L.P. |
Investment Goal
The Fund seeks high current income with a secondary objective of capital growth.
Market Conditions
The financial markets experienced significant volatility in the past year, as investors grappled with the uncertainty surrounding Covid-19. The bulk of the market disruptions occurred in February and March, when world governments first aimed to contain the virus by locking down broad swaths of their economies. Higher-risk assets were hit hard in the ensuing sell-off, while demand for lower-risk investments surged. Markets snapped back after the first quarter of 2020 amidst unprecedented central bank actions, lifting of lockdowns and promising news of a potential vaccine.
Performance Results
The Loomis Sayles Credit Income Fund was launched on September 29, 2020. For the period ending September 30, 2020, Class Y shares of the Fund returned -0.30% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Credit Index, which returned -0.19%.
Explanation of Fund Performance
The trading costs to launch and transition the portfolio from cash to full investment were the largest detractor from Fund performance. Allocation to cash detracted from performance. Due to the newness of the Fund, cash levels were higher than we would typically expect.
The Fund’s allocations to investment grade and high yield corporate credit were the main contributors to performance, aided by exposure to the consumer non-cyclical sector.
Outlook
While economic and financial market conditions have continued to show encouraging signs of improvement, the outlook remains uncertain. The Federal Reserve has provided forward guidance that helps ensure monetary policy can remain accommodative for the foreseeable future, which appears to be boosting business and consumer confidence and keeping investor risk appetite strong going into the final quarter of the year. We also believe it is still possible for a limited agreement to be reached that extends the fiscal stimulus package and provides further support to the economy, though ongoing debate by lawmakers on the size and scale of the package has been causing increased anxiety among
investors as we get closer to the US election. We continue to assess the immediate and longer-term impacts of the pandemic on the economy, but currently expect a slow and uneven pace of recovery.
Valuations in the corporate bond sectors have been less compelling following the strong credit rally that has unfolded since the end of March. However, we believe the low global interest rate environment will likely continue to drive the search for yield and help provide a positive technical backdrop for both investment grade and high yield corporate debt. Also, we have been active and selective in new issues throughout the year, and will continue to look for opportunities in the primary market.
LOOMIS SAYLES CREDIT INCOME FUND
Total Returns — September 30, 20203
| | | | | | | | | | | | |
| | | | | Expense Ratios4 | |
| | Life of Fund | | | Gross | | | Net | |
| | | |
Class Y (Inception 9/29/20) | | | | | | | | | | | | |
NAV | | | -0.30 | % | | | 1.11 | % | | | 0.57 | % |
| | | |
Class A (Inception 9/29/20) | | | | | | | | | | | | |
NAV | | | -0.30 | | | | 1.36 | | | | 0.82 | |
With 4.25% Maximum Sales Charge | | | -4.50 | | | | | | | | | |
| | | |
Class C (Inception 9/29/20) | | | | | | | | | | | | |
NAV | | | -0.30 | | | | 2.11 | | | | 1.57 | |
With CDSC1 | | | -1.30 | | | | | | | | | |
| | | |
Class N (Inception 9/29/20) | | | | | | | | | | | | |
NAV | | | -0.30 | | | | 1.42 | | | | 0.52 | |
| | | |
Comparative Performance | | | | | | | | | | | | |
Bloomberg Barclays U.S. Credit Index2 | | | -0.19 | | | | | | | | | |
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. Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. It is composed of the U.S. Corporate Index and a non-corporate component that includes non-U.S. agencies, sovereigns, supranationals and local authorities. The U.S. Credit Index was called the U.S. Corporate Index until July 2000, when it was renamed to reflect its inclusion of both corporate and non-corporate issuers. The U.S. Credit Index is a subset of the U.S. Government/Credit Index and U.S. Aggregate Index. Indexes are unmanaged. It is not possible to invest directly in an 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 1/31/22. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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 |
| |
| | Class Y LSDIX |
|
Loomis, Sayles & Company, L.P. |
Investment Goal
The Fund’s investment objective is above-average total return through a combination of current income and capital appreciation.
Market Conditions
The financial markets experienced significant volatility over the 12-month period, as investors grappled with the uncertainty surrounding Covid-19. The bulk of the market disruptions occurred in February and March, when world governments first aimed to contain the virus by locking down broad swaths of their economies. Higher-risk assets were hit hard in the ensuing selloff, while demand for lower-risk investments surged. The US Federal Reserve (Fed) sought to counter the extraordinary developments by cutting the fed funds rate to zero and reinstituting quantitative easing through the purchases of Treasuries and mortgage-backed securities. The Fed also revived lending facilities last used in 2008, such as the TALF, which is a funding backstop for the asset-backed securities (ABS) market. The central bank even established facilities never used before, such as the Corporate Credit Facilities which allowed the Fed to purchase corporate bond assets for the first time in its history. In conjunction with a $2.2 trillion stimulus package passed by the US Congress, the Fed’s response fueled an impressive recovery in higher-risk assets from late March onward.
The uncertain environment worked to the benefit of US Treasuries due to their status as a relative “safe haven.” Longer duration bonds delivered particularly robust gains. The yield on the 10-year Treasury note fell to an all-time low in March and remained close to that level thereafter on expectations that the Fed would pursue its low-rate policy indefinitely. (Prices and yields move in opposite directions.)
Investment grade corporates were notable beneficiaries of rising risk appetite and investors’ demand for high-quality alternatives to low-yielding government debt. Despite their downturn in the February-March selloff, corporates outperformed the broader fixed income market for the full 12-month period.
Securitized assets, including ABS, mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS), lagged Treasuries and investment grade corporates, but nonetheless posted a solid total return as they rallied in the second half of the period.
LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND
Performance Results
For the 12 months ended September 30, 2020, Class Y shares of the Loomis Sayles Intermediate Duration Bond Fund returned 7.33% at net asset value. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index, which returned 6.32%.
Explanation of Fund Performance
The Fund’s positioning to risk assets like corporate bonds and underweight US Treasuries proved beneficial to performance relative to the benchmark as the sector underperformed risk assets during the period.
Corporate bond exposure and selection within the asset class was a large positive contributor to relative 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 led by an overweight to financials, particularly within the banking segment. Additionally, security selection within industrial segments such as technology and electric companies contributed to performance.
Our underweight positioning and selection within the government-related sector also proved to be beneficial over the twelve months.
On the downside, select names within agency securitized assets detracted from performance over the period year. Security selection within non-agency securitized credit slightly detracted as well. Within corporates, selection within energy names proved to be a drag on performance.
Outlook
We expect the Fed’s benchmark fed funds rate to remain unchanged at the zero lower bound and the front end of the Treasury yield curve to remain anchored for the foreseeable future. We do not anticipate the Fed bringing rates into negative territory on the view that negative policy rates are broadly disruptive to a nation’s financial system. We believe US Treasury yields will trade in a fairly tight range through the US presidential election, but may respond more acutely in the days following depending on the result and whether the result is contested. Once the results are determined, however, we see more potential for yields to rise as we move through 2021. In particular, improving prospects for a vaccine rollout could be a catalyst for rising intermediate and longer maturity Treasury yields, while the front end remains anchored. With the demand side of the equation improving, we believe there will likely be pockets of inflation as supply remains disrupted and we continue to see ultra-accommodative monetary policy and ample fiscal support.
Our base case expectation is that we are in the credit repair phase of the credit cycle1 and are starting to push towards recovery in some segments of the US economy. Credit sector valuations have trended toward levels observed prior to the first quarter of 2020, but still present a potential opportunity to obtain an attractive yield advantage over duration-matched government bonds. We believe corporate credit spreads may continue to tighten, albeit much more gradually than what we saw in the second quarter of 2020. Despite the weakened fundamental picture in the post-Covid environment, we believe corporate credit
remains supported by a strong technical backdrop headlined by committed central bank support and strong investor demand for incremental yield.
We continue to follow our process in building diversified exposures by asset class, industry and issuer. We are favoring sectors offering higher yield potential than Treasuries and remain underweight government bonds given the low yield environment. Corporate bond risk in the Fund was elevated during the early part of the third quarter of 2020 as we found continued opportunities in the primary market through new issues with favorable concessions. As valuations became less attractive during the recent quarter, corporate bond risk was modestly reduced in those issues and industries that appeared to be trading at levels closer to what we consider fair value. We continue to hold select high yield corporate names which we view as inexpensive.
We remain overweight both agency and non-agency CMBS, particularly senior parts of the capital stack. While residential MBS valuations have improved somewhat, we remain focused on securities with limited prepayment risk. We believe the high-quality ABS sector remains attractive relative to government bonds, and favor auto loans and credit card receivables within the sector.
1 | A credit cycle is a cyclical pattern that follows credit availability and corporate health |
Hypothetical Growth of $100,000 Investment in Class Y Shares1,4
September 30, 2010 through September 30, 2020
See notes to chart on page 7.
LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND
Average Annual Total Returns — September 30, 20204
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | Life of | | | Expense Ratios5 | |
| | 1 Year | | | 5 Years | | | 10 Years | | | Class N | | | Gross | | | Net | |
| | | | | | |
Class Y (Inception 1/28/98)1 | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 7.33 | % | | | 3.88 | % | | | 3.43 | % | | | — | % | | | 0.48 | % | | | 0.40 | % |
| | | | | | |
Class A (Inception 5/28/10)1 | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 7.06 | | | | 3.62 | | | | 3.16 | | | | — | | | | 0.72 | | | | 0.65 | |
With 4.25% Maximum Sales Charge | | | 2.48 | | | | 2.73 | | | | 2.71 | | | | — | | | | | | | | | |
| | | | | | |
Class C (Inception 8/31/16)1 | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 6.27 | | | | 2.85 | | | | 2.33 | | | | — | | | | 1.48 | | | | 1.40 | |
With CDSC2 | | | 5.27 | | | | 2.85 | | | | 2.33 | | | | — | | | | | | | | | |
| | | | | | |
Class N (Inception 2/01/19) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 7.39 | | | | — | | | | — | | | | 8.23 | | | | 0.42 | | | | 0.35 | |
| | | | | | |
Comparative Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index3 | | | 6.32 | | | | 3.39 | | | | 2.91 | | | | 7.26 | | | | | | | | | |
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. |
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 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. 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. |
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 |
| |
| | Class Y NELYX |
|
Loomis, Sayles & Company, L.P. |
Investment Goal
The Fund seeks high current return consistent with preservation of capital.
Market Conditions
The financial markets experienced significant volatility in the past year, as investors grappled with the uncertainty surrounding Covid-19. The bulk of the market disruptions occurred in February and March, when world governments first aimed to contain the virus by locking down broad swaths of their economies. Higher-risk assets were hit hard in the ensuing selloff, while demand for lower-risk investments surged. The US Federal Reserve (Fed) sought to counter the extraordinary developments by cutting the fed funds rate to zero and reinstituting quantitative easing through the purchases of Treasuries and mortgage-backed securities. The Fed revived lending facilities last used in 2008, such as the TALF, which is a funding backdrop for the asset-backed securities (ABS) market. The central bank even established facilities never used before, such as the Corporate Credit Facilities which allowed the Fed to purchase corporate bond assets for the first time in its history. In conjunction with a $2.2 trillion stimulus package passed by the US Congress, the Fed’s response fueled an impressive recovery in higher-risk assets from late March onward.
The uncertain environment worked to the benefit of US Treasuries due to their status as a relative “safe haven.” Longer duration bonds delivered particularly robust gains. The yield on the 10-year note fell to an all-time low in March and remained close to that level thereafter on expectations that the Fed would pursue its low-rate policy indefinitely. (Prices and yields move in opposite directions.)
Securitized assets, including ABS, mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS), lagged Treasuries and investment grade corporates, but nonetheless posted a solid total return as they rallied in the second half of the period.
Performance Review
For the 12 months ended September 30, 2020, Class Y shares of the Loomis Sayles Limited Term Government and Agency Fund returned 3.35%, at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. 1-5 Year Government Bond Index, which returned 4.68%.
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND
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 (a gauge of interest rate sensitivity) also weighed on results, as Treasury yields fell over the period. Bond selection within non-agency CMBS weighed on performance during the period. Within agency mortgage-backed securities, exposure to both pass-through securities and collateralized mortgage obligations detracted from relative performance.
The Fund’s security selection within securitized agency sectors was a positive source of relative performance during the period. Security selection within US Treasuries also aided performance during the period. Within securitized agency assets, the Fund’s allocation to commercial mortgage-backed securities (CMBS) was a positive source of relative performance. Within non-agency securitized assets, the Fund’s allocation to asset-backed securities, such as those backed by auto loans, contributed positively.
Outlook
Agency mortgage-backed security (MBS) spreads (the difference in yield between agency MBS and Treasuries of similar maturity) have become more attractive with valuations near longer-term averages. Mortgages issued in recent years are relatively high quality compared with those issued in prior years. However, these securities are valued with premiums and have prepayment risk as borrowers refinance to lower rate mortgages. Therefore, we 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, we have focused on agency commercial mortgage-backed security (CMBS) opportunities, adding to those exposures during the quarter.
Non-agency issued securitized exposures remain steady, but we have marginally adjusted exposures to asset-backed securities (ABS) versus CMBS. The ABS market has recovered faster than CMBS, and we continue to find opportunities which offer strong credit quality and enhanced yield.
Hypothetical Growth of $100,000 Investment in Class Y Shares3
September 30, 2010 through September 30, 2020
See notes to chart on page 11.
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND
Average Annual Total Returns — September 30, 20203
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | Life of | | | Expense Ratios4 | |
| | 1 Year | | | 5 Years | | | 10 Years | | | Class N | | | Gross | | | Net | |
| | | | | | |
Class Y (Inception 3/31/94) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 3.35 | % | | | 1.89 | % | | | 1.83 | % | | | — | % | | | 0.50 | % | | | 0.50 | % |
| | | | | | |
Class A (Inception 1/3/89) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 3.19 | | | | 1.65 | | | | 1.57 | | | | — | | | | 0.75 | | | | 0.75 | |
With 2.25% Maximum Sales Charge | | | 0.88 | | | | 1.18 | | | | 1.34 | | | | — | | | | | | | | | |
| | | | | | |
Class C (Inception 12/30/94) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 2.34 | | | | 0.88 | | | | 0.81 | | | | — | | | | 1.50 | | | | 1.50 | |
With CDSC1 | | | 1.34 | | | | 0.88 | | | | 0.81 | | | | — | | | | | | | | | |
| | | | | | |
Class N (Inception 2/1/17) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 3.53 | | | | — | | | | — | | | | 2.58 | | | | 0.43 | | | | 0.41 | |
| | | | | | |
Comparative Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Bloomberg Barclays U.S. 1-5 Year Government Bond Index2 | | | 4.68 | | | | 2.21 | | | | 1.72 | | | | 2.88 | | | | | | | | | |
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 comprised 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 1/31/22. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
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.
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, 2020 through September 30, 2020. 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.
| | | | | | | | | | | | |
LOOMIS SAYLES CREDIT INCOME FUND | | BEGINNING ACCOUNT VALUE 4/1/20201 | | | ENDING ACCOUNT VALUE 9/30/2020 | | | EXPENSES PAID DURING PERIOD 4/1/20201 – 9/30/2020 | |
Class A | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $997.00 | | | | $0.02 | 1 |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,020.90 | | | | $4.14 | * |
Class C | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $997.00 | | | | $0.04 | 1 |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,017.15 | | | | $7.92 | * |
Class N | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $997.00 | | | | $0.01 | 1 |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,022.40 | | | | $2.63 | * |
Class Y | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $997.00 | | | | $0.02 | 1 |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,022.15 | | | | $2.88 | * |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.82%, 1.57%, 0.52% and 0.57% 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 366 (to reflect the half-year period). |
1 | Fund commenced operations on September 29, 2020. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.82%, 1.57%, 0.52% and 0.57% 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 period (1), divided by 366 (to reflect the partial period). |
| | | | | | | | | | | | |
LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND | | BEGINNING ACCOUNT VALUE 4/1/2020 | | | ENDING ACCOUNT VALUE 9/30/2020 | | | EXPENSES PAID DURING PERIOD* 4/1/2020 – 9/30/2020 | |
Class A | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,062.30 | | | | $3.35 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,021.75 | | | | $3.29 | |
Class C | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,058.20 | | | | $7.20 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,018.00 | | | | $7.06 | |
Class N | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,063.90 | | | | $1.81 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,023.25 | | | | $1.77 | |
Class Y | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,063.60 | | | | $2.06 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,023.00 | | | | $2.02 | |
* | 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 366 (to reflect the half-year period). |
| | | | | | | | | | | | |
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND | | BEGINNING ACCOUNT VALUE 4/1/2020 | | | ENDING ACCOUNT VALUE 9/30/2020 | | | EXPENSES PAID DURING PERIOD* 4/1/2020 – 9/30/2020 | |
Class A | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,008.50 | | | | $3.82 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,021.20 | | | | $3.84 | |
Class C | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,003.90 | | | | $7.61 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,017.40 | | | | $7.67 | |
Class N | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,009.30 | | | | $2.16 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,022.85 | | | | $2.17 | |
Class Y | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,008.80 | | | | $2.61 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,022.40 | | | | $2.63 | |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.76%, 1.52%, 0.43% and 0.52% 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 366 (to reflect the half-year period). |
BOARD APPROVAL OF THE INITIAL ADVISORY AGREEMENT FOR LOOMIS SAYLES CREDIT INCOME FUND
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust (the “Board”) and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve any new investment advisory agreements for a registered investment company, including a newly formed fund such as the Loomis Sayles Credit Income Fund (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved, for an initial two-year term, the proposed investment advisory agreement (the “Agreement”) for the Fund at a meeting held on September 10, 2020.
In connection with this review, Fund management and other representatives of the Fund’s adviser, Loomis, Sayles & Company, L.P. (the “Adviser”), distributed to the Trustees materials including, among other items, information regarding (i) the Fund’s investment objective, strategies and risks, (ii) the proposed advisory fees and other expenses to be charged to the Fund, including information comparing the Fund’s expenses to those of peer groups and categories of funds and information on fees charged to other funds and accounts advised by the Adviser and the proposed expense cap, (iii) the size, education and experience of the Adviser’s investment staff and the investment strategies proposed to be used in managing the Fund, (iv) proposed arrangements for the distribution of the Fund’s shares, (v) information about the Adviser’s performance, and (vi) the general economic outlook with particular emphasis on the mutual fund industry.
The Trustees also considered the fact that they oversee other funds advised by the Adviser as well as information about the Adviser they had received in connection with their oversight of those other funds. Because the Fund is newly formed and had not commenced operations at the time of the Trustees’ review, certain information, including data relating to Fund performance, was not available, and therefore could not be distributed to the Trustees. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Adviser.
In considering whether to initially approve the Agreement, 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 Agreement included, but were not limited to, the factors listed below.
The nature, extent and quality of the services to be provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services to be provided by the Adviser and its affiliates to the Fund and the resources to be dedicated to the Fund by the Adviser and its affiliates. The Trustees considered their experience with other funds advised by the Adviser, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the same family of mutual funds. In this regard, the Trustees considered not only the advisory services proposed to be provided by the Adviser to the Fund, but also the
monitoring and oversight services proposed to be provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services proposed to be provided by Natixis Advisors and its affiliates to the 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 the Agreement, that the scope of the services to be provided to the Fund under the Agreement seemed consistent with the Fund’s operational requirements, and that the Adviser had the capabilities, resources and personnel necessary to provide the advisory services that would be required by the Fund. The Trustees determined that the nature, extent and quality of services proposed to be provided under the Agreement supported approval of the Agreement.
Investment performance of the Fund and the Adviser. Because the Fund had not yet commenced operations, performance information for the Fund was not considered; however, the Board considered the performance of other funds and accounts managed by the Adviser.
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 the Agreement, that these relevant factors supported approval of the Agreement.
The costs of the services to be provided by the Adviser and profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. Although the Fund had not yet commenced operations at the time of the Trustees’ review of the Agreement, the Trustees reviewed information comparing the proposed advisory fees and estimated total expenses of the Fund’s share classes with the fees and expenses of comparable share classes of comparable funds identified by the Adviser, including information about how those funds were selected and information about differences in such fees. In evaluating the Fund’s proposed advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund. The Trustees also noted that the Fund would have an expense limitation in place. In addition, the Trustees considered information regarding the administrative and distribution fees to be paid by the Fund to the Adviser’s affiliates.
Because the Fund had not yet commenced operations, historical profitability information with respect to the Fund was not considered. However, the Trustees noted the information provided in court cases in which adviser profitability was an issue, the estimated expense level of the Fund, and that the Fund would be subject to an expense limitation.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the advisory fee and expenses proposed to be charged to the Fund were fair and reasonable, and supported the approval of the Agreement.
Economies of scale. The Trustees considered the extent to which the Adviser may realize economies of scale in the provision of services by the Adviser, and whether those economies could be shared with the Fund through breakpoints in its investment advisory fee or other means, such as expense limitations. The Trustees noted that the Fund will be subject to an expense limitation. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the extent to which economies of scale might be shared with the Fund supported the approval of the Agreement.
The Trustees also considered other factors, which included but were not limited to the following:
· | | The compliance-related resources the Adviser and its affiliates would provide to the Fund. |
· | | The nature, quality, cost and extent of administrative and shareholder services to be performed by the Adviser and its affiliates, both under the Agreement and under separate agreements covering administrative services. |
· | | So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution and administrative services to the Fund, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Fund’s 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. |
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 the Agreement should be approved.
Loomis Sayles Intermediate Duration Bond Fund and Loomis Sayles Limited Term Government and Agency Fund
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 additional one-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 limitations and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) 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 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. These updates have increased in frequency during the COVID-19 crisis.
The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. In the case of Loomis Sayles Limited Term Government and Agency Fund, the Board approved the Agreement with an amendment that reduced the Fund’s advisory fee effective on July 1, 2020. 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. They also took into consideration increases in the services provided resulting from new regulatory requirements.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
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, 2019, each Fund’s one-, three- and five-year performance, stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):
| | | | | | | | | | | | |
| | One-Year | | | Three-Year | | | Five-Year | |
Loomis Sayles Intermediate Duration Bond Fund | | | 71 | % | | | 77 | % | | | 67 | % |
Loomis Sayles Limited Term Government and Agency Fund | | | 43 | % | | | 20 | % | | | 20 | % |
In the case of a Intermediate Duration Bond 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 and (2) that the Fund had outperformed its relevant performance benchmark for all periods. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the COVID-19 crisis.
The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had
made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that both of the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for Loomis Sayles Intermediate Duration Bond Fund under its expense limitation agreement. The Trustees also considered that Loomis Sayles Limited Term Government and Agency Fund’s current expenses are below its limitation. They further noted that management had proposed to reduce the expense limitation for Loomis Sayles Limited Term Government and Agency Fund on all share classes, effective as of July 1, 2020. The Trustees noted that the total advisory fee rates for the Funds were below the medians of their respective peer group of funds. They further noted that management had proposed to reduce the advisory fee rate for Loomis Sayles Limited Term Government and Agency Fund.
The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers 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 limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that Loomis Sayles Limited Term Government and Agency Fund had breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitation for Loomis Sayles Limited Term Government and Agency Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the 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, including but not limited to the COVID-19 crisis, 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, with the reduction of the advisory fee for Loomis Sayles Limited Term Government and Agency Fund, should be continued through June 30, 2021.
LIQUIDITY RISK MANAGEMENT PROGRAM
Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through September 30, 2020)
Effective December 1, 2018, (September 29, 2020 for Credit Income Fund), the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.
The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator which is the adviser of the Fund.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Loomis Sayles Intermediate Duration Bond Fund has established an HLIM.
During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations during the period.
During the period January 1, 2020 through September 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.
Annual Program Assessment and Conclusion
In the opinion of the Program Administrator, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator has also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Program is operating effectively.
Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Credit Income Fund
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| Bonds and Notes — 93.9% of Net Assets | |
| Non-Convertible Bonds — 91.8% | |
| | | Aerospace & Defense — 2.9% | |
$ | 20,000 | | | Boeing Co. (The), 2.250%, 6/15/2026 | | $ | 19,467 | |
| 20,000 | | | Boeing Co. (The), 2.950%, 2/01/2030 | | | 19,356 | |
| 5,000 | | | Boeing Co. (The), 3.100%, 5/01/2026 | | | 4,988 | |
| 10,000 | | | Boeing Co. (The), 3.200%, 3/01/2029 | | | 9,848 | |
| 5,000 | | | Boeing Co. (The), 3.250%, 2/01/2035 | | | 4,700 | |
| 5,000 | | | Boeing Co. (The), 3.375%, 6/15/2046 | | | 4,285 | |
| 5,000 | | | Boeing Co. (The), 3.500%, 3/01/2039 | | | 4,542 | |
| 15,000 | | | Boeing Co. (The), 3.550%, 3/01/2038 | | | 13,664 | |
| 5,000 | | | Boeing Co. (The), 3.625%, 3/01/2048 | | | 4,394 | |
| 35,000 | | | Boeing Co. (The), 3.750%, 2/01/2050 | | | 31,938 | |
| 10,000 | | | Boeing Co. (The), 3.850%, 11/01/2048 | | | 9,163 | |
| 20,000 | | | Boeing Co. (The), 3.950%, 8/01/2059 | | | 18,105 | |
| 70,000 | | | Boeing Co. (The), 5.150%, 5/01/2030 | | | 78,681 | |
| 70,000 | | | Boeing Co. (The), 5.805%, 5/01/2050 | | | 84,685 | |
| 30,000 | | | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025, 144A | | | 32,964 | |
| 20,000 | | | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A | | | 22,956 | |
| 125,000 | | | Raytheon Technologies Corp., 2.800%, 3/15/2022, 144A | | | 128,880 | |
| 5,000 | | | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | | | 4,103 | |
| 30,000 | | | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | | | 30,412 | |
| 125,000 | | | Textron, Inc., 3.000%, 6/01/2030 | | | 131,657 | |
| 60,000 | | | TransDigm, Inc., 6.250%, 3/15/2026, 144A | | | 62,658 | |
| | | | | | | | |
| | | | | | | 721,446 | |
| | | | | | | | |
| | | Automotive — 2.3% | |
| 30,000 | | | Ford Motor Co., 8.500%, 4/21/2023 | | | 32,700 | |
| 40,000 | | | Ford Motor Co., 9.000%, 4/22/2025 | | | 45,861 | |
| 5,000 | | | Ford Motor Co., 9.625%, 4/22/2030 | | | 6,456 | |
| 170,000 | | | General Motors Co., 5.200%, 4/01/2045 | | | 183,118 | |
| 255,000 | | | General Motors Co., 6.250%, 10/02/2043 | | | 302,191 | |
| | | | | | | | |
| | | | | | | 570,326 | |
| | | | | | | | |
| | | Banking — 12.3% | |
| 165,000 | | | Ally Financial, Inc., 5.125%, 9/30/2024 | | | 183,892 | |
| 110,000 | | | Ally Financial, Inc., 5.750%, 11/20/2025 | | | 123,330 | |
| 270,000 | | | Bank of America Corp., MTN, 4.250%, 10/22/2026 | | | 312,641 | |
| 200,000 | | | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | | | 197,648 | |
| 215,000 | | | Citigroup, Inc., 4.450%, 9/29/2027 | | | 249,313 | |
| 250,000 | | | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A | | | 274,220 | |
| 150,000 | | | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | | | 151,566 | |
| 210,000 | | | Goldman Sachs Group, Inc. (The), 4.250%, 10/21/2025 | | | 238,917 | |
| 155,000 | | | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031 | | | 189,153 | |
| 390,000 | | | Morgan Stanley, 3.625%, 1/20/2027 | | �� | 441,971 | |
| | | | |
25 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Credit Income Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Banking — continued | |
$ | 115,000 | | | Santander Holdings USA, Inc., 3.244%, 10/05/2026 | | $ | 123,059 | |
| 30,000 | | | Santander Holdings USA, Inc., 3.500%, 6/07/2024 | | | 32,178 | |
| 200,000 | | | Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A | | | 201,229 | |
| 200,000 | | | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A | | | 230,216 | |
| 115,000 | | | Synchrony Financial, 4.375%, 3/19/2024 | | | 124,435 | |
| | | | | | | | |
| | | | | | | 3,073,768 | |
| | | | | | | | |
| | | Brokerage — 1.0% | |
| 15,000 | | | Jefferies Group LLC, 6.250%, 1/15/2036 | | | 18,589 | |
| 180,000 | | | Jefferies Group LLC, 6.500%, 1/20/2043 | | | 226,428 | |
| | | | | | | | |
| | | | | | | 245,017 | |
| | | | | | | | |
| | | Building Materials — 1.5% | |
| 45,000 | | | Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A | | | 48,206 | |
| 200,000 | | | Cemex SAB de CV, 7.750%, 4/16/2026, 144A | | | 210,750 | |
| 55,000 | | | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | | | 56,048 | |
| 45,000 | | | Standard Industries, Inc., 4.375%, 7/15/2030, 144A | | | 46,137 | |
| 20,000 | | | Vulcan Materials Co., 3.500%, 6/01/2030 | | | 22,398 | |
| | | | | | | | |
| | | | | | | 383,539 | |
| | | | | | | | |
| | | Cable Satellite — 4.5% | |
| 120,000 | | | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | | | 124,033 | |
| 120,000 | | | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A | | | 126,005 | |
| 220,000 | | | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050 | | | 250,169 | |
| 110,000 | | | Cox Communications, Inc., 4.800%, 2/01/2035, 144A | | | 138,347 | |
| 5,000 | | | Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A | | | 5,172 | |
| 30,000 | | | Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A | | | 31,275 | |
| 10,000 | | | Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A | | | 10,407 | |
| 5,000 | | | Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A | | | 5,363 | |
| 200,000 | | | Time Warner Cable LLC, 4.500%, 9/15/2042 | | | 217,253 | |
| 200,000 | | | Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A | | | 208,500 | |
| | | | | | | | |
| | | | | | | 1,116,524 | |
| | | | | | | | |
| | | Chemicals — 0.9% | |
| 70,000 | | | CF Industries, Inc., 4.500%, 12/01/2026, 144A | | | 81,229 | |
| 15,000 | | | FMC Corp., 3.450%, 10/01/2029 | | | 16,705 | |
| 5,000 | | | FMC Corp., 4.500%, 10/01/2049 | | | 6,216 | |
| 60,000 | | | Hercules LLC, 6.500%, 6/30/2029 | | | 60,164 | |
| 35,000 | | | LYB International Finance III LLC, 4.200%, 10/15/2049 | | | 38,546 | |
| 30,000 | | | Westlake Chemical Corp., 3.600%, 8/15/2026 | | | 32,955 | |
| | | | | | | | |
| | | | | | | 235,815 | |
| | | | | | | | |
| | | Construction Machinery — 0.5% | |
| 60,000 | | | United Rentals North America, Inc., 5.250%, 1/15/2030 | | | 65,475 | |
| 60,000 | | | United Rentals North America, Inc., 5.500%, 5/15/2027 | | | 63,675 | |
| | | | | | | | |
| | | | | | | 129,150 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 26 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Credit Income Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Consumer Cyclical Services — 4.4% | |
$ | 245,000 | | | Amazon.com, Inc., 2.500%, 6/03/2050 | | $ | 249,905 | |
| 155,000 | | | Booking Holdings, Inc., 4.625%, 4/13/2030 | | | 186,216 | |
| 55,000 | | | eBay, Inc., 4.000%, 7/15/2042 | | | 61,468 | |
| 300,000 | | | Expedia Group, Inc., 3.250%, 2/15/2030 | | | 289,053 | |
| 55,000 | | | IHS Markit Ltd., 4.250%, 5/01/2029 | | | 63,804 | |
| 115,000 | | | Uber Technologies, Inc., 7.500%, 5/15/2025, 144A | | | 122,543 | |
| 115,000 | | | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | | | 122,566 | |
| | | | | | | | |
| | | | | | | 1,095,555 | |
| | | | | | | | |
| | | Diversified Manufacturing — 0.5% | |
| 70,000 | | | Carrier Global Corp., 2.722%, 2/15/2030, 144A | | | 73,223 | |
| 45,000 | | | Carrier Global Corp., 3.577%, 4/05/2050, 144A | | | 47,805 | |
| | | | | | | | |
| | | | | | | 121,028 | |
| | | | | | | | |
| | | Electric — 3.6% | |
| 5,000 | | | AES Corp. (The), 3.950%, 7/15/2030, 144A | | | 5,525 | |
| 70,000 | | | AES Corp. (The), 5.125%, 9/01/2027 | | | 74,557 | |
| 40,000 | | | Calpine Corp., 5.125%, 3/15/2028, 144A | | | 41,400 | |
| 210,000 | | | FirstEnergy Corp., Series C, 3.400%, 3/01/2050 | | | 203,716 | |
| 20,000 | | | IPALCO Enterprises, Inc., 4.250%, 5/01/2030, 144A | | | 22,629 | |
| 35,000 | | | NRG Energy, Inc., 4.450%, 6/15/2029, 144A | | | 38,565 | |
| 35,000 | | | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | | | 38,062 | |
| 140,000 | | | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | | | 126,227 | |
| 125,000 | | | Southern California Edison Co., 3.650%, 2/01/2050 | | | 129,167 | |
| 90,000 | | | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A | | | 94,650 | |
| 115,000 | | | Vistra Operations Co. LLC, 4.300%, 7/15/2029, 144A | | | 125,525 | |
| | | | | | | | |
| | | | | | | 900,023 | |
| | | | | | | | |
| | | Finance Companies — 4.0% | |
| 150,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028 | | | 138,259 | |
| 205,000 | | | Air Lease Corp., MTN, 3.000%, 2/01/2030 | | | 190,905 | |
| 125,000 | | | Aircastle Ltd., 4.125%, 5/01/2024 | | | 123,201 | |
| 200,000 | | | GE Capital Funding LLC, 4.400%, 5/15/2030, 144A | | | 214,782 | |
| 80,000 | | | Navient Corp., 5.000%, 3/15/2027 | | | 75,122 | |
| 85,000 | | | OneMain Finance Corp., 5.375%, 11/15/2029 | | | 88,400 | |
| 35,000 | | | OneMain Finance Corp., 7.125%, 3/15/2026 | | | 39,102 | |
| 130,000 | | | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | | | 128,375 | |
| | | | | | | | |
| | | | | | | 998,146 | |
| | | | | | | | |
| | | Financial Other — 0.5% | |
| 115,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | | | 119,807 | |
| | | | | | | | |
| | | Food & Beverage — 4.8% | |
| 205,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050 | | | 245,704 | |
| 240,000 | | | Coca-Cola Co. (The), 1.750%, 9/06/2024 | | | 250,822 | |
| 150,000 | | | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050 | | | 159,564 | |
| 145,000 | | | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | | | 148,780 | |
| 95,000 | | | Kraft Heinz Foods Co., 4.875%, 10/01/2049, 144A | | | 100,255 | |
| 35,000 | | | Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A | | | 37,800 | |
| | | | |
27 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Credit Income Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Food & Beverage — continued | |
$ | 50,000 | | | Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A | | $ | 51,625 | |
| 190,000 | | | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A | | | 190,410 | |
| | | | | | | | |
| | | | | | | 1,184,960 | |
| | | | | | | | |
| | | Health Insurance — 0.0% | |
| 5,000 | | | Centene Corp., 4.625%, 12/15/2029 | | | 5,393 | |
| | | | | | | | |
| | | Healthcare — 4.0% | |
| 75,000 | | | Cigna Corp., 4.375%, 10/15/2028 | | | 89,217 | |
| 55,000 | | | CVS Health Corp., 3.250%, 8/15/2029 | | | 60,500 | |
| 5,000 | | | Encompass Health Corp., 4.750%, 2/01/2030 | | | 5,073 | |
| 165,000 | | | HCA, Inc., 4.125%, 6/15/2029 | | | 186,623 | |
| 100,000 | | | HCA, Inc., 5.250%, 6/15/2049 | | | 122,414 | |
| 270,000 | | | HCA, Inc., MTN, 7.750%, 7/15/2036 | | | 344,250 | |
| 90,000 | | | Hologic, Inc., 3.250%, 2/15/2029, 144A | | | 90,563 | |
| 25,000 | | | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A | | | 25,360 | |
| 40,000 | | | Tenet Healthcare Corp., 5.125%, 5/01/2025 | | | 40,372 | |
| 30,000 | | | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | | | 29,175 | |
| | | | | | | | |
| | | | | | | 993,547 | |
| | | | | | | | |
| | | Home Construction — 0.8% | |
| 90,000 | | | Lennar Corp., 4.750%, 11/29/2027 | | | 102,758 | |
| 70,000 | | | PulteGroup, Inc., 6.000%, 2/15/2035 | | | 86,450 | |
| | | | | | | | |
| | | | | | | 189,208 | |
| | | | | | | | |
| | | Independent Energy — 1.9% | |
| 150,000 | | | Aker BP ASA, 4.000%, 1/15/2031, 144A | | | 147,521 | |
| 10,000 | | | Cimarex Energy Co., 4.375%, 6/01/2024 | | | 10,733 | |
| 95,000 | | | Continental Resources, Inc., 3.800%, 6/01/2024 | | | 87,638 | |
| 55,000 | | | Hess Corp., 4.300%, 4/01/2027 | | | 57,446 | |
| 60,000 | | | Hess Corp., 5.600%, 2/15/2041 | | | 64,757 | |
| 45,000 | | | Newfield Exploration Co., 5.375%, 1/01/2026 | | | 42,261 | |
| 20,000 | | | Newfield Exploration Co., 5.625%, 7/01/2024 | | | 19,401 | |
| 5,000 | | | Occidental Petroleum Corp., 2.700%, 8/15/2022 | | | 4,672 | |
| 15,000 | | | Occidental Petroleum Corp., 2.900%, 8/15/2024 | | | 12,727 | |
| 10,000 | | | Occidental Petroleum Corp., 3.500%, 6/15/2025 | | | 8,300 | |
| 30,000 | | | Occidental Petroleum Corp., 5.550%, 3/15/2026 | | | 27,177 | |
| | | | | | | | |
| | | | | | | 482,633 | |
| | | | | | | | |
| | | Industrial Other — 0.1% | |
| 30,000 | | | CBRE Services, Inc., 4.875%, 3/01/2026 | | | 35,123 | |
| | | | | | | | |
| | | Life Insurance — 0.6% | |
| 115,000 | | | American International Group, Inc., 3.400%, 6/30/2030 | | | 127,347 | |
| 30,000 | | | CNO Financial Group, Inc., 5.250%, 5/30/2029 | | | 34,694 | |
| | | | | | | | |
| | | | | | | 162,041 | |
| | | | | | | | |
| | | Lodging — 0.6% | |
| 5,000 | | | Hyatt Hotels Corp., 5.375%, 4/23/2025 | | | 5,383 | |
| 15,000 | | | Hyatt Hotels Corp., 5.750%, 4/23/2030 | | | 17,224 | |
| 20,000 | | | Marriott International, Inc., Series EE, 5.750%, 5/01/2025 | | | 22,320 | |
| | | | |
| | See accompanying notes to financial statements. | | | 28 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Credit Income Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Lodging — continued | |
$ | 25,000 | | | Marriott International, Inc., 4.625%, 6/15/2030 | | $ | 26,774 | |
| 70,000 | | | Wyndham Destinations, Inc., 4.625%, 3/01/2030, 144A | | | 67,550 | |
| | | | | | | | |
| | | | | | | 139,251 | |
| | | | | | | | |
| | | Media Entertainment — 2.4% | |
| 60,000 | | | Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A | | | 57,615 | |
| 30,000 | | | Discovery Communications LLC, 3.950%, 3/20/2028 | | | 34,128 | |
| 80,000 | | | Discovery Communications LLC, 5.000%, 9/20/2037 | | | 95,355 | |
| 65,000 | | | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | | | 63,375 | |
| 35,000 | | | iHeartCommunications, Inc., 8.375%, 5/01/2027 | | | 34,475 | |
| 25,000 | | | Lamar Media Corp., 3.750%, 2/15/2028, 144A | | | 24,875 | |
| 30,000 | | | Lamar Media Corp., 4.000%, 2/15/2030, 144A | | | 30,000 | |
| 5,000 | | | Lamar Media Corp., 5.750%, 2/01/2026 | | | 5,162 | |
| 110,000 | | | Netflix, Inc., 4.875%, 6/15/2030, 144A | | | 125,400 | |
| 115,000 | | | ViacomCBS, Inc., 4.375%, 3/15/2043 | | | 122,248 | |
| | | | | | | | |
| | | | | | | 592,633 | |
| | | | | | | | |
| | | Metals & Mining — 3.8% | |
| 45,000 | | | Allegheny Technologies, Inc., 5.875%, 12/01/2027 | | | 43,243 | |
| 200,000 | | | Anglo American Capital PLC, 4.500%, 3/15/2028, 144A | | | 228,790 | |
| 50,000 | | | ArcelorMittal S.A., 7.250%, 10/15/2039 | | | 63,107 | |
| 200,000 | | | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | | | 192,750 | |
| 60,000 | | | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | | | 63,087 | |
| 135,000 | | | Glencore Funding LLC, 3.875%, 10/27/2027, 144A | | | 147,460 | |
| 20,000 | | | Glencore Funding LLC, 4.000%, 3/27/2027, 144A | | | 21,840 | |
| 45,000 | | | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | | | 48,762 | |
| 115,000 | | | Glencore Funding LLC, 4.625%, 4/29/2024, 144A | | | 126,690 | |
| | | | | | | | |
| | | | | | | 935,729 | |
| | | | | | | | |
| | | Midstream — 2.8% | |
| 115,000 | | | Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 | | | 128,011 | |
| 55,000 | | | Energy Transfer Operating LP, 5.000%, 5/15/2050 | | | 50,925 | |
| 185,000 | | | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | | | 116,550 | |
| 65,000 | | | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | | | 65,458 | |
| 50,000 | | | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | | | 50,937 | |
| 20,000 | | | NGPL PipeCo LLC, 4.375%, 8/15/2022, 144A | | | 20,761 | |
| 80,000 | | | NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A | | | 86,812 | |
| 120,000 | | | Sunoco Logistics Partners Operations LP, 4.000%, 10/01/2027 | | | 122,627 | |
| 60,000 | | | Valero Energy Partners LP, 4.500%, 3/15/2028 | | | 67,205 | |
| | | | | | | | |
| | | | | | | 709,286 | |
| | | | | | | | |
| | | Paper — 0.4% | |
| 70,000 | | | Weyerhaeuser Co., 4.000%, 4/15/2030 | | | 82,765 | |
| 20,000 | | | WRKCo, Inc., 3.000%, 6/15/2033 | | | 21,756 | |
| | | | | | | | |
| | | | | | | 104,521 | |
| | | | | | | | |
| | | Pharmaceuticals — 5.5% | |
| 50,000 | | | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A | | | 51,428 | |
| 230,000 | | | GlaxoSmithKline Capital PLC, 3.000%, 6/01/2024 | | | 248,729 | |
| 245,000 | | | Merck & Co., Inc., 2.350%, 2/10/2022 | | | 252,282 | |
| | | | |
29 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Credit Income Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Pharmaceuticals — continued | |
$ | 155,000 | | | Merck & Co., Inc., 2.450%, 6/24/2050 | | $ | 155,588 | |
| 120,000 | | | Mylan NV, 5.250%, 6/15/2046 | | | 148,932 | |
| 200,000 | | | Perrigo Finance UnLtd. Co., 3.150%, 6/15/2030 | | | 206,514 | |
| 70,000 | | | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | | | 61,755 | |
| 220,000 | | | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | | | 182,974 | |
| 55,000 | | | Upjohn, Inc., 4.000%, 6/22/2050, 144A | | | 58,701 | |
| | | | | | | | |
| | | | | | | 1,366,903 | |
| | | | | | | | |
| | | Property & Casualty Insurance — 0.7% | |
| 175,000 | | | Fidelity National Financial, Inc., 2.450%, 3/15/2031 | | | 173,575 | |
| | | | | | | | |
| | | REITs – Health Care — 0.5% | |
| 110,000 | | | Welltower, Inc., 4.250%, 4/01/2026 | | | 126,009 | |
| | | | | | | | |
| | | REITs – Hotels — 0.5% | |
| 130,000 | | | Host Hotels & Resorts LP, Series E, 4.000%, 6/15/2025 | | | 134,962 | |
| | | | | | | | |
| | | REITs – Mortgage — 1.0% | |
| 115,000 | | | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | | | 99,475 | |
| 70,000 | | | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A | | | 68,621 | |
| 80,000 | | | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | | | 74,100 | |
| | | | | | | | |
| | | | | | | 242,196 | |
| | | | | | | | |
| | | REITs – Shopping Centers — 0.8% | |
| 115,000 | | | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | | | 123,003 | |
| 75,000 | | | SITE Centers Corp., 3.625%, 2/01/2025 | | | 76,637 | |
| | | | | | | | |
| | | | | | | 199,640 | |
| | | | | | | | |
| | | Restaurants — 0.8% | |
| 65,000 | | | 1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A | | | 66,287 | |
| 55,000 | | | McDonald’s Corp., MTN, 3.625%, 9/01/2049 | | | 61,757 | |
| 60,000 | | | Yum! Brands, Inc., 4.750%, 1/15/2030, 144A | | | 64,800 | |
| | | | | | | | |
| | | | | | | 192,844 | |
| | | | | | | | |
| | | Retailers — 1.5% | |
| 45,000 | | | AutoZone, Inc., 3.625%, 4/15/2025 | | | 50,179 | |
| 70,000 | | | AutoZone, Inc., 4.000%, 4/15/2030 | | | 83,023 | |
| 55,000 | | | Carvana Co., 5.625%, 10/01/2025, 144A | | | 54,261 | |
| 96,911 | | | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A | | | 101,684 | |
| 55,000 | | | Dollar General Corp., 3.500%, 4/03/2030 | | | 62,599 | |
| 10,000 | | | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A | | | 10,000 | |
| | | | | | | | |
| | | | | | | 361,746 | |
| | | | | | | | |
| | | Technology — 9.6% | |
| 260,000 | | | Alphabet, Inc., 1.900%, 8/15/2040 | | | 250,137 | |
| 85,000 | | | Avnet, Inc., 4.625%, 4/15/2026 | | | 95,072 | |
| 375,000 | | | Broadcom, Inc., 4.300%, 11/15/2032 | | | 428,397 | |
| 35,000 | | | CDW LLC/CDW Finance Corp., 4.125%, 5/01/2025 | | | 36,138 | |
| 130,000 | | | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | | | 124,800 | |
| | | | |
| | See accompanying notes to financial statements. | | | 30 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Credit Income Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Technology — continued | |
$ | 60,000 | | | CommScope, Inc., 6.000%, 3/01/2026, 144A | | $ | 62,550 | |
| 40,000 | | | Equifax, Inc., 3.100%, 5/15/2030 | | | 43,578 | |
| 185,000 | | | Equinix, Inc., 2.150%, 7/15/2030 | | | 187,289 | |
| 60,000 | | | Iron Mountain, Inc., 5.250%, 7/15/2030, 144A | | | 62,550 | |
| 20,000 | | | Keysight Technologies, Inc., 3.000%, 10/30/2029 | | | 21,863 | |
| 145,000 | | | Microchip Technology, Inc., 4.333%, 6/01/2023 | | | 156,051 | |
| 265,000 | | | Micron Technology, Inc., 4.663%, 2/15/2030 | | | 311,218 | |
| 240,000 | | | Microsoft Corp., 2.525%, 6/01/2050 | | | 250,997 | |
| 215,000 | | | Oracle Corp., 3.600%, 4/01/2050 | | | 242,341 | |
| 40,000 | | | Qorvo, Inc., 3.375%, 4/01/2031, 144A | | | 40,650 | |
| 10,000 | | | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | | | 11,006 | |
| 35,000 | | | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A | | | 37,195 | |
| 35,000 | | | Verisk Analytics, Inc., 4.125%, 3/15/2029 | | | 41,275 | |
| | | | | | | | |
| | | | | | | 2,403,107 | |
| | | | | | | | |
| | | Transportation Services — 0.7% | |
| 5,000 | | | FedEx Corp., 4.050%, 2/15/2048 | | | 5,742 | |
| 15,000 | | | FedEx Corp., 4.100%, 2/01/2045 | | | 17,166 | |
| 20,000 | | | FedEx Corp., 5.250%, 5/15/2050 | | | 27,021 | |
| 115,000 | | | United Parcel Service, Inc., 2.500%, 4/01/2023 | | | 120,812 | |
| | | | | | | | |
| | | | 170,741 | |
| | | | | | | | |
| | | Treasuries — 3.5% | |
| 135,000 | | | U.S. Treasury Bond, 1.125%, 8/15/2040 | | | 132,743 | |
| 95,000 | | | U.S. Treasury Bond, 2.000%, 2/15/2050 | | | 107,780 | |
| 620,000 | | | U.S. Treasury Note, 0.125%, 9/30/2022 | | | 619,976 | |
| | | | | | | | |
| | | | 860,499 | |
| | | | | | | | |
| | | Wireless — 2.6% | |
| 55,000 | | | American Tower Corp., 2.100%, 6/15/2030 | | | 55,356 | |
| 230,000 | | | Crown Castle International Corp., 3.300%, 7/01/2030 | | | 251,522 | |
| 30,000 | | | Sprint Capital Corp., 6.875%, 11/15/2028 | | | 37,500 | |
| 265,000 | | | T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A | | | 300,674 | |
| | | | | | | | |
| | | | 645,052 | |
| | | | | | | | |
| | | Wirelines — 3.0% | |
| 550,000 | | | AT&T, Inc., 3.650%, 6/01/2051 | | | 554,758 | |
| 150,000 | | | Telefonica Emisiones S.A., 5.520%, 3/01/2049 | | | 186,942 | |
| | | | | | | | |
| | | | 741,700 | |
| | | | | | | | |
| | | | Total Non-Convertible Bonds (Identified Cost $22,943,104) | | | 22,863,443 | |
| | | | | | | | |
| | | | | | | | |
| Convertible Bonds — 2.1% | |
| | | Cable Satellite — 1.0% | |
| 270,000 | | | DISH Network Corp., 3.375%, 8/15/2026 | | | 247,859 | |
| | | | | | | | |
| | | Electric — 0.0% | |
| 10,000 | | | NRG Energy, Inc., 2.750%, 6/01/2048 | | | 10,357 | |
| | | | | | | | |
| | | | |
31 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Credit Income Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Industrial Other — 0.1% | |
$ | 15,000 | | | Chegg, Inc., Zero Coupon, 9/01/2026, 144A | | $ | 14,948 | |
| | | | | | | | |
| | | Pharmaceuticals — 0.9% | |
| 230,000 | | | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A | | | 224,938 | |
| | | | | | | | |
| | | Technology — 0.1% | |
| 35,000 | | | Palo Alto Networks, Inc., 0.375%, 6/01/2025, 144A | | | 37,057 | |
| | | | | | | | |
| | | | Total Convertible Bonds (Identified Cost $537,270) | | | 535,159 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Bonds and Notes (Identified Cost $23,480,374) | | | 23,398,602 | |
| | | | | | | | |
| | | | | | | | |
Shares | | | | | | |
| Preferred Stocks — 1.3% | |
| | | Banking — 0.5% | |
| 40 | | | Bank of America Corp., Series L, 7.250% | | | 59,520 | |
| 50 | | | Wells Fargo & Co., Class A, Series L, 7.500% | | | 67,102 | |
| | | | | | | | |
| | | | 126,622 | |
| | | | | | | | |
| | | Food & Beverage — 0.8% | |
| 1,950 | | | Bunge Ltd., 4.875% | | | 186,764 | |
| | | | | | | | |
| | | | Total Preferred Stocks (Identified Cost $316,708) | | | 313,386 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Investments — 95.2% (Identified Cost $23,797,082) | | | 23,711,988 | |
| | | | Other assets less liabilities — 4.8% | | | 1,206,292 | |
| | | | | | | | |
| | | | Net Assets — 100.0% | | $ | 24,918,280 | |
| | | | | | | | |
| | | | | | | | |
| (†) | | | See Note 2 of Notes to Financial Statements. | |
| | | | | | | | |
| 144A | | | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, the value of Rule 144A holdings amounted to $6,682,708 or 26.8% of net assets. | |
| | | | | | | | |
| MTN | | | Medium Term Note | |
| REITs | | | Real Estate Investment Trusts | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 32 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Credit Income Fund – (continued)
Industry Summary at September 30, 2020
| | | | |
Banking | | | 12.8 | % |
Technology | | | 9.7 | |
Pharmaceuticals | | | 6.4 | |
Food & Beverage | | | 5.6 | |
Cable Satellite | | | 5.5 | |
Consumer Cyclical Services | | | 4.4 | |
Finance Companies | | | 4.0 | |
Healthcare | | | 4.0 | |
Metals & Mining | | | 3.8 | |
Electric | | | 3.6 | |
Treasuries | | | 3.5 | |
Wirelines | | | 3.0 | |
Aerospace & Defense | | | 2.9 | |
Midstream | | | 2.8 | |
Wireless | | | 2.6 | |
Media Entertainment | | | 2.4 | |
Automotive | | | 2.3 | |
Other Investments, less than 2% each | | | 15.9 | |
| | | | |
Total Investments | | | 95.2 | |
Other assets less liabilities | | | 4.8 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
| | | | |
33 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| Bonds and Notes — 98.3% of Net Assets | | | | |
| | | ABS Car Loan — 10.5% | |
$ | 90,000 | | | American Credit Acceptance Receivables Trust, Series 2020-2, Class B, 2.480%, 9/13/2024, 144A | | $ | 92,565 | |
| 845,000 | | | American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A | | | 864,180 | |
| 135,000 | | | American Credit Acceptance Receivables Trust, Series 2020-3, Class B, 1.150%, 8/13/2024, 144A | | | 135,420 | |
| 53,520 | | | AmeriCredit Automobile Receivables Trust, Series 2016-3, Class C, 2.240%, 4/08/2022 | | | 53,642 | |
| 510,000 | | | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024 | | | 531,070 | |
| 480,000 | | | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024 | | | 494,393 | |
| 695,000 | | | AmeriCredit Automobile Receivables Trust, Series 2019-3, Class A3, 2.060%, 4/18/2024 | | | 709,461 | |
| 385,000 | | | AmeriCredit Automobile Receivables Trust, Series 2020-1, Class A3, 1.110%, 8/19/2024 | | | 389,006 | |
| 110,000 | | | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024 | | | 110,365 | |
| 265,000 | | | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B, 0.970%, 2/18/2026 | | | 266,726 | |
| 360,000 | | | Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A(a) | | | 362,899 | |
| 100,000 | | | Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A | | | 102,331 | |
| 140,000 | | | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | | | 147,850 | |
| 97,499 | | | Bank of The West Auto Trust, Series 2017-1, Class A3, 2.110%, 1/15/2023, 144A | | | 98,075 | |
| 450,000 | | | Bank of The West Auto Trust, Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A | | | 460,393 | |
| 110,015 | | | California Republic Auto Receivables Trust, Series 2017-1, Class A4, 2.280%, 6/15/2022(a) | | | 110,316 | |
| 565,000 | | | Capital One Prime Auto Receivables Trust, Series 2019-2, Class A3, 1.920%, 5/15/2024 | | | 577,311 | |
| 425,861 | | | CarMax Auto Owner Trust, Series 2019-4, Class A2A, 2.010%, 3/15/2023 | | | 429,196 | |
| 102,862 | | | CarMax Auto Owner Trust, Series 2017-2, Class A3, 1.930%, 3/15/2022(a) | | | 103,102 | |
| 510,000 | | | CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024 | | | 522,397 | |
| 485,000 | | | CarMax Auto Owner Trust, Series 2020-3, Class A3, 0.620%, 3/17/2025 | | | 486,854 | |
| 660,000 | | | Carvana Auto Receivables Trust, Series 2019-3A, Class A3, 2.340%, 6/15/2023, 144A | | | 666,315 | |
| 330,266 | | | CPS Auto Receivables Trust, Series 2018-D, Class B, 3.610%, 11/15/2022, 144A | | | 331,713 | |
| 145,000 | | | CPS Auto Receivables Trust, Series 2020-A, Class B, 2.360%, 2/15/2024, 144A | | | 147,861 | |
| 595,000 | | | Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.380%, 11/15/2028, 144A | | | 611,928 | |
| 435,000 | | | Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.010%, 2/15/2029, 144A | | | 445,296 | |
| 585,000 | | | Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.390%, 4/16/2029, 144A | | | 594,124 | |
| | | | |
| | See accompanying notes to financial statements. | | | 34 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | ABS Car Loan — continued | |
$ | 315,000 | | | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A, 1.370%, 7/16/2029, 144A | | $ | 318,830 | |
| 478,822 | | | Drive Auto Receivables Trust, Series 2018-5, Class B, 3.680%, 7/15/2023 | | | 481,524 | |
| 215,000 | | | Drive Auto Receivables Trust, Series 2019-3, Class B, 2.650%, 2/15/2024 | | | 218,898 | |
| 28,985 | | | DT Auto Owner Trust, Series 2018-2A, Class C, 3.670%, 3/15/2024, 144A | | | 29,178 | |
| 285,000 | | | DT Auto Owner Trust, Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A | | | 292,330 | |
| 270,000 | | | DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A | | | 276,223 | |
| 105,000 | | | DT Auto Owner Trust, Series 2019-4A, Class B, 2.360%, 1/16/2024, 144A | | | 106,431 | |
| 157,917 | | | DT Auto Owner Trust, Series 2020-2A, Class A, 1.140%, 1/16/2024, 144A | | | 158,942 | |
| 320,000 | | | DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A | | | 334,430 | |
| 143,606 | | | Exeter Automobile Receivables Trust, Series 2019-2A, Class B, 3.060%, 5/15/2023, 144A | | | 144,791 | |
| 170,000 | | | Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.260%, 4/15/2024, 144A | | | 173,001 | |
| 172,857 | | | Exeter Automobile Receivables Trust, Series 2020-2A, Class A, 1.130%, 8/15/2023, 144A | | | 173,484 | |
| 440,000 | | | Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A | | | 462,016 | |
| 3,869 | | | First Investors Auto Owner Trust, Series 2018-2A, Class A1, 3.230%, 12/15/2022, 144A | | | 3,874 | |
| 283,864 | | | First Investors Auto Owner Trust, Series 2019-2A, Class A, 2.210%, 9/16/2024, 144A | | | 287,680 | |
| 800,000 | | | Flagship Credit Auto Trust, Series 2018-4, Class B, 3.880%, 10/16/2023, 144A | | | 823,915 | |
| 647,999 | | | Flagship Credit Auto Trust, Series 2020-1, Class A, 1.900%, 8/15/2024, 144A(a) | | | 657,246 | |
| 915,000 | | | Flagship Credit Auto Trust, Series 2020-1, Class B, 2.050%, 2/17/2025, 144A | | | 934,936 | |
| 175,000 | | | Ford Credit Auto Owner Trust, Series 2020-A, Class A3, 1.040%, 8/15/2024 | | | 177,170 | |
| 705,000 | | | Ford Credit Auto Owner Trust, Series 2016-2, Class A, 2.030%, 12/15/2027, 144A(a) | | | 713,150 | |
| 595,000 | | | Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031, 144A(a) | | | 655,522 | |
| 785,000 | | | Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024 | | | 788,780 | |
| 635,000 | | | Ford Credit Floorplan Master Owner Trust, Series 2019-1, Class A, 2.840%, 3/15/2024 | | | 656,531 | |
| 220,764 | | | GLS Auto Receivables Issuer Trust, Series 2019-2A, Class A, 3.060%, 4/17/2023, 144A | | | 222,866 | |
| 260,000 | | | GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A | | | 267,176 | |
| 209,256 | | | GLS Auto Receivables Issuer Trust, Series 2020-2A, Class A, 1.580%, 8/15/2024, 144A | | | 211,337 | |
| 265,000 | | | GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A | | | 269,708 | |
| 300,000 | | | GLS Auto Receivables Trust, Series 2020-3A, Class B, 1.380%, 8/15/2024, 144A | | | 303,426 | |
| 140,000 | | | GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.800%, 7/20/2023 | | | 140,838 | |
| 145,000 | | | GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024 | | | 147,891 | |
| 109,441 | | | GM Financial Consumer Automobile Receivables Trust, Series 2017-3A, Class A3, 1.970%, 5/16/2022, 144A(a) | | | 109,803 | |
| 450,000 | | | GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024 | | | 459,923 | |
| | | | |
35 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | ABS Car Loan — continued | |
$ | 180,000 | | | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A, 0.680%, 8/15/2025, 144A | | $ | 180,329 | |
| 485,000 | | | Honda Auto Receivables Owner Trust, Series 2020-2, Class A2, 0.740%, 11/15/2022 | | | 486,332 | |
| 455,000 | | | Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024 | | | 459,224 | |
| 420,000 | | | Hyundai Auto Receivables Trust, Series 2019-B, Class A3, 1.940%, 2/15/2024 | | | 429,172 | |
| 170,000 | | | Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024 | | | 173,712 | |
| 290,000 | | | Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3, 0.550%, 2/18/2025 | | | 291,214 | |
| 150,000 | | | NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A2, 2.560%, 10/17/2022, 144A | | | 150,084 | |
| 125,000 | | | NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A2, 3.220%, 2/15/2023, 144A | | | 126,140 | |
| 310,000 | | | NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A2, 3.690%, 10/15/2023, 144A | | | 320,026 | |
| 865,000 | | | NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A(a) | | | 866,531 | |
| 1,045,000 | | | Prestige Auto Receivables Trust, Series 2019-1A, Class A3, 2.450%, 5/15/2023, 144A(a) | | | 1,057,744 | |
| 210,000 | | | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A | | | 225,156 | |
| 300,000 | | | Santander Consumer Auto Receivables Trust, Series 2020-BA, Class A3, 0.460%, 8/15/2024, 144A | | | 300,317 | |
| 370,000 | | | Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024 | | | 380,393 | |
| 140,000 | | | Santander Drive Auto Receivables Trust, Series 2020-1, Class A3, 2.030%, 2/15/2024 | | | 143,360 | |
| 460,000 | | | Santander Drive Auto Receivables Trust, Series 2018-5, Class C, 3.810%, 12/16/2024 | | | 467,130 | |
| 655,000 | | | Santander Drive Auto Receivables Trust, Series 2019-3, Class A3, 2.160%, 11/15/2022 | | | 657,651 | |
| 175,000 | | | Santander Drive Auto Receivables Trust, Series 2020-2, Class A3, 0.670%, 4/15/2024 | | | 175,608 | |
| 520,000 | | | Santander Drive Auto Receivables Trust, Series 2020-2, Class B, 0.960%, 11/15/2024 | | | 522,286 | |
| 615,000 | | | Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026 | | | 614,812 | |
| 440,000 | | | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033, 144A | | | 451,867 | |
| 200,000 | | | Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, 1.360%, 8/15/2024 | | | 203,758 | |
| 225,000 | | | Westlake Automobile Receivables Trust, Series 2019-3A, Class B, 2.410%, 10/15/2024, 144A | | | 228,580 | |
| 515,000 | | | Westlake Automobile Receivables Trust, Series 2019-1A, Class B, 3.260%, 10/17/2022, 144A | | | 520,615 | |
| 830,000 | | | Westlake Automobile Receivables Trust, Series 2019-2A, Class B, 2.620%, 7/15/2024, 144A | | | 842,732 | |
| | | | |
| | See accompanying notes to financial statements. | | | 36 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | ABS Car Loan — continued | |
$ | 835,000 | | | Westlake Automobile Receivables Trust, Series 2020-2A, Class A2A, 0.930%, 2/15/2024, 144A | | $ | 838,272 | |
| 400,000 | | | Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A | | | 406,012 | |
| 47,078 | | | World Omni Auto Receivables Trust, Series 2017-B, Class A3, 1.950%, 2/15/2023 | | | 47,455 | |
| 635,000 | | | World Omni Auto Receivables Trust, Series 2020-B, Class A3, 0.630%, 5/15/2025 | | | 635,377 | |
| 310,000 | | | World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025 | | | 310,669 | |
| | | | | | | | |
| | | | | | | 33,359,197 | |
| | | | | | | | |
| | | | ABS Credit Card — 0.8% | |
| 620,000 | | | American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024 | | | 643,869 | |
| 925,000 | | | Barclays Dryrock Issuance Trust, Series 2019-1, Class A, 1.960%, 5/15/2025(a) | | | 950,827 | |
| 260,000 | | | Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023 | | | 262,111 | |
| 585,000 | | | World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026 | | | 601,316 | |
| | | | | | | | |
| | | | | | | 2,458,123 | |
| | | | | | | | |
| | | | ABS Home Equity — 0.1% | |
| 176,631 | | | Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A | | | 181,406 | |
| 115,523 | | | CoreVest American Finance Trust, Series 2017-1, Class A, 2.968%, 10/15/2049, 144A | | | 117,789 | |
| 3,684 | | | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c)(d) | | | 3,643 | |
| 56,039 | | | Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(d) | | | 56,803 | |
| 35,993 | | | Towd Point Mortgage Trust, Series 2015-2, Class 1A12, 2.750%, 11/25/2060, 144A(d) | | | 36,367 | |
| | | | | | | | |
| | | | | | | 396,008 | |
| | | | | | | | |
| | | ABS Other — 1.9% | |
| 337,105 | | | Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/16/2032, 144A | | | 338,396 | |
| 610,000 | | | CNH Equipment Trust, Series 2020-A, Class A2, 1.080%, 7/17/2023 | | | 613,199 | |
| 250,000 | | | CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025 | | | 253,656 | |
| 135,054 | | | Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A | | | 140,135 | |
| 7,720 | | | John Deere Owner Trust, Series 2017-B, Class A3, 1.820%, 10/15/2021 | | | 7,724 | |
| 255,000 | | | Kubota Credit Owner Trust, Series 2020-1A, Class A3, 1.960%, 3/15/2024, 144A | | | 264,440 | |
| 174,909 | | | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(d) | | | 155,627 | |
| 169,387 | | | MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037, 144A | | | 171,259 | |
| 555,000 | | | OneMain Financial Issuance Trust, Series 2018-1A, Class A, 3.300%, 3/14/2029, 144A(a) | | | 569,799 | |
| 269,123 | | | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A | | | 243,732 | |
| 145,602 | | | SCF Equipment Leasing LLC, Series 2018-1A, Class A2, 3.630%, 10/20/2024, 144A(a) | | | 146,690 | |
| 42,483 | | | Sierra Timeshare Conduit Receivables Funding LLC, Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A | | | 43,207 | |
| | | | |
37 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | ABS Other — continued | |
$ | 270,969 | | | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037, 144A | | $ | 271,162 | |
| 220,301 | | | SoFi Consumer Loan Program Trust, Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A | | | 221,449 | |
| 209,288 | | | SoFi Consumer Loan Program Trust, Series 2018-4, Class A, 3.540%, 11/26/2027, 144A | | | 210,751 | |
| 2,180,000 | | | Verizon Owner Trust, Series 2019-B, Class A1A, 2.330%, 12/20/2023(a) | | | 2,232,208 | |
| 244,888 | | | Wheels SPV 2 LLC, Series 2019-1A, Class A2, 2.300%, 5/22/2028, 144A | | | 247,612 | |
| | | | | | | | |
| | | | | | | 6,131,046 | |
| | | | | | | | |
| | | ABS Student Loan — 0.5% | |
| 47,375 | | | Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650%, 1/25/2041, 144A | | | 48,036 | |
| 234,747 | | | Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033 | | | 252,604 | |
| 879,509 | | | Navient Private Education Refi Loan Trust, Series 2020-BA, Class A1, 1.800%, 1/15/2069, 144A(a) | | | 883,463 | |
| 180,000 | | | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069, 144A | | | 180,374 | |
| 60,413 | | | North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 3-month LIBOR + 0.800%, 1.045%, 7/25/2025(e) | | | 60,449 | |
| 92,348 | | | SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A | | | 94,139 | |
| 159,445 | | | SoFi Professional Loan Program LLC, Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A | | | 162,080 | |
| | | | | | | | |
| | | | | | | 1,681,145 | |
| | | | | | | | |
| | | ABS Whole Business — 0.2% | |
| 524,300 | | | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A | | | 524,557 | |
| | | | | | | | |
| | | Aerospace & Defense — 0.2% | |
| 80,000 | | | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A | | | 91,823 | |
| 29,000 | | | Raytheon Technologies Corp., 3.650%, 8/16/2023 | | | 31,336 | |
| 450,000 | | | Rolls-Royce PLC, 2.375%, 10/14/2020, 144A | | | 448,794 | |
| | | | | | | | |
| | | | | | | 571,953 | |
| | | | | | | | |
| | | Agency Commercial Mortgage-Backed Securities — 1.0% | |
| 1,175,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027(a) | | | 1,274,549 | |
| 573,105 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(a)(d) | | | 576,769 | |
| 509,476 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(a) | | | 540,245 | |
| 701,647 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024(a) | | | 757,638 | |
| 90,606 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025 | | | 92,247 | |
| | | | | | | | |
| | | | | | | 3,241,448 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 38 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Airlines — 0.3% | |
$ | 430,000 | | | Delta Air Lines, Inc., 2.900%, 10/28/2024 | | $ | 383,451 | |
| 560,000 | | | Southwest Airlines Co., 5.125%, 6/15/2027 | | | 612,145 | |
| | | | | | | | |
| | | | | | | 995,596 | |
| | | | | | | | |
| | | Automotive — 3.1% | |
| 1,440,000 | | | American Honda Finance Corp., MTN, 0.875%, 7/07/2023 | | | 1,451,847 | |
| 245,000 | | | American Honda Finance Corp., MTN, 3.625%, 10/10/2023 | | | 266,831 | |
| 290,000 | | | BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A | | | 293,536 | |
| 160,000 | | | Daimler Finance North America LLC, 3.350%, 2/22/2023, 144A | | | 169,387 | |
| 670,000 | | | Ford Motor Credit Co. LLC, 2.979%, 8/03/2022 | | | 659,950 | |
| 200,000 | | | Ford Motor Credit Co. LLC, 3.810%, 1/09/2024 | | | 198,000 | |
| 360,000 | | | General Motors Financial Co., Inc., 4.150%, 6/19/2023 | | | 382,147 | |
| 295,000 | | | Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A | | | 308,598 | |
| 220,000 | | | Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A | | | 227,361 | |
| 195,000 | | | Hyundai Capital America, 2.375%, 2/10/2023, 144A | | | 200,195 | |
| 95,000 | | | Hyundai Capital America, 3.000%, 6/20/2022, 144A | | | 97,946 | |
| 400,000 | | | Hyundai Capital America, 3.000%, 2/10/2027, 144A | | | 413,309 | |
| 585,000 | | | Nissan Motor Acceptance Corp., 3.450%, 3/15/2023, 144A | | | 600,132 | |
| 940,000 | | | Nissan Motor Co. Ltd., 4.345%, 9/17/2027, 144A | | | 941,641 | |
| 240,000 | | | PACCAR Financial Corp., MTN, 0.800%, 6/08/2023 | | | 241,697 | |
| 160,000 | | | PACCAR Financial Corp., MTN, 1.800%, 2/06/2025 | | | 167,363 | |
| 955,000 | | | PACCAR Financial Corp., MTN, 1.900%, 2/07/2023 | | | 986,943 | |
| 335,000 | | | Toyota Motor Credit Corp., 1.150%, 8/13/2027 | | | 334,413 | |
| 250,000 | | | Toyota Motor Credit Corp., MTN, 1.150%, 5/26/2022 | | | 253,164 | |
| 295,000 | | | Toyota Motor Credit Corp., MTN, 1.800%, 10/07/2021 | | | 299,208 | |
| 285,000 | | | Toyota Motor Credit Corp., MTN, 1.800%, 2/13/2025 | | | 297,760 | |
| 275,000 | | | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A | | | 300,285 | |
| 615,000 | | | Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A | | | 675,753 | |
| | | | | | | | |
| | | | | | | 9,767,466 | |
| | | | | | | | |
| | | Banking — 18.3% | |
| 100,000 | | | Ally Financial, Inc., 1.450%, 10/02/2023 | | | 99,889 | |
| 1,335,000 | | | Ally Financial, Inc., 3.050%, 6/05/2023 | | | 1,387,228 | |
| 495,000 | | | American Express Co., 3.700%, 8/03/2023 | | | 537,356 | |
| 625,000 | | | ANZ New Zealand International Ltd., 1.900%, 2/13/2023, 144A | | | 643,670 | |
| 1,190,000 | | | Australia & New Zealand Banking Group Ltd., MTN, 2.050%, 11/21/2022 | | | 1,231,797 | |
| 1,600,000 | | | Banco Bilbao Vizcaya Argentaria S.A., 0.875%, 9/18/2023 | | | 1,599,152 | |
| 975,000 | | | Bank of America Corp., (fixed rate to 6/19/2025, variable rate thereafter), MTN, 1.319%, 6/19/2026 | | | 982,347 | |
| 395,000 | | | Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A | | | 426,830 | |
| 695,000 | | | Bank of Montreal, MTN, 1.850%, 5/01/2025 | | | 725,906 | |
| 725,000 | | | Bank of Montreal, MTN, 2.050%, 11/01/2022 | | | 749,308 | |
| 655,000 | | | Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025 | | | 680,828 | |
| 1,235,000 | | | Bank of New Zealand, 2.000%, 2/21/2025, 144A | | | 1,292,945 | |
| 1,515,000 | | | Bank of Nova Scotia (The), 0.550%, 9/15/2023 | | | 1,514,220 | |
| 460,000 | | | Bank of Nova Scotia (The), 1.300%, 6/11/2025 | | | 468,855 | |
| 870,000 | | | Bank of Nova Scotia (The), 2.000%, 11/15/2022 | | | 898,412 | |
| 200,000 | | | Banque Federative du Credit Mutuel S.A., 2.375%, 11/21/2024, 144A | | | 211,529 | |
| | | | |
39 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Banking — continued | |
$ | 460,000 | | | Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A | | $ | 477,049 | |
| 485,000 | | | Banque Federative du Credit Mutuel S.A., 3.750%, 7/20/2023, 144A | | | 526,111 | |
| 795,000 | | | Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024 | | | 853,469 | |
| 300,000 | | | BNP Paribas S.A, (fixed rate to 1/13/2030, variable rate thereafter), 3.052%, 1/13/2031, 144A | | | 321,739 | |
| 675,000 | | | BNP Paribas S.A, (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026, 144A | | | 696,053 | |
| 510,000 | | | BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A | | | 537,448 | |
| 160,000 | | | Capital One Financial Corp., 3.750%, 3/09/2027 | | | 177,655 | |
| 510,000 | | | Citigroup, Inc., (fixed rate to 4/08/2025, variable rate thereafter), 3.106%, 4/08/2026 | | | 551,992 | |
| 940,000 | | | Citigroup, Inc., (fixed rate to 11/04/2021, variable rate thereafter), 2.312%, 11/04/2022 | | | 957,217 | |
| 160,000 | | | Citizens Financial Group, Inc., 3.250%, 4/30/2030 | | | 176,616 | |
| 225,000 | | | Comerica, Inc., 3.700%, 7/31/2023 | | | 243,703 | |
| 660,000 | | | Cooperatieve Rabobank U.A. (NY), 2.750%, 1/10/2023 | | | 694,247 | |
| 750,000 | | | Credit Agricole S.A, (fixed rate to 6/16/2025, variable rate thereafter), 1.907%, 6/16/2026, 144A | | | 766,154 | |
| 925,000 | | | Credit Agricole S.A., 3.750%, 4/24/2023, 144A | | | 991,259 | |
| 405,000 | | | Credit Suisse AG, 2.100%, 11/12/2021 | | | 412,663 | |
| 895,000 | | | Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A | | | 921,885 | |
| 940,000 | | | Danske Bank A/S, 3.875%, 9/12/2023, 144A | | | 1,012,062 | |
| 215,000 | | | Deutsche Bank AG, 3.150%, 1/22/2021 | | | 216,301 | |
| 395,000 | | | Deutsche Bank AG, (fixed rate to 11/26/2024, variable rate thereafter), 3.961%, 11/26/2025 | | | 419,979 | |
| 390,000 | | | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | | | 394,071 | |
| 865,000 | | | DNB Bank ASA, 2.150%, 12/02/2022, 144A | | | 895,373 | |
| 1,255,000 | | | DNB Bank ASA, (fixed rate to 9/16/2025, variable rate thereafter), 1.127%, 9/16/2026, 144A | | | 1,252,051 | |
| 520,000 | | | Goldman Sachs Group, Inc. (The), (fixed rate to 10/31/2021, variable rate thereafter), 2.876%, 10/31/2022 | | | 532,464 | |
| 740,000 | | | HSBC Holdings PLC, (fixed rate to 8/18/2030, variable rate thereafter), 2.357%, 8/18/2031 | | | 728,563 | |
| 520,000 | | | HSBC Holdings PLC, (fixed rate to 9/12/2025, variable rate thereafter), 4.292%, 9/12/2026 | | | 580,575 | |
| 360,000 | | | JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031 | | | 386,245 | |
| 535,000 | | | JPMorgan Chase & Co., (fixed rate to 4/01/2022, variable rate thereafter), 3.207%, 4/01/2023 | | | 555,913 | |
| 1,335,000 | | | JPMorgan Chase & Co., (fixed rate to 6/01/2023, variable rate thereafter), 1.514%, 6/01/2024 | | | 1,362,515 | |
| 770,000 | | | KeyCorp, MTN, 2.250%, 4/06/2027 | | | 815,735 | |
| 375,000 | | | Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025 | | | 408,141 | |
| | | | |
| | See accompanying notes to financial statements. | | | 40 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Banking — continued | |
$ | 495,000 | | | Lloyds Banking Group PLC, 4.050%, 8/16/2023 | | $ | 535,680 | |
| 1,195,000 | | | Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A | | | 1,233,412 | |
| 65,000 | | | Macquarie Bank Ltd., 2.300%, 1/22/2025, 144A | | | 68,828 | |
| 930,000 | | | National Australia Bank Ltd., 3.700%, 11/04/2021 | | | 963,085 | |
| 625,000 | | | National Bank of Canada, 2.150%, 10/07/2022, 144A | | | 644,519 | |
| 1,135,000 | | | National Bank of Canada, 2.200%, 11/02/2020 | | | 1,135,000 | |
| 620,000 | | | Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A | | | 658,851 | |
| 425,000 | | | Natwest Group PLC, (fixed rate to 5/22/2027, variable rate thereafter), 3.073%, 5/22/2028 | | | 446,622 | |
| 1,020,000 | | | NatWest Markets PLC, 3.625%, 9/29/2022, 144A | | | 1,070,663 | |
| 315,000 | | | Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032 | | | 344,492 | |
| 615,000 | | | Santander Holdings USA, Inc., 3.244%, 10/05/2026 | | | 658,099 | |
| 690,000 | | | Santander Holdings USA, Inc., 3.450%, 6/02/2025 | | | 737,887 | |
| 70,000 | | | Santander Holdings USA, Inc., 3.500%, 6/07/2024 | | | 75,083 | |
| 350,000 | | | Santander UK PLC, 2.125%, 11/03/2020 | | | 350,582 | |
| 580,000 | | | Santander UK PLC, 2.875%, 6/18/2024 | | | 619,242 | |
| 890,000 | | | Societe Generale S.A., 1.375%, 7/08/2025, 144A | | | 904,056 | |
| 840,000 | | | Societe Generale S.A., 2.625%, 10/16/2024, 144A | | | 870,249 | |
| 820,000 | | | Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A | | | 849,557 | |
| 530,000 | | | Standard Chartered PLC, (fixed rate to 5/21/2024, variable rate thereafter), 3.785%, 5/21/2025, 144A | | | 563,546 | |
| 245,000 | | | State Street Corp., (fixed rate to 3/30/2025, variable rate thereafter), 2.901%, 3/30/2026, 144A | | | 266,402 | |
| 305,000 | | | State Street Corp., (fixed rate to 5/15/2022, variable rate thereafter), 2.653%, 5/15/2023 | | | 315,782 | |
| 545,000 | | | Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024 | | | 579,871 | |
| 235,000 | | | Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022 | | | 244,218 | |
| 515,000 | | | Svenska Handelsbanken AB, 3.900%, 11/20/2023 | | | 568,342 | |
| 1,400,000 | | | Swedbank AB, 1.300%, 6/02/2023, 144A | | | 1,424,570 | |
| 1,140,000 | | | Synchrony Bank, 3.650%, 5/24/2021 | | | 1,157,281 | |
| 75,000 | | | Synchrony Financial, 4.250%, 8/15/2024 | | | 81,499 | |
| 1,510,000 | | | Toronto-Dominion Bank (The), 0.750%, 9/11/2025 | | | 1,505,832 | |
| 700,000 | | | Toronto-Dominion Bank (The), MTN, 1.900%, 12/01/2022 | | | 722,599 | |
| 1,105,000 | | | Truist Financial Corp., MTN, 1.125%, 8/03/2027 | | | 1,101,926 | |
| 295,000 | | | Truist Financial Corp., MTN, 1.950%, 6/05/2030 | | | 303,384 | |
| 340,000 | | | Truist Financial Corp., MTN, 2.500%, 8/01/2024 | | | 361,921 | |
| 770,000 | | | Truist Financial Corp., MTN, 3.050%, 6/20/2022 | | | 802,466 | |
| 665,000 | | | UniCredit SpA, 3.750%, 4/12/2022, 144A | | | 689,477 | |
