Loomis Sayles Small Cap Growth Fund Class N NCSRS Certified semi-annual shareholder report (management investment company)

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)

Susan McWhan Tobin, Esq.

Natixis Distribution, LLC

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2139

Date of fiscal year end: December 31

Date of reporting period: June 30, 2022

Item 1. Reports to Stockholders.

(a) The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:

LOGO

Semiannual Report

June 30, 2022

Loomis Sayles International Growth Fund

Natixis Oakmark Fund

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund

Vaughan Nelson Mid Cap Fund

Vaughan Nelson Small Cap Value Fund

Table of Contents


Portfolio Review			1
Portfolio of Investments			17
Financial Statements			28
Notes to Financial Statements			59

LOGO

LOOMIS SAYLES INTERNATIONAL GROWTH FUND



Manager	Symbols

Aziz V. Hamzaogullari, CFA®	Class A	LIGGX

Loomis, Sayles & Company, L.P.	Class C	LIGCX

	Class N	LIGNX

	Class Y	LIGYX

Investment Goal

The Fund’s investment goal is long-term growth of capital.

Average Annual Total Returns — June 30, 2022³



	6 Months			1 Year			Life of Fund			Expense Ratios⁴
	6 Months			1 Year			Life of Fund			Gross			Net

Class Y (Inception 12/15/20)
NAV		-21.09	%		-27.88	%		-15.64	%		2.46	%		0.95	%

Class A (Inception 12/15/20)
NAV		-21.11			-28.03			-15.81			2.71			1.20
With 5.75% Maximum Sales Charge		-25.62			-32.17			-18.99

Class C (Inception 12/15/20)
NAV		-21.45			-28.54			-16.48			3.46			1.95
With CDSC¹		-22.24			-29.25			-16.48

Class N (Inception 12/15/20)
NAV		-21.09			-27.85			-15.62			1.58			0.90

Comparative Performance
MSCI ACWI ex USA Index (Net)²		-18.42			-19.42			-6.54

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

2	The MSCI ACWI ex USA Index (Net) captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 27 Emerging Markets (EM) countries. With 2,361 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.

3	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

1 |

NATIXIS OAKMARK FUND



Managers		Symbols

William C. Nygren, CFA^®		Class A NEFOX

Robert F. Bierig*		Class C NECOX

M. Colin Hudson, CFA^®**		Class N NOANX

Michael J. Mangan, CFA^®		Class Y NEOYX

Michael A. Nicolas, CFA^®

Harris Associates L.P.

*	Effective August 1, 2022, Robert F. Bierig serves as portfolio manager of the Fund.

**	Effective August 1, 2022, M. Colin Hudson no longer serves as portfolio manager of the Fund.

Investment Goal

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2022³



	6 Months			1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-19.43	%		-14.03	%		8.76	%		11.99	%		—	%		0.89	%		0.80	%

Class A
NAV		-19.52			-14.27			8.49			11.71			—			1.14			1.05
With 5.75% Maximum Sales Charge		-24.15			-19.21			7.21			11.05			—

Class C
NAV		-19.83			-14.90			7.67			11.04			—			1.89			1.80
With CDSC¹		-20.62			-15.67			7.67			11.04			—

Class N (Inception 5/1/17)
NAV		-19.40			-13.99			8.90			—			9.24			1.55			0.75

Comparative Performance
S&P 500^® Index²		-19.96			-10.62			11.31			12.96			11.28

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

S&P 500^® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market.

3	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Fund’s expenses are below the limitations, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

| 2

NATIXIS OAKMARK INTERNATIONAL FUND



Managers		Symbols

David G. Herro, CFA^®		Class A NOIAX

Michael L. Manelli, CFA^®		Class C NOICX

Harris Associates L.P.		Class N NIONX

		Class Y NOIYX

Investment Goal

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2022⁴



	6 Months			1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁵
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 5/1/17)
NAV¹		-19.18	%		-22.60	%		-0.65	%		5.45	%		—	%		1.10	%		0.90	%

Class A
NAV		-19.27			-22.76			-0.89			5.32			—			1.35			1.15
With 5.75% Maximum Sales Charge		-23.90			-27.20			-2.06			4.70			—

Class C
NAV		-19.58			-23.35			-1.64			4.68			—			2.10			1.90
With CDSC²		-20.39			-24.11			-1.64			4.68			—

Class N (Inception 5/1/17)
NAV		-19.10			-22.48			-0.55			—			-0.25			1.25			0.85

Comparative Performance
MSCI World ex USA Index (Net)³		-18.76			-16.76			2.66			5.37			3.18

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Prior to the inception of Class Y shares (5/1/2017), performance is that of Class A shares and reflects the higher net expenses of that share class.

2	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

3	MSCI World ex USA Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States.

4	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/23. When a Funds expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Funds expense limitations.

3 |

NATIXIS U.S. EQUITY OPPORTUNITIES FUND



Managers	Symbols

William C. Nygren, CFA^®	Class A	NEFSX

Robert F. Bierig*	Class C	NECCX

M. Colin Hudson, CFA^®**	Class N	NESNX

Michael J. Mangan, CFA^®, CPA	Class Y	NESYX

Michael A. Nicolas, CFA^®

Harris Associates L.P.



Aziz V. Hamzaogullari, CFA^®

Loomis, Sayles & Company, L.P.

*	Effective August 1, 2022, Robert F. Bierig serves as portfolio manager of the Fund.

**	Effective August 1, 2022, M. Colin Hudson no longer serves as portfolio manager of the Fund.

Investment Goal

The Fund seeks long-term growth of capital.

Average Annual Total Returns — June 30, 2022⁴



	6 Months			1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁵
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-24.67	%		-21.69	%		9.39	%		13.43	%		—	%		0.89	%		0.89	%

Class A
NAV		-24.77			-21.89			9.12			13.15			—			1.14			1.14
With 5.75% Maximum Sales Charge		-29.10			-26.38			7.84			12.48			—

Class C
NAV		-25.04			-22.44			8.32			12.47			—			1.89			1.89
With CDSC¹		-25.73			-23.07			8.32			12.47			—

Class N (Inception 5/1/17)
NAV		-24.64			-21.64			9.50			—			10.09			1.38			0.83

Comparative Performance
S&P 500^® Index²		-19.96			-10.62			11.31			12.96			11.28
Russell 1000^® Index³		-20.94			-13.04			11.00			12.82			10.97

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

Russell 1000^® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000^® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

4	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

| 4

VAUGHAN NELSON MID CAP FUND



Managers		Symbols

Dennis G. Alff, CFA^®		Class A VNVAX

Chad D. Fargason		Class C VNVCX

Chris D. Wallis, CFA^®		Class N VNVNX

Vaughan Nelson Investment Management, L.P.		Class Y VNVYX

Investment Goal

The Fund seeks long-term capital appreciation.

Average Annual Total Returns — June 30, 2022³



	6 Months			1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-14.40	%		-11.26	%		6.64	%		9.69	%		—	%		0.96	%		0.90	%

Class A
NAV		-14.47			-11.49			6.37			9.42			—			1.21			1.15
With 5.75% Maximum Sales Charge		-19.37			-16.58			5.12			8.77			—

Class C
NAV		-14.80			-12.15			5.58			8.77			—			1.96			1.90
With CDSC¹		-15.63			-12.88			5.58			8.77			—

Class N (Inception 5/1/13)
NAV		-14.38			-11.23			6.72			—			8.15			0.87			0.85

Comparative Performance
Russell Midcap^® Value Index²		-16.23			-10.00			6.27			10.62			8.89

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

2	Russell Midcap^® Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap^® Index companies with lower price-to-book ratios and lower forecasted growth values.

3	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

5 |

VAUGHAN NELSON SMALL CAP VALUE FUND



Managers		Symbols

Chris D. Wallis, CFA^®		Class A NEFJX

Stephen Davis, CFA^®		Class C NEJCX

James Eisenman, CFA^®*		Class N VSCNX

Vaughan Nelson Investment Management, L.P.		Class Y NEJYX

*	Effective May 1, 2022, James Eisenman serves as a co-portfolio manager on the Fund.

Investment Goal

The Fund seeks capital appreciation.

Average Annual Total Returns — June 30, 2022³



	6 Months			1 Year			5 Years			10 Years			Life of Class N			Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-12.89	%		-5.59	%		7.41	%		10.84	%		—	%		1.16	%		1.00	%

Class A
NAV		-13.00			-5.87			7.14			10.56			—			1.41			1.25
With 5.75% Maximum Sales Charge		-18.00			-11.30			5.88			9.91			—

Class C
NAV		-13.47			-6.67			6.31			9.90			—			2.17			2.00
With CDSC¹		-14.28			-7.24			6.31			9.90			—

Class N (Inception 5/1/17)
NAV		-12.89			-5.59			7.52			—			7.11			1.17			0.95

Comparative Performance
Russell 2000^® Value Index²		-17.31			-16.28			4.89			9.05			4.68

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase and includes automatic conversion to Class A shares after eight years.

2	Russell 2000^® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000^® companies with lower price-to-book ratios and lower forecasted growth values.

3	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

CFA^® and Chartered Financial Analyst^® are registered trademarks owned by the CFA Institute.

7 |

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2022 through June 30, 2022. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

The second line in the table for each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning funds. If transaction costs were included, total costs would be higher.


LOOMIS SAYLES INTERNATIONAL GROWTH FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$788.90		$5.32
Hypothetical (5% return before expenses)		$1,000.00		$1,018.84		$6.01
Class C
Actual		$1,000.00		$785.50		$8.63
Hypothetical (5% return before expenses)		$1,000.00		$1,015.13		$9.74
Class N
Actual		$1,000.00		$789.10		$3.99
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$4.51
Class Y
Actual		$1,000.00		$789.10		$4.21
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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NATIXIS OAKMARK FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$804.80		$4.70
Hypothetical (5% return before expenses)		$1,000.00		$1,019.59		$5.26
Class C
Actual		$1,000.00		$801.70		$8.04
Hypothetical (5% return before expenses)		$1,000.00		$1,015.87		$9.00
Class N
Actual		$1,000.00		$806.00		$3.36
Hypothetical (5% return before expenses)		$1,000.00		$1,021.08		$3.76
Class Y
Actual		$1,000.00		$805.70		$3.58
Hypothetical (5% return before expenses)		$1,000.00		$1,020.83		$4.01

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80%, 0.75% and 0.80% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).


NATIXIS OAKMARK INTERNATIONAL FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$807.30		$5.15
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76
Class C
Actual		$1,000.00		$804.20		$8.50
Hypothetical (5% return before expenses)		$1,000.00		$1,015.37		$9.49
Class N
Actual		$1,000.00		$809.00		$3.81
Hypothetical (5% return before expenses)		$1,000.00		$1,020.58		$4.26
Class Y
Actual		$1,000.00		$808.20		$4.04
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$4.51

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

9 |


NATIXIS U.S. EQUITY OPPORTUNITIES FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$752.30		$4.95
Hypothetical (5% return before expenses)		$1,000.00		$1,019.14		$5.71
Class C
Actual		$1,000.00		$749.60		$8.20
Hypothetical (5% return before expenses)		$1,000.00		$1,015.42		$9.44
Class N
Actual		$1,000.00		$753.60		$3.61
Hypothetical (5% return before expenses)		$1,000.00		$1,020.68		$4.16
Class Y
Actual		$1,000.00		$753.30		$3.87
Hypothetical (5% return before expenses)		$1,000.00		$1,020.38		$4.46

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.14%, 1.89%, 0.83% and 0.89% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).


VAUGHAN NELSON MID CAP FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$855.30		$5.29
Hypothetical (5% return before expenses)		$1,000.00		$1,019.09		$5.76
Class C
Actual		$1,000.00		$852.00		$8.72
Hypothetical (5% return before expenses)		$1,000.00		$1,015.37		$9.49
Class N
Actual		$1,000.00		$856.20		$3.91
Hypothetical (5% return before expenses)		$1,000.00		$1,020.58		$4.26
Class Y
Actual		$1,000.00		$856.00		$4.14
Hypothetical (5% return before expenses)		$1,000.00		$1,020.33		$4.51

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VAUGHAN NELSON SMALL CAP VALUE FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$870.00		$5.80
Hypothetical (5% return before expenses)		$1,000.00		$1,018.60		$6.26
Class C
Actual		$1,000.00		$865.30		$9.25
Hypothetical (5% return before expenses)		$1,000.00		$1,014.88		$9.99
Class N
Actual		$1,000.00		$871.10		$4.41
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76
Class Y
Actual		$1,000.00		$871.10		$4.64
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.25%, 2.00%, 0.95% and 1.00% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

11 |

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and, with respect to Natixis Oakmark Fund, Natixis Oakmark International Fund, Natixis U.S. Equity Opportunities Fund, Vaughan Nelson Mid Cap Fund, and Vaughan Nelson Small Cap Value Fund, sub-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. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. 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 at its June Board meeting.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers, as applicable (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees and other expenses, including information comparing the Funds’ advisory and sub-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 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 Advisers, including how profitability is determined for the Funds, and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, allocations to brokers affiliated with the Advisers and 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, liquidity 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, where available, 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, total return information for various periods, third-party performance rankings for various periods comparing a Fund against similarly categorized funds, and performance ratings provided by a different third-party rating organization. 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, the Trustees are periodically provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings, both at the Board and at the Committee level.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2022. In the case of Natixis U.S. Equity Opportunities Fund, the Board approved the Agreement with an amendment that reduced the Fund’s advisory fee effective July 1, 2022. 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 also considered their experience with other funds advised or sub-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 Natixis family of funds.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“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, such as new rules relating to the fair valuation of investments and the use of derivatives.

| 12

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. The Trustees also received information about how comparative peer groups are constructed. 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, 2021, each Existing 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 International Growth Fund		96	%		N/A			N/A
Natixis Oakmark Fund		4	%		2	%		4	%
Natixis Oakmark International Fund		82	%		25	%		47	%
Natixis U.S. Equity Opportunities Fund		81	%		31	%		17	%
Vaughan Nelson Mid Cap Fund		74	%		62	%		83	%
Vaughan Nelson Small Cap Value Fund		14	%		30	%		68	%

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 relative performance (i.e., for periods ending March 31, 2022) had improved; (3) that the Fund’s long-term (10-year) performance was stronger relative to its category; (4) the Adviser’s deep value investment strategy was expected to result in cyclical underperformance from time to time; (5) that effective August 31, 2021, the Fund had been assigned to a different category by the independent third-party data provider, which has resulted in significantly improved relative performance and is expected to result in more relevant performance comparisons; and (6) that the Fund outperformed its relevant benchmark for the 3-year period. 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 each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory, sub-advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, 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 and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, and the need for the Advisers to offer competitive 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 demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for

13 |

various funds in the fund family. They noted that all of the Funds included have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for all of the Funds under their expense limitation agreements. They further noted that management had proposed to reduce the expense limitations for Natixis U.S. Equity Opportunities Fund on all share classes, effective as of July 1, 2022. The Trustees also noted that management had proposed to reduce the advisory fee rate for Natixis U.S. Equity Opportunities Fund. The Trustees further noted that the Loomis Sayles International Growth Fund had a total advisory fee rate that was below the median of its peer group of funds.

The Trustees noted that certain of the Funds had total advisory fee rates that were above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rates, including: (1) that the advisory fee rate of the Fund had been reduced effective July 1, 2021 and the comparison against the peer group did not reflect the full impact of that; (2) that management had proposed to reduce the expense limitations of the Fund; (3) that management had proposed to reduce the advisory fee of the Fund; (4) that the advisory fee was only one basis point higher than the median of a peer group of funds; and (5) the quality of the services and the reputation and performance of the portfolio management team.

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 relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers, LLC compared to that of certain other investment managers for which such data was available.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense 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 Natixis Oakmark Fund, Natixis Oakmark International Fund and Vaughan Nelson Mid Cap Fund had breakpoints in their advisory fees and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitations for Natixis U.S. Equity Opportunities 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 certain Advisers had made into their businesses.

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 and its significant disruptions to the economy and business operations, as well as more recent market volatility, on the performance, asset levels and expense ratios of each Fund.

•

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

•

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

•

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

| 14

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, including the reduction in the advisory fee for Natixis U.S. Equity Opportunities Fund described above, should be continued through June 30, 2023.

15 |

LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2021 and ending December 31, 2021 (including updates through June 30, 2022)

Effective December 1, 2018 (December 15, 2020 for the Loomis Sayles International Growth 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 (“Administrator”) which is the adviser or sub-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 January 1, 2021 to December 31, 2021, there were no material changes to the Programs 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 January 1, 2022 through June 30, 2022, 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 Administrators, the Program of each Fund approved by the Funds’ Board is operating effectively. The Program Administrators have also monitored, assessed and managed each Fund’s liquidity risk regularly throughout the period.

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 Programs, assessed their adequacy and effectiveness and described any material changes made to the Programs.