| 335,000 | | | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | | | 341,281 | |
| 585,000 | | | UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A | | | 579,783 | |
| 340,000 | | | Wells Fargo & Co., (fixed rate to 4/30/2025, variable rate thereafter), 2.188%, 4/30/2026 | | | 354,630 | |
| | | | |
41 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Banking — continued | |
$ | 500,000 | | | Wells Fargo & Co., (fixed rate to 6/02/2027, variable rate thereafter), MTN, 2.393%, 6/02/2028 | | $ | 521,640 | |
| 1,030,000 | | | Wells Fargo Bank NA, 3.625%, 10/22/2021 | | | 1,062,040 | |
| 195,000 | | | Westpac Banking Corp., 2.800%, 1/11/2022 | | | 201,267 | |
| | | | | | | | |
| | | | | | | 58,231,184 | |
| | | | | | | | |
| | | Brokerage — 0.8% | |
| 415,000 | | | Ameriprise Financial, Inc., 3.000%, 3/22/2022 | | | 430,629 | |
| 210,000 | | | Brookfield Finance LLC, 3.450%, 4/15/2050 | | | 205,483 | |
| 465,000 | | | Intercontinental Exchange, Inc., 2.100%, 6/15/2030 | | | 480,047 | |
| 1,300,000 | | | National Securities Clearing Corp., 1.200%, 4/23/2023, 144A | | | 1,322,958 | |
| | | | | | | | |
| | | | | | | 2,439,117 | |
| | | | | | | | |
| | | Chemicals — 1.2% | |
| 430,000 | | | Air Products & Chemicals, Inc., 2.050%, 5/15/2030 | | | 451,351 | |
| 360,000 | | | Cabot Corp., 4.000%, 7/01/2029 | | | 382,173 | |
| 460,000 | | | DuPont de Nemours, Inc., 2.169%, 5/01/2023 | | | 464,745 | |
| 255,000 | | | DuPont de Nemours, Inc., 3.766%, 11/15/2020 | | | 256,046 | |
| 9,000 | | | Eastman Chemical Co., 4.500%, 1/15/2021 | | | 9,013 | |
| 960,000 | | | Nutrien Ltd., 1.900%, 5/13/2023 | | | 990,989 | |
| 1,145,000 | | | Nutrition & Biosciences, Inc., 1.832%, 10/15/2027, 144A | | | 1,150,191 | |
| 75,000 | | | PPG Industries, Inc., 2.550%, 6/15/2030 | | | 79,856 | |
| | | | | | | | |
| | | | | | | 3,784,364 | |
| | | | | | | | |
| | | Collateralized Mortgage Obligations — 2.1% | |
| 484,639 | | | Government National Mortgage Association, Series 2010-H02, Class FA, 1-month LIBOR + 0.680%, 0.850%, 2/20/2060(e) | | | 487,335 | |
| 276,066 | | | Government National Mortgage Association, Series 2010-H03, Class FA, 1-month LIBOR + 0.550%, 0.720%, 3/20/2060(e) | | | 276,824 | |
| 152,718 | | | Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 0.664%, 7/20/2064(e) | | | 152,880 | |
| 114,730 | | | Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 0.655%, 7/20/2064(e) | | | 115,039 | |
| 4,037 | | | Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(b)(c) | | | 4,042 | |
| 286,039 | | | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065(a) | | | 291,947 | |
| 468,229 | | | Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 1.075%, 2/20/2066(a)(e) | | | 475,619 | |
| 91,213 | | | Government National Mortgage Association, Series 2016-H10, Class FJ, 1-month LIBOR + 0.600%, 0.755%, 4/20/2066(a)(e) | | | 91,269 | |
| 1,689,812 | | | Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(a)(d) | | | 1,912,871 | |
| 362,916 | | | Government National Mortgage Association, Series 2019-H01, Class FL, 1-month LIBOR + 0.450%, 0.605%, 12/20/2068(e) | | | 362,658 | |
| 1,253,824 | | | Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 0.555%, 10/20/2068(a)(e) | | | 1,253,201 | |
| 1,139,041 | | | Government National Mortgage Association, Series 2019-H10, Class FM, 1-month LIBOR + 0.400%, 0.555%, 5/20/2069(a)(e) | | | 1,138,800 | |
| | | | | | | | |
| | | | | | | 6,562,485 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 42 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Construction Machinery — 1.2% | |
$ | 275,000 | | | Caterpillar Financial Services Corp., MTN, 0.950%, 5/13/2022 | | $ | 277,529 | |
| 1,435,000 | | | Caterpillar Financial Services Corp., 0.650%, 7/07/2023 | | | 1,441,835 | |
| 300,000 | | | Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021 | | | 308,152 | |
| 265,000 | | | Caterpillar Financial Services Corp., Series I, 2.650%, 5/17/2021 | | | 268,881 | |
| 300,000 | | | CNH Industrial Capital LLC, 1.950%, 7/02/2023 | | | 305,625 | |
| 1,090,000 | | | John Deere Capital Corp., MTN, 0.700%, 7/05/2023 | | | 1,102,433 | |
| 110,000 | | | John Deere Capital Corp., MTN, 2.600%, 3/07/2024 | | | 117,611 | |
| | | | | | | | |
| | | | | | | 3,822,066 | |
| | | | | | | | |
| | | Consumer Cyclical Services — 0.6% | |
| 465,000 | | | Automatic Data Processing, Inc., 1.250%, 9/01/2030 | | | 458,745 | |
| 350,000 | | | eBay, Inc., 1.900%, 3/11/2025 | | | 364,771 | |
| 375,000 | | | Expedia Group, Inc., 6.250%, 5/01/2025, 144A | | | 413,591 | |
| 495,000 | | | Western Union Co. (The), 4.250%, 6/09/2023 | | | 534,441 | |
| | | | | | | | |
| | | | | | | 1,771,548 | |
| | | | | | | | |
| | | Consumer Products — 0.1% | |
| 420,000 | | | Hasbro, Inc., 3.550%, 11/19/2026 | | | 445,015 | |
| | | | | | | | |
| | | Diversified Manufacturing — 0.4% | |
| 135,000 | | | Amphenol Corp., 2.050%, 3/01/2025 | | | 141,567 | |
| 455,000 | | | Kennametal, Inc., 4.625%, 6/15/2028 | | | 507,993 | |
| 105,000 | | | Roper Technologies, Inc., 1.400%, 9/15/2027 | | | 106,070 | |
| 265,000 | | | Timken Co. (The), 4.500%, 12/15/2028 | | | 293,779 | |
| 275,000 | | | WW Grainger, Inc., 1.850%, 2/15/2025 | | | 288,049 | |
| | | | | | | | |
| | | | | | | 1,337,458 | |
| | | | | | | | |
| | | Electric — 4.4% | |
| 435,000 | | | AES Corp. (The), 3.300%, 7/15/2025, 144A | | | 463,432 | |
| 720,000 | | | Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A | | | 837,027 | |
| 120,000 | | | Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026 | | | 130,656 | |
| 225,000 | | | Dominion Energy, Inc., 3.071%, 8/15/2024 | | | 242,189 | |
| 120,000 | | | Dominion Energy, Inc., Series B, 3.600%, 3/15/2027 | | | 136,488 | |
| 270,000 | | | DTE Energy Co., 2.250%, 11/01/2022 | | | 279,151 | |
| 540,000 | | | DTE Energy Co., Series F, 1.050%, 6/01/2025 | | | 539,701 | |
| 1,135,000 | | | Duke Energy Carolinas LLC, 3.050%, 3/15/2023 | | | 1,204,955 | |
| 850,000 | | | Duke Energy Corp., 0.900%, 9/15/2025 | | | 850,121 | |
| 605,000 | | | Entergy Corp., 0.900%, 9/15/2025 | | | 602,573 | |
| 265,000 | | | Entergy Corp., 2.800%, 6/15/2030 | | | 286,487 | |
| 330,000 | | | Eversource Energy, Series R, 1.650%, 8/15/2030 | | | 326,981 | |
| 451,000 | | | Exelon Corp., 2.450%, 4/15/2021 | | | 454,904 | |
| 116,000 | | | Exelon Generation Co. LLC, 4.250%, 6/15/2022 | | | 122,482 | |
| 220,000 | | | FirstEnergy Corp., Series B, 2.250%, 9/01/2030 | | | 215,167 | |
| 260,000 | | | ITC Holdings Corp., 2.950%, 5/14/2030, 144A | | | 279,588 | |
| 285,000 | | | Liberty Utilities Finance GP, 2.050%, 9/15/2030, 144A | | | 280,964 | |
| 188,000 | | | National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043 | | | 193,646 | |
| 210,000 | | | NextEra Energy Capital Holdings, Inc., 2.250%, 6/01/2030 | | | 217,461 | |
| 435,000 | | | NextEra Energy Capital Holdings, Inc., 2.403%, 9/01/2021 | | | 443,271 | |
| | | | |
43 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Electric — continued | |
$ | 1,115,000 | | | PNM Resources, Inc., 3.250%, 3/09/2021 | | $ | 1,127,678 | |
| 370,000 | | | PSEG Power LLC, 3.850%, 6/01/2023 | | | 398,073 | |
| 135,000 | | | Public Service Co. of Colorado, Series 35, 1.900%, 1/15/2031 | | | 140,374 | |
| 235,000 | | | Public Service Enterprise Group, Inc., 2.875%, 6/15/2024 | | | 251,439 | |
| 450,000 | | | San Diego Gas & Electric Co., Series VVV, 1.700%, 10/01/2030 | | | 448,222 | |
| 180,000 | | | Southern California Edison Co., 2.250%, 6/01/2030 | | | 180,610 | |
| 510,000 | | | Southern California Edison Co., Series 20C, 1.200%, 2/01/2026 | | | 507,277 | |
| 720,000 | | | Southern Power Co., Series E, 2.500%, 12/15/2021 | | | 737,007 | |
| 600,000 | | | Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A | | | 639,175 | |
| 1,540,000 | | | WEC Energy Group, Inc., 0.550%, 9/15/2023 | | | 1,542,766 | |
| | | | | | | | |
| | | | | | | 14,079,865 | |
| | | | | | | | |
| | | Energy — 0.2% | |
| 640,000 | | | Pioneer Natural Resources Co., 1.900%, 8/15/2030 | | | 600,269 | |
| | | | | | | | |
| | | Finance Companies — 1.6% | |
| 735,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.150%, 2/15/2024 | | | 727,770 | |
| 310,000 | | | Air Lease Corp., 3.250%, 10/01/2029 | | | 294,057 | |
| 705,000 | | | Ares Capital Corp., 3.250%, 7/15/2025 | | | 698,331 | |
| 380,000 | | | Ares Capital Corp., 3.875%, 1/15/2026 | | | 387,007 | |
| 305,000 | | | Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A | | | 301,837 | |
| 225,000 | | | Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A | | | 223,627 | |
| 375,000 | | | Avolon Holdings Funding Ltd., 3.625%, 5/01/2022, 144A | | | 368,493 | |
| 460,000 | | | FS KKR Capital Corp., 4.125%, 2/01/2025 | | | 457,115 | |
| 970,000 | | | GE Capital Funding LLC, 4.050%, 5/15/2027, 144A | | | 1,045,370 | |
| 150,000 | | | Oaktree Specialty Lending Corp., 3.500%, 2/25/2025 | | | 150,824 | |
| 565,000 | | | Owl Rock Capital Corp., 4.250%, 1/15/2026 | | | 572,362 | |
| | | | | | | | |
| | | | | | | 5,226,793 | |
| | | | | | | | |
| | | Financial Other — 0.4% | |
| 470,000 | | | LeasePlan Corp NV, 2.875%, 10/24/2024, 144A | | | 485,048 | |
| 410,000 | | | Mitsubishi UFJ Lease & Finance Co. Ltd., 2.652%, 9/19/2022, 144A | | | 421,989 | |
| 185,000 | | | ORIX Corp., 3.250%, 12/04/2024 | | | 200,533 | |
| | | | | | | | |
| | | | | | | 1,107,570 | |
| | | | | | | | |
| | | Food & Beverage — 2.0% | |
| 835,000 | | | Bacardi Ltd., 4.700%, 5/15/2028, 144A | | | 970,376 | |
| 120,000 | | | Brown-Forman Corp., 3.500%, 4/15/2025 | | | 133,606 | |
| 525,000 | | | Bunge Ltd. Finance Corp., 4.350%, 3/15/2024 | | | 578,498 | |
| 160,000 | | | Campbell Soup Co., 3.125%, 4/24/2050 | | | 161,731 | |
| 1,100,000 | | | Coca-Cola Co. (The), 1.375%, 3/15/2031 | | | 1,094,642 | |
| 1,095,000 | | | General Mills, Inc., 2.600%, 10/12/2022 | | | 1,139,421 | |
| 220,000 | | | Hershey Co. (The), 0.900%, 6/01/2025 | | | 221,141 | |
| 370,000 | | | Mondelez International, Inc., 2.750%, 4/13/2030 | | | 402,348 | |
| 565,000 | | | Mondelez International, Inc., 1.875%, 10/15/2032 | | | 563,672 | |
| 1,065,000 | | | Pernod Ricard International Finance LLC, 1.250%, 4/01/2028, 144A | | | 1,056,224 | |
| | | | | | | | |
| | | | | | | 6,321,659 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 44 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Health Insurance — 0.6% | |
$ | 1,575,000 | | | Centene Corp., 3.000%, 10/15/2030 | | $ | 1,606,815 | |
| 310,000 | | | Humana, Inc., 2.500%, 12/15/2020 | | | 311,296 | |
| | | | | | | | |
| | | | | | | 1,918,111 | |
| | | | | | | | |
| | | Healthcare — 0.9% | |
| 575,000 | | | AmerisourceBergen Corp., 2.800%, 5/15/2030 | | | 614,764 | |
| 419,000 | | | Cigna Corp., 3.750%, 7/15/2023 | | | 454,059 | |
| 95,000 | | | Cigna Corp., 4.500%, 2/25/2026 | | | 110,980 | |
| 420,000 | | | CVS Health Corp., 4.300%, 3/25/2028 | | | 491,598 | |
| 510,000 | | | DH Europe Finance II S.a.r.l., 2.200%, 11/15/2024 | | | 538,885 | |
| 395,000 | | | Stryker Corp., 1.950%, 6/15/2030 | | | 403,157 | |
| 355,000 | | | Universal Health Services, Inc., 2.650%, 10/15/2030, 144A | | | 353,317 | |
| | | | | | | | |
| | | | | | | 2,966,760 | |
| | | | | | | | |
| | | Hybrid ARMs — 0.0% | |
| 35,029 | | | FHLMC, 1-year CMT + 2.258%, 3.152%, 1/01/2035(e) | | | 36,968 | |
| 73,063 | | | FHLMC, 1-year CMT + 2.500%, 3.783%, 5/01/2036(e) | | | 77,650 | |
| | | | | | | | |
| | | | | | | 114,618 | |
| | | | | | | | |
| | | Independent Energy — 0.4% | |
| 400,000 | | | Aker BP ASA, 3.750%, 1/15/2030, 144A | | | 387,925 | |
| 380,000 | | | Canadian Natural Resources Ltd., 2.950%, 7/15/2030 | | | 382,818 | |
| 545,000 | | | Diamondback Energy, Inc., 4.750%, 5/31/2025 | | | 587,912 | |
| | | | | | | | |
| | | | | | | 1,358,655 | |
| | | | | | | | |
| | | Integrated Energy — 0.9% | |
| 355,000 | | | Chevron Corp., 2.236%, 5/11/2030 | | | 376,710 | |
| 635,000 | | | Exxon Mobil Corp., 3.482%, 3/19/2030 | | | 732,216 | |
| 1,060,000 | | | Shell International Finance BV, 2.750%, 4/06/2030 | | | 1,159,100 | |
| 660,000 | | | Suncor Energy, Inc., 2.800%, 5/15/2023 | | | 691,763 | |
| | | | | | | | |
| | | | | | | 2,959,789 | |
| | | | | | | | |
| | | Life Insurance — 5.9% | |
| 1,385,000 | | | AIG Global Funding, 0.800%, 7/07/2023, 144A | | | 1,392,262 | |
| 535,000 | | | AIG Global Funding, 0.900%, 9/22/2025, 144A | | | 531,583 | |
| 195,000 | | | Athene Global Funding, 2.500%, 1/14/2025, 144A | | | 200,999 | |
| 785,000 | | | Athene Global Funding, 2.800%, 5/26/2023, 144A | | | 818,617 | |
| 330,000 | | | Brighthouse Financial, Inc., 3.700%, 6/22/2027 | | | 342,330 | |
| 710,000 | | | Equitable Financial Life Global Funding, 1.400%, 8/27/2027, 144A | | | 712,650 | |
| 675,000 | | | Five Corners Funding Trust II, 2.850%, 5/15/2030, 144A | | | 725,127 | |
| 325,000 | | | Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A | | | 338,605 | |
| 665,000 | | | Great-West Lifeco U.S. Finance LP, 0.904%, 8/12/2025, 144A | | | 663,511 | |
| 1,370,000 | | | Guardian Life Global Funding, 1.100%, 6/23/2025, 144A | | | 1,381,386 | |
| 155,000 | | | Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A | | | 174,827 | |
| 345,000 | | | Manulife Financial Corp., 2.484%, 5/19/2027 | | | 369,211 | |
| 1,400,000 | | | MassMutual Global Funding II, 0.850%, 6/09/2023, 144A | | | 1,414,811 | |
| 795,000 | | | Metropolitan Life Global Funding I, 0.900%, 6/08/2023, 144A | | | 803,559 | |
| 700,000 | | | Metropolitan Life Global Funding I, 0.950%, 7/02/2025, 144A | | | 706,636 | |
| 505,000 | | | Metropolitan Life Global Funding I, 2.400%, 6/17/2022, 144A | | | 521,639 | |
| 1,400,000 | | | New York Life Global Funding, 0.950%, 6/24/2025, 144A(a) | | | 1,413,865 | |
| | | | |
45 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Life Insurance — continued | |
$ | 1,070,000 | | | New York Life Global Funding, 2.875%, 4/10/2024, 144A(a) | | $ | 1,149,354 | |
| 915,000 | | | New York Life Global Funding, 2.950%, 1/28/2021, 144A(a) | | | 922,933 | |
| 645,000 | | | Principal Life Global Funding II, 1.250%, 6/23/2025, 144A | | | 656,991 | |
| 1,360,000 | | | Protective Life Global Funding, 1.082%, 6/09/2023, 144A | | | 1,379,240 | |
| 655,000 | | | Reliance Standard Life Global Funding II, 2.750%, 5/07/2025, 144A | | | 691,531 | |
| 565,000 | | | Reliance Standard Life Global Funding II, 3.850%, 9/19/2023, 144A | | | 608,463 | |
| 700,000 | | | Unum Group, 4.500%, 3/15/2025 | | | 777,547 | |
| | | | | | | | |
| | | | | | | 18,697,677 | |
| | | | | | | | |
| | | Lodging — 0.2% | |
| 125,000 | | | Choice Hotels International, Inc., 3.700%, 1/15/2031 | | | 131,544 | |
| 350,000 | | | Marriott International, Inc., Series Z, 4.150%, 12/01/2023 | | | 370,001 | |
| | | | | | | | |
| | | | | | | 501,545 | |
| | | | | | | | |
| | | Media Entertainment — 0.0% | |
| 130,000 | | | Interpublic Group of Cos., Inc. (The), 3.500%, 10/01/2020 | | | 130,000 | |
| | | | | | | | |
| | | Metals & Mining — 0.4% | |
| 345,000 | | | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | | | 344,062 | |
| 730,000 | | | Glencore Funding LLC, 2.500%, 9/01/2030, 144A | | | 709,757 | |
| 155,000 | | | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | | | 167,956 | |
| 65,000 | | | Reliance Steel & Aluminum Co., 2.150%, 8/15/2030 | | | 63,599 | |
| | | | | | | | |
| | | | | | | 1,285,374 | |
| | | | | | | | |
| | | Midstream — 0.3% | |
| 25,000 | | | Energy Transfer Operating LP, 4.250%, 3/15/2023 | | | 25,994 | |
| 50,000 | | | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A | | | 51,087 | |
| 440,000 | | | Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A | | | 443,280 | |
| 185,000 | | | ONEOK, Inc., 5.850%, 1/15/2026 | | | 212,768 | |
| 70,000 | | | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | | | 67,878 | |
| | | | | | | | |
| | | | | | | 801,007 | |
| | | | | | | | |
| | | Mortgage Related — 1.4% | |
| 1,948 | | | FHLMC, 3.000%, 10/01/2026 | | | 2,048 | |
| 155 | | | FHLMC, 6.500%, 1/01/2024 | | | 173 | |
| 41 | | | FHLMC, 8.000%, 7/01/2025 | | | 45 | |
| 21,847 | | | GNMA, 3.676%, 2/20/2063(a)(d) | | | 22,499 | |
| 33,710 | | | GNMA, 3.705%, 2/20/2063(d) | | | 34,609 | |
| 5,913 | | | GNMA, 3.890%, 5/20/2062(d) | | | 5,930 | |
| 9,232 | | | GNMA, 3.992%, 5/20/2062(d) | | | 9,977 | |
| 15,437 | | | GNMA, 4.043%, 10/20/2062(d) | | | 16,166 | |
| 25,298 | | | GNMA, 4.059%, 4/20/2063(a)(d) | | | 27,005 | |
| 28,537 | | | GNMA, 4.111%, 4/20/2063(d) | | | 28,881 | |
| 16,902 | | | GNMA, 4.188%, 2/20/2063(d) | | | 17,058 | |
| 21,620 | | | GNMA, 4.194%, 11/20/2064(d) | | | 22,517 | |
| 9,469 | | | GNMA, 4.343%, 3/20/2063(d) | | | 9,580 | |
| 56,761 | | | GNMA, 4.372%, 6/20/2066(d) | | | 63,938 | |
| 218,489 | | | GNMA, 4.435%, 10/20/2066(d) | | | 249,387 | |
| 108,397 | | | GNMA, 4.438%, 9/20/2066(d) | | | 122,722 | |
| 62,363 | | | GNMA, 4.445%, 11/20/2066(d) | | | 70,151 | |
| | | | |
| | See accompanying notes to financial statements. | | | 46 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Mortgage Related — continued | |
$ | 105,005 | | | GNMA, 4.485%, 11/20/2066(d) | | $ | 120,073 | |
| 184,723 | | | GNMA, 4.517%, 9/20/2066(d) | | | 211,085 | |
| 85,682 | | | GNMA, 4.521%, 10/20/2066(d) | | | 98,132 | |
| 112,575 | | | GNMA, 4.525%, 10/20/2066(d) | | | 128,057 | |
| 1,017,960 | | | GNMA, 4.539%, 4/20/2067(a)(d) | | | 1,168,158 | |
| 58,005 | | | GNMA, 4.542%, 8/20/2066(d) | | | 65,515 | |
| 467,668 | | | GNMA, 4.545%, 7/20/2067(a)(d) | | | 542,373 | |
| 815,559 | | | GNMA, 4.578%, 1/20/2067(a)(d) | | | 935,443 | |
| 2,106 | | | GNMA, 4.630%, 7/20/2062(d) | | | 2,225 | |
| 375,650 | | | GNMA, 4.684%, 5/20/2064(a)(d) | | | 410,087 | |
| 706 | | | GNMA, 4.700%, 8/20/2061(d) | | | 787 | |
| 509 | | | GNMA, 6.500%, 12/15/2023 | | | 562 | |
| | | | | | | | |
| | | | | | | 4,385,183 | |
| | | | | | | | |
| | | Natural Gas — 0.4% | |
| 820,000 | | | Atmos Energy Corp., 1.500%, 1/15/2031 | | | 816,685 | |
| 385,000 | | | NiSource, Inc., 1.700%, 2/15/2031 | | | 378,477 | |
| | | | | | | | |
| | | | | | | 1,195,162 | |
| | | | | | | | |
| | | Non-Agency Commercial Mortgage-Backed Securities — 5.0% | |
| 230,000 | | | BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 | | | 257,296 | |
| 270,000 | | | BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 | | | 296,126 | |
| 565,000 | | | Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050(a) | | | 580,293 | |
| 285,000 | | | Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053 | | | 312,960 | |
| 491,600 | | | CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048(a) | | | 551,066 | |
| 361,996 | | | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058 | | | 392,483 | |
| 992,138 | | | Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049(a) | | | 1,097,325 | |
| 540,000 | | | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 | | | 608,806 | |
| 263,676 | | | Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(d) | | | 280,718 | |
| 535,000 | | | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A(a) | | | 519,128 | |
| 26,367 | | | Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047 | | | 26,595 | |
| 68,558 | | | Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047 | | | 69,432 | |
| 151,558 | | | Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047 | | | 157,557 | |
| 478,193 | | | Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047(a) | | | 483,305 | |
| 280,000 | | | Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047 | | | 306,136 | |
| 280,000 | | | Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048 | | | 304,991 | |
| | | | |
47 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Non-Agency Commercial Mortgage-Backed Securities — continued | |
$ | 520,299 | | | Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049(a) | | $ | 584,791 | |
| 640,000 | | | Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(a) | | | 652,283 | |
| 84,913 | | | CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048 | | | 90,508 | |
| 470,000 | | | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052 | | | 518,579 | |
| 340,000 | | | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(d) | | | 316,968 | |
| 330,000 | | | GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047 | | | 357,556 | |
| 245,000 | | | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 | | | 273,690 | |
| 180,000 | | | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A | | | 156,408 | |
| 355,000 | | | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A | | | 314,195 | |
| 850,000 | | | JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class A4, 3.057%, 11/13/2052 | | | 953,006 | |
| 81,502 | | | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047 | | | 84,944 | |
| 575,000 | | | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052(a) | | | 656,722 | |
| 240,000 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.218%, 7/15/2046(d) | | | 258,101 | |
| 104,221 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047 | | | 104,552 | |
| 129,604 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048 | | | 140,717 | |
| 550,000 | | | Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053 | | | 598,552 | |
| 194,995 | | | Starwood Retail Property Trust, Series 2014-STAR, Class A, 1-month LIBOR + 1.470%, 1.622%, 11/15/2027, 144A(e) | | | 139,504 | |
| 505,000 | | | UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A(a) | | | 478,958 | |
| 565,000 | | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046(a) | | | 591,739 | |
| 201,109 | | | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059 | | | 223,299 | |
| 1,277,244 | | | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class A2, 3.118%, 1/15/2060(a) | | | 1,305,423 | |
| 152,101 | | | WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A3, 3.660%, 3/15/2047 | | | 152,845 | |
| 325,000 | | | WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047 | | | 354,963 | |
| 254,542 | | | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047(a) | | | 265,987 | |
| | | | | | | | |
| | | | | | | 15,818,507 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 48 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Oil Field Services — 0.5% | |
$ | 980,000 | | | Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., 2.773%, 12/15/2022 | | $ | 1,024,715 | |
| 365,000 | | | National Oilwell Varco, Inc., 3.600%, 12/01/2029 | | | 354,514 | |
| 130,000 | | | Schlumberger Investment S.A., 2.650%, 6/26/2030 | | | 131,239 | |
| | | | | | | | |
| | | | | | | 1,510,468 | |
| | | | | | | | |
| | | Packaging — 0.0% | |
| 95,000 | | | CCL Industries, Inc., 3.050%, 6/01/2030, 144A | | | 101,401 | |
| | | | | | | | |
| | | Pharmaceuticals — 1.1% | |
| 335,000 | | | AbbVie, Inc., 2.600%, 11/21/2024, 144A | | | 354,934 | |
| 235,000 | | | Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A | | | 254,620 | |
| 800,000 | | | Gilead Sciences, Inc., 1.650%, 10/01/2030 | | | 798,609 | |
| 525,000 | | | Pfizer, Inc., 3.200%, 9/15/2023 | | | 566,830 | |
| 390,000 | | | Royalty Pharma PLC, 1.750%, 9/02/2027, 144A | | | 391,018 | |
| 325,000 | | | Takeda Pharmaceutical Co. Ltd., 2.050%, 3/31/2030 | | | 328,199 | |
| 825,000 | | | Upjohn, Inc., 2.700%, 6/22/2030, 144A | | | 854,173 | |
| | | | | | | | |
| | | | | | | 3,548,383 | |
| | | | | | | | |
| | | Property & Casualty Insurance — 0.3% | |
| 645,000 | | | American Financial Group, Inc., 3.500%, 8/15/2026 | | | 698,283 | |
| 180,000 | | | Assurant, Inc., 4.200%, 9/27/2023 | | | 192,673 | |
| | | | | | | | |
| | | | | | | 890,956 | |
| | | | | | | | |
| | | Railroads — 0.1% | |
| 215,000 | | | Union Pacific Corp., 3.646%, 2/15/2024 | | | 234,302 | |
| | | | | | | | |
| | | Refining — 0.1% | |
| 460,000 | | | Valero Energy Corp., 2.150%, 9/15/2027 | | | 458,143 | |
| | | | | | | | |
| | | REITs – Apartments — 0.1% | |
| 155,000 | | | Essex Portfolio LP, 2.650%, 3/15/2032 | | | 163,681 | |
| | | | | | | | |
| | | REITs – Health Care — 0.4% | |
| 255,000 | | | Healthpeak Properties, Inc., 3.000%, 1/15/2030 | | | 274,826 | |
| 615,000 | | | Omega Healthcare Investors, Inc., 4.500%, 1/15/2025 | | | 653,074 | |
| 200,000 | | | Welltower, Inc., 2.750%, 1/15/2031 | | | 206,093 | |
| | | | | | | | |
| | | | | | | 1,133,993 | |
| | | | | | | | |
| | | REITs – Office Property — 0.8% | |
| 385,000 | | | Alexandria Real Estate Equities, Inc., 1.875%, 2/01/2033 | | | 377,046 | |
| 290,000 | | | Office Properties Income Trust, 4.250%, 5/15/2024 | | | 289,939 | |
| 1,295,000 | | | Office Properties Income Trust, 4.500%, 2/01/2025 | | | 1,310,238 | |
| 590,000 | | | Piedmont Operating Partnership LP, 3.150%, 8/15/2030 | | | 577,979 | |
| | | | | | | | |
| | | | | | | 2,555,202 | |
| | | | | | | | |
| | | REITs – Regional Malls — 0.1% | |
| 390,000 | | | Simon Property Group LP, 3.500%, 9/01/2025 | | | 427,506 | |
| | | | | | | | |
| | | REITs – Shopping Centers — 0.1% | |
| 55,000 | | | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | | | 58,827 | |
| 110,000 | | | Federal Realty Investment Trust, 3.500%, 6/01/2030 | | | 119,015 | |
| | | | | | | | |
| | | | | 177,842 | |
| | | | | | | | |
| | | | |
49 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | REITs – Single Tenant — 0.1% | |
$ | 320,000 | | | Spirit Realty LP, 3.200%, 2/15/2031 | | $ | 312,283 | |
| | | | | | | | |
| | | Restaurants — 0.6% | |
| 1,280,000 | | | McDonald’s Corp., MTN, 2.625%, 1/15/2022 | | | 1,317,367 | |
| 420,000 | | | McDonald’s Corp., MTN, 3.350%, 4/01/2023 | | | 448,550 | |
| | | | | | | | |
| | | | | | | 1,765,917 | |
| | | | | | | | |
| | | Retailers — 0.9% | |
| 345,000 | | | AutoNation, Inc., 3.500%, 11/15/2024 | | | 366,879 | |
| 290,000 | | | AutoNation, Inc., 4.500%, 10/01/2025 | | | 322,401 | |
| 130,000 | | | Best Buy Co., Inc., 4.450%, 10/01/2028 | | | 154,159 | |
| 475,000 | | | Home Depot, Inc. (The), 2.500%, 4/15/2027 | | | 516,290 | |
| 270,000 | | | Home Depot, Inc. (The), 2.950%, 6/15/2029 | | | 304,852 | |
| 425,000 | | | PVH Corp., 4.625%, 7/10/2025, 144A | | | 443,063 | |
| 850,000 | | | Seven & i Holdings Co. Ltd., 3.350%, 9/17/2021, 144A | | | 871,019 | |
| | | | | | | | |
| | | | | | | 2,978,663 | |
| | | | | | | | |
| | | Technology — 3.1% | |
| 125,000 | | | Apple, Inc., 3.350%, 2/09/2027 | | | 142,967 | |
| 485,000 | | | Broadcom, Inc., 4.150%, 11/15/2030 | | | 544,822 | |
| 110,000 | | | DXC Technology Co., 4.125%, 4/15/2025 | | | 118,853 | |
| 145,000 | | | Equinix, Inc., 1.800%, 7/15/2027 | | | 146,355 | |
| 515,000 | | | Flex Ltd., 3.750%, 2/01/2026 | | | 562,493 | |
| 470,000 | | | Flex Ltd., 4.875%, 6/15/2029 | | | 540,266 | |
| 450,000 | | | Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022 | | | 460,684 | |
| 395,000 | | | Hewlett Packard Enterprise Co., 4.650%, 10/01/2024 | | | 446,666 | |
| 290,000 | | | Hewlett Packard Enterprise Co., 3-month LIBOR + 0.680%, 0.929%, 3/12/2021(e) | | | 290,590 | |
| 295,000 | | | Hewlett Packard Enterprise Co., 1.450%, 4/01/2024 | | | 298,381 | |
| 400,000 | | | HP, Inc., 3.000%, 6/17/2027 | | | 432,438 | |
| 315,000 | | | Infor, Inc., 1.450%, 7/15/2023, 144A | | | 319,331 | |
| 470,000 | | | International Business Machines Corp., 1.700%, 5/15/2027 | | | 485,900 | |
| 530,000 | | | International Business Machines Corp., 2.850%, 5/13/2022 | | | 551,808 | |
| 115,000 | | | Jabil, Inc., 3.000%, 1/15/2031 | | | 117,411 | |
| 175,000 | | | Marvell Technology Group Ltd., 4.200%, 6/22/2023 | | | 188,939 | |
| 460,000 | | | Microchip Technology, Inc., 2.670%, 9/01/2023, 144A | | | 476,115 | |
| 140,000 | | | Microchip Technology, Inc., 3.922%, 6/01/2021 | | | 143,099 | |
| 755,000 | | | Micron Technology, Inc., 2.497%, 4/24/2023 | | | 784,033 | |
| 285,000 | | | NetApp, Inc., 1.875%, 6/22/2025 | | | 295,202 | |
| 565,000 | | | Panasonic Corp., 2.536%, 7/19/2022, 144A | | | 583,054 | |
| 925,000 | | | PayPal Holdings, Inc., 1.350%, 6/01/2023 | | | 944,831 | |
| 205,000 | | | Seagate HDD Cayman, 4.875%, 3/01/2024 | | | 223,330 | |
| 565,000 | | | ServiceNow, Inc., 1.400%, 9/01/2030 | | | 551,933 | |
| 130,000 | | | Texas Instruments, Inc., 2.250%, 9/04/2029 | | | 139,450 | |
| | | | | | | | |
| | | | | | | 9,788,951 | |
| | | | | | | | |
| | | Tobacco — 0.7% | |
| 135,000 | | | Altria Group, Inc., 2.350%, 5/06/2025 | | | 142,643 | |
| 1,060,000 | | | BAT Capital Corp., 2.259%, 3/25/2028 | | | 1,065,258 | |
| 565,000 | | | BAT Capital Corp., 3.215%, 9/06/2026 | | | 607,217 | |
| 460,000 | | | BAT Capital Corp., 4.700%, 4/02/2027 | | | 527,726 | |
| | | | | | | | |
| | | | | | | 2,342,844 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 50 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Transportation Services — 0.8% | |
$ | 450,000 | | | Element Fleet Management Corp., 3.850%, 6/15/2025, 144A | | $ | 473,633 | |
| 175,000 | | | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A | | | 197,143 | |
| 695,000 | | | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A | | | 754,930 | |
| 135,000 | | | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.450%, 1/29/2026, 144A | | | 154,527 | |
| 255,000 | | | Ryder System, Inc., MTN, 3.750%, 6/09/2023 | | | 274,102 | |
| 275,000 | | | Ryder System, Inc., MTN, 3.875%, 12/01/2023 | | | 299,984 | |
| 370,000 | | | Ryder System, Inc., MTN, 4.625%, 6/01/2025 | | | 425,179 | |
| | | | | | | | |
| | | | | | | 2,579,498 | |
| | | | | | | | |
| | | Treasuries — 19.6% | |
| 2,970,000 | | | U.S. Treasury Note, 1.750%, 12/31/2024 | | | 3,161,310 | |
| 15,620,000 | | | U.S. Treasury Note, 0.500%, 3/31/2025 | | | 15,801,216 | |
| 3,130,000 | | | U.S. Treasury Note, 0.250%, 4/15/2023 | | | 3,138,436 | |
| 14,340,000 | | | U.S. Treasury Note, 0.250%, 8/31/2025 | | | 14,328,797 | |
| 3,935,000 | | | U.S. Treasury Note, 0.625%, 5/15/2030 | | | 3,923,318 | |
| 2,875,000 | | | U.S. Treasury Note, 0.250%, 6/15/2023 | | | 2,882,637 | |
| 1,510,000 | | | U.S. Treasury Note, 0.250%, 6/30/2025 | | | 1,509,469 | |
| 7,860,000 | | | U.S. Treasury Note, 0.125%, 7/15/2023 | | | 7,854,474 | |
| 6,445,000 | | | U.S. Treasury Note, 0.250%, 7/31/2025 | | | 6,440,468 | |
| 3,275,000 | | | U.S. Treasury Note, 0.625%, 8/15/2030 | | | 3,258,625 | |
| | | | | | | | |
| | | | | | | 62,298,750 | |
| | | | | | | | |
| | | Wireless — 0.2% | |
| 200,000 | | | SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A | | | 214,168 | |
| 535,000 | | | T-Mobile USA, Inc., 3.300%, 2/15/2051, 144A | | | 530,030 | |
| | | | | | | | |
| | | | | | | 744,198 | |
| | | | | | | | |
| | | Wirelines — 0.4% | |
| 720,000 | | | AT&T, Inc., 2.250%, 2/01/2032 | | | 720,143 | |
| 345,000 | | | AT&T, Inc., 2.300%, 6/01/2027 | | | 361,316 | |
| 205,000 | | | British Telecommunications PLC, 4.500%, 12/04/2023 | | | 226,850 | |
| | | | | | | | |
| | | | 1,308,309 | |
| | | | | | | | |
| | | | Total Bonds and Notes (Identified Cost $304,280,542) | | | 312,309,610 | |
| | | | | | | | |
| | | | | | | | |
| Short-Term Investments — 2.2% | | | | |
| 6,885,577 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $6,885,577 on 10/01/2020 collateralized by $6,747,400 U.S. Treasury Note, 1.125% due 2/28/2025 valued at $7,023,324 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,885,577) | | | 6,885,577 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Investments — 100.5% (Identified Cost $311,166,119) | | | 319,195,187 | |
| | | | Other assets less liabilities — (0.5)% | | | (1,680,825 | ) |
| | | | | | | | |
| | | | Net Assets — 100.0% | | $ | 317,514,362 | |
| | | | | | | | |
| | | | |
51 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
| | | | | | | | |
| | | | | | | | |
| (†) | | | 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. | |
| (c) | | | Fair valued by the Fund’s adviser. At September 30, 2020, the value of these securities amounted to $7,685 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements. | |
| (d) | | | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of September 30, 2020 is disclosed. | |
| (e) | | | Variable rate security. Rate as of September 30, 2020 is disclosed. | |
| | | | | | | | |
| 144A | | | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, the value of Rule 144A holdings amounted to $90,197,501 or 28.4% of net assets. | |
| | | | | |
| ABS | | | Asset-Backed Securities | |
| ARMs | | | Adjustable Rate Mortgages | |
| CMT | | | Constant Maturity Treasury | |
| FHLMC | | | Federal Home Loan Mortgage Corp. | |
| GNMA | | | Government National Mortgage Association | |
| LIBOR | | | London Interbank Offered Rate | |
| MTN | | | Medium Term Note | |
| REITs | | | Real Estate Investment Trusts | |
At September 30, 2020, open long futures contracts were as follows:
| | | | | | | | | | | | | | | | | | |
Financial Futures | | Expiration Date | | | Contracts | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
5 Year U.S. Treasury Note | | | 12/31/2020 | | | 174 | | $ | 21,901,931 | | | $ | 21,929,438 | | | $ | 27,507 | |
| | | | | | | | | | | | | | | | | | |
At September 30, 2020, open short futures contracts were as follows:
| | | | | | | | | | | | | | | | | | |
Financial Futures | | Expiration Date | | | Contracts | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
Ultra 10 Year U.S. Treasury Note | | | 12/21/2020 | | | 20 | | $ | 3,184,090 | | | $ | 3,198,438 | | | $ | (14,348 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 52 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Intermediate Duration Bond Fund – (continued)
Industry Summary at September 30, 2020
| | | | |
Treasuries | | | 19.6 | % |
Banking | | | 18.3 | |
ABS Car Loan | | | 10.5 | |
Life Insurance | | | 5.9 | |
Non-Agency Commercial Mortgage-Backed Securities | | | 5.0 | |
Electric | | | 4.4 | |
Technology | | | 3.1 | |
Automotive | | | 3.1 | |
Collateralized Mortgage Obligations | | | 2.1 | |
Food & Beverage | | | 2.0 | |
Other Investments, less than 2% each | | | 24.3 | |
Short-Term Investments | | | 2.2 | |
| | | | |
Total Investments | | | 100.5 | |
Other assets less liabilities (including futures contracts) | | | (0.5 | ) |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
| | | | |
53 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| Bonds and Notes — 91.2% of Net Assets | | | | |
| | | ABS Car Loan — 3.2% | |
$ | 559,543 | | | Ally Auto Receivables Trust, Series 2018-2, Class A3, 2.920%, 11/15/2022 | | $ | 566,049 | |
| 395,000 | | | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024 | | | 396,311 | |
| 1,550,000 | | | Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A | | | 1,562,482 | |
| 840,000 | | | Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A | | | 859,578 | |
| 1,710,000 | | | CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024 | | | 1,751,567 | |
| 385,963 | | | CPS Auto Receivables Trust, Series 2019-C, Class A, 2.550%, 9/15/2022, 144A | | | 387,085 | |
| 1,955,000 | | | Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.380%, 11/15/2028, 144A | | | 2,010,622 | |
| 214,610 | | | Exeter Automobile Receivables Trust, Series 2019-3A, Class A, 2.590%, 9/15/2022, 144A | | | 215,191 | |
| 13,405 | | | First Investors Auto Owner Trust, Series 2018-2A, Class A1, 3.230%, 12/15/2022, 144A | | | 13,420 | |
| 765,375 | | | Flagship Credit Auto Trust, Series 2020-2, Class A, 1.490%, 7/15/2024, 144A | | | 772,439 | |
| 1,008,566 | | | Flagship Credit Auto Trust, Series 2020-3, Class A, 0.700%, 4/15/2025, 144A | | | 1,011,310 | |
| 595,000 | | | Ford Credit Auto Owner Trust, Series 2020-A, Class A3, 1.040%, 8/15/2024 | | | 602,379 | |
| 1,604,317 | | | Foursight Capital Automobile Receivables Trust, Series 2018-2, Class A3, 3.640%, 5/15/2023, 144A | | | 1,622,138 | |
| 475,000 | | | GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.800%, 7/20/2023 | | | 477,845 | |
| 970,000 | | | GM Financial Consumer Automobile Receivables Trust, Series 2019-4, Class A3, 1.750%, 7/16/2024 | | | 988,187 | |
| 500,000 | | | GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024 | | | 509,969 | |
| 1,475,000 | | | GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024 | | | 1,507,524 | |
| 1,170,000 | | | GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024 | | | 1,194,748 | |
| 189,000 | | | Honda Auto Receivables Owner Trust, Series 2019-2, Class A3, 2.520%, 6/21/2023 | | | 193,739 | |
| 410,000 | | | Honda Auto Receivables Owner Trust, Series 2020-1, Class A3, 1.610%, 4/22/2024 | | | 419,661 | |
| 585,000 | | | Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024 | | | 597,775 | |
| 685,000 | | | NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A2, 2.560%, 10/17/2022, 144A | | | 685,382 | |
| 1,805,000 | | | Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3, 1.380%, 12/16/2024 | | | 1,839,990 | |
| 2,385,786 | | | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class A, 1.370%, 10/15/2024, 144A | | | 2,408,475 | |
| 630,000 | | | Santander Drive Auto Receivables Trust, Series 2020-2, Class A3, 0.670%, 4/15/2024 | | | 632,190 | |
| 765,000 | | | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033, 144A | | | 785,632 | |
| | | | |
| | See accompanying notes to financial statements. | | | 54 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | ABS Car Loan — continued | |
$ | 1,610,000 | | | Toyota Auto Receivables Owner Trust, Series 2017-C, Class A4, 1.980%, 12/15/2022 | | $ | 1,625,566 | |
| 1,255,000 | | | Toyota Auto Receivables Owner Trust, Series 2019-A, Class A3, 2.910%, 7/17/2023 | | | 1,282,743 | |
| 450,000 | | | Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3 MTN, 1.660%, 5/15/2024 | | | 459,765 | |
| 670,000 | | | Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, 1.360%, 8/15/2024 | | | 682,591 | |
| 875,213 | | | United Auto Credit Securitization Trust, Series 2020-1, Class A, 0.850%, 5/10/2022, 144A | | | 877,269 | |
| 2,940,000 | | | Westlake Automobile Receivables Trust, Series 2020-2A, Class A2A, 0.930%, 2/15/2024, 144A | | | 2,951,519 | |
| 765,000 | | | World Omni Auto Receivables Trust, Series 2019-B, Class A3, 2.590%, 7/15/2024 | | | 783,333 | |
| | | | | | | | |
| | | | | | | 32,674,474 | |
| | | | | | | | |
| | | ABS Home Equity — 0.1% | |
| 670,033 | | | CoreVest American Finance Trust, Series 2017-1, Class A, 2.968%, 10/15/2049, 144A | | | 683,178 | |
| 328,976 | | | Towd Point Mortgage Trust, Series 2015-2, Class 1A12, 2.750%, 11/25/2060, 144A(a) | | | 332,395 | |
| | | | | | | | |
| | | | | | | 1,015,573 | |
| | | | | | | | |
| | | ABS Other — 0.8% | |
| 1,157,884 | | | Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/16/2032, 144A | | | 1,162,315 | |
| 430,000 | | | CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025 | | | 436,287 | |
| 508,438 | | | Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A | | | 527,566 | |
| 805,000 | | | Kubota Credit Owner Trust, Series 2020-1A, Class A3, 1.960%, 3/15/2024, 144A | | | 834,802 | |
| 963,086 | | | MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037, 144A | | | 973,731 | |
| 1,873,015 | | | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037, 144A | | | 1,874,348 | |
| 726,484 | | | SoFi Consumer Loan Program Trust, Series 2018-4, Class A, 3.540%, 11/26/2027, 144A | | | 731,564 | |
| 1,820,571 | | | Welk Resorts LLC, Series 2019-AA, Class A, 2.800%, 6/15/2038, 144A | | | 1,869,066 | |
| | | | | | | | |
| | | | | | | 8,409,679 | |
| | | | | | | | |
| | | ABS Student Loan — 0.6% | |
| 4,000,000 | | | Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.600%, 8/15/2068, 144A | | | 4,140,011 | |
| 1,476,968 | | | Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, 1.690%, 5/15/2069, 144A | | | 1,494,764 | |
| 50,353 | | | SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1-month LIBOR + 0.950%, 1.098%, 1/25/2039, 144A(b) | | | 50,372 | |
| | | | | | | | |
| | | | | | | 5,685,147 | |
| | | | | | | | |
| | | | |
55 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Agency Commercial Mortgage-Backed Securities — 29.1% | |
$ | 6,958,761 | | | Federal National Mortgage Association, Series 2014-M2, Class A2, 3.513%, 12/25/2023(a) | | $ | 7,452,181 | |
| 1,073,383 | | | Federal National Mortgage Association, Series 2015-M17, Class FA, 1-month LIBOR + 0.930%, 1.110%, 11/25/2022(b) | | | 1,074,105 | |
| 528,586 | | | Federal National Mortgage Association, Series 2016-M3, Class ASQ2, 2.263%, 2/25/2023 | | | 536,702 | |
| 5,843,579 | | | Federal National Mortgage Association, Series 2020-M5, Class FA, 1-month LIBOR + 0.460%, 0.615%, 1/25/2027(b) | | | 5,885,834 | |
| 9,996,611 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF74, Class AS, 1-month Average Compounded SOFR + 0.530%, 0.636%, 1/25/2027(b) | | | 10,014,621 | |
| 16,776,773 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AL, 1-month LIBOR + 0.700%, 0.857%, 2/25/2027(b) | | | 16,928,682 | |
| 22,065,756 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AS, 30-day Average SOFR + 0.900%, 1.006%, 2/25/2027(b) | | | 22,090,249 | |
| 31,425,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AL, 1-month LIBOR + 0.800%, 0.957%, 3/25/2030(b) | | | 31,483,105 | |
| 31,425,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AS, 30-day Average SOFR + 1.000%, 1.106%, 3/25/2030(b) | | | 31,480,654 | |
| 7,720,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027 | | | 8,374,062 | |
| 8,515,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KS12, Class A, 1-month LIBOR + 0.650%, 0.795%, 8/25/2029(b) | | | 8,543,467 | |
| 13,445,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2, 3.799%, 12/25/2025 | | | 15,173,134 | |
| 4,072,659 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021 | | | 4,100,711 | |
| 3,762,218 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021 | | | 3,825,660 | |
| 5,946,941 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021 | | | 6,095,329 | |
| 7,900,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K034, Class A2, 3.531%, 7/25/2023(a) | | | 8,506,754 | |
| 7,835,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K035, Class A2, 3.458%, 8/25/2023(a) | | | 8,437,949 | |
| 7,500,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class A2, 3.389%, 3/25/2024 | | | 8,164,247 | |
| 2,580,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027 | | | 2,945,833 | |
| 2,003,141 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1, 2.666%, 5/25/2023 | | | 2,062,362 | |
| 8,000,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KC06, Class A2, 2.541%, 8/25/2026 | | | 8,599,831 | |
| 218,731 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 1-month LIBOR + 0.330%, 0.487%, 11/25/2021(b) | | | 218,208 | |
| 966,849 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1-month LIBOR + 0.650%, 0.807%, 1/25/2023(b) | | | 967,559 | |
| 3,867,157 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A, 1-month LIBOR + 0.390%, 0.547%, 10/25/2025(b) | | | 3,875,396 | |
| | | | |
| | See accompanying notes to financial statements. | | | 56 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| �� | | Agency Commercial Mortgage-Backed Securities — continued | |
$ | 12,792,303 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF72, Class A, 1-month LIBOR + 0.500%, 0.657%, 11/25/2026(b) | | $ | 12,865,684 | |
| 4,854,372 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AL, 1-month LIBOR + 0.470%, 0.627%, 5/25/2030(b) | | | 4,884,756 | |
| 4,479,420 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AS, 30-day Average SOFR + 0.580%, 0.686%, 5/25/2030(b) | | | 4,486,091 | |
| 8,810,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AL, 1-month LIBOR + 0.440%, 0.588%, 6/25/2030(b) | | | 8,820,532 | |
| 4,950,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AS, 30-day Average SOFR + 0.510%, 0.616%, 6/25/2030(b) | | | 4,956,047 | |
| 3,319,783 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AL, 1-month LIBOR + 0.360%, 0.517%, 6/25/2027(b) | | | 3,336,414 | |
| 2,489,837 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AS, 30-day Average SOFR + 0.400%, 0.506%, 6/25/2027(b) | | | 2,491,403 | |
| 1,890,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AL, 1-month LIBOR + 0.300%, 0.457%, 7/25/2030(b) | | | 1,879,439 | |
| 1,590,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AS, 30-day Average SOFR + 0.320%, 0.405%, 7/25/2030(b) | | | 1,581,098 | |
| 1,855,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AL, 1-month LIBOR + 0.300%, 0.457%, 8/25/2030(b) | | | 1,855,000 | |
| 4,945,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AS, 30-day Average SOFR + 0.330%, 0.415%, 8/25/2030(b) | | | 4,945,000 | |
| 130,159 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KI01, Class A, 1-month LIBOR + 0.160%, 0.317%, 9/25/2022(b) | | | 130,145 | |
| 175,887 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KI02, Class A, 1-month LIBOR + 0.200%, 0.357%, 2/25/2023(b) | | | 175,842 | |
| 10,261,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2, 3.700%, 9/25/2026 | | | 11,541,077 | |
| 1,010,973 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025 | | | 1,029,284 | |
| 2,855,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AL, 1-month LIBOR + 0.340%, 0.497%, 4/25/2030(b) | | | 2,864,270 | |
| 3,140,000 | | | FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AS, 30-day Average SOFR + 0.370%, 0.455%, 4/25/2030(b) | | | 3,150,208 | |
| 3,062,407 | | | FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A, 1-month LIBOR + 0.390%, 0.547%, 10/25/2045(b) | | | 3,065,908 | |
| 5,200,000 | | | FNMA, 3.580%, 1/01/2026 | | | 5,845,966 | |
| 122,936 | | | Government National Mortgage Association, Series 2003-72, Class Z, 5.292%, 11/16/2045(a) | | | 135,522 | |
| 19,150 | | | Government National Mortgage Association, Series 2003-88, Class Z, 5.443%, 3/16/2046(a) | | | 20,735 | |
| | | | | | | | |
| | | | | | | 296,897,056 | |
| | | | | | | | |
| | | Collateralized Mortgage Obligations — 18.2% | |
| 19,944 | | | Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 7-year CMT – 0.200%, 0.250%, 5/15/2023(b)(c)(d) | | | 19,559 | |
| 16,095 | | | Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 10-year CMT – 0.650%, 0.020%, 8/15/2023(b)(c)(d) | | | 15,693 | |
| | | | |
57 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Collateralized Mortgage Obligations — continued | |
$ | 92,119 | | | Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029(c)(d) | | $ | 101,509 | |
| 753,592 | | | Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035 | | | 853,742 | |
| 1,174,747 | | | Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035 | | | 1,356,692 | |
| 570,126 | | | Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038 | | | 641,867 | |
| 941,301 | | | Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, IO, 2.797%, 6/15/2048(a)(e) | | | 1,009,455 | |
| 1,030,534 | | | Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, IO, 3.857%, 12/15/2036(a)(e) | | | 1,116,114 | |
| 544,002 | | | Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 2.252%, 6/15/2043(a) | | | 561,252 | |
| 904,919 | | | Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033 | | | 1,051,638 | |
| 4,437,605 | | | Federal National Mortgage Association, Series 2012-58, Class KF, 1-month LIBOR + 0.550%, 0.698%, 6/25/2042(b) | | | 4,487,383 | |
| 6,697,537 | | | Federal National Mortgage Association, Series 2012-83, Class LF, 1-month LIBOR + 0.510%, 0.658%, 8/25/2042(b) | | | 6,758,217 | |
| 9,587 | | | Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 7-year CMT – 0.050%, 0.420%, 9/25/2022(b)(c)(d) | | | 9,453 | |
| 17,351 | | | Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 10-year CMT – 0.500%, 0.170%, 4/25/2024(b)(c)(d) | | | 16,895 | |
| 7,338 | | | Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 4.346%, 8/25/2042(a)(c)(d) | | | 7,854 | |
| 261,333 | | | Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025(c)(d) | | | 272,649 | |
| 546,894 | | | Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 1-month LIBOR + 0.060%, 0.235%, 7/25/2037(b) | | | 537,945 | |
| 946,258 | | | Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.502%, 8/25/2038(a) | | | 1,016,863 | |
| 2,573,473 | | | Federal National Mortgage Association, REMIC, Series 2012-56, Class FK, 1-month LIBOR + 0.450%, 0.598%, 6/25/2042(b) | | | 2,589,509 | |
| 5,412,360 | | | Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1-month LIBOR + 1.000%, 1.148%, 7/25/2043(b) | | | 5,258,290 | |
| 6,857,513 | | | Federal National Mortgage Association, REMIC, Series 2015-4, Class BF, 1-month LIBOR + 0.400%, 0.548%, 2/25/2045(b) | | | 6,889,255 | |
| 12,055,310 | | | Federal National Mortgage Association, Series 2020-35, Class FA, 1-month LIBOR + 0.500%, 0.656%, 6/25/2050(b) | | | 12,166,544 | |
| 7,004 | | | FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.943%, 3/25/2044(a)(c)(d) | | | 8,334 | |
| 429,446 | | | FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, 12-month MTA + 1.200%, 2.219%, 10/25/2044(b)(c)(d) | | | 439,498 | |
| 3,663,238 | | | Government National Mortgage Association, Series 2017-H05, Class FC, 1-month LIBOR + 0.750%, 0.905%, 2/20/2067(b) | | | 3,706,098 | |
| 4,066,430 | | | Government National Mortgage Association, Series 2019-H13, Class FT, 1-year CMT + 0.450%, 0.580%, 8/20/2069(b) | | | 4,062,624 | |
| | | | |
| | See accompanying notes to financial statements. | | | 58 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Collateralized Mortgage Obligations — continued | |
$ | 5,621,586 | | | Government National Mortgage Association, Series 2020-H02, Class FG, 1-month LIBOR + 0.600%, 0.755%, 1/20/2070(b) | | $ | 5,664,824 | |
| 1,630,674 | | | Government National Mortgage Association, Series 2005-18, Class F, 1-month LIBOR + 0.200%, 0.356%, 2/20/2035(b) | | | 1,626,583 | |
| 1,232,381 | | | Government National Mortgage Association, Series 2007-59, Class FM, 1-month LIBOR + 0.520%, 0.676%, 10/20/2037(b) | | | 1,239,382 | |
| 513,811 | | | Government National Mortgage Association, Series 2009-H01, Class FA, 1-month LIBOR + 1.150%, 1.306%, 11/20/2059(b)(c)(d) | | | 515,600 | |
| 1,041,679 | | | Government National Mortgage Association, Series 2010-H20, Class AF, 1-month LIBOR + 0.330%, 0.485%, 10/20/2060(b) | | | 1,039,197 | |
| 857,993 | | | Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 0.505%, 10/20/2060(b) | | | 856,183 | |
| 482,787 | | | Government National Mortgage Association, Series 2010-H27, Class FA, 1-month LIBOR + 0.380%, 0.535%, 12/20/2060(b) | | | 482,171 | |
| 54,039 | | | Government National Mortgage Association, Series 2011- H20, Class FA, 1-month LIBOR + 0.550%, 0.705%, 9/20/2061(b) | | | 54,203 | |
| 684,851 | | | Government National Mortgage Association, Series 2011-H06, Class FA, 1-month LIBOR + 0.450%, 0.605%, 2/20/2061(b) | | | 685,251 | |
| 52,458 | | | Government National Mortgage Association, Series 2011-H08, Class FA, 1-month LIBOR + 0.600%, 0.755%, 2/20/2061(b) | | | 52,642 | |
| 82,857 | | | Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(c)(d) | | | 84,624 | |
| 38,129 | | | Government National Mortgage Association, Series 2012-124, Class HT, 6.500%, 7/20/2032(a)(c)(d) | | | 37,363 | |
| 3,521,829 | | | Government National Mortgage Association, Series 2012-18, Class FM, 1-month LIBOR + 0.250%, 0.406%, 9/20/2038(b) | | | 3,519,768 | |
| 1,901 | | | Government National Mortgage Association, Series 2012-H15, Class FA, 1-month LIBOR + 0.450%, 0.605%, 5/20/2062(b)(c)(d) | | | 1,883 | |
| 659,506 | | | Government National Mortgage Association, Series 2012-H18, Class NA, 1-month LIBOR + 0.520%, 0.675%, 8/20/2062(b) | | | 660,908 | |
| 1,925,883 | | | Government National Mortgage Association, Series 2012-H20, Class PT, 1.011%, 7/20/2062(a) | | | 1,923,599 | |
| 141,595 | | | Government National Mortgage Association, Series 2012-H29, Class HF, 1-month LIBOR + 0.500%, 0.655%, 10/20/2062(b)(c)(d) | | | 140,959 | |
| 47,800 | | | Government National Mortgage Association, Series 2013-H02, Class GF, 1-month LIBOR + 0.500%, 0.655%, 12/20/2062(b)(c)(d) | | | 47,408 | |
| 2,727,952 | | | Government National Mortgage Association, Series 2013-H08, Class FA, 1-month LIBOR + 0.350%, 0.505%, 3/20/2063(b) | | | 2,723,992 | |
| 1,826,736 | | | Government National Mortgage Association, Series 2013-H10, Class FA, 1-month LIBOR + 0.400%, 0.555%, 3/20/2063(b) | | | 1,825,645 | |
| 310,859 | | | Government National Mortgage Association, Series 2013-H14, Class FG, 1-month LIBOR + 0.470%, 0.625%, 5/20/2063(b) | | | 311,155 | |
| 6,772,653 | | | Government National Mortgage Association, Series 2013-H22, Class FT, 1-year CMT + 0.650%, 0.780%, 4/20/2063(b) | | | 6,746,653 | |
| 4,597,451 | | | Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 0.664%, 7/20/2064(b) | | | 4,602,343 | |
| 3,409,553 | | | Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 0.655%, 7/20/2064(b) | | | 3,418,735 | |
| | | | |
59 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Collateralized Mortgage Obligations — continued | |
$ | 2,805,598 | | | Government National Mortgage Association, Series 2015-H04, Class FL, 1-month LIBOR + 0.470%, 0.625%, 2/20/2065(b) | | $ | 2,805,826 | |
| 21,457 | | | Government National Mortgage Association, Series 2015-H05, Class FA, 1-month LIBOR + 0.300%, 0.455%, 4/20/2061(b)(c)(d) | | | 21,304 | |
| 107,858 | | | Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(c)(d) | | | 107,971 | |
| 311,842 | | | Government National Mortgage Association, Series 2015-H10, Class FC, 1-month LIBOR + 0.480%, 0.635%, 4/20/2065(b) | | | 312,448 | |
| 4,834,421 | | | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | | | 4,934,272 | |
| 20,784 | | | Government National Mortgage Association, Series 2015-H11, Class FA, 1-month LIBOR + 0.250%, 0.405%, 4/20/2065(b)(c)(d) | | | 20,644 | |
| 3,625,303 | | | Government National Mortgage Association, Series 2015-H12, Class FL, 1-month LIBOR + 0.230%, 0.385%, 5/20/2065(b) | | | 3,608,824 | |
| 258,605 | | | Government National Mortgage Association, Series 2015-H19, Class FH, 1-month LIBOR + 0.300%, 0.455%, 7/20/2065(b)(c)(d) | | | 256,951 | |
| 27,285 | | | Government National Mortgage Association, Series 2015-H29, Class FA, 1-month LIBOR + 0.700%, 0.855%, 10/20/2065(b)(c)(d) | | | 27,247 | |
| 7,191 | | | Government National Mortgage Association, Series 2015-H30, Class FA, 1-month LIBOR + 0.680%, 0.835%, 8/20/2061(b)(c)(d) | | | 7,179 | |
| 5,129,863 | | | Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 1.075%, 2/20/2066(b) | | | 5,210,828 | |
| 340,094 | | | Government National Mortgage Association, Series 2016-H10, Class FJ, 1-month LIBOR + 0.600%, 0.755%, 4/20/2066(b) | | | 340,300 | |
| 343,034 | | | Government National Mortgage Association, Series 2016-H19, Class FJ, 1-month LIBOR + 0.400%, 0.555%, 9/20/2063(b)(c)(d) | | | 341,221 | |
| 1,599,005 | | | Government National Mortgage Association, Series 2016-H20, Class FB, 1-month LIBOR + 0.550%, 0.705%, 9/20/2066(b) | | | 1,604,907 | |
| 233,301 | | | Government National Mortgage Association, Series 2017-H24, Class FJ, 1-month LIBOR + 0.250%, 0.405%, 10/20/2067(b) | | | 233,212 | |
| 279,501 | | | Government National Mortgage Association, Series 2018-H02, Class FJ, 1-month LIBOR + 0.200%, 0.355%, 10/20/2064(b) | | | 279,108 | |
| 7,239,128 | | | Government National Mortgage Association, Series 2018-H11, Class FJ, 12-month LIBOR + 0.080%, 0.718%, 6/20/2068(b) | | | 7,171,776 | |
| 163,283 | | | Government National Mortgage Association, Series 2018-H14, Class FG, 1-month LIBOR + 0.350%, 0.505%, 9/20/2068(b) | | | 163,007 | |
| 12,199,960 | | | Government National Mortgage Association, Series 2019-H04, Class NA, 3.500%, 9/20/2068 | | | 13,316,787 | |
| 3,809,213 | | | Government National Mortgage Association, Series 2020-30, Class F, 1-month LIBOR + 0.400%, 0.557%, 4/20/2048(b) | | | 3,813,575 | |
| 6,925,225 | | | Government National Mortgage Association, Series 2020-53, Class NF, 1-month LIBOR + 0.450%, 0.607%, 5/20/2046(b) | | | 6,916,097 | |
| 5,952,533 | | | Government National Mortgage Association, Series 2020-H04, Class FP, 1-month LIBOR + 0.500%, 0.655%, 6/20/2069(b) | | | 5,971,167 | |
| 12,684,567 | | | Government National Mortgage Association, Series 2020-H07, Class FL, 1-month LIBOR + 0.650%, 0.806%, 4/20/2070(b) | | | 12,728,532 | |
| 14,164,359 | | | Government National Mortgage Association, Series 2020-H10, Class FD, 1-month LIBOR + 0.400%, 0.556%, 5/20/2070(b) | | | 14,006,653 | |
| | | | |
| | See accompanying notes to financial statements. | | | 60 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Collateralized Mortgage Obligations — continued | |
$ | 6,538,268 | | | Government National Mortgage Association, Series 2020-HO1, Class FT, 1-year CMT + 0.500%, 2.036%, 1/20/2070(b) | | $ | 6,537,640 | |
| 168,737 | | | NCUA Guaranteed Notes, Series 2010-A1, Class A, 1-month LIBOR + 0.350%, 0.506%, 12/07/2020(b) | | | 168,761 | |
| 193,482 | | | NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 1-month LIBOR + 0.450%, 0.605%, 10/07/2020(b) | | | 193,462 | |
| 727,213 | | | NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 1-month LIBOR + 0.560%, 0.715%, 12/08/2020(b) | | | 727,387 | |
| 48,554 | | | NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 1-month LIBOR + 0.560%, 0.715%, 12/08/2020(b) | | | 48,554 | |
| | | | | | | | |
| | | | | | | 185,091,643 | |
| | | | | | | | |
| | | Hybrid ARMs — 3.9% | |
| 715,398 | | | FHLMC, 12-month LIBOR + 1.761%, 2.536%, 9/01/2035(b) | | | 750,129 | |
| 569,023 | | | FHLMC, 1-year CMT + 2.220%, 2.595%, 7/01/2033(b) | | | 573,044 | |
| 148,887 | | | FHLMC, 12-month LIBOR + 1.645%, 2.692%, 11/01/2038(b) | | | 150,275 | |
| 3,668,989 | | | FHLMC, 12-month LIBOR + 1.841%, 2.786%, 1/01/2046(b) | | | 3,789,881 | |
| 432,085 | | | FHLMC, 1-year CMT + 2.247%, 2.840%, 9/01/2038(b) | | | 455,075 | |
| 343,425 | | | FHLMC, 6-month LIBOR + 1.685%, 3.136%, 6/01/2037(b) | | | 344,910 | |
| 465,175 | | | FHLMC, 1-year CMT + 2.165%, 3.334%, 4/01/2036(b) | | | 467,178 | |
| 2,104,107 | | | FHLMC, 1-year CMT + 2.248%, 3.392%, 3/01/2037(b) | | | 2,219,486 | |
| 224,138 | | | FHLMC, 12-month LIBOR + 1.932%, 3.520%, 12/01/2034(b) | | | 226,822 | |
| 177,653 | | | FHLMC, 12-month LIBOR + 1.833%, 3.523%, 11/01/2038(b) | | | 181,109 | |
| 213,205 | | | FHLMC, 12-month LIBOR + 1.767%, 3.559%, 3/01/2038(b) | | | 216,438 | |
| 58,020 | | | FHLMC, 12-month LIBOR + 1.744%, 3.593%, 12/01/2037(b) | | | 58,429 | |
| 138,580 | | | FHLMC, 1-year CMT + 2.209%, 3.640%, 9/01/2038(b) | | | 139,360 | |
| 1,115,800 | | | FHLMC, 12-month LIBOR + 1.894%, 3.640%, 9/01/2041(b) | | | 1,168,801 | |
| 212,880 | | | FHLMC, 1-year CMT + 1.942%, 3.648%, 9/01/2038(b) | | | 213,762 | |
| 500,188 | | | FHLMC, 1-year CMT + 2.245%, 3.732%, 3/01/2036(b) | | | 529,999 | |
| 806,361 | | | FHLMC, 12-month LIBOR + 1.738%, 3.738%, 4/01/2037(b) | | | 817,407 | |
| 198,870 | | | FHLMC, 1-year CMT + 2.250%, 3.759%, 2/01/2035(b) | | | 210,448 | |
| 210,298 | | | FHLMC, 12-month LIBOR + 1.724%, 3.784%, 4/01/2037(b) | | | 220,945 | |
| 1,136,541 | | | FHLMC, 1-year CMT + 2.254%, 3.791%, 2/01/2036(b) | | | 1,197,868 | |
| 803,164 | | | FHLMC, 1-year CMT + 2.286%, 4.023%, 2/01/2036(b) | | | 848,107 | |
| 154,452 | | | FHLMC, 12-month LIBOR + 2.180%, 4.180%, 3/01/2037(b) | | | 156,176 | |
| 61,920 | | | FNMA, 6-month LIBOR + 1.558%, 1.963%, 2/01/2037(b) | | | 63,802 | |
| 910,061 | | | FNMA, 12-month LIBOR + 1.595%, 2.313%, 9/01/2037(b) | | | 948,446 | |
| 171,078 | | | FNMA, 12-month LIBOR + 1.560%, 2.340%, 8/01/2035(b) | | | 172,072 | |
| 501,459 | | | FNMA, 12-month LIBOR + 1.703%, 2.453%, 8/01/2034(b) | | | 508,485 | |
| 141,105 | | | FNMA, 1-year CMT + 2.145%, 2.480%, 9/01/2036(b) | | | 144,321 | |
| 354,833 | | | FNMA, 1-year CMT + 2.223%, 2.499%, 8/01/2035(b) | | | 356,426 | |
| 356,547 | | | FNMA, 12-month LIBOR + 1.657%, 2.537%, 8/01/2038(b) | | | 360,095 | |
| 540,438 | | | FNMA, 6-month LIBOR + 1.540%, 2.542%, 7/01/2035(b) | | | 559,156 | |
| 400,790 | | | FNMA, 12-month LIBOR + 1.637%, 2.619%, 7/01/2038(b) | | | 408,491 | |
| 1,004,037 | | | FNMA, 1-year CMT + 2.273%, 2.648%, 6/01/2037(b) | | | 1,059,498 | |
| 513,511 | | | FNMA, 1-year CMT + 2.287%, 2.676%, 6/01/2033(b) | | | 514,662 | |
| 112,014 | | | FNMA, 12-month LIBOR + 1.801%, 2.796%, 7/01/2041(b) | | | 112,989 | |
| 62,447 | | | FNMA, 1-year CMT + 2.440%, 2.815%, 8/01/2033(b) | | | 62,901 | |
| | | | |
61 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Hybrid ARMs — continued | |
$ | 1,349,310 | | | FNMA, 1-year CMT + 2.177%, 2.974%, 12/01/2040(b) | | $ | 1,416,773 | |
| 1,293,309 | | | FNMA, 1-year CMT + 2.173%, 3.019%, 11/01/2033(b) | | | 1,355,997 | |
| 2,635,243 | | | FNMA, 1-year CMT + 2.201%, 3.021%, 10/01/2034(b) | | | 2,768,339 | |
| 236,367 | | | FNMA, 12-month LIBOR + 1.679%, 3.059%, 11/01/2036(b) | | | 247,448 | |
| 1,281,545 | | | FNMA, 12-month LIBOR + 1.586%, 3.067%, 4/01/2037(b) | | | 1,336,513 | |
| 819,982 | | | FNMA, 12-month LIBOR + 1.597%, 3.128%, 7/01/2035(b) | | | 853,543 | |
| 508,293 | | | FNMA, 1-year CMT + 2.160%, 3.180%, 6/01/2036(b) | | | 535,159 | |
| 195,211 | | | FNMA, 1-year CMT + 2.185%, 3.307%, 12/01/2034(b) | | | 195,428 | |
| 281,745 | | | FNMA, 1-year CMT + 2.137%, 3.328%, 9/01/2034(b) | | | 295,668 | |
| 311,171 | | | FNMA, 12-month LIBOR + 2.473%, 3.348%, 6/01/2035(b) | | | 315,231 | |
| 978,275 | | | FNMA, 12-month LIBOR + 1.732%, 3.362%, 9/01/2037(b) | | | 1,030,090 | |
| 679,207 | | | FNMA, 6-month LIBOR + 2.169%, 3.437%, 7/01/2037(b) | | | 720,284 | |
| 255,520 | | | FNMA, 12-month LIBOR + 1.650%, 3.502%, 10/01/2033(b) | | | 266,296 | |
| 388,526 | | | FNMA, 12-month LIBOR + 1.609%, 3.572%, 4/01/2037(b) | | | 393,147 | |
| 232,503 | | | FNMA, 1-year CMT + 2.287%, 3.574%, 10/01/2033(b) | | | 234,120 | |
| 349,703 | | | FNMA, 1-year CMT + 2.213%, 3.594%, 4/01/2034(b) | | | 354,733 | |
| 1,550,919 | | | FNMA, 1-year CMT + 2.224%, 3.639%, 4/01/2034(b) | | | 1,625,498 | |
| 183,540 | | | FNMA, 1-year CMT + 2.500%, 3.681%, 8/01/2036(b) | | | 195,854 | |
| 163,634 | | | FNMA, 1-year CMT + 2.188%, 3.688%, 4/01/2033(b) | | | 164,484 | |
| 149,448 | | | FNMA, 12-month LIBOR + 1.731%, 3.697%, 11/01/2035(b) | | | 156,612 | |
| 1,234,974 | | | FNMA, 12-month LIBOR + 1.800%, 3.740%, 10/01/2041(b) | | | 1,289,157 | |
| 463,327 | | | FNMA, 12-month LIBOR + 1.765%, 3.765%, 2/01/2037(b) | | | 465,916 | |
| 46,319 | | | FNMA, 12-month LIBOR + 1.754%, 3.795%, 1/01/2037(b) | | | 47,021 | |
| 163,166 | | | FNMA, 12-month LIBOR + 1.800%, 3.800%, 3/01/2034(b) | | | 171,786 | |
| 1,072,143 | | | FNMA, 12-month LIBOR + 1.797%, 3.800%, 3/01/2037(b) | | | 1,132,677 | |
| 351,756 | | | FNMA, 12-month LIBOR + 1.800%, 3.800%, 12/01/2041(b) | | | 353,771 | |
| 422,569 | | | FNMA, 1-year CMT + 2.185%, 3.810%, 1/01/2036(b) | | | 439,241 | |
| 1,003,998 | | | FNMA, 12-month LIBOR + 1.820%, 3.820%, 2/01/2047(b) | | | 1,069,449 | |
| 200,400 | | | FNMA, 1-year CMT + 2.501%, 4.191%, 5/01/2035(b) | | | 211,791 | |
| | | | | | | | |
| | | | | | | 39,849,019 | |
| | | | | | | | |
| | | Mortgage Related — 2.6% | |
| 39,774 | | | FHLMC, 3.000%, 10/01/2026 | | | 41,820 | |
| 297,896 | | | FHLMC, 4.000%, with various maturities from 2024 to 2042(f) | | | 324,396 | |
| 126,438 | | | FHLMC, 4.500%, with various maturities from 2025 to 2034(f) | | | 133,490 | |
| 37,375 | | | FHLMC, 5.500%, 10/01/2023 | | | 38,813 | |
| 4,660 | | | FHLMC, COFI + 1.250%, 5.923%, 10/01/2020(b) | | | 4,662 | |
| 11,369 | | | FHLMC, COFI + 1.250%, 5.955%, 11/01/2020(b) | | | 11,362 | |
| 185,155 | | | FHLMC, 6.500%, 12/01/2034 | | | 214,565 | |
| 96 | | | FHLMC, 7.500%, 6/01/2026 | | | 104 | |
| 107,675 | | | FNMA, 3.000%, 3/01/2042 | | | 117,285 | |
| 1,010,937 | | | FNMA, 5.000%, with various maturities from 2037 to 2038(f) | | | 1,161,537 | |
| 423,864 | | | FNMA, 5.500%, with various maturities from 2023 to 2033(f) | | | 467,668 | |
| 244,414 | | | FNMA, 6.000%, with various maturities from 2021 to 2022(f) | | | 252,716 | |
| 157,283 | | | FNMA, 6.500%, with various maturities from 2032 to 2037(f) | | | 177,095 | |
| 52,848 | | | FNMA, 7.500%, with various maturities from 2030 to 2032(f) | | | 58,542 | |
| 2,343,330 | | | GNMA, 1-month LIBOR + 1.741%, 1.878%, 2/20/2061(b) | | | 2,437,572 | |
| 1,836,235 | | | GNMA, 1-month LIBOR + 1.890%, 2.068%, 2/20/2063(b) | | | 1,908,719 | |
| | | | |
| | See accompanying notes to financial statements. | | | 62 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Mortgage Related — continued | |
$ | 2,200,215 | | | GNMA, 1-month LIBOR + 2.158%, 2.339%, 3/20/2063(b) | | $ | 2,281,846 | |
| 748,273 | | | GNMA, 1-month LIBOR + 2.247%, 2.426%, 6/20/2065(b) | | | 805,903 | |
| 747,210 | | | GNMA, 1-month LIBOR + 2.279%, 2.457%, 5/20/2065(b) | | | 804,010 | |
| 1,073,504 | | | GNMA, 1-month LIBOR + 2.353%, 2.533%, 2/20/2063(b) | | | 1,123,460 | |
| 256,549 | | | GNMA, 3.916%, 3/20/2063(a) | | | 259,587 | |
| 185,713 | | | GNMA, 4.005%, 12/20/2062(a) | | | 189,728 | |
| 148,172 | | | GNMA, 4.071%, 2/20/2063(a) | | | 149,861 | |
| 769,072 | | | GNMA, 4.085%, 6/20/2063(a) | | | 789,489 | |
| 236,831 | | | GNMA, 4.111%, 11/20/2062(a) | | | 239,946 | |
| 23,853 | | | GNMA, 4.140%, 12/20/2061(a) | | | 26,173 | |
| 82,287 | | | GNMA, 4.284%, 4/20/2063(a) | | | 87,966 | |
| 13,372 | | | GNMA, 4.326%, 8/20/2061(a) | | | 14,939 | |
| 9,736 | | | GNMA, 4.411%, 8/20/2062(a) | | | 10,373 | |
| 3,253,361 | | | GNMA, 4.475%, 10/20/2065(a) | | | 3,667,269 | |
| 373,702 | | | GNMA, 4.578%, 7/20/2063(a) | | | 411,310 | |
| 1,730,142 | | | GNMA, 4.599%, 2/20/2066(a) | | | 1,910,216 | |
| 2,030,139 | | | GNMA, 4.624%, 3/20/2064(a) | | | 2,209,901 | |
| 25,000 | | | GNMA, 4.630%, with various maturities from 2061 to 2062(a)(f) | | | 25,636 | |
| 305,564 | | | GNMA, 4.637%, 1/20/2064(a) | | | 335,841 | |
| 13,825 | | | GNMA, 4.644%, 2/20/2062(a) | | | 14,498 | |
| 14,317 | | | GNMA, 4.652%, 4/20/2061(a) | | | 14,709 | |
| 1,708,734 | | | GNMA, 4.670%, 11/20/2063(a) | | | 1,871,960 | |
| 1,236,809 | | | GNMA, 4.684%, 5/20/2064(a) | | | 1,350,194 | |
| 64,803 | | | GNMA, 4.700%, with various maturities from 2061 to 2062(a)(f) | | | 68,673 | |
| 12,330 | | | GNMA, 4.720%, 3/20/2061(a) | | | 12,374 | |
| 9,327 | | | GNMA, 6.000%, 12/15/2031 | | | 10,901 | |
| 36,503 | | | GNMA, 6.500%, 5/15/2031 | | | 43,345 | |
| 44,045 | | | GNMA, 7.000%, 10/15/2028 | | | 49,608 | |
| | | | | | | | |
| | | | | | | 26,130,062 | |
| | | | | | | | |
| | | Non-Agency Commercial Mortgage-Backed Securities — 1.6% | |
| 1,595,000 | | | BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 | | | 1,749,338 | |
| 1,310,000 | | | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A | | | 1,271,135 | |
| 1,488,000 | | | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047 | | | 1,624,743 | |
| 4,282,000 | | | Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049 | | | 4,582,111 | |
| 1,270,480 | | | DBUBS Mortgage Trust, Series 2011-LC2A, Class A4, 4.537%, 7/10/2044, 144A | | | 1,285,398 | |
| 2,600,000 | | | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A | | | 2,301,145 | |
| 1,040,000 | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4, 3.134%, 12/15/2048 | | | 1,087,116 | |
| 3,279,464 | | | Starwood Retail Property Trust, Series 2014-STAR, Class A, 1-month LIBOR + 1.470%, 1.622%, 11/15/2027, 144A(b) | | | 2,346,202 | |
| | | | | | | | |
| | | | 16,247,188 | |
| | | | | | | | |
| | | | |
63 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
Principal Amount | | | Description | | Value (†) | |
| | | Treasuries — 31.1% | |
$ | 14,485,000 | | | U.S. Treasury Note, 0.125%, 5/31/2022 | | $ | 14,483,868 | |
| 26,535,000 | | | U.S. Treasury Note, 0.125%, 9/30/2022 | | | 26,533,964 | |
| 18,650,000 | | | U.S. Treasury Note, 0.250%, 6/30/2025 | | | 18,643,443 | |
| 12,500,000 | | | U.S. Treasury Note, 0.250%, 9/30/2025 | | | 12,486,328 | |
| 47,425,000 | | | U.S. Treasury Note, 0.375%, 4/30/2025 | | | 47,704,734 | |
| 4,600,000 | | | U.S. Treasury Note, 0.500%, 3/31/2025 | | | 4,653,367 | |
| 20,945,000 | | | U.S. Treasury Note, 1.250%, 7/31/2023 | | | 21,593,804 | |
| 19,720,000 | | | U.S. Treasury Note, 1.625%, 8/31/2022 | | | 20,284,639 | |
| 8,460,000 | | | U.S. Treasury Note, 1.750%, 6/30/2022 | | | 8,699,590 | |
| 12,480,000 | | | U.S. Treasury Note, 1.750%, 7/15/2022 | | | 12,842,700 | |
| 12,605,000 | | | U.S. Treasury Note, 1.750%, 9/30/2022 | | | 13,012,693 | |
| 1,755,000 | | | U.S. Treasury Note, 1.875%, 4/30/2022 | | | 1,803,400 | |
| 11,470,000 | | | U.S. Treasury Note, 2.000%, 2/15/2025 | | | 12,348,620 | |
| 6,000,000 | | | U.S. Treasury Note, 2.125%, 5/15/2022 | | | 6,194,531 | |
| 6,915,000 | | | U.S. Treasury Note, 2.250%, 1/31/2024 | | | 7,391,757 | |
| 3,340,000 | | | U.S. Treasury Note, 2.250%, 10/31/2024 | | | 3,616,202 | |
| 67,520,000 | | | U.S. Treasury Note, 2.875%, 10/31/2023 | | | 73,137,875 | |
| 9,955,000 | | | U.S. Treasury Note, 2.875%, 7/31/2025 | | | 11,201,708 | |
| | | | | | | | |
| | | | 316,633,223 | |
| | | | | | | | |
| | | | Total Bonds and Notes (Identified Cost $912,317,179) | | | 928,633,064 | |
| | | | | | | | |
| | | | | | | | |
| Short-Term Investments — 6.3% | | | | |
| 11,570,000 | | | Federal Home Loan Bank Discount Notes, 0.020%, 10/07/2020(g) | | | 11,569,884 | |
| 7,210,647 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $7,210,647 on 10/01/2020 collateralized by $7,355,500 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $7,354,926 including accrued interest (Note 2 of Notes to Financial Statements) | | | 7,210,647 | |
| 4,315,000 | | | U.S. Treasury Bills, 0.065%, 10/01/2020(g) | | | 4,315,000 | |
| 6,900,000 | | | U.S. Treasury Bills, 0.070%, 10/08/2020(g) | | | 6,899,914 | |
| 12,015,000 | | | U.S. Treasury Bills, 0.080%, 12/10/2020(g) | | | 12,012,781 | |
| 12,055,000 | | | U.S. Treasury Bills, 0.085%-0.105%, 11/05/2020(g)(h) | | | 12,053,975 | |
| 10,030,000 | | | U.S. Treasury Bills, 0.098%, 10/29/2020(g) | | | 10,029,279 | |
| | | | | | | | |
| | | | Total Short-Term Investments (Identified Cost $64,091,772) | | | 64,091,480 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Investments — 97.5% (Identified Cost $976,408,951) | | | 992,724,544 | |
| | | | Other assets less liabilities — 2.5% | | | 25,771,220 | |
| | | | | | | | |
| | | | Net Assets — 100.0% | | $ | 1,018,495,764 | |
| | | | | | | | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 64 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
| | | | | | | | |
| | | | | | | | |
| (†) | | | See Note 2 of Notes to Financial Statements. | | | | |
| (a) | | | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of September 30, 2020 is disclosed. | |
| (b) | | | Variable rate security. Rate as of September 30, 2020 is disclosed. | | | | |
| (c) | | | Fair valued by the Fund's adviser. At September 30, 2020, the value of these securities amounted to $2,501,798 or 0.2% of net assets. See Note 2 of Notes to Financial Statements. | |
| (d) | | | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |
| (e) | | | Interest only security. Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period. | |
| (f) | | | The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. | |
| (g) | | | Interest rate represents discount rate at time of purchase; not a coupon rate. | | | | |
| (h) | | | The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. | |
| | | | | | | | |
| 144A | | | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, the value of Rule 144A holdings amounted to $38,040,534 or 3.7% of net assets. | |
| ABS | | | Asset-Backed Securities | | | | |
| ARMs | | | Adjustable Rate Mortgages | | | | |
| CMT | | | Constant Maturity Treasury | | | | |
| COFI | | | Cost Of Funds Index | | | | |
| FHLMC | | | Federal Home Loan Mortgage Corp. | | | | |
| FNMA | | | Federal National Mortgage Association | | | | |
| GNMA | | | Government National Mortgage Association | | | | |
| LIBOR | | | London Interbank Offered Rate | | | | |
| MTA | | | Monthly Treasury Average Interest | | | | |
| MTN | | | Medium Term Note | | | | |
| REMIC | | | Real Estate Mortgage Investment Conduit | | | | |
| SOFR | | | Secured Overnight Financing Rate | | | | |
| | | | |
65 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Limited Term Government and Agency Fund – (continued)
Industry Summary at September 30, 2020
| | | | |
Treasuries | | | 31.1 | % |
Agency Commercial Mortgage-Backed Securities | | | 29.1 | |
Collateralized Mortgage Obligations | | | 18.2 | |
Hybrid ARMs | | | 3.9 | |
ABS Car Loan | | | 3.2 | |
Mortgage Related | | | 2.6 | |
Other Investments, less than 2% each | | | 3.1 | |
Short-Term Investments | | | 6.3 | |
| | | | |
Total Investments | | | 97.5 | |
Other assets less liabilities | | | 2.5 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 66 |
Statements of Assets and Liabilities
September 30, 2020
| | | | | | | | | | | | |
| | Credit Income Fund | | | Intermediate Duration Bond Fund | | | Limited Term Government and Agency Fund | |
ASSETS | |
Investments at cost | | $ | 23,797,082 | | | $ | 311,166,119 | | | $ | 976,408,951 | |
Net unrealized appreciation (depreciation) | | | (85,094 | ) | | | 8,029,068 | | | | 16,315,593 | |
| | | | | | | | | | | | |
Investments at value | | | 23,711,988 | | | | 319,195,187 | | | | 992,724,544 | |
Cash | | | 24,894,158 | | | | — | | | | — | |
Due from brokers (Note 2) | | | — | | | | 165,000 | | | | — | |
Receivable for Fund shares sold | | | — | | | | 1,870,525 | | | | 3,399,642 | |
Receivable from investment adviser (Note 6) | | | 18,435 | | | | — | | | | — | |
Receivable for securities sold | | | — | | | | 777,428 | | | | 32,969,877 | |
Dividends and interest receivable | | | 204,468 | | | | 1,283,074 | | | | 2,606,410 | |
Prepaid expenses (Note 8) | | | — | | | | 31 | | | | 101 | |
| | | | | | | | | | | | |
TOTAL ASSETS | | | 48,829,049 | | | | 323,291,245 | | | | 1,031,700,574 | |
| | | | | | | | | | | | |
LIABILITIES | |
Payable for securities purchased | | | 23,891,979 | | | | 5,058,705 | | | | 11,569,961 | |
Payable for Fund shares redeemed | | | — | | | | 423,733 | | | | 599,773 | |
Payable for variation margin on futures contracts (Note 2) | | | — | | | | 8,342 | | | | — | |
Distributions payable | | | — | | | | — | | | | 154,251 | |
Management fees payable (Note 6) | | | — | | | | 55,259 | | | | 268,765 | |
Deferred Trustees’ fees (Note 6) | | | 43 | | | | 135,821 | | | | 401,775 | |
Administrative fees payable (Note 6) | | | 30 | | | | 11,305 | | | | 35,734 | |
Payable to distributor (Note 6d) | | | — | | | | 2,517 | | | | 12,954 | |
Other accounts payable and accrued expenses | | | 18,717 | | | | 81,201 | | | | 161,597 | |
| | | | | | | | | | | | |
TOTAL LIABILITIES | | | 23,910,769 | | | | 5,776,883 | | | | 13,204,810 | |
| | | | | | | | | | | | |
NET ASSETS | | $ | 24,918,280 | | | $ | 317,514,362 | | | $ | 1,018,495,764 | |
| | | | | | | | | | | | |
NET ASSETS CONSIST OF: | |
Paid-in capital | | $ | 25,002,998 | | | $ | 301,049,850 | | | $ | 1,033,300,396 | |
Accumulated earnings (loss) | | | (84,718 | ) | | | 16,464,512 | | | | (14,804,632 | ) |
| | | | | | | | | | | | |
NET ASSETS | | $ | 24,918,280 | | | $ | 317,514,362 | | | $ | 1,018,495,764 | |
| | | | | | | | | | | | |
| | | | |
67 | | | See accompanying notes to financial statements. | | |
Statements of Assets and Liabilities (continued)
September 30, 2020
| | | | | | | | | | | | |
| | Credit Income Fund | | | Intermediate Duration Bond Fund | | | Limited Term Government and Agency Fund | |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | | | | | | | | | | | | |
Class A shares: | |
Net assets | | $ | 997 | | | $ | 19,961,686 | | | $ | 296,216,546 | |
| | | | | | | | | | | | |
Shares of beneficial interest | | | 100 | | | | 1,816,111 | | | | 25,677,422 | |
| | | | | | | | | | | | |
Net asset value and redemption price per share | | $ | 9.97 | | | $ | 10.99 | | | $ | 11.54 | |
| | | | | | | | | | | | |
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | | $ | 10.41 | | | $ | 11.48 | | | $ | 11.81 | |
| | | | | | | | | | | | |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | | | | | | | | | | | | |
Net assets | | $ | 997 | | | $ | 668,120 | | | $ | 19,628,212 | |
| | | | | | | | | | | | |
Shares of beneficial interest | | | 100 | | | | 60,640 | | | | 1,700,515 | |
| | | | | | | | | | | | |
Net asset value and offering price per share | | $ | 9.97 | | | $ | 11.02 | | | $ | 11.54 | |
| | | | | | | | | | | | |
Class N shares: | |
Net assets | | $ | 24,915,289 | | | $ | 3,307,406 | | | $ | 11,035,494 | |
| | | | | | | | | | | | |
Shares of beneficial interest | | | 2,500,000 | | | | 301,234 | | | | 953,928 | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 9.97 | | | $ | 10.98 | | | $ | 11.57 | |
| | | | | | | | | | | | |
Class Y shares: | |
Net assets | | $ | 997 | | | $ | 293,577,150 | | | $ | 691,615,512 | |
| | | | | | | | | | | | |
Shares of beneficial interest | | | 100 | | | | 26,717,982 | | | | 59,761,112 | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 9.97 | | | $ | 10.99 | | | $ | 11.57 | |
| | | | | | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 68 |
Statements of Operations
For the Year Ended September 30, 2020
| | | | | | | | | | | | |
| | Credit Income Fund(a) | | | Intermediate Duration Bond Fund | | | Limited Term Government and Agency Fund | |
INVESTMENT INCOME | | | | | | | | | | | | |
Interest | | $ | 5 | | | $ | 6,439,435 | | | $ | 14,708,731 | |
Dividends | | | 724 | | | | — | | | | — | |
| | | | | | | | | | | | |
| | | 729 | | | | 6,439,435 | | | | 14,708,731 | |
| | | | | | | | | | | | |
Expenses | | | | | | | | | | | | |
Management fees (Note 6) | | | 287 | | | | 666,934 | | | | 3,080,893 | |
Service and distribution fees (Note 6) | | | — | | | | 58,913 | | | | 989,793 | |
Administrative fees (Note 6) | | | 30 | | | | 117,918 | | | | 390,053 | |
Trustees’ fees and expenses (Note 6) | | | 180 | | | | 42,137 | | | | 95,181 | |
Transfer agent fees and expenses (Notes 6 and 7) | | | 12 | | | | 192,428 | | | | 738,991 | |
Audit and tax services fees | | | 18,000 | | | | 51,986 | | | | 56,323 | |
Custodian fees and expenses | | | — | | | | 22,668 | | | | 39,991 | |
Legal fees (Note 8) | | | — | | | | 6,801 | | | | 21,469 | |
Registration fees | | | 100 | | | | 88,735 | | | | 136,052 | |
Shareholder reporting expenses | | | 130 | | | | 19,289 | | | | 57,114 | |
Miscellaneous expenses (Note 8) | | | 338 | | | | 31,634 | | | | 45,581 | |
| | | | | | | | | | | | |
Total expenses | | | 19,077 | | | | 1,299,443 | | | | 5,651,441 | |
Fee/expense recovery (Note 6) | | | — | | | | — | | | | 13,326 | |
Less waiver and/or expense reimbursement (Note 6) | | | (18,722 | ) | | | (175,130 | ) | | | (1,425 | ) |
| | | | | | | | | | | | |
Net expenses | | | 355 | | | | 1,124,313 | | | | 5,663,342 | |
| | | | | | | | | | | | |
Net investment income | | | 374 | | | | 5,315,122 | | | | 9,045,389 | |
| | | | | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS | | | | | | | | | | | | |
Net realized gain on: | | | | | | | | | | | | |
Investments | | | — | | | | 8,040,203 | | | | 9,395,293 | |
Futures contracts | | | — | | | | 897,346 | | | | — | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments | | | (85,094 | ) | | | 4,393,337 | | | | 8,389,983 | |
Futures contracts | | | — | | | | 127,503 | | | | — | |
| | | | | | | | | | | | |
Net realized and unrealized gain (loss) on investments and futures contracts | | | (85,094 | ) | | | 13,458,389 | | | | 17,785,276 | |
| | | | | | | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (84,720 | ) | | $ | 18,773,511 | | | $ | 26,830,665 | |
| | | | | | | | | | | | |
(a) | From commencement of operations on September 29, 2020 through September 30, 2020. |
| | | | |
69 | | | See accompanying notes to financial statements. | | |
Statements of Changes in Net Assets
| | | | | | | | | | | | |
| | Credit Income Fund | | | Intermediate Duration Bond Fund | |
| | Period Ended September 30, 2020(a) | | | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | |
FROM OPERATIONS: | | | | | | | | | | | | |
Net investment income | | $ | 374 | | | $ | 5,315,122 | | | $ | 5,737,366 | |
Net realized gain on investments and futures contracts | | | — | | | | 8,937,549 | | | | 5,241,457 | |
Net change in unrealized appreciation (depreciation) on investments and futures contracts | | | (85,094 | ) | | | 4,520,840 | | | | 6,546,482 | |
| | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | (84,720 | ) | | | 18,773,511 | | | | 17,525,305 | |
| | | | | | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
Class A | | | — | | | | (502,738 | ) | | | (489,457 | ) |
Class C | | | — | | | | (8,696 | ) | | | (4,669 | ) |
Class N | | | — | | | | (94,763 | ) | | | (14,658 | ) |
Class Y | | | — | | | | (6,108,309 | ) | | | (5,477,745 | ) |
| | | | | | | | | | | | |
Total distributions | | | — | | | | (6,714,506 | ) | | | (5,986,529 | ) |
| | | | | | | | | | | | |
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | | | 25,003,000 | | | | 64,275,136 | | | | 62,370,471 | |
| | | | | | | | | | | | |
Net increase in net assets | | | 24,918,280 | | | | 76,334,141 | | | | 73,909,247 | |
NET ASSETS | | | | | | | | | | | | |
Beginning of the year | | | — | | | | 241,180,221 | | | | 167,270,974 | |
| | | | | | | | | | | | |
End of the year | | $ | 24,918,280 | | | $ | 317,514,362 | | | $ | 241,180,221 | |
| | | | | | | | | | | | |
(a) | From commencement of operations on September 29, 2020 through September 30, 2020. |
| | | | |
| | See accompanying notes to financial statements. | | | 70 |
Statements of Changes in Net Assets (continued)
| | | | | | | | |
| | Limited Term Government and Agency Fund | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | |
FROM OPERATIONS: | | | | | | | | |
Net investment income | | $ | 9,045,389 | | | $ | 10,657,761 | |
Net realized gain (loss) on investments | | | 9,395,293 | | | | (805,903 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 8,389,983 | | | | 23,250,762 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 26,830,665 | | | | 33,102,620 | |
| | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Class A | | | (4,298,464 | ) | | | (6,888,790 | ) |
Class C | | | (141,631 | ) | | | (335,648 | ) |
Class N | | | (149,308 | ) | | | (117,078 | ) |
Class Y | | | (8,468,385 | ) | | | (9,249,815 | ) |
| | | | | | | | |
Total distributions | | | (13,057,788 | ) | | | (16,591,331 | ) |
| | | | | | | | |
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | | | 211,874,926 | | | | 54,497,302 | |
| | | | | | | | |
Net increase in net assets | | | 225,647,803 | | | | 71,008,591 | |
NET ASSETS | | | | | | | | |
Beginning of the year | | | 792,847,961 | | | | 721,839,370 | |
| | | | | | | | |
End of the year | | $ | 1,018,495,764 | | | $ | 792,847,961 | |
| | | | | | | | |
| | | | |
71 | | | See accompanying notes to financial statements. | | |
Financial Highlights
For a share outstanding throughout each period.
| | | | |
| | Credit Income Fund—Class A | |
| | Period Ended September 30, 2020* | |
Net asset value, beginning of the period | | $ | 10.00 | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | |
Net investment loss(a) | | | (0.00 | )(b) |
Net realized and unrealized gain (loss) | | | (0.03 | ) |
| | | | |
Total from Investment Operations | | | (0.03 | ) |
| | | | |
Net asset value, end of the period | | $ | 9.97 | |
| | | | |
Total return(c)(d)(e) | | | (0.30 | )% |
RATIOS TO AVERAGE NET ASSETS: | | | | |
Net assets, end of the period (000’s) | | $ | 1 | |
Net expenses(f)(g) | | | 0.82 | % |
Gross expenses(g) | | | 125.79 | % |
Net investment loss(g) | | | (0.82 | )% |
Portfolio turnover rate | | | 0 | % |
* | From commencement of operations on September 29, 2020 through September 30, 2020. |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A sales charge for Class A shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
| | | | |
| | See accompanying notes to financial statements. | | | 72 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | |
| | Credit Income Fund—Class C | |
| | Period Ended September 30, 2020*
| |
Net asset value, beginning of the period | | $ | 10.00 | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | |
Net investment loss(a) | | | (0.00 | )(b) |
Net realized and unrealized gain (loss) | | | (0.03 | ) |
| | | | |
Total from Investment Operations | | | (0.03 | ) |
| | | | |
Net asset value, end of the period | | $ | 9.97 | |
| | | | |
Total return(c)(d)(e) | | | (0.30 | )% |
RATIOS TO AVERAGE NET ASSETS: | | | | |
Net assets, end of the period (000’s) | | $ | 1 | |
Net expenses(f)(g) | | | 1.57 | % |
Gross expenses(g) | | | 126.54 | % |
Net investment loss(g) | | | (1.57 | )% |
Portfolio turnover rate | | | 0 | % |
* | From commencement of operations on September 29, 2020 through September 30, 2020. |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
| | | | |
73 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | |
| | Credit Income Fund—Class N | |
| | Period Ended September 30, 2020*
| |
Net asset value, beginning of the period | | $ | 10.00 | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | |
Net investment income(a) | | | 0.00 | (b) |
Net realized and unrealized gain (loss) | | | (0.03 | ) |
| | | | |
Total from Investment Operations | | | (0.03 | ) |
| | | | |
Net asset value, end of the period | | $ | 9.97 | |
| | | | |
Total return(c)(d) | | | (0.30 | )% |
RATIOS TO AVERAGE NET ASSETS: | | | | |
Net assets, end of the period (000’s) | | $ | 24,915 | |
Net expenses(e)(f) | | | 0.52 | % |
Gross expenses(f) | | | 27.91 | % |
Net investment income(f) | | | 0.55 | % |
Portfolio turnover rate | | | 0 | % |
* | From commencement of operations on September 29, 2020 through September 30, 2020. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
| | | | |
| | See accompanying notes to financial statements. | | | 74 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | |
| | Credit Income Fund—Class Y | |
| | Period Ended September 30, 2020*
| |
Net asset value, beginning of the period | | $ | 10.00 | |
| | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | |
Net investment loss(a) | | | (0.00 | )(b) |
Net realized and unrealized gain (loss) | | | (0.03 | ) |
| | | | |
Total from Investment Operations | | | (0.03 | ) |
| | | | |
Net asset value, end of the period | | $ | 9.97 | |
| | | | |
Total return(c)(d) | | | (0.30 | )% |
RATIOS TO AVERAGE NET ASSETS: | | | | |
Net assets, end of the period (000’s) | | $ | 1 | |
Net expenses(e)(f) | | | 0.57 | % |
Gross expenses(f) | | | 125.54 | % |
Net investment loss(f) | | | (0.57 | )% |
Portfolio turnover rate | | | 0 | % |
* | From commencement of operations on September 29, 2020 through September 30, 2020. |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
| | | | |
75 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Intermediate Duration Bond Fund—Class A* | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Year Ended September 30, 2017 | | | Year Ended September 30, 2016 | |
Net asset value, beginning of the period | | $ | 10.51 | | | $ | 9.97 | | | $ | 10.29 | | | $ | 10.52 | | | $ | 10.39 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.19 | | | | 0.25 | | | | 0.22 | | | | 0.17 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | 0.54 | | | | 0.55 | | | | (0.31 | ) | | | (0.12 | ) | | | 0.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.73 | | | | 0.80 | | | | (0.09 | ) | | | 0.05 | | | | 0.37 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.20 | ) | | | (0.26 | ) | | | (0.23 | ) | | | (0.20 | ) | | | (0.21 | ) |
Net realized capital gains | | | (0.05 | ) | | | — | | | | — | | | | (0.08 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.25 | ) | | | (0.26 | ) | | | (0.23 | ) | | | (0.28 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 10.99 | | | $ | 10.51 | | | $ | 9.97 | | | $ | 10.29 | | | $ | 10.52 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(b)(c) | | | 7.06 | % | | | 8.11 | % | | | (0.85 | )% | | | 0.44 | % | | | 3.64 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 19,962 | | | $ | 21,415 | | | $ | 19,149 | | | $ | 21,828 | | | $ | 19,327 | |
Net expenses(d) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
Gross expenses | | | 0.72 | % | | | 0.72 | % | | | 0.70 | % | | | 0.72 | % | | | 0.72 | % |
Net investment income | | | 1.78 | % | | | 2.42 | % | | | 2.17 | % | | | 1.69 | % | | | 1.89 | % |
Portfolio turnover rate | | | 123 | % | | | 135 | % | | | 152 | % | | | 216 | % | | | 151 | % |
* | Effective August 31, 2016, Retail Class shares were redesignated as Class A shares. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
| | | | |
| | See accompanying notes to financial statements. | | | 76 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Intermediate Duration Bond Fund—Class C | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Period Ended September 30, 2016*
| |
Net asset value, beginning of the period | | $ | 10.54 | | | $ | 10.00 | | | $ | 10.30 | | | $ | 10.53 | | | $ | 10.53 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.11 | | | | 0.17 | | | | 0.13 | | | | 0.10 | | | | 0.01 | |
Net realized and unrealized gain (loss) | | | 0.54 | | | | 0.55 | | | | (0.31 | ) | | | (0.13 | ) | | | 0.00 | (b) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.65 | | | | 0.72 | | | | (0.18 | ) | | | (0.03 | ) | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.12 | ) | | | (0.18 | ) | | | (0.12 | ) | | | (0.12 | ) | | | (0.01 | ) |
Net realized capital gains | | | (0.05 | ) | | | — | | | | — | | | | (0.08 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.17 | ) | | | (0.18 | ) | | | (0.12 | ) | | | (0.20 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 11.02 | | | $ | 10.54 | | | $ | 10.00 | | | $ | 10.30 | | | $ | 10.53 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(c)(d) | | | 6.27 | % | | | 7.28 | % | | | (1.71 | )% | | | (0.29 | )% | | | 0.08 | %(e) |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 668 | | | $ | 467 | | | $ | 2 | | | $ | 3,225 | | | $ | 3,088 | |
Net expenses(f) | | | 1.40 | % | | | 1.40 | % | | | 1.40 | % | | | 1.40 | % | | | 1.40 | %(g) |
Gross expenses | | | 1.46 | % | | | 1.48 | % | | | 1.45 | % | | | 1.48 | % | | | 1.56 | %(g) |
Net investment income | | | 1.00 | % | | | 1.64 | % | | | 1.31 | % | | | 0.95 | % | | | 0.86 | %(g) |
Portfolio turnover rate | | | 123 | % | | | 135 | % | | | 152 | % | | | 216 | % | | | 151 | % |
* | From commencement of Class operations on August 31, 2016 through September 30, 2016. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
| | | | |
77 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | |
| | Intermediate Duration Bond Fund—Class N | |
| | Year Ended September 30, 2020 | | | Period Ended September 30, 2019* | |
Net asset value, beginning of the period | | $ | 10.50 | | | $ | 10.07 | |
| | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | |
Net investment income(a) | | | 0.22 | | | | 0.17 | |
Net realized and unrealized gain (loss) | | | 0.54 | | | | 0.45 | |
| | | | | | | | |
Total from Investment Operations | | | 0.76 | | | | 0.62 | |
| | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | |
Net investment income | | | (0.23 | ) | | | (0.19 | ) |
Net realized capital gains | | | (0.05 | ) | | | — | |
| | | | | | | | |
Total Distributions | | | (0.28 | ) | | | (0.19 | ) |
| | | | | | | | |
Net asset value, end of the period | | $ | 10.98 | | | $ | 10.50 | |
| | | | | | | | |
Total return(b) | | | 7.39 | % | | | 6.19 | %(c) |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 3,307 | | | $ | 3,546 | |
Net expenses(d) | | | 0.35 | % | | | 0.35 | %(e) |
Gross expenses | | | 0.43 | % | | | 0.42 | %(e) |
Net investment income | | | 2.09 | % | | | 2.54 | %(e) |
Portfolio turnover rate | | | 123 | % | | | 135 | %(f) |
* | From commencement of Class operations on February 1, 2019 through September 30, 2019. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Represents the Fund’s portfolio turnover rate for year ended September 30, 2019. |
| | | | |
| | See accompanying notes to financial statements. | | | 78 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Intermediate Duration Bond Fund—Class Y* | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 10.51 | | | $ | 9.97 | | | $ | 10.29 | | | $ | 10.52 | | | $ | 10.39 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.21 | | | | 0.27 | | | | 0.25 | | | | 0.20 | | | | 0.22 | |
Net realized and unrealized gain (loss) | | | 0.54 | | | | 0.55 | | | | (0.31 | ) | | | (0.13 | ) | | | 0.18 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.75 | | | | 0.82 | | | | (0.06 | ) | | | 0.07 | | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.22 | ) | | | (0.28 | ) | | | (0.26 | ) | | | (0.22 | ) | | | (0.24 | ) |
Net realized capital gains | | | (0.05 | ) | | | — | | | | — | | | | (0.08 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.27 | ) | | | (0.28 | ) | | | (0.26 | ) | | | (0.30 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 10.99 | | | $ | 10.51 | | | $ | 9.97 | | | $ | 10.29 | | | $ | 10.52 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(b) | | | 7.33 | % | | | 8.38 | % | | | (0.60 | )% | | | 0.69 | % | | | 3.90 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 293,577 | | | $ | 215,752 | | | $ | 148,119 | | | $ | 154,668 | | | $ | 139,398 | |
Net expenses(c) | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % | | | 0.40 | % |
Gross expenses | | | 0.47 | % | | | 0.48 | % | | | 0.45 | % | | | 0.47 | % | | | 0.47 | % |
Net investment income | | | 2.01 | % | | | 2.67 | % | | | 2.43 | % | | | 1.93 | % | | | 2.11 | % |
Portfolio turnover rate | | | 123 | % | | | 135 | % | | | 152 | % | | | 216 | % | | | 151 | % |
* | Effective August 31, 2016, Institutional Class shares were redesignated as Class Y shares. |
(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. |
| | | | |
79 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Limited Term Government and Agency Fund—Class A | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 11.34 | | | $ | 11.09 | | | $ | 11.32 | | | $ | 11.51 | | | $ | 11.57 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.11 | | | | 0.15 | | | | 0.11 | | | | 0.08 | | | | 0.11 | |
Net realized and unrealized gain (loss) | | | 0.25 | | | | 0.34 | | | | (0.13 | ) | | | (0.09 | ) | | | 0.00 | (b) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.36 | | | | 0.49 | | | | (0.02 | ) | | | (0.01 | ) | | | 0.11 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.16 | ) | | | (0.24 | ) | | | (0.21 | ) | | | (0.18 | ) | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 11.54 | | | $ | 11.34 | | | $ | 11.09 | | | $ | 11.32 | | | $ | 11.51 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(c) | | | 3.19 | % | | | 4.42 | % | | | (0.17 | )% | | | (0.04 | )% | | | 0.93 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 296,217 | | | $ | 308,186 | | | $ | 328,475 | | | $ | 336,227 | | | $ | 442,671 | |
Net expenses | | | 0.78 | %(d) | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.77 | % |
Gross expenses | | | 0.78 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.77 | % |
Net investment income | | | 0.93 | % | | | 1.31 | % | | | 1.02 | % | | | 0.67 | % | | | 0.96 | % |
Portfolio turnover rate | | | 319 | %(e) | | | 527 | %(e) | | | 157 | % | | | 126 | % | | | 109 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A sales charge for Class A shares is not reflected in total return calculations. |
(d) | Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%. |
(e) | The variation in the Fund’s turnover rate from 2018 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
| | | | |
| | See accompanying notes to financial statements. | | | 80 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Limited Term Government and Agency Fund—Class C | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 11.35 | | | $ | 11.10 | | | $ | 11.33 | | | $ | 11.52 | | | $ | 11.58 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(a) | | | 0.02 | | | | 0.06 | | | | 0.03 | | | | (0.01 | ) | | | 0.02 | |
Net realized and unrealized gain (loss) | | | 0.24 | | | | 0.34 | | | | (0.13 | ) | | | (0.08 | ) | | | 0.00 | (b) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.26 | | | | 0.40 | | | | (0.10 | ) | | | (0.09 | ) | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.07 | ) | | | (0.15 | ) | | | (0.13 | ) | | | (0.10 | ) | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 11.54 | | | $ | 11.35 | | | $ | 11.10 | | | $ | 11.33 | | | $ | 11.52 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(c) | | | 2.34 | % | | | 3.64 | % | | | (0.91 | )% | | | (0.79 | )% | | | 0.18 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 19,628 | | | $ | 22,142 | | | $ | 23,341 | | | $ | 43,319 | | | $ | 73,027 | |
Net expenses | | | 1.53 | %(d) | | | 1.55 | % | | | 1.55 | % | | | 1.55 | % | | | 1.52 | % |
Gross expenses | | | 1.53 | % | | | 1.55 | % | | | 1.55 | % | | | 1.55 | % | | | 1.52 | % |
Net investment income (loss) | | | 0.18 | % | | | 0.57 | % | | | 0.24 | % | | | (0.09 | )% | | | 0.21 | % |
Portfolio turnover rate | | | 319 | %(e) | | | 527 | %(e) | | | 157 | % | | | 126 | % | | | 109 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%. |
(e) | The variation in the Fund’s turnover rate from 2018 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
| | | | |
81 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | |
| | Limited Term Government and Agency Fund—Class N | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Period Ended September 30, 2017* | |
Net asset value, beginning of the period | | $ | 11.37 | | | $ | 11.12 | | | $ | 11.36 | | | $ | 11.39 | |
| | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.14 | | | | 0.19 | | | | 0.15 | | | | 0.05 | |
Net realized and unrealized gain (loss) | | | 0.26 | | | | 0.33 | | | | (0.14 | ) | | | 0.08 | (b) |
| | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.40 | | | | 0.52 | | | | 0.01 | | | | 0.13 | |
| | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | |
Net investment income | | | (0.20 | ) | | | (0.27 | ) | | | (0.25 | ) | | | (0.16 | ) |
| | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 11.57 | | | $ | 11.37 | | | $ | 11.12 | | | $ | 11.36 | |
| | | | | | | | | | | | | | | | |
Total return(c) | | | 3.53 | % | | | 4.77 | % | | | 0.09 | % | | | 1.12 | %(d) |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 11,035 | | | $ | 5,272 | | | $ | 3,176 | | | $ | 1,900 | |
Net expenses(e) | | | 0.45 | %(f) | | | 0.46 | % | | | 0.46 | % | | | 0.47 | %(g) |
Gross expenses | | | 0.46 | % | | | 0.48 | % | | | 0.48 | % | | | 0.50 | %(g) |
Net investment income | | | 1.20 | % | | | 1.65 | % | | | 1.37 | % | | | 0.64 | %(g) |
Portfolio turnover rate | | | 319 | %(h) | | | 527 | %(h) | | | 157 | % | | | 126 | %(i) |
* | From commencement of Class operations on February 1, 2017 through September 30, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | The variation in the Fund’s turnover rate from 2018 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
(i) | Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017. |
| | | | |
| | See accompanying notes to financial statements. | | | 82 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Limited Term Government and Agency Fund—Class Y | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 11.38 | | | $ | 11.13 | | | $ | 11.36 | | | $ | 11.55 | | | $ | 11.61 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.13 | | | | 0.17 | | | | 0.14 | | | | 0.11 | | | | 0.14 | |
Net realized and unrealized gain (loss) | | | 0.25 | | | | 0.34 | | | | (0.13 | ) | | | (0.09 | ) | | | 0.00 | (b) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.38 | | | | 0.51 | | | | 0.01 | | | | 0.02 | | | | 0.14 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.19 | ) | | | (0.26 | ) | | | (0.24 | ) | | | (0.21 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 11.57 | | | $ | 11.38 | | | $ | 11.13 | | | $ | 11.36 | | | $ | 11.55 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 3.35 | % | | | 4.67 | % | | | 0.09 | % | | | 0.22 | % | | | 1.19 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 691,616 | | | $ | 457,248 | | | $ | 366,847 | | | $ | 360,322 | | | $ | 411,898 | |
Net expenses | | | 0.53 | %(c) | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.52 | % |
Gross expenses | | | 0.53 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.52 | % |
Net investment income | | | 1.11 | % | | | 1.55 | % | | | 1.26 | % | | | 0.92 | % | | | 1.20 | % |
Portfolio turnover rate | | | 319 | %(d) | | | 527 | %(d) | | | 157 | % | | | 126 | % | | | 109 | % |
(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) | Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%. |
(d) | The variation in the Fund’s turnover rate from 2018 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
| | | | |
83 | | | See accompanying notes to financial statements. | | |
Notes to Financial Statements
September 30, 2020
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 an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Loomis Sayles Funds I:
Loomis Sayles Intermediate Duration Bond Fund (the “Intermediate Duration Bond Fund”)
Loomis Sayles Funds II:
Loomis Sayles Credit Income Fund (the “Credit Income Fund”)
Loomis Sayles Limited Term Government and Agency Fund (the “Limited Term Government and Agency Fund”)
Credit Income Fund commenced operations on September 29, 2020 via contributions to the Fund by Natixis Investment Managers, LLC (“Natixis”) and affiliates of $25,003,000.
Each Fund is a diversified investment company.
Each Fund offers Class A, Class C, Class N and Class Y shares.
Class A shares of Credit Income Fund and Intermediate Duration Bond Fund are sold with a maximum front-end sales charge of 4.25%. Class A shares of Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 2.25%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for 10 years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as
Notes to Financial Statements (continued)
September 30, 2020
the Rule 12b-1 fees applicable to Class A and Class C) and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of 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:
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange
Notes to Financial Statements (continued)
September 30, 2020
or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.
As of September 30, 2020, securities held by the Funds were fair valued as follows:
| | | | | | | | |
Fund | | Securities fair valued by the Fund’s adviser | | | Percentage of Net Assets | |
Intermediate Duration Bond Fund | | $ | 7,685 | | | | Less than 0.1 | % |
Limited Term Government and Agency Fund | | | 2,501,798 | | | | 0.2 | % |
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual
Notes to Financial Statements (continued)
September 30, 2020
basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates.
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. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of
Notes to Financial Statements (continued)
September 30, 2020
the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
e. When-Issued and Delayed Delivery Transactions. The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.
Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.
Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
Notes to Financial Statements (continued)
September 30, 2020
There were no when-issued or delayed delivery securities held by the Funds as of September 30, 2020.
f. 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, 2020 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
g. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as deferred Trustees’ fees, premium amortization, futures contract mark-to-market and paydown gains and losses.
Notes to Financial Statements (continued)
September 30, 2020
Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, dividends payable, paydown gains and losses and futures contract mark-to-market. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
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, 2020 and 2019 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 2020 Distributions Paid From: | | | 2019 Distributions Paid From: | |
Fund | | Ordinary Income | | | Long-Term Capital Gains | | | Total | | | Ordinary Income | | | Long-Term Capital Gains | | | Total | |
Intermediate Duration Bond Fund | | $ | 6,686,899 | | | $ | 27,607 | | | $ | 6,714,506 | | | $ | 5,986,529 | | | $ | — | | | $ | 5,986,529 | |
Limited Term Government and Agency Fund | | | 13,057,788 | | | | — | | | | 13,057,788 | | | | 16,591,331 | | | | — | | | | 16,591,331 | |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
Notes to Financial Statements (continued)
September 30, 2020
As of September 30, 2020, the components of distributable earnings on a tax basis were as follows:
| | | | | | | | | | | | |
| | Credit Income Fund | | | Intermediate Duration Bond Fund | | | Limited Term Government and Agency Fund | |
Undistributed ordinary income | | $ | 377 | | | $ | 7,557,084 | | | $ | 324,433 | |
Undistributed long-term capital gains | | | — | | | | 1,063,542 | | | | — | |
| | | | | | | | | | | | |
Total undistributed earnings | | | 377 | | | | 8,620,626 | | | | 324,433 | |
| | | | | | | | | | | | |
Capital loss carryforward: | | | | | | | | | | | | |
Long-term: | | | | | | | | | | | | |
No expiration date | | | — | | | | — | | | | (30,539,386 | ) |
| | | | | | | | | | | | |
Total capital loss carryforward | | | — | | | | — | | | | (30,539,386 | ) |
| | | | | | | | | | | | |
Unrealized appreciation (depreciation) | | | (85,095 | ) | | | 7,979,707 | | | | 15,966,347 | |
| | | | | | | | | | | | |
Total accumulated earnings (losses) | | $ | (84,718 | ) | | $ | 16,600,333 | | | $ | (14,248,606 | ) |
| | | | | | | | | | | | |
Capital loss carryforward utilized in the current year | | $ | — | | | $ | — | | | $ | 5,297,261 | |
| | | | | | | | | | | | |
As of September 30, 2020, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
| | | | | | | | | | | | |
| | Credit Income Fund | | | Intermediate Duration Bond Fund | | | Limited Term Government and Agency Fund | |
Federal tax cost | | $ | 23,797,083 | | | $ | 311,215,480 | | | $ | 976,758,197 | |
| | | | | | | | | | | | |
Gross tax appreciation | | $ | 17,618 | | | $ | 8,562,102 | | | $ | 19,094,186 | |
Gross tax depreciation | | | (102,713 | ) | | | (582,395 | ) | | | (3,127,839 | ) |
| | | | | | | | | | | | |
Net tax appreciation (depreciation) | | $ | (85,095 | ) | | $ | 7,979,707 | | | $ | 15,966,347 | |
| | | | | | | | | | | | |
h. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of
Notes to Financial Statements (continued)
September 30, 2020
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, 2020, Intermediate Duration Bond Fund and Limited Term Government and Agency Fund 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.
i. Due from Brokers. Transactions and positions in certain futures contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from broker balance in the Statements of Assets and Liabilities for Intermediate Duration Bond Fund represents cash pledged as initial margin for futures contracts. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.
j. Securities Lending. Intermediate Duration Bond Fund and Limited Term Government and Agency Fund have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the year ended September 30, 2020, neither Fund had loaned securities under this agreement.
k. 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.
Notes to Financial Statements (continued)
September 30, 2020
l. New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of the adoption of ASU 2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. Amended disclosures required and permitted for early adoption by ASU 2018-13 have been incorporated in the Funds’ annual financial statements as of September 30, 2020.
In March 2020, the FASB issued Accounting Standard Update 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than December 31, 2021, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
| • | | Level 1 – quoted prices in active markets for identical assets or liabilities; |
Notes to Financial Statements (continued)
September 30, 2020
| • | | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| • | | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2020, at value:
Credit Income Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Bonds and Notes(a) | | $ | — | | | $ | 23,398,602 | | | $ | — | | | $ | 23,398,602 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Banking | | | 126,622 | | | | — | | | | — | | | | 126,622 | |
Food & Beverage | | | — | | | | 186,764 | | | | — | | | | 186,764 | |
| | | | | | | | | | | | | | | | |
Total Preferred Stocks | | | 126,622 | | | | 186,764 | | | | — | | | | 313,386 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 126,622 | | | $ | 23,585,366 | | | $ | — | | | $ | 23,711,988 | |
| | | | | | | | | | | | | | | | |
(a) | Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments. |
Notes to Financial Statements (continued)
September 30, 2020
Intermediate Duration Bond Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Bonds and Notes | | | | | | | | | | | | | | | | |
ABS Home Equity | | $ | — | | | $ | 392,365 | | | $ | 3,643 | (b) | | $ | 396,008 | |
Collateralized Mortgage Obligations | | | — | | | | 6,558,443 | | | | 4,042 | (b) | | | 6,562,485 | |
All Other Bonds and Notes(a) | | | — | | | | 305,351,117 | | | | — | | | | 305,351,117 | |
| | | | | | | | | | | | | | | | |
Total Bonds and Notes | | | — | | | | 312,301,925 | | | | 7,685 | | | | 312,309,610 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments | | | — | | | | 6,885,577 | | | | — | | | | 6,885,577 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | — | | | | 319,187,502 | | | | 7,685 | | | | 319,195,187 | |
| | | | | | | | | | | | | | | | |
Futures Contracts (unrealized appreciation) | | | 27,507 | | | | — | | | | — | | | | 27,507 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 27,507 | | | $ | 319,187,502 | | | $ | 7,685 | | | $ | 319,222,694 | |
| | | | | | | | | | | | | | | | |
| | | | |
Liability Valuation Inputs | | | | | | | | | | | | |
| | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Futures Contracts (unrealized depreciation) | | $ | (14,348 | ) | | $ | — | | | $ | — | | | $ | (14,348 | ) |
| | | | | | | | | | | | | | | | |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Fair valued by the Fund’s adviser. |
Limited Term Government and Agency Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Bonds and Notes | | | | | | | | | | | | | | | | |
Collateralized Mortgage Obligations | | $ | — | | | $ | 182,589,845 | | | $ | 2,501,798 | (b) | | $ | 185,091,643 | |
All Other Bonds and Notes(a) | | | — | | | | 743,541,421 | | | | — | | | | 743,541,421 | |
| | | | | | | | | | | | | | | | |
Total Bonds and Notes | | | — | | | | 926,131,266 | | | | 2,501,798 | | | | 928,633,064 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments | | | — | | | | 64,091,480 | | | | — | | | | 64,091,480 | |
| | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 990,222,746 | | | $ | 2,501,798 | | | $ | 992,724,544 | |
| | | | | | | | | | | | | | | | |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Fair valued by the Fund’s adviser. |
Notes to Financial Statements (continued)
September 30, 2020
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2019 and/or September 30, 2020:
Intermediate Duration Bond Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | Balance as of September 30, 2019 | | | Accrued Discounts (Premiums) | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Purchases | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
ABS Car Loan | | $ | 660,000 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
ABS Home Equity | | | 16,609 | | | | — | | | | (53 | ) | | | 596 | | | | — | |
Collateralized Mortgage Obligations | | | — | | | | — | | | | (223 | ) | | | 352 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 676,609 | | | $ | — | | | $ | (276 | ) | | $ | 948 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investments in Securities | | Sales | | | Transfers into Level 3 | | | Transfers out of Level 3 | | | Balance as of September 30, 2020 | | | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2020 | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
ABS Car Loan | | $ | — | | | $ | — | | | $ | (660,000 | ) | | $ | — | | | $ | — | |
ABS Home Equity | | | (13,509 | ) | | | — | | | | — | | | | 3,643 | | | | — | |
Collateralized Mortgage Obligations | | | (19,582 | ) | | | 23,495 | | | | — | | | | 4,042 | | | | 352 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | (33,091 | ) | | $ | 23,495 | | | $ | (660,000 | ) | | $ | 7,685 | | | $ | 352 | |
| | | | | | | | | | | | | | | | | | | | |
A debt security valued at $660,000 was transferred from Level 3 to Level 2 during the period ended September 30, 2020. At September 30, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At September 30, 2020 this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
Notes to Financial Statements (continued)
September 30, 2020
A debt security valued at $23,495 was transferred from Level 2 to Level 3 during the period ended September 30, 2020. At September 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2020 this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
Limited Term Government and Agency Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | Balance as of September 30, 2019 | | | Accrued Discounts (Premiums) | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Purchases | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
Collateralized Mortgage Obligations | | $ | 1,744,293 | | | $ | — | | | $ | (220,975 | ) | | $ | 233,933 | | | $ | 635,051 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investments in Securities | | Sales | | | Transfers into Level 3 | | | Transfers out of Level 3 | | | Balance as of September 30, 2020 | | | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2020 | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
Collateralized Mortgage Obligations | | $ | (6,090,654 | ) | | $ | 6,200,150 | | | $ | — | | | $ | 2,501,798 | | | $ | 211,625 | |
| | | | | | | | | | | | | | | | | | | | |
Debt securities valued at $6,200,150 were transferred from Level 2 to Level 3 during the period ended September 30, 2020. At September 30, 2019, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2020 these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.
4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Intermediate Duration Bond Fund used during the period include futures contracts.
Notes to Financial Statements (continued)
September 30, 2020
Intermediate Duration Bond Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration in order to control interest rate risk without having to buy or sell portfolio securities. During the year ended September 30, 2020, Intermediate Duration Bond Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for Intermediate Duration Bond Fund as of September 30, 2020, as reflected within the Statements of Assets and Liabilities:
| | | | |
Assets | | Unrealized appreciation on futures contracts | |
Exchange-traded asset derivatives | |
Interest rate contracts | | $ | 27,507 | |
| |
Liabilities | | Unrealized depreciation on futures contracts | |
Exchange-traded liability derivatives | |
Interest rate contracts | | | $(14,348) | |
Transactions in derivative instruments for Intermediate Duration Bond Fund during the year ended September 30, 2020, as reflected within the Statements of Operations, were as follows:
| | | | |
Net Realized Gain (Loss) on: | | Futures contracts | |
Interest rate contracts | | $ | 897,346 | |
| |
Net Change in Unrealized Appreciation (Depreciation) on: | | Futures contracts | |
Interest rate contracts | | $ | 127,503 | |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
Notes to Financial Statements (continued)
September 30, 2020
The volume of futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2020:
| | | | |
Intermediate Duration Bond Fund | | Futures | |
Average Notional Amount Outstanding | | | 8.63 | % |
Highest Notional Amount Outstanding | | | 10.58 | % |
Lowest Notional Amount Outstanding | | | 7.91 | % |
Notional Amount Outstanding as of September 30, 2020 | | | 7.91 | % |
Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.
Unrealized gain and/or loss on open futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund:
| | | | | | | | |
Fund | | Maximum Amount of Loss - Gross | | | Maximum Amount of Loss - Net | |
Intermediate Duration Bond Fund | | $ | 165,000 | | | $ | 165,000 | |
Notes to Financial Statements (continued)
September 30, 2020
5. Purchases and Sales of Securities. For the year ended September 30, 2020, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:
| | | | | | | | | | | | | | | | |
| | U.S. Government/Agency Securities | | | Other Securities | |
Fund | | Purchases | | | Sales | | | Purchases | | | Sales | |
Credit Income Fund | | $ | 861,014 | | | $ | — | | | $ | 22,936,069 | | | $ | — | |
Intermediate Duration Bond Fund | | | 126,439,297 | | | | 115,589,112 | | | | 262,167,673 | | | | 208,106,677 | |
Limited Term Government and Agency Fund | | | 2,396,433,481 | | | | 2,470,976,424 | | | | 398,722,091 | | | | 64,212,759 | |
6. 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, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
| | | | | | | | |
| | Percentage of Average Daily Net Assets | |
Fund | | First $500 million | | | Over $500 million | |
Credit Income Fund | | | 0.4200 | % | | | 0.4200 | % |
Intermediate Duration Bond Fund | | | 0.2500 | % | | | 0.2500 | % |
Limited Term Government and Agency Fund | | | 0.3250 | % | | | 0.3000 | % |
Prior to July 1, 2020, Limited Term Government and Agency Fund paid a management fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:
| | | | | | | | | | | | |
| | Percentage of Average Daily Net Assets | |
Fund | | First $500 million | | | Next $1.5 billion | | | Over $2 billion | |
Limited Term Government and Agency Fund | | | 0.3750 | % | | | 0.3500 | % | | | 0.3000 | % |
Notes to Financial Statements (continued)
September 30, 2020
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, 2022, except for Intermediate Duration Bond Fund, which is in effect until January 31, 2021, 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, 2020 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
| | | | | | | | | | | | | | | | |
| | Expense Limit as a Percentage of Average Daily Net Assets | |
Fund | | Class A | | | Class C | | | Class N | | | Class Y | |
Credit Income Fund | | | 0.82 | % | | | 1.57 | % | | | 0.52 | % | | | 0.57 | % |
Intermediate Duration Bond Fund | | | 0.65 | % | | | 1.40 | % | | | 0.35 | % | | | 0.40 | % |
Limited Term Government and Agency Fund | | | 0.75 | % | | | 1.50 | % | | | 0.45 | % | | | 0.50 | % |
Prior to July 1, 2020, the expense limits as a percentage of average daily net assets under the expense limitation agreement for Limited Term Government and Agency Fund were as follows:
| | | | | | | | | | | | | | | | |
| | Expense Limit as a Percentage of Average Daily Net Assets | |
Fund | | Class A | | | Class C | | | Class N | | | Class Y | |
Limited Term Government and Agency Fund | | | 0.80 | % | | | 1.55 | % | | | 0.50 | % | | | 0.55 | % |
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.
Notes to Financial Statements (continued)
September 30, 2020
For the year ended September 30, 2020, the management fees and waivers of management fees for each Fund were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | Gross Management Fees | | | Contractual Waivers of Management Fees1 | | | Net Management Fees | | | Percentage of Average Daily Net Assets | |
Fund | | Gross | | | Net | |
Credit Income Fund | | $ | 287 | | | $ | 287 | | | $ | — | | | | 0.42 | % | | | — | % |
Intermediate Duration Bond Fund | | | 666,934 | | | | 173,820 | | | | 493,114 | | | | 0.25 | % | | | 0.18 | % |
Limited Term Government and Agency Fund | | | 3,080,893 | | | | — | | | | 3,080,893 | | | | 0.35 | % | | | 0.35 | % |
1 | Waiver/expense reimbursements are subject to possible recovery until September 30, 2021. |
In addition, Loomis Sayles reimbursed non-class specific expenses of Credit Income Fund in the amount of $18,431. Expense reimbursements are subject to possible recovery until September 30, 2021.
For the year ended September 30, 2020, expense reimbursements related to the prior fiscal year were recovered as follows:
| | | | |
Fund | | Recovered Expenses | |
Limited Term Government and Agency Fund | | $ | 13,326 | |
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 Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).
Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Notes to Financial Statements (continued)
September 30, 2020
Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
For the year ended September 30, 2020, the service and distribution fees for each Fund were as follows:
| | | | | | | | | | | | |
| | Service Fees | | | Distribution Fees | |
Fund | | Class A | | | Class C | | | Class C | |
Credit Income Fund | | $ | — | 1 | | $ | — | 1 | | $ | — | 1 |
Intermediate Duration Bond Fund | | | 53,217 | | | | 1,424 | | | | 4,272 | |
Limited Term Government and Agency Fund | | | 770,258 | | | | 54,884 | | | | 164,651 | |
For the year ended September 30, 2020, Natixis Distribution refunded Limited Term Government and Agency Fund $1,420 of prior year Class A service fees paid to Natixis Distribution in excess of amounts subsequently paid to securities dealers or financial intermediaries. Service and distribution fees on the Statements of Operations have been reduced by these amounts.
c. Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.
For the year ended September 30, 2020, the administrative fees for each Fund were as follows:
| | | | |
Fund | | Administrative Fees | |
Credit Income Fund | | $ | 30 | |
Intermediate Duration Bond Fund | | | 117,918 | |
Limited Term Government and Agency Fund | | | 390,053 | |
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide
Notes to Financial Statements (continued)
September 30, 2020
recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the year ended September 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
| | | | |
Fund | | Sub-Transfer Agent Fees | |
Intermediate Duration Bond Fund | | $ | 180,962 | |
Limited Term Government and Agency Fund | | | 450,370 | |
As of September 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
| | | | |
Fund | | Reimbursements of Sub-Transfer Agent Fees | |
Intermediate Duration Bond Fund | | $ | 2,517 | |
Limited Term Government and Agency Fund | | | 12,954 | |
Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended September 30, 2020 were as follows:
| | | | |
Fund | | Commissions | |
Limited Term Government and Agency Fund | | $ | 63,379 | |
f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees
Notes to Financial Statements (continued)
September 30, 2020
receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. 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 of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.
Notes to Financial Statements (continued)
September 30, 2020
g. Affiliated Ownership. As of September 30, 2020, the percentage of each Fund’s net assets owned by affiliates is as follows:
| | | | |
Credit Income Fund | | Percentage of Net Assets | |
Natixis and Affiliates | | | 100 | % |
| | | | |
Intermediate Duration Bond Fund | | Percentage of Net Assets | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | | | 0.84 | % |
| | | | |
Limited Term Government and Agency Fund | | Percentage of Net Assets | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | | | 0.19 | % |
Loomis Sayles Distribution | | | 0.13 | % |
Natixis Sustainable Future 2015 Fund | | | 0.08 | % |
Natixis Sustainable Future 2020 Fund | | | 0.05 | % |
Natixis Sustainable Future 2025 Fund | | | 0.05 | % |
Natixis Sustainable Future 2030 Fund | | | 0.04 | % |
Natixis Sustainable Future 2035 Fund | | | 0.03 | % |
Natixis Sustainable Future 2040 Fund | | | 0.01 | % |
Natixis Sustainable Future 2045 Fund | | | 0.01 | % |
Investment activities of affiliated shareholders could have material impacts on the Funds.
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through January 31, 2021, except for Credit Income Fund, which is in effect until January 31, 2022, and is not subject to recovery under the expense limitation agreement described above.
For the year ended September 30, 2020, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:
| | | | |
| | Reimbursement of Transfer Agency Expenses | |
Fund | | Class N | |
Credit Income Fund | | $ | 4 | |
Intermediate Duration Bond Fund | | | 1,310 | |
Limited Term Government and Agency Fund | | | 1,425 | |
Notes to Financial Statements (continued)
September 30, 2020
i. Payment by Affiliates. For the year ended September 30, 2020, Loomis Sayles reimbursed Limited Term Government and Agency Fund $25,439 in connection with a trading error. This amount is included in realized gains in the Statement of Operations.
7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C, and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
For the year ended September 30, 2020, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):
| | | | | | | | | | | | | | | | |
| | Transfer Agent Fees and Expenses | |
Fund | | Class A | | | Class C | | | Class N | | | Class Y | |
Credit Income Fund | | $ | 3 | | | $ | 3 | | | $ | 4 | | | $ | 2 | |
Intermediate Duration Bond Fund | | | 15,484 | | | | 409 | | | | 1,310 | | | | 175,225 | |
Limited Term Government and Agency Fund | | | 261,787 | | | | 18,560 | | | | 1,425 | | | | 457,219 | |
8. Line of Credit. Intermediate Duration Bond Fund and Limited Term Government and Agency Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. 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, 2020, neither Fund had borrowings under this agreement.
9. Risk. Limited Term Government and Agency Fund’s investments in mortgage-related and asset-backed securities are subject to certain risks not associated with investments in other securities. Mortgage-related and asset-backed securities are subject to the risk that unexpected changes in interest rates will have a direct effect on expected maturity. A shortened maturity may result in the reinvestment of prepaid
Notes to Financial Statements (continued)
September 30, 2020
amounts in securities with lower yields than the original obligations. An extended maturity may result in a reduction of a security’s value.
Global markets have experienced periods of high volatility triggered by the ongoing public health emergency known as coronavirus (“Covid-19”). As the situation continues, the extent and duration of the impact that the Covid-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the Covid-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.
10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 2020, 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:
| | | | | | | | |
| | Number of 5% Account Holders | | | Percentage of Ownership | |
Intermediate Duration Bond Fund | | | 5 | | | | 74.66 | % |
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| | | | | | | | |
| |
| Period Ended September 30, 2020(a) | |
Credit Income Fund | | | Shares | | | | Amount | |
Class A | |
Issued from the sale of shares | | | 100 | | | $ | 1,000 | |
| | | | | | | | |
Net change | | | 100 | | | $ | 1,000 | |
| | | | | | | | |
Class C | |
Issued from the sale of shares | | | 100 | | | $ | 1,000 | |
| | | | | | | | |
Net change | | | 100 | | | $ | 1,000 | |
| | | | | | | | |
Notes to Financial Statements (continued)
September 30, 2020
| | | | | | | | |
| |
| Period Ended September 30, 2020(a) | |
Credit Income Fund | | | Shares | | | | Amount | |
Class N | |
Issued from the sale of shares | | | 2,500,000 | | | $ | 25,000,000 | |
| | | | | | | | |
Net change | | | 2,500,000 | | | $ | 25,000,000 | |
| | | | | | | | |
Class Y | |
Issued from the sale of shares | | | 100 | | | $ | 1,000 | |
| | | | | | | | |
Net change | | | 100 | | | $ | 1,000 | |
| | | | | | | | |
Increase from capital share transactions | | | 2,500,300 | | | $ | 25,003,000 | |
| | | | | | | | |
(a) | From commencement of operations on September 29, 2020 through September 30, 2020. |
11. Capital Shares (continued).
| | | | | | | | | | | | | | | | |
| |
| Year Ended September 30, 2020 | | |
| Year Ended September 30, 2019(a) | |
Intermediate Duration Bond Fund | | | Shares | | | | Amount | | | | Shares | | | | Amount | |
Class A | |
Issued from the sale of shares | | | 324,729 | | | $ | 3,474,978 | | | | 398,531 | | | $ | 4,099,679 | |
Issued in connection with the reinvestment of distributions | | | 46,350 | | | | 490,629 | | | | 47,051 | | | | 480,510 | |
Redeemed | | | (592,250 | ) | | | (6,368,788 | ) | | | (328,671 | ) | | | (3,334,024 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (221,171 | ) | | $ | (2,403,181 | ) | | | 116,911 | | | $ | 1,246,165 | |
| | | | | | | | | | | | | | | | |
Class C | |
Issued from the sale of shares | | | 19,815 | | | $ | 211,443 | | | | 43,629 | | | $ | 442,533 | |
Issued in connection with the reinvestment of distributions | | | 773 | | | | 8,198 | | | | 435 | | | | 4,496 | |
Redeemed | | | (4,252 | ) | | | (45,689 | ) | | | (3 | ) | | | (26 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 16,336 | | | $ | 173,952 | | | | 44,061 | | | $ | 447,003 | |
| | | | | | | | | | | | | | | | |
Class N | |
Issued from the sale of shares | | | 8,686 | | | $ | 92,320 | | | | 336,294 | | | $ | 3,517,593 | |
Issued in connection with the reinvestment of distributions | | | 8,959 | | | | 94,763 | | | | 1,393 | | | | 14,658 | |
Redeemed | | | (54,098 | ) | | | (585,173 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net change | | | (36,453 | ) | | $ | (398,090 | ) | | | 337,687 | | | $ | 3,532,251 | |
| | | | | | | | | | | | | | | | |
Class Y | |
Issued from the sale of shares | | | 12,426,531 | | | $ | 132,862,309 | | | | 10,382,829 | | | $ | 104,956,223 | |
Issued in connection with the reinvestment of distributions | | | 557,209 | | | | 5,914,095 | | | | 500,421 | | | | 5,110,711 | |
Redeemed | | | (6,797,325 | ) | | | (71,873,949 | ) | | | (5,211,508 | ) | | | (52,921,882 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 6,186,415 | | | $ | 66,902,455 | | | | 5,671,742 | | | $ | 57,145,052 | |
| | | | | | | | | | | | | | | | |
Increase from capital share transactions | | | 5,945,127 | | | $ | 64,275,136 | | | | 6,170,401 | | | $ | 62,370,471 | |
| | | | | | | | | | | | | | | | |
(a) | From commencement of operations on February 1, 2019 through September 30, 2019 for Class N shares. |
Notes to Financial Statements (continued)
September 30, 2020
11. Capital Shares (continued).
| | | | | | | | | | | | | | | | |
| |
| Year Ended September 30, 2020 | | |
| Year Ended September 30, 2019 | |
Limited Term Government and Agency Fund | | | Shares | | | | Amount | | | | Shares | | | | Amount | |
Class A | |
Issued from the sale of shares | | | 8,119,093 | | | $ | 93,051,564 | | | | 6,604,468 | | | $ | 73,758,793 | |
Issued in connection with the reinvestment of distributions | | | 294,326 | | | | 3,364,566 | | | | 468,020 | | | | 5,253,188 | |
Redeemed | | | (9,910,542 | ) | | | (113,643,142 | ) | | | (9,509,963 | ) | | | (106,560,526 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (1,497,123 | ) | | $ | (17,227,012 | ) | | | (2,437,475 | ) | | $ | (27,548,545 | ) |
| | | | | | | | | | | | | | | | |
Class C | |
Issued from the sale of shares | | | 1,390,000 | | | $ | 15,896,924 | | | | 1,272,362 | | | $ | 14,195,722 | |
Issued in connection with the reinvestment of distributions | | | 8,812 | | | | 100,557 | | | | 21,420 | | | | 240,567 | |
Redeemed | | | (1,649,132 | ) | | | (18,865,977 | ) | | | (1,445,466 | ) | | | (16,189,983 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (250,320 | ) | | $ | (2,868,496 | ) | | | (151,684 | ) | | $ | (1,753,694 | ) |
| | | | | | | | | | | | | | | | |
Class N | |
Issued from the sale of shares | | | 719,991 | | | $ | 8,232,916 | | | | 351,754 | | | $ | 3,935,676 | |
Issued in connection with the reinvestment of distributions | | | 12,962 | | | | 148,889 | | | | 10,232 | | | | 115,280 | |
Redeemed | | | (242,561 | ) | | | (2,793,313 | ) | | | (183,979 | ) | | | (2,066,729 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 490,392 | | | $ | 5,588,492 | | | | 178,007 | | | $ | 1,984,227 | |
| | | | | | | | | | | | | | | | |
Class Y | |
Issued from the sale of shares | | | 54,197,489 | | | $ | 624,437,973 | | | | 26,296,159 | | | $ | 295,778,178 | |
Issued in connection with the reinvestment of distributions | | | 574,408 | | | | 6,596,941 | | | | 623,009 | | | | 7,019,684 | |
Redeemed | | | (35,196,219 | ) | | | (404,652,972 | ) | | | (19,697,925 | ) | | | (220,982,548 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 19,575,678 | | | $ | 226,381,942 | | | | 7,221,243 | | | $ | 81,815,314 | |
| | | | | | | | | | | | | | | | |
Increase from capital share transactions | | | 18,318,627 | | | $ | 211,874,926 | | | | 4,810,091 | | | $ | 54,497,302 | |
| | | | | | | | | | | | | | | | |
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 Intermediate Duration Bond Fund, Loomis Sayles Credit Income Fund and Loomis Sayles Limited Term Government and Agency Fund:
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles Intermediate Duration Bond Fund (one of the funds constituting Loomis Sayles Funds I), Loomis Sayles Credit Income Fund and Loomis Sayles Limited Term Government and Agency Fund (two of the funds constituting Loomis Sayles Funds II) (hereafter collectively referred to as the “Funds”) as of September 30, 2020, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2020, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
| | | | |
Fund Name | | Statements of operation | | Statements of changes in net assets |
Loomis Sayles Intermediate Duration Bond Fund | | For the year ended September 30, 2020 | | For the years ended September 30, 2020 and 2019 |
Loomis Sayles Credit Income Fund | | For the period from September 29, 2020 (commencement of operations) to September 30, 2020 | | For the period from September 29, 2020 (commencement of operations) to September 30, 2020 |
Loomis Sayles Limited Term Government and Agency Fund | | For the year ended September 30, 2020 | | For the years ended September 30, 2020 and 2019 |
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.
Report of Independent Registered Public
Accounting Firm
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, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
November 20, 2020
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.
2020 U.S. Tax Distribution Information to
Shareholders (Unaudited)
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Fund paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2020, unless subsequently determined to be different.
| | | | |
Fund | | Amount | |
Intermediate Duration Bond Fund | | $ | 27,607 | |
Qualified Dividend Income. For the fiscal year ended September 30, 2020, 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 2020, complete information will be reported in conjunction with Form 1099-DIV.
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 Natixis Funds at 800-225-5478.
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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 |
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Kenneth A. Drucker (1945) | | Chairperson of the Board of Trustees since January 2017 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee | | Retired | | 54 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) |
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Edmond J. English (1953) | | Trustee since 2013 Chairperson of Governance Committee and Audit Committee Member | | Executive Chairman of Bob’s Discount Furniture (retail) | | 54 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) |
Trustee and Officer Information
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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 |
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Richard A. Goglia (1951) | | Trustee since 2015 Contract Review Committee Member and Governance Committee Member | | Retired; | | 54 Director of Triumph Group (aerospace industry) | | Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) |
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Wendell J. Knox (1948) | | Trustee since 2009 Chairperson of Contract Review Committee | | Retired | | 54 Director of Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank) | | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, Qualifications, Attributes, Skills for Board Membership |
|
INDEPENDENT TRUSTEES continued |
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Martin T. Meehan (1956) | | Trustee since 2012 Audit Committee Member | | President, University of Massachusetts | | 54 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 |
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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) | | 54 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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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) | | 54 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) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, Qualifications, Attributes, Skills for Board Membership |
|
INDEPENDENT TRUSTEES continued |
| | | | |
Erik R. Sirri (1958) | | Trustee since 2009 Audit Committee Member | | Professor of Finance at Babson College | | 54 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 |
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Peter J. Smail (1952) | | Trustee since 2009 Audit Committee Member and Governance Committee Member | | Retired | | 54 None | | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, Qualifications, Attributes, Skills for Board Membership |
|
INDEPENDENT TRUSTEES continued |
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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) | | 54 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) |
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Cynthia L. Walker (1956) | | Trustee since 2005 Chairperson of the Audit Committee and Governance Committee Member | | Deputy Dean for Finance and Administration, Yale University School of Medicine | | 54 None | | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
Trustee and Officer Information
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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 |
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INTERESTED TRUSTEES |
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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. | | 54 None | | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
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David L. Giunta4 (1965) | | Trustee since 2011 President and Chief Executive Officer 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 | | 54 None | | Significant experience on the Board; experience as President and Chief Executive Officer of 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 Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation. |
Trustee and Officer Information
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Name and Year of Birth | | Position(s) Held with the Trusts | | Term of Office1 and Length of Time Served | | Principal Occupation(s) During Past 5 Years2 |
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OFFICERS OF THE TRUSTS |
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Daniel J. Fuss (1933)
One Financial Center
Boston, MA 02111 | | Executive Vice President of Loomis Sayles Funds I and Loomis Sayles Funds II | | Since 2003 | | Vice Chairman and Director, Loomis, Sayles & Company, L.P. |
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Russell L. Kane (1969) | | Secretary, Clerk and Chief Legal Officer Chief Compliance Officer and Anti-Money Laundering Officer | | Since 2016 Since 2020 | | Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P. |
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Michael C. Kardok (1959) | | Treasurer, Principal Financial and Accounting Officer | | Since 2004 | | Senior Vice President, Natixis Advisors, L.P. and Natixis Distribution, L.P. |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, 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. |
Annual Report
September 30, 2020
Loomis Sayles Growth Fund
Loomis Sayles Strategic Income Fund
Table of Contents
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.
LOOMIS SAYLES GROWTH FUND
| | | | |
| |
Manager | | Symbols |
| | |
Aziz V. Hamzaogullari, CFA® | | Class A | | LGRRX |
| | |
Loomis, Sayles & Company, L.P. | | Class C | | LGRCX |
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| | Class N | | LGRNX |
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| | Class Y | | LSGRX |
Investment Goal
The Fund seeks long-term growth of capital.
Market Conditions
The emergence of Covid-19 led to elevated volatility across global equity markets during the past 12 months. Equities posted gains in aggregate despite these headwinds, however returns were quite divergent beneath the surface.
After performing very well from October until mid-February, equity markets plunged once the coronavirus began to spread throughout the United States and Europe. Resulting uncertainty regarding the trajectory of economic growth and corporate earnings fueled largely indiscriminate selling across the global equity markets in early spring. The downturn abated in late summer as lockdown restrictions were lifted and consumer confidence began to rise. The Federal Reserve swiftly cut the fed funds rate to the zero lower bound and announced a variety of facilities to support fixed income market liquidity. Additionally, the US Congress passed a $2 trillion-plus stimulus bill to counter the effects of slower growth and unemployment. These actions fostered confidence that current and ongoing monetary and fiscal support would help the economy return to growth. Optimism regarding the approval of a Covid-19 vaccine touched off an impressive advance that lasted through late August.
The rally allowed most major equity indices to close the period in positive territory, but returns among sectors were highly disparate. Gains were primarily driven by strength in mega-cap US technology stocks, leading to a wide performance advantage for the growth style over value, and for large-cap over small-cap. In addition, US equities exceeded the returns of both the developed and emerging market indices. At a time of elevated uncertainty surrounding the economic outlook, investors appeared to gravitate toward companies seen as having the most reliable earnings and growth prospects.
Performance Results
For the 12 months ended September 30, 2020, Class Y shares of Loomis Sayles Growth Fund returned 33.15% at net asset value. The Fund underperformed its benchmark, the Russell 1000® Growth Index, which returned 37.53%.
Explanation of Fund Performance
We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality
1 |
businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. Given the rare confluence of quality, growth, and valuation, we may study dozens of companies but may only invest in a select few businesses each year. We believe identifying those few businesses with these characteristics is an art, not a science. As a result of this rigorous approach, ours is a selective, high-conviction portfolio of typically 30-40 names.
The Fund’s positions in Coca-Cola, Danone, and Schlumberger detracted the most from performance. Stock selection in the information technology, consumer discretionary, energy, consumer staples and financials sectors, along with our allocations in the energy, healthcare, information technology (IT) and consumer discretionary sectors, detracted from relative performance.
The Coca-Cola Company is the world’s leading owner and marketer of non-alcoholic beverage brands and employs an unrivaled global beverage distribution network. Coke has been sold in the US since 1886, and today the company sells its products in more than 200 countries and generates 75% of revenue from products that are top ranked in their category in the countries in which they are sold. A Fund holding since 2010, we believe Coca-Cola’s strong and sustainable competitive advantages include its iconic global brands, difficult-to-replicate global infrastructure and beverage distribution network, and unmatched scale. With emerging markets accounting for over 60% of the company’s sales by volume, we believed Coca-Cola was well positioned to benefit from long-term secular growth in emerging market spending on non-alcoholic ready-to-drink beverages, driven by both urbanization and growth in disposable income. We believed the sustainability of the company’s cash flow growth drivers and the positive impact of the refranchising of its owned bottling operations had been underappreciated by the market. In late January, the company reported strong financial results which surpassed management’s full-year guidance that had already been raised during the year, and the company recorded its 10th consecutive quarter of mid-single-digit organic revenue growth. We believe these results demonstrated the company’s renewed focus on innovation and brand building following the nearly completed refranchising of its bottling operations, as well as the strength of the company’s brands, marketing, scale, and distribution in the markets it serves. The refranchising culminated a decade-long effort to restructure the company’s largest bottling partners to meet best-in-class operational standards and position them for sustainable long-term growth under the management of capable franchisees. That effort was largely completed in 2017 and has been reflected in the company’s improved execution and returns. While management expected its strong organic growth to continue, the current level of growth exceeded our long-term forecasts for the company. We exited our position in March to reallocate capital to more attractive reward-to-risk opportunities, including our new positions in Illumina, Salesforce.com, and Workday. Due to the timing of the sale in the March downturn, the company is among the biggest detractors for the period. However, over the Fund’s almost 10-year holding period, the company was a top-25 contributor to overall strategy performance.
Danone is a multinational packaged goods company, and one of the few to have truly transformed its offering to primarily health and nutrition products. The company is a
LOOMIS SAYLES GROWTH FUND
global or regional leader in its three primary product segments: essential dairy & plant-based, which accounts for approximately 55% of sales; specialized nutrition, approximately 30% of sales; and waters, approximately 15% of sales. Its products are available in over 120 countries. With a difficult-to-replicate global manufacturing and distribution system, especially in emerging markets where it generates almost 50% of its revenues, we believed Danone was positioned to benefit from the secular shift to healthy and nutritious food around the world and increasing urbanization in developing markets. We have owned Danone in the Fund since 2010, and the company was a modest positive contributor to absolute returns over our holding period. In the company’s largest market, European fresh dairy, where Danone is the clear leader in yogurt, the company has undergone a multi-year recovery to stabilize its business after losing the ability to use scientific health claims in the marketing of certain products. While the company successfully returned to organic growth in that market, recently posting three consecutive quarters of positive sales growth, in both our initial analysis and through the recovery period we underappreciated the erosion of brand equity and pricing power that the company would experience in this segment. As a result, both the European fresh dairy market and Danone’s relative market share underperformed our original expectations. With consistent review of the fundamentals of the business and our investment thesis, it became clear that our original base case investment thesis, as well as our updated investment thesis for a stronger recovery of business fundamentals following the company’s acquisition of WhiteWave, was becoming a less likely outcome, which led us to count this holding among our mistakes. We first began to trim the position in December 2019 and further reduced the position in the first quarter of 2020 when the company was a relative outperformer during the downturn. We sold our remaining stake of approximately 40 basis points in early April to reallocate capital to more attractive reward-to-risk opportunities, which included our recent purchases of Boeing, Illumina, Intuitive Surgical, Salesforce.com and Workday.