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Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles International Growth Fund


Shares		Description	Value (†)
	Common Stocks — 97.5% of Net Assets
		Australia — 4.5%
	36,354	WiseTech Global Ltd.	$	953,283

		Belgium — 2.2%
	8,851	Anheuser-Busch InBev S.A.		476,644

		Brazil — 7.6%
	345,114	Ambev S.A., ADR		866,236
	1,163	MercadoLibre, Inc.(a)		740,680

				1,606,916

		Canada — 1.6%
	11,000	Shopify, Inc., Class A(a)		343,640

		China — 28.9%
	3,739	Alibaba Group Holding Ltd., Sponsored ADR(a)(b)		425,049
	4,601	Baidu, Inc., Sponsored ADR(a)(b)		684,307
	64,400	Budweiser Brewing Co. APAC Ltd., 144A		193,245
	507,500	Dali Foods Group Co. Ltd., 144A		269,927
	3,400	Kweichow Moutai Co. Ltd., Class A		1,040,169
	3,961	NXP Semiconductors NV		586,347
	24,100	Tencent Holdings Ltd.(b)		1,090,890
	26,757	Trip.com Group Ltd., ADR(a)(b)		734,480
	45,796	Vipshop Holdings Ltd., ADR(a)(b)		452,922
	13,499	Yum China Holdings, Inc.		654,701

				6,132,037

		Denmark — 4.8%
	9,100	Novo Nordisk A/S, Class B		1,009,211

		France — 4.7%
	2,735	EssilorLuxottica S.A.		414,661
	8,124	Sodexo S.A.		574,645

				989,306

		Germany — 2.6%
	6,108	SAP SE		556,747

		Japan — 4.9%
	5,400	FANUC Corp.		846,392
	5,600	Unicharm Corp.		187,920

				1,034,312

		Macau — 1.2%
	41,000	Galaxy Entertainment Group Ltd.		245,613

		Netherlands — 3.9%
	567	Adyen NV, 144A(a)		818,256

		Switzerland — 7.8%
	7,615	CRISPR Therapeutics AG(a)		462,764
	14,030	Novartis AG, (Registered)		1,189,471

				1,652,235

		United Kingdom — 9.8%
	7,109	Diageo PLC		307,057
	19,599	Experian PLC		575,442
	9,262	Reckitt Benckiser Group PLC		696,616
	11,140	Unilever PLC		505,983

				2,085,098

		United States — 13.0%
	5,601	Block, Inc.(a)		344,237
	11,908	Doximity, Inc., Class A(a)		414,637
	7,515	Nestle S.A., (Registered)		878,298
	3,318	Roche Holding AG		1,109,207

				2,746,379

		Total Common Stocks (Identified Cost $27,194,320)		20,649,677


Principal Amount		Description	Value (†)
	Short-Term Investments — 2.3%
$	495,628	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $495,633 on 7/01/2022 collateralized by $503,300 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $505,581 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $495,628)	$	495,628


		Total Investments — 99.8% (Identified Cost $27,689,948)		21,145,305
		Other assets less liabilities — 0.2%		41,806

		Net Assets — 100.0%	$	21,187,111


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	Security invests in variable interest entities based in China.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $1,281,428 or 6.0% of net assets.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at June 30, 2022 (Unaudited)


Pharmaceuticals	15.6	%
Beverages	13.5
Hotels, Restaurants & Leisure	10.5
Interactive Media & Services	8.3
Internet & Direct Marketing Retail	7.6
Software	7.1
IT Services	7.1
Food Products	5.5
Household Products	4.2
Machinery	4.0
Semiconductors & Semiconductor Equipment	2.8
Professional Services	2.7
Personal Products	2.4
Biotechnology	2.2
Textiles, Apparel & Luxury Goods	2.0
Health Care Technology	2.0
Short-Term Investments	2.3

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2022 (Unaudited)


United States Dollar	34.0	%
Euro	15.8
Swiss Franc	15.0
Hong Kong Dollar	8.5
British Pound	7.4
Yuan Renminbi	4.9
Japanese Yen	4.9
Danish Krone	4.8
Australian Dollar	4.5

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks — 94.0% of Net Assets
		Auto Components — 1.5%
	185,367	BorgWarner, Inc.	$	6,185,697

		Automobiles — 2.2%
	281,560	General Motors Co.(a)		8,942,346

		Banks — 5.9%
	198,236	Bank of America Corp.		6,171,087
	220,418	Citigroup, Inc.		10,137,024
	212,404	Wells Fargo & Co.		8,319,864

				24,627,975

		Biotechnology — 1.0%
	6,947	Regeneron Pharmaceuticals, Inc.(a)		4,106,580

		Building Products — 1.1%
	92,600	Masco Corp.		4,685,560

		Capital Markets — 13.1%
	169,082	Bank of New York Mellon Corp. (The)		7,052,410
	168,339	Charles Schwab Corp. (The)		10,635,658
	28,298	Goldman Sachs Group, Inc. (The)		8,405,072
	70,810	Intercontinental Exchange, Inc.		6,658,973
	211,810	KKR & Co., Inc.		9,804,685
	12,221	Moody’s Corp.		3,323,745
	138,666	State Street Corp.		8,548,759

				54,429,302

		Consumer Finance — 6.9%
	390,354	Ally Financial, Inc.		13,080,763
	43,473	American Express Co.		6,026,227
	89,906	Capital One Financial Corp.		9,367,306

				28,474,296

		Electronic Equipment, Instruments & Components — 0.7%
	26,565	TE Connectivity Ltd.		3,005,830

		Entertainment — 4.5%
	48,826	Netflix, Inc.(a)		8,538,203
	50,097	Take-Two Interactive Software, Inc.(a)		6,138,385
	42,200	Walt Disney Co. (The)(a)		3,983,680

				18,660,268

		Health Care Providers & Services — 2.5%
	44,219	HCA Healthcare, Inc.		7,431,445
	6,298	Humana, Inc.		2,947,905

				10,379,350

		Hotels, Restaurants & Leisure — 2.5%
	3,583	Booking Holdings, Inc.(a)		6,266,631
	38,528	Hilton Worldwide Holdings, Inc.		4,293,560

				10,560,191

		Household Durables — 1.3%
	131,000	PulteGroup, Inc.		5,191,530

		Industrial Conglomerates — 1.1%
	69,124	General Electric Co.		4,401,125

		Insurance — 5.2%
	163,435	American International Group, Inc.		8,356,431
	43,537	Reinsurance Group of America, Inc.		5,106,455
	41,363	Willis Towers Watson PLC		8,164,643

				21,627,529

		Interactive Media & Services — 7.7%
	6,056	Alphabet, Inc., Class A(a)		13,197,599
	65,566	Meta Platforms, Inc., Class A(a)		10,572,517
	442,200	Pinterest, Inc., Class A(a)		8,030,352

				31,800,468

		Internet & Direct Marketing Retail — 4.1%
	74,600	Amazon.com, Inc.(a)	$	7,923,266
	135,565	eBay, Inc.		5,648,993
	44,200	Etsy, Inc.(a)		3,235,882

				16,808,141

		IT Services — 5.5%
	112,069	Fiserv, Inc.(a)		9,970,779
	31,166	Gartner, Inc.(a)		7,536,874
	48,500	Global Payments, Inc.		5,366,040

				22,873,693

		Machinery — 3.1%
	17,771	Cummins, Inc.		3,439,222
	58,966	PACCAR, Inc.		4,855,260
	18,200	Parker-Hannifin Corp.		4,478,110

				12,772,592

		Media — 4.4%
	22,664	Charter Communications, Inc., Class A(a)		10,618,764
	195,542	Comcast Corp., Class A		7,673,068

				18,291,832

		Oil, Gas & Consumable Fuels — 9.5%
	325,372	APA Corp.		11,355,483
	93,177	ConocoPhillips		8,368,226
	42,212	Diamondback Energy, Inc.		5,113,984
	132,477	EOG Resources, Inc.		14,630,760

				39,468,453

		Professional Services — 1.6%
	36,800	Equifax, Inc.		6,726,304

		Real Estate Management & Development — 1.8%
	98,818	CBRE Group, Inc., Class A(a)		7,273,993

		Software — 4.1%
	65,600	Oracle Corp.		4,583,472
	46,200	Salesforce, Inc.(a)		7,624,848
	34,880	Workday, Inc., Class A(a)		4,868,550

				17,076,870

		Tobacco — 1.7%
	165,214	Altria Group, Inc.		6,900,989

		Wireless Telecommunication Services — 1.0%
	29,458	T-Mobile US, Inc.(a)		3,963,279

		Total Common Stocks (Identified Cost $409,469,610)		389,234,193


Principal Amount
	Short-Term Investments — 2.1%
$	8,774,149	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $8,774,234 on 7/01/2022 collateralized by $8,909,300 U.S. Treasury Note, 3.250% due 6/30/2027 valued at 8,949,668 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,774,149)		8,774,149


		Total Investments — 96.1% (Identified Cost $418,243,759)		398,008,342
		Other assets less liabilities — 3.9%		16,197,560

		Net Assets — 100.0%	$	414,205,902


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Oakmark Fund – (continued)

Industry Summary at June 30, 2022 (Unaudited)


Capital Markets	13.1	%
Oil, Gas & Consumable Fuels	9.5
Interactive Media & Services	7.7
Consumer Finance	6.9
Banks	5.9
IT Services	5.5
Insurance	5.2
Entertainment	4.5
Media	4.4
Software	4.1
Internet & Direct Marketing Retail	4.1
Machinery	3.1
Hotels, Restaurants & Leisure	2.5
Health Care Providers & Services	2.5
Automobiles	2.2
Other Investments, less than 2% each	12.8
Short-Term Investments	2.1

Total Investments	96.1
Other assets less liabilities	3.9

Net Assets	100.0	%

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Oakmark International Fund


Shares		Description	Value (†)
	Common Stocks — 95.1% of Net Assets
		Australia — 1.6%
	398,700	Brambles Ltd.	$	2,948,105
	291,820	Orica Ltd.		3,192,711

				6,140,816

		Belgium — 1.8%
	127,600	Anheuser-Busch InBev S.A.		6,871,507

		Canada — 2.3%
	140,000	Open Text Corp.		5,295,680
	73,499	Restaurant Brands International, Inc.		3,685,975

				8,981,655

		China — 7.9%
	667,300	Alibaba Group Holding Ltd.(a)		9,519,289
	222,775	Prosus NV		14,425,480
	81,896	Trip.com Group Ltd.(a)		2,266,098
	464,296	Vipshop Holdings Ltd., ADR(a)		4,591,887

				30,802,754

		Finland — 0.6%
	80,100	UPM-Kymmene OYJ		2,456,130

		France — 13.7%
	235,305	Accor S.A.(a)		6,419,485
	243,491	BNP Paribas S.A.		11,646,651
	22,000	Capgemini SE		3,794,122
	88,300	Danone S.A.		4,944,993
	68,800	Edenred		3,259,098
	7,170	Kering S.A.		3,715,686
	132,698	Publicis Groupe S.A.		6,526,156
	264,612	Valeo S.A.		5,156,219
	210,900	Worldline S.A., 144A(a)		7,866,438

				53,328,848

		Germany — 25.2%
	36,900	Adidas AG		6,554,580
	54,010	Allianz SE, (Registered)		10,354,265
	166,030	Bayer AG, (Registered)		9,914,707
	133,600	Bayerische Motoren Werke AG		10,356,751
	135,659	Continental AG		9,521,737
	243,907	Daimler Truck Holding AG(a)		6,423,505
	109,200	Fresenius Medical Care AG & Co. KGaA		5,471,039
	230,400	Fresenius SE & Co. KGaA		7,006,859
	92,600	Henkel AG & Co. KGaA		5,689,372
	167,914	Mercedes-Benz Group AG, (Registered)		9,752,163
	77,900	SAP SE		7,100,616
	55,600	Siemens AG, (Registered)		5,715,485
	814,100	thyssenkrupp AG(a)		4,642,240

				98,503,319

		Hong Kong — 1.6%
	504,000	Prudential PLC		6,269,373

		India — 0.9%
	448,175	Axis Bank Ltd.(a)		3,630,249

		Ireland — 1.4%
	79,238	Ryanair Holdings PLC, Sponsored ADR(a)		5,328,756

		Italy — 3.1%
	6,412,300	Intesa Sanpaolo SpA		12,000,420
	70,000	Intesa Sanpaolo SpA		131,505

				12,131,925

		Japan — 1.4%
	126,200	Komatsu Ltd.		2,810,116
	182,200	Toyota Motor Corp.		2,811,219

				5,621,335

		Korea — 1.3%
	26,950	NAVER Corp.	$	5,026,892

		Mexico — 0.9%
	449,200	Grupo Televisa SAB, Sponsored ADR		3,674,456

		Netherlands — 3.2%
	124,244	EXOR NV		7,764,002
	228,038	Koninklijke Philips NV		4,891,079

				12,655,081

		Spain — 1.3%
	88,230	Amadeus IT Group S.A.(a)		4,940,363

		Sweden — 4.5%
	567,704	H & M Hennes & Mauritz AB, B Shares		6,813,946
	400,203	SKF AB, B Shares		5,937,523
	312,300	Volvo AB, B Shares		4,859,195

				17,610,664

		Switzerland — 9.8%
	25,600	Cie Financiere Richemont S.A., (Registered)		2,753,615
	1,588,739	Credit Suisse Group AG, (Registered)		9,068,280
	1,476,080	Glencore PLC		7,995,093
	173,121	Holcim AG, (Registered)		7,425,078
	68,200	Novartis AG, (Registered)		5,782,036
	6,000	Roche Holding AG		2,005,799
	14,099	Swatch Group AG (The)		3,349,055

				38,378,956

		United Kingdom — 12.6%
	597,462	CNH Industrial NV		6,909,857
	108,400	Compass Group PLC		2,225,602
	529,177	Informa PLC(a)		3,418,807
	248,532	Liberty Global PLC, Class A(a)		5,231,599
	23,485,300	Lloyds Banking Group PLC		12,083,341
	995,600	NatWest Group PLC		2,650,049
	35,900	Reckitt Benckiser Group PLC		2,700,121
	1,456,200	Rolls-Royce Holdings PLC(a)		1,481,917
	198,489	Schroders PLC		6,484,093
	127,700	Smiths Group PLC		2,183,781
	398,200	WPP PLC		4,022,316

				49,391,483

		Total Common Stocks (Identified Cost $442,781,109)		371,744,562


	Preferred Stocks — 1.3%
		Korea — 1.3%
	126,900	Samsung Electronics Co. Ltd., 2.085%, (KRW) (Identified Cost $7,214,653)		5,100,795


Principal Amount
	Short-Term Investments — 2.5%
$	9,684,913	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $9,685,007 on 7/01/2022 collateralized by $11,409,700 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $9,878,694 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $9,684,913)		9,684,913


		Total Investments — 98.9% (Identified Cost $459,680,675)		386,530,270
		Other assets less liabilities — 1.1%		4,443,182

		Net Assets — 100.0%	$	390,973,452

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Oakmark International Fund – (continued)


	(†)			See Note 2 of Notes to Financial Statements.
	(a)			Non-income producing security.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $7,866,438 or 2.0% of net assets.
	ADR			An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

	KRW			South Korean Won

Industry Summary at June 30, 2022 (Unaudited)


Banks	10.8	%
Internet & Direct Marketing Retail	7.3
Machinery	6.8
Automobiles	5.9
IT Services	5.1
Pharmaceuticals	4.5
Media	4.5
Textiles, Apparel & Luxury Goods	4.3
Insurance	4.2
Capital Markets	3.9
Auto Components	3.7
Hotels, Restaurants & Leisure	3.7
Metals & Mining	3.2
Health Care Providers & Services	3.2
Software	3.2
Household Products	2.2
Industrial Conglomerates	2.0
Diversified Financial Services	2.0
Other Investments, less than 2% each	15.9
Short-Term Investments	2.5

Total Investments	98.9
Other assets less liabilities	1.1

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2022 (Unaudited)


Euro	54.4	%
British Pound	13.1
United States Dollar	8.2
Swiss Franc	7.8
Swedish Krona	4.5
Hong Kong Dollar	3.0
South Korean Won	2.6
Other, less than 2% each	5.3

Total Investments	98.9
Other assets less liabilities	1.1

Net Assets	100.0	%

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis U.S. Equity Opportunities Fund


Shares		Description	Value (†)
	Common Stocks — 96.7% of Net Assets
		Aerospace & Defense — 2.0%
	113,693	Boeing Co. (The)(a)	$	15,544,107

		Air Freight & Logistics — 0.6%
	48,825	Expeditors International of Washington, Inc.		4,758,484

		Automobiles — 2.2%
	220,000	General Motors Co.(a)		6,987,200
	15,649	Tesla, Inc.(a)		10,538,350

				17,525,550

		Banks — 3.3%
	318,705	Citigroup, Inc.		14,657,243
	304,400	Wells Fargo & Co.		11,923,348

				26,580,591

		Beverages — 2.7%
	12,987	Boston Beer Co., Inc. (The), Class A(a)		3,934,671
	190,167	Monster Beverage Corp.(a)		17,628,481

				21,563,152

		Biotechnology — 5.0%
	64,166	Alnylam Pharmaceuticals, Inc.(a)		9,358,611
	45,511	BioMarin Pharmaceutical, Inc.(a)		3,771,497
	77,642	CRISPR Therapeutics AG(a)		4,718,304
	36,541	Regeneron Pharmaceuticals, Inc.(a)		21,600,481