Schlumberger is the world’s leading supplier of technology, equipment, integrated project management, and information solutions to the oil and gas exploration and production (E&P) industry. Only a few companies can compete with the scope of Schlumberger’s integrated suite of products and services, and even fewer can compete with its technology and execution capability. A Fund holding since 2010, Schlumberger reported financial results that were generally in line with to slightly better than consensus expectations, but deteriorated due to the oil price environment. Following record oil price declines in the first quarter due to Covid-19-related demand weakness in China and a price war between OPEC and Russia, demand and prices fell further in the second quarter as a result of the global lockdown, leading to a record 30% decline in demand during April and May and futures prices that turned negative on fears of inadequate storage. In the short term, oilfield services company revenues are tied directly to the capital spending of E&P companies, which is tied to expectations for energy prices and hence projected revenues. As a result, global service activity in 2020 is now expected to decline by over 20% year over year. Given the ongoing uncertainty and lack of visibility into near-term results, Schlumberger has taken steps to increase liquidity, including cutting its dividend, raising cash by issuing debt, reducing executive pay, furloughing employees, closing facilities, and cutting headcount. While we expect near-term results to remain under pressure until market supply and
demand normalizes, the company continues to generate positive free cash flow, and we believe Schlumberger’s products remain a necessary part of the solution for profitably extracting energy resources, even in times of substantial commodity price compression. As a result, its business is typically less cyclical than the broader industry. For instance, over a two-year period which began in 2014 and saw industry spending fall by over 50%, Schlumberger gained share and maintained leading margins, while several competitors posted losses or very thin margins. Schlumberger was one of the few companies to generate positive free cash flow during the downturn, and continued to invest to strengthen its ability to offer integrated solutions to clients. Secular growth in the long-term global demand for oil, arising primarily from the need to replace naturally depleting reserves, is driving the need to extract hydrocarbons from harsher environments that are increasingly difficult to reach or extract from. Because oilfield services companies are key to making difficult-to-reach resources more accessible, we believe that services like those Schlumberger provides will become an increasingly larger portion of the overall cost of extracting energy resources and that Schlumberger will disproportionately benefit from this shift. We believe that Schlumberger will continue to execute well and that the company is positioned to weather the current environment and capitalize on growth in oilfield services as market supply and demand normalizes. The company’s growing leadership in digital solutions should also create further differentiation versus peers. We believe shares of Schlumberger are selling at a significant discount to our estimate of intrinsic value, and offer a compelling reward-to-risk opportunity.
The Fund’s positions in Amazon, Nvidia, and Alibaba contributed the most to performance. Stock selection in the industrials and healthcare sectors, along with our allocations in the industrials and consumer discretionary sectors, contributed positively to relative performance.
Online retailer Amazon offers millions of products – sold by Amazon or by third parties — with the value proposition to consumers of selection, price, and convenience. Amazon’s enterprise IT business, Amazon Web Services (AWS), offers a suite of secure, on-demand cloud-computing services, with a value proposition to clients of speed, agility, and savings. In both of its core markets, we believe Amazon possesses strong and sustainable competitive advantages that would be difficult for competitors to replicate. A long-term Fund holding, Amazon reported strong fundamentals, as shown by continued market share gains. With gross merchandise volume (GMV) growing, by our estimates, above growth in the teens for US e-commerce and low single-digit growth in global retail sales, the company continued to take market share. AWS also posted strong revenue growth that was many multiples higher than our estimate of single-digit growth in overall enterprise IT spending. Revenue growth during the year exceeded consensus expectations and accelerated following the company’s 2019 rollout of one-day Prime shipping, and again following the outbreak of Covid-19 on a surge in demand for categories such as consumer staples and health and personal care that later broadened to include hardline and softline categories. In order to manage the increase in demand while protecting the safety of employees and customers, Amazon incurred almost $5 billion of Covid-19-related costs, while also investing rapidly in new fulfillment capacity. Reiterating Amazon’s long-standing practice
LOOMIS SAYLES GROWTH FUND
of investing aggressively to better position the company for the long term, CEO Jeff Bezos recently stated that he believes the measures taken to get essential products to customers while continuing to ensure the safety and well-being of its hundreds of thousands of employees represents the best long-term investment the company could make. We believe Amazon is one of the best-positioned companies in e-commerce and enterprise IT — each addressing large, underpenetrated markets. The secular shift in consumer preference from traditional brick-and-mortar retail to online retail and e-commerce spending is the primary growth driver for Amazon, but both markets benefit from secular growth that is still in its early stages. We believe the current share price shows a lack of appreciation for Amazon’s significant long-term growth opportunities and the sustainability of its business model. As a result, we believe the company is selling at a significant discount to our estimate of intrinsic value and offers a compelling reward-to-risk opportunity.
Nvidia Corporation is the world leader in visual computing, which enables computers to produce and utilize highly realistic 3D graphic imagery and models. Nvidia created the first graphics processing unit (GPU), a dedicated semiconductor that performs graphics rendering that is superior to a computer’s standard central processing unit (CPU). The parallel processing capability of Nvidia’s GPUs can also accelerate computing functions performed by standard CPUs by greater than ten times. As a result, GPU technology has broad application in computing fields unrelated to graphics. Nvidia is the market leader in GPUs where it forms a duopoly with competitor Advanced Micro Devices. We believe the company’s competitive advantages include its intellectual property and expertise, brands, and a large and growing ecosystem of developers, device manufacturers, and applications based on GPU technology. The company is focused on building out its GPU-computing-based ecosystem and is enabling breakthroughs in new fields such as AI, autonomous driving, and virtual reality, while continuing to lead its legacy gaming market. A Fund holding since the first quarter of 2019, Nvidia reported better-than-expected financial results, driven by recovery in its gaming business and rising demand in its data center business. The gaming industry has recovered strongly and inventories have returned to more normal levels following a period of industry weakness as gaming card inventory had become temporarily inflated due to declining demand from cryptocurrency miners. The company is also benefiting from the rollout over the past few quarters of Turing, its newest GPU architecture, which is becoming the industry norm for the latest blockbuster titles. Data center revenue also rebounded after a period of softness with quarterly data center revenue exceeding $1 billion for the first time in each of the past two quarters. Nvidia reported that it continues to see strong traction for its T4 Turing-based chip that allows it to compete more effectively in the inferencing market that is currently dominated by Intel. The company also launched its latest architecture, Ampere, which for the first time enables clients to address both training and inferencing through a single architecture, with performance that surpasses that of their already leading T4 inferencing and V100 training products. As a result, Nvidia’s clients will have unprecedented flexibility in that they will no longer be constrained by their initial choice of architecture as they build out their data centers. Over our investment horizon, we believe Nvidia can sustain high-teens revenue growth. As the business shifts increasingly towards its more profitable data center business and pricing in the gaming business continues to rise, we believe operating profits will grow
faster than revenues. With low capital intensity and high cash flow returns on invested capital, we believe the company can generate strong double-digit growth in free cash flow. We believe Nvidia’s strong free cash flow growth prospects are not currently reflected in its share price. As a result, we believe the company’s shares trade at a significant discount to our estimate of intrinsic value and offer a compelling long-term reward-to-risk opportunity.
A Fund holding since its initial public offering in the third quarter of 2014, China e-commerce and consumer-engagement platform provider Alibaba reported fundamentally strong results during the period that were above consensus expectations and reflected continued market share gains. Revenue growth in the mid-30% range was well above our estimates for China consumer spending, China e-commerce sales, and China IT spending, indicating the company continues to grow its leading market share. Operating margins were roughly flat year over year, despite management’s significant ongoing reinvestment in the business. Areas of focus for strategic reinvestment include improving user experience, local services through recently acquired delivery company Ele.me, “new retail,” logistics, globalization, cloud services, digital media, and greater operating efficiency. Alibaba’s strong free cash flow generation and balance sheet strength enable it to reinvest substantially, and we believe these investments are consistent with the company’s long-term strategy to strengthen and extend its competitive positioning across commerce, advertising, and cloud computing, while expanding its addressable market both internationally and through its “new retail” initiative. Further, while many of these strategic initiatives are currently loss generating, we believe they will become profitable over time and contribute to greater earnings and free cash flow growth. With GMV (gross merchandise volume) that exceeded $1 trillion across the Alibaba digital economy, which includes its commerce, local services, and digital media and entertainment offerings, and 726 million active annual consumers on its China commerce retail sites in its latest fiscal year, Alibaba is the world’s largest retail platform. The long-term structural expansion of internet users and online shopping are drivers of secular growth for Alibaba in China, where because of a lack of traditional retail infrastructure e-commerce is expanding consumption rather than simply replacing offline spending. Alibaba continues to execute well on its business model, allowing it to expand its already dominant market position and to invest to strengthen its competitive advantages. We believe the current market price embeds expectations for key revenue and cash flow growth drivers that are well below our long-term assumptions. As a result, we believe the company’s shares trade at a significant discount to our estimate of intrinsic value and offer a compelling long-term reward-to-risk opportunity.
All aspects of our quality-growth-valuation investment thesis must be present simultaneously for us to make an investment. Often our research is completed well in advance of the opportunity to invest. We are patient investors and maintain coverage of high-quality businesses in order to take advantage of meaningful price dislocations if and when they occur. During the period we initiated new positions in Boeing, Disney, Illumina, Intuitive Surgical, Salesforce.com, and Workday. We added to our existing holdings in Deere, Novartis, Roche, and Schlumberger. We trimmed our existing positions
LOOMIS SAYLES GROWTH FUND
in Novo Nordisk, Qualcomm, Regeneron Pharmaceuticals, Varian Medical Systems, and Yum China. We also trimmed our position in Amazon as it approached our maximum allowable position size. We sold our positions in Alcon, American Express, Amgen, Coca-Cola, Danone, Merck, and Procter & Gamble. We sold Alcon, Amgen, Coca-Cola, and Procter & Gamble on the basis of risk-reward to fund more attractive reward-to-risk opportunities. We sold American Express and Merck as they approached our estimate of intrinsic value. We sold Danone due to a mistaken investment thesis.
Outlook
Our investment process is characterized by bottom-up, fundamental research and a long-term investment time horizon. The nature of the process leads to a lower-turnover portfolio in which sector positioning is the result of stock selection. The Fund ended the year with overweight positions in the industrials, communication services, consumer discretionary, financials, health care, energy, and consumer staples sectors and an underweight position in the information technology sector. We did not own positions in the real estate or materials sectors.
Hypothetical Growth of $100,000 Investment in Class Y Shares3
September 30, 2010 through September 30, 2020
See notes to chart on page 9
Top Ten Holdings as of September 30, 2020
| | | | | | |
Security Name | | % of Assets | |
1 | | Amazon.com, Inc. | | | 7.43 | % |
2 | | Alibaba Group Holding Ltd., Sponsored ADR | | | 6.60 | |
3 | | Facebook, Inc., Class A | | | 6.12 | |
4 | | Visa, Inc., Class A | | | 5.92 | |
5 | | NVIDIA Corp. | | | 5.57 | |
6 | | salesforce.com, Inc. | | | 4.91 | |
7 | | Microsoft Corp. | | | 4.43 | |
8 | | Autodesk, Inc. | | | 4.40 | |
9 | | Oracle Corp. | | | 3.95 | |
10 | | Deere & Co. | | | 3.59 | |
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.
LOOMIS SAYLES GROWTH FUND
Average Annual Total Returns — September 30, 20203
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Expense Ratios4 | |
| | 1 Year | | | 5 Years | | | 10 Years | | | Life of Class N | | | Gross | | | Net | |
| | | | | | |
Class Y (Inception 5/16/91) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 33.15 | % | | | 19.15 | % | | | 16.89 | % | | | — | % | | | 0.66 | % | | | 0.66 | % |
| | | | | | |
Class A (Inception 12/31/96) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 32.80 | | | | 18.87 | | | | 16.60 | | | | — | | | | 0.91 | | | | 0.91 | |
With 5.75% Maximum Sales Charge | | | 25.14 | | | | 17.47 | | | | 15.92 | | | | — | | | | | | | | | |
| | | | | | |
Class C (Inception 9/12/03) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 31.76 | | | | 17.97 | | | | 15.75 | | | | — | | | | 1.66 | | | | 1.66 | |
With CDSC1 | | | 30.76 | | | | 17.97 | | | | 15.75 | | | | — | | | | | | | | | |
| | | | | | |
Class N (Inception 2/1/13) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 33.26 | | | | 19.27 | | | | — | | | | 17.21 | | | | 0.56 | | | | 0.56 | |
| | | | | | |
Comparative Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Russell 1000® Growth Index2 | | | 37.53 | | | | 20.10 | | | | 17.25 | | | | 17.81 | | | | | | | | | |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Growth Index companies with higher price-to-book ratios and higher forecasted growth values. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. 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. |
LOOMIS SAYLES STRATEGIC INCOME FUND
| | | | |
| | |
Managers | | Symbols | | |
| | |
Matthew J. Eagan, CFA® | | Class A | | NEFZX |
| | |
Daniel J. Fuss, CFA®, CIC | | Class C | | NECZX |
| | |
Brian P. Kennedy | | Class N | | NEZNX |
| | |
Elaine M. Stokes | | Class Y | | NEZYX |
| | |
Loomis, Sayles & Company, L.P. | | Admin Class | | NEZAX |
Investment Goal
The Fund seeks high current income with a secondary objective of capital growth.
Market Conditions
The financial markets experienced significant volatility in the past year, as investors grappled with the uncertainty surrounding Covid-19. The bulk of the market disruptions occurred in February and March, when world governments first aimed to contain the virus by locking down broad swaths of their economies. Higher-risk assets were hit hard in the ensuing selloff, while demand for lower-risk investments surged. The US Federal Reserve (Fed) sought to counter the extraordinary developments by cutting the fed funds rate to zero and reinstituting quantitative easing through the purchases of Treasuries and mortgage-backed securities. It revived lending facilities last used in 2008, such as the TALF (Term Asset-Backed Securities Loan Facility), which is a funding backdrop for the asset-backed securities market. It even established facilities never used before, such as the Corporate Credit Facilities which allowed the Fed to purchase corporate bond assets for the first time in its history. In conjunction with a $2.2 trillion stimulus package passed by the US Congress, the Fed’s response fueled an impressive recovery in higher-risk assets from late March onward.
The uncertain environment worked to the benefit of US Treasuries due to their status as a relative “safe haven.” Longer duration bonds delivered particularly robust gains. The yield on the 10-year note fell to an all-time low in March and remained close to that level thereafter on expectations that the Fed would pursue its low-rate policy indefinitely. (Prices and yields move in opposite directions.)
Investment grade corporates were notable beneficiaries of rising risk appetite and investors’ demand for high-quality alternatives to low-yielding government debt. Despite their downturn in the February-March selloff, corporates outperformed the broader fixed income market for the full 12-month period.
High yield corporate bonds also delivered positive returns. The category was supported by hopes for an economic recovery, reduced investor risk aversion and accommodative fiscal and monetary policy. However, high yield issues trailed investment grade securities. Lower-quality debt was generally harder hit in the downturn due to lower market liquidity and the effect of falling oil prices, which weighed on the asset class’s return for the full period.
LOOMIS SAYLES STRATEGIC INCOME FUND
Securitized assets — including mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities — lagged Treasuries and investment grade corporates, but they nonetheless posted a solid total return thanks to their rally in the second half of the period.
Emerging market bonds also gained ground despite the slowdown in global growth. The asset class was boosted by the combination of investors’ thirst for yield and the pronounced weakness in the US dollar from April through August.
Performance Results
For the 12 months ended September 30, 2020, Class Y shares of the Loomis Sayles Strategic Income Fund returned -1.14% at net asset value. The Fund underperformed its primary benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 6.98%.
Explanation of Fund Performance
The past year has been defined by the widespread impact of the Covid-19 global pandemic. After an extremely turbulent first quarter of 2020, markets snapped back amidst unprecedented central bank actions, lifting of lockdowns and promising news of a potential vaccine. The majority of the Fund’s underperformance was generated in the first quarter of the year. Performance has since improved as markets rebounded, though not enough to offset the earlier experienced losses. Security selection was the primary source of underperformance. Additionally, the Fund’s shorter-than-benchmark positioning with respect to duration (and corresponding interest rate sensitivity) weighed on return as interest rates declined during the period. Exposure to high yield corporate credit had the largest negative impact on relative performance, driven by holdings in the energy sector. An allocation to equities, particularly communications issues, detracted from returns. An allocation to non-US-dollar-denominated issues weighed on return, with holdings in the Mexican peso, Canadian dollar and Brazilian real as the main detractors. Additionally, an underweight to US Treasuries and holdings in defensive, reserve-like positions constrained performance.
The Fund’s longer-than-benchmark duration positioning within securitized assets aided relative performance during the year.
Outlook
At this time of writing, which is the end of September 2020, economic and financial market conditions have continued to show encouraging signs of improvement, though the outlook remains uncertain. The Federal Reserve has provided forward guidance that helps ensure monetary policy can remain accommodative for the foreseeable future, which appears to be boosting business and consumer confidence and keeping investor risk appetite strong going into the final quarter of the year. We also believe it is still possible for a limited agreement to be reached that extends the fiscal stimulus package and provides further support to the economy, though ongoing debate by lawmakers on the size and scale of the package has been causing increased anxiety among investors as we get closer to the US election. We continue to assess the immediate and longer-term impacts of the pandemic on the economy, but currently expect a slow and uneven pace of recovery.
The global economy has been showing signs of improvement, with stronger levels of manufacturing and services purchasing manager data in the third quarter of 2020. This trend could continue should our forecasts be accurate for profit growth, gains in employment and a better managed second wave of the virus. We do believe that the economy can normalize with a successful distribution of a vaccine early next year, though a full recovery in GDP growth is not expected in the near term.
We increased our credit exposure during the dislocation in the credit markets earlier this year. We have maintained our allocation to credit with the view that we have entered the credit repair phase of the credit cycle, exiting from the downturn/recessionary phase. This phase of the cycle is typically characterized by balance sheet improvement, better liquidity conditions and tightening spread levels. We believe this phase could potentially provide attractive returns for fixed income investors.
Valuations in the corporate bond sectors have been less compelling following the strong credit rally that has unfolded since the end of March. However, we believe the low global interest rate environment will likely continue to drive the search for yield and help provide a positive technical backdrop for both investment grade and high yield corporate debt. Also, we have been active and selective in new issues throughout the year, and will continue to look for opportunities in the primary market. The effects of the pandemic have created a need for many companies, across industries, to access capital for liquidity purposes and to potentially refinance debt, a credit positive. New issues generally come at a premium (higher yield than the existing debt of the issuer) to attract investors. Harvesting this new issue “premium” can potentially be an attractive and persistent source of excess return. Recently, there have been modest signs of slowing issuance, given market concerns and some risk aversion. New issuance can provide added liquidity and the ability to extend maturities. However, it can also increase the overall debt level of an issuer. While economic conditions have been improving, the recovery has been uneven and varies by sector. We are still monitoring the potential for fallen angels with expectations for more to possibly occur in specific areas, including consumer cyclical, lodging & leisure, retailers and restaurants. We think default rate risk and fallen angel activity will likely be more moderate than what was experienced in the spring of this year, and there is opportunity to add value in the credit sectors with good security selection.
As we approach the end of 2020, we believe our portfolios are well-positioned to generate excess return potential. We have remained focused on areas where investors are mispricing risk while following our disciplined, value-oriented approach to portfolio construction, a process rooted in fundamental credit analysis and a long-term view of the market.
During periods in which the US dollar appreciates relative to foreign currencies, Funds that hold non-US-dollar-denominated bonds may realize currency losses in connection with the maturity or sale of certain bonds. These realized losses will impact some or all of a Fund’s ordinary income distributions (to the extent that losses are not offset by realized currency gains within the Fund’s fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a Fund has available to distribute, even though these bonds continue to generate coupon income.
LOOMIS SAYLES STRATEGIC INCOME FUND
Fund officers have analyzed the Fund’s current portfolio of investments, realized currency gains and losses, schedule of maturities, and the corresponding amounts of unrealized currency losses that may become realized during the current fiscal year. This analysis is performed regularly to determine how realized currency losses may impact periodic ordinary income distributions for the Fund. Based on the most recent quarterly analysis (as of September 30, 2020), Fund officers believe that realized currency losses will have an impact on some of the distributions in the 2021 fiscal year. This analysis is based on certain assumptions including, but not limited to, the level of foreign currency exchange rates, security prices, interest rates, the Fund advisers’ ability to manage realized currency losses, and the net asset level of the Fund. Changes to these assumptions could materially impact the analysis and the amounts of future fund distributions. Fund officers will continue to monitor these amounts on a regular basis and take the necessary actions required to manage the Fund’s distributions to address realized currency losses while seeking to avoid a return of capital distribution.
Hypothetical Growth of $100,000 Investment in Class Y Shares4
September 30, 2010 through September 30, 2020
Average Annual Total Returns — September 30, 20204
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Expense Ratios5 | |
| | 1 Year | | | 5 Years | | | 10 Years | | | Life of Class N | | | Gross | | | Net | |
| | | | | | |
Class Y (Inception 12/1/99) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | -1.14 | % | | | 3.93 | % | | | 4.78 | % | | | — | % | | | 0.71 | % | | | 0.71 | % |
| | | | | | |
Class A (Inception 5/1/95) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | -1.39 | | | | 3.68 | | | | 4.52 | | | �� | — | | | | 0.96 | | | | 0.96 | |
With 4.25% Maximum Sales Charge | | | -5.56 | | | | 2.78 | | | | 4.06 | | | | — | | | | | | | | | |
| | | | | | |
Class C (Inception 5/1/95) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | -2.18 | | | | 2.89 | | | | 3.73 | | | | — | | | | 1.71 | | | | 1.71 | |
With CDSC1 | | | -3.14 | | | | 2.89 | | | | 3.73 | | | | — | | | | | | | | | |
| | | | | | |
Class N (Inception 2/1/13) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | -1.06 | | | | 4.03 | | | | — | | | | 3.47 | | | | 0.63 | | | | 0.63 | |
| | | | | | |
Admin Class (Inception 2/1/10) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | -1.64 | | | | 3.42 | | | | 4.26 | | | | — | | | | 1.20 | | | | 1.20 | |
| | | | | | |
Comparative Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Bloomberg Barclays U.S. Aggregate Bond Index2 | | | 6.98 | | | | 4.18 | | | | 3.64 | | | | 3.46 | | | | | | | | | |
Bloomberg Barclays U.S. Universal Bond Index3 | | | 6.68 | | | | 4.49 | | | | 3.92 | | | | 3.65 | | | | | | | | | |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Class C share performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
2 | The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
3 | The Bloomberg Barclays U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/22. 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. |
ADDITIONAL INFORMATION
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The Natixis Funds file 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’ 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.
15 |
UNDERSTANDING YOUR FUND’S EXPENSES
As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions; and ongoing costs, including management fees, distribution fees (12b-1 fees) and/or service fees, and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2020 through September 30, 2020. 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 for each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund 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.
| 16
| | | | | | | | | | | | |
LOOMIS SAYLES GROWTH FUND | | BEGINNING ACCOUNT VALUE 4/1/2020 | | | ENDING ACCOUNT VALUE 9/30/2020 | | | EXPENSES PAID DURING PERIOD* 4/1/2020 – 9/30/2020 | |
Class A | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,368.60 | | | | $5.33 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,020.50 | | | | $4.55 | |
Class C | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,363.00 | | | | $9.75 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,016.75 | | | | $8.32 | |
Class N | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,370.70 | | | | $3.32 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,022.20 | | | | $2.83 | |
Class Y | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,369.80 | | | | $3.85 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,021.75 | | | | $3.29 | |
* | Expenses are equal to the Fund’s annualized expense ratio: 0.90%, 1.65%, 0.56% and 0.65% 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 366 (to reflect the half-year period). |
17 |
| | | | | | | | | | | | |
LOOMIS SAYLES STRATEGIC INCOME FUND | | BEGINNING ACCOUNT VALUE 4/1/2020 | | | ENDING ACCOUNT VALUE 9/30/2020 | | | EXPENSES PAID DURING PERIOD* 4/1/2020 – 9/30/2020 | |
Class A | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,095.00 | | | | $5.13 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,020.10 | | | | $4.95 | |
Class C | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,090.90 | | | | $9.04 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,016.35 | | | | $8.72 | |
Class N | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,097.80 | | | | $3.36 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,021.80 | | | | $3.23 | |
Class Y | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,096.50 | | | | $3.83 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,021.35 | | | | $3.69 | |
Admin Class | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,093.90 | | | | $6.44 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,018.85 | | | | $6.21 | |
* | Expenses are equal to the Fund’s annualized expense ratio: 0.98%, 1.73%, 0.64%, 0.73% and 1.23% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period). |
| 18
BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS
The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. 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) the Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other
representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings. These updates have increased in frequency during the Covid-19 crisis.
The Board most recently approved the continuation of the Agreements for a one year period at its meeting held in June 2020. 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. They also took into consideration increases in the services provided resulting from new regulatory requirements.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
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, 2019, each Fund’s one-, three- and five-year performance stated as percentile rankings within categories selected by the independent
third-party data provider was as follows (where the best performance would be in the first percentile of its category):
| | | | | | | | | | | | |
| | One-Year | | | Three-Year | | | Five-Year | |
Loomis Sayles Growth Fund | | | 60 | % | | | 43 | % | | | 16 | % |
Loomis Sayles Strategic Income Fund | | | 46 | % | | | 56 | % | | | 92 | % |
In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance had shown improvement relative to its category; (3) that the Fund’s long-term performance was strong; and (4) that the Fund’s shorter-term performance has been competitive relative to its category. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the Covid-19 crisis.
The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had 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 material terms under their expense cap agreement. The Trustees also considered that the current expenses for each Fund were below their caps. The Trustees further noted that management had proposed to reduce the expense cap of Loomis Sayles Strategic Income Fund.
The Trustees noted that Loomis Sayles Strategic Income Fund had an advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rate, including (1) that the advisory fee rate was only one basis point above the peer group median and (2) that management had proposed to reduce the expense cap of the Fund.
The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense 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 Loomis Sayles Strategic Income Fund had breakpoints in its advisory fee and that each of the Funds was subject to an expense cap. The Trustees considered management’s proposal to reduce the expense cap for Loomis Sayles Strategic Income Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the 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, including but not limited to the Covid-19 crisis, 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, 2021.
LIQUIDITY RISK MANAGEMENT PROGRAM
Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through September 30, 2020)
Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.
The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator which is the adviser of the Fund.
In accordance with the Program, each of the Funds’ portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Loomis Sayles Strategic Income Fund has established an HLIM.
During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations during the period.
During the period January 1, 2020 through September 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.
Annual Program Assessment and Conclusion
In the opinion of the Program Administrator the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator has also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Program is operating effectively.
Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Growth Fund
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| Common Stocks — 99.0% of Net Assets | |
| | | Aerospace & Defense — 2.8% | |
| 1,978,347 | | | Boeing Co. (The) | | $ | 326,941,625 | |
| | | | | | | | |
| | | Air Freight & Logistics — 2.5% | |
| 3,158,810 | | | Expeditors International of Washington, Inc. | | | 285,935,481 | |
| | | | | | | | |
| | | Beverages — 3.5% | |
| 4,991,241 | | | Monster Beverage Corp.(a) | | | 400,297,528 | |
| | | | | | | | |
| | | Biotechnology — 3.3% | |
| 682,110 | | | Regeneron Pharmaceuticals, Inc.(a) | | | 381,831,536 | |
| | | | | | | | |
| | | Capital Markets — 3.1% | |
| 579,765 | | | FactSet Research Systems, Inc. | | | 194,151,703 | |
| 3,269,058 | | | SEI Investments Co. | | | 165,806,622 | |
| | | | | | | | |
| | | | | | | 359,958,325 | |
| | | | | | | | |
| | | Communications Equipment — 1.7% | |
| 4,811,722 | | | Cisco Systems, Inc. | | | 189,533,730 | |
| | | | | | | | |
| | | Energy Equipment & Services — 0.6% | |
| 4,096,310 | | | Schlumberger NV | | | 63,738,584 | |
| | | | | | | | |
| | | Entertainment — 1.9% | |
| 1,741,943 | | | Walt Disney Co. (The) | | | 216,140,287 | |
| | | | | | | | |
| | | Health Care Equipment & Supplies — 2.1% | |
| 211,782 | | | Intuitive Surgical, Inc.(a) | | | 150,267,800 | |
| 545,102 | | | Varian Medical Systems, Inc.(a) | | | 93,757,544 | |
| | | | | | | | |
| | | | | | | 244,025,344 | |
| | | | | | | | |
| | | Health Care Technology — 1.8% | |
| 2,845,241 | | | Cerner Corp. | | | 205,682,472 | |
| | | | | | | | |
| | | Hotels, Restaurants & Leisure — 4.0% | |
| 2,397,255 | | | Starbucks Corp. | | | 205,972,150 | |
| 2,192,226 | | | Yum China Holdings, Inc. | | | 116,078,367 | |
| 1,541,555 | | | Yum! Brands, Inc. | | | 140,743,971 | |
| | | | | | | | |
| | | | | | | 462,794,488 | |
| | | | | | | | |
| | | Household Products — 1.5% | |
| 2,280,638 | | | Colgate-Palmolive Co. | | | 175,951,222 | |
| | | | | | | | |
| | | Interactive Media & Services — 11.1% | |
| 196,777 | | | Alphabet, Inc., Class A(a) | | | 288,396,371 | |
| 196,505 | | | Alphabet, Inc., Class C(a) | | | 288,783,748 | |
| 2,688,707 | | | Facebook, Inc., Class A(a) | | | 704,172,363 | |
| | | | | | | | |
| | | | | | | 1,281,352,482 | |
| | | | | | | | |
| | | Internet & Direct Marketing Retail — 14.0% | |
| 2,581,862 | | | Alibaba Group Holding Ltd., Sponsored ADR(a) | | | 759,015,791 | |
| 271,247 | | | Amazon.com, Inc.(a) | | | 854,083,566 | |
| | | | | | | | |
| | | | | | | 1,613,099,357 | |
| | | | | | | | |
| | | IT Services — 6.6% | |
| 541,870 | | | Automatic Data Processing, Inc. | | | 75,585,446 | |
| | | | |
25 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Growth Fund – (continued)
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| | | IT Services — continued | |
| 3,405,338 | | | Visa, Inc., Class A | | $ | 680,965,440 | |
| | | | | | | | |
| | | | | | | 756,550,886 | |
| | | | | | | | |
| | | Life Sciences Tools & Services — 2.0% | |
| 750,787 | | | Illumina, Inc.(a) | | | 232,053,246 | |
| | | | | | | | |
| | | Machinery — 3.6% | |
| 1,862,684 | | | Deere & Co. | | | 412,826,655 | |
| | | | | | | | |
| | | Pharmaceuticals — 5.7% | |
| 2,332,591 | | | Novartis AG, Sponsored ADR | | | 202,842,113 | |
| 1,600,701 | | | Novo Nordisk A/S, Sponsored ADR | | | 111,136,671 | |
| 7,939,769 | | | Roche Holding AG, Sponsored ADR | | | 339,901,511 | |
| | | | | | | | |
| | | | | | | 653,880,295 | |
| | | | | | | | |
| | | Semiconductors & Semiconductor Equipment — 8.0% | |
| 1,182,971 | | | NVIDIA Corp. | | | 640,247,565 | |
| 2,373,174 | | | QUALCOMM, Inc. | | | 279,275,116 | |
| | | | | | | | |
| | | | | | | 919,522,681 | |
| | | | | | | | |
| | | Software — 19.2% | |
| 2,190,495 | | | Autodesk, Inc.(a) | | | 506,026,250 | |
| 2,419,767 | | | Microsoft Corp. | | | 508,949,593 | |
| 7,607,324 | | | Oracle Corp. | | | 454,157,243 | |
| 2,247,596 | | | salesforce.com, Inc.(a) | | | 564,865,827 | |
| 802,971 | | | Workday, Inc., Class A(a) | | | 172,743,151 | |
| | | | | | | | |
| | | | | | | 2,206,742,064 | |
| | | | | | | | |
| | | | Total Common Stocks (Identified Cost $6,486,587,023) | | | 11,388,858,288 | |
| | | | | | | | |
| | | | | | | | |
Principal Amount | | | | | | |
| Short-Term Investments — 1.0% | |
$ | 107,491,517 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $107,491,517 on 10/01/2020 collateralized by $109,650,000 U.S. Treasury Note, 0.2500% due 9/30/2025 valued at $109,641,447 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $107,491,517) | | | 107,491,517 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Investments — 100.0% (Identified Cost $6,594,078,540) | | | 11,496,349,805 | |
| | | | Other assets less liabilities — 0.0% | | | 3,674,996 | |
| | | | | | | | |
| | | | Net Assets — 100.0% | | $ | 11,500,024,801 | |
| | | | | | | | |
| | | | | | | | |
| (†) | | | 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 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Growth Fund – (continued)
Industry Summary at September 30, 2020
| | | | |
Software | | | 19.2 | % |
Internet & Direct Marketing Retail | | | 14.0 | |
Interactive Media & Services | | | 11.1 | |
Semiconductors & Semiconductor Equipment | | | 8.0 | |
IT Services | | | 6.6 | |
Pharmaceuticals | | | 5.7 | |
Hotels, Restaurants & Leisure | | | 4.0 | |
Machinery | | | 3.6 | |
Beverages | | | 3.5 | |
Biotechnology | | | 3.3 | |
Capital Markets | | | 3.1 | |
Aerospace & Defense | | | 2.8 | |
Air Freight & Logistics | | | 2.5 | |
Health Care Equipment & Supplies | | | 2.1 | |
Life Sciences Tools & Services | | | 2.0 | |
Other Investments, less than 2% each | | | 7.5 | |
Short-Term Investments | | | 1.0 | |
| | | | |
Total Investments | | | 100.0 | |
Other assets less liabilities | | | 0.0 | * |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
| | | | |
27 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| Bonds and Notes — 83.9% of Net Assets | |
| Non-Convertible Bonds — 77.2% | |
| | | ABS Other — 0.2% | |
$ | 23,214,946 | | | GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(a)(b)(c)(d) | | $ | 7,819,722 | |
| 10,440,551 | | | GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(a)(b)(c)(d) | | | 1,195,130 | |
| 42,000,000 | | | GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(a)(b)(c)(d)(e) | | | — | |
| 6,078,088 | | | Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(a)(b)(f) | | | 5,214,453 | |
| | | | | | | | |
| | | | | | | 14,229,305 | |
| | | | | | | | |
| | | Aerospace & Defense — 2.0% | |
| 90,000 | | | Boeing Co. (The), 3.100%, 5/01/2026 | | | 89,779 | |
| 380,000 | | | Boeing Co. (The), 3.250%, 2/01/2035 | | | 357,188 | |
| 2,505,000 | | | Boeing Co. (The), 3.550%, 3/01/2038 | | | 2,281,902 | |
| 15,000 | | | Boeing Co. (The), 3.625%, 3/01/2048 | | | 13,182 | |
| 1,385,000 | | | Boeing Co. (The), 3.750%, 2/01/2050 | | | 1,263,826 | |
| 415,000 | | | Boeing Co. (The), 3.850%, 11/01/2048 | | | 380,277 | |
| 3,930,000 | | | Boeing Co. (The), 3.950%, 8/01/2059 | | | 3,557,684 | |
| 620,000 | | | Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD) | | | 342,545 | |
| 10,225,000 | | | Bombardier, Inc., 7.450%, 5/01/2034, 144A | | | 7,543,698 | |
| 6,765,000 | | | Bombardier, Inc., 7.875%, 4/15/2027, 144A | | | 5,130,847 | |
| 3,145,000 | | | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | | | 2,986,178 | |
| 9,576,000 | | | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | | | 10,886,571 | |
| 8,815,000 | | | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A | | | 10,946,555 | |
| 5,310,000 | | | Textron Financial Corp., 3-month LIBOR + 1.735%, 2.015%, 2/15/2067, 144A(g) | | | 3,691,831 | |
| 6,485,000 | | | TransDigm, Inc., 5.500%, 11/15/2027 | | | 6,232,409 | |
| 24,513,000 | | | TransDigm, Inc., 6.500%, 7/15/2024 | | | 24,451,717 | |
| 17,765,000 | | | TransDigm, Inc., 6.500%, 5/15/2025 | | | 17,709,484 | |
| 370,000 | | | TransDigm, Inc., 7.500%, 3/15/2027 | | | 384,175 | |
| 19,475,000 | | | TransDigm, Inc., 8.000%, 12/15/2025, 144A | | | 21,179,063 | |
| | | | | | | | |
| | | | | | | 119,428,911 | |
| | | | | | | | |
| | | Airlines — 1.3% | |
| 17,495,000 | | | Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A | | | 17,940,948 | |
| 240,000 | | | American Airlines Group, Inc., 3.750%, 3/01/2025, 144A | | | 121,687 | |
| 20,000,000 | | | American Airlines Group, Inc., 5.000%, 6/01/2022, 144A | | | 13,600,000 | |
| 7,953,217 | | | American Airlines Pass Through Certificates, Series 2013-1, Class A, 4.000%, 1/15/2027 | | | 6,295,449 | |
| 1,597,035 | | | American Airlines Pass Through Certificates, Series 2016-3, Class B, 3.750%, 4/15/2027 | | | 1,107,719 | |
| 931,816 | | | American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027 | | | 592,796 | |
| 12,800,000 | | | American Airlines, Inc., 11.750%, 7/15/2025, 144A | | | 12,352,000 | |
| | | | |
| | See accompanying notes to financial statements. | | | 28 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Airlines — continued | |
$ | 193,163 | | | Continental Airlines Pass Through Certificates, Series 2001-1, Class A-1, 6.703%, 12/15/2022 | | $ | 185,090 | |
| 1,344,677 | | | Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022 | | | 1,306,556 | |
| 26,975,000 | | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | | | 28,087,719 | |
| 129,953 | | | Northwest Airlines Pass Through Trust, Series 2002-1, Class G2, (MBIA Insured), 6.264%, 5/20/2023 | | | 127,605 | |
| | | | | | | | |
| | | | | | | 81,717,569 | |
| | | | | | | | |
| | | Automotive — 2.8% | |
| 1,210,000 | | | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A | | | 1,244,788 | |
| 46,535,000 | | | Ford Motor Co., 4.750%, 1/15/2043 | | | 42,133,952 | |
| 10,745,000 | | | Ford Motor Co., 5.291%, 12/08/2046 | | | 10,080,153 | |
| 1,220,000 | | | Ford Motor Co., 6.625%, 2/15/2028 | | | 1,281,451 | |
| 1,345,000 | | | Ford Motor Co., 7.500%, 8/01/2026 | | | 1,464,544 | |
| 1,500,000 | | | Ford Motor Credit Co. LLC, 5.113%, 5/03/2029 | | | 1,537,500 | |
| 5,000,000 | | | Ford Motor Credit Co. LLC, 5.125%, 6/16/2025 | | | 5,156,250 | |
| 18,565,000 | | | Ford Motor Credit Co. LLC, 5.596%, 1/07/2022 | | | 18,982,712 | |
| 2,845,000 | | | General Motors Co., 5.200%, 4/01/2045 | | | 3,064,534 | |
| 2,120,000 | | | General Motors Co., 6.250%, 10/02/2043 | | | 2,512,335 | |
| 62,220,000 | | | General Motors Financial Co., Inc., 3.600%, 6/21/2030 | | | 64,435,482 | |
| 11,130,000 | | | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027 | | | 10,545,675 | |
| 1,585,000 | | | Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026 | | | 1,540,018 | |
| 4,977,000 | | | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | | | 5,164,882 | |
| | | | | | | | |
| | | | | | | 169,144,276 | |
| | | | | | | | |
| | | Banking — 5.9% | |
| 6,000,000 | | | Ally Financial, Inc., 8.000%, 11/01/2031 | | | 8,214,747 | |
| 983,000 | | | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | | | 1,093,858 | |
| 265,000 | | | Bank of America Corp., MTN, 4.250%, 10/22/2026 | | | 306,851 | |
| 7,045,000 | | | Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027 | | | 8,071,582 | |
| 3,450,000 | | | Cooperatieve Rabobank UA, 3.950%, 11/09/2022 | | | 3,665,928 | |
| 1,709,000 | | | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | | | 1,627,430 | |
| 25,000,000 | | | Goldman Sachs Group, Inc. (The), Series MPLE, 3.550%, 2/12/2021, (CAD) | | | 18,968,120 | |
| 19,245,000 | | | Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A | | | 20,225,203 | |
| 36,195,000 | | | Morgan Stanley, GMTN, 4.350%, 9/08/2026 | | | 41,895,743 | |
| 185,000,000 | | | Morgan Stanley, GMTN, 5.000%, 9/30/2021, (AUD) | | | 138,003,687 | |
| 46,735,000 | | | Morgan Stanley, MTN, 4.100%, 5/22/2023 | | | 50,621,966 | |
| 10,000,000 | | | Morgan Stanley, MTN, 6.250%, 8/09/2026 | | | 12,699,973 | |
| 53,095,000 | | | Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD) | | | 40,701,182 | |
| 10,445,000 | | | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | | | 10,640,843 | |
| | | | | | | | |
| | | | | | | 356,737,113 | |
| | | | | | | | |
| | | Brokerage — 1.4% | |
| 1,675,000 | | | Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.250%, 8/15/2024, 144A | | | 1,735,719 | |
| | | | |
29 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Brokerage — continued | |
$ | 43,025,000 | | | Jefferies Group LLC, 5.125%, 1/20/2023 | | $ | 46,898,187 | |
| 14,755,000 | | | Jefferies Group LLC, 6.250%, 1/15/2036 | | | 18,285,449 | |
| 15,215,000 | | | Jefferies Group LLC, 6.450%, 6/08/2027 | | | 18,548,917 | |
| | | | | | | | |
| | | | | | | 85,468,272 | |
| | | | | | | | |
| | | Building Materials — 0.5% | |
| 5,565,000 | | | American Woodmark Corp., 4.875%, 3/15/2026, 144A | | | 5,634,562 | |
| 3,255,000 | | | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | | | 3,317,008 | |
| 1,859,000 | | | Masco Corp., 6.500%, 8/15/2032 | | | 2,409,896 | |
| 1,226,000 | | | Masco Corp., 7.750%, 8/01/2029 | | | 1,729,814 | |
| 10,800,000 | | | Owens Corning, 7.000%, 12/01/2036 | | | 14,397,633 | |
| | | | | | | | |
| | | | | | | 27,488,913 | |
| | | | | | | | |
| | | Cable Satellite — 1.1% | |
| 975,000 | | | CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A | | | 1,003,031 | |
| 4,360,000 | | | CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A | | | 4,577,564 | |
| 17,880,000 | | | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | | | 18,885,750 | |
| 17,679,000 | | | DISH DBS Corp., 5.875%, 11/15/2024 | | | 18,129,815 | |
| 4,865,000 | | | DISH DBS Corp., 7.750%, 7/01/2026 | | | 5,348,386 | |
| 4,835,000 | | | Time Warner Cable LLC, 4.500%, 9/15/2042 | | | 5,252,090 | |
| 135,000 | | | Time Warner Cable LLC, 5.875%, 11/15/2040 | | | 168,220 | |
| 11,275,000 | | | Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD) | | | 9,116,192 | |
| 5,530,000 | | | Ziggo BV, 5.500%, 1/15/2027, 144A | | | 5,792,675 | |
| | | | | | | | |
| | | | | | | 68,273,723 | |
| | | | | | | | |
| | | Chemicals — 0.4% | |
| 19,810,000 | | | Aruba Investments, Inc., 8.750%, 2/15/2023, 144A | | | 20,008,100 | |
| 6,275,000 | | | Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A | | | 6,452,457 | |
| | | | | | | | |
| | | | | | | 26,460,557 | |
| | | | | | | | |
| | | Construction Machinery — 0.0% | |
| 1,310,000 | | | United Rentals North America, Inc., 4.875%, 1/15/2028 | | | 1,375,500 | |
| | | | | | | | |
| | | Consumer Cyclical Services — 0.1% | |
| 5,500,000 | | | ServiceMaster Co. LLC (The), 7.450%, 8/15/2027 | | | 6,001,875 | |
| | | | | | | | |
| | | Consumer Products — 0.3% | |
| 11,880,000 | | | Avon Products, Inc., 8.950%, 3/15/2043 | | | 13,920,390 | |
| 2,405,000 | | | Whirlpool Corp., 4.600%, 5/15/2050 | | | 2,978,646 | |
| | | | | | | | |
| | | | | | | 16,899,036 | |
| | | | | | | | |
| | | Electric — 0.8% | |
| 9,371,000 | | | AES Corp. (The), 5.500%, 4/15/2025 | | | 9,660,189 | |
| 25,441,282 | | | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | | | 30,918,532 | |
| 835,000 | | | Edison International, 4.950%, 4/15/2025 | | | 913,990 | |
| 3,570,000 | | | Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027 | | | 4,265,881 | |
| | | | | | | | |
| | | | | | | 45,758,592 | |
| | | | | | | | |
| | | Finance Companies — 5.4% | |
| 1,020,000 | | | Antares Holdings LP, 6.000%, 8/15/2023, 144A | | | 1,031,482 | |
| 20,000,000 | | | Antares Holdings LP, 8.500%, 5/18/2025, 144A | | | 21,092,331 | |
| | | | |
| | See accompanying notes to financial statements. | | | 30 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Finance Companies — continued | |
$ | 25,580,000 | | | GE Capital Funding LLC, 4.550%, 5/15/2032, 144A | | $ | 27,495,039 | |
| 135,000 | | | Navient Corp., 5.000%, 3/15/2027 | | | 126,769 | |
| 22,945,000 | | | Navient Corp., 5.500%, 1/25/2023 | | | 23,090,815 | |
| 3,030,000 | | | Navient Corp., 5.875%, 10/25/2024 | | | 3,012,971 | |
| 109,950(††) | | | Navient Corp., 6.000%, 12/15/2043 | | | 2,344,959 | |
| 950,000 | | | Navient Corp., 6.750%, 6/15/2026 | | | 947,625 | |
| 54,470,000 | | | Navient Corp., MTN, 5.625%, 8/01/2033 | | | 45,843,314 | |
| 47,984,000 | | | Navient Corp., MTN, 6.125%, 3/25/2024 | | | 48,343,880 | |
| 6,490,000 | | | Navient Corp., MTN, 7.250%, 1/25/2022 | | | 6,652,250 | |
| 23,115,000 | | | OneMain Finance Corp., 6.875%, 3/15/2025 | | | 25,650,138 | |
| 4,075,000 | | | OneMain Finance Corp., 7.125%, 3/15/2026 | | | 4,552,590 | |
| 26,970,000 | | | OneMain Finance Corp., 7.750%, 10/01/2021 | | | 28,208,597 | |
| 55,015,000 | | | OneMain Finance Corp., 8.250%, 10/01/2023 | | | 61,066,650 | |
| 14,750,000 | | | Owl Rock Capital Corp., 4.250%, 1/15/2026 | | | 14,942,192 | |
| 7,155,000 | | | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A | | | 7,070,094 | |
| 4,360,000 | | | Quicken Loans LLC, 5.250%, 1/15/2028, 144A | | | 4,593,958 | |
| | | | | | | | |
| | | | | | | 326,065,654 | |
| | | | | | | | |
| | | Financial Other — 0.6% | |
| 11,820,000 | | | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A | | | 11,805,225 | |
| 25,465,000 | | | Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A | | | 27,311,212 | |
| | | | | | | | |
| | | | | | | 39,116,437 | |
| | | | | | | | |
| | | Food & Beverage — 0.3% | |
| 15,420,000 | | | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | | | 15,821,999 | |
| | | | | | | | |
| | | Gaming — 0.1% | |
| 5,475,000 | | | International Game Technology PLC, 6.250%, 1/15/2027, 144A | | | 5,871,937 | |
| | | | | | | | |
| | | Government Owned – No Guarantee — 0.1% | |
| 6,535,000 | | | Pertamina Persero PT, 6.450%, 5/30/2044, 144A | | | 8,465,520 | |
| | | | | | | | |
| | | Healthcare — 5.7% | |
| 1,420,000 | | | CHS/Community Health Systems, Inc., 6.625%, 2/15/2025, 144A | | | 1,373,850 | |
| 40,686,000 | | | HCA, Inc., 5.875%, 5/01/2023 | | | 44,288,542 | |
| 14,620,000 | | | HCA, Inc., 7.050%, 12/01/2027 | | | 17,068,850 | |
| 20,447,000 | | | HCA, Inc., 7.500%, 12/15/2023 | | | 23,309,580 | |
| 24,215,000 | | | HCA, Inc., 7.500%, 11/06/2033 | | | 32,205,950 | |
| 14,056,000 | | | HCA, Inc., 7.690%, 6/15/2025 | | | 16,515,800 | |
| 32,745,000 | | | HCA, Inc., 8.360%, 4/15/2024 | | | 38,557,237 | |
| 10,815,000 | | | HCA, Inc., MTN, 7.580%, 9/15/2025 | | | 12,896,888 | |
| 9,492,000 | | | HCA, Inc., MTN, 7.750%, 7/15/2036 | | | 12,102,300 | |
| 19,785,000 | | | Tenet Healthcare Corp., 5.125%, 5/01/2025 | | | 19,969,001 | |
| 43,295,000 | | | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | | | 42,104,387 | |
| 40,800,000 | | | Tenet Healthcare Corp., 6.750%, 6/15/2023 | | | 42,840,000 | |
| 43,749,000 | | | Tenet Healthcare Corp., 6.875%, 11/15/2031 | | | 42,874,020 | |
| 990,000 | | | Tenet Healthcare Corp., 8.125%, 4/01/2022 | | | 1,100,781 | |
| | | | | | | | |
| | | | | | | 347,207,186 | |
| | | | | | | | |
| | | Home Construction — 1.2% | |
| 47,260,000 | | | PulteGroup, Inc., 6.000%, 2/15/2035 | | | 58,366,100 | |
| | | | |
31 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Home Construction — continued | |
$ | 13,190,000 | | | PulteGroup, Inc., 6.375%, 5/15/2033 | | $ | 16,586,425 | |
| 195,000 | | | TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024 | | | 210,600 | |
| | | | | | | | |
| | | | | | | 75,163,125 | |
| | | | | | | | |
| | | Independent Energy — 3.1% | |
| 2,685,000 | | | Aker BP ASA, 3.750%, 1/15/2030, 144A | | | 2,603,946 | |
| 18,736,000 | | | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A | | | 18,454,960 | |
| 8,225,000 | | | Baytex Energy Corp., 5.625%, 6/01/2024, 144A | | | 4,647,125 | |
| 1,310,000 | | | Chesapeake Energy Corp., 4.875%, 4/15/2022(b)(f)(h) | | | 53,238 | |
| 21,335,000 | | | Chesapeake Energy Corp., 8.000%, 1/15/2025(b)(f)(h) | | | 787,688 | |
| 55,365,000 | | | Chesapeake Energy Corp., 8.000%, 6/15/2027(b)(f)(h) | | | 1,868,569 | |
| 15,215,000 | | | Continental Resources, Inc., 3.800%, 6/01/2024 | | | 14,035,838 | |
| 5,450,000 | | | Continental Resources, Inc., 4.500%, 4/15/2023 | | | 5,193,850 | |
| 302,000 | | | Continental Resources, Inc., 5.000%, 9/15/2022 | | | 299,759 | |
| 2,340,000 | | | Diamondback Energy, Inc., 3.500%, 12/01/2029 | | | 2,268,454 | |
| 15,580,000 | | | Lonestar Resources America, Inc., 11.250%, 1/01/2023, 144A(b)(f)(h) | | | 2,648,600 | |
| 7,644,000 | | | MEG Energy Corp., 7.000%, 3/31/2024, 144A | | | 7,108,920 | |
| 17,908,000 | | | Mesquite Energy, Inc., 6.125%, 1/15/2023(b)(f)(h) | | | 85,958 | |
| 9,520,000 | | | Mesquite Energy, Inc., 7.750%, 6/15/2021(b)(f)(h) | | | 45,696 | |
| 22,014,000 | | | Montage Resources Corp., 8.875%, 7/15/2023 | | | 22,371,727 | |
| 540,000 | | | Occidental Petroleum Corp., 4.500%, 7/15/2044 | | | 387,833 | |
| 32,720,000 | | | Occidental Petroleum Corp., 6.625%, 9/01/2030 | | | 30,184,200 | |
| 20,595,000 | | | Occidental Petroleum Corp., 8.875%, 7/15/2030 | | | 21,212,850 | |
| 2,390,000 | | | Pan American Energy LLC, 7.875%, 5/07/2021, 144A | | | 2,330,250 | |
| 4,850,000 | | | Parsley Energy LLC/Parsley Finance Corp., 4.125%, 2/15/2028, 144A | | | 4,559,000 | |
| 2,055,000 | | | QEP Resources, Inc., 5.250%, 5/01/2023 | | | 1,495,013 | |
| 26,537,000 | | | SM Energy Co., 10.000%, 1/15/2025, 144A | | | 25,324,524 | |
| 1,110,000 | | | Southwestern Energy Co., 6.450%, 1/23/2025 | | | 1,075,313 | |
| 14,955,000 | | | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A | | | 10,019,850 | |
| 2,530,000 | | | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A | | | 1,720,400 | |
| 6,145,000 | | | WPX Energy, Inc., 4.500%, 1/15/2030 | | | 6,041,365 | |
| | | | | | | | |
| | | | | | | 186,824,926 | |
| | | | | | | | |
| | | Life Insurance — 1.3% | |
| 3,575,000 | | | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | | | 3,440,570 | |
| 13,830,000 | | | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | | | 16,105,936 | |
| 15,000,000 | | | Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A | | | 15,482,734 | |
| 20,000,000 | | | National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(f) | | | 32,223,600 | |
| 8,920,000 | | | NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(f) | | | 11,736,579 | |
| 2,500,000 | | | Prudential Financial, Inc., MTN, 3.700%, 3/13/2051 | | | 2,748,550 | |
| | | | | | | | |
| | | | | | | 81,737,969 | |
| | | | | | | | |
| | | Local Authorities — 1.2% | |
| 95,480,000 | | | New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD) | | | 69,748,716 | |
| | | | | | | | |
| | | Media Entertainment — 0.6% | |
| 111,590,000 | | | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | | | 3,769,225 | |
| 4,215,000 | | | iHeartCommunications, Inc., 8.375%, 5/01/2027 | | | 4,151,775 | |
| | | | |
| | See accompanying notes to financial statements. | | | 32 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Media Entertainment — continued | |
$ | 22,870,000 | | | ViacomCBS, Inc., 4.950%, 5/19/2050 | | $ | 26,834,678 | |
| | | | | | | | |
| | | | | | | 34,755,678 | |
| | | | | | | | |
| | | Metals & Mining — 1.1% | |
| 25,271,000 | | | ArcelorMittal S.A., 7.000%, 3/01/2041 | | | 31,209,685 | |
| 1,970,000 | | | Barrick North America Finance LLC, 5.750%, 5/01/2043 | | | 2,868,583 | |
| 12,315,000 | | | First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A | | | 12,326,083 | |
| 1,810,000 | | | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | | | 1,790,289 | |
| 2,730,000 | | | Kaiser Aluminum Corp., 6.500%, 5/01/2025, 144A | | | 2,814,057 | |
| 16,135,000 | | | Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD) | | | 12,117,457 | |
| 8,741,000 | | | United States Steel Corp., 6.650%, 6/01/2037 | | | 5,375,715 | |
| | | | | | | | |
| | | | | | | 68,501,869 | |
| | | | | | | | |
| | | Midstream — 0.5% | |
| 13,110,000 | | | New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A | | | 13,706,505 | |
| 13,667,000 | | | NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025 | | | 8,131,865 | |
| 8,125,000 | | | NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023 | | | 5,413,281 | |
| 505,000 | | | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | | | 642,816 | |
| 11,980,000 | | | Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter), 9.500%(b)(f)(h)(i) | | | 1,513,434 | |
| | | | | | | | |
| | | | | | | 29,407,901 | |
| | | | | | | | |
| | | Oil Field Services — 1.3% | |
| 1,765,000 | | | Noble Holding International Ltd., 7.750%, 1/15/2024(b)(f)(h) | | | 10,096 | |
| 19,385,000 | | | Noble Holding International Ltd., 7.875%, 2/01/2026, 144A(h) | | | 4,713,463 | |
| 2,080,000 | | | Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A | | | 821,600 | |
| 57,983,250 | | | Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A | | | 51,750,051 | |
| 2,770,000 | | | Transocean, Inc., 7.500%, 4/15/2031(b)(f) | | | 373,950 | |
| 48,755,000 | | | Transocean, Inc., 11.500%, 1/30/2027, 144A | | | 19,999,301 | |
| 11,165,000 | | | Valaris PLC, 7.750%, 2/01/2026(b)(f)(h) | | | 565,730 | |
| | | | | | | | |
| | | | | | | 78,234,191 | |
| | | | | | | | |
| | | Packaging — 0.2% | |
| 8,750,000 | | | Owens-Brockway Glass Container, Inc., 6.625%, 5/13/2027, 144A | | | 9,477,344 | |
| | | | | | | | |
| | | Paper — 0.8% | |
| 15,225,000 | | | Georgia-Pacific LLC, 7.750%, 11/15/2029 | | | 22,761,848 | |
| 4,865,000 | | | WestRock MWV LLC, 7.950%, 2/15/2031 | | | 6,905,572 | |
| 8,750,000 | | | WestRock MWV LLC, 8.200%, 1/15/2030 | | | 12,329,552 | |
| 2,840,000 | | | Weyerhaeuser Co., 6.950%, 10/01/2027 | | | 3,582,080 | |
| | | | | | | | |
| | | | | | | 45,579,052 | |
| | | | | | | | |
| | | Property & Casualty Insurance — 0.7% | |
| 12,510,000 | | | MBIA Insurance Corp., 3-month LIBOR + 11.260%, 11.535%, 1/15/2033, 144A(e)(g) | | | 4,378,500 | |
| 1,500,000 | | | MGIC Investment Corp., 5.250%, 8/15/2028 | | | 1,547,138 | |
| 14,480,000 | | | Nationwide Mutual Insurance Co., 4.350%, 4/30/2050, 144A | | | 15,512,292 | |
| 20,810,000 | | | Radian Group, Inc., 6.625%, 3/15/2025 | | | 21,954,550 | |
| | | | | | | | |
| | | | | | | 43,392,480 | |
| | | | | | | | |
| | | | |
33 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | REITs – Diversified — 0.0% | |
$ | 665,000 | | | iStar, Inc., 4.750%, 10/01/2024 | | $ | 643,388 | |
| | | | | | | | |
| | | REITs – Hotels — 0.2% | |
| 545,000 | | | Service Properties Trust, 3.950%, 1/15/2028 | | | 452,350 | |
| 5,965,000 | | | Service Properties Trust, 4.350%, 10/01/2024 | | | 5,398,325 | |
| 1,690,000 | | | Service Properties Trust, 4.500%, 6/15/2023 | | | 1,657,349 | |
| 940,000 | | | Service Properties Trust, 4.650%, 3/15/2024 | | | 874,200 | |
| 915,000 | | | Service Properties Trust, 4.750%, 10/01/2026 | | | 813,728 | |
| 2,750,000 | | | Service Properties Trust, 4.950%, 2/15/2027 | | | 2,447,500 | |
| | | | | | | | |
| | | | | | | 11,643,452 | |
| | | | | | | | |
| | | Retailers — 0.4% | |
| 3,325,000 | | | Dillard’s, Inc., 7.000%, 12/01/2028 | | | 3,411,184 | |
| 1,500,000 | | | Dillard’s, Inc., 7.750%, 7/15/2026 | | | 1,573,395 | |
| 1,795,000 | | | Hanesbrands, Inc., 5.375%, 5/15/2025, 144A | | | 1,893,725 | |
| 27,224,000 | | | J.C. Penney Corp., Inc., 6.375%, 10/15/2036(b)(f)(h) | | | 130,131 | |
| 2,510,000 | | | J.C. Penney Corp., Inc., 7.625%, 3/01/2097(b)(f)(h) | | | 15,788 | |
| 6,365,000 | | | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | | | 6,767,904 | |
| 7,615,000 | | | Michaels Stores, Inc., 8.000%, 7/15/2027, 144A | | | 7,957,675 | |
| | | | | | | | |
| | | | | | | 21,749,802 | |
| | | | | | | | |
| | | Supermarkets — 0.2% | |
| 9,196,000 | | | Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 5.750%, 3/15/2025 | | | 9,486,134 | |
| 2,290,000 | | | Safeway, Inc., 7.250%, 2/01/2031 | | | 2,576,250 | |
| | | | | | | | |
| | | | | | | 12,062,384 | |
| | | | | | | | |
| | | Technology — 0.9% | |
| 23,345,000 | | | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | | | 23,753,537 | |
| 15,170,000 | | | KLA Corp., 5.650%, 11/01/2034 | | | 20,268,313 | |
| 3,970,000 | | | Micron Technology, Inc., 4.975%, 2/06/2026 | | | 4,602,207 | |
| 120,000 | | | Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A | | | 148,496 | |
| 1,829,000 | | | Seagate HDD Cayman, 4.091%, 6/01/2029, 144A | | | 1,988,471 | |
| 1,688,000 | | | Seagate HDD Cayman, 4.875%, 6/01/2027 | | | 1,890,889 | |
| | | | | | | | |
| | | | | | | 52,651,913 | |
| | | | | | | | |
| | | Transportation Services — 0.5% | |
| 810,000 | | | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A | | | 730,571 | |
| 10,503,000 | | | Fenix Marine Service Holdings Ltd., 8.000%, 1/15/2024(b)(f) | | | 8,720,956 | |
| 20,980,000 | | | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A | | | 23,634,572 | |
| | | | | | | | |
| | | | | | | 33,086,099 | |
| | | | | | | | |
| | | Treasuries — 31.1% | |
| 10,000,000(†††) | | | Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN) | | | 46,298,985 | |
| 4,250,000(†††) | | | Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN) | | | 21,669,301 | |
| 27,224,481(†††) | | | Mexican Fixed Rate Bonds, Series M, 8.000%, 12/07/2023, (MXN) | | | 135,061,695 | |
| 7,740,000(†††) | | | Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN) | | | 38,907,751 | |
| 3,035,000(†††) | | | Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN) | | | 16,229,354 | |
| | | | |
| | See accompanying notes to financial statements. | | | 34 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Treasuries — continued | |
| 21,700,000(†††) | | | Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN) | | $ | 116,631,305 | |
| 175,365,000 | | | New Zealand Government Bond, Series 0521, 6.000%, 5/15/2021, (NZD) | | | 120,182,176 | |
| 458,725,000 | | | Norway Government Bond, Series 474, 3.750%, 5/25/2021, 144A, (NOK) | | | 50,372,279 | |
| 162,850,000 | | | Republic of Brazil, 8.500%, 1/05/2024, (BRL) | | | 31,874,337 | |
| 55,925,000 | | | Republic of Brazil, 10.250%, 1/10/2028, (BRL) | | | 11,722,551 | |
| 569,455,000 | | | U.S. Treasury Bond, 1.250%, 5/15/2050 | | | 541,338,159 | |
| 283,420,000 | | | U.S. Treasury Bond, 1.375%, 8/15/2050 | | | 278,150,159 | |
| 50,000,000 | | | U.S. Treasury Bond, 2.000%, 2/15/2050 | | | 56,726,563 | |
| 144,325,000 | | | U.S. Treasury Bond, 3.000%, 8/15/2048 | | | 197,167,118 | |
| 61,615,000 | | | U.S. Treasury Note, 1.500%, 10/31/2021 | | | 62,524,784 | |
| 155,000,000 | | | U.S. Treasury Note, 1.500%, 11/30/2021 | | | 157,433,984 | |
| | | | | | | | |
| | | | | | | 1,882,290,501 | |
| | | | | | | | |
| | | Wireless — 0.3% | |
| 293,000,000 | | | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) | | | 13,444,488 | |
| 134,600,000 | | | America Movil SAB de CV, 8.460%, 12/18/2036, (MXN) | | | 6,338,737 | |
| | | | | | | | |
| | | | | | | 19,783,225 | |
| | | | | | | | |
| | | Wirelines — 2.6% | |
| 18,163,000 | | | AT&T, Inc., 3.650%, 9/15/2059, 144A | | | 17,842,414 | |
| 9,528,000 | | | AT&T, Inc., 4.500%, 3/09/2048 | | | 10,934,473 | |
| 7,545,000 | | | Bell Canada, Inc., MTN, 6.100%, 3/16/2035, 144A, (CAD) | | | 7,662,123 | |
| 4,370,000 | | | Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD) | | | 4,408,661 | |
| 1,240,000 | | | CenturyLink, Inc., 5.625%, 4/01/2025 | | | 1,324,769 | |
| 28,385,000 | | | CenturyLink, Inc., Series S, 6.450%, 6/15/2021 | | | 29,130,106 | |
| 7,940,000 | | | CenturyLink, Inc., Series W, 6.750%, 12/01/2023 | | | 8,704,225 | |
| 350,000 | | | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | | | 356,570 | |
| 2,160,000 | | | Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A | | | 2,281,500 | |
| 30,646,000 | | | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | | | 35,549,360 | |
| 16,440,000 | | | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | | | 19,563,600 | |
| 14,223,000 | | | Verizon Communications, Inc., 4.329%, 9/21/2028 | | | 17,266,722 | |
| | | | | | | | |
| | | | | | | 155,024,523 | |
| | | | | | | | |
| | | | Total Non-Convertible Bonds (Identified Cost $5,144,595,225) | | | 4,673,290,913 | |
| | | | | | | | |
| | | | | | | | |
| Convertible Bonds — 5.1% | |
| | | Cable Satellite — 2.4% | |
| 14,660,000 | | | DISH Network Corp., 2.375%, 3/15/2024 | | | 13,193,264 | |
| 143,750,000 | | | DISH Network Corp., 3.375%, 8/15/2026 | | | 131,962,001 | |
| | | | | | | | |
| | | | | | | 145,155,265 | |
| | | | | | | | |
| | | Energy — 0.0% | |
| 43,802,000 | | | Chesapeake Energy Corp., 5.500%, 9/15/2026(b)(f)(h) | | | 1,467,367 | |
| | | | | | | | |
| | | Oil Field Services — 0.1% | |
| 9,941,000 | | | Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash, 11/15/2025, 144A(a)(b)(c)(d)(j)(k) | | | 6,103,774 | |
| | | | | | | | |
| | | Pharmaceuticals — 0.0% | |
| 870,000 | | | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | | | 912,937 | |
| | | | |
35 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Pharmaceuticals — continued | |
$ | 715,000 | | | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A | | $ | 699,264 | |
| | | | | | | | |
| | | | | | | 1,612,201 | |
| | | | | | | | |
| | | REITs – Diversified — 0.3% | |
| 14,245,000 | | | iStar, Inc., 3.125%, 9/15/2022 | | | 15,150,370 | |
| | | | | | | | |
| | | Technology — 2.3% | |
| 10,415,000 | | | Booking Holdings, Inc., 0.900%, 9/15/2021 | | | 11,082,650 | |
| 1,380,000 | | | Evolent Health, Inc., 3.500%, 12/01/2024, 144A | | | 1,352,400 | |
| 23,135,000 | | | Nuance Communications, Inc., 1.000%, 12/15/2035 | | | 33,833,549 | |
| 9,670,000 | | | Nuance Communications, Inc., 1.250%, 4/01/2025 | | | 17,222,560 | |
| 34,500,000 | | | Nuance Communications, Inc., 1.500%, 11/01/2035 | | | 56,708,257 | |
| 17,000,000 | | | Western Digital Corp., 1.500%, 2/01/2024 | | | 16,139,728 | |
| | | | | | | | |
| | | | | | | 136,339,144 | |
| | | | | | | | |
| | | | Total Convertible Bonds (Identified Cost $315,096,985) | | | 305,828,121 | |
| | | | | | | | |
| | | | | | | | |
| Municipals — 1.6% | |
| | | Illinois — 0.3% | |
| 17,570,000 | | | State of Illinois, 5.100%, 6/01/2033 | | | 17,756,066 | |
| | | | | | | | |
| | | Michigan — 0.1% | |
| 8,145,000 | | | Michigan Tobacco Settlement Finance Authority, Series A, 7.309%, 6/01/2034 | | | 8,318,488 | |
| | | | | | | | |
| | | Virginia — 1.2% | |
| 68,005,000 | | | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 | | | 70,190,001 | |
| | | | | | | | |
| | | | Total Municipals (Identified Cost $90,526,284) | | | 96,264,555 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Bonds and Notes (Identified Cost $5,550,218,494) | | | 5,075,383,589 | |
| | | | | | | | |
| | | | | | | | |
| Senior Loans — 0.2% | |
| | | Construction Machinery — 0.2% | |
| 21,276,992 | | | Onsite Rental Group Pty Ltd., Note, 6.100%, 10/26/2023(a)(b)(c)(d) | | | 11,064,036 | |
| | | | | | | | |
| | | Technology — 0.0% | |
| 9,507,380 | | | IQOR U.S., Inc., 2nd Lien Term Loan, Zero Coupon, 4/01/2022(b)(f)(h) | | | 199,655 | |
| | | | | | | | |
| | | | Total Senior Loans (Identified Cost $27,439,348) | | | 11,263,691 | |
| | | | | | | | |
| | | | | | | | |
Shares | | | | | | |
| Common Stocks — 11.4% | |
| | | Chemicals — 0.1% | |
| 664,252 | | | Hexion Holdings Corp., Class B(e) | | | 6,601,336 | |
| | | | | | | | |
| | | Diversified Telecommunication Services — 3.7% | |
| 7,868,481 | | | AT&T, Inc. | | | 224,330,393 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 36 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| | | Electronic Equipment, Instruments & Components — 1.4% | |
| 2,575,992 | | | Corning, Inc. | | $ | 83,487,901 | |
| | | | | | | | |
| | | Media — 0.1% | |
| 2,500,188 | | | Clear Channel Outdoor Holdings, Inc.(e) | | | 2,500,188 | |
| 279,162 | | | iHeartMedia, Inc., Class A(e) | | | 2,266,796 | |
| | | | | | | | |
| | | | | | | 4,766,984 | |
| | | | | | | | |
| | | Oil Field Services — 0.0% | |
| 60,638 | | | Pioneer Energy Services Corp.(a)(b)(c)(d)(e)(k) | | | — | |
| | | | | | | | |
| | | Oil, Gas & Consumable Fuels — 0.2% | |
| 9,229 | | | Battalion Oil Corp.(e) | | | 72,909 | |
| 4,231 | | | Chesapeake Energy Corp.(e) | | | 17,220 | |
| 5,886 | | | Frontera Energy Corp. | | | 9,416 | |
| 156,902 | | | Paragon Offshore Ltd., Litigation Units, Class A(a)(b)(c)(d)(e) | | | — | |
| 225,503 | | | Paragon Offshore Ltd., Litigation Units, Class B(d)(e) | | | 1,127,515 | |
| 1,514 | | | Southcross Holdings Group LLC(d)(e) | | | — | |
| 1,514 | | | Southcross Holdings LP, Class A(a)(b)(c)(d) | | | 100,378 | |
| 758,261 | | | Whiting Petroleum Corp.(e) | | | 13,110,341 | |
| | | | | | | | |
| | | | | | | 14,437,779 | |
| | | | | | | | |
| | | Pharmaceuticals — 5.6% | |
| 5,651,190 | | | Bristol-Myers Squibb Co. | | | 340,710,245 | |
| | | | | | | | |
| | | REITs – Diversified — 0.3% | |
| 1,341,478 | | | iStar, Inc. | | | 15,842,855 | |
| | | | | | | | |
| | | Specialty Retail — 0.0% | |
| 11,662,687 | | | Onsite Rental Group Pty Ltd.(a)(b)(c)(d)(e) | | | — | |
| | | | | | | | |
| | | | Total Common Stocks (Identified Cost $648,407,582) | | | 690,177,493 | |
| | | | | | | | |
| | | | | | | | |
| Preferred Stocks — 0.6% | |
| Convertible Preferred Stocks — 0.4% | |
| | | Banking — 0.2% | |
| 8,447 | | | Bank of America Corp., Series L, 7.250% | | | 12,569,136 | |
| | | | | | | | |
| | | Communications — 0.0% | |
| 3,704 | | | Cincinnati Bell, Inc., Series B, 6.750% | | | 179,644 | |
| | | | | | | | |
| | | Energy — 0.0% | |
| 172,972 | | | Chesapeake Energy Corp., 4.500%(a)(b)(c)(e) | | | — | |
| 240,916 | | | Chesapeake Energy Corp., 5.000%(a)(b)(c)(e) | | | — | |
| 6,017 | | | Chesapeake Energy Corp., 5.750%(a)(b)(c)(e) | | | — | |
| 43,178 | | | Chesapeake Energy Corp., 5.750%, 144A(a)(b)(c)(e) | | | — | |
| 32,522 | | | Chesapeake Energy Corp., 5.750%, 144A(a)(b)(c)(e) | | | — | |
| 23,928 | | | Chesapeake Energy Corp., 5.750%(a)(b)(c)(e) | | | — | |
| | | | | | | | |
| | | | | | | — | |
| | | | | | | | |
| | | Midstream — 0.2% | |
| 242,297 | | | El Paso Energy Capital Trust I, 4.750% | | | 11,332,230 | |
| | | | | | | | |
| | | | Total Convertible Preferred Stocks (Identified Cost $139,645,703) | | | 24,081,010 | |
| | | | | | | | |
| | | | |
37 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| Non-Convertible Preferred Stocks — 0.2% | | | | |
| | | Finance Companies — 0.0% | |
| 10,425 | | | iStar, Inc., Series G, 7.650% | | $ | 254,161 | |
| | | | | | | | |
| | | Home Construction — 0.0% | |
| 208,246 | | | Hovnanian Enterprises, Inc., 7.625%(e) | | | 1,478,547 | |
| | | | | | | | |
| | | REITs – Office Property — 0.0% | |
| 1,596 | | | Highwoods Properties, Inc., Series A, 8.625% | | | 1,995,000 | |
| | | | | | | | |
| | | REITs – Warehouse/Industrials — 0.2% | |
| 116,192 | | | Prologis, Inc., Series Q, 8.540% | | | 9,138,501 | |
| | | | | | | | |
| | | | Total Non-Convertible Preferred Stocks (Identified Cost $8,540,569) | | | 12,866,209 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Preferred Stocks (Identified Cost $148,186,272) | | | 36,947,219 | |
| | | | | | | | |
| | | | | | | | |
| Closed-End Investment Companies — 0.0% | | | | |
| 170,282 | | | NexPoint Strategic Opportunities Fund (Identified Cost $10,230,310) | | | 1,474,642 | |
| | | | | | | | |
| | | | | | | | |
| Warrants — 0.1% | | | | |
| 751,946 | | | iHeartMedia, Inc., Expiration on 5/1/2039(e) (Identified Cost $18,045,316) | | | 5,921,575 | |
| | | | | | | | |
| | | | | | | | |
Principal Amount (‡) | | | | | | |
| Short-Term Investments — 2.8% | | | | |
| 10,070,157,559 | | | Central Bank of Iceland, 0.000%, (ISK)(g)(l) | | | 72,790,181 | |
| 8,564,757 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $8,564,757 on 10/01/2020 collateralized by $8,736,800 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $8,736,119 including accrued interest (Note 2 of Notes to Financial Statements) | | | 8,564,757 | |
| 90,000,000 | | | U.S. Treasury Bills, 0.096%, 11/27/2020(m) | | | 89,986,462 | |
| | | | | | | | |
| | | | Total Short-Term Investments (Identified Cost $180,515,570) | | | 171,341,400 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Investments — 99.0% (Identified Cost $6,583,042,892) | | | 5,992,509,609 | |
| | | | Other assets less liabilities — 1.0% | | | 59,048,442 | |
| | | | | | | | |
| | | | Net Assets — 100.0% | | $ | 6,051,558,051 | |
| | | | | | | | |
| | | | | | | | |
| (‡) | | | Principal Amount stated in U.S. dollars unless otherwise noted. | |
| (†) | | | See Note 2 of Notes to Financial Statements. | |
| (††) | | | Amount shown represents units. One unit represents a principal amount of 25. | |
| (†††) | | | Amount shown represents units. One unit represents a principal amount of 100. | |
| | | | |
| | See accompanying notes to financial statements. | | | 38 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | | | |
| | | | | | | | |
| (a) | | | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |
| (b) | | | Illiquid security. (Unaudited) | |
| (c) | | | Fair valued by the Fund’s adviser. At September 30, 2020, the value of these securities amounted to $26,283,040 or 0.4% of net assets. See Note 2 of Notes to Financial Statements. | |
| (d) | | | Securities subject to restriction on resale. At September 30, 2020, the restricted securities held by the Fund are as follows: | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | Acquisition Date | | Acquisition Cost | | | Value | | | % of Net Assets | |
GCA2014 Holdings Ltd., Series 2014-1, Class C | | 12/18/2014 | | $ | 23,214,946 | | | $ | 7,819,722 | | | | 0.1% | |
GCA2014 Holdings Ltd., Series 2014-1, Class D | | 12/18/2014 | | | 10,440,551 | | | | 1,195,130 | | | | Less than 0.1% | |
GCA2014 Holdings Ltd., Series 2014-1, Class E | | 12/18/2014 | | | 32,732,982 | | | | — | | | | — | |
Onsite Rental Group Pty Ltd. | | 10/26/2017 | | | — | | | | — | | | | — | |
Onsite Rental Group Pty Ltd., Note | | 10/26/2017 | | | 15,532,204 | | | | 11,064,036 | | | | 0.2% | |
Paragon Offshore Ltd., Litigation Units, Class A | | 7/18/2017 | | | 1,167,146 | | | | — | | | | — | |
Paragon Offshore Ltd., Litigation Units, Class B | | 7/18/2017 | | | 22,768,653 | | | | 1,127,515 | | | | Less than 0.1% | |
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash | | 5/29/2020 | | | 9,205,000 | | | | 6,103,774 | | | | 0.1% | |
Pioneer Energy Services Corp. | | 5/29/2020 | | | 17,677,239 | | | | — | | | | — | |
Southcross Holdings Group LLC | | 4/29/2016 | | | — | | | | — | | | | — | |
Southcross Holdings LP, Class A | | 4/29/2016 | | | 2,215,133 | | | | 100,378 | | | | Less than 0.1% | |
| | | | | | | | |
| | | | | | | | |
| (e) | | | Non-income producing security. | |
| (f) | | | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2020, the value of these securities amounted to $67,661,488 or 1.1% of net assets. | |
| (g) | | | Variable rate security. Rate as of September 30, 2020 is disclosed. | |
| (h) | | | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |
| (i) | | | Perpetual bond with no specified maturity date. | |
| (j) | | | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were received during the period. | |
| (k) | | | Affiliated issuer. See Note 5h for a summary of transactions in securities of affiliated issuers. | |
| (l) | | | Security callable by issuer at any time. No specified maturity date. | |
| (m) | | | Interest rate represents discount rate at time of purchase; not a coupon rate. | |
| | | | | | | | |
| 144A | | | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, the value of Rule 144A holdings amounted to $890,327,840 or 14.7% of net assets. | |
| ABS | | | Asset-Backed Securities | |
| EMTN | | | Euro Medium Term Note | |
| GMTN | | | Global Medium Term Note | |
| LIBOR | | | London Interbank Offered Rate | |
| MBIA | | | Municipal Bond Investors Assurance Corp. | |
| MTN | | | Medium Term Note | |
| PIK | | | Payment-in-Kind | |
| REITs | | | Real Estate Investment Trusts | |
| | | | |
39 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Strategic Income Fund – (continued)
| | | | | | |
| | | | |
| AUD | | | Australian Dollar |
| BRL | | | Brazilian Real |
| CAD | | | Canadian Dollar |
| ISK | | | Icelandic Krona |
| MXN | | | Mexican Peso |
| NOK | | | Norwegian Krone |
| NZD | | | New Zealand Dollar |
Industry Summary at September 30, 2020
| | | | |
Treasuries | | | 31.1 | % |
Banking | | | 6.1 | |
Healthcare | | | 5.7 | |
Pharmaceuticals | | | 5.6 | |
Finance Companies | | | 5.4 | |
Diversified Telecommunication Services | | | 3.7 | |
Cable Satellite | | | 3.5 | |
Technology | | | 3.2 | |
Independent Energy | | | 3.1 | |
Automotive | | | 2.8 | |
Wirelines | | | 2.6 | |
Aerospace & Defense | | | 2.0 | |
Other Investments, less than 2% each | | | 21.4 | |
Short-Term Investments | | | 2.8 | |
Closed-End Investment Companies | | | 0.0 | * |
| | | | |
Total Investments | | | 99.0 | |
Other assets less liabilities | | | 1.0 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
Currency Exposure Summary at September 30, 2020
| | | | |
United States Dollar | | | 82.7 | % |
Mexican Peso | | | 6.6 | |
Australian Dollar | | | 3.5 | |
New Zealand Dollar | | | 2.0 | |
Other, less than 2% each | | | 4.2 | |
| | | | |
Total Investments | | | 99.0 | |
Other assets less liabilities | | | 1.0 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 40 |
Statements of Assets and Liabilities
September 30, 2020
| | | | | | | | |
| | Growth Fund | | | Strategic Income Fund | |
ASSETS | |
Unaffiliated investments at cost | | $ | 6,594,078,540 | | | $ | 6,556,121,937 | |
Affiliated investments at cost | | | — | | | | 26,920,955 | |
Net unrealized appreciation (depreciation) on unaffiliated investments | | | 4,902,271,265 | | | | (569,716,102 | ) |
Net unrealized appreciation (depreciation) on affiliated investments | | | — | | | | (20,817,181 | ) |
| | | | | | | | |
Investments at value | | | 11,496,349,805 | | | | 5,992,509,609 | |
Cash | | | — | | | | 267,540 | |
Foreign currency at value (identified cost $0 and $3,296,470, respectively) | | | — | | | | 3,312,655 | |
Receivable for Fund shares sold | | | 32,581,868 | | | | 2,889,813 | |
Receivable for securities sold | | | 1,446,634 | | | | — | |
Dividends and interest receivable | | | 2,936,897 | | | | 65,194,887 | |
Tax reclaims receivable | | | 5,736,923 | | | | 237 | |
Prepaid expenses (Note 7) | | | 1,132 | | | | 789 | |
| | | | | | | | |
TOTAL ASSETS | | | 11,539,053,259 | | | | 6,064,175,530 | |
| | | | | | | | |
LIABILITIES | |
Payable for securities purchased | | | 21,973,872 | | | | — | |
Payable for Fund shares redeemed | | | 10,788,383 | | | | 7,305,585 | |
Management fees payable (Note 5) | | | 4,682,428 | | | | 2,861,654 | |
Deferred Trustees’ fees (Note 5) | | | 607,592 | | | | 1,813,875 | |
Administrative fees payable (Note 5) | | | 409,367 | | | | 220,276 | |
Payable to distributor (Note 5d) | | | 100,143 | | | | 57,871 | |
Other accounts payable and accrued expenses | | | 466,673 | | | | 358,218 | |
| | | | | | | | |
TOTAL LIABILITIES | | | 39,028,458 | | | | 12,617,479 | |
| | | | | | | | |
NET ASSETS | | $ | 11,500,024,801 | | | $ | 6,051,558,051 | |
| | | | | | | | |
NET ASSETS CONSIST OF: | |
Paid-in capital | | $ | 6,104,534,174 | | | $ | 6,812,829,394 | |
Accumulated earnings (loss) | | | 5,395,490,627 | | | | (761,271,343 | ) |
| | | | | | | | |
NET ASSETS | | $ | 11,500,024,801 | | | $ | 6,051,558,051 | |
| | | | | �� | | | |
| | | | |
41 | | | See accompanying notes to financial statements. | | |
Statements of Assets and Liabilities (continued)
September 30, 2020
| | | | | | | | |
| | Growth Fund | | | Strategic Income Fund | |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | | | | | | | | |
Class A shares: | |
Net assets | | $ | 1,477,914,957 | | | $ | 1,683,547,306 | |
| | | | | | | | |
Shares of beneficial interest | | | 71,326,181 | | | | 123,957,551 | |
| | | | | | | | |
Net asset value and redemption price per share | | $ | 20.72 | | | $ | 13.58 | |
| | | | | | | | |
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | | $ | 21.98 | | | $ | 14.18 | |
| | | | | | | | |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | | | | | | | | |
Net assets | | $ | 128,763,816 | | | $ | 277,896,478 | |
| | | | | | | | |
Shares of beneficial interest | | | 6,899,693 | | | | 20,248,252 | |
| | | | | | | | |
Net asset value and offering price per share | | $ | 18.66 | | | $ | 13.72 | |
| | | | | | | | |
Class N shares: | | | | | | | | |
Net assets | | $ | 579,571,444 | | | $ | 212,804,125 | |
| | | | | | | | |
Shares of beneficial interest | | | 26,040,450 | | | | 15,685,977 | |
| | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 22.26 | | | $ | 13.57 | |
| | | | | | | | |
Class Y shares: | | | | | | | | |
Net assets | | $ | 9,313,774,584 | | | $ | 3,774,113,026 | |
| | | | | | | | |
Shares of beneficial interest | | | 418,485,106 | | | | 278,235,702 | |
| | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 22.26 | | | $ | 13.56 | |
| | | | | | | | |
Admin Class shares: | | | | | | | | |
Net assets | | $ | — | | | $ | 103,197,116 | |
| | | | | | | | |
Shares of beneficial interest | | | — | | | | 7,625,944 | |
| | | | | | | | |
Net asset value, offering and redemption price per share | | $ | — | | | $ | 13.53 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 42 |
Statements of Operations
For the Year Ended September 30, 2020
| | | | | | | | |
| | Growth Fund | | | Strategic Income Fund | |
INVESTMENT INCOME | |
Dividends | | $ | 95,387,464 | | | $ | 34,983,468 | |
Interest from unaffiliated investments | | | 467,385 | | | | 251,044,579 | |
Interest from affiliated investments (Note 5) | | | — | | | | 441,094 | |
Less net foreign taxes withheld | | | (4,518,184 | ) | | | (430,452 | ) |
| | | | | | | | |
| | | 91,336,665 | | | | 286,038,689 | |
| | | | | | | | |
Expenses | |
Management fees (Note 5) | | | 49,236,330 | | | | 36,847,870 | |
Service and distribution fees (Note 5) | | | 4,544,100 | | | | 9,532,359 | |
Administrative fees (Note 5) | | | 4,349,704 | | | | 2,869,683 | |
Trustees’ fees and expenses (Note 5) | | | 447,675 | | | | 463,045 | |
Transfer agent fees and expenses (Notes 5 and 6) | | | 7,836,995 | | | | 5,217,792 | |
Audit and tax services fees | | | 41,659 | | | | 63,555 | |
Custodian fees and expenses | | | 459,500 | | | | 324,017 | |
Legal fees (Note 7) | | | 233,660 | | | | 159,823 | |
Registration fees | | | 272,179 | | | | 176,399 | |
Shareholder reporting expenses | | | 405,271 | | | | 300,076 | |
Miscellaneous expenses (Note 7) | | | 264,045 | | | | 212,464 | |
| | | | | | | | |
Total expenses | | | 68,091,118 | | | | 56,167,083 | |
| | | | | | | | |
Net investment income | | | 23,245,547 | | | | 229,871,606 | |
| | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | |
Unaffiliated investments | | | 534,694,084 | | | | (85,265,323 | ) |
Affiliated investments (Note 5) | | | — | | | | (13,528,848 | ) |
Foreign currency transactions (Note 2c) | | | — | | | | (1,837,713 | ) |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Unaffiliated investments | | | 2,336,956,869 | | | | (188,843,675 | ) |
Affiliated investments (Note 5) | | | — | | | | (11,115,666 | ) |
Foreign currency translations (Note 2c) | | | — | | | | 498,421 | |
| | | | | | | | |
Net realized and unrealized gain (loss) on investments and foreign currency transactions | | | 2,871,650,953 | | | | (300,092,804 | ) |
| | | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 2,894,896,500 | | | $ | (70,221,198 | ) |
| | | | | | | | |
| | | | |
43 | | | See accompanying notes to financial statements. | | |
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | Growth Fund | | | Strategic Income Fund | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 23,245,547 | | | $ | 46,632,228 | | | $ | 229,871,606 | | | $ | 312,461,598 | |
Net realized gain (loss) on investments and foreign currency transactions | | | 534,694,084 | | | | 210,199,000 | | | | (100,631,884 | ) | | | (25,505,488 | ) |
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | | | 2,336,956,869 | | | | 177,218,567 | | | | (199,460,920 | ) | | | (96,424,261 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 2,894,896,500 | | | | 434,049,795 | | | | (70,221,198 | ) | | | 190,531,849 | |
| | | | | | | | | | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | (35,045,986 | ) | | | (51,082,626 | ) | | | (60,755,051 | ) | | | (71,533,316 | ) |
Class C | | | (3,210,189 | ) | | | (6,370,291 | ) | | | (12,091,933 | ) | | | (27,624,605 | ) |
Class N | | | (16,996,001 | ) | | | (29,366,126 | ) | | | (7,404,708 | ) | | | (8,091,999 | ) |
Class Y | | | (197,277,542 | ) | | | (317,599,223 | ) | | | (150,040,710 | ) | | | (189,621,495 | ) |
Admin Class | | | — | | | | — | | | | (3,669,167 | ) | | | (4,619,879 | ) |
| | | | | | | | | | | | | | | | |
Total distributions | | | (252,529,718 | ) | | | (404,418,266 | ) | | | (233,961,569 | ) | | | (301,491,294 | ) |
| | | | | | | | | | | | | | | | |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | | | 26,641,271 | | | | (34,793,401 | ) | | | (797,576,770 | ) | | | (1,303,567,589 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | 2,669,008,053 | | | | (5,161,872 | ) | | | (1,101,759,537 | ) | | | (1,414,527,034 | ) |
NET ASSETS | |
Beginning of the year | | | 8,831,016,748 | | | | 8,836,178,620 | | | | 7,153,317,588 | | | | 8,567,844,622 | |
| | | | | | | | | | | | | | | | |
End of the year | | $ | 11,500,024,801 | | | $ | 8,831,016,748 | | | $ | 6,051,558,051 | | | $ | 7,153,317,588 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 44 |
Financial Highlights
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Growth Fund—Class A | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 16.02 | | | $ | 16.05 | | | $ | 14.04 | | | $ | 11.96 | | | $ | 9.90 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.01 | | | | 0.05 | | | | 0.06 | | | | 0.06 | | | | 0.06 | |
Net realized and unrealized gain (loss) | | | 5.14 | | | | 0.71 | | | | 2.29 | | | | 2.18 | | | | 2.05 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 5.15 | | | | 0.76 | | | | 2.35 | | | | 2.24 | | | | 2.11 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.05 | ) | | | (0.05 | ) | | | (0.05 | ) | | | (0.05 | ) | | | (0.05 | ) |
Net realized capital gains | | | (0.40 | ) | | | (0.74 | ) | | | (0.29 | ) | | | (0.11 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.45 | ) | | | (0.79 | ) | | | (0.34 | ) | | | (0.16 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 20.72 | | | $ | 16.02 | | | $ | 16.05 | | | $ | 14.04 | | | $ | 11.96 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(b) | | | 32.80 | % | | | 5.81 | % | | | 16.98 | % | | | 18.99 | % | | | 21.32 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 1,477,915 | | | $ | 1,250,030 | | | $ | 1,083,362 | | | $ | 983,047 | | | $ | 729,989 | |
Net expenses | | | 0.90 | % | | | 0.91 | % | | | 0.90 | % | | | 0.91 | % | | | 0.92 | % |
Gross expenses | | | 0.90 | % | | | 0.91 | % | | | 0.90 | % | | | 0.91 | % | | | 0.92 | % |
Net investment income | | | 0.04 | % | | | 0.35 | % | | | 0.39 | % | | | 0.45 | % | | | 0.58 | % |
Portfolio turnover rate | | | 19 | % | | | 7 | % | | | 11 | % | | | 8 | % | | | 11 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
| | | | |
45 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Growth Fund—Class C | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 14.53 | | | $ | 14.68 | | | $ | 12.92 | | | $ | 11.06 | | | $ | 9.18 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment loss(a) | | | (0.11 | ) | | | (0.06 | ) | | | (0.05 | ) | | | (0.03 | ) | | | (0.02 | ) |
Net realized and unrealized gain (loss) | | | 4.64 | | | | 0.65 | | | | 2.10 | | | | 2.00 | | | | 1.90 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 4.53 | | | | 0.59 | | | | 2.05 | | | | 1.97 | | | | 1.88 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net realized capital gains | | | (0.40 | ) | | | (0.74 | ) | | | (0.29 | ) | | | (0.11 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 18.66 | | | $ | 14.53 | | | $ | 14.68 | | | $ | 12.92 | | | $ | 11.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(b) | | | 31.76 | % | | | 5.05 | % | | | 16.09 | % | | | 18.03 | % | | | 20.48 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 128,764 | | | $ | 120,493 | | | $ | 130,133 | | | $ | 133,329 | | | $ | 109,798 | |
Net expenses | | | 1.65 | % | | | 1.66 | % | | | 1.65 | % | | | 1.66 | % | | | 1.66 | % |
Gross expenses | | | 1.65 | % | | | 1.66 | % | | | 1.65 | % | | | 1.66 | % | | | 1.66 | % |
Net investment loss | | | (0.71 | )% | | | (0.39 | )% | | | (0.36 | )% | | | (0.29 | )% | | | (0.16 | )% |
Portfolio turnover rate | | | 19 | % | | | 7 | % | | | 11 | % | | | 8 | % | | | 11 | % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
| | | | |
| | See accompanying notes to financial statements. | | | 46 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Growth Fund—Class N | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 17.17 | | | $ | 17.15 | | | $ | 14.97 | | | $ | 12.73 | | | $ | 10.52 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.07 | | | | 0.11 | | | | 0.12 | | | | 0.11 | | | | 0.10 | |
Net realized and unrealized gain (loss) | | | 5.53 | | | | 0.76 | | | | 2.44 | | | | 2.32 | | | | 2.18 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 5.60 | | | | 0.87 | | | | 2.56 | | | | 2.43 | | | | 2.28 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.11 | ) | | | (0.11 | ) | | | (0.09 | ) | | | (0.08 | ) | | | (0.07 | ) |
Net realized capital gains | | | (0.40 | ) | | | (0.74 | ) | | | (0.29 | ) | | | (0.11 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.51 | ) | | | (0.85 | ) | | | (0.38 | ) | | | (0.19 | ) | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 22.26 | | | $ | 17.17 | | | $ | 17.15 | | | $ | 14.97 | | | $ | 12.73 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 33.26 | % | | | 6.14 | % | | | 17.40 | %(b) | | | 19.39 | %(b) | | | 21.75 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 579,571 | | | $ | 442,787 | | | $ | 1,001,688 | | | $ | 341,160 | | | $ | 60,765 | |
Net expenses | | | 0.57 | % | | | 0.56 | % | | | 0.57 | %(c) | | | 0.57 | %(c) | | | 0.58 | % |
Gross expenses | | | 0.57 | % | | | 0.56 | % | | | 0.58 | % | | | 0.58 | % | | | 0.58 | % |
Net investment income | | | 0.38 | % | | | 0.69 | % | | | 0.73 | % | | | 0.80 | % | | | 0.82 | % |
Portfolio turnover rate | | | 19 | % | | | 7 | % | | | 11 | % | | | 8 | % | | | 11 | % |
(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. |
| | | | |
47 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Growth Fund—Class Y | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 17.17 | | | $ | 17.14 | | | $ | 14.97 | | | $ | 12.73 | | | $ | 10.53 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.05 | | | | 0.10 | | | | 0.10 | | | | 0.09 | | | | 0.10 | |
Net realized and unrealized gain (loss) | | | 5.53 | | | | 0.77 | | | | 2.44 | | | | 2.33 | | | | 2.16 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 5.58 | | | | 0.87 | | | | 2.54 | | | | 2.42 | | | | 2.26 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.09 | ) | | | (0.10 | ) | | | (0.08 | ) | | | (0.07 | ) | | | (0.06 | ) |
Net realized capital gains | | | (0.40 | ) | | | (0.74 | ) | | | (0.29 | ) | | | (0.11 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.49 | ) | | | (0.84 | ) | | | (0.37 | ) | | | (0.18 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 22.26 | | | $ | 17.17 | | | $ | 17.14 | | | $ | 14.97 | | | $ | 12.73 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 33.15 | % | | | 6.09 | % | | | 17.25 | % | | | 19.31 | % | | | 21.55 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 9,313,775 | | | $ | 7,017,707 | | | $ | 6,620,996 | | | $ | 5,749,576 | | | $ | 3,493,961 | |
Net expenses | | | 0.65 | % | | | 0.66 | % | | | 0.65 | % | | | 0.66 | % | | | 0.66 | % |
Gross expenses | | | 0.65 | % | | | 0.66 | % | | | 0.65 | % | | | 0.66 | % | | | 0.66 | % |
Net investment income | | | 0.27 | % | | | 0.60 | % | | | 0.64 | % | | | 0.69 | % | | | 0.82 | % |
Portfolio turnover rate | | | 19 | % | | | 7 | % | | | 11 | % | | | 8 | % | | | 11 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| | | | |
| | See accompanying notes to financial statements. | | | 48 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Strategic Income Fund—Class A | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 14.25 | | | $ | 14.39 | | | $ | 14.84 | | | $ | 14.70 | | | $ | 14.70 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.47 | | | | 0.57 | | | | 0.52 | | | | 0.56 | | | | 0.57 | |
Net realized and unrealized gain (loss) | | | (0.66 | ) | | | (0.16 | ) | | | (0.33 | ) | | | 0.42 | | | | 0.61 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.19 | ) | | | 0.41 | | | | 0.19 | | | | 0.98 | | | | 1.18 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.45 | ) | | | (0.48 | ) | | | (0.57 | ) | | | (0.52 | ) | | | (0.36 | ) |
Net realized capital gains | | | (0.03 | ) | | | (0.07 | ) | | | (0.07 | ) | | | (0.32 | ) | | | (0.82 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.48 | ) | | | (0.55 | ) | | | (0.64 | ) | | | (0.84 | ) | | | (1.18 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 13.58 | | | $ | 14.25 | | | $ | 14.39 | | | $ | 14.84 | | | $ | 14.70 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(b) | | | (1.39 | )% | | | 3.02 | % | | | 1.34 | % | | | 7.01 | % | | | 8.72 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 1,683,547 | | | $ | 1,835,813 | | | $ | 1,986,300 | | | $ | 1,999,385 | | | $ | 2,514,770 | |
Net expenses | | | 0.97 | %(c) | | | 0.96 | % | | | 0.96 | % | | | 0.96 | % | | | 0.96 | % |
Gross expenses | | | 0.97 | % | | | 0.96 | % | | | 0.96 | % | | | 0.96 | % | | | 0.96 | % |
Net investment income | | | 3.42 | % | | | 4.03 | % | | | 3.57 | % | | | 3.82 | % | | | 4.01 | % |
Portfolio turnover rate | | | 30 | % | | | 13 | % | | | 6 | % | | | 11 | % | | | 17 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%. |
| | | | |
49 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Strategic Income Fund—Class C | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 14.39 | | | $ | 14.52 | | | $ | 14.97 | | | $ | 14.81 | | | $ | 14.80 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.38 | | | | 0.47 | | | | 0.41 | | | | 0.45 | | | | 0.47 | |
Net realized and unrealized gain (loss) | | | (0.68 | ) | | | (0.16 | ) | | | (0.33 | ) | | | 0.44 | | | | 0.61 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.30 | ) | | | 0.31 | | | | 0.08 | | | | 0.89 | | | | 1.08 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.34 | ) | | | (0.37 | ) | | | (0.46 | ) | | | (0.41 | ) | | | (0.25 | ) |
Net realized capital gains | | | (0.03 | ) | | | (0.07 | ) | | | (0.07 | ) | | | (0.32 | ) | | | (0.82 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.37 | ) | | | (0.44 | ) | | | (0.53 | ) | | | (0.73 | ) | | | (1.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 13.72 | | | $ | 14.39 | | | $ | 14.52 | | | $ | 14.97 | | | $ | 14.81 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(b) | | | (2.18 | )% | | | 2.27 | % | | | 0.60 | % | | | 6.20 | % | | | 7.91 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 277,896 | | | $ | 676,602 | | | $ | 1,153,853 | | | $ | 2,248,939 | | | $ | 3,433,204 | |
Net expenses | | | 1.72 | %(c) | | | 1.71 | % | | | 1.71 | % | | | 1.71 | % | | | 1.71 | % |
Gross expenses | | | 1.72 | % | | | 1.71 | % | | | 1.71 | % | | | 1.71 | % | | | 1.71 | % |
Net investment income | | | 2.75 | % | | | 3.30 | % | | | 2.79 | % | | | 3.08 | % | | | 3.26 | % |
Portfolio turnover rate | | | 30 | % | | | 13 | % | | | 6 | % | | | 11 | % | | | 17 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%. |
| | | | |
| | See accompanying notes to financial statements. | | | 50 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Strategic Income Fund—Class N | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 14.24 | | | $ | 14.38 | | | $ | 14.83 | | | $ | 14.69 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.52 | | | | 0.61 | | | | 0.56 | | | | 0.60 | | | | 0.61 | |
Net realized and unrealized gain (loss) | | | (0.66 | ) | | | (0.16 | ) | | | (0.32 | ) | | | 0.43 | | | | 0.62 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.14 | ) | | | 0.45 | | | | 0.24 | | | | 1.03 | | | | 1.23 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.50 | ) | | | (0.52 | ) | | | (0.62 | ) | | | (0.57 | ) | | | (0.41 | ) |
Net realized capital gains | | | (0.03 | ) | | | (0.07 | ) | | | (0.07 | ) | | | (0.32 | ) | | | (0.82 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.53 | ) | | | (0.59 | ) | | | (0.69 | ) | | | (0.89 | ) | | | (1.23 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 13.57 | | | $ | 14.24 | | | $ | 14.38 | | | $ | 14.83 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.06 | )% | | | 3.37 | % | | | 1.67 | % | | | 7.38 | % | | | 9.09 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 212,804 | | | $ | 202,989 | | | $ | 176,456 | | | $ | 141,695 | | | $ | 130,637 | |
Net expenses | | | 0.64 | %(b) | | | 0.63 | % | | | 0.63 | % | | | 0.63 | % | | | 0.63 | % |
Gross expenses | | | 0.64 | % | | | 0.63 | % | | | 0.63 | % | | | 0.63 | % | | | 0.63 | % |
Net investment income | | | 3.77 | % | | | 4.36 | % | | | 3.91 | % | | | 4.13 | % | | | 4.34 | % |
Portfolio turnover rate | | | 30 | % | | | 13 | % | | | 6 | % | | | 11 | % | | | 17 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%. |
| | | | |
51 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Strategic Income Fund—Class Y | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 14.23 | | | $ | 14.38 | | | $ | 14.83 | | | $ | 14.69 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.51 | | | | 0.60 | | | | 0.55 | | | | 0.59 | | | | 0.61 | |
Net realized and unrealized gain (loss) | | | (0.66 | ) | | | (0.17 | ) | | | (0.32 | ) | | | 0.43 | | | | 0.61 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.15 | ) | | | 0.43 | | | | 0.23 | | | | 1.02 | | | | 1.22 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.49 | ) | | | (0.51 | ) | | | (0.61 | ) | | | (0.56 | ) | | | (0.40 | ) |
Net realized capital gains | | | (0.03 | ) | | | (0.07 | ) | | | (0.07 | ) | | | (0.32 | ) | | | (0.82 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.52 | ) | | | (0.58 | ) | | | (0.68 | ) | | | (0.88 | ) | | | (1.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 13.56 | | | $ | 14.23 | | | $ | 14.38 | | | $ | 14.83 | | | $ | 14.69 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.14 | )% | | | 3.22 | % | | | 1.66 | % | | | 7.22 | % | | | 9.00 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 3,774,113 | | | $ | 4,316,010 | | | $ | 5,118,016 | | | $ | 5,702,607 | | | $ | 5,350,759 | |
Net expenses | | | 0.72 | %(b) | | | 0.71 | % | | | 0.71 | % | | | 0.71 | % | | | 0.71 | % |
Gross expenses | | | 0.72 | % | | | 0.71 | % | | | 0.71 | % | | | 0.71 | % | | | 0.71 | % |
Net investment income | | | 3.68 | % | | | 4.28 | % | | | 3.82 | % | | | 4.04 | % | | | 4.26 | % |
Portfolio turnover rate | | | 30 | % | | | 13 | % | | | 6 | % | | | 11 | % | | | 17 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%. |
| | | | |
| | See accompanying notes to financial statements. | | | 52 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Strategic Income Fund—Admin Class | |
| | Year Ended September 30, 2020
| | | Year Ended September 30, 2019
| | | Year Ended September 30, 2018
| | | Year Ended September 30, 2017
| | | Year Ended September 30, 2016
| |
Net asset value, beginning of the period | | $ | 14.20 | | | $ | 14.34 | | | $ | 14.79 | | | $ | 14.65 | | | $ | 14.66 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.44 | | | | 0.53 | | | | 0.48 | | | | 0.52 | | | | 0.53 | |
Net realized and unrealized gain (loss) | | | (0.66 | ) | | | (0.16 | ) | | | (0.33 | ) | | | 0.43 | | | | 0.61 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.22 | ) | | | 0.37 | | | | 0.15 | | | | 0.95 | | | | 1.14 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.42 | ) | | | (0.44 | ) | | | (0.53 | ) | | | (0.49 | ) | | | (0.33 | ) |
Net realized capital gains | | | (0.03 | ) | | | (0.07 | ) | | | (0.07 | ) | | | (0.32 | ) | | | (0.82 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.45 | ) | | | (0.51 | ) | | | (0.60 | ) | | | (0.81 | ) | | | (1.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 13.53 | | | $ | 14.20 | | | $ | 14.34 | | | $ | 14.79 | | | $ | 14.65 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.64 | )% | | | 2.78 | % | | | 1.09 | % | | | 6.79 | % | | | 8.42 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 103,197 | | | $ | 121,903 | | | $ | 133,220 | | | $ | 142,871 | | | $ | 143,275 | |
Net expenses | | | 1.22 | %(b) | | | 1.20 | %(c) | | | 1.20 | %(c) | | | 1.19 | %(d) | | | 1.20 | %(c) |
Gross expenses | | | 1.22 | % | | | 1.20 | %(c) | | | 1.20 | %(c) | | | 1.19 | %(d) | | | 1.20 | %(c) |
Net investment income | | | 3.19 | % | | | 3.80 | % | | | 3.33 | % | | | 3.57 | % | | | 3.76 | % |
Portfolio turnover rate | | | 30 | % | | | 13 | % | | | 6 | % | | | 11 | % | | | 17 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%. |
(c) | Includes refund of prior year service fee of 0.01%. |
(d) | Includes refund of prior year service fee of 0.02%. |
| | | | |
53 | | | See accompanying notes to financial statements. | | |
Notes to Financial Statements
September 30, 2020
1. Organization. Loomis Sayles Funds II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Loomis Sayles Growth Fund (the “Growth Fund”)
Loomis Sayles Strategic Income Fund (the “Strategic Income Fund”)
Each Fund is a diversified investment company.
Growth Fund was closed to new investors effective April 28, 2017. Growth Fund offers Class A, Class C, Class N, and Class Y shares to defined contribution and defined benefit plans, clients of registered investment advisers and registered representatives trading through intermediary programs/platforms on which the Fund is already available and existing shareholders. Strategic Income Fund offers Class A, Class C, Class N, Class Y and Admin Class shares.
Class A shares are sold with a maximum front-end sales charge of 5.75% for Growth Fund and 4.25% for Strategic Income Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A, Class C and Admin Class), and transfer agent fees are borne collectively for Class A, Class C, Class Y, and Admin Class and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net
Notes to Financial Statements (continued)
September 30, 2020
assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser 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 of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans 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.
Notes to Financial Statements (continued)
September 30, 2020
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.
As of September 30, 2020, securities held by Strategic Income Fund were fair valued as follows:
| | | | | | | | | | | | |
Securities classified as
fair valued | | Percentage of Net Assets | | | Securities fair valued by the Fund’s adviser | | | Percentage of
Net Assets | |
$67,661,488 | | | 1.1 | % | | $ | 26,283,040 | | | | 0.4 | % |
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. 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. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
Notes to Financial Statements (continued)
September 30, 2020
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
For the year ended September 30, 2020, the amount of income available to be distributed by Strategic Income Fund has been reduced by $29,222,029 as a result of losses arising from changes in exchange rates.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2020
Notes to Financial Statements (continued)
September 30, 2020
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 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 the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as distribution redesignations, defaulted and/or non-income producing securities, foreign currency gains and losses, premium amortization, convertible bonds, paydown gains and losses, partnership basis adjustments, corporate actions, contingent payment debt instruments, return of capital distributions received, capital gain distributions received, trust preferred securities and deferred Trustees’ fees. 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 corporate actions, deferred Trustees’ fees, wash sales, premium amortization, return of capital distributions received, trust preferred securities, defaulted and/or non-income producing securities, contingent payment debt instruments, partnership basis adjustments, foreign currency gains and
Notes to Financial Statements (continued)
September 30, 2020
losses, paydown gains and losses, capital gain distributions received and convertible bonds. 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, 2020 and 2019 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 2020 Distributions Paid From: | | | 2019 Distributions Paid From: | |
Fund | | Ordinary Income | | | Long-Term Capital Gains | | | Total | | | Ordinary Income | | | Long-Term Capital Gains | | | Total | |
Growth Fund | | $ | 44,589,045 | | | $ | 207,940,673 | | | $ | 252,529,718 | | | $ | 44,783,074 | | | $ | 359,635,192 | | | $ | 404,418,266 | |
Strategic Income Fund | | | 222,956,339 | | | | 11,005,230 | | | | 233,961,569 | | | | 263,812,130 | | | | 37,679,164 | | | | 301,491,294 | |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of September 30, 2020, the components of distributable earnings on a tax basis were as follows:
| | | | | | | | |
| | Growth Fund | | | Strategic Income Fund | |
Undistributed ordinary income | | $ | 24,501,470 | | | $ | 16,220,290 | |
Undistributed long-term capital gains | | | 484,020,341 | | | | — | |
| | | | | | | | |
Total undistributed earnings | | | 508,521,811 | | | | 16,220,290 | |
| | | | | | | | |
Capital loss carryforward: | |
Long-term: | |
No expiration date | | | — | | | | (96,389,024 | ) |
| | | | | | | | |
Unrealized appreciation (depreciation) | | | 4,887,576,408 | | | | (657,548,126 | ) |
| | | | | | | | |
Total accumulated earnings (losses) | | $ | 5,396,098,219 | | | $ | (737,716,860 | ) |
| | | | | | | | |
Notes to Financial Statements (continued)
September 30, 2020
As of September 30, 2020, unrealized appreciation (depreciation) as a component of distributable earnings were as follows:
| | | | | | | | |
| | Growth Fund | | | Strategic Income Fund | |
Unrealized appreciation (depreciation) | | | | | | | | |
Investments | | $ | 4,887,576,408 | | | $ | (193,460,877 | ) |
Foreign currency translations | | | — | | | | (464,087,249 | ) |
| | | | | | | | |
Total unrealized appreciation (depreciation) | | $ | 4,887,576,408 | | | $ | (657,548,126 | ) |
| | | | | | | | |
As of September 30, 2020, the tax cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:
| | | | | | | | |
| | Growth Fund | | | Strategic Income Fund | |
Federal tax cost | | $ | 6,608,773,397 | | | $ | 6,650,144,657 | |
| | | | | | | | |
Gross tax appreciation | | $ | 5,073,833,434 | | | $ | 654,391,142 | |
Gross tax depreciation | | | (186,257,026 | ) | | | (1,312,026,190 | ) |
| | | | | | | | |
Net tax appreciation (depreciation) | | $ | 4,887,576,408 | | | $ | (657,635,048 | ) |
| | | | | | | | |
The difference between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currency mark-to-market.
f. Senior Loans. Strategic Income Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. Senior loans outstanding at the end of the period are listed in the Fund’s Portfolio of Investments.
g. Loan Participations. A Fund’s investments in senior loans may be in the form of participations in loans. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters
Notes to Financial Statements (continued)
September 30, 2020
arising under the loan agreement. Thus, a Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, a Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
There were no loan participations held by the Funds as of September 30, 2020.
h. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2020, 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.
i. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the year ended September 30, 2020, neither Fund had loaned securities under this agreement.
Notes to Financial Statements (continued)
September 30, 2020
j. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
k. New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of the adoption of ASU 2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. Amended disclosures required and permitted for early adoption by ASU 2018-13 have been incorporated in the Funds’ annual financial statements as of September 30, 2020.
In March 2020, the FASB issued Accounting Standard Update 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than December 31, 2021, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.
Notes to Financial Statements (continued)
September 30, 2020
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
| • | | Level 1 – quoted prices in active markets for identical assets or liabilities; |
| • | | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| • | | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2020, at value:
Growth Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks(a) | | $ | 11,388,858,288 | | | $ | — | | | $ | — | | | $ | 11,388,858,288 | |
Short-Term Investments | | | — | | | | 107,491,517 | | | | — | | | | 107,491,517 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 11,388,858,288 | | | $ | 107,491,517 | | | $ | — | | | $ | 11,496,349,805 | |
| | | | | | | | | | | | | | | | |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Notes to Financial Statements (continued)
September 30, 2020
Strategic Income Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Bonds and Notes | | | | | | | | | | | | | | | | |
Non-Convertible Bonds | | | | | | | | | | | | | | | | |
ABS Other | | $ | — | | | $ | — | | | $ | 14,229,305 | (b)(c) | | $ | 14,229,305 | |
Finance Companies | | | 2,344,959 | | | | 323,720,695 | | | | — | | | | 326,065,654 | |
All Other Non-Convertible Bonds(a) | | | — | | | | 4,332,995,954 | | | | — | | | | 4,332,995,954 | |
| | | | | | | | | | | | | | | | |
Total Non-Convertible Bonds | | | 2,344,959 | | | | 4,656,716,649 | | | | 14,229,305 | | | | 4,673,290,913 | |
| | | | | | | | | | | | | | | | |
Convertible Bonds | | | | | | | | | | | | | | | | |
Oil Field Services | | | — | | | | — | | | | 6,103,774 | (d) | | | 6,103,774 | |
All Other Convertible Bonds(a) | | | — | | | | 299,724,347 | | | | — | | | | 299,724,347 | |
| | | | | | | | | | | | | | | | |
Total Convertible Bonds | | | — | | | | 299,724,347 | | | | 6,103,774 | | | | 305,828,121 | |
| | | | | | | | | | | | | | | | |
Municipals(a) | | | — | | | | 96,264,555 | | | | — | | | | 96,264,555 | |
| | | | | | | | | | | | | | | | |
Total Bonds and Notes | | | 2,344,959 | | | | 5,052,705,551 | | | | 20,333,079 | | | | 5,075,383,589 | |
| | | | | | | | | | | | | | | | |
Senior Loans | | | | | | | | | | | | | | | | |
Construction Machinery | | | — | | | | — | | | | 11,064,036 | (d) | | | 11,064,036 | |
Technology | | | — | | | | 199,655 | | | | — | | | | 199,655 | |
| | | | | | | | | | | | | | | | |
Total Senior Loans | | | — | | | | 199,655 | | | | 11,064,036 | | | | 11,263,691 | |
| | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Chemicals | | | — | | | | 6,601,336 | | | | — | | | | 6,601,336 | |
Oil Field Services | | | — | | | | — | | | | — | (c) | | | — | |
Oil, Gas & Consumable Fuels | | | 13,209,886 | | | | 1,127,515 | | | | 100,378 | (c)(d) | | | 14,437,779 | |
Specialty Retail | | | — | | | | — | | | | — | (c) | | | — | |
All Other Common Stocks(a) | | | 669,138,378 | | | | — | | | | — | | | | 669,138,378 | |
| | | | | | | | | | | | | | | | |
Total Common Stocks | | | 682,348,264 | | | | 7,728,851 | | | | 100,378 | | | | 690,177,493 | |
| | | | | | | | | | | | | | | | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Convertible Preferred Stocks | | | | | | | | | | | | | | | | |
Energy | | | — | | | | — | | | | — | (c) | | | — | |
All Other Convertible Preferred Stocks(a) | | | 24,081,010 | | | | — | | | | — | | | | 24,081,010 | |
| | | | | | | | | | | | | | | | |
Total Convertible Preferred Stocks | | | 24,081,010 | | | | — | | | | — | | | | 24,081,010 | |
| | | | | | | | | | | | | | | | |
Non-Convertible Preferred Stocks | | | | | | | | | | | | | | | | |
REITs - Office Property | | | — | | | | 1,995,000 | | | | — | | | | 1,995,000 | |
REITs - Warehouse/Industrials | | | — | | | | 9,138,501 | | | | — | | | | 9,138,501 | |
All Other Non-Convertible Preferred Stocks(a) | | | 1,732,708 | | | | — | | | | — | | | | 1,732,708 | |
| | | | | | | | | | | | | | | | |
Total Non-Convertible Preferred Stocks | | | 1,732,708 | | | | 11,133,501 | | | | — | | | | 12,866,209 | |
| | | | | | | | | | | | | | | | |
Total Preferred Stocks | | | 25,813,718 | | | | 11,133,501 | | | | — | | | | 36,947,219 | |
| | | | | | | | | | | | | | | | |
Notes to Financial Statements (continued)
September 30, 2020
Strategic Income Fund (continued)
Asset Valuation Inputs (continued)
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Closed-End Investment Companies | | $ | 1,474,642 | | | $ | — | | | $ | — | | | $ | 1,474,642 | |
Warrants | | | — | | | | 5,921,575 | | | | — | | | | 5,921,575 | |
Short-Term Investments | | | — | | | | 171,341,400 | | | | — | | | | 171,341,400 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 711,981,583 | | | $ | 5,249,030,533 | | | $ | 31,497,493 | | | $ | 5,992,509,609 | |
| | | | | | | | | | | | | | | | |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Valued using broker-dealer bid prices ($5,214,453) or fair valued by the Fund’s adviser using a broker-dealer bid price provided by a single market maker ($9,014,852). |
(c) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs. |
(d) | Fair valued by the Fund’s adviser. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2019 and/or September 30, 2020:
Strategic Income Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | Balance as of September 30, 2019 | | | Accrued Discounts (Premiums) | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Purchases | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
Non-Convertible Bonds | | | | | | | | | | | | | | | | | | | | |
ABS Other | | $ | 23,351,916 | (a) | | $ | — | | | $ | 616 | | | $ | (16,860,948 | ) | | $ | 1,891,721 | |
Independent Energy | | | 3,593,400 | (a) | | | 233,933 | | | | (10,511,986 | ) | | | 6,684,653 | | | | — | |
Convertible Bonds | | | | | | | | | | | | | | | | | | | | |
Oil Field Services | | | — | | | | 38,716 | | | | — | | | | (3,139,942 | ) | | | 9,205,000 | |
Senior Loans | | | | | | | | | | | | | | | | | | | | |
Construction Machinery | | | — | | | | 925,665 | | | | — | | | | (7,840,687 | ) | | | — | |
Common Stocks | | | | | | | | | | | | | | | | | | | | |
Oil Field Services | | | — | | | | — | | | | — | | | | (17,677,239 | ) | | | 17,677,239 | |
Oil, Gas & Consumable Fuels | | | 1,569 | (a) | | | — | | | | (3,016,862 | ) | | | 2,434,371 | | | | — | |
Specialty Retail | | | — | (a) | | | — | | | | — | | | | — | | | | — | |
Preferred Stocks | | | | | | | | | | | | | | | | | | | | |
Convertible Preferred Stocks | | | | | | | | | | | | | | | | | | | | |
Energy | | | 37,004,766 | | | | — | | | | — | | | | (53,586,992 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 63,951,651 | | | $ | 1,198,314 | | | $ | (13,528,232 | ) | | $ | (89,986,784 | ) | | $ | 28,773,960 | |
| | | | | | | | | | | | | | | | | | | | |
Notes to Financial Statements (continued)
September 30, 2020
Strategic Income Fund (continued)
Asset Valuation Inputs (continued)
| | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | Sales | | | Transfers into Level 3 | | | Transfers out of Level 3 | | | Balance as of September 30, 2020 | | | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2020 | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
Non-Convertible Bonds | | | | | | | | | | | | | | | | | | | | |
ABS Other | | $ | (1,987,190 | ) | | $ | 7,833,190 | | | $ | — | | | $ | 14,229,305 | (a) | | $ | (16,672,427 | ) |
Independent Energy | | | — | | | | — | | | | — | | | | — | | | | — | |
Convertible Bonds | | | | | | | | | | | | | | | | | | | | |
Oil Field Services | | | — | | | | — | | | | — | | | | 6,103,774 | | | | (3,139,942 | ) |
Senior Loans | | | | | | | | | | | | | | | | | | | | |
Construction Machinery | | | — | | | | 17,979,058 | | | | — | | | | 11,064,036 | | | | (7,840,687 | ) |
Common Stocks | | | | | | | | | | | | | | | | | | | | |
Oil Field Services | | | — | | | | — | | | | — | | | | — | (a) | | | (17,677,239 | ) |
Oil, Gas & Consumable Fuels | | | — | | | | 681,300 | | | | — | | | | 100,378 | (a) | | | (582,491 | ) |
Specialty Retail | | | — | | | | — | | | | — | | | | — | (a) | | | — | |
Preferred Stocks | | | | | | | | | | | | | | | | | | | | |
Convertible Preferred Stocks | | | | | | | | | | | | | | | | | | | | |
Energy | | | — | | | | 16,582,226 | | | | — | | | | — | (a) | | | (53,586,992 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | (1,987,190 | ) | | $ | 43,075,774 | | | $ | — | | | $ | 31,497,493 | | | $ | (99,499,778 | ) |
| | | | | | | | | | | | | | | | | | | | |
(a) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs. |
A debt security valued at $7,833,190 was transferred from Level 2 to Level 3 during the period ended September 30, 2020. At September 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
A debt security valued at $17,979,058 was transferred from Level 2 to Level 3 during the period ended September 30, 2020. At September 30, 2019, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
Notes to Financial Statements (continued)
September 30, 2020
A common stock valued at $681,300 was transferred from Level 2 to Level 3 during the period ended September 30, 2020. At September 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.
A preferred stock valued at $7,427,418 was transferred from Level 1 to Level 3 during the period ended September 30, 2020. At September 30, 2019, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies. At September 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
A preferred stock valued at $9,154,808 was transferred from Level 2 to Level 3 during the period ended September 30, 2020. At September 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
4. Purchases and Sales of Securities. For the year ended September 30, 2020, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:
| | | | | | | | | | | | | | | | |
| | U.S. Government/ Agency Securities | | | Other Securities | |
Fund | | Purchases | | | Sales | | | Purchases | | | Sales | |
Growth Fund | | $ | — | | | $ | — | | | $ | 1,887,433,872 | | | $ | 2,081,138,762 | |
Strategic Income Fund | | | 1,592,880,484 | | | | 553,753,044 | | | | 604,967,995 | | | | 1,126,770,706 | |
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, LLC (“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:
| | | | | | | | | | | | | | | | | | | | |
| | Percentage of Average Daily Net Assets | |
Fund | | First $200 million | | | Next $1.8 billion | | | Next $13 billion | | | Next $10 billion | | | Over $25 billion | |
Growth Fund | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % |
Strategic Income Fund | | | 0.65 | % | | | 0.60 | % | | | 0.55 | % | | | 0.54 | % | | | 0.53 | % |
Notes to Financial Statements (continued)
September 30, 2020
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, 2021 for Growth Fund and until January 31, 2022 for Strategic Income Fund, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the year ended September 30, 2020 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | Expense Limit as a Percentage of Average Daily Net Assets | |
Fund | | Class A | | | Class C | | | Class N | | | Class Y | | | Admin Class | |
Growth Fund | | | 1.25 | % | | | 2.00 | % | | | 0.95 | % | | | 1.00 | % | | | — | |
Strategic Income Fund | | | 1.00 | % | | | 1.75 | % | | | 0.70 | % | | | 0.75 | % | | | 1.25 | % |
Prior to July 1, 2020, the expense limits as a percentage of average daily net assets under the expense limitation agreement for Strategic Income Fund were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | Expense Limit as a Percentage of Average Daily Net Assets | |
Fund | | Class A | | | Class C | | | Class N | | | Class Y | | | Admin Class | |
Strategic Income Fund | | | 1.25 | % | | | 2.00 | % | | | 0.95 | % | | | 1.00 | % | | | 1.50 | % |
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, 2020, the management fees for each Fund were as follows:
| | | | | | | | |
Fund | | Gross Management Fees | | | Percentage of Average Daily Net Assets | |
Growth Fund | | $ | 49,236,330 | | | | 0.50 | % |
Strategic Income Fund | | | 36,847,870 | | | | 0.57 | % |
Notes to Financial Statements (continued)
September 30, 2020
No expenses were recovered for either Fund during the year ended September 30, 2020 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”), and Strategic Income Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).
Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
Under the Admin Class Plan, Strategic Income 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 Strategic Income Fund may pay Natixis Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.
Notes to Financial Statements (continued)
September 30, 2020
For the year ended September 30, 2020, the service and distribution fees for each Fund were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | Service Fees | | | Distribution Fees | |
Fund | | Class A | | | Class C | | | Admin Class | | | Class C | | | Admin Class | |
Growth Fund | | $ | 3,307,164 | | | $ | 309,234 | | | $ | — | | | $ | 927,702 | | | $ | — | |
Strategic Income Fund | | | 4,323,049 | | | | 1,161,243 | | | | 282,169 | | | | 3,483,729 | | | | 282,169 | |
c. Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.
For the year ended September 30, 2020, the administrative fees for each Fund were as follows:
| | | | |
Fund | | Administrative Fees | |
Growth Fund | | $ | 4,349,704 | |
Strategic Income Fund | | | 2,869,683 | |
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
Notes to Financial Statements (continued)
September 30, 2020
For the year ended September 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
| | | | |
Fund | | Sub-Transfer Agent Fees | |
Growth Fund | | $ | 7,163,210 | |
Strategic Income Fund | | | 4,899,572 | |
As of September 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
| | | | |
Fund | | Reimbursements of Sub-Transfer Agent Fees | |
Growth Fund | | $ | 100,143 | |
Strategic Income Fund | | | 57,871 | |
Sub-transfer agent fees attributable to Class A, Class C, Class Y, and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended September 30, 2020, were as follows:
| | | | |
Fund | | Commissions | |
Growth Fund | | $ | 69,465 | |
Strategic Income Fund | | | 79,913 | |
f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000
Notes to Financial Statements (continued)
September 30, 2020
for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. 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 of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trust.
g. Affiliated Ownership. As of September 30, 2020, Loomis Sayles Funded Pension Plan and Trust and Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of the Growth Fund representing 0.14% and 0.69%, respectively, of the Fund’s net assets.
h. Affiliated Transactions. As a result of a business restructuring, Strategic Income Fund received common shares of Bellatrix Exploration Ltd. (the “Company”) constituting more than 5% of the voting securities of the Company. As such, the Company was considered to be an affiliate at September 30, 2019. These securities were written-off as worthless during the year ended September 30, 2020. Similarly, as a result of a business restructuring, the Fund received common shares of Pioneer Energy Services Corp. (the “Company”) constituting more than 5% of the voting securities of the Company. As such,
Notes to Financial Statements (continued)
September 30, 2020
the Company is considered to be an affiliate at September 30, 2020. A summary of affiliated transactions for the year ended September 30, 2020, is as follows:
| | | | | | | | | | | | | | | | |
| | Beginning Value | | | Purchase Cost | | | Sales Proceeds | | | Accrued Discounts (Premiums) | |
Bellatrix Exploration Ltd., 8.500% | | $ | 3,593,400 | | | $ | — | | | $ | — | | | $ | 16,926 | |
Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash) | | | — | | | | — | | | | — | | | | 217,007 | |
Bellatrix Exploration Ltd. | | | — | | | | — | | | | — | | | | — | |
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash | | | — | | | | 9,205,000 | | | | — | | | | 38,716 | |
Pioneer Energy Services Corp. | | | — | | | | 17,677,239 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | 3,593,400 | | | $ | 26,882,239 | | | $ | — | | | $ | 272,649 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | Realized Gain (Loss) | | | Change in Unrealized Gain (Loss) | | | Ending Value | | | Investment Income | |
Bellatrix Exploration Ltd., 8.500% | | $ | (5,893,816 | ) | | $ | 2,283,490 | | | $ | — | | | $ | — | |
Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash) | | | (4,618,170 | ) | | | 4,401,163 | | | | — | | | | — | |
Bellatrix Exploration Ltd. | | | (3,016,862 | ) | | | 3,016,862 | | | | — | | | | — | |
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash | | | — | | | | (3,139,942 | ) | | | 6,103,774 | | | | 168,445 | |
Pioneer Energy Services Corp. | | | — | | | | (17,677,239 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | (13,528,848 | ) | | $ | (11,115,666 | ) | | $ | 6,103,774 | | | $ | 168,445 | |
| | | | | | | | | | | | | | | | |
6. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C, Class Y and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
For the year ended September 30, 2020, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):
| | | | | | | | | | | | | | | | | | | | |
| | Transfer Agent Fees and Expenses | |
Fund | | Class A | | | Class C | | | Class N | | | Class Y | | | Admin Class | |
Growth Fund | | $ | 1,116,452 | | | $ | 104,493 | | | $ | 3,281 | | | $ | 6,612,769 | | | $ | — | |
Strategic Income Fund | | | 1,428,586 | | | | 383,849 | | | | 3,349 | | | | 3,308,771 | | | | 93,237 | |
Notes to Financial Statements (continued)
September 30, 2020
7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected 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, 2020, neither Fund had borrowings under this agreement.
8. Risk. Strategic Income Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.
Global markets have experienced periods of high volatility triggered by the ongoing public health emergency known as coronavirus (“Covid-19”). As the situation continues, the extent and duration of the impact that the Covid-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the Covid-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.
9. 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, 2020, 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:
| | | | | | | | |
| | Number of 5% Account Holders | | | Percentage of Ownership | |
Growth Fund | | | 4 | | | | 41.64 | % |
Notes to Financial Statements (continued)
September 30, 2020
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
10. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| | | | | | | | | | | | | | | | |
| |
| Year Ended September 30, 2020 | | |
| Year Ended September 30, 2019 | |
Growth Fund | | | Shares | | | | Amount | | | | Shares | | | | Amount | |
Class A | |
Issued from the sale of shares | | | 17,054,510 | | | $ | 295,932,287 | | | | 19,091,773 | | | $ | 297,048,970 | |
Issued in connection with the reinvestment of distributions | | | 1,535,788 | | | | 26,261,967 | | | | 3,582,164 | | | | 47,177,097 | |
Redeemed | | | (25,287,462 | ) | | | (430,112,221 | ) | | | (12,138,033 | ) | | | (185,450,226 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (6,697,164 | ) | | $ | (107,917,967 | ) | | | 10,535,904 | | | $ | 158,775,841 | |
| | | | | | | | | | | | | | | | |
Class C | |
Issued from the sale of shares | | | 1,233,665 | | | $ | 19,482,505 | | | | 1,154,714 | | | $ | 15,338,399 | |
Issued in connection with the reinvestment of distributions | | | 120,727 | | | | 1,870,055 | | | | 332,911 | | | | 3,998,270 | |
Redeemed | | | (2,748,722 | ) | | | (44,108,509 | ) | | | (2,056,040 | ) | | | (28,433,099 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (1,394,330 | ) | | $ | (22,755,949 | ) | | | (568,415 | ) | | $ | (9,096,430 | ) |
| | | | | | | | | | | | | | | | |
Class N | |
Issued from the sale of shares | | | 17,025,202 | | | $ | 315,167,287 | | | | 8,887,567 | | | $ | 147,132,489 | |
Issued in connection with the reinvestment of distributions | | | 728,950 | | | | 13,354,361 | | | | 2,024,898 | | | | 28,510,563 | |
Redeemed | | | (17,501,743 | ) | | | (331,093,667 | ) | | | (43,548,774 | ) | | | (706,227,218 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 252,409 | | | $ | (2,572,019 | ) | | | (32,636,309 | ) | | $ | (530,584,166 | ) |
| | | | | | | | | | | | | | | | |
Class Y | |
Issued from the sale of shares | | | 129,418,130 | | | $ | 2,410,503,407 | | | | 117,111,537 | | | $ | 1,914,578,957 | |
Issued in connection with the reinvestment of distributions | | | 8,337,704 | | | | 152,830,107 | | | | 16,819,594 | | | | 236,988,075 | |
Redeemed | | | (127,998,579 | ) | | | (2,403,446,308 | ) | | | (111,406,135 | ) | | | (1,805,455,678 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 9,757,255 | | | $ | 159,887,206 | | | | 22,524,996 | | | $ | 346,111,354 | |
| | | | | | | | | | | | | | | | |
Increase (decrease) from capital share transactions | | | 1,918,170 | | | $ | 26,641,271 | | | | (143,824 | ) | | $ | (34,793,401 | ) |
| | | | | | | | | | | | | | | | |
Notes to Financial Statements (continued)
September 30, 2020
10. Capital Shares (continued).
| | | | | | | | | | | | | | | | |
| |
| Year Ended September 30, 2020 | | |
| Year Ended September 30, 2019 | |
Strategic Income Fund | | | Shares | | | | Amount | | | | Shares | | | | Amount | |
Class A | |
Issued from the sale of shares | | | 32,299,438 | | | $ | 444,080,248 | | | | 27,644,005 | | | $ | 388,066,928 | |
Issued in connection with the reinvestment of distributions | | | 3,167,184 | | | | 43,610,276 | | | | 3,733,655 | | | | 52,153,952 | |
Redeemed | | | (40,330,246 | ) | | | (554,003,991 | ) | | | (40,562,001 | ) | | | (568,498,683 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (4,863,624 | ) | | $ | (66,313,467 | ) | | | (9,184,341 | ) | | $ | (128,277,803 | ) |
| | | | | | | | | | | | | | | | |
Class C | |
Issued from the sale of shares | | | 1,902,282 | | | $ | 26,312,714 | | | | 2,930,132 | | | $ | 41,347,083 | |
Issued in connection with the reinvestment of distributions | | | 600,408 | | | | 8,382,443 | | | | 1,354,833 | | | | 19,052,625 | |
Redeemed | | | (29,280,757 | ) | | | (408,234,280 | ) | | | (36,710,107 | ) | | | (519,364,178 | ) |
| | | | | | | | �� | | | | | | | | |
Net change | | | (26,778,067 | ) | | $ | (373,539,123 | ) | | | (32,425,142 | ) | | $ | (458,964,470 | ) |
| | | | | | | | | | | | | | | | |
Class N | |
Issued from the sale of shares | | | 8,682,262 | | | $ | 119,974,137 | | | | 5,710,006 | | | $ | 80,153,591 | |
Issued in connection with the reinvestment of distributions | | | 464,321 | | | | 6,391,355 | | | | 502,914 | | | | 7,022,689 | |
Redeemed | | | (7,719,864 | ) | | | (106,340,515 | ) | | | (4,226,437 | ) | | | (59,477,704 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 1,426,719 | | | $ | 20,024,977 | | | | 1,986,483 | | | $ | 27,698,576 | |
| | | | | | | | | | | | | | | | |
Class Y | |
Issued from the sale of shares | | | 85,620,721 | | | $ | 1,132,582,915 | | | | 60,558,641 | | | $ | 847,970,819 | |
Issued in connection with the reinvestment of distributions | | | 8,028,339 | | | | 110,319,204 | | | | 10,011,095 | | | | 139,677,190 | |
Redeemed | | | (118,624,705 | ) | | | (1,608,285,687 | ) | | | (123,342,737 | ) | | | (1,721,792,645 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (24,975,645 | ) | | $ | (365,383,568 | ) | | | (52,773,001 | ) | | $ | (734,144,636 | ) |
| | | | | | | | | | | | | | | | |
Admin Class | | | | | | | | | | | | | | | | |
Issued from the sale of shares | | | 1,076,312 | | | $ | 15,079,460 | | | | 1,029,988 | | | $ | 14,399,151 | |
Issued in connection with the reinvestment of distributions | | | 252,576 | | | | 3,465,330 | | | | 293,184 | | | | 4,080,471 | |
Redeemed | | | (2,287,176 | ) | | | (30,910,379 | ) | | | (2,027,234 | ) | | | (28,358,878 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (958,288 | ) | | $ | (12,365,589 | ) | | | (704,062 | ) | | $ | (9,879,256 | ) |
| | | | | | | | | | | | | | | | |
Decrease from capital share transactions | | | (56,148,905 | ) | | $ | (797,576,770 | ) | | | (93,100,063 | ) | | $ | (1,303,567,589 | ) |
| | | | | | | | | | | | | | | | |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Loomis Sayles Funds II and Shareholders of Loomis Sayles Strategic Income Fund and Loomis Sayles 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 Strategic Income Fund and Loomis Sayles Growth Fund (two of the funds constituting Loomis Sayles Funds II, hereafter collectively referred to as the “Funds”) as of September 30, 2020, the related statements of operations for the year ended September 30, 2020, the statements of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2020 (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, 2020, 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, 2020 and each of the financial highlights for each of the five years in the period ended September 30, 2020 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, 2020 by correspondence with the custodian, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
November 20, 2020
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.
2020 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2020, a percentage of dividends distributed by the Funds listed below qualifies for the dividends received deduction for corporate shareholders. These percentages are as follows:
| | | | |
Fund | | Qualifying Percentage | |
Growth Fund | | | 100.00 | % |
Strategic Income Fund | | | 14.66 | % |
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, 2020, unless subsequently determined to be different.
| | | | |
Fund | | Amount | |
Growth Fund | | $ | 207,940,673 | |
Strategic Income Fund | | | 11,005,230 | |
Qualified Dividend Income. For the fiscal year ended September 30, 2020, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2020, complete information will be reported in conjunction with Form 1099-DIV.
| | | | |
Fund | | | |
Growth Fund | | | | |
Strategic Income Fund | | | | |
Trustee and Officer Information
The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds II (the “Trust”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios 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 | | 54 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 Chairperson of Governance Committee and Audit Committee Member | | Executive Chairman of Bob’s Discount Furniture (retail) | | 54 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) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, Qualifications, Attributes, Skills for Board Membership |
| | | |
INDEPENDENT TRUSTEES continued | | | | | | |
| | | | |
Richard A. Goglia (1951) | | Trustee since 2015 Contract Review Committee Member and Governance Committee Member | | Retired; | | 54 Director of Triumph Group (aerospace industry) | | Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) |
| | | | |
Wendell J. Knox (1948) | | Trustee since 2009 Chairperson of Contract Review Committee | | Retired | | 54 Director of Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank) | | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, Qualifications, Attributes, Skills for Board Membership |
| | | |
INDEPENDENT TRUSTEES continued | | | | | | |
| | | | |
Martin T. Meehan (1956) | | Trustee since 2012 Audit Committee Member | | President, University of Massachusetts | | 54 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) | | 54 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) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios 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) | | 54 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 Audit Committee Member | | Professor of Finance at Babson College | | 54 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 | | 54 None | | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios 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) | | 54 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 Audit Committee and Governance Committee Member | | Deputy Dean for Finance and Administration, Yale University School of Medicine | | 54 None | | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, Qualifications, Attributes, Skills for Board Membership |
|
INTERESTED TRUSTEES |
| | | | |
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | | Trustee since 2015 | | President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P. | | 54 None | | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
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David L. Giunta4 (1965) | | Trustee since 2011 | | 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 | | 54 None | | Significant experience on the Board; experience as President and Chief Executive Officer of 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 Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation. |
Trustee and Officer Information
| | | | | | |
Name and Year of Birth | | Position(s) Held with the Trust | | Term of Office1 and Length of Time Served | | Principal Occupation(s) During Past 5 Years2 |
| | |
OFFICERS OF THE TRUST | | | | |
| | | |
Daniel J. Fuss (1933) One Financial Center Boston, MA 02111 | | Executive Vice President of Loomis Sayles Funds I and Loomis Sayles Funds II | | Since 2003 | | Vice Chairman and Director, Loomis, Sayles & Company, L.P. |
| | | |
Russell L. Kane (1969) | | Secretary, Clerk and Chief Legal Officer Chief Compliance Officer and Anti-Money Laundering Officer | | Since 2016 Since 2020 | | Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, 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. |
1 | Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, 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. |
Annual Report
September 30, 2020
Loomis Sayles Core Plus Bond Fund
Loomis Sayles Global Allocation Fund
Table of Contents
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.
LOOMIS SAYLES CORE PLUS BOND FUND
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Managers | | Symbols |
| |
Ian Anderson | | Class A NEFRX |
| |
Peter W. Palfrey, CFA® | | Class C NECRX |
| |
Richard G. Raczkowski | | Class N NERNX |
| |
Barath Sankaran, CFA® | | Class Y NERYX |
| |
Loomis, Sayles & Company, L.P. | | |
Investment Goal
The Fund seeks high total investment return through a combination of current income and capital appreciation.
Market Conditions
The global fixed-income market produced solid gains to finish the fiscal year, continuing its recovery since the turmoil of late March, albeit at a slower pace compared to the second quarter. Investors appeared confident that the US Federal Reserve (Fed) and other global central banks would keep interest rates low indefinitely in response to the growth slowdown caused by Covid-19. Most notably, the Fed formally adopted a new policy regime known as Flexible Average Inflation Targeting at this year’s Jackson Hole conference. Under this new approach, a 2% inflation rate is no longer the Fed’s implicit ceiling, but rather now clearly defined as its long-term average target. This shift implies that the Fed could keep interest rates low for an extended period even if inflation begins to tick up above the average inflation target. Together, these factors helped US Treasuries hold on to their gains from the first half of the year. The credit-sensitive segments of the market also performed well, as the combination of improving economic data and apparent progress toward a coronavirus vaccine helped support investors’ appetite for risk. However, the markets remained on edge as the period drew to a close, due to uncertainties surrounding the US elections, the continued spread of Covid-19, and the expected magnitude of the economic recovery in 2021.
US Treasuries posted narrow gains but finished with the weakest performance among the major bond market segments. Treasuries entered the quarter at historically low yields due to their significant rally earlier in the year. (Prices and yields move in opposite directions.) With little in the way of additional negative news to fuel a renewed “flight to quality,” Treasuries largely traded sideways in a tight range. As a result, the yield on the bellwether 10-year note finished the quarter little changed from the level at which it closed on June 30.
Investment-grade corporates performed well thanks to the combination of a benign rate environment and a persistent demand for yield. In addition, investors appeared confident that the Fed would continue to backstop the corporate bond market through direct purchases if necessary.
During the quarter, asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) outperformed Treasuries as securitized credit sectors continued to recover. Agency mortgage-backed securities (MBS) underperformed duration-matched
Treasuries for the period. Total returns for securitized assets were positive on the quarter as demand for yield drove spreads tighter.
High yield bonds outpaced investment-grade corporates in the quarter, as the generally favorable investment backdrop encouraged investors to take on higher risk in search of more attractive yields. Oil prices recovered from their April lows, which proved to be supportive for the many distressed energy issuers in the category.
Emerging market debt was one of the stronger performing major fixed-income categories in the quarter, partially due to weakness in the US dollar. The category’s outperformance occurred despite rising economic uncertainty in Brazil and a sharp decline in the Turkish lira. The strength in emerging market bonds in the face of these potential headwinds helps illustrate the extent of investors’ thirst for yield.
Performance Results
For the 12 months ended September 30, 2020, Class Y shares of the Loomis Sayles Core Plus Bond Fund returned 8.87% at net asset value. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 6.98%.
Explanation of Fund Performance
The Fund’s overweight to US investment grade corporate bonds, paired with strong security selection within the sector, was the largest contributor to relative return over the 12-month period. An out-of-benchmark allocation to high yield corporate bonds also benefited performance relative to the benchmark. The Fund’s slightly above-benchmark stance with respect to duration (and corresponding sensitivity to changes in interest rates) generated excess returns as Treasury yields declined over the period. Finally, allocations to and selection within securitized agency sectors, most notably pass-through MBS, boosted return over the period. On the downside, security selection within non-securitized US agency issues hindered relative performance for the 12-month period. The Fund’s allocation to floating rate bank loans acted as a constraint on performance, and an underweight to US Treasuries also weighed on relative performance as Treasury yields declined notably over the period.
Outlook
We expect the Federal Reserve’s fed funds rate to remain unchanged at the zero lower bound and the front end of the Treasury yield curve to remain anchored for the foreseeable future. We do not anticipate the Fed bringing rates into negative territory on the view that negative policy rates are broadly disruptive to a nation’s financial system. We believe US Treasury yields will trade in a fairly tight range through the US presidential election date, but may respond more acutely in the days following depending on the result and whether the result is contested. Once the results are determined, however, we see more potential for yields to rise as we move through 2021. In particular, improving prospects for a vaccine rollout could be a catalyst for rising intermediate and longer maturity Treasury yields, while the front end remains anchored. With the demand side of the equation improving, we believe there will likely be pockets of inflation as supply remains disrupted and we continue to see ultra-accommodative monetary policy and ample fiscal support.
LOOMIS SAYLES CORE PLUS BOND FUND
Our base case expectation is that we are in the credit repair phase of the credit cycle1 and are starting to push towards recovery in some segments of the US economy. Credit sector valuations have trended toward levels observed prior to the first quarter of 2020, but still present a potential opportunity to obtain an attractive yield advantage over duration-matched government bonds. We believe corporate credit spreads may continue to tighten, albeit much more gradually than what we saw in the second quarter. Despite the weakened fundamental picture in the post-Covid environment, we believe corporate credit remains supported by a strong technical backdrop headlined by committed central bank support and strong investor demand for incremental yield.
We are favoring sectors offering higher yield potential than Treasuries and remain underweight in government bonds given the low yield environment. In particular, investment grade and high yield corporate credit risk was dramatically increased at significantly cheaper levels during the peak of the Covid-induced selloff in risk assets. However, as valuations move closer to what we consider to be “fair value,” we have become more selective in adding to these exposures, and have started to cull those industries and issuers that we believe now offer less incremental value. We continue to participate in attractive new issues and may also look for swap opportunities along an individual issuer’s credit curve.
Currently, our overall portfolio credit quality is A1 with half of the portfolio remaining in AAA issues. Holdings in nominal Treasuries continue to be underweight on both a market value and contribution-to-duration basis (duration is a measure of sensitivity to changes in interest rates). Within securitized assets, we continue to be underweight in agency mortgage-backed securities, marginally overweight to agency commercial mortgage-backed securities, and continue to maintain an overweight to high-quality asset-backed securities. With respect to investment grade corporate credit, we have moved from a pre-Covid underweight position to an overweight position.
We continue to favor long Treasury inflation-protected securities (TIPS) as an alternative to long nominal Treasuries. We presently have an approximately 2% market value allocation to long TIPS, which is down significantly from earlier this year, but still accounts for about 10% of our total duration contribution. We continue to consider our TIPS position to be a potentially valuable hedge against an eventual abatement in virus contagion fears and as inflation expectations trend back towards more normal levels.
In addition to TIPS, we currently have about a 6.5% allocation to fixed rate high yield corporate bonds, as well as a 2%–3% market weight target to floating rate bank loans. We continue to favor higher quality, shorter duration fixed rate high yield and secured higher quality bank loans as a potential source of front-end yield. This exposure is up meaningfully versus levels just prior to the downturn.
Our portfolio duration (which reflects price sensitivity to changes in interest rate expectations) is approximately 0.70 years longer than the benchmark on a nominal basis. However, our empirical duration is running 0.80 years shorter than the benchmark, largely due to our TIPS, high yield corporate and investment grade corporate exposures. Our overall shorter empirical duration will continue to be our bias with higher rates in the
future likely in a post-Covid environment in which vaccines are widely available. However, we are maintaining some long end nominal rate exposure, as well as real rate exposure, which we believe could provide protection should we enter a period of greater uncertainty.
Our non-US dollar exposure is approximately 1.8% of total market value, composed primarily of the Mexican peso and a small allocation to the Uruguayan peso. Our focus has been on more pro-cyclical economies and foreign currencies tied to trade with the US, where we can also seek a potential yield advantage versus what is available in the US dollar market.
During periods in which the US dollar appreciates relative to foreign currencies, funds that hold non-US-dollar-denominated bonds may realize currency losses in connection with the maturity or sale of certain bonds. These losses impact a fund’s ordinary income distributions (to the extent that losses are not offset by realized currency gains within the fund’s fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a fund has available to distribute, even though these bonds continue to generate coupon income.
Fund officers have analyzed the fund’s current portfolio of investments, realized currency gains and losses, schedule of maturities, and the corresponding amounts of unrealized currency losses that may become realized during the current fiscal year. This analysis is performed regularly to determine how realized currency losses will impact periodic ordinary income distributions for the fund. Based on the most recent quarterly analysis (as of September 30, 2020), fund officers believe that realized currency losses will have an impact on the distributions in the 2021 fiscal year. This analysis is based on certain assumptions including, but not limited to, the level of foreign currency exchange rates, security prices, interest rates, the Fund adviser’s ability to manage realized currency losses, and the net asset level of the fund. Changes to these assumptions could materially impact the analysis and the amounts of future fund distributions. Fund officers will continue to monitor these amounts on a regular basis and take the necessary actions required to manage the fund’s distributions to address realized currency losses while seeking to avoid a return of capital distribution.
1 | A credit cycle is a cyclical pattern that follows credit availability and corporate health. |
LOOMIS SAYLES CORE PLUS BOND FUND
Hypothetical Growth of $100,000 Investment in Class Y Shares3
September 30, 2010 to September 30, 2020
Average Annual Total Returns — September 30, 20203
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | Life of | | | Expense Ratios4 | |
| | 1 Year | | | 5 Years | | | 10 Years | | | Class N | | | Gross | | | Net | |
| | | |
Class Y (Inception 12/30/94) | | | | | | | | | | | | | |
NAV | | | 8.87 | % | | | 5.70 | % | | | 4.93 | % | | | — | % | | | 0.48 | % | | | 0.48 | % |
| | | | | | |
Class A (Inception 11/7/73) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 8.60 | | | | 5.42 | | | | 4.67 | | | | — | | | | 0.73 | | | | 0.73 | |
With 4.25% Maximum Sales Charge | | | 3.97 | | | | 4.51 | | | | 4.21 | | | | — | | | | | | | | | |
| | | |
Class C (Inception 12/30/94) | | | | | | | | | | | | | |
NAV | | | 7.83 | | | | 4.65 | | | | 3.88 | | | | — | | | | 1.48 | | | | 1.48 | |
With CDSC1 | | | 6.83 | | | | 4.65 | | | | 3.88 | | | | — | | | | | | | | | |
| | | | | | |
Class N (Inception 2/1/13) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 8.95 | | | | 5.79 | | | | — | | | | 4.10 | | | | 0.39 | | | | 0.39 | |
| | | | | | |
Comparative Performance | | | | | | | | | | | | | | | | | | | | | | | | |
Bloomberg Barclays U.S. Aggregate Bond Index2 | | | 6.98 | | | | 4.18 | | | | 3.64 | | | | 3.46 | | | | | | | | | |
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 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. Aggregate Bond Index is broad-based index that covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
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 1/31/22. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
LOOMIS SAYLES GLOBAL ALLOCATION FUND
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Managers | | Symbols |
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Daniel J. Fuss, CFA®, CIC | | Class A LGMAX |
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Eileen N. Riley, CFA® | | Class C LGMCX |
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David W. Rolley, CFA® | | Class N LGMNX |
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Lee M. Rosenbaum | | Class Y LSWWX |
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Loomis, Sayles & Company, L.P. | | |
Investment Goal
The Fund seeks high total investment return through a combination of capital appreciation and current income.
Market Conditions
Financial markets experienced significant volatility in the past year, as investors grappled with the uncertainty surrounding Covid-19. The bulk of the market disruptions occurred in February and March, when world governments first aimed to contain the virus by locking down broad swaths of their economies. Higher-risk assets were hit hard in the ensuing selloff, while demand for lower-risk investments surged.
The US Federal Reserve (Fed) sought to counter the extraordinary developments by cutting the Fed Funds rate to zero and reinstituting quantitative easing through the purchases of US Treasuries and mortgage-backed securities. The Fed revived lending facilities last used in 2008, such as the TALF (Term Asset-Backed Loan Facility), which is a funding backstop for the asset-backed securities market. The central bank also established facilities never used before, such as the Corporate Credit Facilities, which allowed the Fed to purchase corporate bond assets for the first time in its history. In conjunction with a $2.2 trillion stimulus package passed by the US Congress, the Fed’s response fueled an impressive recovery in higher-risk assets from late-March onward.
Global equity markets plunged in mid-February, as the coronavirus began to spread throughout the United States and Europe. Resulting uncertainty regarding the trajectory of economic growth and corporate earnings fueled largely indiscriminate selling across global equity markets in early spring. The downturn abated in late summer as lockdown restrictions were lifted and consumer confidence began to rise.
The ensuing rally allowed most major equity indices to close the period in positive territory, but returns among sectors were highly disparate. Gains were primarily driven by strength in mega-cap US technology stocks, leading to a wide performance advantage for the growth style over value, and for large-cap over small-cap.
In fixed income, investment-grade corporates were notable beneficiaries of rising risk appetite and investors’ demand for high-quality alternatives to low-yielding government debt. Despite their downturn in the February-March selloff, corporates outperformed the broader fixed-income market for the full 12-month period.
7 |
High-yield corporate bonds also delivered positive returns. The category was supported by hopes for an economic recovery, reduced investor risk aversion and general support from fiscal and monetary policy. However, high-yield issues trailed investment-grade securities. Lower-quality debt was generally harder hit in the downturn due to lower market liquidity and the effect of falling oil prices, weighing on return for the full period.
The uncertain environment worked to the benefit of US Treasuries due to their status as a relative “safe haven.” Longer duration (and thus more interest rate sensitive) bonds delivered particularly robust gains. The yield on the 10-year note fell to an all-time low in March and remained close to that level thereafter on expectations that the Fed would pursue its low-rate policy indefinitely. (Prices and yields move in opposite directions.)
Performance Results
For the 12 months ended September 30, 2020 Class Y shares of the Loomis Sayles Global Allocation Fund returned 13.70% at net asset value. The Fund outperformed its primary index, the MSCI All Country World Index (Net), which returned 10.44%. The Fund outperformed its secondary blended benchmark, the 60% MSCI All Country World Index (Net)/40% Bloomberg Barclays Global Aggregate Index, which returned 9.26%.
Explanation of Performance
In equities, the largest contributors to return were Amazon, Alibaba, and Danaher. Shares of Amazon outperformed as the Covid-19 pandemic brought in-person shopping to a virtual standstill in many geographies, driving an increase in e-commerce penetration from both existing users as well as new users. We believe e-commerce penetration will remain at these levels as economies re-open, from its superior shopping experience and the closure of some brick and mortar retail stores. We also believe the current environment will advance the cloud adoption curve, with companies moving increasing amounts of data to the cloud to facilitate a remote work environment.
Shares of Alibaba, a Chinese e-commerce company, have outperformed as the pandemic has accelerated adoption of e-commerce, mobile shopping, and payments globally. In China, Alibaba has seen a growth in its user base as well as product categories. Additionally, the announcement of the Ant Group (formerly Ant Financial) initial public offering will likely provide increased visibility into the company’s payment business and how it interacts with Alibaba’s platforms.
Shares of Danaher, a healthcare technology company, outperformed over the period. The company has transformed from a conglomerate focused on cyclical end markets to a life sciences industry leader focusing on high-growth markets with recurring revenue characteristics. A recent example is Cytiva, the life science business which Danaher purchased from General Electric. Danaher is also playing an important part in the global pandemic effort as technologies from its Cytiva and Pall subsidiaries are being used in human trials as part of Covid-19 vaccine efforts.
In fixed income, corporate credit allocation was a positive source of relative return during the period. Particularly helpful to performance were overweight allocations to the
LOOMIS SAYLES GLOBAL ALLOCATION FUND
insurance, capital goods, and communications sectors. The fiscal support and backstops from leading central banks and attractiveness of corporate yields benefited the asset class.
Allocations to the crossover space (corporate bonds with ratings straddling the investment grade and high yield categories) also contributed to relative performance. In particular, BBB and BB holdings aided results as they generally outpaced higher-grade names. Industries that were beaten down in March and April, such as oil, automotive and home construction, recovered and outperformed higher quality bonds. Optimism surrounding a Covid vaccine, the phased re-opening of economies, and the ongoing fiscal and monetary support buoyed risk appetite.
With respect to interest rate positioning, the Fund’s large allocation to the US dollar fixed income market, where starting yields were globally competitive and yields declined considerably over the period, contributed to performance.
In equities, the largest detractors from performance were Marriott, M&T Bank, and CBRE. Shares of Marriott International, a global hotelier, underperformed as the Covid-19 pandemic caused a steep drop in demand. We eliminated our position as the pandemic made it difficult to quantify the downside, particularly as the fall in demand was unprecedented.
M&T Bank is a New York-based regional bank, focusing on small and mid-size business customers. US bank shares have generally been weak on concerns that sustained low interest rates will put pressure on revenue and economic weakness will impact loan quality. M&T Bank has been especially hard-hit due to its exposure to New York City commercial real estate, which accounts for about 10% of its loan book. While M&T’s New York commercial real estate exposure is higher than competitors, we are confident that the exposure is manageable given M&T’s strong loan underwriting experience, as well as the high level of collateral that it holds on these loans. We have a high degree of conviction in M&T’s quality and medium-term growth prospects.
Shares of CBRE, a global real estate services firm, underperformed. We eliminated our position as we believe the pandemic will likely result in structural changes in commercial real estate use, as a greater proportion of employees continue to work remotely in a post-pandemic world. This shift would likely reduce real estate demand, particularly in central business districts, resulting in sharper and longer-lasting falls in office rents and prices than in a typical recession. The pandemic is also accelerating the decline in mall and street-based retail real estate demand. Given the uncertainty in medium-term demand for CBRE’s services, our conviction in the holding declined and we decided to sell the stock.