				39,448,893

		Capital Markets — 8.5%
	248,245	Charles Schwab Corp. (The)		15,684,119
	16,158	FactSet Research Systems, Inc.		6,213,882
	104,300	Intercontinental Exchange, Inc.		9,808,372
	316,800	KKR & Co., Inc.		14,664,672
	13,500	MSCI, Inc.		5,564,025
	101,206	SEI Investments Co.		5,467,148
	163,700	State Street Corp.		10,092,105

				67,494,323

		Consumer Finance — 5.9%
	543,800	Ally Financial, Inc.		18,222,738
	88,500	American Express Co.		12,267,870
	155,885	Capital One Financial Corp.		16,241,658

				46,732,266

		Entertainment — 3.5%
	101,543	Netflix, Inc.(a)		17,756,825
	103,486	Walt Disney Co. (The)(a)		9,769,078

				27,525,903

		Health Care Equipment & Supplies — 0.4%
	15,276	Intuitive Surgical, Inc.(a)		3,066,046

		Health Care Providers & Services — 1.4%
	68,700	HCA Healthcare, Inc.		11,545,722

		Health Care Technology — 1.9%
	233,702	Doximity, Inc., Class A(a)		8,137,504
	37,149	Veeva Systems, Inc., Class A(a)		7,356,988

				15,494,492

		Hotels, Restaurants & Leisure — 3.7%
	7,245	Booking Holdings, Inc.(a)		12,671,432
	98,751	Starbucks Corp.		7,543,589
	105,858	Yum China Holdings, Inc.		5,134,113
	34,976	Yum! Brands, Inc.		3,970,126

				29,319,260

		Industrial Conglomerates — 0.9%
	109,793	General Electric Co.		6,990,520

		Insurance — 4.8%
	273,555	American International Group, Inc.	$	13,986,867
	104,781	Reinsurance Group of America, Inc.		12,289,764
	59,100	Willis Towers Watson PLC		11,665,749

				37,942,380

		Interactive Media & Services — 9.3%
	15,497	Alphabet, Inc., Class A(a)		33,771,992
	4,081	Alphabet, Inc., Class C(a)		8,926,983
	193,615	Meta Platforms, Inc., Class A(a)		31,220,419

				73,919,394

		Internet & Direct Marketing Retail — 5.0%
	57,666	Alibaba Group Holding Ltd., Sponsored ADR(a)		6,555,471
	314,087	Amazon.com, Inc.(a)		33,359,180

				39,914,651

		IT Services — 7.1%
	66,496	Block, Inc.(a)		4,086,844
	165,200	Fiserv, Inc.(a)		14,697,844
	51,200	Gartner, Inc.(a)		12,381,696
	68,485	PayPal Holdings, Inc.(a)		4,782,992
	107,760	Shopify, Inc., Class A(a)		3,366,422
	86,160	Visa, Inc., Class A		16,964,043

				56,279,841

		Life Sciences Tools & Services — 0.8%
	36,506	Illumina, Inc.(a)		6,730,246

		Machinery — 0.6%
	15,255	Deere & Co.		4,568,415

		Media — 2.8%
	24,495	Charter Communications, Inc., Class A(a)		11,476,643
	271,880	Comcast Corp., Class A		10,668,571

				22,145,214

		Oil, Gas & Consumable Fuels — 8.5%
	554,341	APA Corp.		19,346,501
	224,200	ConocoPhillips		20,135,402
	257,238	EOG Resources, Inc.		28,409,365

				67,891,268

		Pharmaceuticals — 2.9%
	128,847	Novartis AG, Sponsored ADR		10,891,437
	41,564	Novo Nordisk A/S, Sponsored ADR		4,631,477
	187,202	Roche Holding AG, Sponsored ADR		7,808,195

				23,331,109

		Real Estate Management & Development — 1.3%
	145,800	CBRE Group, Inc., Class A(a)		10,732,338

		Semiconductors & Semiconductor Equipment — 3.1%
	109,483	NVIDIA Corp.		16,596,528
	62,363	QUALCOMM, Inc.		7,966,250

				24,562,778

		Software — 6.4%
	67,729	Autodesk, Inc.(a)		11,646,679
	43,197	Microsoft Corp.		11,094,286
	189,454	Oracle Corp.		13,237,151
	49,450	Salesforce, Inc.(a)		8,161,228
	45,806	Workday, Inc., Class A(a)		6,393,601

				50,532,945

		Textiles, Apparel & Luxury Goods — 0.5%
	449,610	Under Armour, Inc., Class A(a)		3,745,251

		Tobacco — 1.6%
	305,600	Altria Group, Inc.		12,764,912

		Total Common Stocks (Identified Cost $684,578,623)		768,650,051

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 3.3%
$	26,700,813	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $26,701,073 on 7/01/2022 collateralized by $11,000,000 U.S. Treasury Note, 2.875% due 8/15/2028 valued at $10,918,135; $13,548,600 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $13,609,989; $3,126,300 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $2,706,799 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $26,700,813)	$	26,700,813


		Total Investments — 100.0% (Identified Cost $711,279,436)		795,350,864
		Other assets less liabilities — (0.0)%		(356,218	)

		Net Assets — 100.0%	$	794,994,646

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at June 30, 2022 (Unaudited)


Interactive Media & Services	9.3	%
Oil, Gas & Consumable Fuels	8.5
Capital Markets	8.5
IT Services	7.1
Software	6.4
Consumer Finance	5.9
Internet & Direct Marketing Retail	5.0
Biotechnology	5.0
Insurance	4.8
Hotels, Restaurants & Leisure	3.7
Entertainment	3.5
Banks	3.3
Semiconductors & Semiconductor Equipment	3.1
Pharmaceuticals	2.9
Media	2.8
Beverages	2.7
Automobiles	2.2
Aerospace & Defense	2.0
Other Investments, less than 2% each	10.0
Short-Term Investments	3.3

Total Investments	100.0
Other assets less liabilities	(0.0	)*

Net Assets	100.0	%

*	Less than 0.1%

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Vaughan Nelson Mid Cap Fund


Shares		Description	Value (†)
	Common Stocks — 92.3% of Net Assets
		Aerospace & Defense — 0.5%
	15,545	Axon Enterprise, Inc.(a)	$	1,448,328

		Banks — 1.2%
	65,580	Bank of N.T. Butterfield & Son Ltd. (The)		2,045,440
	56,676	Huntington Bancshares, Inc.		681,812
	24,145	PacWest Bancorp		643,706

				3,370,958

		Building Products — 0.8%
	13,150	Allegion PLC		1,287,385
	62,700	AZEK Co., Inc. (The)(a)		1,049,598

				2,336,983

		Capital Markets — 4.7%
	20,575	Ares Management Corp., Class A		1,169,894
	118,192	Brightsphere Investment Group, Inc.		2,128,638
	8,010	FactSet Research Systems, Inc.		3,080,406
	36,945	Nasdaq, Inc.		5,635,590
	15,722	Raymond James Financial, Inc.		1,405,704

				13,420,232

		Chemicals — 2.9%
	57,345	Axalta Coating Systems Ltd.(a)		1,267,898
	43,180	FMC Corp.		4,620,691
	28,530	LyondellBasell Industries NV, Class A		2,495,234

				8,383,823

		Commercial Services & Supplies — 2.8%
	62,445	Republic Services, Inc.		8,172,177

		Communications Equipment — 4.5%
	61,740	Motorola Solutions, Inc.		12,940,704

		Construction & Engineering — 2.8%
	246,205	WillScot Mobile Mini Holdings Corp.(a)		7,981,966

		Containers & Packaging — 2.9%
	9,255	Avery Dennison Corp.		1,498,107
	76,050	Crown Holdings, Inc.		7,009,528

				8,507,635

		Diversified Consumer Services — 0.8%
	23,860	Grand Canyon Education, Inc.(a)		2,247,373

		Diversified Financial Services — 0.7%
	43,462	Apollo Global Management, Inc.		2,107,038

		Electric Utilities — 6.7%
	162,695	Alliant Energy Corp.		9,535,554
	149,710	Evergy, Inc.		9,768,577

				19,304,131

		Electrical Equipment — 2.7%
	37,255	AMETEK, Inc.		4,093,952
	11,565	Hubbell, Inc.		2,065,278
	48,335	nVent Electric PLC		1,514,335

				7,673,565

		Electronic Equipment, Instruments & Components — 1.0%
	8,200	CDW Corp.		1,291,992
	10,835	Keysight Technologies, Inc.(a)		1,493,605

				2,785,597

		Food & Staples Retailing — 0.5%
	31,370	Performance Food Group Co.(a)		1,442,393

		Health Care Equipment & Supplies — 2.6%
	12,095	Cooper Cos., Inc. (The)		3,787,186
	51,620	Hologic, Inc.(a)		3,577,266

				7,364,452

		Health Care Providers & Services — 0.7%
	873,980	Aveanna Healthcare Holdings, Inc.(a)	$	1,975,195

		Hotels, Restaurants & Leisure — 0.9%
	88,430	Aramark		2,708,611

		Household Products — 2.9%
	89,095	Church & Dwight Co., Inc.		8,255,543

		Independent Power & Renewable Electricity Producers — 3.3%
	417,480	Vistra Corp.		9,539,418

		Insurance — 5.2%
	51,700	Allstate Corp. (The)		6,551,941
	28,855	Arthur J. Gallagher & Co.		4,704,519
	30,800	Reinsurance Group of America, Inc.		3,612,532

				14,868,992

		IT Services — 4.6%
	98,615	MAXIMUS, Inc.		6,164,424
	122,600	SS&C Technologies Holdings, Inc.		7,119,382

				13,283,806

		Life Sciences Tools & Services — 6.2%
	12,620	Agilent Technologies, Inc.		1,498,877
	195,970	Avantor, Inc.(a)		6,094,667
	17,907	IQVIA Holdings, Inc.(a)		3,885,640
	329,850	Sotera Health Co.(a)		6,461,762

				17,940,946

		Machinery — 2.2%
	22,970	Crane Holdings Co.		2,011,253
	61,265	Otis Worldwide Corp.		4,329,598

				6,340,851

		Media — 4.2%
	74,995	Nexstar Media Group, Inc., Class A		12,215,186

		Metals & Mining — 0.4%
	78,405	Constellium SE(a)		1,035,730

		Multi-Utilities — 6.9%
	110,020	Ameren Corp.		9,941,407
	145,445	CMS Energy Corp.		9,817,538

				19,758,945

		Oil, Gas & Consumable Fuels — 6.3%
	50,635	Diamondback Energy, Inc.		6,134,430
	27,905	Pioneer Natural Resources Co.		6,225,047
	924,955	Southwestern Energy Co.(a)		5,780,969

				18,140,446

		Pharmaceuticals — 2.7%
	401,155	Elanco Animal Health, Inc.(a)		7,874,673

		Professional Services — 2.6%
	22,035	CACI International, Inc., Class A(a)		6,209,022
	6,940	Equifax, Inc.		1,268,493

				7,477,515

		REITs – Diversified — 1.4%
	425,990	New Residential Investment Corp.		3,970,227

		Semiconductors & Semiconductor Equipment — 0.7%
	9,780	Analog Devices, Inc.		1,428,760
	6,980	Entegris, Inc.		643,068

				2,071,828

		Software — 1.1%
	343,727	N-Able, Inc.(a)		3,093,543

		Specialty Retail — 1.4%
	275,755	Leslie’s, Inc.(a)		4,185,961

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Vaughan Nelson Mid Cap Fund – (continued)


Shares		Description	Value (†)
		Textiles, Apparel & Luxury Goods — 0.5%
	41,110	Skechers U.S.A., Inc., Class A(a)	$	1,462,694

		Total Common Stocks (Identified Cost $264,862,148)		265,687,465


Principal Amount
	Short-Term Investments — 7.9%
$	22,770,147	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $22,770,368 on 7/01/2022 collateralized by $1,048,700 U.S. Treasury Note, 1.875% due 2/28/2027 valued at $990,611; $22,903,300 U.S. Treasury Note, 2.500% due 3/31/2027 valued at $22,234,982 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $22,770,147)		22,770,147


		Total Investments — 100.2% (Identified Cost $287,632,295)		288,457,612
		Other assets less liabilities — (0.2)%		(456,728	)

		Net Assets — 100.0%	$	288,000,884


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

	REITs	Real Estate Investment Trusts

Industry Summary at June 30, 2022 (Unaudited)


Multi-Utilities	6.9	%
Electric Utilities	6.7
Oil, Gas & Consumable Fuels	6.3
Life Sciences Tools & Services	6.2
Insurance	5.2
Capital Markets	4.7
IT Services	4.6
Communications Equipment	4.5
Media	4.2
Independent Power & Renewable Electricity Producers	3.3
Containers & Packaging	2.9
Chemicals	2.9
Household Products	2.9
Commercial Services & Supplies	2.8
Construction & Engineering	2.8
Pharmaceuticals	2.7
Electrical Equipment	2.7
Professional Services	2.6
Health Care Equipment & Supplies	2.6
Machinery	2.2
Other Investments, less than 2% each	12.6
Short-Term Investments	7.9

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Vaughan Nelson Small Cap Value Fund


Shares		Description	Value (†)
	Common Stocks — 93.3% of Net Assets
		Banks — 5.6%
	76,700	Cadence Bank	$	1,800,916
	116,220	Old National Bancorp		1,718,894
	16,280	SouthState Corp.		1,256,002
	35,520	United Bankshares, Inc.		1,245,686
	43,300	United Community Banks, Inc.		1,307,227

				7,328,725

		Capital Markets — 3.4%
	27,175	Artisan Partners Asset Management, Inc., Class A		966,615
	20,195	Cboe Global Markets, Inc.		2,285,872
	29,475	Moelis & Co., Class A		1,159,841

				4,412,328

		Chemicals — 6.3%
	68,970	Chemours Co. (The)		2,208,420
	220,050	Element Solutions, Inc.		3,916,890
	20,030	FMC Corp.		2,143,410

				8,268,720

		Commercial Services & Supplies — 1.7%
	34,580	Ritchie Bros. Auctioneers, Inc.		2,249,775

		Electronic Equipment, Instruments & Components — 7.3%
	20,665	Advanced Energy Industries, Inc.		1,508,132
	21,225	Fabrinet(a)		1,721,347
	42,625	II-VI, Inc.(a)		2,171,744
	48,915	Insight Enterprises, Inc.(a)		4,220,386

				9,621,609

		Energy Equipment & Services — 0.8%
	148,275	TechnipFMC PLC(a)		997,891

		Food & Staples Retailing — 1.2%
	35,340	Performance Food Group Co.(a)		1,624,933

		Gas Utilities — 4.2%
	33,380	Southwest Gas Holdings, Inc.(a)		2,906,730
	34,815	Spire, Inc.		2,589,192

				5,495,922

		Health Care Providers & Services — 1.0%
	4,885	Molina Healthcare, Inc.(a)		1,365,895

		Hotels, Restaurants & Leisure — 3.8%
	73,130	Bally’s Corp.(a)		1,446,511
	95,570	Everi Holdings, Inc.(a)		1,558,747
	109,559	International Game Technology PLC		2,033,415

				5,038,673

		Household Durables — 1.6%
	24,585	Installed Building Products, Inc.		2,044,489

		Insurance — 4.9%
	28,085	Brown & Brown, Inc.		1,638,479
	37,805	First American Financial Corp.		2,000,640
	25,920	Selective Insurance Group, Inc.		2,253,485
	84,960	Trean Insurance Group, Inc.(a)		529,301

				6,421,905

		IT Services — 6.0%
	33,855	ExlService Holdings, Inc.(a)		4,987,857
	25,740	Thoughtworks Holding, Inc.(a)		363,191
	33,185	WNS Holdings Ltd., ADR(a)		2,476,929

				7,827,977

		Life Sciences Tools & Services — 5.2%
	57,465	Avantor, Inc.(a)	$	1,787,162
	60,135	Maravai LifeSciences Holdings, Inc., Class A(a)		1,708,435
	47,115	Syneos Health, Inc.(a)		3,377,203

				6,872,800

		Machinery — 7.8%
	15,035	Alamo Group, Inc.		1,750,525
	69,115	Federal Signal Corp.		2,460,494
	31,255	Franklin Electric Co., Inc.		2,289,741
	32,380	SPX Corp.(a)		1,710,959
	16,135	Watts Water Technologies, Inc., Series A		1,982,024

				10,193,743

		Marine — 1.3%
	27,655	Kirby Corp.(a)		1,682,530

		Media — 1.9%
	120,335	TEGNA, Inc.		2,523,425

		Oil, Gas & Consumable Fuels — 5.0%
	41,090	Antero Resources Corp.(a)		1,259,409
	88,230	Comstock Resources, Inc.(a)		1,065,818
	32,585	Ovintiv, Inc.		1,439,931
	25,125	PDC Energy, Inc.		1,547,951
	202,375	Southwestern Energy Co.(a)		1,264,844

				6,577,953

		Personal Products — 2.0%
	325,335	Coty, Inc., Class A(a)		2,605,933

		Professional Services — 6.2%
	32,790	ASGN, Inc.(a)		2,959,298
	5,185	CACI International, Inc., Class A(a)		1,461,029
	20,185	FTI Consulting, Inc.(a)		3,650,457

				8,070,784

		Road & Rail — 2.7%
	14,055	Landstar System, Inc.		2,043,878
	7,820	Saia, Inc.(a)		1,470,160

				3,514,038

		Semiconductors & Semiconductor Equipment — 4.8%
	48,880	Ichor Holdings Ltd.(a)		1,269,902
	20,515	MKS Instruments, Inc.		2,105,455
	85,265	Rambus, Inc.(a)		1,832,345
	36,800	Ultra Clean Holdings, Inc.(a)		1,095,536

				6,303,238

		Specialty Retail — 0.5%
	3,275	RH(a)		695,151

		Textiles, Apparel & Luxury Goods — 1.0%
	30,830	Capri Holdings Ltd.(a)		1,264,338

		Trading Companies & Distributors — 7.1%
	35,305	Beacon Roofing Supply, Inc.(a)		1,813,265
	77,420	Core & Main, Inc., Class A(a)		1,726,466
	31,310	GATX Corp.		2,948,150
	24,740	Rush Enterprises, Inc., Class A		1,192,468
	6,710	Watsco, Inc.		1,602,482

				9,282,831

		Total Common Stocks (Identified Cost $121,002,792)		122,285,606

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)


Principal Amount		Description	Value (†)
	Short-Term Investments — 6.6%
$	8,660,671	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $8,660,755 on 7/01/2022 collateralized by $9,351,900 U.S. Treasury Note, 1.875% due 2/28/2027 valued at $8,833,889 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,660,671)	$	8,660,671


		Total Investments — 99.9% (Identified Cost $129,663,463)		130,946,277
		Other assets less liabilities — 0.1%		121,929

		Net Assets — 100.0%	$	131,068,206


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at June 30, 2022 (Unaudited)


Machinery	7.8	%
Electronic Equipment, Instruments & Components	7.3
Trading Companies & Distributors	7.1
Chemicals	6.3
Professional Services	6.2
IT Services	6.0
Banks	5.6
Life Sciences Tools & Services	5.2
Oil, Gas & Consumable Fuels	5.0
Insurance	4.9
Semiconductors & Semiconductor Equipment	4.8
Gas Utilities	4.2
Hotels, Restaurants & Leisure	3.8
Capital Markets	3.4
Road & Rail	2.7
Personal Products	2.0
Other Investments, less than 2% each	11.0
Short-Term Investments	6.6

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

See accompanying notes to financial statements.

27 |

Statements of Assets and Liabilities

June 30, 2022 (Unaudited)


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			Natixis U.S. Equity Opportunities Fund
ASSETS
Investments at cost	$	27,689,948		$	418,243,759		$	459,680,675		$	711,279,436
Net unrealized appreciation (depreciation)		(6,544,643	)		(20,235,417	)		(73,150,405	)		84,071,428

Investments at value		21,145,305			398,008,342			386,530,270			795,350,864
Cash		—			—			—			5,217
Foreign currency at value (identified cost $31,546, $0, $0 and $0, respectively)		31,537			—			—			—
Receivable for Fund shares sold		340			132,583			403,720			128,131
Receivable for securities sold		—			18,472,854			603,814			—
Dividends and interest receivable		15,458			409,380			166,343			650,431
Tax reclaims receivable		47,809			—			4,547,772			502,713
Prepaid expenses (Note 9)		2			66			63			131

TOTAL ASSETS		21,240,451			417,023,225			392,251,982			796,637,487

LIABILITIES
Payable for securities purchased		—			1,686,707			299,625			155,014
Payable for Fund shares redeemed		—			146,088			346,465			284,777
Foreign taxes payable (Note 2)		—			—			83,966			—
Management fees payable (Note 6)		11,918			230,334			214,605			523,910
Deferred Trustees’ fees (Note 6)		4,188			663,890			124,149			506,607
Administrative fees payable (Note 6)		799			16,805			15,852			31,832
Payable to distributor (Note 6d)		10			2,177			6,220			2,622
Audit and tax services fees payable		25,032			23,876			25,188			24,932
Other accounts payable and accrued expenses		11,393			47,446			162,460			113,147

TOTAL LIABILITIES		53,340			2,817,323			1,278,530			1,642,841

NET ASSETS	$	21,187,111		$	414,205,902		$	390,973,452		$	794,994,646

NET ASSETS CONSIST OF:
Paid-in capital	$	28,041,160		$	415,033,899		$	571,049,467		$	652,424,691
Accumulated earnings (loss)		(6,854,049	)		(827,997	)		(180,076,015	)		142,569,955

NET ASSETS	$	21,187,111		$	414,205,902		$	390,973,452		$	794,994,646

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	114,734		$	186,192,668		$	121,284,417		$	529,334,519

Shares of beneficial interest		15,203			8,069,110			9,917,125			16,974,830

Net asset value and redemption price per share	$	7.55		$	23.07		$	12.23		$	31.18

Offering price per share (100/94.25 of net asset value) (Note 1)	$	8.01		$	24.48		$	12.98		$	33.08

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	758		$	50,765,419		$	45,884,836		$	36,164,093

Shares of beneficial interest		101			2,737,712			3,838,345			2,395,694

Net asset value and offering price per share	$	7.47	*	$	18.54		$	11.95		$	15.10

Class N shares:
Net assets	$	18,119,377		$	478,051		$	1,940,779		$	162,036

Shares of beneficial interest		2,395,482			19,284			159,103			4,098

Net asset value, offering and redemption price per share	$	7.56		$	24.79		$	12.20		$	39.54

Class Y shares:
Net assets	$	2,952,242		$	176,769,764		$	221,863,420		$	229,333,998

Shares of beneficial interest		390,344			7,153,182			18,209,970			5,819,063

Net asset value, offering and redemption price per share	$	7.56		$	24.71		$	12.18		$	39.41

*	Net asset value calculations have been determined utilizing fractional share and penny amounts.

See accompanying notes to financial statements.

| 28

Statements of Assets and Liabilities (continued)

June 30, 2022 (Unaudited)


	Vaughan Nelson Mid Cap Fund		Vaughan Nelson Small Cap Value Fund
ASSETS
Investments at cost	$	287,632,295	$	129,663,463
Net unrealized appreciation		825,317		1,282,814

Investments at value		288,457,612		130,946,277
Cash		5,426		—
Receivable for Fund shares sold		143,601		477,903
Dividends and interest receivable		264,148		81,211
Prepaid expenses (Note 9)		45		19

TOTAL ASSETS		288,870,832		131,505,410

LIABILITIES
Payable for securities purchased		339,560		6,800
Payable for Fund shares redeemed		82,196		62,687
Management fees payable (Note 6)		176,951		83,558
Deferred Trustees’ fees (Note 6)		196,123		221,372
Administrative fees payable (Note 6)		11,261		5,089
Payable to distributor (Note 6d)		1,854		761
Audit and tax services fees payable		24,742		23,851
Other accounts payable and accrued expenses		37,261		33,086

TOTAL LIABILITIES		869,948		437,204

NET ASSETS	$	288,000,884	$	131,068,206

NET ASSETS CONSIST OF:
Paid-in capital	$	287,086,437	$	126,780,582
Accumulated earnings		914,447		4,287,624

NET ASSETS	$	288,000,884	$	131,068,206

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	32,689,722	$	69,042,222

Shares of beneficial interest		1,724,525		4,538,389

Net asset value and redemption price per share	$	18.96	$	15.21

Offering price per share (100/94.25 of net asset value) (Note 1)	$	20.12	$	16.14

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	8,424,656	$	838,007

Shares of beneficial interest		493,330		147,677

Net asset value and offering price per share	$	17.08	$	5.67

Class N shares:
Net assets	$	73,156,761	$	1,207,148

Shares of beneficial interest		3,794,793		74,592

Net asset value, offering and redemption price per share	$	19.28	$	16.18

Class Y shares:
Net assets	$	173,729,745	$	59,980,829

Shares of beneficial interest		8,997,189		3,710,456

Net asset value, offering and redemption price per share	$	19.31	$	16.17

See accompanying notes to financial statements.

29 |

Statements of Operations

For the Six Months Ended June 30, 2022 (Unaudited)


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			Natixis U.S. Equity Opportunities Fund
INVESTMENT INCOME
Dividends	$	220,191		$	3,739,093		$	10,022,852		$	6,157,317
Non-cash dividends (Note 2b)		37,296	(a)		—			—			—
Interest		127			3,799			3,365			5,487
Less net foreign taxes withheld		(24,026	)		—			(1,189,049	)		(117,992	)

		233,588			3,742,892			8,837,168			6,044,812

Expenses
Management fees (Note 6)		82,245			1,558,312			1,816,250			3,569,168
Service and distribution fees (Note 6)		224			559,529			462,356			1,042,020
Administrative fees (Note 6)		4,852			102,769			102,604			210,352
Trustees’ fees and expenses (Note 6)		6,602			13,276			13,242			19,890
Trustees’ fees deferred compensation (Note 6)		1,171			(93,831	)		(15,238	)		(71,292	)
Transfer agent fees and expenses (Notes 6 and 7)		3,863			196,446			402,355			282,599
Audit and tax services fees		20,970			20,384			43,062			22,692
Custodian fees and expenses		7,325			9,155			75,618			23,809
Legal fees (Note 9)		319			4,561			6,240			12,334
Registration fees		15,946			75,820			46,215			58,989
Shareholder reporting expenses		7,041			29,109			48,442			59,325
Miscellaneous expenses		21,510			20,191			50,611			29,416

Total expenses		172,068			2,495,721			3,051,757			5,259,302
Less waiver and/or expense reimbursement (Note 6)		(72,643	)		(79,455	)		(499,000	)		(883	)

Net expenses		99,425			2,416,266			2,552,757			5,258,419

Net investment income		134,163			1,326,626			6,284,411			786,393

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY ACONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		93,523			26,531,933			(2,411,934	)		61,565,106
Forward foreign currency contracts (Note 2d)		—			—			473,946			—
Foreign currency transactions (Note 2c)		(3,773	)		—			(29,179	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		(5,486,634	)		(130,344,165	)		(101,616,809	)		(324,961,803	)
Forward foreign currency contracts (Note 2d)		—			—			94,327			—
Foreign currency translations (Note 2c)		(1,959	)		—			(344,012	)		(7,378	)

Net realized and unrealized loss on investments, forward foreign currency contracts and foreign currency transactions		(5,398,843	)		(103,812,232	)		(103,833,661	)		(263,404,075	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(5,264,680	)	$	(102,485,606	)	$	(97,549,250	)	$	(262,617,682	)

(a)	Represents a non-recurring stock dividend.

See accompanying notes to financial statements.

| 30

Statements of Operations (continued)

For the Six Months Ended June 30, 2022 (Unaudited)


	Vaughan Nelson Mid Cap Fund			Vaughan Nelson Small Cap Value Fund
INVESTMENT INCOME
Dividends	$	2,895,603		$	807,277
Interest		4,402			1,547
Less net foreign taxes withheld		—			(2,781	)

		2,900,005			806,043

Expenses
Management fees (Note 6)		1,214,547			612,499
Service and distribution fees (Note 6)		93,494			98,472
Administrative fees (Note 6)		71,615			31,883
Trustees’ fees and expenses (Note 6)		10,979			8,406
Trustees’ fees deferred compensation (Note 6)		(25,832	)		(31,160	)
Transfer agent fees and expenses (Notes 6 and 7)		110,334			73,719
Audit and tax services fees		20,817			20,386
Custodian fees and expenses		8,311			4,721
Legal fees (Note 9)		4,175			1,729
Registration fees		34,661			30,465
Shareholder reporting expenses		17,821			15,570
Miscellaneous expenses		21,157			17,494

Total expenses		1,582,079			884,184
Less waiver and/or expense reimbursement (Note 6)		(50,688	)		(65,421	)

Net expenses		1,531,391			818,763

Net investment income (loss)		1,368,614			(12,720	)

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investments		2,510,289			3,754,607
Class action settlements (Note 8)		238,726			—
Net change in unrealized appreciation (depreciation) on: Investments		(54,238,182	)		(23,288,460	)

Net realized and unrealized loss on investments		(51,489,167	)		(19,533,853	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(50,120,553	)	$	(19,546,573	)

See accompanying notes to financial statements.

31 |

Statements of Changes in Net Assets


	International Growth Fund						Natixis Oakmark Fund
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income	$	134,163		$	68,456		$	1,326,626		$	633,264
Net realized gain (loss) on investments and foreign currency transactions		89,750			(203,613	)		26,531,933			28,561,069
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(5,488,593	)		(1,246,367	)		(130,344,165	)		53,375,247

Net increase (decrease) in net assets resulting from operations		(5,264,680	)		(1,381,524	)		(102,485,606	)		82,569,580

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		—			(1,712	)		(2,809,096	)		(14,668,177	)
Class C		—			(540	)		(991,606	)		(3,860,638	)
Class N		—			(404,221	)		(7,860	)		(42,243	)
Class Y		—			(3,739	)		(2,619,716	)		(6,180,207	)

Total distributions		—			(410,212	)		(6,428,278	)		(24,751,265	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		3,126,100			9,897,595			150,953,361			69,746,167

Net increase (decrease) in net assets		(2,138,580	)		8,105,859			42,039,477			127,564,482
NET ASSETS
Beginning of the period		23,325,691			15,219,832			372,166,425			244,601,943

End of the period	$	21,187,111		$	23,325,691		$	414,205,902		$	372,166,425

See accompanying notes to financial statements.

| 32

Statements of Changes in Net Assets (continued)


	Natixis Oakmark International Fund						Natixis U.S. Equity Opportunities Fund
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income (loss)	$	6,284,411		$	9,327,403		$	786,393		$	(2,363,534	)
Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions		(1,967,167	)		37,081,829			61,565,106			116,863,738
Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations		(101,866,494	)		(4,477,434	)		(324,969,181	)		97,061,972

Net increase (decrease) in net assets resulting from operations		(97,549,250	)		41,931,798			(262,617,682	)		211,562,176

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		—			(2,330,358	)		(26,539,784	)		(76,697,366	)
Class C		—			(418,451	)		(3,948,324	)		(11,757,176	)
Class N		—			(12,581	)		(5,180	)		(15,616	)
Class Y		—			(5,540,267	)		(8,682,775	)		(23,677,132	)

Total distributions		—			(8,301,657	)		(39,176,063	)		(112,147,290	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(47,346,246	)		(1,920,547	)		20,957,595			20,061,764

Net increase (decrease) in net assets		(144,895,496	)		31,709,594			(280,836,150	)		119,476,650
NET ASSETS
Beginning of the period		535,868,948			504,159,354			1,075,830,796			956,354,146

End of the period	$	390,973,452		$	535,868,948		$	794,994,646		$	1,075,830,796

See accompanying notes to financial statements.

33 |

Statements of Changes in Net Assets (continued)


	Vaughan Nelson Mid Cap Fund						Vaughan Nelson Small Cap Value Fund
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income (loss)	$	1,368,614		$	1,331,082		$	(12,720	)	$	174,435
Net realized gain on investments and class action settlements		2,749,015			56,422,377			3,754,607			33,988,295
Net change in unrealized appreciation (depreciation) on investments		(54,238,182	)		4,168,218			(23,288,460	)		828,120

Net increase (decrease) in net assets resulting from operations		(50,120,553	)		61,921,677			(19,546,573	)		34,990,850

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(859,450	)		(5,329,869	)		(1,681,175	)		(14,352,433	)
Class C		(262,976	)		(1,799,416	)		(52,754	)		(339,165	)
Class N		(1,948,714	)		(12,164,843	)		(27,118	)		(233,321	)
Class Y		(4,634,572	)		(33,148,269	)		(1,450,459	)		(11,433,578	)

Total distributions		(7,705,712	)		(52,442,397	)		(3,211,506	)		(26,358,497	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(21,711,504	)		68,004,051			3,930,271			29,370,496

Net increase (decrease) in net assets		(79,537,769	)		77,483,331			(18,827,808	)		38,002,849
NET ASSETS
Beginning of the period		367,538,653			290,055,322			149,896,014			111,893,165

End of the period	$	288,000,884		$	367,538,653		$	131,068,206		$	149,896,014

See accompanying notes to financial statements.

| 34

Financial Highlights

For a share outstanding throughout each period.


	International Growth Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	9.57		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.04	(b)		(0.01	)		0.01
Net realized and unrealized gain (loss)		(2.06	)		(0.41	)		0.13

Total from Investment Operations		(2.02	)		(0.42	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.01	)		(0.01	)
Net realized capital gains		—			(0.13	)		—

Total Distributions		—			(0.14	)		(0.01	)

Net asset value, end of the period	$	7.55		$	9.57		$	10.13

Total return(c)(d)		(21.11	)%(b)(e)		(4.07	)%		1.37	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	115		$	113		$	1
Net expenses(f)		1.20	%(g)		1.20	%		1.20	%(g)
Gross expenses		2.07	%(g)		2.71	%		13.05	%(g)
Net investment income (loss)		0.94	%(b)(g)		(0.07	)%		1.28	%(g)
Portfolio turnover rate		7	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.03, total return would have been (21.32)% and the ratio of net investment income to average net assets would have been 0.61%.