In fixed income, select emerging market currencies had a negative impact. In particular, bonds denominated in the Brazilian real weighed on performance due to a deteriorating economic outlook as well as a surge in coronavirus cases in the country. Bonds denominated in the Turkish lira and the Chilean peso also detracted as these currencies depreciated over the period versus the dollar.
Exposure to US retail issuers also weighed on performance given general weakness in the sector on the back of coronavirus-related shutdowns, supply chain disruptions, and declining traffic numbers.
Select positions within high yield corporate bonds detracted. Global demand for oil has tapered in major growth regions such as India and China while stagnating in the US.
Currency and yield curve markets experienced slightly higher levels of volatility in the period and this resulted in derivatives driving a higher than typical level of total return. Although in line with the returns posted by the underlying cash bond markets, the fund’s use of forward and duration positions in managing relative exposures increased the derivative contributions to total return.
Outlook
The shape of the economic recovery depends on the trajectory of Covid-19, much of which will be determined by progress toward an effective antiviral therapy, a successful vaccine, and/or widely accessible and accurate testing capabilities. While progress has indeed been made in all of these areas, outcomes are still challenging to predict with certainty. A recovery is also reliant on the scope of continued fiscal and monetary support, as well as other relief packages, in the US and globally. Thus, our focus remains on investing in companies we believe have the ability to successfully navigate the crisis and generate value over the longer-term.
In equities, some of our holdings have been beneficiaries of the disruption, notably e-commerce companies, those with cloud offerings, and an online connected fitness company. For these businesses, the pandemic has accelerated demand. Many of our companies have leveraged this period of disruption to reduce costs. Some have increased use of augmented reality and virtual reality technologies to perform virtual sales and service visits. Many companies are reducing (or assessing) their real estate footprints; we anticipate an increased percentage of the work force will be working-from-home for an extended period of time. Across the portfolio, companies are opportunistically shoring up their balance sheets to ready themselves for a longer period of uncertainty, and in some cases positioning themselves for potential attractive opportunities.
Volatility has created attractive entry points for a number of new holdings in various industries. Over the 12 months we have added a diverse group of technology names spanning digital payments, cloud storage and collaboration, and semiconductor equipment. We have selectively initiated positions in consumer-related names, focusing on best-in-class retailers with compelling value propositions and the growing online fitness industry. We continue to have no direct exposure to the energy or utilities sectors as we typically (and certainly currently) do not find many opportunities which meet our three performance drivers.
As uncertainty around the pandemic persists, global equities could be impacted further. There is also the potential for heightened volatility in the fourth quarter with the US presidential elections in November. However, we believe our equity securities have sustainable competitive advantages and strong balance sheets which will prove resilient. This is evidenced by the portfolio’s average return on equity, which is meaningfully higher
LOOMIS SAYLES GLOBAL ALLOCATION FUND
than the MSCI ACWI benchmark, and financial leverage which is significantly less than the benchmark by our measures . This should allow most of our holdings the flexibility to weather challenging environments, and quite possibly emerge stronger.
In fixed income, we see opportunity for credit spreads to tighten further, albeit at a more gradual pace than we saw in the second quarter of 2020. Corporate credit offers an attractive yield advantage and our base case is that we are in the credit repair phase of the credit cycle. The credit repair phase is typically characterized by companies fortifying their balance sheets, reducing leverage, and cutting costs. Despite the weakening fundamental picture, corporate credit remains supported by a strong technical backdrop headlined by committed central bank support.
We expect US Treasury yields to trade in a fairly tight range through the US presidential election and into year end. We see more potential for yields to rise as we move into 2021, especially in the intermediate and long portions of the yield curve (which depicts the relationship among bond yields across the maturity spectrum). Rising prospects for a vaccine rollout could be a catalyst for yields to rise, especially for longer maturities given our view that the Fed will maintain very low short rates for the foreseeable future.
The probability of a multi-year weak dollar regime is rising as we head through the credit repair phase of the cycle. We expect that the US output gap will remain large for another year, reinforcing the Fed’s commitment to keeping rates lower for longer. Against this backdrop, there is also the possibility that European macroeconomic indicators normalize more quickly, which would reinforce the probability of a more sustained period of dollar weakness.
Hypothetical Growth of $100,000 Investment in Class Y Shares4
September 30, 2010 through September 30, 2020
See notes to chart on page 13.
Top Ten Holdings as of September 30, 2020
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| | Security Name | | % of Assets | |
1 | | Danaher Corp. | | | 3.08 | % |
2 | | Amazon.com, Inc. | | | 2.99 | |
3 | | Alibaba Group Holding Ltd., Sponsored ADR | | | 2.79 | |
4 | | MasterCard, Inc., Class A | | | 2.55 | |
5 | | IQVIA Holdings, Inc. | | | 2.38 | |
6 | | Roper Technologies, Inc. | | | 2.38 | |
7 | | Facebook, Inc., Class A | | | 2.32 | |
8 | | Linde PLC | | | 2.24 | |
9 | | S&P Global, Inc. | | | 2.22 | |
10 | | UnitedHealth Group, Inc. | | | 2.15 | |
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.
Average Annual Total Returns — September 30, 20204
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| | | | | | | | | | | Life of | | | Expense Ratios5 | |
| | 1 Year | | | 5 Years | | | 10 Years | | | Class N | | | Gross | | | Net | |
| | | |
Class Y (Inception 5/1/96) | | | | | | | | | | | | | |
NAV | | | 13.70 | % | | | 11.08 | % | | | 9.42 | % | | | — | % | | | 0.91 | % | | | 0.91 | % |
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Class A (Inception 2/1/06) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 13.41 | | | | 10.79 | | | | 9.15 | | | | — | | | | 1.16 | | | | 1.16 | |
With 5.75% Maximum Sales Charge | | | 6.89 | | | | 9.48 | | | | 8.50 | | | | — | | | | | | | | | |
| | | |
Class C (Inception 2/1/06) | | | | | | | | | | | | | |
NAV | | | 12.55 | | | | 9.97 | | | | 8.33 | | | | — | | | | 1.91 | | | | 1.91 | |
With CDSC1 | | | 11.55 | | | | 9.97 | | | | 8.33 | | | | — | | | | | | | | | |
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Class N (Inception 2/1/17) | | | | | | | | | | | | | | | | | | | | | | | | |
NAV | | | 13.78 | | | | — | | | | — | | | | 12.22 | | | | 0.82 | | | | 0.82 | |
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Comparative Performance | | | | | | | | | | | | | | | | | | | | | | | | |
MSCI All Country World Index (Net)2 | | | 10.44 | | | | 10.30 | | | | 8.55 | | | | 9.62 | | | | | | | | | |
Blended Index3 | | | 9.26 | | | | 7.96 | | | | 6.24 | | | | 7.96 | | | | | | | | | |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | The MSCI All Country World Index (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. |
3 | The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI All Country World Index (Net) and 40% Bloomberg Barclays Global Aggregate Bond Index. The Bloomberg Barclays Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The four major components of this index are the U.S. Aggregate, the Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
5 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/21. 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. |
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 Fund’s website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities the most recent 12-month period ended June 30 is available from the Fund’s 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 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.
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 Fund’s prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table 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, 2020 through September 30, 2020. 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 the 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 CORE PLUS BOND FUND | | BEGINNING ACCOUNT VALUE 4/1/2020 | | | ENDING ACCOUNT VALUE 9/30/2020 | | | EXPENSES PAID DURING PERIOD* 4/1/2020 - 9/30/2020 | |
Class A | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,067.30 | | | | $3.67 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,021.45 | | | | $3.59 | |
Class C | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,062.90 | | | | $7.53 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,017.70 | | | | $7.36 | |
Class N | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,069.20 | | | | $1.97 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,023.10 | | | | $1.92 | |
Class Y | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,068.80 | | | | $2.38 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,022.70 | | | | $2.33 | |
* | Expenses are equal to the Fund’s annualized expense ratio: 0.71%, 1.46%, 0.38% and 0.46% 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 366 (to reflect the half-year period). |
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LOOMIS SAYLES GLOBAL ALLOCATION FUND | | BEGINNING ACCOUNT VALUE 4/1/2020 | | | ENDING ACCOUNT VALUE 9/30/2020 | | | EXPENSES PAID DURING PERIOD* 4/1/2020 - 9/30/2020 | |
Class A | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,247.90 | | | | $6.46 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,019.25 | | | | $5.81 | |
Class C | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,243.00 | | | | $10.65 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,015.50 | | | | $9.57 | |
Class N | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,249.80 | | | | $4.61 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,020.90 | | | | $4.14 | |
Class Y | | | | | | | | | | | | |
Actual | | | $1,000.00 | | | | $1,249.20 | | | | $5.06 | |
Hypothetical (5% return before expenses) | | | $1,000.00 | | | | $1,020.50 | | | | $4.55 | |
* | Expenses are equal to the Fund’s annualized expense ratio: 1.15%, 1.90%, 0.82% and 0.90% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period). |
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 additional one-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 and Loomis Sayles Core Plus Bond Fund’s advisory administrator (the “Advisers”) 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 Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) the Advisers’ policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other
representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings. These updates have increased in frequency during the Covid-19 crisis.
The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.
The Board noted that, through December 31, 2019, each Fund’s one-, three- and five-year performance stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):
| | | | | | | | | | | | |
| | One-Year | | | Three-Year | | | Five-Year | |
Loomis Sayles Core Plus Bond Fund | | | 64 | % | | | 42 | % | | | 52 | % |
Loomis Sayles Global Allocation Fund | | | 6 | % | | | 1 | % | | | 1 | % |
In the case of a Fund that had performance that lagged that of a relevant category median as determined by the independent third party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies and (2) that the Fund’s more recent performance has been stronger relative to its category. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the Covid-19 crisis.
The Trustees also considered the Advisers’ performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory 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 Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of
advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Funds have expense caps in place, and that the current expenses were below their caps. They also considered the material terms of the Fund’s expense cap agreement. They further noted that management had proposed to reduce the expense cap for Loomis Sayles Core Plus Bond Fund on all share classes, effective as of July 1, 2020. The Trustees also noted that the total advisory fee rate for each Fund was at the median of its peer group of funds.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding 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 Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense caps. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense caps. With respect to economies of scale, the Trustees noted that each of the Funds had breakpoints in its advisory fee and that each of the Funds was subject to an expense cap. The Trustees also considered management’s proposal to reduce the expense cap for Loomis Sayles Core Plus Bond Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | | The effect of recent market and economic events, including but not limited to the Covid-19 crisis, on the performance, asset levels and expense ratios of each Fund. |
· | | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
· | | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Advisers. 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 the existing Agreements should be continued through June 30, 2021.
Liquidity Risk Management Program
Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through September 30, 2020)
Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.
The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator which is the adviser of the Fund.
In accordance with the Program, each of the Funds’ portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Loomis Sayles Core Plus Bond Fund has established an HLIM.
During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations during the period.
During the period January 1, 2020 through September 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.
Annual Program Assessment and Conclusion
In the opinion of the Program Administrator, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator has also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Program is operating effectively.
Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| Bonds and Notes — 89.0% of Net Assets | |
| Non-Convertible Bonds — 88.8% | |
| | | ABS Car Loan — 0.7% | |
$ | 11,349,000 | | | Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A | | $ | 11,440,396 | |
| 14,245,000 | | | Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class A, 2.720%, 11/20/2022, 144A | | | 14,457,504 | |
| 9,825,000 | | | Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A, 3.070%, 9/20/2023, 144A | | | 10,073,071 | |
| 4,732,000 | | | Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A | | | 4,842,289 | |
| 7,691,697 | | | CarMax Auto Owner Trust, Series 2019-4, Class A2A, 2.010%, 3/15/2023 | | | 7,751,935 | |
| 7,058,000 | | | Credit Acceptance Auto Loan Trust, Series 2017-3A, Class B, 3.210%, 8/17/2026, 144A | | | 7,090,924 | |
| 3,205,779 | | | Santander Drive Auto Receivables Trust, Series 2018-2, Class C, 3.350%, 7/17/2023 | | | 3,242,969 | |
| 2,350,000 | | | Santander Drive Auto Receivables Trust, Series 2019-3, Class A3, 2.160%, 11/15/2022 | | | 2,359,512 | |
| | | | | | | | |
| | | | | | | 61,258,600 | |
| | | | | | | | |
| | | ABS Credit Card — 0.1% | |
| 10,552,000 | | | World Financial Network Credit Card Master Trust, Series 2016-A, Class A, 2.030%, 4/15/2025 | | | 10,657,512 | |
| | | | | | | | |
| | | ABS Home Equity — 1.1% | |
| 1,705,593 | | | Bayview Koitere Fund Trust, Series 2017-SPL3, Class A, 4.000%, 11/28/2053, 144A(a) | | | 1,775,817 | |
| 2,138,733 | | | Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A | | | 2,196,552 | |
| 1,226,247 | | | Bayview Opportunity Master Fund IVa Trust, Series 2017-RT1, Class A1, 3.000%, 3/28/2057, 144A(a) | | | 1,257,587 | |
| 6,567,657 | | | Bayview Opportunity Master Fund IVa Trust, Series 2017-RT5, Class A, 3.500%, 5/28/2069, 144A(a) | | | 6,795,801 | |
| 3,766,958 | | | Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL1, Class A, 4.000%, 10/28/2064, 144A(a) | | | 3,916,689 | |
| 1,541,848 | | | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL2, Class A, 4.000%, 6/28/2054, 144A(a) | | | 1,582,979 | |
| 5,508,713 | | | CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A | | | 5,713,562 | |
| 27,373 | | | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(a)(b)(c) | | | 27,065 | |
| 23,033,673 | | | Invitation Homes Trust, Series 2018-SFR2, Class A, 1-month LIBOR + 0.900%, 1.052%, 6/17/2037, 144A(d) | | | 22,990,393 | |
| 6,379,100 | | | Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, 3-month LIBOR + 0.770%, 1.026%, 12/22/2069, 144A(d) | | | 6,387,431 | |
| 1,417,875 | | | Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(a) | | | 1,437,202 | |
| 5,200,384 | | | Onslow Bay Financial LLC, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048, 144A(a) | | | 5,408,800 | |
| | | | |
23 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | ABS Home Equity — continued | |
$ | 1,482,395 | | | Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 8/25/2047, 144A(a) | | $ | 1,534,018 | |
| 1,068,352 | | | Sequoia Mortgage Trust, Series 2017-CH2, Class A10, 4.000%, 12/25/2047, 144A(a) | | | 1,075,693 | |
| 3,328,656 | | | Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 2/25/2048, 144A(a) | | | 3,408,558 | |
| 6,751,714 | | | Sequoia Mortgage Trust, Series 2018-CH3, Class A2, 4.000%, 8/25/2048, 144A(a) | | | 6,942,250 | |
| 1,454,000 | | | Towd Point Mortgage Trust, Series 2015-1, Class A5, 3.660%, 10/25/2053, 144A(a) | | | 1,530,926 | |
| 2,916,031 | | | Towd Point Mortgage Trust, Series 2015-2, Class 1A12, 2.750%, 11/25/2060, 144A(a) | | | 2,946,340 | |
| 4,763,689 | | | Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055, 144A(a) | | | 5,127,934 | |
| 3,759,327 | | | Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.750%, 8/25/2055, 144A(a) | | | 3,853,506 | |
| 5,712,060 | | | Towd Point Mortgage Trust, Series 2016-2, Class M2, 3.000%, 8/25/2055, 144A(a) | | | 6,007,664 | |
| 10,281,531 | | | Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058, 144A(a) | | | 11,120,481 | |
| | | | | | | | |
| | | | | | | 103,037,248 | |
| | | | | | | | |
| | | ABS Student Loan — 0.0% | |
| 4,229,000 | | | SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.540%, 5/15/2046, 144A | | | 4,389,097 | |
| | | | | | | | |
| | | ABS Whole Business — 0.3% | |
| 17,992,598 | | | Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A | | | 17,071,342 | |
| 13,471,080 | | | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A | | | 13,473,640 | |
| | | | | | | | |
| | | | | | | 30,544,982 | |
| | | | | | | | |
| | | Aerospace & Defense — 1.3% | |
| 18,782,000 | | | Boeing Co. (The), 5.705%, 5/01/2040 | | | 22,142,519 | |
| 18,792,000 | | | Boeing Co. (The), 5.805%, 5/01/2050 | | | 22,734,188 | |
| 3,595,000 | | | Boeing Co. (The), 5.930%, 5/01/2060 | | | 4,449,313 | |
| 874,000 | | | Bombardier, Inc., 5.750%, 3/15/2022, 144A | | | 846,906 | |
| 14,175,000 | | | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | | | 13,608,000 | |
| 1,813,000 | | | General Dynamics Corp., 4.250%, 4/01/2050 | | | 2,367,874 | |
| 4,685,000 | | | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A | | | 5,377,416 | |
| 13,257,000 | | | Raytheon Technologies Corp., 2.250%, 7/01/2030 | | | 14,021,093 | |
| 29,465,000 | | | Textron, Inc., 3.000%, 6/01/2030 | | | 31,034,155 | |
| | | | | | | | |
| | | | | | | 116,581,464 | |
| | | | | | | | |
| | | Agency Commercial Mortgage-Backed Securities — 1.4% | |
| 5,968,533 | | | Federal National Mortgage Association, Series 2015-M17, Class A2, 3.014%, 11/25/2025(a) | | | 6,541,285 | |
| 19,323,414 | | | Federal National Mortgage Association, Series 2017-M14, Class A2, 2.972%, 11/25/2027(a) | | | 21,783,416 | |
| | | | |
| | See accompanying notes to financial statements. | | | 24 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Agency Commercial Mortgage-Backed Securities — continued | |
$ | 1,575,872 | | | Federal National Mortgage Association, Series 2017-M15, Class A2, 3.058%, 9/25/2027(a) | | $ | 1,774,949 | |
| 7,206,290 | | | Federal National Mortgage Association, Series 2017-M3, Class A2, 2.565%, 12/25/2026(a) | | | 7,864,154 | |
| 6,206,747 | | | Federal National Mortgage Association, Series 2017-M7, Class A2, 2.961%, 2/25/2027(a) | | | 6,943,209 | |
| 11,259,203 | | | Federal National Mortgage Association, Series 2018-M1, Class A2, 3.084%, 12/25/2027(a) | | | 12,713,528 | |
| 2,335,328 | | | Federal National Mortgage Association, Series 2018-M10, Class A2, 3.482%, 7/25/2028(a) | | | 2,715,669 | |
| 17,016,566 | | | Federal National Mortgage Association, Series 2018-M7, Class A2, 3.150%, 3/25/2028(a) | | | 19,414,062 | |
| 4,428,579 | | | Federal National Mortgage Association, Series 2018-M8, Class A2, 3.436%, 6/25/2028(a) | | | 5,131,048 | |
| 2,629,617 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K058, Class A2, 2.653%, 8/25/2026 | | | 2,904,364 | |
| 5,881,039 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K061, Class A2, 3.347%, 11/25/2026(a) | | | 6,736,917 | |
| 6,640,495 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K062, Class A2, 3.413%, 12/25/2026 | | | 7,642,316 | |
| 4,846,745 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K063, Class A2, 3.430%, 1/25/2027(a) | | | 5,593,829 | |
| 868,628 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K069, Class A2, 3.187%, 9/25/2027(a) | | | 997,496 | |
| 1,243,610 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K071, Class A2, 3.286%, 11/25/2027 | | | 1,433,887 | |
| 7,637,281 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K072, Class A2, 3.444%, 12/25/2027 | | | 8,911,532 | |
| 2,420,767 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K073, Class A2, 3.350%, 1/25/2028 | | | 2,800,703 | |
| 9,934,637 | | | FHLMC Multifamily Structured Pass Through Certificates, Series K084, Class A2, 3.780%, 10/25/2028(a) | | | 11,751,010 | |
| | | | | | | | |
| | | | | | | 133,653,374 | |
| | | | | | | | |
| | | Airlines — 0.4% | |
| 442,490 | | | Continental Airlines Pass Through Trust, Series 2010-1, Class A, 4.750%, 7/12/2022 | | | 438,254 | |
| 2,030,271 | | | Continental Airlines Pass Through Trust, Series 2012-2, Class A, 4.000%, 4/29/2026 | | | 1,943,051 | |
| 18,085,000 | | | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028, 144A | | | 18,777,278 | |
| 15,670,000 | | | Southwest Airlines Co., 5.125%, 6/15/2027 | | | 17,129,127 | |
| | | | | | | | |
| | | | | | | 38,287,710 | |
| | | | | | | | |
| | | Automotive — 2.4% | |
| 11,401,000 | | | Ford Motor Credit Co. LLC, 3.336%, 3/18/2021 | | | 11,403,850 | |
| 26,285,000 | | | Ford Motor Credit Co. LLC, 5.750%, 2/01/2021 | | | 26,449,281 | |
| 15,580,000 | | | Ford Motor Credit Co. LLC, 5.875%, 8/02/2021 | | | 15,872,125 | |
| 20,253,000 | | | General Motors Co., 5.000%, 4/01/2035 | | | 21,941,239 | |
| | | | |
25 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Automotive — continued | |
$ | 7,913,000 | | | General Motors Financial Co., Inc., 2.900%, 2/26/2025 | | $ | 8,154,900 | |
| 2,440,000 | | | Hyundai Capital America, 2.375%, 10/15/2027, 144A | | | 2,440,027 | |
| 11,596,000 | | | Hyundai Capital America, 2.650%, 2/10/2025, 144A | | | 11,941,559 | |
| 21,599,000 | | | Hyundai Capital America, 3.000%, 10/30/2020, 144A | | | 21,638,477 | |
| 8,345,000 | | | Hyundai Capital America, 3.000%, 2/10/2027, 144A | | | 8,622,647 | |
| 17,499,000 | | | Lear Corp., 5.250%, 5/15/2049 | | | 18,980,758 | |
| 8,595,000 | | | Nissan Motor Co. Ltd., 3.043%, 9/15/2023, 144A | | | 8,712,876 | |
| 16,460,000 | | | Nissan Motor Co. Ltd., 3.522%, 9/17/2025, 144A | | | 16,607,152 | |
| 9,825,000 | | | Toyota Motor Corp., 2.358%, 7/02/2024 | | | 10,454,186 | |
| 16,490,000 | | | Toyota Motor Credit Corp., MTN, 1.800%, 2/13/2025 | | | 17,228,270 | |
| 7,946,000 | | | Volkswagen Group of America Finance LLC, 3.200%, 9/26/2026, 144A | | | 8,686,055 | |
| 12,887,000 | | | Volkswagen Group of America Finance LLC, 3.750%, 5/13/2030, 144A | | | 14,496,290 | |
| | | | | | | | |
| | | | | | | 223,629,692 | |
| | | | | | | | |
| | | Banking — 7.9% | |
| 29,836,000 | | | Ally Financial, Inc., 3.050%, 6/05/2023 | | | 31,003,258 | |
| 20,016,000 | | | American Express Co., 2.500%, 7/30/2024 | | | 21,303,604 | |
| 11,254,000 | | | Banco Santander Chile, 2.700%, 1/10/2025, 144A | | | 11,863,123 | |
| 15,204,000 | | | Banco Santander Chile, 3.875%, 9/20/2022, 144A | | | 16,040,220 | |
| 29,885,000 | | | Bangkok Bank PCL, 4.050%, 3/19/2024, 144A | | | 32,488,454 | |
| 9,656,000 | | | Bank of America Corp., (fixed rate to 12/20/2022, variable rate thereafter), 3.004%, 12/20/2023 | | | 10,136,823 | |
| 54,402,000 | | | Bank of America Corp., (fixed rate to 4/23/2026, variable rate thereafter), MTN, 3.559%, 4/23/2027 | | | 60,763,226 | |
| 6,700,000 | | | Barclays PLC, 3.200%, 8/10/2021 | | | 6,854,471 | |
| 8,805,000 | | | BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A | | | 8,602,485 | |
| 29,799,000 | | | BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A | | | 31,402,763 | |
| 6,645,000 | | | Citigroup, Inc., 4.000%, 8/05/2024 | | | 7,311,999 | |
| 28,532,000 | | | Citigroup, Inc., 4.050%, 7/30/2022 | | | 30,299,409 | |
| 9,000,000 | | | Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031 | | | 10,788,537 | |
| 5,853,000 | | | Credit Suisse AG, 2.100%, 11/12/2021 | | | 5,963,739 | |
| 34,005,000 | | | DNB Bank ASA, 2.150%, 12/02/2022, 144A | | | 35,199,017 | |
| 12,057,000 | | | Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023 | | | 12,888,384 | |
| 14,766,000 | | | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 | | | 21,453,941 | |
| 5,000,000 | | | Goldman Sachs Group, Inc. (The), (fixed rate to 6/5/2027, variable rate thereafter), 3.691%, 6/05/2028 | | | 5,604,644 | |
| 2,605,000 | | | HSBC Holdings PLC, 4.950%, 3/31/2030 | | | 3,135,908 | |
| 18,906,000 | | | Huntington Bancshares, Inc., 2.625%, 8/06/2024 | | | 20,136,835 | |
| 14,082,000 | | | JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031 | | | 15,108,638 | |
| 10,366,000 | | | JPMorgan Chase & Co., 3.200%, 1/25/2023 | | | 11,018,831 | |
| 9,705,000 | | | JPMorgan Chase & Co., 4.350%, 8/15/2021 | | | 10,053,366 | |
| 22,401,000 | | | JPMorgan Chase & Co., 4.500%, 1/24/2022 | | | 23,616,462 | |
| 31,750,000 | | | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 | | | 34,014,795 | |
| 3,235,000 | | | Lloyds Banking Group PLC, 3.000%, 1/11/2022 | | | 3,328,536 | |
| | | | |
| | See accompanying notes to financial statements. | | | 26 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Banking — continued | |
$ | 3,755,000 | | | Lloyds Banking Group PLC, 3.100%, 7/06/2021 | | $ | 3,834,250 | |
| 22,575,000 | | | Lloyds Banking Group PLC, 4.344%, 1/09/2048 | | | 26,532,575 | |
| 6,000,000 | | | Morgan Stanley, (fixed rate to 7/22/2027, variable rate thereafter), 3.591%, 7/22/2028 | | | 6,748,144 | |
| 3,210,000 | | | Morgan Stanley, GMTN, 3.700%, 10/23/2024 | | | 3,561,355 | |
| 11,914,000 | | | Morgan Stanley, GMTN, 5.500%, 7/28/2021 | | | 12,412,643 | |
| 20,667,000 | | | Morgan Stanley, Series F, 3.875%, 4/29/2024 | | | 22,806,841 | |
| 15,854,000 | | | Nationwide Building Society, (fixed rate to 4/26/2022, variable rate thereafter), 3.622%, 4/26/2023, 144A | | | 16,472,536 | |
| 17,572,000 | | | PNC Bank NA, (fixed rate to 12/9/2021, variable rate thereafter), 2.028%, 12/09/2022 | | | 17,901,699 | |
| 8,661,000 | | | Santander UK Group Holdings PLC, 5.625%, 9/15/2045, 144A | | | 10,586,264 | |
| 29,676,000 | | | Societe Generale S.A., 2.625%, 1/22/2025, 144A | | | 30,623,674 | |
| 25,261,000 | | | Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A | | | 26,171,534 | |
| 16,310,000 | | | Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | | | 16,609,941 | |
| 20,961,000 | | | Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024 | | | 22,302,173 | |
| 13,675,000 | | | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029 | | | 14,904,520 | |
| 24,004,000 | | | Toronto-Dominion Bank (The), MTN, 2.650%, 6/12/2024 | | | 25,682,465 | |
| | | | | | | | |
| | | | | | | 737,532,082 | |
| | | | | | | | |
| | | Building Materials — 0.4% | |
| 21,858,000 | | | Mohawk Industries, Inc., 3.625%, 5/15/2030 | | | 23,919,865 | |
| 8,129,000 | | | Owens Corning, 4.200%, 12/01/2024 | | | 8,959,621 | |
| 1,245,000 | | | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | | | 1,296,356 | |
| | | | | | | | |
| | | | | | | 34,175,842 | |
| | | | | | | | |
| | | Cable Satellite — 0.8% | |
| 25,075,000 | | | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | | | 25,917,771 | |
| 3,821,000 | | | CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A | | | 3,973,840 | |
| 10,784,000 | | | Comcast Corp., 2.650%, 2/01/2030 | | | 11,750,410 | |
| 6,753,000 | | | Comcast Corp., 3.750%, 4/01/2040 | | | 7,897,496 | |
| 6,120,000 | | | Time Warner Cable LLC, 4.500%, 9/15/2042 | | | 6,647,940 | |
| 877,000 | | | Time Warner Cable LLC, 5.500%, 9/01/2041 | | | 1,062,387 | |
| 2,514,000 | | | Time Warner Cable LLC, 5.875%, 11/15/2040 | | | 3,132,638 | |
| 8,019,000 | | | Time Warner Cable LLC, 6.550%, 5/01/2037 | | | 10,660,961 | |
| 1,911,000 | | | Time Warner Cable LLC, 6.750%, 6/15/2039 | | | 2,584,273 | |
| | | | | | | | |
| | | | | | | 73,627,716 | |
| | | | | | | | |
| | | Chemicals — 1.1% | |
| 3,498,000 | | | Air Products & Chemicals, Inc., 1.500%, 10/15/2025 | | | 3,628,692 | |
| 27,393,000 | | | Braskem America Finance Co., 7.125%, 7/22/2041, 144A | | | 28,954,401 | |
| 1,571,000 | | | Ecolab, Inc., 4.800%, 3/24/2030 | | | 2,003,877 | |
| 5,633,000 | | | Koppers, Inc., 6.000%, 2/15/2025, 144A | | | 5,710,454 | |
| 13,392,000 | | | Methanex Corp., 5.250%, 3/01/2022 | | | 14,185,476 | |
| 9,723,000 | | | Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044, 144A | | | 11,327,295 | |
| 10,599,000 | | | Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042, 144A | | | 13,492,527 | |
| | | | |
27 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Chemicals — continued | |
$ | 4,179,000 | | | RPM International, Inc., 3.450%, 11/15/2022 | | $ | 4,330,688 | |
| 12,792,000 | | | Sociedad Quimica y Minera de Chile S.A., Series 2020-A, Class A1FX, 4.250%, 1/22/2050, 144A | | | 13,997,262 | |
| 6,213,000 | | | Univar Solutions USA, Inc., 5.125%, 12/01/2027, 144A | | | 6,376,091 | |
| | | | | | | | |
| | | | | | | 104,006,763 | |
| | | | | | | | |
| | | Collateralized Mortgage Obligations — 0.2% | |
| 4,746,601 | | | Federal Home Loan Mortgage Corp., Series 3654, Class DC, 5.000%, 4/15/2030 | | | 5,529,938 | |
| 359,563 | | | Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 0.505%, 10/20/2060(d) | | | 358,805 | |
| 367,516 | | | Government National Mortgage Association, Series 2012-H18, Class NA, 1-month LIBOR + 0.520%, 0.675%, 8/20/2062(d) | | | 368,298 | |
| 294,451 | | | Government National Mortgage Association, Series 2013-H01, Class FA, 1.650%, 1/20/2063(b)(c) | | | 293,555 | |
| 587,048 | | | Government National Mortgage Association, Series 2013-H03, Class HA, 1.750%, 12/20/2062(b)(c) | | | 582,496 | |
| 496,948 | | | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(b)(c) | | �� | 495,599 | |
| 871,792 | | | Government National Mortgage Association, Series 2013-H07, Class DA, 2.500%, 3/20/2063(b)(c) | | | 872,424 | |
| 3,224,681 | | | Government National Mortgage Association, Series 2013-H10, Class PA, 2.500%, 4/20/2063 | | | 3,255,962 | |
| 10,832,146 | | | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | | | 11,055,876 | |
| 36,512 | | | Government National Mortgage Association, Series 2015-H13, Class FL, 1-month LIBOR + 0.280%, 0.435%, 5/20/2063(b)(c)(d) | | | 36,237 | |
| | | | | | | | |
| | | | | | | 22,849,190 | |
| | | | | | | | |
| | | Construction Machinery — 0.4% | |
| 6,702,000 | | | Caterpillar Financial Services Corp., MTN, 2.150%, 11/08/2024 | | | 7,126,844 | |
| 6,500,000 | | | CNH Industrial Capital LLC, 1.950%, 7/02/2023 | | | 6,621,866 | |
| 8,264,000 | | | CNH Industrial Capital LLC, 4.375%, 4/05/2022 | | | 8,661,498 | |
| 5,648,000 | | | Deere & Co., 3.750%, 4/15/2050 | | | 7,078,241 | |
| 4,547,000 | | | John Deere Capital Corp., MTN, 2.600%, 3/07/2024 | | | 4,861,617 | |
| | | | | | | | |
| | | | | | | 34,350,066 | |
| | | | | | | | |
| | | Consumer Cyclical Services — 0.6% | |
| 18,643,000 | | | Amazon.com, Inc., 4.250%, 8/22/2057 | | | 25,452,135 | |
| 8,360,000 | | | Expedia Group, Inc., 3.600%, 12/15/2023, 144A | | | 8,539,740 | |
| 4,120,000 | | | Expedia Group, Inc., 4.625%, 8/01/2027, 144A | | | 4,323,610 | |
| 4,566,000 | | | Expedia Group, Inc., 6.250%, 5/01/2025, 144A | | | 5,035,882 | |
| 3,878,000 | | | Expedia Group, Inc., 7.000%, 5/01/2025, 144A | | | 4,194,318 | |
| 4,823,000 | | | Mastercard, Inc., 3.850%, 3/26/2050 | | | 6,157,628 | |
| | | | | | | | |
| | | | | | | 53,703,313 | |
| | | | | | | | |
| | | Consumer Products — 0.4% | |
| 6,911,000 | | | Hasbro, Inc., 3.550%, 11/19/2026 | | | 7,322,613 | |
| 987,000 | | | Hasbro, Inc., 3.900%, 11/19/2029 | | | 1,038,777 | |
| | | | |
| | See accompanying notes to financial statements. | | | 28 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Consumer Products — continued | |
$ | 2,415,000 | | | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A | | $ | 2,457,915 | |
| 3,161,000 | | | Newell Brands, Inc., 4.875%, 6/01/2025 | | | 3,409,929 | |
| 2,838,000 | | | Valvoline, Inc., 4.250%, 2/15/2030, 144A | | | 2,894,760 | |
| 6,422,000 | | | Valvoline, Inc., 4.375%, 8/15/2025 | | | 6,606,632 | |
| 12,185,000 | | | Whirlpool Corp., 4.750%, 2/26/2029 | | | 14,817,283 | |
| 3,318,000 | | | Whirlpool Corp., MTN, 4.850%, 6/15/2021 | | | 3,421,273 | |
| | | | | | | | |
| | | | | | | 41,969,182 | |
| | | | | | | | |
| | | Diversified Manufacturing — 0.4% | |
| 3,085,000 | | | Clark Equipment Co., 5.875%, 6/01/2025, 144A | | | 3,196,831 | |
| 16,591,000 | | | General Electric Co., 4.250%, 5/01/2040 | | | 16,832,559 | |
| 4,181,000 | | | General Electric Co., 4.350%, 5/01/2050 | | | 4,262,992 | |
| 8,705,000 | | | Roper Technologies, Inc., 1.400%, 9/15/2027 | | | 8,793,714 | |
| | | | | | | | |
| | | | | | | 33,086,096 | |
| | | | | | | | |
| | | Electric — 1.8% | |
| 4,016,000 | | | AES Corp. (The), 3.300%, 7/15/2025, 144A | | | 4,278,486 | |
| 2,041,000 | | | AES Corp. (The), 3.950%, 7/15/2030, 144A | | | 2,255,223 | |
| 5,899,000 | | | AES Corp. (The), 5.125%, 9/01/2027 | | | 6,283,025 | |
| 2,729,000 | | | Berkshire Hathaway Energy Co., 4.250%, 10/15/2050, 144A | | | 3,397,647 | |
| 16,660,000 | | | Calpine Corp., 5.000%, 2/01/2031, 144A | | | 16,981,538 | |
| 26,353,950 | | | Cometa Energia S.A. de CV, 6.375%, 4/24/2035, 144A | | | 28,857,575 | |
| 8,805,000 | | | Dominion Energy, Inc., Class C, 3.375%, 4/01/2030 | | | 9,927,896 | |
| 3,816,000 | | | DPL, Inc., 4.125%, 7/01/2025, 144A | | | 3,995,848 | |
| 954,000 | | | Edison International, 4.950%, 4/15/2025 | | | 1,044,247 | |
| 3,147,000 | | | Enel Americas S.A., 4.000%, 10/25/2026 | | | 3,434,195 | |
| 3,194,000 | | | Enel Generacion Chile S.A., 4.250%, 4/15/2024 | | | 3,447,135 | |
| 7,514,000 | | | Entergy Corp., 2.800%, 6/15/2030 | | | 8,123,255 | |
| 4,808,000 | | | Exelon Corp., 4.050%, 4/15/2030 | | | 5,639,969 | |
| 9,488,000 | | | Florida Power & Light Co., 3.150%, 10/01/2049 | | | 10,761,005 | |
| 16,373,000 | | | National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043 | | | 16,864,705 | |
| 3,009,000 | | | Ohio Power Co., Series P, 2.600%, 4/01/2030 | | | 3,301,139 | |
| 5,055,000 | | | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.500%, 8/15/2028, 144A | | | 5,244,562 | |
| 2,207,000 | | | PG&E Corp., 5.000%, 7/01/2028 | | | 2,140,790 | |
| 1,647,000 | | | PG&E Corp., 5.250%, 7/01/2030 | | | 1,593,472 | |
| 5,629,000 | | | PPL Electric Utilities Corp., 3.000%, 10/01/2049 | | | 6,095,250 | |
| 7,987,000 | | | Transelec S.A., 4.250%, 1/14/2025, 144A | | | 8,665,895 | |
| 4,158,000 | | | Transelec S.A., 4.625%, 7/26/2023, 144A | | | 4,475,089 | |
| 2,895,000 | | | Virginia Electric & Power Co., Class A, 2.875%, 7/15/2029 | | | 3,244,499 | |
| 4,054,000 | | | Xcel Energy, Inc., 3.400%, 6/01/2030 | | | 4,656,106 | |
| | | | | | | | |
| | | | | | | 164,708,551 | |
| | | | | | | | |
| | | Finance Companies — 0.7% | |
| 1,534,000 | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/23/2023 | | | 1,539,489 | |
| 19,621,000 | | | Air Lease Corp., GMTN, 3.750%, 6/01/2026 | | | 19,963,990 | |
| 4,628,000 | | | GATX Corp., 4.000%, 6/30/2030 | | | 5,331,151 | |
| | | | |
29 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Finance Companies — continued | |
$ | 3,712,000 | | | International Lease Finance Corp., 5.875%, 8/15/2022 | | $ | 3,972,386 | |
| 11,553,000 | | | Navient Corp., 5.000%, 3/15/2027 | | | 10,848,614 | |
| 1,016,000 | | | Navient Corp., 5.875%, 10/25/2024 | | | 1,010,290 | |
| 1,068,000 | | | Navient Corp., 6.750%, 6/15/2026 | | | 1,065,330 | |
| 8,451,000 | | | Navient Corp., MTN, 6.125%, 3/25/2024 | | | 8,514,383 | |
| 2,235,000 | | | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | | | 2,215,444 | |
| 8,775,000 | | | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | | | 8,665,312 | |
| | | | | | | | |
| | | | | | | 63,126,389 | |
| | | | | | | | |
| | | Financial Other — 0.1% | |
| 5,995,000 | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | | | 6,245,591 | |
| | | | | | | | |
| | | Food & Beverage — 2.2% | |
| 23,505,000 | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046 | | | 28,982,356 | |
| 14,358,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.350%, 6/01/2040 | | | 16,781,844 | |
| 14,363,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.600%, 6/01/2060 | | | 17,301,799 | |
| 11,686,000 | | | Archer-Daniels-Midland Co., 3.250%, 3/27/2030 | | | 13,396,244 | |
| 7,006,000 | | | Bacardi Ltd., 5.150%, 5/15/2038, 144A | | | 8,543,827 | |
| 18,029,000 | | | Bacardi Ltd., 5.300%, 5/15/2048, 144A | | | 22,829,041 | |
| 7,025,000 | | | BRF S.A., 5.750%, 9/21/2050, 144A | | | 6,976,317 | |
| 2,500,000 | | | Bunge Ltd. Finance Corp., 1.630%, 8/17/2025 | | | 2,510,935 | |
| 5,349,000 | | | Constellation Brands, Inc., 2.875%, 5/01/2030 | | | 5,775,480 | |
| 1,903,000 | | | Constellation Brands, Inc., 3.750%, 5/01/2050 | | | 2,124,848 | |
| 26,356,000 | | | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050 | | | 28,036,406 | |
| 3,490,000 | | | Gruma SAB de CV, 4.875%, 12/01/2024, 144A | | | 3,878,298 | |
| 13,061,000 | | | Kraft Heinz Foods Co., 3.875%, 5/15/2027, 144A | | | 13,834,349 | |
| 11,245,000 | | | PepsiCo, Inc., 3.875%, 3/19/2060 | | | 14,198,049 | |
| 16,271,000 | | | Post Holdings, Inc., 4.625%, 4/15/2030, 144A | | | 16,738,791 | |
| 1,790,000 | | | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A | | | 1,793,866 | |
| | | | | | | | |
| | | | | | | 203,702,450 | |
| | | | | | | | |
| | | Government Owned – No Guarantee — 2.2% | |
| 7,364,000 | | | CNPC General Capital Ltd., 3.950%, 4/19/2022, 144A | | | 7,693,606 | |
| 17,070,000 | | | Dolphin Energy Ltd. LLC, 5.500%, 12/15/2021, 144A | | | 17,945,520 | |
| 4,370,000 | | | Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A | | | 4,282,600 | |
| 10,447,000 | | | Mexico City Airport Trust, 5.500%, 7/31/2047, 144A | | | 8,530,185 | |
| 17,290,000 | | | OCP S.A., 5.625%, 4/25/2024, 144A | | | 18,738,867 | |
| 6,982,000 | | | Ooredoo International Finance Ltd., 3.250%, 2/21/2023, 144A | | | 7,293,397 | |
| 10,400,000 | | | Ooredoo International Finance Ltd., 3.875%, 1/31/2028, 144A | | | 11,904,755 | |
| 10,680,000 | | | Saudi Arabian Oil Co., 4.375%, 4/16/2049, 144A | | | 12,868,242 | |
| 44,487,000 | | | Tennessee Valley Authority, 4.250%, 9/15/2065 | | | 67,673,352 | |
| 8,587,000 | | | Tennessee Valley Authority, 4.625%, 9/15/2060 | | | 13,535,914 | |
| 6,077,000 | | | Tennessee Valley Authority, 4.875%, 1/15/2048 | | | 9,287,232 | |
| 10,402,000 | | | Tennessee Valley Authority, 5.250%, 9/15/2039 | | | 16,044,635 | |
| 10,376,000 | | | Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A | | | 11,724,984 | |
| | | | | | | | |
| | | | | | | 207,523,289 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 30 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Health Insurance — 0.1% | |
$ | 11,398,000 | | | Centene Corp., 3.375%, 2/15/2030 | | $ | 11,825,425 | |
| | | | | | | | |
| | | Healthcare — 1.0% | |
| 7,470,000 | | | CVS Health Corp., 4.300%, 3/25/2028 | | | 8,743,422 | |
| 18,865,000 | | | CVS Health Corp., 5.050%, 3/25/2048 | | | 24,079,444 | |
| 15,319,000 | | | DaVita, Inc., 4.625%, 6/01/2030, 144A | | | 15,691,252 | |
| 17,790,000 | | | Partners Healthcare System, Inc., Series 2020, 3.342%, 7/01/2060 | | | 19,538,414 | |
| 8,511,000 | | | Quest Diagnostics, Inc., 2.800%, 6/30/2031 | | | 9,167,001 | |
| 11,416,000 | | | Stryker Corp., 1.950%, 6/15/2030 | | | 11,651,757 | |
| | | | | | | | |
| | | | | | | 88,871,290 | |
| | | | | | | | |
| | | Home Construction — 0.2% | |
| 275,000 | | | Lennar Corp., 4.500%, 4/30/2024 | | | 294,250 | |
| 1,291,000 | | | Lennar Corp., 4.750%, 11/15/2022 | | | 1,342,640 | |
| 16,257,000 | | | NVR, Inc., 3.000%, 5/15/2030 | | | 17,554,744 | |
| | | | | | | | |
| | | | | | | 19,191,634 | |
| | | | | | | | |
| | | Hybrid ARMs — 0.0% | |
| 24,877 | | | FNMA, 6-month LIBOR + 1.558%, 1.963%, 2/01/2037(d) | | | 25,633 | |
| | | | | | | | |
| | | Independent Energy — 0.8% | |
| 2,940,000 | | | Aker BP ASA, 3.000%, 1/15/2025, 144A | | | 2,949,079 | |
| 9,289,000 | | | Diamondback Energy, Inc., 4.750%, 5/31/2025 | | | 10,020,396 | |
| 10,165,000 | | | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | | | 10,500,242 | |
| 14,036,000 | | | Occidental Petroleum Corp., 2.600%, 8/13/2021 | | | 13,772,825 | |
| 7,685,000 | | | Occidental Petroleum Corp., 5.875%, 9/01/2025 | | | 7,042,995 | |
| 4,394,666 | | | Pan American Energy LLC, 7.875%, 5/07/2021, 144A | | | 4,284,800 | |
| 8,886,000 | | | SM Energy Co., 10.000%, 1/15/2025, 144A | | | 8,479,998 | |
| 13,613,000 | | | WPX Energy, Inc., 4.500%, 1/15/2030 | | | 13,383,417 | |
| | | | | | | | |
| | | | | | | 70,433,752 | |
| | | | | | | | |
| | | Industrial Other — 0.4% | |
| 10,447,000 | | | CK Hutchison International 16 Ltd., 2.750%, 10/03/2026, 144A | | | 11,242,539 | |
| 9,417,000 | | | CK Hutchison International 20 Ltd., 2.500%, 5/08/2030, 144A | | | 9,875,702 | |
| 3,816,000 | | | Georgetown University (The), Class A, 5.215%, 10/01/2118 | | | 5,172,359 | |
| 3,560,000 | | | Georgetown University (The), Series B, 4.315%, 4/01/2049 | | | 4,517,818 | |
| 5,620,000 | | | University of Pennsylvania, 3.610%, 2/15/2119 | | | 6,252,742 | |
| | | | | | | | |
| | | | | | | 37,061,160 | |
| | | | | | | | |
| | | Integrated Energy — 0.1% | |
| 4,163,000 | | | Chevron Corp., 3.078%, 5/11/2050 | | | 4,450,337 | |
| 4,443,000 | | | Exxon Mobil Corp., 3.452%, 4/15/2051 | | | 4,881,765 | |
| | | | | | | | |
| | | | | | | 9,332,102 | |
| | | | | | | | |
| | | Life Insurance — 0.7% | |
| 26,875,000 | | | Athene Global Funding, 2.450%, 8/20/2027, 144A | | | 27,610,756 | |
| 16,245,000 | | | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | | | 18,918,361 | |
| 9,994,000 | | | Northwestern Mutual Life Insurance Co. (The), 3.625%, 9/30/2059, 144A | | | 10,909,926 | |
| 3,445,000 | | | OneAmerica Financial Partners, Inc., 4.250%, 10/15/2050, 144A | | | 3,507,630 | |
| | | | | | | | |
| | | | | | | 60,946,673 | |
| | | | | | | | |
| | | | |
31 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Lodging — 0.2% | |
$ | 21,165,000 | | | Marriott International, Inc., 3.500%, 10/15/2032 | | $ | 21,003,431 | |
| | | | | | | | |
| | | Media Entertainment — 0.8% | |
| 19,895,000 | | | Activision Blizzard, Inc., 2.500%, 9/15/2050 | | | 18,539,086 | |
| 60,490,000 | | | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | | | 2,043,198 | |
| 9,783,000 | | | Lamar Media Corp., 3.750%, 2/15/2028, 144A | | | 9,734,085 | |
| 5,486,000 | | | Lamar Media Corp., 4.000%, 2/15/2030, 144A | | | 5,486,000 | |
| 12,955,000 | | | Prosus NV, 3.680%, 1/21/2030, 144A | | | 13,976,483 | |
| 14,843,000 | | | Prosus NV, 4.850%, 7/06/2027, 144A | | | 16,911,372 | |
| 6,460,000 | | | ViacomCBS, Inc., 4.200%, 5/19/2032 | | | 7,392,535 | |
| | | | | | | | |
| | | | | | | 74,082,759 | |
| | | | | | | | |
| | | Metals & Mining — 1.0% | |
| 2,560,000 | | | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | | | 2,553,037 | |
| 3,720,000 | | | Anglo American Capital PLC, 3.950%, 9/10/2050, 144A | | | 3,801,570 | |
| 9,737,000 | | | Anglo American Capital PLC, 5.625%, 4/01/2030, 144A | | | 11,951,389 | |
| 9,785,000 | | | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | | | 10,288,438 | |
| 16,620,000 | | | Fresnillo PLC, 4.250%, 10/02/2050, 144A | | | 16,380,340 | |
| 31,735,000 | | | Glencore Funding LLC, 2.500%, 9/01/2030, 144A | | | 30,854,988 | |
| 3,816,000 | | | Steel Dynamics, Inc., 2.400%, 6/15/2025 | | | 3,981,509 | |
| 1,889,000 | | | Steel Dynamics, Inc., 3.450%, 4/15/2030 | | | 2,082,706 | |
| 9,945,000 | | | Vale Overseas Ltd., 3.750%, 7/08/2030 | | | 10,233,405 | |
| | | | | | | | |
| | | | | | | 92,127,382 | |
| | | | | | | | |
| | | Midstream — 1.4% | |
| 636,000 | | | Energy Transfer Operating LP, 5.150%, 2/01/2043 | | | 586,287 | |
| 6,606,000 | | | Energy Transfer Operating LP, 5.950%, 10/01/2043 | | | 6,558,512 | |
| 9,571,000 | | | Energy Transfer Operating LP, 6.500%, 2/01/2042 | | | 10,025,303 | |
| 1,498,000 | | | Energy Transfer Operating LP, 6.625%, 10/15/2036 | | | 1,619,397 | |
| 12,565,000 | | | Energy Transfer Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022 | | | 13,223,788 | |
| 2,606,000 | | | Energy Transfer Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022 | | | 2,722,192 | |
| 6,242,000 | | | EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A | | | 6,616,645 | |
| 2,255,000 | | | Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A | | | 2,262,764 | |
| 1,100,000 | | | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A | | | 1,123,919 | |
| 2,426,000 | | | Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024 | | | 2,654,656 | |
| 11,760,000 | | | Kinder Morgan Energy Partners LP, 4.300%, 5/01/2024 | | | 12,970,450 | |
| 4,615,000 | | | Kinder Morgan, Inc., 5.000%, 2/15/2021, 144A | | | 4,672,924 | |
| 17,068,000 | | | Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A | | | 19,219,215 | |
| 6,354,000 | | | ONEOK, Inc., 5.850%, 1/15/2026 | | | 7,307,734 | |
| 2,886,000 | | | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | | | 2,798,502 | |
| 6,695,000 | | | Rattler Midstream LP, 5.625%, 7/15/2025, 144A | | | 6,745,213 | |
| 4,475,000 | | | Sunoco Logistics Partners Operations LP, 5.400%, 10/01/2047 | | | 4,225,147 | |
| 20,876,000 | | | Williams Cos., Inc. (The) , 3.500%, 11/15/2030 | | | 22,707,837 | |
| | | | | | | | |
| | | | | | | 128,040,485 | |
| | | | | | | | |
| | | Mortgage Related — 22.5% | |
| 1,552,681 | | | FHLMC, 2.000%, 8/01/2050 | | | 1,631,508 | |
| | | | |
| | See accompanying notes to financial statements. | | | 32 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Mortgage Related — continued | |
$ | 35,326,116 | | | FHLMC, 2.500%, with various maturities in 2050(e) | | $ | 36,904,134 | |
| 67,445,162 | | | FHLMC, 3.000%, with various maturities from 2042 to 2050(e)(f) | | | 70,926,220 | |
| 25,228,983 | | | FHLMC, 3.500%, with various maturities from 2043 to 2050(e) | | | 27,307,832 | |
| 24,934,821 | | | FHLMC, 4.000%, with various maturities from 2044 to 2048(e) | | | 27,473,829 | |
| 106,576,901 | | | FHLMC, 4.500%, with various maturities from 2041 to 2049(e)(f) | | | 115,941,683 | |
| 130,850,886 | | | FHLMC, 5.000%, with various maturities from 2048 to 2050(e)(f) | | | 143,390,885 | |
| 8,503 | | | FHLMC, 6.000%, 6/01/2035 | | | 10,080 | |
| 8,846,251 | | | FNMA, 2.000%, 9/01/2050 | | | 9,057,272 | |
| 226,498,280 | | | FNMA, 2.500%, with various maturities from 2045 to 2050(e)(f) | | | 238,011,891 | |
| 144,779,547 | | | FNMA, 3.000%, with various maturities from 2045 to 2050(e)(f) | | | 151,951,505 | |
| 121,903,238 | | | FNMA, 3.500%, with various maturities from 2043 to 2050(e)(f) | | | 127,985,205 | |
| 228,107,068 | | | FNMA, 4.000%, with various maturities from 2041 to 2050(e) | | | 244,954,812 | |
| 227,050,278 | | | FNMA, 4.500%, with various maturities from 2043 to 2049(e)(f) | | | 246,282,441 | |
| 61,058,370 | | | FNMA, 5.000%, with various maturities from 2048 to 2050(e) | | | 67,000,104 | |
| 10,257,369 | | | FNMA, 6.000%, with various maturities from 2034 to 2049(e) | | | 11,531,257 | |
| 11,160 | | | FNMA, 6.500%, with various maturities from 2029 to 2031(e) | | | 12,680 | |
| 29,308 | | | FNMA, 7.000%, with various maturities in 2030(e) | | | 32,298 | |
| 16,111 | | | FNMA, 7.500%, with various maturities from 2024 to 2032(e) | | | 18,568 | |
| 5,722 | | | GNMA, 3.640%, 8/20/2062(a) | | | 5,825 | |
| 23,029 | | | GNMA, 3.745%, 1/20/2063(a) | | | 23,353 | |
| 17,428 | | | GNMA, 3.890%, 6/20/2062(a) | | | 17,478 | |
| 21,180 | | | GNMA, 3.929%, 5/20/2063(a) | | | 21,672 | |
| 53,256 | | | GNMA, 3.946%, 12/20/2062(a) | | | 54,004 | |
| 14,336 | | | GNMA, 3.990%, 11/20/2062(a) | | | 14,917 | |
| 45,191 | | | GNMA, 4.093%, 7/20/2063(a) | | | 46,691 | |
| 281,909 | | | GNMA, 4.141%, 11/20/2062(a) | | | 286,710 | |
| 106,487 | | | GNMA, 4.203%, 7/20/2063(a) | | | 108,692 | |
| 5,459 | | | GNMA, 4.326%, 8/20/2061(a) | | | 6,098 | |
| 8,433 | | | GNMA, 4.390%, with various maturities in 2062(a)(e) | | | 8,471 | |
| 5,274,181 | | | GNMA, 4.405%, 11/20/2066(a) | | | 5,951,890 | |
| 9,254,169 | | | GNMA, 4.408%, 12/20/2066(a) | | | 10,599,330 | |
| 3,667,262 | | | GNMA, 4.430%, 2/20/2066(a) | | | 4,157,610 | |
| 2,647,868 | | | GNMA, 4.435%, 10/20/2066(a) | | | 3,022,319 | |
| 101,948 | | | GNMA, 4.448%, 5/20/2063(a) | | | 103,218 | |
| 1,827,793 | | | GNMA, 4.484%, 2/20/2066(a) | | | 2,079,152 | |
| 2,922,693 | | | GNMA, 4.517%, 9/20/2066(a) | | | 3,339,783 | |
| 4,215,568 | | | GNMA, 4.521%, 6/20/2066(a) | | | 4,783,059 | |
| 4,348,218 | | | GNMA, 4.524%, 2/20/2065(a) | | | 4,765,451 | |
| 3,425,697 | | | GNMA, 4.526%, 6/20/2066(a) | | | 3,874,087 | |
| 4,350,046 | | | GNMA, 4.533%, 12/20/2064(a) | | | 4,802,668 | |
| 3,822,109 | | | GNMA, 4.537%, 12/20/2063(a) | | | 4,126,430 | |
| 3,356,910 | | | GNMA, 4.546%, 6/20/2066(a) | | | 3,834,406 | |
| 2,166,365 | | | GNMA, 4.557%, 4/20/2066(a) | | | 2,438,789 | |
| 10,101,243 | | | GNMA, 4.568%, 12/20/2066(a) | | | 11,614,259 | |
| 5,587,646 | | | GNMA, 4.579%, 2/20/2065(a) | | | 6,240,754 | |
| 3,424,728 | | | GNMA, 4.580%, 6/20/2064(a) | | | 3,758,908 | |
| 6,197,035 | | | GNMA, 4.592%, 12/20/2064(a) | | | 6,835,033 | |
| | | | |
33 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Mortgage Related — continued | |
$ | 2,069,470 | | | GNMA, 4.595%, 1/20/2065(a) | | $ | 2,281,851 | |
| 4,219,638 | | | GNMA, 4.611%, 1/20/2065(a) | | | 4,714,454 | |
| 5,778,972 | | | GNMA, 4.629%, 10/20/2064(a) | | | 6,331,036 | |
| 21,859 | | | GNMA, 4.630%, 12/20/2061(a) | | | 22,367 | |
| 2,417,203 | | | GNMA, 4.632%, 3/20/2065(a) | | | 2,687,458 | |
| 4,099,258 | | | GNMA, 4.633%, 3/20/2066(a) | | | 4,688,975 | |
| 756,471 | | | GNMA, 4.637%, 1/20/2064(a) | | | 818,055 | |
| 124,159 | | | GNMA, 4.650%, 1/20/2061(a) | | | 125,711 | |
| 2,817,232 | | | GNMA, 4.667%, 1/20/2064(a) | | | 3,047,756 | |
| 4,626,774 | | | GNMA, 4.673%, 6/20/2064(a) | | | 5,091,196 | |
| 118,324 | | | GNMA, 4.700%, with various maturities from 2061 to 2062(a)(e) | | | 123,467 | |
| 3,547,531 | | | GNMA, 4.710%, 1/20/2064(a) | | | 3,882,787 | |
| 198,406 | | | GNMA, 5.500%, 4/15/2038 | | | 232,902 | |
| 36,969 | | | GNMA, 6.000%, with various maturities from 2029 to 2038(e) | | | 43,426 | |
| 32,248 | | | GNMA, 6.500%, with various maturities from 2029 to 2032(e) | | | 35,850 | |
| 47,119 | | | GNMA, 7.000%, 9/15/2025 | | | 48,966 | |
| 4,432 | | | GNMA, 7.500%, with various maturities from 2025 to 2030(e) | | | 4,701 | |
| 174 | | | GNMA, 8.500%, 10/15/2022 | | | 175 | |
| 194,470,000 | | | UMBS® (TBA), 2.000%, 11/01/2050(g) | | | 200,726,209 | |
| 10,289,000 | | | UMBS® (TBA), 2.000%, 10/01/2050(g) | | | 10,637,861 | |
| 220,100,000 | | | UMBS® (TBA), 2.500%, 11/01/2050(g) | | | 230,559,619 | |
| | | | | | | | |
| | | | | | | 2,083,450,083 | |
| | | | | | | | |
| | | Natural Gas — 0.0% | |
| 3,024,000 | | | Boston Gas Co., 3.001%, 8/01/2029, 144A | | | 3,327,374 | |
| | | | | | | | |
| | | Non-Agency Commercial Mortgage-Backed Securities — 1.2% | |
| 14,216,071 | | | BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062 | | | 15,912,016 | |
| 6,873,079 | | | BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 | | | 7,688,764 | |
| 15,877,381 | | | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 | | | 17,900,461 | |
| 17,548,185 | | | Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052 | | | 19,662,792 | |
| 1,025,000 | | | Commercial Mortgage Trust, Series 2010-C1, Class D, 6.050%, 7/10/2046, 144A(a) | | | 1,020,285 | |
| 11,283,000 | | | Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A | | | 11,499,549 | |
| 2,897,433 | | | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.790%, 11/10/2046, 144A(a) | | | 2,895,835 | |
| 6,300,639 | | | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.555%, 8/10/2044, 144A(a) | | | 5,831,732 | |
| 7,385,712 | | | GS Mortgage Securities Trust, Series 2020-GC45, Class A 5, 2.911%, 2/13/2053 | | | 8,250,586 | |
| 7,736,960 | | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A4, 3.185%, 3/10/2046 | | | 8,072,917 | |
| 8,935,622 | | | Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class D, 5.732%, 11/15/2043, 144A(a) | | | 8,911,004 | |
| | | | |
| | See accompanying notes to financial statements. | | | 34 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Non-Agency Commercial Mortgage-Backed Securities — continued | |
$ | 5,578,578 | | | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D, 5.390%, 6/15/2044, 144A(a) | | $ | 4,734,525 | |
| | | | | | | | |
| | | | | | | 112,380,466 | |
| | | | | | | | |
| | | Oil Field Services — 0.4% | |
| 28,400,000 | | | Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043, 144A | | | 31,908,820 | |
| 7,297,680 | | | Transocean Guardian Ltd., 5.875%, 1/15/2024, 144A | | | 4,707,003 | |
| | | | | | | | |
| | | | | | | 36,615,823 | |
| | | | | | | | |
| | | Packaging — 0.2% | |
| 7,713,000 | | | CCL Industries, Inc., 3.050%, 6/01/2030, 144A | | | 8,232,716 | |
| 7,595,000 | | | Owens-Brockway Glass Container, Inc., 6.625%, 5/13/2027, 144A | | | 8,226,335 | |
| | | | | | | | |
| | | | | | | 16,459,051 | |
| | | | | | | | |
| | | Paper — 0.3% | |
| 5,503,000 | | | Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024 | | | 6,020,557 | |
| 12,325,000 | | | Klabin Austria GmbH, 7.000%, 4/03/2049, 144A | | | 13,958,063 | |
| 2,230,000 | | | Suzano Austria GmbH, 3.750%, 1/15/2031 | | | 2,235,464 | |
| 1,888,000 | | | WestRock RKT LLC, 4.900%, 3/01/2022 | | | 2,000,269 | |
| 2,796,000 | | | WRKCo, Inc., 3.000%, 6/15/2033 | | | 3,041,472 | |
| | | | | | | | |
| | | | | | | 27,255,825 | |
| | | | | | | | |
| | | Pharmaceuticals — 0.6% | |
| 7,723,000 | | | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | | | 7,500,964 | |
| 9,461,000 | | | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | | | 9,319,085 | |
| 13,635,000 | | | Biogen, Inc., 2.250%, 5/01/2030 | | | 13,963,303 | |
| 7,289,000 | | | Biogen, Inc., 3.150%, 5/01/2050 | | | 7,192,966 | |
| 7,445,000 | | | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | | | 6,568,053 | |
| 8,496,000 | | | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 | | | 8,920,800 | |
| 3,251,000 | | | Upjohn, Inc., 4.000%, 6/22/2050, 144A | | | 3,469,750 | |
| | | | | | | | |
| | | | | | | 56,934,921 | |
| | | | | | | | |
| | | Property & Casualty Insurance — 0.2% | |
| 7,006,000 | | | Liberty Mutual Group, Inc., 3.950%, 5/15/2060, 144A | | | 7,693,558 | |
| 4,405,000 | | | Willis North America, Inc., 2.950%, 9/15/2029 | | | 4,746,734 | |
| 3,010,000 | | | Willis Towers Watson PLC, 5.750%, 3/15/2021 | | | 3,077,248 | |
| | | | | | | | |
| | | | | | | 15,517,540 | |
| | | | | | | | |
| | | Railroads — 0.1% | |
| 5,848,000 | | | Burlington Northern Santa Fe LLC, 3.550%, 2/15/2050 | | | 6,843,707 | |
| 5,326,000 | | | Kansas City Southern, 3.500%, 5/01/2050 | | | 5,508,078 | |
| | | | | | | | |
| | | | | | | 12,351,785 | |
| | | | | | | | |
| | | Refining — 0.1% | |
| 8,226,000 | | | Ultrapar International S.A., 5.250%, 10/06/2026, 144A | | | 8,810,457 | |
| | | | | | | | |
| | | REITs – Diversified — 0.2% | |
| 18,479,000 | | | iStar, Inc., 4.250%, 8/01/2025 | | | 17,243,124 | |
| 1,419,000 | | | iStar, Inc., 4.750%, 10/01/2024 | | | 1,372,883 | |
| | | | | | | | |
| | | | | | | 18,616,007 | |
| | | | | | | | |
| | | | |
35 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | REITs – Health Care — 0.1% | |
$ | 6,085,000 | | | Welltower, Inc., 2.750%, 1/15/2031 | | $ | 6,270,399 | |
| | | | | | | | |
| | | REITs – Shopping Centers — 0.0% | |
| 2,269,000 | | | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | | | 2,426,898 | |
| | | | | | | | |
| | | REITs – Single Tenant — 0.1% | |
| 5,010,000 | | | Realty Income Corp., 3.250%, 1/15/2031 | | | 5,544,300 | |
| | | | | | | | |
| | | Restaurants — 0.3% | |
| 940,000 | | | McDonald’s Corp., MTN, 4.200%, 4/01/2050 | | | 1,144,071 | |
| 7,699,000 | | | Starbucks Corp., 3.350%, 3/12/2050 | | | 7,900,550 | |
| 21,559,000 | | | Starbucks Corp., 3.500%, 11/15/2050 | | | 22,955,451 | |
| | | | | | | | |
| | | | | | | 32,000,072 | |
| | | | | | | | |
| | | Retailers — 1.0% | |
| 2,175,000 | | | Asbury Automotive Group, Inc., 4.500%, 3/01/2028, 144A | | | 2,188,594 | |
| 2,175,000 | | | Asbury Automotive Group, Inc., 4.750%, 3/01/2030, 144A | | | 2,191,313 | |
| 28,230,000 | | | El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A | | | 29,183,045 | |
| 9,426,000 | | | Falabella S.A., 3.750%, 4/30/2023, 144A | | | 9,825,720 | |
| 7,176,000 | | | Falabella S.A., 4.375%, 1/27/2025, 144A | | | 7,717,687 | |
| 4,935,000 | | | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A | | | 4,848,637 | |
| 959,000 | | | Hanesbrands, Inc., 4.625%, 5/15/2024, 144A | | | 997,159 | |
| 3,726,000 | | | Hanesbrands, Inc., 4.875%, 5/15/2026, 144A | | | 3,977,505 | |
| 5,626,000 | | | Hanesbrands, Inc., 5.375%, 5/15/2025, 144A | | | 5,935,430 | |
| 2,312,000 | | | Home Depot, Inc. (The), 3.350%, 4/15/2050 | | | 2,676,391 | |
| 4,355,000 | | | Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A | | | 4,284,231 | |
| 11,485,000 | | | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A | | | 11,485,000 | |
| 7,001,000 | | | Target Corp., 2.650%, 9/15/2030 | | | 7,817,040 | |
| | | | | | | | |
| | | | | | | 93,127,752 | |
| | | | | | | | |
| | | Sovereigns — 1.8% | |
| 10,841,000 | | | Abu Dhabi Government International Bond, 3.875%, 4/16/2050, 144A | | | 13,226,020 | |
| 4,375,000 | | | Bermuda Government International Bond, 3.375%, 8/20/2050, 144A | | | 4,498,900 | |
| 8,795,000 | | | Colombia Government International Bond, 4.125%, 5/15/2051 | | | 9,168,788 | |
| 21,915,000 | | | Dominican Republic, 4.875%, 9/23/2032, 144A | | | 21,794,468 | |
| 7,609,000 | | | Indonesia Government International Bond, 3.700%, 1/08/2022, 144A | | | 7,876,532 | |
| 30,516,000 | | | Kingdom of Saudi Arabia, 3.250%, 10/26/2026, 144A | | | 33,184,929 | |
| 19,569,000 | | | Panama Government International Bond, 4.500%, 4/01/2056 | | | 24,510,173 | |
| 3,337,000 | | | Peruvian Government International Bond, 2.392%, 1/23/2026 | | | 3,500,546 | |
| 8,368,000 | | | Qatar Government International Bond, 4.400%, 4/16/2050, 144A | | | 10,767,106 | |
| 10,561,000 | | | Republic of Oman, 3.875%, 3/08/2022, 144A | | | 10,455,601 | |
| 11,230,000 | | | State of Qatar, 3.875%, 4/23/2023, 144A | | | 12,049,790 | |
| 17,755,000 | | | Ukraine Government International Bond, 7.253%, 3/15/2033, 144A | | | 16,388,575 | |
| | | | | | | | |
| | | | | | | 167,421,428 | |
| | | | | | | | |
| | | Supermarkets — 0.2% | |
| 16,805,000 | | | Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.250%, 3/15/2026, 144A | | | 16,675,938 | |
| | | | | | | | |
| | | Technology — 4.3% | |
| 17,819,000 | | | Apple, Inc., 2.050%, 9/11/2026 | | | 19,051,971 | |
| | | | |
| | See accompanying notes to financial statements. | | | 36 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Technology — continued | |
$ | 17,814,000 | | | Apple, Inc., 2.200%, 9/11/2029 | | $ | 19,157,377 | |
| 5,055,000 | | | Baidu, Inc., 3.075%, 4/07/2025 | | | 5,357,592 | |
| 21,035,000 | | | Broadcom, Inc., 3.150%, 11/15/2025 | | | 22,783,613 | |
| 15,070,000 | | | Broadcom, Inc., 4.700%, 4/15/2025 | | | 17,124,230 | |
| 18,488,000 | | | Corning, Inc., 5.450%, 11/15/2079 | | | 23,529,266 | |
| 14,510,000 | | | DXC Technology Co., 4.000%, 4/15/2023 | | | 15,279,644 | |
| 5,902,000 | | | DXC Technology Co., 4.125%, 4/15/2025 | | | 6,377,015 | |
| 3,508,000 | | | Equifax, Inc., 2.600%, 12/15/2025 | | | 3,745,240 | |
| 2,312,000 | | | Equifax, Inc., 3.100%, 5/15/2030 | | | 2,518,833 | |
| 2,848,000 | | | Equifax, Inc., 3.300%, 12/15/2022 | | | 2,988,092 | |
| 4,842,000 | | | Equifax, Inc., 7.000%, 7/01/2037 | | | 6,414,511 | |
| 14,192,000 | | | Hewlett Packard Enterprise Co., 4.450%, 10/02/2023 | | | 15,596,015 | |
| 17,506,000 | | | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | | | 21,911,299 | |
| 15,150,000 | | | Iron Mountain, Inc., 4.500%, 2/15/2031, 144A | | | 15,292,410 | |
| 7,010,000 | | | Jabil, Inc., 3.000%, 1/15/2031 | | | 7,156,949 | |
| 11,585,000 | | | Microchip Technology, Inc., 2.670%, 9/01/2023, 144A | | | 11,990,858 | |
| 7,134,000 | | | Microchip Technology, Inc., 4.333%, 6/01/2023 | | | 7,677,687 | |
| 12,669,000 | | | Micron Technology, Inc., 2.497%, 4/24/2023 | | | 13,156,181 | |
| 6,887,000 | | | Molex Electronic Technologies LLC, 3.900%, 4/15/2025, 144A | | | 7,158,359 | |
| 21,331,000 | | | MSCI, Inc., 3.875%, 2/15/2031, 144A | | | 22,231,168 | |
| 13,504,000 | | | Oracle Corp., 3.600%, 4/01/2040 | | | 15,468,461 | |
| 17,725,000 | | | Oracle Corp., 3.600%, 4/01/2050 | | | 19,979,075 | |
| 18,167,000 | | | PayPal Holdings, Inc., 3.250%, 6/01/2050 | | | 20,096,567 | |
| 17,845,000 | | | Qorvo, Inc., 3.375%, 4/01/2031, 144A | | | 18,134,981 | |
| 5,570,000 | | | Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A | | | 5,625,700 | |
| 1,652,000 | | | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | | | 1,818,142 | |
| 1,538,000 | | | Science Applications International Corp., 4.875%, 4/01/2028, 144A | | | 1,561,516 | |
| 2,307,000 | | | Seagate HDD Cayman, 4.125%, 1/15/2031, 144A | | | 2,489,696 | |
| 7,950,000 | | | Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A | | | 7,900,312 | |
| 13,343,000 | | | Tencent Holdings Ltd., 3.290%, 6/03/2060, 144A | | | 13,582,774 | |
| 5,829,000 | | | Texas Instruments, Inc., 2.250%, 9/04/2029 | | | 6,252,702 | |
| 18,649,000 | | | Xilinx, Inc., 2.375%, 6/01/2030 | | | 19,577,531 | |
| | | | | | | | |
| | | | | | | 398,985,767 | |
| | | | | | | | |
| | | Tobacco — 0.9% | |
| 3,764,000 | | | Altria Group, Inc., 2.350%, 5/06/2025 | | | 3,977,085 | |
| 8,264,000 | | | Altria Group, Inc., 4.400%, 2/14/2026 | | | 9,546,267 | |
| 32,980,000 | | | BAT Capital Corp., 2.726%, 3/25/2031 | | | 32,863,086 | |
| 35,552,000 | | | BAT Capital Corp., 2.789%, 9/06/2024 | | | 37,543,536 | |
| | | | | | | | |
| | | | | | | 83,929,974 | |
| | | | | | | | |
| | | Transportation Services — 0.1% | |
| 10,405,000 | | | Ryder System, Inc., MTN, 2.500%, 9/01/2024 | | | 10,935,543 | |
| | | | | | | | |
| | | Treasuries — 18.9% | |
| 11,015,900(††) | | | Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN) | | | 51,002,499 | |
| 4,582,100(††) | | | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) | | | 20,994,376 | |
| 12,884,631(††) | | | Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN) | | | 68,899,255 | |
| 524,841,000 | | | Republic of Uruguay, 8.500%, 3/15/2028, 144A, (UYU) | | | 12,870,845 | |
| | | | |
37 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Treasuries — continued | |
| 280,039,000 | | | Republic of Uruguay, 9.875%, 6/20/2022, 144A, (UYU) | | $ | 6,870,185 | |
| 38,845,000 | | | U.S. Treasury Bond, 1.375%, 8/15/2050 | | | 38,122,726 | |
| 109,864,600 | | | U.S. Treasury Bond, 2.000%, 2/15/2050(f) | | | 124,644,822 | |
| 22,394,500 | | | U.S. Treasury Bond, 2.375%, 11/15/2049 | | | 27,421,016 | |
| 8,118,700 | | | U.S. Treasury Bond, 3.000%, 11/15/2045 | | | 10,930,117 | |
| 32,376,600 | | | U.S. Treasury Bond, 3.375%, 11/15/2048 | | | 47,229,365 | |
| 18,132,000 | | | U.S. Treasury Bond, 4.500%, 2/15/2036 | | | 27,462,897 | |
| 24,455,180 | | | U.S. Treasury Inflation Indexed Bond, 0.250%, 2/15/2050(h) | | | 28,905,514 | |
| 46,393,464 | | | U.S. Treasury Inflation Indexed Bond, 0.875%, 2/15/2047(h) | | | 61,809,022 | |
| 2,583,976 | | | U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2046(h) | | | 3,491,362 | |
| 67,504,933 | | | U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2049(h) | | | 94,339,022 | |
| 104,781,700 | | | U.S. Treasury Note, 0.250%, 5/31/2025(f) | | | 104,793,979 | |
| 118,595,000 | | | U.S. Treasury Note, 0.250%, 9/30/2025 | | | 118,465,287 | |
| 59,100,000 | | | U.S. Treasury Note, 0.375%, 9/30/2027 | | | 58,739,859 | |
| 142,985,000 | | | U.S. Treasury Note, 0.500%, 8/31/2027 | | | 143,387,145 | |
| 157,810,900 | | | U.S. Treasury Note, 0.625%, 5/15/2030 | | | 157,342,399 | |
| 63,520,000 | | | U.S. Treasury Note, 0.625%, 8/15/2030 | | | 63,202,400 | |
| 15,198,600 | | | U.S. Treasury Note, 1.500%, 2/15/2030 | | | 16,404,989 | |
| 43,483,600 | | | U.S. Treasury Note, 2.375%, 5/15/2029 | | | 50,055,399 | |
| 35,509,300 | | | U.S. Treasury Note, 2.625%, 2/15/2029 | | | 41,493,172 | |
| 50,850,300 | | | U.S. Treasury Note, 2.875%, 8/15/2028 | | | 60,053,012 | |
| 256,497,300 | | | U.S. Treasury Note, 3.125%, 11/15/2028(f) | | | 309,119,324 | |
| 104,240,000 | | | Uruguay Government International Bond, 8.500%, 3/15/2028, (UYU) | | | 2,556,311 | |
| | | | | | | | |
| | | | | | | 1,750,606,299 | |
| | | | | | | | |
| | | Utility Other — 0.4% | |
| 26,132,000 | | | Acwa Power Management & Investments One Ltd., 5.950%, 12/15/2039, 144A | | | 29,499,579 | |
| 7,856,000 | | | Essential Utilities, Inc., 2.704%, 4/15/2030 | | | 8,405,865 | |
| | | | | | | | |
| | | | | | | 37,905,444 | |
| | | | | | | | |
| | | Wireless — 0.6% | |
| 14,102,000 | | | America Movil SAB de CV, 2.875%, 5/07/2030 | | | 15,274,158 | |
| 1,352,000 | | | American Tower Corp., 4.700%, 3/15/2022 | | | 1,432,850 | |
| 19,910,000 | | | Bharti Airtel Ltd., 4.375%, 6/10/2025, 144A | | | 20,992,515 | |
| 1,101,000 | | | Crown Castle International Corp., 4.150%, 7/01/2050 | | | 1,264,532 | |
| 3,759,000 | | | Millicom International Cellular S.A., 6.625%, 10/15/2026, 144A | | | 4,031,603 | |
| 22,875,000 | | | T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A | | | 25,954,432 | |
| | | | | | | | |
| | | | | | | 68,950,090 | |
| | | | | | | | |
| | | Wirelines — 0.7% | |
| 8,909,000 | | | AT&T, Inc., 3.500%, 9/15/2053, 144A | | | 8,613,436 | |
| 2,383,000 | | | AT&T, Inc., 3.550%, 9/15/2055, 144A | | | 2,309,538 | |
| 4,325,000 | | | AT&T, Inc., 3.650%, 6/01/2051 | | | 4,362,413 | |
| 16,793,000 | | | AT&T, Inc., 3.650%, 9/15/2059, 144A | | | 16,496,595 | |
| 177,000 | | | AT&T, Inc., 4.350%, 6/15/2045 | | | 198,314 | |
| 5,318,000 | | | AT&T, Inc., 4.500%, 3/09/2048 | | | 6,103,015 | |
| | | | |
| | See accompanying notes to financial statements. | | | 38 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Wirelines — continued | |
$ | 22,097,000 | | | Telefonica Emisiones S.A., 5.462%, 2/16/2021 | | $ | 22,505,511 | |
| | | | | | | | |
| | | | | | | 60,588,822 | |
| | | | | | | | |
| | | | Total Non-Convertible Bonds (Identified Cost $7,869,765,666) | | | 8,242,675,983 | |
| | | | | | | | |
| | | | | | | | |
| Municipals — 0.2% | |
| | | Local Authorities — 0.2% | |
| 16,530,000 | | | University of Virginia, Revenue Bond, Series A, 3.227%, 9/01/2119 | | | 18,003,319 | |
| | | | | | | | |
| | | | Total Municipals (Identified Cost $16,530,000) | | | 18,003,319 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Bonds and Notes (Identified Cost $7,886,295,666) | | | 8,260,679,302 | |
| | | | | | | | |
| | | | | | | | |
| Senior Loans — 2.3% | |
| | | Automotive — 0.1% | |
| 2,752,200 | | | KAR Auction Services, Inc., 2019 Term Loan B6, 1-month LIBOR + 2.250%, 2.438%, 9/19/2026(d) | | | 2,648,992 | |
| 1,487,781 | | | Visteon Corp., 2018 Term Loan B, LIBOR + 1.750%, 1.912%, 3/25/2024(i) | | | 1,439,428 | |
| | | | | | | | |
| | | | | | | 4,088,420 | |
| | | | | | | | |
| | | Building Materials — 0.1% | |
| 12,532,319 | | | Summit Materials Cos. I, LLC, 2017 Term Loan B, 1-month LIBOR + 2.000%, 2.145%, 11/21/2024(d) | | | 12,381,931 | |
| | | | | | | | |
| | | Cable Satellite — 0.3% | |
| 12,373,028 | | | CSC Holdings LLC, 2017 Term Loan B1, 1-month LIBOR + 2.250%, 2.402%, 7/17/2025(d) | | | 11,948,757 | |
| 12,405,000 | | | Virgin Media Bristol LLC, USD Term Loan N, 1-month LIBOR + 2.500%, 2.652%, 1/31/2028(d) | | | 12,022,554 | |
| | | | | | | | |
| | | | | | | 23,971,311 | |
| | | | | | | | |
| | | Chemicals — 0.0% | |
| 4,112,800 | | | Venator Materials Corp., Term Loan B, 1-month LIBOR + 3.000%, 3.147%, 8/08/2024(d) | | | 3,973,993 | |
| | | | | | | | |
| | | Consumer Cyclical Services — 0.1% | |
| 1,362,589 | | | FrontDoor, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 2.688%, 8/16/2025(d) | | | 1,348,963 | |
| 12,340,968 | | | Trans Union LLC, 2019 Term Loan B5, 1-month LIBOR + 1.750%, 1.897%, 11/16/2026(d) | | | 12,015,043 | |
| | | | | | | | |
| | | | | | | 13,364,006 | |
| | | | | | | | |
| | | Consumer Products — 0.1% | |
| 11,162,032 | | | Coty, Inc., 2018 USD Term Loan B, 1-month LIBOR + 2.250%, 2.409%, 4/07/2025(d) | | | 9,941,241 | |
| | | | |
39 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Consumer Products ��� continued | |
$ | 661,485 | | | Energizer Holdings, Inc., 2018 Term Loan B, 1-month LIBOR + 2.250%, 2.438%, 12/17/2025(d) | | $ | 649,909 | |
| | | | | | | | |
| | | | | | | 10,591,150 | |
| | | | | | | | |
| | | Gaming — 0.1% | |
| 4,408,343 | | | Churchill Downs, Inc., 2017 Term Loan B, 1-month LIBOR + 2.000%, 2.150%, 12/27/2024(d) | | | 4,255,417 | |
| | | | | | | | |
| | | Industrial Other — 0.0% | |
| 2,799,254 | | | Altra Industrial Motion Corp., 2018 Term Loan B, 1-month LIBOR + 2.000%, 2.147%, 10/01/2025(d) | | | 2,713,541 | |
| | | | | | | | |
| | | Media Entertainment — 0.4% | |
| 10,488,551 | | | Entercom Media Corp., 2019 Term Loan, 1-month LIBOR + 2.500%, 2.645%, 11/18/2024(d) | | | 9,846,127 | |
| 3,468,383 | | | Lamar Media Corp., 2020 Term Loan B, 1-month LIBOR + 1.500%, 1.659%, 2/05/2027(d) | | | 3,388,887 | |
| 3,287,231 | | | Meredith Corp., 2020 Term Loan B2, 1-month LIBOR + 2.500%, 2.647%, 1/31/2025(d) | | | 3,161,921 | |
| 18,112,788 | | | Nielsen Finance LLC, USD Term Loan B4, 1-month LIBOR + 2.000%, 2.154%, 10/04/2023(d) | | | 17,732,419 | |
| 5,989,500 | | | Sinclair Television Group, Inc., Term Loan B2B, 1-month LIBOR + 2.500%, 2.647%, 9/30/2026(d) | | | 5,827,784 | |
| | | | | | | | |
| | | | | | | 39,957,138 | |
| | | | | | | | |
| | | Packaging — 0.0% | |
| 2,611,771 | | | Plastipak Packaging, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 2.650%, 10/14/2024(d) | | | 2,567,162 | |
| | | | | | | | |
| | | Pharmaceuticals — 0.2% | |
| 5,171,643 | | | Bausch Health Cos., Inc., Term Loan B, 1-month LIBOR + 2.750%, 2.901%, 11/27/2025(d) | | | 5,042,352 | |
| 7,070,668 | | | Change Healthcare Holdings LLC, 2017 Term Loan B, LIBOR + 2.500%, 3.500%, 3/01/2024(i) | | | 6,912,710 | |
| 4,975,403 | | | Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1 Week LIBOR + 2.000%, 2.100%, 11/15/2027(d) | | | 4,866,590 | |
| | | | | | | | |
| | | | | | | 16,821,652 | |
| | | | | | | | |
| | | Property & Casualty Insurance — 0.1% | |
| 2,686,900 | | | USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 3.220%, 5/16/2024(d) | | | 2,595,088 | |
| 2,109,063 | | | USI, Inc., 2019 Incremental Term Loan B, 3-month LIBOR + 4.000%, 4.220%, 12/02/2026(d) | | | 2,084,450 | |
| | | | | | | | |
| | | | | | | 4,679,538 | |
| | | | | | | | |
| | | Restaurants — 0.2% | |
| 18,356,288 | | | 1011778 B.C. Unlimited Liability Co., Term Loan B4, 1-month LIBOR + 1.750%, 1.897%, 11/19/2026(d) | | | 17,568,436 | |
| | | | | | | | |
| | | Technology — 0.2% | |
| 9,879,062 | | | Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 1.897%, 1/02/2026(d) | | | 9,483,899 | |
| | | | |
| | See accompanying notes to financial statements. | | | 40 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Technology — continued | |
$ | 1,944,855 | | | Sabre GLBL, Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%, 2.147%, 2/22/2024(d) | | $ | 1,809,765 | |
| 9,689,545 | | | SS&C Technologies Inc., 2018 Term Loan B5, 1-month LIBOR + 1.750%, 1.897%, 4/16/2025(d) | | | 9,374,635 | |
| | | | | | | | |
| | | | | | | 20,668,299 | |
| | | | | | | | |
| | | Transportation Services — 0.1% | |
| 9,663,836 | | | Uber Technologies, Inc., 2018 Incremental Term Loan, 1-month LIBOR + 3.500%, 3.647%, 7/13/2023(d) | | | 9,487,665 | |
| | | | | | | | |
| | | Utility Other — 0.1% | |
| 10,004,925 | | | Pacific Gas & Electric Co., 2020 Term Loan, 3-month LIBOR + 4.500%, 5.500%, 6/23/2025(d) | | | 9,788,118 | |
| | | | | | | | |
| | | Wireless — 0.2% | |
| 8,217,274 | | | Asurion LLC, 2017 Term Loan B4, 1-month LIBOR + 3.000%, 3.147%, 8/04/2022(d) | | | 8,112,832 | |
| 4,113,201 | | | Asurion LLC, 2018 Term Loan B6, 1-month LIBOR + 3.000%, 3.147%, 11/03/2023(d) | | | 4,048,089 | |
| 5,028,905 | | | T-Mobile USA, Inc., 2020 Term Loan, 1-month LIBOR + 3.000%, 3.147%, 4/01/2027(d) | | | 5,021,261 | |
| | | | | | | | |
| | | | | | | 17,182,182 | |
| | | | | | | | |
| | | | Total Senior Loans (Identified Cost $219,666,717) | | | 214,059,959 | |
| | | | | | | | |
| | | | | | | | |
Shares | | | | | | |
| Preferred Stocks — 0.2% | |
| | | Cable Satellite — 0.2% | |
| 16,673,000 | | | NBCUniversal Enterprise, Inc., 5.250%, 144A (Identified Cost $17,320,290) | | | 16,839,730 | |
| | | | | | | | |
| | | | | | | | |
| Common Stocks — 0.0% | |
| | | Oil, Gas & Consumable Fuels — 0.0% | |
| 77,870 | | | Paragon Offshore Ltd., Litigation Units, Class A(b)(c)(j)(k)(l) | | | — | |
| 116,806 | | | Paragon Offshore Ltd., Litigation Units, Class B(j)(k) | | | 584,030 | |
| | | | | | | | |
| | | | Total Common Stocks (Identified Cost $9,028,819) | | | 584,030 | |
| | | | | | | | |
| | | | | | | | |
Principal Amount (‡) | | | | | | |
| Short-Term Investments — 14.6% | |
$ | 859,634,627 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $859,634,627 on 10/01/2020 collateralized by $35,194,100 U.S. Treasury Inflation Indexed Note, 0.125% due 4/15/2021 valued at $38,645,836; $617,904,200 U.S. Treasury Note, 2.625% due 6/15/2021 valued at $633,555,825; $200,000,000 U.S. Treasury Note, 2.375% due 4/15/2021 valued at $204,625,728 including accrued interest (Note 2 of Notes to Financial Statements) | | | 859,634,627 | |
| 2,750,000 | | | U.S. Treasury Bills, 0.054%, 10/01/2020(m) | | | 2,750,000 | |
| 106,670,000 | | | U.S. Treasury Bills, 0.068%, 10/13/2020(m) | | | 106,667,288 | |
| | | | |
41 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| Short-Term Investments — continued | |
$ | 385,853,100 | | | U.S. Treasury Bills, 0.105%-0.165%, 11/12/2020(m)(n) | | $ | 385,812,022 | |
| | | | | | | | |
| | | | Total Short-Term Investments (Identified Cost $1,354,842,452) | | | 1,354,863,937 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Investments — 106.1% (Identified Cost $9,487,153,944) | | | 9,847,026,958 | |
| | | | Other assets less liabilities — (6.1)% | | | (568,283,255 | ) |
| | | | | | | | |
| | | | Net Assets — 100.0% | | $ | 9,278,743,703 | |
| | | | | | | | |
| | | | | | | | |
| (‡) | | | Principal Amount stated in U.S. dollars unless otherwise noted. | |
| (†) | | | See Note 2 of Notes to Financial Statements. | |
| (††) | | | Amount shown represents units. One unit represents a principal amount of 100. | |
| (a) | | | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of September 30, 2020 is disclosed. | |
| (b) | | | Fair valued by the Fund’s adviser. At September 30, 2020, the value of these securities amounted to $2,307,376 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements. | |
| (c) | | | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |
| (d) | | | Variable rate security. Rate as of September 30, 2020 is disclosed. | |
| (e) | | | The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. | |
| (f) | | | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open TBA transactions. | |
| (g) | | | When-issued/delayed delivery. See Note 2 of Notes to Financial Statements. | |
| (h) | | | Treasury Inflation Protected Security (TIPS). | |
| (i) | | | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at September 30, 2020. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. | |
| (j) | | | Non-income producing security. | |
| (k) | | | Securities subject to restriction on resale. At September 30, 2020, the restricted securities held by the Fund are as follows: | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | Acquisition Date | | | Acquisition Cost | | | Value | | | % of Net Assets | |
Paragon Offshore Ltd., Litigation Units, Class A | | | 7/18/2017 | | | | $ 429,948 | | | $ | — | | | | — | |
Paragon Offshore Ltd., Litigation Units, Class B | | | 7/18/2017 | | | | 8,598,870 | | | | 584,030 | | | | Less than 0.1% | |
| | | | |
| | See accompanying notes to financial statements. | | | 42 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Core Plus Bond Fund – (continued)
| | | | | | | | |
| (l) | | | Illiquid security. (Unaudited) | |
| (m) | | | Interest rate represents discount rate at time of purchase; not a coupon rate. | |
| (n) | | | The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. | |
| | | | | | | | |
| 144A | | | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, the value of Rule 144A holdings amounted to $1,810,948,993 or 19.5% of net assets. | |
| ABS | | | Asset-Backed Securities | |
| ARMs | | | Adjustable Rate Mortgages | |
| EMTN | | | Euro Medium Term Note | |
| FHLMC | | | Federal Home Loan Mortgage Corp. | |
| FNMA | | | Federal National Mortgage Association | |
| GMTN | | | Global Medium Term Note | |
| GNMA | | | Government National Mortgage Association | |
| LIBOR | | | London Interbank Offered Rate | |
| MTN | | | Medium Term Note | |
| REITs | | | Real Estate Investment Trusts | |
| TBA | | | To Be Announced | |
| UMBS® | | | Uniform Mortgage-Backed Securities | |
| | | | | | | | |
| MXN | | | Mexican Peso | |
| UYU | | | Uruguayan Peso | |
Industry Summary at September 30, 2020
| | | | |
Mortgage Related | | | 22.5 | % |
Treasuries | | | 18.9 | |
Banking | | | 7.9 | |
Technology | | | 4.5 | |
Automotive | | | 2.5 | |
Government Owned - No Guarantee | | | 2.2 | |
Food & Beverage | | | 2.2 | |
Other Investments, less than 2% each | | | 30.8 | |
Short-Term Investments | | | 14.6 | |
| | | | |
Total Investments | | | 106.1 | |
Other assets less liabilities | | | (6.1 | ) |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
| | | | |
43 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| Common Stocks — 67.1% of Net Assets | |
| | | Canada — 2.7% | |
| 71,019 | | | Canada Goose Holdings, Inc.(a) | | $ | 2,281,163 | |
| 763,400 | | | CGI, Inc.(a) | | | 51,816,373 | |
| 1,264,500 | | | Open Text Corp. | | | 53,446,029 | |
| | | | | | | | |
| | | | | | | 107,543,565 | |
| | | | | | | | |
| | | China — 2.8% | |
| 383,909 | | | Alibaba Group Holding Ltd., Sponsored ADR(a) | | | 112,861,568 | |
| | | | | | | | |
| | | France — 1.5% | |
| 314,201 | | | Dassault Systemes SE | | | 58,624,269 | |
| | | | | | | | |
| | | Hong Kong — 1.0% | |
| 4,111,000 | | | AIA Group Ltd. | | | 40,863,725 | |
| | | | | | | | |
| | | India — 1.3% | |
| 3,675,111 | | | HDFC Bank Ltd.(a) | | | 53,949,922 | |
| | | | | | | | |
| | | Japan — 1.7% | |
| 2,390,261 | | | Nomura Research Institute Ltd. | | | 70,379,992 | |
| | | | | | | | |
| | | Netherlands — 1.5% | |
| 160,017 | | | ASML Holding NV | | | 59,105,937 | |
| | | | | | | | |
| | | Sweden — 1.5% | |
| 1,264,721 | | | Atlas Copco AB, Class A | | | 60,300,319 | |
| | | | | | | | |
| | | Switzerland — 3.0% | |
| 614,374 | | | Nestle S.A., (Registered) | | | 73,117,859 | |
| 348,754 | | | Temenos AG, (Registered) | | | 46,874,089 | |
| | | | | | | | |
| | | | | | | 119,991,948 | |
| | | | | | | | |
| | | United Kingdom — 4.7% | |
| 1,232,378 | | | Halma PLC | | | 37,232,417 | |
| 379,819 | | | Linde PLC | | | 90,446,299 | |
| 551,889 | | | London Stock Exchange Group PLC | | | 63,310,952 | |
| | | | | | | | |
| | | | | | | 190,989,668 | |
| | | | | | | | |
| | | United States — 45.4% | |
| 316,372 | | | Accenture PLC, Class A | | | 71,496,908 | |
| 6,730 | | | Alphabet, Inc., Class C(a) | | | 9,890,408 | |
| 53,391 | | | Alphabet, Inc., Class A(a) | | | 78,249,850 | |
| 38,330 | | | Amazon.com, Inc.(a) | | | 120,690,821 | |
| 177,460 | | | Becton Dickinson & Co. | | | 41,291,393 | |
| 456,016 | | | Copart, Inc.(a) | | | 47,954,643 | |
| 159,568 | | | Costco Wholesale Corp. | | | 56,646,640 | |
| 578,496 | | | Danaher Corp. | | | 124,567,544 | |
| 3,230,897 | | | Dropbox, Inc., Class A(a) | | | 62,227,076 | |
| 336,297 | | | Estee Lauder Cos., Inc. (The), Class A | | | 73,396,820 | |
| 357,712 | | | Facebook, Inc., Class A(a) | | | 93,684,773 | |
| 131,886 | | | Goldman Sachs Group, Inc. (The) | | | 26,505,129 | |
| 197,636 | | | Home Depot, Inc. (The) | | | 54,885,493 | |
| 611,241 | | | IQVIA Holdings, Inc.(a) | | | 96,349,919 | |
| | | | |
| | See accompanying notes to financial statements. | | | 44 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| | | United States — continued | |
| 535,397 | | | M&T Bank Corp. | | $ | 49,304,710 | |
| 304,894 | | | MasterCard, Inc., Class A | | | 103,106,004 | |
| 43,586 | | | Mettler-Toledo International, Inc.(a) | | | 42,093,179 | |
| 264,847 | | | Northrop Grumman Corp. | | | 83,556,580 | |
| 7,718 | | | NVR, Inc.(a) | | | 31,513,520 | |
| 115,891 | | | Parker-Hannifin Corp. | | | 23,449,385 | |
| 549,531 | | | Peloton Interactive, Inc., Class A(a) | | | 54,535,456 | |
| 243,235 | | | Roper Technologies, Inc. | | | 96,104,581 | |
| 249,003 | | | S&P Global, Inc. | | | 89,790,482 | |
| 90,350 | | | Sherwin-Williams Co. (The) | | | 62,950,459 | |
| 417,216 | | | Texas Instruments, Inc. | | | 59,574,273 | |
| 279,338 | | | UnitedHealth Group, Inc. | | | 87,089,208 | |
| 131,830 | | | Vail Resorts, Inc. | | | 28,207,665 | |
| 323,836 | | | VeriSign, Inc.(a) | | | 66,337,805 | |
| 11,165 | | | Whiting Petroleum Corp.(a) | | | 193,043 | |
| | | | | | | | |
| | | | | | | 1,835,643,767 | |
| | | | | | | | |
| | | | Total Common Stocks (Identified Cost $1,996,118,259) | | | 2,710,254,680 | |
| | | | | | | | |
| | | | | | | | |
Principal Amount (‡) | | | | | | |
| Bonds and Notes — 30.7% | |
| Non-Convertible Bonds — 30.3% | |
| | | Australia — 0.4% | |
| 1,675,000 | | | Australia Government Bond, Series 133, 5.500%, 4/21/2023, (AUD)(b) | | | 1,362,625 | |
| 670,000 | | | GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A(b) | | | 709,518 | |
| 3,560,000 | | | Glencore Funding LLC, 1.625%, 9/01/2025, 144A | | | 3,530,309 | |
| 935,000 | | | National Australia Bank, 2.500%, 1/12/2021(b) | | | 940,713 | |
| 11,610,000 | | | New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD)(b) | | | 8,814,726 | |
| 1,505,000 | | | New South Wales Treasury Corp., Series 22, 6.000%, 3/01/2022, (AUD)(b) | | | 1,166,766 | |
| 95,000 | | | Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A | | | 100,443 | |
| 1,370,000 | | | Westpac Banking Corp., 2.650%, 1/16/2030(b) | | | 1,517,223 | |
| | | | | | | | |
| | | | | | | 18,142,323 | |
| | | | | | | | |
| | | Belgium — 0.1% | |
| 2,745,000 | | | Anheuser-Busch InBev S.A., EMTN, 2.000%, 1/23/2035, (EUR)(b) | | | 3,495,818 | |
| 1,690,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.750%, 1/23/2029(b) | | | 2,062,508 | |
| | | | | | | | |
| | | | | | | 5,558,326 | |
| | | | | | | | |
| | | Brazil — 0.4% | |
| 1,150,000 | | | Banco Bradesco S.A., 2.850%, 1/27/2023, 144A | | | 1,167,031 | |
| 1,035,000 | | | Braskem Netherlands Finance BV, 4.500%, 1/10/2028 | | | 996,187 | |
| 1,785,000 | | | Braskem Netherlands Finance BV, 4.500%, 1/31/2030 | | | 1,666,744 | |
| 2,685,000 | | | Brazilian Government International Bond, 4.500%, 5/30/2029 | | | 2,864,761 | |
| 1,085,000 | | | Brazilian Government International Bond, 4.625%, 1/13/2028 | | | 1,176,151 | |
| 2,980,000 | | | BRF S.A., 4.875%, 1/24/2030 | | | 3,058,195 | |
| 650,000 | | | Centrais Eletricas Brasileiras S.A., 4.625%, 2/04/2030, 144A | | | 651,950 | |
| | | | |
45 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Brazil — continued | |
$ | 400,000 | | | Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A | | $ | 401,000 | |
| 1,100,000 | | | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | | | 1,056,000 | |
| 1,250,000 | | | Itau Unibanco Holding S.A., 2.900%, 1/24/2023, 144A | | | 1,264,225 | |
| 2,465,000 | | | Petrobras Global Finance BV, 5.999%, 1/27/2028 | | | 2,738,615 | |
| 150,000 | | | Petrobras Global Finance BV, 6.875%, 1/20/2040 | | | 166,799 | |
| 575,000 | | | Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A | | | 624,738 | |
| 500,000 | | | Tupy Overseas S.A., 6.625%, 7/17/2024, 144A | | | 504,050 | |
| | | | | | | | |
| | | | | | | 18,336,446 | |
| | | | | | | | |
| | | Canada — 4.4% | |
| 399,521 | | | Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A(b) | | | 341,646 | |
| 803,352 | | | Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031, 144A(b) | | | 756,533 | |
| 1,010,000 | | | Antares Holdings LP, 6.000%, 8/15/2023, 144A | | �� | 1,021,370 | |
| 815,000 | | | Bank of Montreal, 1.750%, 6/15/2021, 144A(b) | | | 823,183 | |
| 1,015,000 | | | Brookfield Finance, Inc., 3.900%, 1/25/2028(b) | | | 1,130,308 | |
| 11,680,000 | | | Canadian Government Bond, 0.500%, 3/01/2022, (CAD)(b) | | | 8,809,187 | |
| 23,060,000 | | | Canadian Government Bond, 0.500%, 9/01/2025, (CAD)(b) | | | 17,439,217 | |
| 63,450,000 | | | Canadian Government Bond, 0.750%, 3/01/2021, (CAD)(b) | | | 47,771,315 | |
| 63,755,000 | | | Canadian Government Bond, 0.750%, 9/01/2021, (CAD)(b) | | | 48,125,916 | |
| 35,230,000 | | | Canadian Government Bond, 1.750%, 5/01/2021, (CAD)(b) | | | 26,702,623 | |
| 970,000 | | | Canadian Imperial Bank of Commerce, 3.500%, 9/13/2023(b) | | | 1,054,023 | |
| 1,800,000 | | | Canadian Imperial Bank of Commerce, (fixed rate to 7/22/2022, variable rate thereafter), 2.606%, 7/22/2023(b) | | | 1,865,481 | |
| 800,000 | | | CPPIB Capital, Inc., 0.375%, 6/20/2024, 144A, (EUR)(b) | | | 963,763 | |
| 430,000 | | | Enbridge, Inc., 2.900%, 7/15/2022(b) | | | 446,320 | |
| 905,000 | | | Export Development Canada, 1.800%, 9/01/2022, (CAD)(b) | | | 699,002 | |
| 593,848 | | | Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(b) | | | 449,568 | |
| 5,000,000 | | | Province of British Columbia Canada, Series 10, 1.750%, 9/27/2024(b) | | | 5,258,420 | |
| 2,355,000 | | | Province of Quebec Canada, 2.300%, 9/01/2029, (CAD)(b) | | | 1,940,419 | |
| 2,475,000 | | | Royal Bank of Canada, GMTN, 2.250%, 11/01/2024(b) | | | 2,623,464 | |
| 2,500,000 | | | Toronto-Dominion Bank (The), 2.100%, 7/15/2022, 144A(b) | | | 2,576,302 | |
| 1,690,000 | | | Toronto-Dominion Bank (The), GMTN, 3.500%, 7/19/2023(b) | | | 1,834,790 | |
| 1,675,000 | | | Toronto-Dominion Bank (The), MTN, 1.150%, 6/12/2025(b) | | | 1,702,196 | |
| 1,580,000 | | | Videotron Ltd., 5.125%, 4/15/2027, 144A | | | 1,662,160 | |
| | | | | | | | |
| | | | | | | 175,997,206 | |
| | | | | | | | |
| | | Chile — 0.3% | |
| 950,000 | | | Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024 | | | 1,039,347 | |
| 1,500,000 | | | Chile Government International Bond, 2.450%, 1/31/2031(b) | | | 1,577,265 | |
| 570,000 | | | Corp. Nacional del Cobre de Chile, 3.750%, 1/15/2031, 144A(b) | | | 633,584 | |
| 1,960,000 | | | Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029, 144A(b) | | | 2,070,289 | |
| 1,700,000 | | | Corp. Nacional del Cobre de Chile, 4.500%, 9/16/2025(b) | | | 1,915,703 | |
| 1,160,000 | | | Corp. Nacional del Cobre de Chile, 4.500%, 9/16/2025, 144A(b) | | | 1,307,185 | |
| 525,000 | | | Enel Chile S.A., 4.875%, 6/12/2028(b) | | | 622,073 | |
| 800,000 | | | Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A(b) | | | 850,000 | |
| | | | |
| | See accompanying notes to financial statements. | | | 46 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Chile — continued | |
$ | 935,000 | | | Republic of Chile, 3.240%, 2/06/2028(b) | | $ | 1,039,262 | |
| 1,120,000 | | | Transelec S.A., 4.250%, 1/14/2025, 144A(b) | | | 1,215,200 | |
| | | | | | | | |
| | | | | | | 12,269,908 | |
| | | | | | | | |
| | | China — 0.3% | |
| 920,000 | | | Alibaba Group Holding Ltd., 3.400%, 12/06/2027(b) | | | 1,030,250 | |
| 795,000 | | | Baidu, Inc., 3.875%, 9/29/2023(b) | | | 854,251 | |
| 12,000,000 | | | China Government Bond, 3.300%, 7/04/2023, (CNY)(b) | | | 1,801,402 | |
| 6,500,000 | | | China Government Bond, 3.390%, 5/21/2025, (CNH)(b) | | | 986,826 | |
| 500,000 | | | China Government Bond, 3.480%, 6/29/2027, (CNH)(b) | | | 76,886 | |
| 400,000 | | | China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(b) | | | 417,674 | |
| 905,000 | | | Industrial & Commercial Bank of China Ltd., 2.957%, 11/08/2022(b) | | | 940,413 | |
| 500,000 | | | Tencent Holdings Ltd., 2.985%, 1/19/2023, 144A(b) | | | 521,495 | |
| 1,175,000 | | | Tencent Holdings Ltd., 3.280%, 4/11/2024, 144A(b) | | | 1,252,591 | |
| 1,820,000 | | | Three Gorges Finance I Cayman Islands Ltd., 3.150%, 6/02/2026(b) | | | 1,977,357 | |
| 1,270,000 | | | Weibo Corp., 3.500%, 7/05/2024(b) | | | 1,336,252 | |
| | | | | | | | |
| | | | | | | 11,195,397 | |
| | | | | | | | |
| | | Colombia — 0.5% | |
| 1,395,000 | | | Colombia Government International Bond, 3.125%, 4/15/2031 | | | 1,431,284 | |
| 960,000 | | | Colombia Telecomunicaciones S.A. E.S.P., 4.950%, 7/17/2030, 144A | | | 998,400 | |
| 2,536,000 | | | Ecopetrol S.A., 5.875%, 5/28/2045 | | | 2,764,240 | |
| 1,265,000,000 | | | Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP) | | | 334,831 | |
| 1,300,000 | | | Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029, 144A | | | 1,303,900 | |
| 1,140,000 | | | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | | | 1,216,950 | |
| 1,150,000 | | | Millicom International Cellular S.A., 6.625%, 10/15/2026 | | | 1,233,398 | |
| 575,000 | | | Republic of Colombia, 3.875%, 4/25/2027 | | | 620,425 | |
| 200,000,000 | | | Republic of Colombia, 7.750%, 4/14/2021, (COP) | | | 53,456 | |
| 7,073,300,000 | | | Republic of Colombia, Series B, 6.250%, 11/26/2025, (COP) | | | 2,025,675 | |
| 29,559,900,000 | | | Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(b) | | | 8,899,737 | |
| 870,000 | | | Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A | | | 983,109 | |
| | | | | | | | |
| | | | | | | 21,865,405 | |
| | | | | | | | |
| | | Dem.Rep. Congo — 0.0% | |
| 985,000 | | | HTA Group Ltd. Co., 7.000%, 12/18/2025, 144A | | | 1,029,079 | |
| | | | | | | | |
| | | Dominican Republic — 0.1% | |
| 1,155,000 | | | Dominican Republic, 4.875%, 9/23/2032, 144A | | | 1,148,647 | |
| 1,410,000 | | | Dominican Republic, 5.500%, 1/27/2025, 144A | | | 1,499,902 | |
| 590,000 | | | Dominican Republic, 5.950%, 1/25/2027, 144A | | | 633,123 | |
| 995,000 | | | Dominican Republic, 6.000%, 7/19/2028, 144A | | | 1,070,789 | |
| 425,000 | | | Dominican Republic, 8.625%, 4/20/2027, 144A | | | 496,723 | |
| | | | | | | | |
| | | | | | | 4,849,184 | |
| | | | | | | | |
| | | Finland — 0.1% | |
| 3,575,000 | | | Nordea Bank Abp, 0.750%, 8/28/2025, 144A(b) | | | 3,555,978 | |
| | | | | | | | |
| | | | |
47 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | France — 0.3% | |
| 200,000 | | | AXA S.A., 7.125%, 12/15/2020, (GBP)(b) | | $ | 261,427 | |
| 890,000 | | | BNP Paribas S.A, (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026, 144A(b) | | | 917,759 | |
| 205,000 | | | BNP Paribas S.A., 4.375%, 5/12/2026, 144A(b) | | | 229,621 | |
| 1,415,000 | | | Caisse d’Amortissement de la Dette Sociale, 1.875%, 2/12/2022(b) | | | 1,445,154 | |
| 250,000 | | | Credit Agricole S.A., 3.250%, 10/04/2024, 144A(b) | | | 270,052 | |
| 1,300,000 | | | Edenred, 1.875%, 3/06/2026, (EUR)(b) | | | 1,635,923 | |
| 1,400,000 | | | Engie S.A., 1.250%, 10/24/2041, (EUR)(b) | | | 1,709,792 | |
| 1,550,000 | | | French Republic Government Bond OAT, 4.250%, 10/25/2023, (EUR)(b) | | | 2,093,890 | |
| 500,000 | | | Holding d’Infrastructures de Transport SASU, EMTN, 1.625%, 11/27/2027, (EUR) | | | 592,922 | |
| 500,000 | | | Holding d’Infrastructures de Transport SASU, EMTN, 0.625%, 3/27/2023, (EUR) | | | 582,765 | |
| 1,015,000 | | | Societe Generale S.A., 4.750%, 11/24/2025, 144A(b) | | | 1,113,622 | |
| | | | | | | | |
| | | | | | | 10,852,927 | |
| | | | | | | | |
| | | Germany — 0.1% | |
| 1,165,000 | | | BMW U.S. Capital LLC, 3.150%, 4/18/2024, 144A(b) | | | 1,249,426 | |
| 1,395,000 | | | BMW U.S. Capital LLC, 4.150%, 4/09/2030, 144A(b) | | | 1,653,061 | |
| 1,450,000 | | | Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026, 144A(b) | | | 1,555,740 | |
| 420,000 | | | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A(b) | | | 458,617 | |
| | | | | | | | |
| | | | | | | 4,916,844 | |
| | | | | | | | |
| | | Hong Kong — 0.1% | |
| 355,000 | | | AIA Group Ltd., 3.200%, 3/11/2025, 144A(b) | | | 380,754 | |
| 1,405,000 | | | AIA Group Ltd., 3.600%, 4/09/2029(b) | | | 1,580,330 | |
| 1,135,000 | | | AIA Group Ltd., 3.900%, 4/06/2028, 144A(b) | | | 1,290,098 | |
| | | | | | | | |
| | | | | | | 3,251,182 | |
| | | | | | | | |
| | | India — 0.1% | |
| 1,230,000 | | | ICICI Bank Ltd., EMTN, 3.250%, 9/09/2022 | | | 1,254,948 | |
| 1,250,000 | | | Power Finance Corp. Ltd., 3.950%, 4/23/2030, 144A | | | 1,218,050 | |
| | | | | | | | |
| | | | | | | 2,472,998 | |
| | | | | | | | |
| | | Indonesia — 0.3% | |
| 300,000 | | | Indonesia Government International Bond, 4.125%, 1/15/2025, 144A | | | 334,796 | |
| 1,385,000 | | | Indonesia Government International Bond, 4.200%, 10/15/2050(b) | | | 1,603,636 | |
| 735,000 | | | Indonesia Government International Bond, 4.750%, 1/08/2026 | | | 853,074 | |
| 50,092,000,000 | | | Indonesia Treasury Bond, Series FR75, 7.500%, 5/15/2038, (IDR)(b) | | | 3,337,783 | |
| 43,840,000,000 | | | Indonesia Treasury Bond, Series FR82, 7.000%, 9/15/2030, (IDR)(b) | | | 2,955,665 | |
| 1,475,000 | | | Republic of Indonesia, 2.850%, 2/14/2030(b) | | | 1,551,494 | |
| 545,000 | | | Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR) | | | 651,188 | |
| 525,000 | | | Republic of Indonesia, 4.750%, 1/08/2026, 144A | | | 609,651 | |
| | | | | | | | |
| | | | | | | 11,897,287 | |
| | | | | | | | |
| | | Ireland — 0.1% | |
| 1,715,000 | | | AIB Group PLC, 4.750%, 10/12/2023, 144A(b) | | | 1,862,744 | |
| 1,250,000 | | | Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A | | | 1,350,729 | |
| 375,000 | | | Ireland Government Bond, 3.400%, 3/18/2024, (EUR)(b) | | | 500,695 | |
| | | | | | | | |
| | | | | | | 3,714,168 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 48 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Israel — 0.2% | |
| 23,525,000 | | | State of Israel, 1.000%, 3/31/2030, (ILS) | | $ | 7,052,530 | |
| | | | | | | | |
| | | Italy — 0.7% | |
| 200,000 | | | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A | | | 218,054 | |
| 530,000 | | | Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR) | | | 675,197 | |
| 6,965,000 | | | Italy Buoni Poliennali Del Tesoro, 1.350%, 4/01/2030, (EUR)(b) | | | 8,586,961 | |
| 3,305,000 | | | Italy Buoni Poliennali Del Tesoro, 2.000%, 2/01/2028, (EUR) | | | 4,265,944 | |
| 4,255,000 | | | Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(b) | | | 5,361,286 | |
| 1,975,000 | | | Italy Government International Bond, 2.375%, 10/17/2024 | | | 2,054,109 | |
| 3,335,000 | | | Republic of Italy, 2.500%, 11/15/2025, (EUR) | | | 4,347,662 | |
| 630,000 | | | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034, 144A | | | 724,935 | |
| 635,000 | | | UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A | | | 675,449 | |
| | | | | | | | |
| | | | | | | 26,909,597 | |
| | | | | | | | |
| | | Japan — 0.8% | |
| 988,761,200(††) | | | Japan Government CPI Linked Bond, Series 23, 0.100%, 3/10/2028, (JPY)(b) | | | 9,365,931 | |
| 2,020,350,000 | | | Japan Government Thirty Year Bond, Series 62, 0.500%, 3/20/2049, (JPY)(b) | | | 18,792,809 | |
| 2,000,000 | | | Mizuho Financial Group, Inc., (fixed rate to 7/10/2023, variable rate thereafter), 1.241%, 7/10/2024(b) | | | 2,015,702 | |
| 2,000,000 | | | Nomura Holdings, Inc., 1.851%, 7/16/2025(b) | | | 2,035,233 | |
| 1,445,000 | | | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029(b) | | | 1,574,920 | |
| | | | | | | | |
| | | | | | | 33,784,595 | |
| | | | | | | | |
| | | Korea — 0.3% | |
| 765,000 | | | Export-Import Bank of Korea, 3.000%, 11/01/2022(b) | | | 802,032 | |
| 1,100,000 | | | Hyundai Capital Services, Inc., 3.750%, 3/05/2023, 144A(b) | | | 1,164,790 | |
| 1,575,000 | | | Kia Motors Corp., 3.000%, 4/25/2023, 144A(b) | | | 1,645,560 | |
| 1,515,000 | | | Korea East-West Power Co. Ltd., 1.750%, 5/06/2025, 144A(b) | | | 1,565,422 | |
| 910,000 | | | Korea Gas Corp., 2.750%, 7/20/2022, 144A(b) | | | 944,744 | |
| 670,000 | | | KT Corp., 2.500%, 7/18/2026, 144A(b) | | | 716,110 | |
| 1,180,000 | | | LG Chem Ltd., 3.250%, 10/15/2024, 144A(b) | | | 1,270,478 | |
| 1,440,000,000 | | | Republic of Korea, Series 2209, 2.000%, 9/10/2022, (KRW)(b) | | | 1,260,161 | |
| 770,000 | | | Shinhan Bank Co. Ltd., 3.875%, 3/24/2026, 144A(b) | | | 848,152 | |
| 140,000 | | | SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A(b) | | | 183,817 | |
| 200,000 | | | Woori Bank, 5.875%, 4/13/2021, 144A(b) | | | 204,902 | |
| | | | | | | | |
| | | | | | | 10,606,168 | |
| | | | | | | | |
| | | Malaysia — 0.2% | |
| 28,570,000 | | | Malaysia Government Bond, 3.480%, 3/15/2023, (MYR)(b) | | | 7,116,202 | |
| | | | | | | | |
| | | Mexico — 1.0% | |
| 620,000 | | | Alfa SAB de CV, 6.875%, 3/25/2044 | | | 702,162 | |
| 770,000 | | | America Movil SAB de CV, 2.125%, 3/10/2028, (EUR)(b) | | | 1,011,146 | |
| 860,000 | | | America Movil SAB de CV, 2.875%, 5/07/2030(b) | | | 931,483 | |
| 10,000,000 | | | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)(b) | | | 458,856 | |
| | | | |
49 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Mexico — continued | |
$ | 675,000 | | | Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter), 3.800%, 8/11/2026, 144A | | $ | 673,319 | |
| 730,000 | | | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A(b) | | | 812,490 | |
| 575,000 | | | CEMEX Finance LLC, 6.000%, 4/01/2024 | | | 587,535 | |
| 855,000 | | | Cemex SAB de CV, 5.450%, 11/19/2029 | | | 864,619 | |
| 2,045,000 | | | Cemex SAB de CV, 5.700%, 1/11/2025 | | | 2,087,873 | |
| 400,000 | | | Cemex SAB de CV, 7.375%, 6/05/2027, 144A | | | 432,204 | |
| 360,000 | | | Cemex SAB de CV, 7.750%, 4/16/2026 | | | 379,350 | |
| 1,775,000 | | | Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030(b) | | | 1,887,784 | |
| 1,205,000 | | | Comision Federal de Electricidad, 4.750%, 2/23/2027(b) | | | 1,293,869 | |
| 800,000 | | | Gruma SAB de CV, 4.875%, 12/01/2024(b) | | | 889,008 | |
| 10,000,000 | | | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(b) | | | 337,774 | |
| 840,000 | | | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(b) | | | 854,927 | |
| 142,000(†††) | | | Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(b) | | | 657,446 | |
| 190,229(†††) | | | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b) | | | 871,596 | |
| 1,123,620(†††) | | | Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)(b) | | | 6,008,444 | |
| 637,836(†††) | | | Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)(b) | | | 3,380,965 | |
| 2,665,000 | | | Mexico Government International Bond, 3.250%, 4/16/2030(b) | | | 2,729,786 | |
| 3,600,000 | | | Mexico Government International Bond, 4.000%, 10/02/2023(b) | | | 3,911,436 | |
| 196,000 | | | Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)(b) | | | 229,846 | |
| 1,240,000 | | | Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027 | | | 1,336,100 | |
| 205,000 | | | Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044 | | | 238,825 | |
| 3,505,000 | | | Petroleos Mexicanos, 5.950%, 1/28/2031(b) | | | 2,959,972 | |
| 100,000 | | | Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR) | | | 121,666 | |
| 835,000 | | | Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026 | | | 888,858 | |
| 1,205,000 | | | Sigma Finance Netherlands BV, 4.875%, 3/27/2028 | | | 1,328,525 | |
| 1,010,000 | | | Unifin Financiera SAB de CV, 7.250%, 9/27/2023 | | | 869,519 | |
| | | | | | | | |
| | | | | | | 39,737,383 | |
| | | | | | | | |
| | | Netherlands — 0.1% | |
| 870,000 | | | Cooperatieve Rabobank UA, 4.375%, 8/04/2025(b) | | | 982,343 | |
| 1,725,000 | | | ING Groep NV, (fixed rate to 7/01/2025, variable rate thereafter), 1.400%, 7/01/2026, 144A(b) | | | 1,744,671 | |
| | | | | | | | |
| | | | | | | 2,727,014 | |
| | | | | | | | |
| | | New Zealand — 0.1% | |
| 3,575,000 | | | New Zealand Government Bond, 3.000%, 4/20/2029, (NZD)(b) | | | 2,886,059 | |
| | | | | | | | |
| | | Norway — 0.3% | |
| 17,000,000 | | | City of Oslo, Norway, 3.550%, 2/12/2021, (NOK)(b) | | | 1,843,910 | |
| 2,790,000 | | | Equinor ASA, 3.625%, 4/06/2040(b) | | | 3,178,134 | |
| 3,815,000 | | | Norway Government Bond, Series 475, 2.000%, 5/24/2023, 144A, (NOK)(b) | | | 428,585 | |
| 16,500,000 | | | Norway Government Bond, Series 478, 1.500%, 2/19/2026, 144A, (NOK)(b) | | | 1,876,799 | |
| 46,500,000 | | | Norway Government Bond, Series 482, 1.375%, 8/19/2030, 144A, (NOK)(b) | | | 5,345,743 | |
| | | | | | | | |
| | | | | | | 12,673,171 | |
| | | | | | | | |
| | | Panama — 0.1% | |
| 1,485,000 | | | Cable Onda S.A., 4.500%, 1/30/2030, 144A | | | 1,545,588 | |
| | | | |
| | See accompanying notes to financial statements. | | | 50 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Panama — continued | |
$ | 1,045,000 | | | Panama Government International Bond, 3.160%, 1/23/2030(b) | | $ | 1,136,448 | |
| 1,250,000 | | | Panama Government International Bond, 4.500%, 4/01/2056(b) | | | 1,565,625 | |
| | | | | | | | |
| | | | | | | 4,247,661 | |
| | | | | | | | |
| | | Paraguay — 0.1% | |
| 1,420,000 | | | Paraguay Government International Bond, 4.950%, 4/28/2031, 144A | | | 1,635,130 | |
| 800,000 | | | Republic of Paraguay, 5.000%, 4/15/2026, 144A | | | 910,008 | |
| | | | | | | | |
| | | | | | | 2,545,138 | |
| | | | | | | | |
| | | Peru — 0.2% | |
| 3,220,000 | | | Corp. Financiera de Desarrollo S.A., 2.400%, 9/28/2027, 144A | | | 3,239,513 | |
| 2,005,000 | | | Peruvian Government International Bond, 2.392%, 1/23/2026(b) | | | 2,103,265 | |
| 580,000 | | | Southern Copper Corp., 3.875%, 4/23/2025(b) | | | 640,624 | |
| 1,050,000 | | | Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(b) | | | 1,162,885 | |
| | | | | | | | |
| | | | | | | 7,146,287 | |
| | | | | | | | |
| | | Philippines — 0.0% | |
| 1,060,000 | | | Philippine Government International Bond, 2.457%, 5/05/2030(b) | | | 1,143,888 | |
| | | | | | | | |
| | | Poland — 0.2% | |
| 26,400,000 | | | Republic of Poland Government Bond, 1.250%, 10/25/2030, (PLN)(b) | | | 6,784,695 | |
| | | | | | | | |
| | | Portugal — 0.1% | |
| 3,590,000 | | | EDP Finance BV, 1.710%, 1/24/2028, 144A | | | 3,570,399 | |
| | | | | | | | |
| | | Singapore — 0.2% | |
| 785,000 | | | BOC Aviation Ltd., 2.750%, 9/18/2022, 144A(b) | | | 799,808 | |
| 1,450,000 | | | BOC Aviation Ltd., 3.250%, 4/29/2025, 144A(b) | | | 1,514,583 | |
| 345,000 | | | DBS Group Holdings Ltd., (fixed rate to 12/11/2023, variable rate thereafter), 4.520%, 12/11/2028, 144A(b) | | | 376,081 | |
| 4,510,000 | | | Republic of Singapore, 2.750%, 7/01/2023, (SGD) | | | 3,525,931 | |
| 3,215,000 | | | United Overseas Bank Ltd., 3.200%, 4/23/2021, 144A(b) | | | 3,255,638 | |
| | | | | | | | |
| | | | | | | 9,472,041 | |
| | | | | | | | |
| | | South Africa — 0.4% | |
| 1,400,000 | | | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | | | 1,396,192 | |
| 1,400,000 | | | Anglo American Capital PLC, 5.625%, 4/01/2030, 144A(b) | | | 1,718,388 | |
| 1,420,000 | | | MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024 | | | 1,450,885 | |
| 930,000 | | | MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A | | | 950,227 | |
| 46,510,000 | | | Republic of South Africa, Series 2035, 8.875%, 2/28/2035, (ZAR) | | | 2,324,148 | |
| 39,185,000 | | | Republic of South Africa, Series R213, 7.000%, 2/28/2031, (ZAR) | | | 1,902,120 | |
| 7,585,000 | | | South Africa Government International Bond, 5.750%, 9/30/2049 | | | 6,422,068 | |
| | | | | | | | |
| | | | | | | 16,164,028 | |
| | | | | | | | |
| | | Spain — 0.4% | |
| 2,300,000 | | | Banco Bilbao Vizcaya Argentaria S.A., GMTN, 0.750%, 9/11/2022, (EUR)(b) | | | 2,730,752 | |
| 400,000 | | | Banco Santander S.A., 3.125%, 2/23/2023(b) | | | 419,002 | |
| 600,000 | | | CaixaBank S.A., (fixed rate to 4/17/2025, variable rate thereafter), EMTN, 2.250%, 4/17/2030, (EUR) | | | 710,178 | |
| 500,000 | | | CaixaBank S.A., (fixed rate to 7/14/2023, variable rate thereafter), EMTN, 2.750%, 7/14/2028, (EUR) | | | 602,485 | |
| | | | |
51 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | Spain — continued | |
| 700,000 | | | Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR)(b) | | $ | 886,732 | |
| 725,000 | | | Spain Government Bond, 0.750%, 7/30/2021, (EUR)(b) | | | 858,484 | |
| 430,000 | | | Spain Government Bond, 1.600%, 4/30/2025, 144A, (EUR)(b) | | | 548,054 | |
| 2,525,000 | | | Spain Government Bond, 1.950%, 7/30/2030, 144A, (EUR)(b) | | | 3,463,118 | |
| 1,400,000 | | | Spain Government Bond, 2.700%, 10/31/2048, 144A, (EUR)(b) | | | 2,317,285 | |
| 2,565,000 | | | Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(b) | | | 3,457,026 | |
| 1,300,000 | | | Telefonica Emisiones S.A., EMTN, 1.495%, 9/11/2025, (EUR)(b) | | | 1,619,202 | |
| | | | | | | | |
| | | | | | | 17,612,318 | |
| | | | | | | | |
| | | Supranationals — 0.2% | |
| 1,495,000 | | | Corporacion Andina de Fomento, 2.375%, 5/12/2023(b) | | | 1,550,375 | |
| 1,115,000 | | | Corporacion Andina de Fomento, 4.375%, 6/15/2022(b) | | | 1,173,404 | |
| 3,360,000 | | | European Investment Bank, 1.750%, 7/30/2024, 144A, (CAD)(b) | | | 2,637,659 | |
| 2,560,000 | | | International Bank for Reconstruction & Development, 0.250%, 12/23/2022, (SEK)(b) | | | 286,934 | |
| 3,515,000 | | | International Bank for Reconstruction & Development, 2.200%, 1/18/2022, (CAD)(b) | | | 2,704,534 | |
| | | | | | | | |
| | | | | | | 8,352,906 | |
| | | | | | | | |
| | | Sweden — 0.0% | |
| 1,675,000 | | | Svenska Handelsbanken AB, 0.625%, 6/30/2023, 144A(b) | | | 1,680,773 | |
| | | | | | | | |
| | | Switzerland — 0.1% | |
| 930,000 | | | Credit Suisse AG, 2.950%, 4/09/2025(b) | | | 1,015,337 | |
| 1,390,000 | | | Credit Suisse Group AG, (fixed rate to 4/01/2030, variable rate thereafter), 4.194%, 4/01/2031, 144A(b) | | | 1,604,741 | |
| 1,375,000 | | | Novartis Capital Corp., 2.000%, 2/14/2027(b) | | | 1,462,972 | |
| 900,000 | | | Syngenta Finance NV, EMTN, 1.250%, 9/10/2027, (EUR) | | | 1,010,106 | |
| 340,000 | | | Willow No. 2 (Ireland) PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2025, variable rate thereafter), 4.250%, 10/01/2045(b) | | | 364,631 | |
| | | | | | | | |
| | | | | | | 5,457,787 | |
| | | | | | | | |
| | | Thailand — 0.1% | |
| 1,570,000 | | | Kasikornbank PCL, EMTN, 3.256%, 7/12/2023(b) | | | 1,650,251 | |
| 85,000,000 | | | Thailand Government Bond, 2.125%, 12/17/2026, (THB)(b) | | | 2,859,708 | |
| 950,000 | | | Thaioil Treasury Center Co. Ltd., 3.625%, 1/23/2023, 144A(b) | | | 990,803 | |
| | | | | | | | |
| | | | | | | 5,500,762 | |
| | | | | | | | |
| | | Trinidad — 0.0% | |
| 415,000 | | | Trinidad Generation UnLtd., 5.250%, 11/04/2027, 144A | | | 410,850 | |
| | | | | | | | |
| | | Turkey — 0.3% | |
| 2,830,000 | | | Turk Telekomunikasyon AS, 6.875%, 2/28/2025 | | | 2,886,600 | |
| 525,000 | | | Turk Telekomunikasyon AS, 6.875%, 2/28/2025, 144A | | | 535,500 | |
| 2,875,000 | | | Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028 | | | 2,798,985 | |
| 6,970,000 | | | Turkey Government International Bond, 5.250%, 3/13/2030 | | | 6,200,289 | |
| 1,345,000 | | | Turkey Government International Bond, 7.625%, 4/26/2029 | | | 1,384,072 | |
| | | | | | | | |
| | | | | | | 13,805,446 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 52 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | United Arab Emirates — 0.1% | |
$ | 1,610,000 | | | Abu Dhabi Crude Oil Pipeline LLC, 3.650%, 11/02/2029(b) | | $ | 1,827,801 | |
| 1,295,000 | | | Abu Dhabi Government International Bond, 3.125%, 4/16/2030, 144A(b) | | | 1,447,654 | |
| | | | | | | | |
| | | | | | | 3,275,455 | |
| | | | | | | | |
| | | United Kingdom — 0.4% | |
| 95,000 | | | Avon Products, Inc., 8.950%, 3/15/2043 | | | 111,316 | |
| 1,265,000 | | | British Telecommunications PLC, 3.250%, 11/08/2029, 144A | | | 1,354,343 | |
| 1,350,000 | | | CK Hutchison International 19 Ltd., 3.625%, 4/11/2029, 144A(b) | | | 1,529,915 | |
| 1,420,000 | | | Diageo Capital PLC, 2.125%, 4/29/2032(b) | | | 1,483,028 | |
| 365,000 | | | HSBC Holdings PLC, 4.950%, 3/31/2030(b) | | | 439,388 | |
| 1,125,000 | | | Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025(b) | | | 1,224,422 | |
| 635,000 | | | Lloyds Banking Group PLC, 4.050%, 8/16/2023(b) | | | 687,185 | |
| 400,000 | | | Lloyds Banking Group PLC, 4.500%, 11/04/2024(b) | | | 436,267 | |
| 1,395,000 | | | Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030, 144A(b) | | | 1,575,139 | |
| 1,130,000 | | | NatWest Group PLC, 6.000%, 12/19/2023(b) | | | 1,270,818 | |
| 235,000 | | | Network Rail Infrastructure Finance PLC, EMTN, 4.750%, 1/22/2024, (GBP)(b) | | | 348,771 | |
| 350,000 | | | Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(b) | | | 382,821 | |
| 250,000 | | | Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR)(b) | | | 320,020 | |
| 1,035,000 | | | United Kingdom Gilt, 2.750%, 9/07/2024, (GBP)(b) | | | 1,484,328 | |
| 1,660,000 | | | Vodafone Group PLC, 4.375%, 5/30/2028(b) | | | 1,964,942 | |
| | | | | | | | |
| | | | | | | 14,612,703 | |
| | | | | | | | |
| | | United States — 16.1% | |
| 165,000 | | | AES Corp. (The), 3.950%, 7/15/2030, 144A | | | 182,318 | |
| 110,000 | | | Air Lease Corp., 2.250%, 1/15/2023 | | | 110,698 | |
| 15,000 | | | Air Lease Corp., 3.250%, 3/01/2025 | | | 15,259 | |
| 116,000 | | | Air Lease Corp., 3.250%, 10/01/2029 | | | 110,034 | |
| 360,000 | | | Air Lease Corp., MTN, 3.000%, 2/01/2030 | | | 335,247 | |
| 480,000 | | | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A | | | 493,800 | |
| 8,000,000 | | | Ally Financial, Inc., 4.125%, 2/13/2022 | | | 8,290,399 | |
| 745,000 | | | Ally Financial, Inc., 5.125%, 9/30/2024 | | | 830,298 | |
| 1,728,000 | | | Ally Financial, Inc., 8.000%, 11/01/2031 | | | 2,365,847 | |
| 70,000 | | | American Airlines Group, Inc., 3.750%, 3/01/2025, 144A | | | 35,492 | |
| 1,965,000 | | | American Airlines Group, Inc., 5.000%, 6/01/2022, 144A | | | 1,336,200 | |
| 1,667,402 | | | American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025 | | | 1,151,822 | |
| 108,948 | | | American Airlines Pass Through Certificates, Series 2013-1, Class A, 4.000%, 1/15/2027 | | | 86,239 | |
| 1,363,322 | | | American Airlines Pass Through Certificates, Series 2016-3, Class B, 3.750%, 4/15/2027 | | | 945,614 | |
| 386,558 | | | American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026 | | | 263,837 | |
| 502,606 | | | American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027 | | | 319,745 | |
| 5,335,000 | | | American Airlines, Inc., 11.750%, 7/15/2025, 144A | | | 5,148,275 | |
| | | | |
53 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | United States — continued | |
$ | 2,510,000 | | | American Honda Finance Corp., GMTN, 1.700%, 9/09/2021 | | $ | 2,539,951 | |
| 3,975,000 | | | Apple, Inc., Series MPLE, 2.513%, 8/19/2024, (CAD)(b) | | | 3,169,522 | |
| 260,000 | | | Aptiv PLC, 1.600%, 9/15/2028, (EUR) | | | 318,933 | |
| 1,510,000 | | | AT&T, Inc., 3.400%, 5/15/2025 | | | 1,670,815 | |
| 804,000 | | | AT&T, Inc., 3.650%, 9/15/2059, 144A | | | 789,809 | |
| 3,960,000 | | | AT&T, Inc., 4.300%, 2/15/2030 | | | 4,693,908 | |
| 424,000 | | | AT&T, Inc., 4.500%, 3/09/2048 | | | 486,589 | |
| 925,000 | | | Aviation Capital Group LLC, 6.750%, 4/06/2021, 144A | | | 942,925 | |
| 75,000 | | | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A | | | 67,646 | |
| 2,700,000 | | | Bank of America Corp., 6.110%, 1/29/2037 | | | 3,811,464 | |
| 115,000 | | | Bank of America Corp., MTN, 4.250%, 10/22/2026 | | | 133,162 | |
| 3,180,000 | | | Beazer Homes USA, Inc., 7.250%, 10/15/2029 | | | 3,410,550 | |
| 140,000 | | | Boeing Co. (The), 3.100%, 5/01/2026 | | | 139,656 | |
| 25,000 | | | Boeing Co. (The), 3.250%, 2/01/2035 | | | 23,499 | |
| 165,000 | | | Boeing Co. (The), 3.550%, 3/01/2038 | | | 150,305 | |
| 25,000 | | | Boeing Co. (The), 3.625%, 3/01/2048 | | | 21,970 | |
| 90,000 | | | Boeing Co. (The), 3.750%, 2/01/2050 | | | 82,126 | |
| 635,000 | | | Boeing Co. (The), 3.850%, 11/01/2048 | | | 581,869 | |
| 640,000 | | | Boeing Co. (The), 3.950%, 8/01/2059 | | | 579,368 | |
| 585,000 | | | BP Capital Markets America, Inc., 3.216%, 11/28/2023(b) | | | 628,601 | |
| 270,000 | | | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | | | 259,847 | |
| 1,860,000 | | | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | | | 2,166,091 | |
| 690,000 | | | Broadcom, Inc., 5.000%, 4/15/2030 | | | 813,922 | |
| 60,000 | | | CenturyLink, Inc., 5.625%, 4/01/2025 | | | 64,102 | |
| 880,000 | | | CenturyLink, Inc., Series S, 6.450%, 6/15/2021 | | | 903,100 | |
| 3,210,000 | | | Chesapeake Energy Corp., 4.875%, 4/15/2022(c)(d)(e) | | | 130,454 | |
| 315,000 | | | Chesapeake Energy Corp., 5.750%, 3/15/2023(c)(d)(e) | | | 11,813 | |
| 7,295,000 | | | Chesapeake Energy Corp., 8.000%, 6/15/2027(c)(d)(e) | | | 246,206 | |
| 780,000 | | | Chevron Corp., 2.419%, 11/17/2020(b) | | | 781,240 | |
| 1,635,000 | | | Cimarex Energy Co., 4.375%, 6/01/2024 | | | 1,754,882 | |
| 40,000 | | | Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A | | | 42,250 | |
| 3,500,000 | | | Coca-Cola Co. (The), 1.550%, 9/01/2021 | | | 3,540,585 | |
| 265,000 | | | Constellation Brands, Inc., 4.750%, 11/15/2024 | | | 304,736 | |
| 485,000 | | | Continental Resources, Inc., 3.800%, 6/01/2024 | | | 447,412 | |
| 640,000 | | | Continental Resources, Inc., 4.500%, 4/15/2023 | | | 609,920 | |
| 63,000 | | | Continental Resources, Inc., 5.000%, 9/15/2022 | | | 62,533 | |
| 375,000 | | | Cox Communications, Inc., 4.800%, 2/01/2035, 144A | | | 471,636 | |
| 595,000 | | | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | | | 628,469 | |
| 155,000 | | | Cummins, Inc., 5.650%, 3/01/2098 | | | 187,900 | |
| 490,000 | | | Dana, Inc., 5.375%, 11/15/2027 | | | 502,250 | |
| 475,000 | | | Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A | | | 557,735 | |
| 75,270 | | | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 | | | 70,809 | |
| 940,000 | | | DH Europe Finance II S.a.r.l., 0.750%, 9/18/2031, (EUR)(b) | | | 1,084,983 | |
| 50,000 | | | Dillard’s, Inc., 7.000%, 12/01/2028 | | | 51,296 | |
| 8,000 | | | Dillard’s, Inc., 7.750%, 7/15/2026 | | | 8,391 | |
| | | | |
| | See accompanying notes to financial statements. | | | 54 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | United States — continued | |
$ | 1,680,000 | | | DISH DBS Corp., 5.000%, 3/15/2023 | | $ | 1,713,600 | |
| 3,570,000 | | | DISH DBS Corp., 5.875%, 11/15/2024 | | | 3,661,035 | |
| 1,385,000 | | | DISH DBS Corp., 7.750%, 7/01/2026 | | | 1,522,614 | |
| 310,000 | | | DR Horton, Inc., 4.375%, 9/15/2022 | | | 328,833 | |
| 140,000 | | | Ecolab, Inc., 4.800%, 3/24/2030(b) | | | 178,576 | |
| 160,000 | | | Edison International, 4.950%, 4/15/2025 | | | 175,136 | |
| 340,000 | | | Enable Midstream Partners LP, 5.000%, 5/15/2044 | | | 286,535 | |
| 235,000 | | | Enbridge Energy Partners LP, 7.375%, 10/15/2045 | | | 344,073 | |
| 1,075,000 | | | Energy Transfer Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022 | | | 1,131,363 | |
| 600,000 | | | EnLink Midstream Partners LP, 4.150%, 6/01/2025 | | | 516,618 | |
| 410,000 | | | FedEx Corp., 1.000%, 1/11/2023, (EUR) | | | 489,809 | |
| 650,000 | | | FedEx Corp., 3.400%, 1/14/2022 | | | 673,785 | |
| 4,910,000 | | | Ford Motor Co., 4.750%, 1/15/2043 | | | 4,445,637 | |
| 2,515,000 | | | Ford Motor Co., 5.291%, 12/08/2046 | | | 2,359,384 | |
| 25,000 | | | Ford Motor Co., 6.375%, 2/01/2029 | | | 25,993 | |
| 50,000 | | | Ford Motor Co., 6.625%, 2/15/2028 | | | 52,519 | |
| 2,105,000 | | | Ford Motor Co., 6.625%, 10/01/2028 | | | 2,268,137 | |
| 5,000 | | | Ford Motor Co., 7.500%, 8/01/2026 | | | 5,444 | |
| 875,000 | | | Ford Motor Credit Co. LLC, 5.113%, 5/03/2029 | | | 896,875 | |
| 7,305,000 | | | Ford Motor Credit Co. LLC, 5.125%, 6/16/2025 | | | 7,533,281 | |
| 200,000 | | | Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026 | | | 197,718 | |
| 2,710,000 | | | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | | | 2,802,018 | |
| 9,830,000 | | | GE Capital Funding LLC, 4.550%, 5/15/2032, 144A | | | 10,565,920 | |
| 295,000 | | | General Electric Co., 4.500%, 3/11/2044 | | | 304,725 | |
| 50,000 | | | General Electric Co., GMTN, 3.100%, 1/09/2023 | | | 52,470 | |
| 1,055,000 | | | General Motors Co., 5.200%, 4/01/2045 | | | 1,136,409 | |
| 405,000 | | | General Motors Co., 6.250%, 10/02/2043 | | | 479,951 | |
| 240,000 | | | General Motors Financial Co., Inc., 3.450%, 4/10/2022 | | | 246,750 | |
| 7,680,000 | | | General Motors Financial Co., Inc., 3.600%, 6/21/2030 | | | 7,953,464 | |
| 925,000 | | | General Motors Financial Co., Inc., 5.250%, 3/01/2026 | | | 1,040,677 | |
| 100,000 | | | General Motors Financial Co., Inc., EMTN, 0.955%, 9/07/2023, (EUR) | | | 116,841 | |
| 635,000 | | | General Motors Financial Co., Inc., EMTN, 2.250%, 9/06/2024, (GBP) | | | 814,348 | |
| 770,000 | | | General Motors Financial of Canada Ltd., Series 5, 3.250%, 11/07/2023, (CAD) | | | 594,864 | |
| 3,435,000 | | | Georgia-Pacific LLC, 7.250%, 6/01/2028 | | | 4,544,778 | |
| 105,000 | | | Georgia-Pacific LLC, 7.375%, 12/01/2025 | | | 135,696 | |
| 180,000 | | | Georgia-Pacific LLC, 7.750%, 11/15/2029 | | | 269,106 | |
| 315,000 | | | Georgia-Pacific LLC, 8.875%, 5/15/2031 | | | 509,245 | |
| 905,000 | | | Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A | | | 934,125 | |
| 2,295,000 | | | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 | | | 3,334,471 | |
| 2,895,000 | | | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027 | | | 2,743,012 | |
| 150,000 | | | Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026 | | | 145,743 | |
| 165,000 | | | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | | | 171,229 | |
| 855,000 | | | Hanesbrands, Inc., 5.375%, 5/15/2025, 144A | | | 902,025 | |
| 20,000 | | | HCA, Inc., 4.750%, 5/01/2023 | | | 21,818 | |
| 6,670,000 | | | HCA, Inc., 5.375%, 9/01/2026 | | | 7,367,482 | |
| | | | |
55 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | United States — continued | |
$ | 225,000 | | | HCA, Inc., 7.050%, 12/01/2027 | | $ | 262,687 | |
| 820,000 | | | HCA, Inc., 7.500%, 11/06/2033 | | | 1,090,600 | |
| 395,000 | | | HCA, Inc., 8.360%, 4/15/2024 | | | 465,112 | |
| 195,000 | | | HCA, Inc., MTN, 7.580%, 9/15/2025 | | | 232,537 | |
| 75,000 | | | HCA, Inc., MTN, 7.750%, 7/15/2036 | | | 95,625 | |
| 490,000 | | | Hewlett Packard Enterprise Co., 6.350%, 10/15/2045 | | | 624,552 | |
| 485,000 | | | Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A | | | 498,506 | |
| 1,000,000 | | | Hyundai Capital America, 2.650%, 2/10/2025(b) | | | 1,029,800 | |
| 835,000 | | | Hyundai Capital America, 2.650%, 2/10/2025, 144A(b) | | | 859,883 | |
| 1,585,000 | | | Hyundai Capital America, 2.750%, 9/27/2026, 144A(b) | | | 1,640,943 | |
| 1,395,000 | | | Hyundai Capital America, 6.375%, 4/08/2030, 144A(b) | | | 1,785,749 | |
| 1,835,000 | | | iHeartCommunications, Inc., 8.375%, 5/01/2027 | | | 1,807,475 | |
| 5,760,000 | | | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | | | 5,860,800 | |
| 290,000 | | | iStar, Inc., 4.750%, 10/01/2024 | | | 280,575 | |
| 48,000 | | | J.C. Penney Corp., Inc., 6.375%, 10/15/2036(c)(d)(e) | | | 229 | |
| 5,000 | | | J.C. Penney Corp., Inc., 7.625%, 3/01/2097(c)(d)(e) | | | 31 | |
| 1,070,000 | | | Jefferies Group LLC, 6.250%, 1/15/2036 | | | 1,326,020 | |
| 7,760,000 | | | JELD-WEN, Inc., 4.625%, 12/15/2025, 144A | | | 7,798,800 | |
| 1,875,000 | | | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | | | 1,910,719 | |
| 1,885,000 | | | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | | | 1,934,142 | |
| 760,000 | | | Level 3 Financing, Inc., 5.375%, 5/01/2025 | | | 783,568 | |
| 44,000 | | | Masco Corp., 6.500%, 8/15/2032 | | | 57,039 | |
| 403,000 | | | Masco Corp., 7.750%, 8/01/2029 | | | 568,609 | |
| 615,000 | | | Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR)(b) | | | 761,421 | |
| 2,905,000 | | | MGIC Investment Corp., 5.250%, 8/15/2028 | | | 2,996,290 | |
| 4,315,000 | | | Michaels Stores, Inc., 8.000%, 7/15/2027, 144A | | | 4,509,175 | |
| 10,000,000 | | | Microsoft Corp., 1.550%, 8/08/2021 | | | 10,107,979 | |
| 2,355,000 | | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | | | 2,452,144 | |
| 1,025,000 | | | Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A | | | 1,053,987 | |
| 450,000 | | | Morgan Stanley, 3.950%, 4/23/2027 | | | 510,107 | |
| 725,000 | | | Morgan Stanley, 5.750%, 1/25/2021 | | | 737,388 | |
| 3,150,000 | | | Morgan Stanley, MTN, 4.100%, 5/22/2023 | | | 3,411,987 | |
| 600,000 | | | Morgan Stanley, MTN, 6.250%, 8/09/2026 | | | 761,998 | |
| 25,000 | | | MPLX LP, 4.500%, 7/15/2023 | | | 27,104 | |
| 95,000 | | | MPLX LP, 4.875%, 6/01/2025 | | | 107,525 | |
| 2,135,000 | | | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A | | | 2,132,331 | |
| 3,890,000 | | | Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A | | | 4,172,025 | |
| 4,605,000 | | | Nationwide Mutual Insurance Co., 4.350%, 4/30/2050, 144A | | | 4,933,295 | |
| 3,000,000 | | | Navient Corp., 5.000%, 10/26/2020 | | | 3,000,000 | |
| 2,535,000 | | | Navient Corp., 5.000%, 3/15/2027 | | | 2,380,441 | |
| 915,000 | | | Navient Corp., 5.500%, 1/25/2023 | | | 920,815 | |
| 255,000 | | | Navient Corp., 5.875%, 10/25/2024 | | | 253,567 | |
| 1,600(††††) | | | Navient Corp., 6.000%, 12/15/2043 | | | 34,124 | |
| 1,130,000 | | | Navient Corp., 6.750%, 6/15/2026 | | | 1,127,175 | |
| 4,318,000 | | | Navient Corp., MTN, 5.625%, 8/01/2033 | | | 3,634,137 | |
| 760,000 | | | Navient Corp., MTN, 6.125%, 3/25/2024 | | | 765,700 | |
| | | | |
| | See accompanying notes to financial statements. | | | 56 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | United States — continued | |
$ | 415,000 | | | Navient Corp., MTN, 7.250%, 1/25/2022 | | $ | 425,375 | |
| 1,200,000 | | | New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A | | | 1,254,600 | |
| 65,000 | | | Newfield Exploration Co., 5.625%, 7/01/2024 | | | 63,053 | |
| 900,000 | | | NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025 | | | 535,500 | |
| 405,000 | | | NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023 | | | 269,831 | |
| 20,000 | | | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | | | 25,458 | |
| 1,765,000 | | | Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A(b) | | | 1,800,026 | |
| 300,000 | | | Occidental Petroleum Corp., 4.500%, 7/15/2044 | | | 215,463 | |
| 2,355,000 | | | Occidental Petroleum Corp., 6.625%, 9/01/2030 | | | 2,172,487 | |
| 1,795,000 | | | Occidental Petroleum Corp., 8.875%, 7/15/2030 | | | 1,848,850 | |
| 2,275,000 | | | Oceaneering International, Inc., 4.650%, 11/15/2024 | | | 1,662,160 | |
| 420,000 | | | Old Republic International Corp., 4.875%, 10/01/2024 | | | 476,767 | |
| 1,170,000 | | | OneMain Finance Corp., 5.625%, 3/15/2023 | | | 1,213,881 | |
| 860,000 | | | OneMain Finance Corp., 6.875%, 3/15/2025 | | | 954,320 | |
| 2,310,000 | | | OneMain Finance Corp., 7.125%, 3/15/2026 | | | 2,580,732 | |
| 330,000 | | | OneMain Finance Corp., 7.750%, 10/01/2021 | | | 345,155 | |
| 130,000 | | | OneMain Finance Corp., 8.250%, 10/01/2023 | | | 144,300 | |
| 3,693,000 | | | ONEOK Partners LP, 4.900%, 3/15/2025 | | | 4,046,886 | |
| 25,000 | | | ONEOK Partners LP, 6.200%, 9/15/2043 | | | 26,486 | |
| 1,200,000 | | | Owens Corning, 4.400%, 1/30/2048 | | | 1,336,438 | |
| 310,000 | | | Owens Corning, 7.000%, 12/01/2036 | | | 413,265 | |
| 2,965,000 | | | Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A | | | 3,128,075 | |
| 585,000 | | | Owens-Brockway Glass Container, Inc., 6.625%, 5/13/2027, 144A | | | 633,628 | |
| 8,630,000 | | | Owl Rock Capital Corp., 4.250%, 1/15/2026 | | | 8,742,449 | |
| 5,150,000 | | | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A | | | 5,088,887 | |
| 1,400,000 | | | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A | | | 1,577,140 | |
| 2,165,000 | | | Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR)(b) | | | 2,534,658 | |
| 1,530,000 | | | Prologis Euro Finance LLC, 0.375%, 2/06/2028, (EUR)(b) | | | 1,803,122 | |
| 365,000 | | | Prologis LP, 2.250%, 6/30/2029, (GBP)(b) | | | 512,640 | |
| 1,115,000 | | | Prudential Financial, Inc., MTN, 3.700%, 3/13/2051 | | | 1,225,853 | |
| 540,000 | | | PulteGroup, Inc., 6.000%, 2/15/2035 | | | 666,900 | |
| 785,000 | | | PulteGroup, Inc., 6.375%, 5/15/2033 | | | 987,137 | |
| 220,000 | | | PulteGroup, Inc., 7.875%, 6/15/2032 | | | 302,500 | |
| 285,000 | | | QEP Resources, Inc., 5.250%, 5/01/2023 | | | 207,337 | |
| 210,000 | | | QEP Resources, Inc., 5.375%, 10/01/2022 | | | 172,200 | |
| 295,000 | | | Quicken Loans LLC, 5.250%, 1/15/2028, 144A | | | 310,830 | |
| 120,000 | | | Quicken Loans LLC, 5.750%, 5/01/2025, 144A | | | 123,540 | |
| 95,000 | | | Qwest Corp., 7.250%, 9/15/2025 | | | 109,120 | |
| 345,000 | | | Radian Group, Inc., 4.500%, 10/01/2024 | | | 342,481 | |
| 195,000 | | | Radian Group, Inc., 4.875%, 3/15/2027 | | | 195,000 | |
| 3,365,000 | | | Radian Group, Inc., 6.625%, 3/15/2025 | | | 3,550,075 | |
| 890,000 | | | Range Resources Corp., 4.875%, 5/15/2025 | | | 803,314 | |
| 165,000 | | | Range Resources Corp., 5.000%, 3/15/2023 | | | 156,750 | |
| 1,100,000 | | | Realty Income Corp., EMTN, 1.625%, 12/15/2030, (GBP) | | | 1,409,988 | |
| 810,000 | | | Santander Holdings USA, Inc., 3.450%, 6/02/2025(b) | | | 866,216 | |
| 25,000 | | | Sealed Air Corp., 4.875%, 12/01/2022, 144A | | | 26,072 | |
| 640,000 | | | Sealed Air Corp., 5.500%, 9/15/2025, 144A | | | 707,200 | |
| | | | |
57 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | United States — continued | |
$ | 35,000 | | | Service Properties Trust, 3.950%, 1/15/2028 | | $ | 29,050 | |
| 395,000 | | | Service Properties Trust, 4.350%, 10/01/2024 | | | 357,475 | |
| 115,000 | | | Service Properties Trust, 4.500%, 6/15/2023 | | | 112,778 | |
| 60,000 | | | Service Properties Trust, 4.650%, 3/15/2024 | | | 55,800 | |
| 50,000 | | | Service Properties Trust, 4.750%, 10/01/2026 | | | 44,466 | |
| 185,000 | | | Service Properties Trust, 4.950%, 2/15/2027 | | | 164,650 | |
| 420,000 | | | ServiceMaster Co. LLC (The), 7.450%, 8/15/2027 | | | 458,325 | |
| 140,000 | | | Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR) | | | 165,742 | |
| 5,051,000 | | | SM Energy Co., 10.000%, 1/15/2025, 144A | | | 4,820,220 | |
| 2,785,000 | | | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | | | 2,899,881 | |
| 2,805,000 | | | T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A | | | 3,182,609 | |
| 3,960,000 | | | Tenet Healthcare Corp., 5.125%, 5/01/2025 | | | 3,996,828 | |
| 14,910,000 | | | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | | | 14,499,975 | |
| 100,000 | | | Tenet Healthcare Corp., 6.750%, 6/15/2023 | | | 105,000 | |
| 1,695,000 | | | Tenet Healthcare Corp., 6.875%, 11/15/2031 | | | 1,661,100 | |
| 820,000 | | | Textron, Inc., 5.950%, 9/21/2021 | | | 851,308 | |
| 100,000 | | | Thermo Fisher Scientific, Inc., EMTN, 1.500%, 10/01/2039, (EUR) | | | 116,971 | |
| 245,000 | | | Thermo Fisher Scientific, Inc., EMTN, 1.875%, 10/01/2049, (EUR)(b) | | | 289,017 | |
| 90,000 | | | Time Warner Cable LLC, 4.500%, 9/15/2042 | | | 97,764 | |
| 85,000 | | | Time Warner Cable LLC, 5.500%, 9/01/2041 | | | 102,968 | |
| 1,635,000 | | | Toyota Motor Credit Corp., MTN, 2.650%, 4/12/2022(b) | | | 1,691,107 | |
| 1,680,000 | | | Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026 | | | 2,175,105 | |
| 635,000 | | | TransDigm, Inc., 5.500%, 11/15/2027 | | | 610,267 | |
| 171,000 | | | TransDigm, Inc., 6.500%, 7/15/2024 | | | 170,573 | |
| 185,000 | | | TransDigm, Inc., 6.500%, 5/15/2025 | | | 184,422 | |
| 50,000 | | | TransDigm, Inc., 7.500%, 3/15/2027 | | | 51,916 | |
| 2,615,000 | | | TransDigm, Inc., 8.000%, 12/15/2025, 144A | | | 2,843,812 | |
| 5,000 | | | TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024 | | | 5,400 | |
| 77,186 | | | U.S. Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 | | | 75,621 | |
| 295,830 | | | U.S. Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026 | | | 245,176 | |
| 53,675,000 | | | U.S. Treasury Bond, 1.250%, 5/15/2050 | | | 51,024,797 | |
| 55,610,000 | | | U.S. Treasury Bond, 1.375%, 8/15/2050 | | | 54,576,002 | |
| 4,960,000 | | | U.S. Treasury Bond, 2.875%, 5/15/2049(b)(f) | | | 6,658,994 | |
| 4,380,000 | | | U.S. Treasury Bond, 3.000%, 8/15/2048 | | | 5,983,662 | |
| 4,143,706 | | | U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2022(b)(g) | | | 4,217,192 | |
| 4,183,169 | | | U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2027(b)(g) | | | 4,651,569 | |
| 13,193,191 | | | U.S. Treasury Inflation Indexed Note, 0.625%, 4/15/2023(b)(g) | | | 13,804,407 | |
| 33,735,000 | | | U.S. Treasury Note, 1.500%, 9/30/2021 | | | 34,193,585 | |
| 34,445,000 | | | U.S. Treasury Note, 1.500%, 10/31/2021 | | | 34,953,602 | |
| 35,975,000 | | | U.S. Treasury Note, 1.500%, 11/30/2021 | | | 36,539,920 | |
| 13,685,000 | | | U.S. Treasury Note, 1.625%, 10/31/2026(b) | | | 14,711,375 | |
| 14,060,000 | | | U.S. Treasury Note, 1.625%, 8/15/2029(b) | | | 15,312,219 | |
| 21,715,000 | | | U.S. Treasury Note, 1.750%, 11/30/2021 | | | 22,123,853 | |
| 10,235,000 | | | U.S. Treasury Note, 1.750%, 11/15/2029(b) | | | 11,274,092 | |
| | | | |
| | See accompanying notes to financial statements. | | | 58 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Principal Amount (‡) | | | Description | | Value (†) | |
| | | United States — continued | |
$ | 4,515,000 | | | U.S. Treasury Note, 1.875%, 3/31/2022 | | $ | 4,632,990 | |
| 4,700,000 | | | U.S. Treasury Note, 2.875%, 5/15/2028(b) | | | 5,532,047 | |
| 400,799 | | | United Airlines Pass Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027 | | | 302,310 | |
| 1,450,000 | | | United States Steel Corp., 6.650%, 6/01/2037 | | | 891,750 | |
| 25,000 | | | ViacomCBS, Inc., 4.375%, 3/15/2043 | | | 26,576 | |
| 4,050,000 | | | ViacomCBS, Inc., 4.950%, 5/19/2050 | | | 4,752,096 | |
| 395,000 | | | ViacomCBS, Inc., 5.250%, 4/01/2044 | | | 459,049 | |
| 145,000 | | | ViacomCBS, Inc., 5.850%, 9/01/2043 | | | 183,932 | |
| 145,000 | | | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A | | | 98,600 | |
| 1,150,000 | | | Walmart, Inc., 3.700%, 6/26/2028(b) | | | 1,359,835 | |
| 60,000 | | | Weyerhaeuser Co., 6.950%, 10/01/2027 | | | 75,678 | |
| 315,000 | | | Weyerhaeuser Co., 7.375%, 3/15/2032 | | | 459,245 | |
| 1,380,000 | | | Whirlpool Corp., 4.600%, 5/15/2050 | | | 1,709,161 | |
| | | | | | | | |
| | | | | | | 650,233,211 | |
| | | | | | | | |
| | | Uruguay — 0.0% | |
| 1,415,000 | | | Uruguay Government International Bond, 4.375%, 1/23/2031(b) | | | 1,682,095 | |
| | | | | | | | |
| | | | Total Non-Convertible Bonds (Identified Cost $1,180,453,500) | | | 1,227,095,820 | |
| | | | | | | | |
| | | | | | | | |
| Convertible Bonds — 0.4% | |
| | | United States — 0.4% | |
| 1,450,000 | | | Booking Holdings, Inc., 0.900%, 9/15/2021 | | | 1,542,952 | |
| 95,000 | | | Chesapeake Energy Corp., 5.500%, 9/15/2026(c)(d)(e) | | | 3,182 | |
| 545,000 | | | DISH Network Corp., 2.375%, 3/15/2024 | | | 490,473 | |
| 7,055,000 | | | DISH Network Corp., 3.375%, 8/15/2026 | | | 6,476,466 | |
| 290,000 | | | Evolent Health, Inc., 3.500%, 12/01/2024, 144A | | | 284,200 | |
| 1,855,000 | | | iStar, Inc., 3.125%, 9/15/2022 | | | 1,972,898 | |
| 1,950,000 | | | Nuance Communications, Inc., 1.000%, 12/15/2035 | | | 2,851,758 | |
| 205,000 | | | Nuance Communications, Inc., 1.250%, 4/01/2025 | | | 365,111 | |
| 10,000 | | | Nuance Communications, Inc., 1.500%, 11/01/2035 | | | 16,437 | |
| 825,000 | | | Western Digital Corp., 1.500%, 2/01/2024 | | | 783,252 | |
| | | | | | | | |
| | | | Total Convertible Bonds (Identified Cost $13,164,254) | | | 14,786,729 | |
| | | | | | | | |
| | | | | | | | |
| Municipals — 0.0% | |
| | | United States — 0.0% | |
| 155,000 | | | State of Illinois, 5.100%, 6/01/2033 | | | 156,641 | |
| 130,000 | | | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 | | | 134,177 | |
| | | | | | | | |
| | | | Total Municipals (Identified Cost $256,464) | | | 290,818 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Bonds and Notes (Identified Cost $1,193,874,218) | | | 1,242,173,367 | |
| | | | | | | | |
| | | | | | | | |
| | | | |
59 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
Shares | | | Description | | Value (†) | |
| Preferred Stocks — 0.1% | |
| | | United States — 0.1% | |
| 460 | | | Chesapeake Energy Corp., 5.000%(a)(c)(h)(i) | | $ | — | |
| 40 | | | Chesapeake Energy Corp., 5.750%(a)(c)(h)(i) | | | — | |
| 736 | | | Chesapeake Energy Corp., 5.750%(a)(c)(h)(i) | | | — | |
| 84 | | | Chesapeake Energy Corp., 5.750%, 144A(a)(c)(h)(i) | | | — | |
| 38,952 | | | El Paso Energy Capital Trust I, 4.750% | | | 1,821,785 | |
| | | | | | | | |
| | | | | | | 1,821,785 | |
| | | | | | | | |
| | | | Total Preferred Stocks (Identified Cost $2,285,617) | | | 1,821,785 | |
| | | | | | | | |
| | | | | | | | |
Principal Amount (‡) | | | | | | |
| Short-Term Investments — 1.6% | |
$ | 57,946,780 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $57,946,780 on 10/01/2020 collateralized by $56,783,700 U.S. Treasury Note, 1.125% due 2/28/2025 valued at $59,105,774 including accrued interest (Note 2 of Notes to Financial Statements) | | | 57,946,780 | |
| 8,535,000 | | | U.S. Treasury Bills, 0.160%, 12/24/2020(j) | | | 8,533,008 | |
| | | | | | | | |
| | | | Total Short-Term Investments (Identified Cost $66,478,593) | | | 66,479,788 | |
| | | | | | | | |
| | | | | | | | |
| | | | Total Investments — 99.5% (Identified Cost $3,258,756,687) | | | 4,020,729,620 | |
| | | | Other assets less liabilities — 0.5% | | | 20,828,034 | |
| | | | | | | | |
| | | | Net Assets — 100.0% | | $ | 4,041,557,654 | |
| | | | | | | | |
| | | | | | | | |
| (‡) | | | Principal Amount stated in U.S. dollars unless otherwise noted. | |
| (†) | | | See Note 2 of Notes to Financial Statements. | |
| (††) | | | Amount shown represents principal amount including inflation adjustments. | |
| (†††) | | | Amount shown represents units. One unit represents a principal amount of 100. | |
| (††††) | | | Amount shown represents units. One unit represents a principal amount of 25. | |
| (a) | | | Non-income producing security. | |
| (b) | | | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. | |
| (c) | | | Illiquid security. (Unaudited) | |
| (d) | | | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |
| (e) | | | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2020, the value of these securities amounted to $391,915 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements. | |
| (f) | | | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. | |
| (g) | | | Treasury Inflation Protected Security (TIPS). | |
| | | | |
| | See accompanying notes to financial statements. | | | 60 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
| | | | | | | | |
| | | | | | | | |
| (h) | | | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |
| (i) | | | Fair valued by the Fund’s adviser. At September 30, 2020, the value of these securities amounted to $0. See Note 2 of Notes to Financial Statements. | |
| (j) | | | Interest rate represents discount rate at time of purchase; not a coupon rate. | |
| | | | | |
| 144A | | | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, the value of Rule 144A holdings amounted to $229,707,819 or 5.7% of net assets. | |
| ADR | | | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |
| CPI | | | Consumer Price Index | |
| EMTN | | | Euro Medium Term Note | |
| GMTN | | | Global Medium Term Note | |
| MTN | | | Medium Term Note | |
| | | | | | | | |
| AUD | | | Australian Dollar | |
| CAD | | | Canadian Dollar | |
| CNH | | | Chinese Yuan Renminbi Offshore | |
| CNY | | | Chinese Yuan Renminbi | |
| COP | | | Colombian Peso | |
| EUR | | | Euro | |
| GBP | | | British Pound | |
| IDR | | | Indonesian Rupiah | |
| ILS | | | Israeli Shekel | |
| JPY | | | Japanese Yen | |
| KRW | | | South Korean Won | |
| MXN | | | Mexican Peso | |
| MYR | | | Malaysian Ringgit | |
| NOK | | | Norwegian Krone | |
| NZD | | | New Zealand Dollar | |
| PLN | | | Polish Zloty | |
| SEK | | | Swedish Krona | |
| SGD | | | Singapore Dollar | |
| THB | | | Thai Baht | |
| ZAR | | | South African Rand | |
| | | | |
61 | | | See accompanying notes to financial statements. | | |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
At September 30, 2020, the Fund had the following open forward foreign currency contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Delivery Date | | | Currency Bought/ Sold (B/S) | | Units of Currency | | | In Exchange for | | | Notional Value | | | Unrealized Appreciation (Depreciation) | |
Bank of America, N.A. | | | 12/16/2020 | | | KRW | | | B | | | | 5,850,000,000 | | | $ | 4,934,627 | | | $ | 5,002,416 | | | $ | 67,789 | |
Credit Suisse International | | | 12/16/2020 | | | CAD | | | S | | | | 198,988,000 | | | | 151,303,263 | | | | 149,490,605 | | | | 1,812,658 | |
Credit Suisse International | | | 12/16/2020 | | | COP | | | S | | | | 38,844,665,000 | | | | 10,423,201 | | | | 10,110,682 | | | | 312,519 | |
Credit Suisse International | | | 12/16/2020 | | | GBP | | | B | | | | 13,490,000 | | | | 17,256,502 | | | | 17,415,027 | | | | 158,525 | |
Credit Suisse International | | | 12/16/2020 | | | GBP | | | S | | | | 1,119,000 | | | | 1,427,050 | | | | 1,444,583 | | | | (17,533 | ) |
Credit Suisse International | | | 12/16/2020 | | | JPY | | | B | | | | 9,350,164,000 | | | | 88,161,520 | | | | 88,746,184 | | | | 584,664 | |
HSBC Bank USA | | | 12/16/2020 | | | AUD | | | B | | | | 4,075,000 | | | | 2,961,140 | | | | 2,919,305 | | | | (41,835 | ) |
Morgan Stanley Capital Services, Inc. | | | 12/16/2020 | | | EUR | | | B | | | | 144,331,000 | | | | 170,457,798 | | | | 169,506,058 | | | | (951,740 | ) |
UBS AG | | | 12/16/2020 | | | IDR | | | S | | | | 40,354,000,000 | | | | 2,691,289 | | | | 2,693,302 | | | | (2,013 | ) |
UBS AG | | | 12/16/2020 | | | SEK | | | B | | | | 7,350,000 | | | | 840,628 | | | | 821,457 | | | | (19,171 | ) |
UBS AG | | | 12/16/2020 | | | THB | | | S | | | | 83,000,000 | | | | 2,628,412 | | | | 2,619,087 | | | | 9,325 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,913,188 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
At September 30, 2020, the Fund had the following open forward cross currency contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Settlement Date | | | Deliver/Units of Currency | | | Receive/Units of Currency | | | Notional Value | | | Unrealized Appreciation (Depreciation) | |
Morgan Stanley Capital Services, Inc. | | | 12/16/2020 | | | NOK | | | 30,959,000 | | | | EUR | | | | 2,910,691 | | | $ | 3,418,390 | | | $ | 98,643 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
At September 30, 2020, open long futures contracts were as follows:
| | | | | | | | | | | | | | | | | | |
Financial Futures | | Expiration Date | | | Contracts | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
Ultra 10 Year U.S. Treasury Note | | | 12/21/2020 | | | 39 | | $ | 6,209,225 | | | $ | 6,236,953 | | | $ | 27,728 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 62 |
Portfolio of Investments – as of September 30, 2020
Loomis Sayles Global Allocation Fund – (continued)
Industry Summary at September 30, 2020
| | | | |
Treasuries | | | 15.9 | % |
IT Services | | | 8.9 | |
Internet & Direct Marketing Retail | | | 5.8 | |
Software | | | 5.5 | |