(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.

35 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	International Growth Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	9.51		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.02	(b)		(0.09	)		0.00	(c)
Net realized and unrealized gain (loss)		(2.06	)		(0.40	)		0.13

Total from Investment Operations		(2.04	)		(0.49	)		0.13

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(c)		(0.00	)(c)
Net realized capital gains		—			(0.13	)		—

Total Distributions		—			(0.13	)		(0.00	)

Net asset value, end of the period	$	7.47		$	9.51		$	10.13

Total return(d)(e)		(21.45	)%(b)(f)		(4.79	)%		1.33	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1		$	38		$	1
Net expenses(g)		1.95	%(h)		1.95	%		1.95	%(h)
Gross expenses		2.82	%(h)		3.46	%		13.78	%(h)
Net investment income (loss)		0.43	%(b)(h)		(0.90	)%		0.55	%(h)
Portfolio turnover rate		7	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.01), total return would have been (21.56)% and the ratio of net investment loss to average net assets would have been (0.27)%.

(c)	Amount rounds to less than $0.01 per share.

(d)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Periods less than one year are not annualized.

(g)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

| 36

Financial Highlights (continued)

For a share outstanding throughout each period.


	International Growth Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	9.58		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05	(b)		0.03			0.01
Net realized and unrealized gain (loss)		(2.07	)		(0.42	)		0.13

Total from Investment Operations		(2.02	)		(0.39	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.03	)		(0.01	)
Net realized capital gains		—			(0.13	)		—

Total Distributions		—			(0.16	)		(0.01	)

Net asset value, end of the period	$	7.56		$	9.58		$	10.13

Total return(c)		(21.09	)%(b)(d)		(3.77	)%		1.38	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	18,119		$	22,953		$	15,206
Net expenses(e)		0.90	%(f)		0.90	%		0.90	%(f)
Gross expenses		1.54	%(f)		1.58	%		6.48	%(f)
Net investment income		1.22	%(b)(f)		0.29	%		1.43	%(f)
Portfolio turnover rate		7	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.04, total return would have been (21.19)% and the ratio of net investment income to average net assets would have been 0.85%.

(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.

37 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	International Growth Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Period Ended December 31, 2020*
Net asset value, beginning of the period	$	9.58		$	10.13		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05	(b)		0.02			0.01
Net realized and unrealized gain (loss)		(2.07	)		(0.41	)		0.13

Total from Investment Operations		(2.02	)		(0.39	)		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.03	)		(0.01	)
Net realized capital gains		—			(0.13	)		—

Total Distributions		—			(0.16	)		(0.01	)

Net asset value, end of the period	$	7.56		$	9.58		$	10.13

Total return(c)		(21.09	)%(b)(d)		(3.81	)%		1.38	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,952		$	222		$	12
Net expenses(e)		0.95	%(f)		0.95	%		0.95	%(f)
Gross expenses		1.82	%(f)		2.46	%		12.58	%(f)
Net investment income		1.29	%(b)(f)		0.19	%		1.63	%(f)
Portfolio turnover rate		7	%		9	%		1	%

*	From commencement of operations on December 15, 2020 through December 31, 2020.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been (21.19)% and the ratio of net investment income to average net assets would have been 1.25%.

(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.

| 38

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	29.04		$	23.20		$	22.45		$	19.44		$	24.72		$	21.37

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.07			0.11	(b)		0.18	(c)		0.10			0.11
Net realized and unrealized gain (loss)		(5.68	)		7.81			2.78			4.93			(3.28	)		4.28

Total from Investment Operations		(5.61	)		7.88			2.89			5.11			(3.18	)		4.39

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.05	)		(0.12	)		(0.21	)		(0.08	)		(0.10	)
Net realized capital gains		(0.36	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)		(0.94	)

Total Distributions		(0.36	)		(2.04	)		(2.14	)		(2.10	)		(2.10	)		(1.04	)

Net asset value, end of the period	$	23.07		$	29.04		$	23.20		$	22.45		$	19.44		$	24.72

Total return(d)		(19.52	)%(e)(f)		33.97	%(e)		13.01	%(b)		26.77	%(c)		(13.01	)%		20.75	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	186,193		$	222,435		$	170,702		$	181,417		$	164,748		$	203,792
Net expenses		1.05	%(g)(h)		1.12	%(g)(i)		1.20	%(j)		1.17	%		1.13	%		1.18	%
Gross expenses		1.08	%(h)		1.14	%		1.20	%(j)		1.17	%		1.13	%		1.18	%
Net investment income		0.55	%(h)		0.25	%		0.53	%(b)		0.85	%(c)		0.41	%		0.48	%
Portfolio turnover rate		26	%		23	%		22	%		15	%		39	%		16	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been 12.72% and the ratio of net investment income to average net assets would have been 0.27%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.13, total return would have been 26.50% and the ratio of net investment income to average net assets would have been 0.62%.

(d)	A sales charge for Class A shares is not reflected in total return calculations.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Periods less than one year are not annualized.

(g)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)	Computed on an annualized basis for periods less than one year.

(i)	Effective July 1, 2021, the expense limit decreased from 1.30% to 1.05%.

(j)	Includes refund of prior year service fee of 0.01%.

See accompanying notes to financial statements.

39 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	23.50		$	19.17		$	18.92		$	16.66		$	21.58		$	18.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)		(0.12	)		(0.04	)(b)		0.02	(c)		(0.07	)		(0.05	)
Net realized and unrealized gain (loss)		(4.58	)		6.44			2.31			4.20			(2.83	)		3.74

Total from Investment Operations		(4.60	)		6.32			2.27			4.22			(2.90	)		3.69

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(d)		—			(0.07	)		—			(0.00	)(d)
Net realized capital gains		(0.36	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)		(0.94	)

Total Distributions		(0.36	)		(1.99	)		(2.02	)		(1.96	)		(2.02	)		(0.94	)

Net asset value, end of the period	$	18.54		$	23.50		$	19.17		$	18.92		$	16.66		$	21.58

Total return(e)		(19.83	)%(f)(g)		32.99	%(f)		12.15	%(b)		25.82	%(c)		(13.63	)%		19.85	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	50,765		$	50,042		$	35,940		$	54,384		$	53,606		$	62,272
Net expenses		1.80	%(h)(i)		1.87	%(h)(j)		1.95	%		1.92	%		1.88	%		1.93	%
Gross expenses		1.83	%(i)		1.89	%		1.95	%		1.92	%		1.88	%		1.93	%
Net investment income (loss)		(0.20	)%(i)		(0.49	)%		(0.23	)%(b)		0.12	%(c)		(0.33	)%		(0.27	)%
Portfolio turnover rate		26	%		23	%		22	%		15	%		39	%		16	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 11.85% and the ratio of net investment loss to average net assets would have been (0.46)%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.02), total return would have been 25.50% and the ratio of net investment loss to average net assets would have been (0.12)%.

(d)	Amount rounds to less than $0.01 per share.

(e)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(f)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(g)	Periods less than one year are not annualized.

(h)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)	Computed on an annualized basis for periods less than one year.

(j)	Effective July 1, 2021, the expense limit decreased from 2.05% to 1.80%.

See accompanying notes to financial statements.

| 40

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	31.13		$	24.72		$	23.78		$	20.49		$	25.91		$	23.13

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.23			0.18	(b)		0.22	(c)		0.22			0.14
Net realized and unrealized gain (loss)		(6.10	)		8.31			2.98			5.25			(3.45	)		3.44

Total from Investment Operations		(5.98	)		8.54			3.16			5.47			(3.23	)		3.58

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.14	)		(0.20	)		(0.29	)		(0.17	)		(0.17	)
Net realized capital gains		(0.36	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)		(0.63	)

Total Distributions		(0.36	)		(2.13	)		(2.22	)		(2.18	)		(2.19	)		(0.80	)

Net asset value, end of the period	$	24.79		$	31.13		$	24.72		$	23.78		$	20.49		$	25.91

Total return(d)		(19.40	)%(e)		34.54	%		13.41	%(b)		27.16	%(c)		(12.60	)%		15.46	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	478		$	682		$	364		$	801		$	10		$	1
Net expenses(f)		0.75	%(g)		0.80	%(h)		0.86	%		0.83	%		0.75	%		0.75	%(g)
Gross expenses		1.04	%(g)		1.55	%		1.05	%		1.25	%		3.79	%		13.79	%(g)
Net investment income		0.81	%(g)		0.79	%		0.85	%(b)		0.93	%(c)		0.88	%		0.84	%(g)
Portfolio turnover rate		26	%		23	%		22	%		15	%		39	%		16	%(i)

*	From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.14, total return would have been 13.13% and the ratio of net investment income to average net assets would have been 0.67%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.22, total return would have been 26.90% and the ratio of net investment income to average net assets would have been 0.92%.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Computed on an annualized basis for periods less than one year.

(h)	Effective July 1, 2021, the expense limit decreased from 1.00% to 0.75%.

(i)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

41 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	31.04		$	24.68		$	23.75		$	20.46		$	25.90		$	22.34

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.17			0.17	(b)		0.27	(c)		0.17			0.17
Net realized and unrealized gain (loss)		(6.09	)		8.31			2.95			5.17			(3.44	)		4.48

Total from Investment Operations		(5.97	)		8.48			3.12			5.44			(3.27	)		4.65

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.13	)		(0.17	)		(0.26	)		(0.15	)		(0.15	)
Net realized capital gains		(0.36	)		(1.99	)		(2.02	)		(1.89	)		(2.02	)		(0.94	)

Total Distributions		(0.36	)		(2.12	)		(2.19	)		(2.15	)		(2.17	)		(1.09	)

Net asset value, end of the period	$	24.71		$	31.04		$	24.68		$	23.75		$	20.46		$	25.90

Total return		(19.43	)%(d)(e)		34.35	%(d)		13.28	%(b)		27.06	%(c)(d)		(12.76	)%		21.05	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	176,770		$	99,008		$	37,595		$	46,836		$	53,829		$	49,955
Net expenses		0.80	%(f)(g)		0.86	%(f)(h)		0.95	%		0.91	%(f)		0.88	%		0.93	%
Gross expenses		0.83	%(g)		0.89	%		0.95	%		0.92	%		0.88	%		0.93	%
Net investment income		0.83	%(g)		0.56	%		0.79	%(b)		1.16	%(c)		0.68	%		0.71	%
Portfolio turnover rate		26	%		23	%		22	%		15	%		39	%		16	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.12, total return would have been 13.00% and the ratio of net investment income to average net assets would have been 0.55%.

(c)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.20, total return would have been 26.80% and the ratio of net investment income to average net assets would have been 0.90%.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Computed on an annualized basis for periods less than one year.

(h)	Effective July 1, 2021, the expense limit decreased from 1.05% to 0.80%.

See accompanying notes to financial statements.

| 42

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	15.15		$	14.15		$	13.63		$	11.29		$	15.58		$	12.15

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.19			0.27	(b)		(0.00	)(c)		0.37	(d)		0.25			0.18
Net realized and unrealized gain (loss)		(3.11	)		0.96			0.55	(e)		2.38			(4.02	)		3.41

Total from Investment Operations		(2.92	)		1.23			0.55			2.75			(3.77	)		3.59

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.23	)		(0.03	)		(0.41	)		(0.29	)		(0.16	)
Net realized capital gains		—			—			—			—			(0.23	)		—

Total Distributions		—			(0.23	)		(0.03	)		(0.41	)		(0.52	)		(0.16	)

Net asset value, end of the period	$	12.23		$	15.15		$	14.15		$	13.63		$	11.29		$	15.58

Total return(f)		(19.27	)%(g)(h)		8.73	%(b)(g)		4.06	%(g)		24.35	%(d)		(24.15	)%		29.56	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	121,284		$	152,900		$	131,630		$	172,906		$	257,551		$	603,988
Net expenses		1.15	%(i)(j)		1.17	%(i)(k)		1.29	%(i)(l)		1.29	%		1.31	%		1.32	%
Gross expenses		1.37	%(j)		1.34	%		1.36	%		1.29	%		1.31	%		1.32	%
Net investment income (loss)		2.79	%(j)		1.73	%(b)		(0.03	)%		2.91	%(d)		1.72	%		1.28	%
Portfolio turnover rate		20	%		37	%		63	%		28	%		50	%		40	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.13, total return would have been 7.74% and the ratio of net investment income to average net assets would have been 0.84%.

(c)	Amount rounds to less than $0.01 per share.

(d)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.55% and the ratio of net investment income to average net assets would have been 2.26%.

(e)	The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(f)	A sales charge for Class A shares is not reflected in total return calculations.

(g)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(h)	Periods less than one year are not annualized.

(i)	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.

(j)	Computed on an annualized basis for periods less than one year.

(k)	Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%.

(l)	Effective July 1, 2020, the expense limit decreased from 1.37% to 1.20%.

See accompanying notes to financial statements.

43 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	14.86		$	13.85		$	13.41		$	11.11		$	15.30		$	11.96

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.13			0.13	(b)		(0.08	)		0.26	(c)		0.13			0.06
Net realized and unrealized gain (loss)		(3.04	)		0.97			0.52	(d)		2.34			(3.92	)		3.35

Total from Investment Operations		(2.91	)		1.10			0.44			2.60			(3.79	)		3.41

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.09	)		—			(0.30	)		(0.17	)		(0.07	)
Net realized capital gains		—			—			—			—			(0.23	)		—

Total Distributions		—			(0.09	)		—			(0.30	)		(0.40	)		(0.07	)

Net asset value, end of the period	$	11.95		$	14.86		$	13.85		$	13.41		$	11.11		$	15.30

Total return(e)		(19.58	)%(f)(g)		7.92	%(b)(f)		3.28	%(f)		23.44	%(c)		(24.74	)%		28.55	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	45,885		$	69,335		$	96,772		$	179,533		$	212,618		$	363,018
Net expenses		1.90	%(h)(i)		1.93	%(h)(j)		2.05	%(h)(k)		2.04	%		2.07	%		2.07	%
Gross expenses		2.12	%(i)		2.09	%		2.11	%		2.04	%		2.07	%		2.07	%
Net investment income (loss)		1.91	%(i)		0.85	%(b)		(0.76	)%		2.09	%(c)		0.94	%		0.42	%
Portfolio turnover rate		20	%		37	%		63	%		28	%		50	%		40	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.02, total return would have been 6.98% and the ratio of net investment income to average net assets would have been 0.13%.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.18, total return would have been 22.63% and the ratio of net investment income to average net assets would have been 1.43%.

(d)	The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(e)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(f)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(g)	Periods less than one year are not annualized.

(h)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)	Computed on an annualized basis for periods less than one year.

(j)	Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%.

(k)	Effective July 1, 2020, the expense limit decreased from 2.12% to 1.95%.

See accompanying notes to financial statements.

| 44

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	15.08		$	14.09		$	13.56		$	11.25		$	15.58		$	13.98

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.30			0.38	(b)		0.04			0.33	(c)		0.28			0.15
Net realized and unrealized gain (loss)		(3.18	)		0.89			0.56	(d)		2.45			(4.02	)		1.66

Total from Investment Operations		(2.88	)		1.27			0.60			2.78			(3.74	)		1.81

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.28	)		(0.07	)		(0.47	)		(0.36	)		(0.21	)
Net realized capital gains		—			—			—			—			(0.23	)		—

Total Distributions		—			(0.28	)		(0.07	)		(0.47	)		(0.59	)		(0.21	)

Net asset value, end of the period	$	12.20		$	15.08		$	14.09		$	13.56		$	11.25		$	15.58

Total return(e)		(19.10	)%(f)		9.01	%(b)		4.44	%		24.75	%(c)		(23.94	)%		12.96	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,941		$	704		$	290		$	811		$	758		$	1
Net expenses(g)		0.85	%(h)		0.87	%(i)		0.92	%(j)		0.94	%		0.99	%		0.92	%(h)
Gross expenses		1.05	%(h)		1.25	%		1.17	%		1.08	%		1.02	%		25.21	%(h)
Net investment income		4.54	%(h)		2.49	%(b)		0.37	%		2.56	%(c)		2.04	%		1.54	%(h)
Portfolio turnover rate		20	%		37	%		63	%		28	%		50	%		40	%(k)

*	From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.11, total return would have been 8.09% and the ratio of net investment income to average net assets would have been 0.70%.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.27, total return would have been 23.94% and the ratio of net investment income to average net assets would have been 2.15%.

(d)	The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Periods less than one year are not annualized.

(g)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)	Computed on an annualized basis for periods less than one year.

(i)	Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%.

(j)	Effective July 1, 2020, the expense limit decreased from 1.07% to 0.90%.