Capital Markets | | | 4.5 | |
Interactive Media & Services | | | 4.4 | |
Health Care Equipment & Supplies | | | 4.1 | |
Chemicals | | | 4.1 | |
Life Sciences Tools & Services | | | 3.4 | |
Semiconductors & Semiconductor Equipment | | | 3.0 | |
Banks | | | 2.5 | |
Industrial Conglomerates | | | 2.4 | |
Aerospace & Defense | | | 2.2 | |
Health Care Providers & Services | | | 2.2 | |
Machinery | | | 2.1 | |
Banking | | | 2.0 | |
Other Investments, less than 2% each | | | 24.9 | |
Short-Term Investments | | | 1.6 | |
| | | | |
Total Investments | | | 99.5 | |
Other assets less liabilities (including forward foreign currency and futures contracts) | | | 0.5 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
Currency Exposure Summary at September 30, 2020
| | | | |
United States Dollar | | | 73.9 | % |
Canadian Dollar | | | 6.8 | |
Euro | | | 4.6 | |
Swiss Franc | | | 3.0 | |
British Pound | | | 2.6 | |
Japanese Yen | | | 2.4 | |
Other, less than 2% each | | | 6.2 | |
| | | | |
Total Investments | | | 99.5 | |
Other assets less liabilities (including forward foreign currency and futures contracts) | | | 0.5 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
| | | | |
63 | | | See accompanying notes to financial statements. | | |
Statements of Assets and Liabilities
September 30, 2020
| | | | | | | | |
| | Core Plus Bond Fund | | | Global Allocation Fund | |
ASSETS | |
Investments at cost | | $ | 9,487,153,944 | | | $ | 3,258,756,687 | |
Net unrealized appreciation | | | 359,873,014 | | | | 761,972,933 | |
| | | | | | | | |
Investments at value | | | 9,847,026,958 | | | | 4,020,729,620 | |
Cash | | | 18,534,006 | | | | 425 | |
Due from brokers (Note 2) | | | 633,698 | | | | 768,811 | |
Foreign currency at value (identified cost $0 and $12,921,128, respectively) | | | — | | | | 12,819,247 | |
Receivable for Fund shares sold | | | 39,155,010 | | | | 6,534,175 | |
Receivable for securities sold | | | 199,008,232 | | | | 896,298 | |
Receivable for when-issued/delayed delivery securities sold (Note 2) | | | 897,889,274 | | | | — | |
Collateral received for delayed delivery securities and open forward foreign currency contracts (Notes 2 and 4) | | | 946,000 | | | | 3,600,000 | |
Dividends and interest receivable | | | 53,224,532 | | | | 9,900,021 | |
Unrealized appreciation on forward foreign currency contracts (Note 2) | | | — | | | | 3,044,123 | |
Tax reclaims receivable | | | — | | | | 1,134,022 | |
Prepaid expenses (Note 8) | | | 964 | | | | 403 | |
| | | | | | | | |
TOTAL ASSETS | | | 11,056,418,674 | | | | 4,059,427,145 | |
| | | | | | | | |
LIABILITIES | |
Payable for securities purchased | | | 427,092,486 | | | | 7,261,964 | |
Payable for when-issued/delayed delivery securities purchased (Note 2) | | | 1,339,716,213 | | | | — | |
Payable for Fund shares redeemed | | | 6,006,628 | | | | 2,232,489 | |
Unrealized depreciation on forward foreign currency contracts (Note 2) | | | — | | | | 1,032,292 | |
Foreign taxes payable (Note 2) | | | — | | | | 571,027 | |
Due to brokers (Note 2) | | | 946,000 | | | | 3,600,000 | |
Payable for variation margin on futures contracts (Note 2) | | | — | | | | 18,281 | |
Management fees payable (Note 6) | | | 2,381,935 | | | | 2,440,207 | |
Deferred Trustees’ fees (Note 6) | | | 710,579 | | | | 310,876 | |
Administrative fees payable (Note 6) | | | 328,876 | | | | 144,166 | |
Payable to distributor (Note 6d) | | | 54,860 | | | | 56,767 | |
Other accounts payable and accrued expenses | | | 437,394 | | | | 201,422 | |
| | | | | | | | |
TOTAL LIABILITIES | | | 1,777,674,971 | | | | 17,869,491 | |
| | | | | | | | |
NET ASSETS | | $ | 9,278,743,703 | | | $ | 4,041,557,654 | |
| | | | | | | | |
NET ASSETS CONSIST OF: | |
Paid-in capital | | $ | 8,774,941,028 | | | $ | 3,063,703,863 | |
Accumulated earnings | | | 503,802,675 | | | | 977,853,791 | |
| | | | | | | | |
NET ASSETS | | $ | 9,278,743,703 | | | $ | 4,041,557,654 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 64 |
Statements of Assets and Liabilities (continued)
September 30, 2020
| | | | | | | | |
| | Core Plus Bond Fund | | | Global Allocation Fund | |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | |
Class A shares: | |
Net assets | | $ | 617,608,751 | | | $ | 632,478,639 | |
| | | | | | | | |
Shares of beneficial interest | | | 43,856,214 | | | | 24,117,087 | |
| | | | | | | | |
Net asset value and redemption price per share | | $ | 14.08 | | | $ | 26.23 | |
| | | | | | | | |
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | | $ | 14.70 | | | $ | 27.83 | |
| | | | | | | | |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | | | | | | | | |
Net assets | | $ | 132,590,092 | | | $ | 483,814,383 | |
| | | | | | | | |
Shares of beneficial interest | | | 9,411,222 | | | | 18,768,904 | |
| | | | | | | | |
Net asset value and offering price per share | | $ | 14.09 | | | $ | 25.78 | |
| | | | | | | | |
Class N shares: | |
Net assets | | $ | 2,682,487,368 | | | $ | 264,338,079 | |
| | | | | | | | |
Shares of beneficial interest | | | 188,793,604 | | | | 10,006,615 | |
| | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 14.21 | | | $ | 26.42 | |
| | | | | | | | |
Class Y shares: | |
Net assets | | $ | 5,846,057,492 | | | $ | 2,660,926,553 | |
| | | | | | | | |
Shares of beneficial interest | | | 411,695,231 | | | | 100,733,772 | |
| | | | | | | | |
Net asset value, offering and redemption price per share | | $ | 14.20 | | | $ | 26.42 | |
| | | | | | | | |
| | | | |
65 | | | See accompanying notes to financial statements. | | |
Statements of Operations
For the Year Ended September 30, 2020
| | | | | | | | |
| | Core Plus Bond Fund | | | Global Allocation Fund | |
INVESTMENT INCOME | |
Interest | | $ | 208,692,879 | | | $ | 33,453,760 | |
Dividends | | | — | | | | 21,613,832 | |
Less net foreign taxes withheld | | | — | | | | (804,522 | ) |
| | | | | | | | |
| | | 208,692,879 | | | | 54,263,070 | |
| | | | | | | | |
Expenses | |
Management fees (Note 6) | | | 25,753,852 | | | | 25,551,911 | |
Service and distribution fees (Note 6) | | | 2,865,398 | | | | 6,166,620 | |
Administrative fees (Note 6) | | | 3,575,619 | | | | 1,521,887 | |
Trustees’ fees and expenses (Note 6) | | | 383,582 | | | | 177,682 | |
Transfer agent fees and expenses (Notes 6 and 7) | | | 4,446,543 | | | | 2,701,347 | |
Audit and tax services fees | | | 53,547 | | | | 56,114 | |
Custodian fees and expenses | | | 267,274 | | | | 300,360 | |
Legal fees (Note 8) | | | 196,038 | | | | 83,993 | |
Registration fees | | | 368,335 | | | | 184,627 | |
Shareholder reporting expenses | | | 207,225 | | | | 153,500 | |
Miscellaneous expenses (Note 8) | | | 238,980 | | | | 155,965 | |
| | | | | | | | |
Total expenses | | | 38,356,393 | | | | 37,054,006 | |
Less waiver and/or expense reimbursement (Note 6) | | | — | | | | (782 | ) |
| | | | | | | | |
Net expenses | | | 38,356,393 | | | | 37,053,224 | |
| | | | | | | | |
Net investment income | | | 170,336,486 | | | | 17,209,846 | |
| | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | | | | | | | | |
Net realized gain (loss) on: | |
Investments | | | 299,976,650 | | | | 208,170,358 | |
Futures contracts | | | — | | | | 537,933 | |
Forward foreign currency contracts (Note 2d) | | | — | | | | 7,942,395 | |
Foreign currency transactions (Note 2c) | | | (148,893 | ) | | | 221,304 | |
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | 200,603,746 | | | | 209,578,471 | |
Futures contracts | | | — | | | | 27,728 | |
Forward foreign currency contracts (Note 2d) | | | — | | | | 2,893,011 | |
Foreign currency translations (Note 2c) | | | 27,169 | | | | 110,369 | |
| | | | | | | | |
Net realized and unrealized gain on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | | | 500,458,672 | | | | 429,481,569 | |
| | | | | | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 670,795,158 | | | $ | 446,691,415 | |
| | | | | | | | |
| | | | |
| | See accompanying notes to financial statements. | | | 66 |
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | Core Plus Bond Fund | | | Global Allocation Fund | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | |
FROM OPERATIONS: | |
Net investment income | | $ | 170,336,486 | | | $ | 193,816,309 | | | $ | 17,209,846 | | | $ | 23,195,146 | |
Net realized gain on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | | | 299,827,757 | | | | 37,103,540 | | | | 216,871,990 | | | | 60,158,656 | |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations | | | 200,630,915 | | | | 342,043,742 | | | | 212,609,579 | | | | 124,957,256 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 670,795,158 | | | | 572,963,591 | | | | 446,691,415 | | | | 208,311,058 | |
| | | | | | | | | | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | (11,953,860 | ) | | | (14,225,845 | ) | | | (13,439,861 | ) | | | (15,303,424 | ) |
Class C | | | (2,056,615 | ) | | | (2,905,066 | ) | | | (11,301,039 | ) | | | (13,674,405 | ) |
Class N | | | (67,400,814 | ) | | | (62,882,079 | ) | | | (6,572,302 | ) | | | (3,466,169 | ) |
Class Y | | | (111,898,170 | ) | | | (103,228,686 | ) | | | (60,646,702 | ) | | | (64,089,255 | ) |
| | | | | | | | | | | | | | | | |
Total distributions | | | (193,309,459 | ) | | | (183,241,676 | ) | | | (91,959,904 | ) | | | (96,533,253 | ) |
| | | | | | | | | | | | | | | | |
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | | | 1,308,282,070 | | | | 683,792,596 | | | | 612,522,950 | | | | 518,843,716 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets | | | 1,785,767,769 | | | | 1,073,514,511 | | | | 967,254,461 | | | | 630,621,521 | |
NET ASSETS | |
Beginning of the year | | | 7,492,975,934 | | | | 6,419,461,423 | | | | 3,074,303,193 | | | | 2,443,681,672 | |
| | | | | | | | | | | | | | | | |
End of the year | | $ | 9,278,743,703 | | | $ | 7,492,975,934 | | | $ | 4,041,557,654 | | | $ | 3,074,303,193 | |
| | | | | | | | | | | | | | | | |
| | | | |
67 | | | See accompanying notes to financial statements. | | |
Financial Highlights
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Core Plus Bond Fund—Class A | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Year Ended September 30, 2017 | | | Year Ended September 30, 2016 | |
Net asset value, beginning of the period | | $ | 13.25 | | | $ | 12.53 | | | $ | 12.96 | | | $ | 13.06 | | | $ | 12.34 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.26 | | | | 0.34 | | | | 0.35 | | | | 0.28 | | | | 0.37 | |
Net realized and unrealized gain (loss) | | | 0.86 | | | | 0.70 | | | | (0.38 | ) | | | (0.04 | ) | | | 0.71 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.12 | | | | 1.04 | | | | (0.03 | ) | | | 0.24 | | | | 1.08 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.29 | ) | | | (0.32 | ) | | | (0.40 | ) | | | (0.34 | ) | | | (0.36 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.29 | ) | | | (0.32 | ) | | | (0.40 | ) | | | (0.34 | ) | | | (0.36 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 14.08 | | | $ | 13.25 | | | $ | 12.53 | | | $ | 12.96 | | | $ | 13.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(b) | | | 8.60 | % | | | 8.39 | % | | | (0.27 | )% | | | 1.86 | % | | | 8.90 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 617,609 | | | $ | 558,291 | | | $ | 600,762 | | | $ | 676,892 | | | $ | 776,566 | |
Net expenses | | | 0.72 | %(c) | | | 0.73 | % | | | 0.73 | % | | | 0.73 | % | | | 0.73 | % |
Gross expenses | | | 0.72 | % | | | 0.73 | % | | | 0.73 | % | | | 0.73 | % | | | 0.73 | % |
Net investment income | | | 1.88 | % | | | 2.63 | % | | | 2.71 | % | | | 2.19 | % | | | 2.91 | % |
Portfolio turnover rate | | | 359 | %(d) | | | 297 | %(e) | | | 181 | % | | | 195 | % | | | 143 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%. |
(d) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. See Note 9 of Notes to Financial Statements. |
(e) | The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies. |
| | | | |
| | See accompanying notes to financial statements. | | | 68 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Core Plus Bond Fund—Class C | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Year Ended September 30, 2017 | | | Year Ended September 30, 2016 | |
Net asset value, beginning of the period | | $ | 13.25 | | | $ | 12.53 | | | $ | 12.96 | | | $ | 13.06 | | | $ | 12.33 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.15 | | | | 0.24 | | | | 0.25 | | | | 0.19 | | | | 0.27 | |
Net realized and unrealized gain (loss) | | | 0.88 | | | | 0.70 | | | | (0.38 | ) | | | (0.05 | ) | | | 0.73 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.03 | | | | 0.94 | | | | (0.13 | ) | | | 0.14 | | | | 1.00 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.19 | ) | | | (0.22 | ) | | | (0.30 | ) | | | (0.24 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.19 | ) | | | (0.22 | ) | | | (0.30 | ) | | | (0.24 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 14.09 | | | $ | 13.25 | | | $ | 12.53 | | | $ | 12.96 | | | $ | 13.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(b) | | | 7.83 | % | | | 7.57 | % | | | (1.03 | )% | | | 1.08 | % | | | 8.17 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 132,590 | | | $ | 160,201 | | | $ | 185,758 | | | $ | 248,687 | | | $ | 321,626 | |
Net expenses | | | 1.47 | %(c) | | | 1.48 | % | | | 1.48 | % | | | 1.48 | % | | | 1.48 | % |
Gross expenses | | | 1.47 | % | | | 1.48 | % | | | 1.48 | % | | | 1.48 | % | | | 1.48 | % |
Net investment income | | | 1.13 | % | | | 1.88 | % | | | 1.96 | % | | | 1.44 | % | | | 2.16 | % |
Portfolio turnover rate | | | 359 | %(d) | | | 297 | %(e) | | | 181 | % | | | 195 | % | | | 143 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%. |
(d) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. See Note 9 of Notes to Financial Statements. |
(e) | The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies. |
| | | | |
69 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Core Plus Bond Fund—Class N | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Year Ended September 30, 2017 | | | Year Ended September 30, 2016 | |
Net asset value, beginning of the period | | $ | 13.37 | | | $ | 12.63 | | | $ | 13.06 | | | $ | 13.17 | | | $ | 12.44 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.30 | | | | 0.38 | | | | 0.39 | | | | 0.33 | | | | 0.41 | |
Net realized and unrealized gain (loss) | | | 0.88 | | | | 0.72 | | | | (0.38 | ) | | | (0.06 | ) | | | 0.73 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.18 | | | | 1.10 | | | | 0.01 | | | | 0.27 | | | | 1.14 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.34 | ) | | | (0.36 | ) | | | (0.44 | ) | | | (0.38 | ) | | | (0.41 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.34 | ) | | | (0.36 | ) | | | (0.44 | ) | | | (0.38 | ) | | | (0.41 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 14.21 | | | $ | 13.37 | | | $ | 12.63 | | | $ | 13.06 | | | $ | 13.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 8.95 | % | | | 8.85 | % | | | 0.07 | % | | | 2.12 | % | | | 9.33 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 2,682,487 | | | $ | 2,610,699 | | | $ | 1,899,190 | | | $ | 1,784,150 | | | $ | 2,134,113 | |
Net expenses | | | 0.38 | %(b) | | | 0.39 | % | | | 0.39 | % | | | 0.39 | % | | | 0.39 | % |
Gross expenses | | | 0.38 | % | | | 0.39 | % | | | 0.39 | % | | | 0.39 | % | | | 0.39 | % |
Net investment income | | | 2.21 | % | | | 2.96 | % | | | 3.06 | % | | | 2.53 | % | | | 3.25 | % |
Portfolio turnover rate | | | 359 | %(c) | | | 297 | %(d) | | | 181 | % | | | 195 | % | | | 143 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%. |
(c) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. See Note 9 of Notes to Financial Statements. |
(d) | The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies. |
| | | | |
| | See accompanying notes to financial statements. | | | 70 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Core Plus Bond Fund—Class Y | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Year Ended September 30, 2017 | | | Year Ended September 30, 2016 | |
Net asset value, beginning of the period | | $ | 13.36 | | | $ | 12.63 | | | $ | 13.06 | | | $ | 13.16 | | | $ | 12.43 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.29 | | | | 0.37 | | | | 0.38 | | | | 0.31 | | | | 0.40 | |
Net realized and unrealized gain (loss) | | | 0.88 | | | | 0.71 | | | | (0.38 | ) | | | (0.04 | ) | | | 0.73 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 1.17 | | | | 1.08 | | | | 0.00 | (b) | | | 0.27 | | | | 1.13 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.33 | ) | | | (0.35 | ) | | | (0.43 | ) | | | (0.37 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.33 | ) | | | (0.35 | ) | | | (0.43 | ) | | | (0.37 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 14.20 | | | $ | 13.36 | | | $ | 12.63 | | | $ | 13.06 | | | $ | 13.16 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 8.87 | % | | | 8.67 | % | | | (0.02 | )% | | | 2.10 | % | | | 9.22 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 5,846,057 | | | $ | 4,163,785 | | | $ | 3,733,751 | | | $ | 3,846,208 | | | $ | 2,953,919 | |
Net expenses | | | 0.47 | %(c) | | | 0.48 | % | | | 0.48 | % | | | 0.48 | % | | | 0.48 | % |
Gross expenses | | | 0.47 | % | | | 0.48 | % | | | 0.48 | % | | | 0.48 | % | | | 0.48 | % |
Net investment income | | | 2.11 | % | | | 2.87 | % | | | 2.97 | % | | | 2.43 | % | | | 3.15 | % |
Portfolio turnover rate | | | 359 | %(d) | | | 297 | %(e) | | | 181 | % | | | 195 | % | | | 143 | % |
(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) | Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%. |
(d) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. See Note 9 of Notes to Financial Statements. |
(e) | The variation in the Fund’s turnover rate from 2018 to 2019 is due to an increase in the volume of U.S. Treasury securities related to certain trading strategies. |
| | | | |
71 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Global Allocation Fund—Class A | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Year Ended September 30, 2017 | | | Year Ended September 30, 2016 | |
Net asset value, beginning of the period | | $ | 23.76 | | | $ | 23.10 | | | $ | 21.60 | | | $ | 19.17 | | | $ | 18.45 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.10 | | | | 0.19 | | | | 0.23 | | | | 0.31 | | | | 0.24 | |
Net realized and unrealized gain (loss) | | | 3.05 | | | | 1.38 | | | | 1.75 | | | | 2.36 | | | | 1.47 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 3.15 | | | | 1.57 | | | | 1.98 | | | | 2.67 | | | | 1.71 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.12 | ) | | | (0.16 | ) | | | (0.19 | ) | | | (0.24 | ) | | | (0.15 | ) |
Net realized capital gains | | | (0.56 | ) | | | (0.75 | ) | | | (0.29 | ) | | | — | | | | (0.84 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.68 | ) | | | (0.91 | ) | | | (0.48 | ) | | | (0.24 | ) | | | (0.99 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 26.23 | | | $ | 23.76 | | | $ | 23.10 | | | $ | 21.60 | | | $ | 19.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(b) | | | 13.41 | % | | | 7.66 | % | | | 9.26 | % | | | 14.10 | % | | | 9.64 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 632,479 | | | $ | 453,009 | | | $ | 401,036 | | | $ | 305,275 | | | $ | 280,263 | |
Net expenses | | | 1.15 | % | | | 1.16 | % | | | 1.16 | % | | | 1.18 | % | | | 1.17 | % |
Gross expenses | | | 1.15 | % | | | 1.16 | % | | | 1.16 | % | | | 1.18 | % | | | 1.17 | % |
Net investment income | | | 0.42 | % | | | 0.83 | % | | | 1.03 | % | | | 1.57 | % | | | 1.32 | % |
Portfolio turnover rate | | | 37 | % | | | 27 | % | | | 22 | % | | | 35 | % | | | 43 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
| | | | |
| | See accompanying notes to financial statements. | | | 72 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Global Allocation Fund—Class C | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Year Ended September 30, 2017 | | | Year Ended September 30, 2016 | |
Net asset value, beginning of the period | | $ | 23.43 | | | $ | 22.78 | | | $ | 21.29 | | | $ | 18.89 | | | $ | 18.19 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(a) | | | (0.08 | ) | | | 0.02 | | | | 0.06 | | | | 0.16 | | | | 0.10 | |
Net realized and unrealized gain (loss) | | | 2.99 | | | | 1.38 | | | | 1.73 | | | | 2.33 | | | | 1.46 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 2.91 | | | | 1.40 | | | | 1.79 | | | | 2.49 | | | | 1.56 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | — | | | | (0.00 | )(b) | | | (0.01 | ) | | | (0.09 | ) | | | (0.02 | ) |
Net realized capital gains | | | (0.56 | ) | | | (0.75 | ) | | | (0.29 | ) | | | — | | | | (0.84 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.56 | ) | | | (0.75 | ) | | | (0.30 | ) | | | (0.09 | ) | | | (0.86 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 25.78 | | | $ | 23.43 | | | $ | 22.78 | | | $ | 21.29 | | | $ | 18.89 | |
| | | | | | | | | | | | | | | | | | | | |
Total return(c) | | | 12.55 | % | | | 6.85 | % | | | 8.46 | % | | | 13.22 | % | | | 8.88 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 483,814 | | | $ | 480,479 | | | $ | 412,610 | | | $ | 354,017 | | | $ | 423,350 | |
Net expenses | | | 1.90 | % | | | 1.91 | % | | | 1.91 | % | | | 1.93 | % | | | 1.92 | % |
Gross expenses | | | 1.90 | % | | | 1.91 | % | | | 1.91 | % | | | 1.93 | % | | | 1.92 | % |
Net investment income (loss) | | | (0.33 | )% | | | 0.08 | % | | | 0.29 | % | | | 0.84 | % | | | 0.57 | % |
Portfolio turnover rate | | | 37 | % | | | 27 | % | | | 22 | % | | | 35 | % | | | 43 | % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
| | | | |
73 | | | See accompanying notes to financial statements. | | |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | |
| | Global Allocation Fund—Class N | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Period Ended September 30, 2017* | |
Net asset value, beginning of the period | | $ | 23.92 | | | $ | 23.25 | | | $ | 21.73 | | | $ | 19.20 | |
| | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.18 | | | | 0.27 | | | | 0.31 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | 3.07 | | | | 1.38 | | | | 1.75 | | | | 2.33 | |
| | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 3.25 | | | | 1.65 | | | | 2.06 | | | | 2.53 | |
| | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | |
Net investment income | | | (0.19 | ) | | | (0.23 | ) | | | (0.25 | ) | | | — | |
Net realized capital gains | | | (0.56 | ) | | | (0.75 | ) | | | (0.29 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions | | | (0.75 | ) | | | (0.98 | ) | | | (0.54 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 26.42 | | | $ | 23.92 | | | $ | 23.25 | | | $ | 21.73 | |
| | | | | | | | | | | | | | | | |
Total return | | | 13.78 | % | | | 8.04 | % | | | 9.60 | % | | | 13.18 | %(b) |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 264,338 | | | $ | 202,692 | | | $ | 80,346 | | | $ | 59,512 | |
Net expenses | | | 0.82 | % | | | 0.82 | % | | | 0.83 | % | | | 0.87 | %(c) |
Gross expenses | | | 0.82 | % | | | 0.82 | % | | | 0.83 | % | | | 0.87 | %(c) |
Net investment income | | | 0.76 | % | | | 1.20 | % | | | 1.36 | % | | | 1.48 | %(c) |
Portfolio turnover rate | | | 37 | % | | | 27 | % | | | 22 | % | | | 35 | %(d) |
* | From commencement of Class operations on February 1, 2017 through September 30, 2017. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Computed on an annualized basis for periods less than one year. |
(d) | Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017. |
| | | | |
| | See accompanying notes to financial statements. | | | 74 |
Financial Highlights (continued)
For a share outstanding throughout each period.
| | | | | | | | | | | | | | | | | | | | |
| | Global Allocation Fund—Class Y | |
| | Year Ended September 30, 2020 | | | Year Ended September 30, 2019 | | | Year Ended September 30, 2018 | | | Year Ended September 30, 2017 | | | Year Ended September 30, 2016 | |
Net asset value, beginning of the period | | $ | 23.92 | | | $ | 23.25 | | | $ | 21.74 | | | $ | 19.29 | | | $ | 18.55 | |
| | | | | | | | | | | | | | | | | | | | |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.16 | | | | 0.24 | | | | 0.29 | | | | 0.36 | | | | 0.29 | |
Net realized and unrealized gain (loss) | | | 3.07 | | | | 1.40 | | | | 1.75 | | | | 2.37 | | | | 1.49 | |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 3.23 | | | | 1.64 | | | | 2.04 | | | | 2.73 | | | | 1.78 | |
| | | | | | | | | | | | | | | | | | | | |
LESS DISTRIBUTIONS FROM: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.17 | ) | | | (0.22 | ) | | | (0.24 | ) | | | (0.28 | ) | | | (0.20 | ) |
Net realized capital gains | | | (0.56 | ) | | | (0.75 | ) | | | (0.29 | ) | | | — | | | | (0.84 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.73 | ) | | | (0.97 | ) | | | (0.53 | ) | | | (0.28 | ) | | | (1.04 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of the period | | $ | 26.42 | | | $ | 23.92 | | | $ | 23.25 | | | $ | 21.74 | | | $ | 19.29 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 13.70 | % | | | 7.95 | % | | | 9.49 | % | | | 14.42 | % | | | 9.97 | % |
RATIOS TO AVERAGE NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of the period (000’s) | | $ | 2,660,927 | | | $ | 1,938,124 | | | $ | 1,549,689 | | | $ | 1,067,062 | | | $ | 835,391 | |
Net expenses | | | 0.90 | % | | | 0.91 | % | | | 0.91 | % | | | 0.93 | % | | | 0.92 | % |
Gross expenses | | | 0.90 | % | | | 0.91 | % | | | 0.91 | % | | | 0.93 | % | | | 0.92 | % |
Net investment income | | | 0.67 | % | | | 1.08 | % | | | 1.29 | % | | | 1.79 | % | | | 1.58 | % |
Portfolio turnover rate | | | 37 | % | | | 27 | % | | | 22 | % | | | 35 | % | | | 43 | % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
| | | | |
75 | | | See accompanying notes to financial statements. | | |
Notes to Financial Statements
September 30, 2020
1. Organization. Natixis Funds Trust I and Loomis Sayles Funds II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Natixis Funds Trust I:
Loomis Sayles Core Plus Bond Fund (the “Core Plus Bond Fund”)
Loomis Sayles Funds II:
Loomis Sayles Global Allocation Fund (the “Global Allocation Fund”)
Each Fund is a diversified investment company.
Each Fund offers Class A, Class C, Class N and Class Y shares.
Class A shares are sold with a maximum front-end sales charge of 4.25% for Core Plus Bond Fund and 5.75% for Global Allocation Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.
Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
Notes to Financial Statements (continued)
September 30, 2020
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:
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued
Notes to Financial Statements (continued)
September 30, 2020
at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.
As of September 30, 2020, securities held by the Funds were fair valued as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Equity securities1 | | | Percentage of Net Assets | | | Securities classified as fair valued | | | Percentage of Net Assets | | | Securities fair valued by the Fund’s adviser | | | Percentage of Net Assets | |
Core Plus Bond Fund | | $ | — | | | | — | | | $ | — | | | | — | | | $ | 2,307,376 | | | | Less than 0.1% | |
Global Allocation Fund | | | 563,759,481 | | | | 13.9 | % | | | 391,915 | | | | Less than 0.1% | | | | — | | | | — | |
1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. |
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the
Notes to Financial Statements (continued)
September 30, 2020
amortization of premium, if applicable. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
For the year ended September 30, 2020, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:
| | | | |
Core Plus Bond Fund | | $ | 13,576,656 | |
Notes to Financial Statements (continued)
September 30, 2020
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.
e. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the
Notes to Financial Statements (continued)
September 30, 2020
credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
f. When-Issued and Delayed Delivery Transactions. The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.
Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.
Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
g. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2020 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.
Notes to Financial Statements (continued)
September 30, 2020
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
h. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses, paydown gains and losses, convertible bonds, defaulted and/or non-income producing securities, capital gains taxes, deferred Trustees’ fees, distribution re-designations, contingent payment debt instruments, forward foreign currency contract mark-to-market, futures contract mark-to-market, trust preferred securities and premium amortization. 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 deferred Trustees’ fees, defaulted and/or non-income producing securities, forward foreign currency contract mark-to-market, wash sales, premium amortization, contingent payment debt instruments, trust preferred securities, capital gains taxes, foreign currency gains and losses, futures contract mark-to-market, paydown gains and losses and convertible bonds. 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 considered to be distributed from ordinary income for tax purposes.
Notes to Financial Statements (continued)
September 30, 2020
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, 2020 and 2019 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | 2020 Distributions Paid From: | | | 2019 Distributions Paid From: | |
Fund | | Ordinary Income | | | Long-Term Capital Gains | | | Total | | | Ordinary Income | | | Long-Term Capital Gains | | | Total | |
Core Plus Bond Fund | | $ | 193,309,459 | | | $ | — | | | $ | 193,309,459 | | | $ | 183,241,676 | | | $ | — | | | $ | 183,241,676 | |
Global Allocation Fund | | | 18,191,927 | | | | 73,767,977 | | | | 91,959,904 | | | | 18,627,380 | | | | 77,905,873 | | | | 96,533,253 | |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of September 30, 2020, the components of distributable earnings on a tax basis were as follows:
| | | | | | | | |
| | Core Plus Bond Fund | | | Global Allocation Fund | |
Undistributed ordinary income | | $ | 151,108,769 | | | $ | 19,532,864 | |
Undistributed long-term capital gains | | | 27,812,288 | | | | 204,551,060 | |
| | | | | | | | |
Total undistributed earnings | | | 178,921,057 | | | | 224,083,924 | |
| | | | | | | | |
Unrealized appreciation | | | 325,592,198 | | | | 754,433,890 | |
| | | | | | | | |
Total accumulated earnings | | $ | 504,513,255 | | | $ | 978,517,814 | |
| | | | | | | | |
Capital loss carryforward utilized in the current year | | $ | 74,174,601 | | | $ | — | |
| | | | | | | | |
As of September 30, 2020, unrealized appreciation (depreciation) as a component of distributable earnings were as follows:
| | | | | | | | |
| | Loomis Sayles Core Plus Bond Fund | | | Loomis Sayles Global Allocation Fund | |
Unrealized appreciation (depreciation) | | | | | | | | |
Investments | | $ | 349,485,307 | | | $ | 752,864,748 | |
Foreign currency translations | | | (23,893,109 | ) | | | 1,569,142 | |
| | | | | | | | |
Total unrealized appreciation | | $ | 325,592,198 | | | $ | 754,433,890 | |
| | | | | | | | |
Notes to Financial Statements (continued)
September 30, 2020
As of September 30, 2020, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
| | | | | | | | |
| | Core Plus Bond Fund | | | Global Allocation Fund | |
Federal tax cost | | $ | 9,521,438,809 | | | $ | 3,265,634,581 | |
| | | | | | | | |
Gross tax appreciation | | $ | 414,243,127 | | | $ | 819,937,079 | |
Gross tax depreciation | | | (88,654,978 | ) | | | (64,834,813 | ) |
| | | | | | | | |
Net tax appreciation | | $ | 325,588,149 | | | $ | 755,102,266 | |
| | | | | | | | |
The difference between these amounts and those reported in the components of distributable earnings are primarily attributable to capital gains taxes and foreign exchange gains or losses.
i. Senior Loans. Each Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. A Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
j. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2020, 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.
Notes to Financial Statements (continued)
September 30, 2020
k. Due to/from Brokers. Transactions and positions in certain futures, forward foreign currency contracts and delayed delivery commitments are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for Core Plus Bond Fund represents cash pledged as collateral for delayed delivery securities. The due from brokers balance in the Statements of Assets and Liabilities for Global Allocation Fund represents cash pledged as collateral for forward foreign currency contracts and as initial margin for futures contracts. The due to brokers balance in the Statements of Assets and Liabilities for Core Plus Fund represents cash received as collateral for delayed delivery securities. The due to brokers balance in the Statements of Assets and Liabilities for Global Allocation Fund represents cash received as collateral for forward foreign currency contracts. In certain circumstances a Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.
l. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the year ended September 30, 2020, neither Fund had loaned securities under this agreement.
m. 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.
Notes to Financial Statements (continued)
September 30, 2020
n. New Accounting Pronouncement. In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 is effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. An entity is permitted to early adopt any eliminated or modified disclosures upon issuance of the update and delay adoption of any new disclosures until the required effective date. Management has evaluated the impact of the adoption of ASU 2018-13 and has determined to early adopt the removal of (i) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy and (ii) the policy for timing of transfers between levels. Amended disclosures required and permitted for early adoption by ASU 2018-13 have been incorporated in the Funds’ annual financial statements as of September 30, 2020.
In March 2020, the FASB issued Accounting Standard Update 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than December 31, 2021, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
| • | | Level 1 – quoted prices in active markets for identical assets or liabilities; |
Notes to Financial Statements (continued)
September 30, 2020
| • | | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| • | | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
Notes to Financial Statements (continued)
September 30, 2020
The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2020, at value:
Core Plus Bond Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Bonds and Notes | | | | | | | | | | | | | | | | |
Non-Convertible Bonds | | | | | | | | | | | | | | | | |
ABS Home Equity | | $ | — | | | $ | 103,010,183 | | | $ | 27,065 | (b) | | $ | 103,037,248 | |
Collateralized Mortgage Obligations | | | — | | | | 20,568,879 | | | | 2,280,311 | (b) | | | 22,849,190 | |
All Other Non-Convertible Bonds(a) | | | — | | | | 8,116,789,545 | | | | — | | | | 8,116,789,545 | |
| | | | | | | | | | | | | | | | |
Total Non-Convertible Bonds | | | — | | | | 8,240,368,607 | | | | 2,307,376 | | | | 8,242,675,983 | |
| | | | | | | | | | | | | | | | |
Municipals(a) | | | — | | | | 18,003,319 | | | | — | | | | 18,003,319 | |
| | | | | | | | | | | | | | | | |
Total Bonds and Notes | | | — | | | | 8,258,371,926 | | | | 2,307,376 | | | | 8,260,679,302 | |
| | | | | | | | | | | | | | | | |
Senior Loans(a) | | | — | | | | 214,059,959 | | | | — | | | | 214,059,959 | |
Preferred Stocks(a) | | | — | | | | 16,839,730 | | | | — | | | | 16,839,730 | |
Common Stocks(a) | | | — | | | | 584,030 | | | | — | (c) | | | 584,030 | |
Short-Term Investments | | | — | | | | 1,354,863,937 | | | | — | | | | 1,354,863,937 | |
| | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 9,844,719,582 | | | $ | 2,307,376 | | | $ | 9,847,026,958 | |
| | | | | | | | | | | | | | | | |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Fair valued by the Fund’s adviser. |
(c) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs. |
Notes to Financial Statements (continued)
September 30, 2020
Global Allocation Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
France | | $ | — | | | $ | 58,624,269 | | | $ | — | | | $ | 58,624,269 | |
Hong Kong | | | — | | | | 40,863,725 | | | | — | | | | 40,863,725 | |
India | | | — | | | | 53,949,922 | | | | — | | | | 53,949,922 | |
Japan | | | — | | | | 70,379,992 | | | | — | | | | 70,379,992 | |
Netherlands | | | — | | | | 59,105,937 | | | | — | | | | 59,105,937 | |
Sweden | | | — | | | | 60,300,319 | | | | — | | | | 60,300,319 | |
Switzerland | | | — | | | | 119,991,948 | | | | — | | | | 119,991,948 | |
United Kingdom | | | 90,446,299 | | | | 100,543,369 | | | | — | | | | 190,989,668 | |
All Other Common Stocks(a) | | | 2,056,048,900 | | | | — | | | | — | | | | 2,056,048,900 | |
| | | | | | | | | | | | | | | | |
Total Common Stocks | | | 2,146,495,199 | | | | 563,759,481 | | | | — | | | | 2,710,254,680 | |
| | | | | | | | | | | | | | | | |
Bonds and Notes | | | | | | | | | | | | | | | | |
Non-Convertible Bonds | | | | | | | | | | | | | | | | |
United States | | | 34,124 | | | | 650,199,087 | | | | — | | | | 650,233,211 | |
All Other Non-Convertible Bonds(a) | | | — | | | | 576,862,609 | | | | — | | | | 576,862,609 | |
| | | | | | | | | | | | | | | | |
Total Non-Convertible Bonds | | | 34,124 | | | | 1,227,061,696 | | | | — | | | | 1,227,095,820 | |
| | | | | | | | | | | | | | | | |
Convertible Bonds(a) | | | — | | | | 14,786,729 | | | | — | | | | 14,786,729 | |
Municipals(a) | | | — | | | | 290,818 | | | | — | | | | 290,818 | |
| | | | | | | | | | | | | | | | |
Total Bonds and Notes | | | 34,124 | | | | 1,242,139,243 | | | | | | | | 1,242,173,367 | |
| | | | | | | | | | | | | | | | |
Preferred Stocks(a) | | | 1,821,785 | | | | — | | | | — | (b) | | | 1,821,785 | |
Short-Term Investments | | | — | | | | 66,479,788 | | | | — | | | | 66,479,788 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | 2,148,351,108 | | | | 1,872,378,512 | | | | — | | | | 4,020,729,620 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts (unrealized appreciation) | | | — | | | | 3,044,123 | | | | — | | | | 3,044,123 | |
Futures Contracts (unrealized appreciation) | | | 27,728 | | | | — | | | | — | | | | 27,728 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 2,148,378,836 | | | $ | 1,875,422,635 | | | $ | — | | | $ | 4,023,801,471 | |
| | | | | | | | | | | | | | | | |
Notes to Financial Statements (continued)
September 30, 2020
Global Allocation Fund (continued)
Liability Valuation Inputs
| | | | | | | | | | | | | | | | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Forward Foreign Currency Contracts (unrealized depreciation) | | $ | — | | | $ | (1,032,292) | | | $ | — | | | $ | (1,032,292) | |
| | | | | | | | | | | | | | | | |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Includes securities fair valued at zero by the Fund’s adviser using Level 3 inputs. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2019 and/or September 30, 2020:
Core Plus Bond Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | Balance as of September 30, 2019 | | | Accrued Discounts (Premiums) | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Purchases | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
Non-Convertible Bonds | | | | | | | | | | | | | | | | | | | | |
ABS Home Equity | | $ | 41,289 | | | $ | — | | | $ | (17 | ) | | $ | 152 | | | $ | — | |
Collateralized Mortgage Obligations | | | — | | | | — | | | | (140,243 | ) | | | 165,932 | | | | — | |
Common Stocks | | | | | | | | | | | | | | | | | | | | |
Oil, Gas & Consumable Fuels | | | 779 | | | | — | | | | — | | | | (779 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 42,068 | | | $ | — | | | $ | (140,260 | ) | | $ | 165,305 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investments in Securities | | Sales | | | Transfers into Level 3 | | | Transfers out of Level 3 | | | Balance as of September 30, 2020 | | | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2020 | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
Non-Convertible Bonds | | | | | | | | | | | | | | | | | | | | |
ABS Home Equity | | $ | (14,359 | ) | | $ | — | | | $ | — | | | $ | 27,065 | | | $ | (6) | |
Collateralized Mortgage Obligations | | | (11,801,290 | ) | | | 14,055,912 | | | | — | | | | 2,280,311 | | | | 165,932 | |
Common Stocks | | | | | | | | | | | | | | | | | | | | |
Oil, Gas & Consumable Fuels | | | — | | | | — | | | | — | | | | — | (a) | | | (779 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | (11,815,649 | ) | | $ | 14,055,912 | | | $ | — | | | $ | 2,307,376 | | | $ | 165,147 | |
| | | | | | | | | | | | | | | | | | | | |
(a) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 Inputs. |
Notes to Financial Statements (continued)
September 30, 2020
Debt securities valued at $14,055,912 were transferred from Level 2 to Level 3 during the period ended September 30, 2020. At September 30, 2019, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2020, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.
Global Allocation Fund
Asset Valuation Inputs
| | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | Balance as of September 30, 2019 | | | Accrued Discounts (Premiums) | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Purchases | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
Non-Convertible Bonds | | | | | | | | | | | | | | | | | | | | |
Canada | | $ | 4,819 | | | $ | — | | | $ | 17 | | | $ | 29 | | | $ | — | |
Preferred Stocks | | | | | | | | | | | | | | | | | | | | |
United States | | | 301,240 | | | | — | | | | — | | | | (318,720 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 306,059 | | | $ | — | | | $ | 17 | | | $ | (318,691 | ) | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investments in Securities | | Sales | | | Transfers into Level 3 | | | Transfers out of Level 3 | | | Balance as of September 30, 2020 | | | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2020 | |
Bonds and Notes | | | | | | | | | | | | | | | | | | | | |
Non-Convertible Bonds | | | | | | | | | | | | | | | | | | | | |
Canada | | $ | (4,865 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Preferred Stocks | | | | | | | | | | | | | | | | | | | | |
United States | | | — | | | | 17,480 | | | | — | | | | — | (a) | | | (318,720 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | (4,865 | ) | | $ | 17,480 | | | $ | — | | | $ | — | | | $ | (318,720) | |
| | | | | | | | | | | | | | | | | | | | |
(a) | Includes securities fair valued at zero by the Fund’s adviser using Level 3 Inputs. |
A preferred stock valued at $17,480 was transferred from Level 2 to Level 3 during the period ended September 30, 2020. At September 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2020, this security was
Notes to Financial Statements (continued)
September 30, 2020
valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Global Allocation Fund used during the period include forward foreign currency contracts and futures contracts.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the year ended September 30, 2020, Global Allocation Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed income securities with longer maturities or durations, as compared to investing in fixed income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also use futures contracts to gain investment exposure. During the year ended September 30, 2020, Global Allocation Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for Global Allocation Fund as of September 30, 2020, as reflected within the Statements of Assets and Liabilities:
| | | | | | | | |
Assets | | Unrealized appreciation on forward foreign currency contracts | | | Unrealized appreciation on futures contracts1 | |
Over-the-counter asset derivatives | | | | | | | | |
Foreign exchange contracts | | $ | 3,044,123 | | | $ | — | |
| | | | | | | | |
Exchange-traded asset derivatives | | | | | | | | |
Interest rate contracts | | | — | | | | 27,728 | |
| | | | | | | | |
Total asset derivatives | | $ | 3,044,123 | | | $ | 27,728 | |
| | | | | | | | |
Notes to Financial Statements (continued)
September 30, 2020
| | | | | | | | |
Liabilities | | Unrealized depreciation on forward foreign currency contracts | | | | |
Over-the-counter liability derivatives | | | | | | | | |
Foreign exchange contracts | | $ | (1,032,292 | ) | | | | |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Transactions in derivative instruments for Global Allocation Fund during the year ended September 30, 2020, as reflected within the Statements of Operations, were as follows:
| | | | | | | | |
Net Realized Gain (Loss) on: | | Forward foreign currency contracts | | | Futures contracts | |
Interest rate contracts | | $ | — | | | $ | 537,933 | |
Foreign exchange contracts | | | 7,942,395 | | | | — | |
| | | | | | | | |
Total | | $ | 7,942,395 | | | $ | 537,933 | |
| | | | | | | | |
| | |
Net Change in Unrealized Appreciation (Depreciation) on: | | Forward foreign currency contracts | | | Futures contracts | |
Interest rate contracts | | $ | — | | | $ | 27,728 | |
Foreign exchange contracts | | | 2,893,011 | | | | — | |
| | | | | | | | |
Total | | $ | 2,893,011 | | | $ | 27,728 | |
| | | | | | | | |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
Notes to Financial Statements (continued)
September 30, 2020
The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2020:
| | | | | | | | |
Global Allocation Fund | | Forwards | | | Futures | |
Average Notional Amount Outstanding | | | 9.88 | % | | | 0.17 | % |
Highest Notional Amount Outstanding | | | 11.47 | % | | | 0.22 | % |
Lowest Notional Amount Outstanding | | | 8.43 | % | | | 0.15 | % |
Notional Amount Outstanding as of September 30, 2020 | | | 11.32 | % | | | 0.15 | % |
Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.
Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forwards and futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.
Notes to Financial Statements (continued)
September 30, 2020
As of September 30, 2020, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:
Global Allocation Fund
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Gross Amounts of Assets | | | Offset Amount | | | Net Asset Balance | | | Collateral (Received)/ Pledged | | | Net Amount | |
Bank of America, N.A. | | $ | 67,789 | | | $ | — | | | $ | 67,789 | | | $ | — | | | $ | 67,789 | |
Credit Suisse International | | | 2,868,366 | | | | (17,533 | ) | | | 2,850,833 | | | | (2,850,833 | ) | | | — | |
Morgan Stanley Capital Services, Inc. | | | 98,643 | | | | (98,643 | ) | | | — | | | | — | | | | — | |
UBS AG | | | 9,325 | | | | (9,325 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 3,044,123 | | | $ | (125,501 | ) | | $ | 2,918,622 | | | $ | (2,850,833 | ) | | $ | 67,789 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Gross Amounts of Liabilities | | | Offset Amount | | | Net Liability Balance | | | Collateral (Received)/ Pledged | | | Net Amount | |
Credit Suisse International | | $ | (17,533 | ) | | $ | 17,533 | | | $ | — | | | $ | — | | | $ | — | |
HSBC Bank USA | | | (41,835 | ) | | | — | | | | (41,835 | ) | | | — | | | | (41,835 | ) |
Morgan Stanley Capital Services, Inc. | | | (951,740 | ) | | | 98,643 | | | | (853,097 | ) | | | 693,811 | | | | (159,286 | ) |
UBS AG | | | (21,184 | ) | | | 9,325 | | | | (11,859 | ) | | | — | | | | (11,859 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (1,032,292 | ) | | $ | 125,501 | | | $ | (906,791 | ) | | $ | 693,811 | | | $ | (212,980 | ) |
| | | | | | | | | | | | | | | | | | | | |
The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master
Notes to Financial Statements (continued)
September 30, 2020
agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2020:
| | | | | | | | |
Fund | | Maximum Amount of Loss - Gross | | | Maximum Amount of Loss - Net | |
Global Allocation Fund | | $ | 3,947,188 | | | $ | 277,043 | |
Net loss amount reflects cash received as collateral of $3,600,000, which is recorded on the Statements of Assets and Liabilities.
5. Purchases and Sales of Securities. For the year ended September 30, 2020, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:
| | | | | | | | | | | | | | | | |
| | U.S. Government/Agency Securities | | | Other Securities | |
Fund | | Purchases | | | Sales | | | Purchases | | | Sales | |
Core Plus Bond Fund | | $ | 25,650,126,245 | | | $ | 26,267,289,641 | | | $ | 2,701,867,371 | | | $ | 1,264,462,341 | |
Global Allocation Fund | | | 280,535,863 | | | | 139,563,611 | | | | 1,626,592,448 | | | | 1,088,869,754 | |
Notes to Financial Statements (continued)
September 30, 2020
6. 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, LLC (“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 the Fund’s average daily net assets:
| | | | | | | | | | | | |
| | Percentage of Average Daily Net Assets | |
Fund | | First $100 million | | | Next $1.9 billion | | | Over $2 billion | |
Core Plus Bond Fund | | | 0.2000 | % | | | 0.1875 | % | | | 0.1500 | % |
Global Allocation Fund | | | 0.7500 | % | | | 0.7500 | % | | | 0.7300 | % |
Natixis Advisors, L.P. (“Natixis Advisors”) serves as the advisory administrator to Core Plus Bond Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis. Under the terms of the advisory administration agreement, the Fund pays an advisory administration fee at the following annual rates, calculated daily and payable monthly, based on its average daily net assets:
| | | | | | | | | | | | |
| | Percentage of Average Daily Net Assets | |
Fund | | First $100 million | | | Next $1.9 billion | | | Over $2 billion | |
Core Plus Bond Fund | | | 0.2000 | % | | | 0.1875 | % | | | 0.1500 | % |
Management and advisory administration fees are presented in the Statements of Operations as management fees.
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, 2022 for Core Plus Bond Fund and until January 31, 2021 for Global Allocation Fund, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
Notes to Financial Statements (continued)
September 30, 2020
For the year ended September 30, 2020 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
| | | | | | | | | | | | | | | | |
| | Expense Limit as a Percentage of Average Daily Net Assets | |
Fund | | Class A | | | Class C | | | Class N | | | Class Y | |
Core Plus Bond Fund | | | 0.75 | % | | | 1.50 | % | | | 0.45 | % | | | 0.50 | % |
Global Allocation Fund | | | 1.25 | % | | | 2.00 | % | | | 0.95 | % | | | 1.00 | % |
Prior to July 1, 2020, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
| | | | | | | | | | | | | | | | |
| | Expense Limit as a Percentage of Average Daily Net Assets | |
Fund | | Class A | | | Class C | | | Class N | | | Class Y | |
Core Plus Bond Fund | | | 0.80 | % | | | 1.55 | % | | | 0.50 | % | | | 0.55 | % |
Loomis Sayles and Natixis Advisors have agreed to equally bear the waivers and/or expense reimbursements for Core Plus Bond Fund.
Loomis Sayles (and Natixis Advisors for Core Plus Bond Fund) 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, 2020, the management fees for each Fund were as follows:
| | | | | | | | |
Fund | | Gross Management Fees | | | Percentage of Average Daily Net Assets | |
Core Plus Bond Fund | | $ | 12,876,926 | | | | 0.16 | % |
Global Allocation Fund | | | 25,551,911 | | | | 0.74 | % |
For the year ended September 30, 2020, the advisory administration fees for Core Plus Bond Fund were $12,876,926 (effective rate of 0.16% of average daily net assets).
No expenses were recovered for either Fund during the year ended September 30, 2020 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.
Notes to Financial Statements (continued)
September 30, 2020
Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).
Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.
For the year ended September 30, 2020, the service and distribution fees for each Fund were as follows:
| | | | | | | | | | | | |
| | Service Fees | | | Distribution Fees | |
Fund | | Class A | | | Class C | | | Class C | |
Core Plus Bond Fund | | $ | 1,374,815 | | | $ | 372,646 | | | $ | 1,117,937 | |
Global Allocation Fund | | | 1,279,400 | | | | 1,221,805 | | | | 3,665,415 | |
c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.
For the year ended September 30, 2020, the administrative fees for each Fund were as follows:
| | | | |
Fund | | Administrative Fees | |
Core Plus Bond Fund | | $ | 3,575,619 | |
Global Allocation Fund | | | 1,521,887 | |
Notes to Financial Statements (continued)
September 30, 2020
d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the year ended September 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
| | | | |
Fund | | Sub-Transfer Agent Fees | |
Core Plus Bond Fund | | $ | 4,216,850 | |
Global Allocation Fund | | | 2,613,013 | |
As of September 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
| | | | |
Fund | | Reimbursements of Sub-Transfer Agent Fees | |
Core Plus Bond Fund | | $ | 54,860 | |
Global Allocation Fund | | | 56,767 | |
Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended September 30, 2020, were as follows:
| | | | |
Fund | | Commissions | |
Core Plus Bond Fund | | $ | 74,686 | |
Global Allocation Fund | | | 198,902 | |
Notes to Financial Statements (continued)
September 30, 2020
f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
Prior to January 1, 2020, the Chairperson of the Board received a retainer fee at the annual rate of $360,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $190,000, and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $15,000. 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 of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.
Notes to Financial Statements (continued)
September 30, 2020
g. Affiliated Ownership. As of September 30, 2020, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of the Core Plus Bond Fund and Global Allocation Fund representing 0.13% and 0.57%, respectively, of the Funds’ net assets.
h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors had given a binding contractual undertaking to Global Allocation Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking was in effect through January 31, 2020 and is not subject to recovery under the expense limitation agreement described above.
For the year ended September 30, 2020, Natixis Advisors reimbursed Global Allocation Fund $782 for transfer agency expenses related to Class N shares.
7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
For the year ended September 30, 2020, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):
| | | | | | | | | | | | | | | | |
| | Transfer Agent Fees and Expenses | |
Fund | | Class A | | | Class C | | | Class N | | | Class Y | |
Core Plus Bond Fund | | $ | 458,508 | | | $ | 125,024 | | | $ | 8,901 | | | $ | 3,854,110 | |
Global Allocation Fund | | | 429,392 | | | | 410,683 | | | | 2,413 | | | | 1,858,859 | |
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected 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.
Notes to Financial Statements (continued)
September 30, 2020
For the year ended September 30, 2020, neither Fund had borrowings under this agreement.
9. Risk. Global Allocation Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.
Core Plus Bond Fund’s investments in mortgage-related and asset-backed securities are subject to certain risks not associated with investments in other securities. Mortgage-related and asset-backed securities are subject to the risk that unexpected changes in interest rates will have a direct effect on expected maturity. A shortened maturity may result in the reinvestment of prepaid amounts in securities with lower yields than the original obligations. An extended maturity may result in a reduction of a security’s value.
Global markets have experienced periods of high volatility triggered by the ongoing public health emergency known as coronavirus (“Covid-19”). As the situation continues, the extent and duration of the impact that the Covid-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the Covid-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.
10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of September 30, 2020, based on management’s evaluation of the shareholder account base, the Fund 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:
| | | | | | | | |
| | Number of 5% Account Holders | | | Percentage of Ownership | |
Core Plus Bond Fund | | | 1 | | | | 11.44 | % |
Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
Notes to Financial Statements (continued)
September 30, 2020
11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| | | | | | | | | | | | | | | | |
| |
| Year Ended September 30, 2020 | | |
| Year Ended September 30, 2019 | |
Core Plus Bond Fund | | | Shares | | | | Amount | | | | Shares | | | | Amount | |
Class A | | | | | | | | | | | | | | | | |
Issued from the sale of shares | | | 17,898,810 | | | $ | 246,212,136 | | | | 12,426,857 | | | $ | 158,345,750 | |
Issued in connection with the reinvestment of distributions | | | 648,421 | | | | 8,793,629 | | | | 837,896 | | | | 10,721,395 | |
Redeemed | | | (16,819,374 | ) | | | (227,319,033 | ) | | | (19,090,450 | ) | | | (243,916,582 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 1,727,857 | | | $ | 27,686,732 | | | | (5,825,697 | ) | | $ | (74,849,437 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued from the sale of shares | | | 2,130,053 | | | $ | 29,237,104 | | | | 1,660,719 | | | $ | 21,057,183 | |
Issued in connection with the reinvestment of distributions | | | 119,932 | | | | 1,623,298 | | | | 172,807 | | | | 2,212,246 | |
Redeemed | | | (4,925,789 | ) | | | (67,833,185 | ) | | | (4,572,623 | ) | | | (58,229,725 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (2,675,804 | ) | | $ | (36,972,783 | ) | | | (2,739,097 | ) | | $ | (34,960,296 | ) |
| | | | | | | | | | | | | | | | |
Class N | | | | | | | | | | | | | | | | |
Issued from the sale of shares | | | 84,014,957 | | | $ | 1,156,522,813 | | | | 74,861,614 | | | $ | 965,170,758 | |
Issued in connection with the reinvestment of distributions | | | 4,691,629 | | | | 64,237,460 | | | | 4,521,156 | | | | 58,566,539 | |
Redeemed | | | (62,741,955 | ) | | | (854,510,574 | ) | | | (34,409,887 | ) | | | (444,651,546 | ) |
Redeemed in-kind (Note 12) | | | (32,463,709 | ) | | | (456,764,389 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net change | | | (6,499,078 | ) | | $ | (90,514,690 | ) | | | 44,972,883 | | | $ | 579,085,751 | |
| | | | | | | | | | | | | | | | |
Class Y | | | | | | | | | | | | | | | | |
Issued from the sale of shares | | | 190,014,284 | | | $ | 2,636,656,671 | | | | 85,377,215 | | | $ | 1,102,722,145 | |
Issued in connection with the reinvestment of distributions | | | 6,961,003 | | | | 95,521,951 | | | | 6,833,439 | | | | 88,271,244 | |
Redeemed | | | (96,927,942 | ) | | | (1,324,095,811 | ) | | | (76,245,974 | ) | | | (976,476,811 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 100,047,345 | | | $ | 1,408,082,811 | | | | 15,964,680 | | | $ | 214,516,578 | |
| | | | | | | | | | | | | | | | |
Increase from capital share transactions | | | 92,600,320 | | | $ | 1,308,282,070 | | | | 52,372,769 | | | $ | 683,792,596 | |
| | | | | | | | | | | | | | | | |
Notes to Financial Statements (continued)
September 30, 2020
11. Capital Shares (continued).
| | | | | | | | | | | | | | | | |
| |
| Year Ended September 30, 2020 | | |
| Year Ended September 30, 2019 | |
Global Allocation Fund | | | Shares | | | | Amount | | | | Shares | | | | Amount | |
Class A | | | | | | | | | | | | | | | | |
Issued from the sale of shares | | | 9,934,108 | | | $ | 244,510,222 | | | | 7,286,270 | | | $ | 162,617,493 | |
Issued in connection with the reinvestment of distributions | | | 408,536 | | | | 10,037,738 | | | | 622,284 | | | | 12,134,537 | |
Redeemed | | | (5,288,773 | ) | | | (125,525,882 | ) | | | (6,207,958 | ) | | | (137,784,719 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 5,053,871 | | | $ | 129,022,078 | | | | 1,700,596 | | | $ | 36,967,311 | |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued from the sale of shares | | | 5,429,302 | | | $ | 129,254,637 | | | | 5,953,693 | | | $ | 130,846,979 | |
Issued in connection with the reinvestment of distributions | | | 335,475 | | | | 8,148,688 | | | | 519,881 | | | | 10,054,504 | |
Redeemed | | | (7,501,444 | ) | | | (180,254,496 | ) | | | (4,084,514 | ) | | | (89,798,271 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | (1,736,667 | ) | | $ | (42,851,171 | ) | | | 2,389,060 | | | $ | 51,103,212 | |
| | | | | | | | | | | | | | | | |
Class N | | | | | | | | | | | | | | | | |
Issued from the sale of shares | | | 2,473,848 | | | $ | 60,506,193 | | | | 5,515,442 | | | $ | 122,986,662 | |
Issued in connection with the reinvestment of distributions | | | 229,737 | | | | 5,672,201 | | | | 168,053 | | | | 3,290,482 | |
Redeemed | | | (1,170,090 | ) | | | (28,432,814 | ) | | | (665,833 | ) | | | (15,132,556 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 1,533,495 | | | $ | 37,745,580 | | | | 5,017,662 | | | $ | 111,144,588 | |
| | | | | | | | | | | | | | | | |
Class Y | | | | | | | | | | | | | | | | |
Issued from the sale of shares | | | 39,782,349 | | | $ | 960,786,370 | | | | 31,758,778 | | | $ | 709,981,758 | |
Issued in connection with the reinvestment of distributions | | | 1,901,677 | | | | 46,971,422 | | | | 2,439,526 | | | | 47,790,318 | |
Redeemed | | | (21,963,125 | ) | | | (519,151,329 | ) | | | (19,828,297 | ) | | | (438,143,471 | ) |
| | | | | | | | | | | | | | | | |
Net change | | | 19,720,901 | | | $ | 488,606,463 | | | | 14,370,007 | | | $ | 319,628,605 | |
| | | | | | | | | | | | | | | | |
Increase from capital share transactions | | | 24,571,600 | | | $ | 612,522,950 | | | | 23,477,325 | | | $ | 518,843,716 | |
| | | | | | | | | | | | | | | | |
12. Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. Core Plus Bond Fund realized a gain of $19,866,959 on redemptions-in-kind during the year ended September 30, 2020. This amount is included in realized gain (loss) on the Statements of Operations.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Loomis Sayles Funds II and Natixis Funds Trust I and Shareholders of Loomis Sayles Global Allocation Fund and Loomis Sayles Core Plus Bond Fund:
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Loomis Sayles Global Allocation Fund (one of the funds constituting Loomis Sayles Funds II) and Loomis Sayles Core Plus Bond Fund (one of the funds constituting Natixis Funds Trust I) (hereafter collectively referred to as the “Funds”) as of September 30, 2020, the related statements of operations for the year ended September 30, 2020, the statements of changes in net assets for each of the two years in the period ended September 30, 2020, 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, 2020, 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, 2020 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, 2020 by correspondence with the custodian, agent banks and brokers;
Report of Independent Registered Public Accounting Firm
when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
November 20, 2020
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.
2020 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2020, a percentage of dividends distributed by the Fund listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
| | | | |
Fund | | Qualifying Percentage | |
Global Allocation Fund | | | 59.76 | % |
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Fund paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2020, unless subsequently determined to be different.
| | | | |
Fund | | Amount | |
Global Allocation Fund | | $ | 73,767,977 | |
Qualified Dividend Income. For the fiscal year ended September 30, 2020, 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 2020, complete information will be reported in conjunction with Form 1099-DIV.
| | | | |
Fund | | | |
Global Allocation Fund | | | | |
Trustee and Officer Information
The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.
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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 | | 54 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 Chairperson of Governance Committee and Audit Committee Member | | Executive Chairman of Bob’s Discount Furniture (retail) | | 54 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) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, Qualifications, Attributes, Skills for Board Membership |
| | | |
INDEPENDENT TRUSTEES continued | | | | | | |
| | | | |
Richard A. Goglia (1951) | | Trustee since 2015 Contract Review Committee Member and Governance Committee Member | | Retired | | 54 Director of Triumph Group (aerospace industry) | | Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) |
| | | | |
Wendell J. Knox (1948) | | Trustee since 2009 Chairperson of Contract Review Committee | | Retired | | 54 Director of Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); formerly, Director, Eastern Bank (bank) | | Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, Qualifications, Attributes, Skills for Board Membership |
| | | |
INDEPENDENT TRUSTEES continued | | | | | | |
| | | | |
Martin T. Meehan (1956) | | Trustee since 2012 Audit Committee Member | | President, University of Massachusetts | | 54 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) | | 54 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) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, 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) | | 54 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 Audit Committee Member | | Professor of Finance at Babson College | | 54 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 | | 54 None | | Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, 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) | | 54 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 Audit Committee and Governance Committee Member | | Deputy Dean for Finance and Administration, Yale University School of Medicine | | 54 None | | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
Trustee and Officer Information
| | | | | | | | |
Name and Year of Birth | | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | | Principal Occupation(s) During Past 5 Years | | Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years | | Experience, Qualifications, Attributes, Skills for Board Membership |
|
INTERESTED TRUSTEES |
| | | | |
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | | Trustee since 2015 | | President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P. | | 54 None | | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
| | | | |
David L. Giunta4 (1965) | | Trustee since 2011 President and Chief Executive Officer of Natixis Funds Trust I; President of Loomis Sayles Funds II since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015 | | President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation | | 54 None | | Significant experience on the Board; experience as President and Chief Executive Officer of 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 II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation. |
Trustee and Officer Information
| | | | | | |
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 [TRUST/TRUSTS] | | | | |
| | | |
Daniel J. Fuss (1933) One Financial Center Boston, MA 02111 | | Executive Vice President of Loomis Sayles Funds II | | Since 2003 | | Vice Chairman and Director, Loomis, Sayles & Company, L.P. |
| | | |
Russell L. Kane (1969) | | Secretary, Clerk and Chief Legal Officer Chief Compliance Officer and Anti-Money Laundering Officer | | Since 2016 Since 2020 | | Executive Vice President, General Counsel, Secretary and Clerk, Natixis Distribution Corporation, Natixis Advisors, L.P. and Natixis Distribution, L.P.; formerly, 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. |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, 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. |
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has established an audit committee. Mr. Edmond J. English, Mr. Martin T. Meehan, Mr. Peter Smail, Mr. Erik R. Sirri and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.
Item 4. Principal Accountant Fees and Services.
Fees billed by the Principal Accountant for services rendered to the Registrant.
The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Audit fees | | | Audit-related fees1 | | | Tax fees2 | | | All other fees | |
| | 10/1/18- 9/30/19 | | | 10/1/19- 9/30/20 | | | 10/1/18- 9/30/19 | | | 10/1/19- 9/30/20 | | | 10/1/18- 9/30/19 | | | 10/1/19- 9/30/20 | | | 10/1/18- 9/30/19 | | | 10/1/19- 9/30/20 | |
Loomis Sayles Funds II | | $ | 251,137 | | | $ | 268,648 | | | $ | 3,667 | | | $ | 3,920 | | | $ | 43,725 | | | $ | 46,726 | | | $ | — | | | $ | — | |
1. | Audit-related fees consist of: |
2019 & 2020 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.
2019 & 2020 – review of Registrant’s tax returns.
Aggregate fees billed to the Registrant for non-audit services during 2019 and 2020 were $47,392 and $50,647, respectively.
Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.
The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and entities controlling, controlled by or under common control with Loomis, Sayles & Company, L.P. Registrant (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Audit-related fees | | | Tax fees | | | All other fees | |
| | 10/1/18- 9/30/19 | | | 10/1/19- 9/30/20 | | | 10/1/18- 9/30/19 | | | 10/1/19- 9/30/20 | | | 10/1/18- 9/30/19 | | | 10/1/19- 9/30/20 | |
Control Affiliates | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.
| | | | | | | | |
| | Aggregate Non-Audit Fees | |
| | 10/1/18-9/30/19 | | | 10/1/19-9/30/20 | |
Control Affiliates | | $ | 32,252 | | | $ | 1,646 | |
None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.
Audit Committee Pre Approval Policies.
Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.
If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
Loomis Sayles Funds II |
| |
By: | | /s/ David L. Giunta |
Name: | | David L. Giunta |
Title: | | President and Chief Executive Officer |
Date: | | November 23, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | |
By: | | /s/ David L. Giunta |
Name: | | David L. Giunta |
Title: | | President and Chief Executive Officer |
Date: | | November 23, 2020 |
| | |
By: | | /s/ Michael C. Kardok |
Name: | | Michael C. Kardok |
Title: | | Treasurer and Principal Financial and Accounting Officer |
Date: | | November 23, 2020 |