(k)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

45 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis Oakmark International Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	15.07		$	14.08		$	13.56		$	11.25		$	15.56		$	13.98

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.30	(b)		0.04			0.37	(c)		0.26			0.00	(d)
Net realized and unrealized gain (loss)		(3.09	)		0.96			0.55	(e)		2.40			(3.99	)		1.79

Total from Investment Operations		(2.89	)		1.26			0.59			2.77			(3.73	)		1.79

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.27	)		(0.07	)		(0.46	)		(0.35	)		(0.21	)
Net realized capital gains		—			—			—			—			(0.23	)		—

Total Distributions		—			(0.27	)		(0.07	)		(0.46	)		(0.58	)		(0.21	)

Net asset value, end of the period	$	12.18		$	15.07		$	14.08		$	13.56		$	11.25		$	15.56

Total return		(19.18	)%(f)(g)		8.97	%(b)(f)		4.32	%(f)		24.64	%(c)		(23.93	)%		12.79	%(g)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	221,863		$	312,930		$	275,468		$	244,586		$	215,123		$	172,978
Net expenses		0.90	%(h)(i)		0.92	%(h)(j)		1.03	%(h)(k)		1.04	%		1.07	%		1.07	%(i)
Gross expenses		1.11	%(i)		1.09	%		1.11	%		1.04	%		1.07	%		1.07	%(i)
Net investment income		2.82	%(i)		1.96	%(b)		0.41	%		2.91	%(c)		1.85	%		0.03	%(i)
Portfolio turnover rate		20	%		37	%		63	%		28	%		50	%		40	%(l)

*	From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.17, total return would have been 8.04% and the ratio of net investment income to average net assets would have been 1.07%.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.84% and the ratio of net investment income to average net assets would have been 2.29%.

(d)	Amount rounds to less than $0.01 per share.

(e)	The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(f)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(g)	Periods less than one year are not annualized.

(h)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)	Computed on an annualized basis for periods less than one year.

(j)	Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%.

(k)	Effective July 1, 2020, the expense limit decreased from 1.12% to 0.95%.

(l)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

| 46

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	43.12		$	39.04		$	36.53		$	31.00		$	36.90		$	30.27

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.02			(0.11	)		(0.05	)		0.15	(b)		0.08			0.06
Net realized and unrealized gain (loss)		(10.38	)		8.99			7.66			9.34			(2.51	)		7.88

Total from Investment Operations		(10.36	)		8.88			7.61			9.49			(2.43	)		7.94

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.17	)		(0.05	)		(0.06	)
Net realized capital gains		(1.58	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)		(1.25	)

Total Distributions		(1.58	)		(4.80	)		(5.10	)		(3.96	)		(3.47	)		(1.31	)

Net asset value, end of the period	$	31.18		$	43.12		$	39.04		$	36.53		$	31.00		$	36.90

Total return(c)		(24.77	)%(d)		23.14	%		22.09	%		31.03	%(b)		(6.48	)%		26.28	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	529,335		$	733,423		$	649,754		$	616,922		$	523,665		$	604,330
Net expenses		1.14	%(e)		1.14	%		1.17	%		1.17	%		1.16	%		1.21	%(f)
Gross expenses		1.14	%(e)		1.14	%		1.17	%		1.17	%		1.16	%		1.21	%
Net investment income (loss)		0.13	%(e)		(0.25	)%		(0.14	)%		0.42	%(b)		0.20	%		0.16	%
Portfolio turnover rate		22	%		18	%		26	%		12	%		23	%		17	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.09, total return would have been 30.87% and the ratio of net investment income to average net assets would have been 0.26%.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Periods less than one year are not annualized.

(e)	Computed on an annualized basis for periods less than one year.

(f)	Effective July 1, 2017, the expense limit decreased from 1.25% to 1.20%.

See accompanying notes to financial statements.

47 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	21.82		$	21.89		$	22.65		$	20.42		$	25.73		$	21.54

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)		(0.24	)		(0.19	)		(0.07	)(b)		(0.14	)		(0.14	)
Net realized and unrealized gain (loss)		(5.08	)		4.97			4.53			6.10			(1.75	)		5.58

Total from Investment Operations		(5.14	)		4.73			4.34			6.03			(1.89	)		5.44

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.01	)		—			(0.00	)(c)
Net realized capital gains		(1.58	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)		(1.25	)

Total Distributions		(1.58	)		(4.80	)		(5.10	)		(3.80	)		(3.42	)		(1.25	)

Net asset value, end of the period	$	15.10		$	21.82		$	21.89		$	22.65		$	20.42		$	25.73

Total return(d)		(25.04	)%(e)		22.27	%		21.15	%		30.06	%(b)		(7.18	)%		25.35	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	36,164		$	57,492		$	63,126		$	77,924		$	78,783		$	112,615
Net expenses		1.89	%(f)		1.89	%		1.92	%		1.92	%		1.91	%		1.96	%(g)
Gross expenses		1.89	%(f)		1.89	%		1.92	%		1.92	%		1.91	%		1.96	%
Net investment loss		(0.63	)%(f)		(0.99	)%		(0.87	)%		(0.31	)%(b)		(0.54	)%		(0.59	)%
Portfolio turnover rate		22	%		18	%		26	%		12	%		23	%		17	%

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.11), total return would have been 29.85% and the ratio of net investment loss to average net assets would have been (0.48)%.

(c)	Amount rounds to less than $0.01 per share.

(d)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(e)	Periods less than one year are not annualized.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Effective July 1, 2017, the expense limit decreased from 2.00% to 1.95%.

See accompanying notes to financial statements.

| 48

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	54.14		$	47.84		$	43.61		$	36.37		$	42.63		$	37.62

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.03			0.13			0.19	(b)		0.25			0.12
Net realized and unrealized gain (loss)		(13.13	)		11.07			9.20			11.14			(2.91	)		6.20

Total from Investment Operations		(13.02	)		11.10			9.33			11.33			(2.66	)		6.32

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.30	)		(0.18	)		(0.16	)
Net realized capital gains		(1.58	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)		(1.15	)

Total Distributions		(1.58	)		(4.80	)		(5.10	)		(4.09	)		(3.60	)		(1.31	)

Net asset value, end of the period	$	39.54		$	54.14		$	47.84		$	43.61		$	36.37		$	42.63

Total return(c)		(24.64	)%(d)		23.53	%		22.48	%		31.44	%(b)		(6.11	)%		16.78	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	162		$	177		$	172		$	654		$	1		$	1
Net expenses(e)		0.83	%(f)		0.83	%		0.84	%		0.83	%		0.76	%		0.78	%(f)(g)
Gross expenses		1.90	%(f)		1.38	%		1.13	%		1.42	%		13.35	%		13.41	%(f)
Net investment income		0.46	%(f)		0.06	%		0.31	%		0.44	%(b)		0.56	%		0.44	%(f)
Portfolio turnover rate		22	%		18	%		26	%		12	%		23	%		17	%(h)

*	From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.19, total return would have been 31.27% and the ratio of net investment income to average net assets would have been 0.44%.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Effective July 1, 2017, the expense limit decreased from 0.95% to 0.90%.

(h)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

49 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Natixis U.S. Equity Opportunities Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	53.99		$	47.74		$	43.56		$	36.33		$	42.61		$	34.77

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.00	(b)		0.05			0.29	(c)		0.20			0.16
Net realized and unrealized gain (loss)		(13.09	)		11.05			9.23			10.99			(2.92	)		9.07

Total from Investment Operations		(13.00	)		11.05			9.28			11.28			(2.72	)		9.23

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			(0.26	)		(0.14	)		(0.14	)
Net realized capital gains		(1.58	)		(4.80	)		(5.10	)		(3.79	)		(3.42	)		(1.25	)

Total Distributions		(1.58	)		(4.80	)		(5.10	)		(4.05	)		(3.56	)		(1.39	)

Net asset value, end of the period	$	39.41		$	53.99		$	47.74		$	43.56		$	36.33		$	42.61

Total return		(24.67	)%(d)		23.48	%		22.36	%		31.36	%(c)(e)		(6.24	)%		26.60	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	229,334		$	284,738		$	243,302		$	283,864		$	296,255		$	285,008
Net expenses		0.89	%(f)		0.89	%		0.92	%		0.91	%(g)		0.91	%		0.95	%(h)
Gross expenses		0.89	%(f)		0.89	%		0.92	%		0.92	%		0.91	%		0.95	%
Net investment income		0.39	%(f)		0.00	%(i)		0.13	%		0.69	%(c)		0.45	%		0.40	%
Portfolio turnover rate		22	%		18	%		26	%		12	%		23	%		17	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Amount rounds to less than $0.01 per share.

(c)	Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.22, total return would have been 31.16% and the ratio of net investment income to average net assets would have been 0.53%.

(d)	Periods less than one year are not annualized.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Computed on an annualized basis for periods less than one year.

(g)	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.

(h)	Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%.

(i)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

| 50

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	22.70		$	21.79		$	22.42		$	17.37		$	22.65		$	20.55

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.05			0.07			0.03			0.09			0.17	(b)
Net realized and unrealized gain (loss)		(3.30	)(c)		4.52			1.96			5.21			(3.71	)		2.48

Total from Investment Operations		(3.23	)		4.57			2.03			5.24			(3.62	)		2.65

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.04	)		(0.04	)		(0.02	)		(0.15	)		(0.18	)
Net realized capital gains		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)

Total Distributions		(0.51	)		(3.66	)		(2.66	)		(0.19	)		(1.66	)		(0.55	)

Net asset value, end of the period	$	18.96		$	22.70		$	21.79		$	22.42		$	17.37		$	22.65

Total return(d)		(14.47	)%(e)(f)		21.32	%(e)		10.46	%(e)		30.21	%(e)		(16.10	)%		12.93	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	32,690		$	37,849		$	30,567		$	33,434		$	43,769		$	67,186
Net expenses		1.15	%(g)(h)		1.17	%(g)(i)		1.20	%(g)		1.25	%(g)(j)(k)		1.24	%		1.22	%
Gross expenses		1.19	%(h)		1.23	%		1.29	%		1.28	%(j)		1.24	%		1.22	%
Net investment income		0.66	%(h)		0.22	%		0.35	%		0.16	%		0.42	%		0.77	%(b)
Portfolio turnover rate		23	%		71	%		52	%		52	%		44	%		42	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.09, total return would have been 12.53% and the ratio of net investment income to average net assets would have been 0.41%.

(c)	Includes a class action settlement payment of $0.02 per share. See Note 8 of Notes to Financial Statements.

(d)	A sales charge for Class A shares is not reflected in total return calculations.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Periods less than one year are not annualized.

(g)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)	Computed on an annualized basis for periods less than one year.

(i)	Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%.

(j)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.23% and the ratio of gross expenses would have been 1.26%.

(k)	Effective July 1, 2019, the expense limit decreased from 1.40% to 1.20%.

See accompanying notes to financial statements.

51 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	20.58		$	20.15		$	21.06		$	16.43		$	21.50		$	19.51

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.01	)		(0.13	)		(0.08	)		(0.10	)		(0.08	)		0.00	(b)(c)
Net realized and unrealized gain (loss)		(2.98	)(d)		4.18			1.79			4.90			(3.48	)		2.36

Total from Investment Operations		(2.99	)		4.05			1.71			4.80			(3.56	)		2.36

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.00	)(b)		—			(0.00	)(b)		—			—
Net realized capital gains		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)

Total Distributions		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)

Net asset value, end of the period	$	17.08		$	20.58		$	20.15		$	21.06		$	16.43		$	21.50

Total return(e)		(14.80	)%(f)(g)		20.44	%(f)		9.60	%(f)		29.25	%(f)		(16.71	)%		12.11	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	8,425		$	11,436		$	14,023		$	21,932		$	23,967		$	47,559
Net expenses		1.90	%(h)(i)		1.93	%(h)(j)		1.95	%(h)		1.99	%(h)(k)(l)		1.98	%		1.97	%
Gross expenses		1.94	%(i)		1.98	%		2.04	%		2.02	%(k)		1.98	%		1.97	%
Net investment income (loss)		(0.12	)%(i)		(0.56	)%		(0.42	)%		(0.50	)%		(0.36	)%		0.00	%(c)(m)
Portfolio turnover rate		23	%		71	%		52	%		52	%		44	%		42	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Amount rounds to less than $0.01 per share.

(c)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 11.70% and the ratio of net investment loss to average net assets would have been (0.35)%.

(d)	Includes a class action settlement payment of $0.02 per share. See Note 8 of Notes to Financial Statements.

(e)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(f)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(g)	Periods less than one year are not annualized.

(h)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)	Computed on an annualized basis for periods less than one year.

(j)	Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%.

(k)	Includes interest expense. Without this expense the ratio of net expenses would have been 1.98% and the ratio of gross expenses would have been 2.01%.

(l)	Effective July 1, 2019, the expense limit decreased from 2.15% to 1.95%.

(m)	Amount rounds to less than 0.01%.

See accompanying notes to financial statements.

| 52

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	23.05		$	22.07		$	22.66		$	17.54		$	22.87		$	20.75

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.14			0.13			0.11			0.17			0.25	(b)
Net realized and unrealized gain (loss)		(3.36	)(c)		4.58			2.00			5.27			(3.75	)		2.51

Total from Investment Operations		(3.26	)		4.72			2.13			5.38			(3.58	)		2.76

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.12	)		(0.10	)		(0.09	)		(0.24	)		(0.27	)
Net realized capital gains		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)

Total Distributions		(0.51	)		(3.74	)		(2.72	)		(0.26	)		(1.75	)		(0.64	)

Net asset value, end of the period	$	19.28		$	23.05		$	22.07		$	22.66		$	17.54		$	22.87

Total return		(14.38	)%(d)		21.70	%(e)		10.83	%(e)		30.67	%(e)		(15.78	)%		13.31	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	73,157		$	91,416		$	17,965		$	18,262		$	70,902		$	134,205
Net expenses		0.85	%(f)		0.86	%(g)(h)		0.90	%(g)		0.92	%(g)(i)(j)		0.88	%		0.88	%
Gross expenses		0.85	%(f)		0.89	%		0.94	%		0.93	%(i)		0.88	%		0.88	%
Net investment income		0.95	%(f)		0.55	%		0.65	%		0.51	%		0.76	%		1.16	%(b)
Portfolio turnover rate		23	%		71	%		52	%		52	%		44	%		42	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.17, total return would have been 12.92% and the ratio of net investment income to average net assets would have been 0.76%.

(c)	Includes a class action settlement payment of $0.02 per share. See Note 8 of Notes to Financial Statements.

(d)	Periods less than one year are not annualized.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Computed on an annualized basis for periods less than one year.

(g)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)	Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 0.91% and the ratio of gross expenses would have been 0.91%.

(j) Effective July 1, 2019, the expense limit decreased from 1.10% to 0.90%.

See accompanying notes to financial statements.

53 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Mid Cap Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	23.09		$	22.10		$	22.69		$	17.57		$	22.89		$	20.77

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.11			0.12			0.10			0.15			0.23	(b)
Net realized and unrealized gain (loss)		(3.36	)(c)		4.60			2.00			5.26			(3.75	)		2.51

Total from Investment Operations		(3.27	)		4.71			2.12			5.36			(3.60	)		2.74

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.10	)		(0.09	)		(0.07	)		(0.21	)		(0.25	)
Net realized capital gains		(0.51	)		(3.62	)		(2.62	)		(0.17	)		(1.51	)		(0.37	)

Total Distributions		(0.51	)		(3.72	)		(2.71	)		(0.24	)		(1.72	)		(0.62	)

Net asset value, end of the period	$	19.31		$	23.09		$	22.10		$	22.69		$	17.57		$	22.89

Total return		(14.40	)%(d)(e)		21.65	%(d)		10.76	%(d)		30.52	%(d)		(15.85	)%		13.19	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	173,730		$	226,838		$	227,501		$	298,705		$	453,085		$	774,304
Net expenses		0.90	%(f)(g)		0.93	%(f)(h)		0.95	%(f)		1.00	%(f)(i)(j)		0.99	%		0.97	%
Gross expenses		0.94	%(g)		0.98	%		1.04	%		1.02	%(i)		0.99	%		0.97	%
Net investment income		0.88	%(g)		0.45	%		0.60	%		0.48	%		0.66	%		1.04	%(b)
Portfolio turnover rate		23	%		71	%		52	%		52	%		44	%		42	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.15, total return would have been 12.80% and the ratio of net investment income to average net assets would have been 0.67%.

(c)	Includes a class action settlement payment of $0.02 per share. See Note 8 of Notes to Financial Statements.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Computed on an annualized basis for periods less than one year.

(h)	Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%.

(i)	Includes interest expense. Without this expense the ratio of net expenses would have been 0.98% and the ratio of gross expenses would have been 1.01%.

(j)	Effective July 1, 2019, the expense limit decreased from 1.15% to 0.95%.

See accompanying notes to financial statements.

| 54

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	17.87		$	16.69		$	15.45		$	12.48		$	18.71		$	19.79

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.01	)		0.00	(b)(c)		0.00	(c)		0.02			0.01			(0.01	)
Net realized and unrealized gain (loss)		(2.28	)		4.98			1.33			3.06			(2.76	)		1.21

Total from Investment Operations		(2.29	)		4.98			1.33			3.08			(2.75	)		1.20

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.01	)		(0.00	)(c)		(0.03	)		(0.00	)(c)		(0.00	)(c)
Net realized capital gains		(0.37	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)		(2.28	)

Total Distributions		(0.37	)		(3.80	)		(0.09	)		(0.11	)		(3.48	)		(2.28	)

Net asset value, end of the period	$	15.21		$	17.87		$	16.69		$	15.45		$	12.48		$	18.71

Total return(d)		(13.00	)%(e)(f)		30.24	%(b)(e)		8.91	%(e)		24.66	%(e)		(14.84	)%		6.28	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	69,042		$	81,493		$	61,571		$	67,525		$	66,376		$	93,751
Net expenses		1.25	%(g)(h)		1.27	%(g)(i)		1.32	%(g)(j)		1.40	%(g)(k)		1.38	%		1.36	%
Gross expenses		1.34	%(h)		1.43	%		1.53	%		1.47	%		1.38	%		1.36	%
Net investment income (loss)		(0.13	)%(h)		0.01	%(b)		0.02	%		0.12	%		0.03	%		(0.03	)%
Portfolio turnover rate		30	%		92	%		105	%		61	%		70	%		92	%

(a)	Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.05), total return would have been 29.95% and the ratio of net investment loss to average net assets would have been (0.25)%.

(c)	Amount rounds to less than $0.01 per share.

(d)	A sales charge for Class A shares is not reflected in total return calculations.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Periods less than one year are not annualized.

(g)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)	Computed on an annualized basis for periods less than one year.

(i)	Effective July 1, 2021, the expense limit decreased from 1.30% to 1.25%.

(j)	Effective July 1, 2020, the expense limit decreased from 1.34% to 1.30%.

(k)	Effective July 1, 2019, the expense limit decreased from 1.45% to 1.34%.

See accompanying notes to financial statements.

55 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	6.94		$	8.34		$	7.84		$	6.41		$	11.67		$	13.26

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.03	)		(0.06	)(b)		(0.05	)		(0.05	)		(0.09	)		(0.10	)
Net realized and unrealized gain (loss)		(0.87	)		2.45			0.64			1.57			(1.69	)		0.79

Total from Investment Operations		(0.90	)		2.39			0.59			1.52			(1.78	)		0.69

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			(0.00	)(c)		(0.01	)		(0.00	)(c)		(0.00	)(c)
Net realized capital gains		(0.37	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)		(2.28	)

Total Distributions		(0.37	)		(3.79	)		(0.09	)		(0.09	)		(3.48	)		(2.28	)

Net asset value, end of the period	$	5.67		$	6.94		$	8.34		$	7.84		$	6.41		$	11.67

Total return(d)		(13.47	)%(e)(f)		29.45	%(b)(e)		8.08	%(e)		23.69	%(e)		(15.51	)%		5.50	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	838		$	966		$	983		$	1,450		$	3,480		$	15,756
Net expenses		2.00	%(g)(h)		2.03	%(g)(i)		2.07	%(g)(j)		2.16	%(g)(k)		2.12	%		2.11	%
Gross expenses		2.09	%(h)		2.19	%		2.28	%		2.23	%		2.12	%		2.11	%
Net investment loss		(0.88	)%(h)		(0.67	)%(b)		(0.71	)%		(0.68	)%		(0.83	)%		(0.79	)%
Portfolio turnover rate		30	%		92	%		105	%		61	%		70	%		92	%

(a)	Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.10), total return would have been 29.09% and the ratio of net investment loss to average net assets would have been (0.99)%.

(c)	Amount rounds to less than $0.01 per share.

(d)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(e)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)	Periods less than one year are not annualized.

(g)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)	Computed on an annualized basis for periods less than one year.

(i)	Effective July 1, 2021, the expense limit decreased from 2.05% to 2.00%.

(j)	Effective July 1, 2020, the expense limit decreased from 2.09% to 2.05%.

(k)	Effective July 1, 2019, the expense limit decreased from 2.20% to 2.09%.

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	18.96		$	17.52		$	16.20		$	13.08		$	19.37		$	19.55

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.01			0.01	(b)		0.04			0.08			0.08			0.07
Net realized and unrealized gain (loss)		(2.42	)		5.29			1.42			3.20			(2.86	)		1.35

Total from Investment Operations		(2.41	)		5.30			1.46			3.28			(2.78	)		1.42

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.07	)		(0.05	)		(0.08	)		(0.03	)		(0.02	)
Net realized capital gains		(0.37	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)		(1.58	)

Total Distributions		(0.37	)		(3.86	)		(0.14	)		(0.16	)		(3.51	)		(1.60	)

Net asset value, end of the period	$	16.18		$	18.96		$	17.52		$	16.20		$	13.08		$	19.37

Total return(c)		(12.89	)%(d)		30.64	%(b)		9.27	%		25.08	%		(14.48	)%		7.17	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,207		$	1,383		$	23		$	21		$	1		$	1
Net expenses(e)		0.95	%(f)		0.97	%(g)		1.02	%(h)		1.03	%(i)		0.96	%		0.96	%(f)
Gross expenses		1.13	%(f)		1.19	%		6.54	%		11.80	%		15.17	%		14.68	%(f)
Net investment income		0.17	%(f)		0.03	%(b)		0.31	%		0.52	%		0.43	%		0.56	%(f)
Portfolio turnover rate		30	%		92	%		105	%		61	%		70	%		92	%(j)

*	From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been 30.37% and the ratio of net investment income to average net assets would have been 0.03%.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.04% to 1.00%.

(i)	Effective July 1, 2019, the expense limit decreased from 1.15% to 1.04%.

(j)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Vaughan Nelson Small Cap Value Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	18.95		$	17.51		$	16.19		$	13.08		$	19.37		$	20.36

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.01			0.06	(b)		0.04			0.05			0.04			0.05
Net realized and unrealized gain (loss)		(2.42	)		5.23			1.41			3.21			(2.84	)		1.25

Total from Investment Operations		(2.41	)		5.29			1.45			3.26			(2.80	)		1.30

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.06	)		(0.04	)		(0.07	)		(0.01	)		(0.01	)
Net realized capital gains		(0.37	)		(3.79	)		(0.09	)		(0.08	)		(3.48	)		(2.28	)

Total Distributions		(0.37	)		(3.85	)		(0.13	)		(0.15	)		(3.49	)		(2.29	)

Net asset value, end of the period	$	16.17		$	18.95		$	17.51		$	16.19		$	13.08		$	19.37

Total return		(12.89	)%(c)(d)		30.61	%(b)(c)		9.23	%(c)		24.88	%(c)		(14.61	)%		6.60	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	59,981		$	66,054		$	49,315		$	44,482		$	58,538		$	176,940
Net expenses		1.00	%(e)(f)		1.02	%(e)(g)		1.07	%(e)(h)		1.15	%(e)(i)		1.12	%		1.11	%
Gross expenses		1.09	%(f)		1.18	%		1.28	%		1.23	%		1.12	%		1.11	%
Net investment income		0.12	%(f)		0.28	%(b)		0.26	%		0.35	%		0.22	%		0.23	%
Portfolio turnover rate		30	%		92	%		105	%		61	%		70	%		92	%

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.00, total return would have been 30.26% and the ratio of net investment income to average net assets would have been 0.01%.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Effective July 1, 2021, the expense limit decreased from 1.05% to 1.00%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.09% to 1.05%.

(i)	Effective July 1, 2019, the expense limit decreased from 1.20% to 1.09%.

See accompanying notes to financial statements.

| 58

Notes to Financial Statements

June 30, 2022 (Unaudited)

1. Organization. Loomis Sayles Funds II, Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles Funds II:

Loomis Sayles International Growth Fund (the “International Growth Fund”)

Natixis Funds Trust I:

Natixis Oakmark International Fund

Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”)

Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)

Natixis Funds Trust II:

Natixis Oakmark Fund

Vaughan Nelson Mid Cap Fund (the “Mid Cap Fund”)

Each Fund is a diversified investment company, except for International Growth Fund, which is a non-diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares.

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or sub-adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available,

59 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

As of June 30, 2022, securities held by the Funds were fair valued as follows:


Fund	Equity securities¹		Percentage of Net Assets
International Growth Fund	$	13,939,677		65.8	%
Natixis Oakmark International Fund		349,037,004		89.3	%

¹	Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Dividends reinvested and stock dividends are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

| 60

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d. Forward Foreign Currency Contracts. A Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

e. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2022 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or are expected to be filed and paid are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

Certain Funds have filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries (EU reclaims) and may continue to make such filings when it is determined to be in the best interest of the Funds and their shareholders. These filings are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the European Union, as well as a number of related judicial proceedings. EU reclaims are recognized by a Fund when deemed more likely than not to be collected, and are reflected as a reduction of foreign taxes withheld in the Statements of Operations. Any related receivable is reflected as tax reclaims receivable in the Statements of Assets and Liabilities. Under certain circumstances, EU reclaims may be subject to closing agreements with the Internal Revenue Service (IRS), which may materially reduce the reclaim amounts realized by the Funds. Fees and expenses associated with closing agreements will be reflected in the Statements of Operations when it is determined that a closing agreement with the IRS is required.

f. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as deferred Trustees’ fees, distributions in excess of income and/or

61 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

capital gain, forward foreign currency contract mark-to-market, distribution re-designations, foreign currency gains and losses, non-deductible expenses, net operating losses, passive foreign investment company adjustments, return of capital distributions received and deferral of EU reclaims. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to wash sales, forward foreign currency contract mark-to-market, return of capital distributions received, net operating losses, deferral of EU reclaims, deferred Trustees’ fees and passive foreign investment company adjustments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2021 was as follows:


	2021 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total
International Growth Fund	$	410,212	$	—	$	410,212
Natixis Oakmark Fund		1,954,068		22,797,197		24,751,265
Natixis Oakmark International Fund		8,301,657		—		8,301,657
U.S. Equity Opportunities Fund		7,131,636		105,015,654		112,147,290
Mid Cap Fund		11,228,135		41,214,262		52,442,397
Small Cap Value Fund		20,173,469		6,185,028		26,358,497

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2021, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	International Growth Fund			Natixis Oakmark Fund		Natixis Oakmark International Fund			U.S. Equity Opportunities Fund		Mid Cap Fund			Small Cap Value Fund
Capital loss carryforward:
Long-term:
No expiration date	$	—		$	—	$	(88,513,660	)	$	—	$	—		$	—

Late-year ordinary and post-October capital loss deferrals*	$	(462,102	)	$	—	$	(37,409	)	$	—	$	(747,693	)	$	—

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Loomis Sayles International Growth Fund, Natixis Oakmark International Fund and Mid Cap Fund are deferring capital and foreign currency losses.

As of June 30, 2022, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	International Growth Fund			Natixis Oakmark Fund			Natixis Oakmark International Fund			U.S. Equity Opportunities Fund			Mid Cap Fund			Small Cap Value Fund
Federal tax cost	$	27,689,948		$	418,243,759		$	459,680,675		$	711,279,436		$	287,632,295		$	129,663,463

Gross tax appreciation	$	363,254		$	26,922,218		$	18,961,094		$	168,485,511		$	26,471,544		$	12,296,049
Gross tax depreciation		(6,907,897	)		(47,157,635	)		(92,111,499	)		(84,414,083	)		(25,646,227	)		(11,013,235	)

Net tax appreciation (depreciation)	$	(6,544,643	)	$	(20,235,417	)	$	(73,150,405	)	$	84,071,428		$	825,317		$	1,282,814

| 62

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

g. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2022, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h. Securities Lending. Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2022, none of the Funds had loaned securities under this agreement.

i. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•

Level 1 – quoted prices in active markets for identical assets or liabilities;

•

Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

•

Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

63 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2022, at value:

International Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	953,283	$	—	$	953,283
Belgium		—		476,644		—		476,644
China		3,537,806		2,594,231		—		6,132,037
Denmark		—		1,009,211		—		1,009,211
France		—		989,306		—		989,306
Germany		—		556,747		—		556,747
Japan		—		1,034,312		—		1,034,312
Macau		—		245,613		—		245,613
Netherlands		—		818,256		—		818,256
Switzerland		462,764		1,189,471		—		1,652,235
United Kingdom		—		2,085,098		—		2,085,098
United States		758,874		1,987,505		—		2,746,379
All Other Common Stocks(a)		1,950,556		—		—		1,950,556

Total Common Stocks		6,710,000		13,939,677		—		20,649,677

Short-Term Investments		—		495,628		—		495,628

Total	$	6,710,000	$	14,435,305	$	—	$	21,145,305

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Natixis Oakmark Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	389,234,193	$	—	$	—	$	389,234,193
Short-Term Investments		—		8,774,149		—		8,774,149

Total	$	389,234,193	$	8,774,149	$	—	$	398,008,342

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

| 64

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

Natixis Oakmark International Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	6,140,816	$	—	$	6,140,816
Belgium		—		6,871,507		—		6,871,507
China		4,591,887		26,210,867		—		30,802,754
Finland		—		2,456,130		—		2,456,130
France		—		53,328,848		—		53,328,848
Germany		—		98,503,319		—		98,503,319
Hong Kong		—		6,269,373		—		6,269,373
India		—		3,630,249		—		3,630,249
Italy		—		12,131,925		—		12,131,925
Japan		—		5,621,335		—		5,621,335
Korea		—		5,026,892		—		5,026,892
Netherlands		—		12,655,081		—		12,655,081
Spain		—		4,940,363		—		4,940,363
Sweden		—		17,610,664		—		17,610,664
Switzerland		—		38,378,956		—		38,378,956
United Kingdom		5,231,599		44,159,884		—		49,391,483
All Other Common Stocks(a)		17,984,867		—		—		17,984,867

Total Common Stocks		27,808,353		343,936,209		—		371,744,562

Preferred Stocks(a)		—		5,100,795		—		5,100,795
Short-Term Investments		—		9,684,913		—		9,684,913

Total	$	27,808,353	$	358,721,917	$	—	$	386,530,270

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

U.S. Equity Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	768,650,051	$	—	$	—	$	768,650,051
Short-Term Investments		—		26,700,813		—		26,700,813

Total	$	768,650,051	$	26,700,813	$	—	$	795,350,864

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Mid Cap Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	265,687,465	$	—	$	—	$	265,687,465
Short-Term Investments		—		22,770,147		—		22,770,147

Total	$	265,687,465	$	22,770,147	$	—	$	288,457,612

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

65 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

Small Cap Value Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	122,285,606	$	—	$	—	$	122,285,606
Short-Term Investments		—		8,660,671		—		8,660,671

Total	$	122,285,606	$	8,660,671	$	—	$	130,946,277

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Natixis Oakmark International Fund used during the period include forward foreign currency contracts.

Natixis Oakmark International Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2022, Natixis Oakmark International Fund engaged in forward foreign currency transactions for hedging purposes.

Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2022, as reflected within the Statements of Operations were as follows:

Net Realized Gain (Loss) on:

Forward foreign
currency

contracts

Foreign exchange contracts

473,946



Net Change in Unrealized Appreciation (Depreciation) on:	Forward foreign currency contracts
Foreign exchange contracts	$	94,327

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2022:


Natixis Oakmark International Fund	Forwards
Average Notional Amount Outstanding		1.49	%
Highest Notional Amount Outstanding		2.03	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of June 30, 2022		0.00	%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

5. Purchases and Sales of Securities. For the six months ended June 30, 2022, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
International Growth Fund	$	4,783,125	$	1,523,329
Natixis Oakmark Fund		257,872,080		114,315,527
Natixis Oakmark International Fund		88,099,159		133,135,132
U.S. Equity Opportunities Fund		205,950,314		210,073,390
Mid Cap Fund		72,060,273		115,210,106
Small Cap Value Fund		41,200,382		47,294,217

| 66

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to International Growth Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreement, International Growth Fund pays a management fee at the annual rate of 0.75%, calculated daily and payable monthly, based on the Fund’s average daily net assets.

Natixis Advisors, LLC (“Natixis Advisors”) serves as investment adviser to Natixis Oakmark Fund, Natixis Oakmark International Fund, U.S. Equity Opportunities Fund, Mid Cap Fund and Small Cap Value Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


	Percentage of Average Daily Net Assets
Fund	First $150 million			Next $50 million			Next $300 million			Next $500 million			Next $500 million			Over $1.5 billion
Natixis Oakmark Fund		0.70	%		0.70	%		0.65	%		0.60	%		0.60	%		0.60	%
Natixis Oakmark International Fund		0.85	%		0.75	%		0.75	%		0.75	%		0.70	%		0.70	%
U.S. Equity Opportunities Fund		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%
Mid Cap Fund		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%		0.70	%
Small Cap Value Fund		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%		0.85	%

Effective July 1, 2022, U.S. Equity Opportunities Fund pays a management fee at the annual rate of 0.70% of the Fund’s average daily net assets, calculated daily and payable monthly.

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.


Natixis Oakmark Fund		Harris Associates L.P. (“Harris”)
Natixis Oakmark International Fund		Harris
U.S. Equity Opportunities Fund		Harris Loomis Sayles
Mid Cap Fund		Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)
Small Cap Value Fund		Vaughan Nelson

Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC.

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


		Percentage of Average Daily Net Assets
Fund	Subadviser	First $150 million			Next $50 million			Next $800 million			Next $500 million			Over $1.5 billion
Natixis Oakmark Fund	Harris		0.52	%		0.52	%		0.50	%		0.50	%		0.50	%
Natixis Oakmark International Fund	Harris		0.60	%		0.50	%		0.50	%		0.45	%		0.45	%
U.S. Equity Opportunities Fund
Large Cap Value Segment	Harris		0.52	%		0.52	%		0.52	%		0.52	%		0.52	%
All Cap Growth Segment	Loomis Sayles		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Mid Cap Fund	Vaughan Nelson		0.47	%		0.47	%		0.47	%		0.47	%		0.44	%
Small Cap Value Fund	Vaughan Nelson		0.52	%		0.52	%		0.52	%		0.52	%		0.52	%

Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

Loomis Sayles and Natixis Advisors have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2023, 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.

67 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

For the six months ended June 30, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
International Growth Fund		1.20	%		1.95	%		0.90	%		0.95	%
Natixis Oakmark Fund		1.05	%		1.80	%		0.75	%		0.80	%
Natixis Oakmark International Fund		1.15	%		1.90	%		0.85	%		0.90	%
U.S. Equity Opportunities Fund		1.20	%		1.95	%		0.90	%		0.95	%
Mid Cap Fund		1.15	%		1.90	%		0.85	%		0.90	%
Small Cap Value Fund		1.25	%		2.00	%		0.95	%		1.00	%

Effective July 1, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements for U.S. Equity Opportunities Fund are as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y
U.S. Equity Opportunities Fund		1.15	%		1.90	%		0.85	%		0.90	%

This new undertaking is in effect until April 30, 2024, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

Loomis Sayles and Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fee or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended June 30, 2022, the management fees and waiver of management fees for each Fund were as follows:


Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
International Growth Fund	$	82,245	$	71,730	$	10,515		0.75	%		0.10	%
Natixis Oakmark Fund		1,558,312		78,556		1,479,756		0.67	%		0.64	%
Natixis Oakmark International Fund		1,816,250		498,099		1,318,151		0.78	%		0.57	%
U.S. Equity Opportunities Fund		3,569,168		—		3,569,168		0.75	%		0.75	%
Mid Cap Fund		1,214,547		49,737		1,164,810		0.75	%		0.72	%
Small Cap Value Fund		612,499		64,521		547,978		0.85	%		0.76	%

¹	Management fee waivers are subject to possible recovery until December 31, 2023.

No expenses were recovered for any of the Funds during the six months ended June 30, 2022 under the terms of the expense limitation agreements.

b. Service and Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

| 68

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2022, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
International Growth Fund	$	137	$	22	$	65
Natixis Oakmark Fund		266,237		73,323		219,969
Natixis Oakmark International Fund		174,366		71,997		215,993
U.S. Equity Opportunities Fund		802,552		59,867		179,601
Mid Cap Fund		44,509		12,246		36,739
Small Cap Value Fund		93,934		1,135		3,403

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 six months ended June 30, 2022, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
International Growth Fund	$	4,852
Natixis Oakmark Fund		102,769
Natixis Oakmark International Fund		102,604
U.S. Equity Opportunities Fund		210,352
Mid Cap Fund		71,615
Small Cap Value Fund		31,883

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 six months ended June 30, 2022, 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
International Growth Fund	$	62
Natixis Oakmark Fund		127,274
Natixis Oakmark International Fund		382,206
U.S. Equity Opportunities Fund		137,154
Mid Cap Fund		98,362
Small Cap Value Fund		42,392

69 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

As of June 30, 2022, 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
International Growth Fund	$	10
Natixis Oakmark Fund		2,177
Natixis Oakmark International Fund		6,220
U.S. Equity Opportunities Fund		2,622
Mid Cap Fund		1,854
Small Cap Value Fund		761

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 six months ended June 30, 2022 was as follows:


Fund	Commissions
Natixis Oakmark Fund	$	44,887
Natixis Oakmark International Fund		11,221
U.S. Equity Opportunities Fund		12,366
Mid Cap Fund		492
Small Cap Value Fund		641

f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. 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.

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.

For the six months ended June 30, 2022, net depreciation in the value of participants’ deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:


Fund	Amount
Natixis Oakmark Fund	$	(93,831	)
Natixis Oakmark International Fund		(15,238	)
U.S. Equity Opportunities Fund		(71,292	)
Mid Cap Fund		(25,832	)
Small Cap Value Fund		(31,160	)

| 70

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

Certain officers and employees of Natixis Advisors, Loomis Sayles and affiliates are also officers and/or Trustees of the Trusts.

g. Affiliated Ownership. As of June 30, 2022, Natixis and affiliates held shares of International Growth Fund representing 98% of the Fund’s net assets.

Investment activities of affiliated shareholders could have material impacts on the Fund.

h. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2022, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:


	Reimbursement of Transfer Agency Expenses
Fund	Class N
International Growth Fund	$	913
Natixis Oakmark Fund		899
Natixis Oakmark International Fund		901
U.S. Equity Opportunities Fund		883
Mid Cap Fund		951
Small Cap Value Fund		900

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 six months ended June 30, 2022, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y
International Growth Fund	$	159	$	26	$	913	$	2,765
Natixis Oakmark Fund		89,050		24,574		899		81,923
Natixis Oakmark International Fund		120,918		50,278		901		230,258
U.S. Equity Opportunities Fund		189,922		14,130		883		77,664
Mid Cap Fund		16,071		4,421		951		88,891
Small Cap Value Fund		38,321		461		900		34,037

8. Class Action Settlements. During the six months ended June 30, 2022, Mid Cap Fund received a payment of $238,726 as part of a class action settlement related to a security previously held in the Fund’s portfolio of investments. The payment has been included in “Class Action Settlements” on the Statements of Operations.

9. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2022, none of the Funds had borrowings under this agreement.

10. Risk. The Funds’ investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

71 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

The International Growth Fund may invest to a significant extent in variable interest entity (“VIE”) structures. VIE structures can vary, but generally consist of a U.S.-listed company with contractual arrangements, through one or more wholly-owned special purpose vehicles, with a Chinese company that ultimately provides the U.S.-listed company with contractual rights to obtain economic benefits from the Chinese company. The VIE structure enables foreign investors, such as the Fund, to obtain investment exposure similar to that of an equity owner in a Chinese company in situations in which the Chinese government has restricted or prohibited the ownership of such company by foreign investors. The Fund’s exposure to VIE structures may pose additional risks because the VIE structure is not formally recognized under Chinese law. The Chinese government may cease to tolerate VIE structures at any time or impose new restrictions. In addition, Chinese companies using the VIE structure, and listed on stock exchanges in the U.S., could also face delisting or other ramifications for failure to meet the expectations and/or requirements of the U.S. Securities and Exchange Commission, the Public Company Accounting Oversight Board, or other U.S. regulators. Any of these risks could reduce the liquidity and value of these investments or render them valueless.

International Growth Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

Global markets have experienced periods of high volatility triggered by the Covid-19 pandemic. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Such effects could impair the Funds’ ability to maintain operational standards, disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments and negatively impact the Funds’ performance.

Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region and around the world are impossible to predict, but could be significant and have a severe adverse effect on the region and around the world, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.

11. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2022, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


	Number of 5% Account Holders		Percentage of Ownership
Fund
Natixis Oakmark Fund		1		5.85	%
Natixis Oakmark International Fund		1		26.48	%
U.S. Equity Opportunities Fund		1		6.83	%
Mid Cap Fund		1		24.65	%
Small Cap Value Fund		1		7.43	%

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.

12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Six Months Ended June 30, 2022				Year Ended December 31, 2021
International Growth Fund	Shares		Amount		Shares		Amount
Class A
Issued from the sale of shares		3,439	$	27,999		11,486	$	119,493
Issued in connection with the reinvestment of distributions		—		—		178		1,712

Net change		3,439	$	27,999		11,664	$	121,205

| 72

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
International Growth Fund	Shares			Amount			Shares			Amount
Class C
Issued from the sale of shares		—		$	—			5,141		$	52,756
Issued in connection with the reinvestment of distributions		—			—			56			540
Redeemed		(3,928	)		(33,853	)		(1,268	)		(12,908	)

Net change		(3,928	)	$	(33,853	)		3,929		$	40,388

Class N
Issued from the sale of shares		—		$	—			940,733		$	10,000,000
Issued in connection with the reinvestment of distributions		—			—			517			5,372
Redeemed		—			—			(46,992	)		(500,000	)

Net change		—		$	—			894,258		$	9,505,372

Class Y
Issued from the sale of shares		369,884		$	3,151,576			24,598		$	256,782
Issued in connection with the reinvestment of distributions		—			—			388			3,739
Redeemed		(2,737	)		(19,622	)		(2,953	)		(29,891	)

Net change		367,147		$	3,131,954			22,033		$	230,630

Increase from capital share transactions		366,658		$	3,126,100			931,884		$	9,897,595


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
Natixis Oakmark Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		671,204		$	18,451,114			691,558		$	20,206,685
Issued in connection with the reinvestment of distributions		93,063			2,562,005			463,894			13,477,187
Redeemed		(354,549	)		(9,529,571	)		(855,457	)		(24,491,426	)

Net change		409,718		$	11,483,548			299,995		$	9,192,446

Class C
Issued from the sale of shares		837,911		$	19,505,341			546,929		$	13,338,620
Issued in connection with the reinvestment of distributions		41,394			917,292			147,029			3,458,822
Redeemed		(271,279	)		(5,846,640	)		(439,521	)		(10,138,945	)

Net change		608,026		$	14,575,993			254,437		$	6,658,497

Class N
Issued from the sale of shares		—		$	—			20,230		$	668,794
Issued in connection with the reinvestment of distributions		266			7,860			1,354			42,243
Redeemed		(2,888	)		(81,793	)		(14,413	)		(395,951	)

Net change		(2,622	)	$	(73,933	)		7,171		$	315,086

Class Y
Issued from the sale of shares		5,521,761		$	169,041,222			2,239,599		$	69,629,845
Issued in connection with the reinvestment of distributions		82,881			2,442,504			194,941			6,059,178
Redeemed		(1,641,417	)		(46,515,973	)		(767,848	)		(22,108,885	)

Net change		3,963,225		$	124,967,753			1,666,692		$	53,580,138

Increase from capital share transactions		4,978,347		$	150,953,361			2,228,295		$	69,746,167

73 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
Natixis Oakmark International Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		956,520		$	13,457,109			2,335,450		$	36,472,444
Issued in connection with the reinvestment of distributions		—			—			105,442			1,593,676
Redeemed		(1,135,057	)		(15,555,728	)		(1,647,832	)		(25,699,049	)

Net change		(178,537	)	$	(2,098,619	)		793,060		$	12,367,071

Class C
Issued from the sale of shares		63,166		$	876,433			335,969		$	5,138,230
Issued in connection with the reinvestment of distributions		—			—			25,276			376,368
Redeemed		(890,781	)		(12,139,584	)		(2,680,195	)		(40,587,344	)

Net change		(827,615	)	$	(11,263,151	)		(2,318,950	)	$	(35,072,746	)

Class N
Issued from the sale of shares		130,830		$	1,841,030			27,769		$	415,638
Issued in connection with the reinvestment of distributions		—			—			837			12,581
Redeemed		(18,374	)		(235,062	)		(2,541	)		(37,341	)

Net change		112,456		$	1,605,968			26,065		$	390,878

Class Y
Issued from the sale of shares		6,307,757		$	88,072,235			5,468,533		$	86,311,348
Issued in connection with the reinvestment of distributions		—			—			353,698			5,316,490
Redeemed		(8,863,932	)		(123,662,679	)		(4,621,536	)		(71,233,588	)

Net change		(2,556,175	)	$	(35,590,444	)		1,200,695		$	20,394,250

Decrease from capital share transactions		(3,449,871	)	$	(47,346,246	)		(299,130	)	$	(1,920,547	)


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
U.S. Equity Opportunities Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		251,285		$	9,733,203			706,028		$	30,893,730
Issued in connection with the reinvestment of distributions		609,502			23,904,684			1,609,947			68,881,940
Redeemed		(893,744	)		(33,480,035	)		(1,953,593	)		(84,776,070	)

Net change		(32,957	)	$	157,852			362,382		$	14,999,600

Class C
Issued from the sale of shares		101,681		$	1,965,407			226,043		$	5,356,200
Issued in connection with the reinvestment of distributions		189,235			3,599,203			475,273			10,545,794
Redeemed		(530,488	)		(9,715,198	)		(949,764	)		(22,561,088	)

Net change		(239,572	)	$	(4,150,588	)		(248,448	)	$	(6,659,094	)

Class N
Issued from the sale of shares		721		$	30,208			—		$	—
Issued in connection with the reinvestment of distributions		104			5,180			293			15,616
Redeemed		—			—			(620	)		(35,725	)

Net change		825		$	35,388			(327	)	$	(20,109	)

Class Y
Issued from the sale of shares		1,233,638		$	56,817,956			1,490,330		$	81,108,161
Issued in connection with the reinvestment of distributions		152,703			7,564,885			370,262			19,743,173
Redeemed		(840,966	)		(39,467,898	)		(1,682,880	)		(89,109,967	)

Net change		545,375		$	24,914,943			177,712		$	11,741,367

Increase from capital share transactions		273,671		$	20,957,595			291,319		$	20,061,764

| 74

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

12. Capital Shares (continued).


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
Mid Cap Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		128,744		$	2,722,984			261,646		$	6,416,364
Issued in connection with the reinvestment of distributions		37,332			792,941			216,292			4,872,528
Redeemed		(108,725	)		(2,260,989	)		(213,572	)		(5,159,634	)

Net change		57,351		$	1,254,936			264,366		$	6,129,258

Class C
Issued from the sale of shares		9,726		$	180,754			16,158		$	374,819
Issued in connection with the reinvestment of distributions		13,437			257,591			85,496			1,752,803
Redeemed		(85,464	)		(1,623,439	)		(241,770	)		(5,500,556	)

Net change		(62,301	)	$	(1,185,094	)		(140,116	)	$	(3,372,934	)

Class N
Issued from the sale of shares		126,558		$	2,691,632			2,826,157		$	72,192,384
Issued in connection with the reinvestment of distributions		89,965			1,942,339			531,924			12,118,098
Redeemed		(388,449	)		(8,384,460	)		(205,461	)		(5,123,004	)

Net change		(171,926	)	$	(3,750,489	)		3,152,620		$	79,187,478

Class Y
Issued from the sale of shares		648,814		$	13,964,887			1,675,522		$	41,044,197
Issued in connection with the reinvestment of distributions		206,663			4,470,118			1,387,574			31,819,928
Redeemed		(1,683,374	)		(36,465,862	)		(3,531,602	)		(86,803,876	)

Net change		(827,897	)	$	(18,030,857	)		(468,506	)	$	(13,939,751	)

Increase (decrease) from capital share transactions		(1,004,773	)	$	(21,711,504	)		2,808,364		$	68,004,051


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
Small Cap Value Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		190,513		$	3,276,875			642,790		$	12,042,869
Issued in connection with the reinvestment of distributions		96,328			1,617,322			782,913			13,763,408
Redeemed		(307,524	)		(5,223,825	)		(555,154	)		(10,594,338	)

Net change		(20,683	)	$	(329,628	)		870,549		$	15,211,939

Class C
Issued from the sale of shares		21,522		$	137,660			6,936		$	66,135
Issued in connection with the reinvestment of distributions		8,400			52,754			49,731			339,165
Redeemed		(21,571	)		(136,763	)		(35,173	)		(333,625	)

Net change		8,351		$	53,651			21,494		$	71,675

Class N
Issued from the sale of shares		314		$	5,482			59,076		$	1,134,239
Issued in connection with the reinvestment of distributions		1,519			27,118			12,510			233,321
Redeemed		(152	)		(2,674	)		(1	)		(27	)

Net change		1,681		$	29,926			71,585		$	1,367,533

Class Y
Issued from the sale of shares		1,153,819		$	20,328,302			793,405		$	16,230,504
Issued in connection with the reinvestment of distributions		79,249			1,413,017			591,535			11,020,292
Redeemed		(1,008,901	)		(17,564,997	)		(714,903	)		(14,531,447	)

Net change		224,167		$	4,176,322			670,037		$	12,719,349

Increase from capital share transactions		213,516		$	3,930,271			1,633,665		$	29,370,496

75 |

LOGO

Semiannual Report

June 30, 2022

Loomis Sayles High Income Fund

Loomis Sayles Investment Grade Bond Fund

Loomis Sayles Strategic Alpha Fund

Loomis Sayles Strategic Income Fund

Table of Contents


Portfolio Review			1
Portfolio of Investments			13
Financial Statements			61
Notes to Financial Statements			83

LOGO

LOOMIS SAYLES HIGH INCOME FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		Class A NEFHX

Brian P. Kennedy		Class C NEHCX

Elaine M. Stokes		Class N LSHNX

Todd P. Vandam, CFA^®		Class Y NEHYX

Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return.

Average Annual Total Returns — June 30, 2022³



																Expense Ratios⁴

	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-16.57	%		-16.68	%		0.78	%		3.68	%		—	%		0.95	%		0.76	%

Class A
NAV		-16.63			-16.85			0.52			3.40			—			1.20			1.01
With 4.25% Maximum Sales Charge		-20.17			-20.46			-0.34			2.95			—

Class C
NAV		-17.11			-17.65			-0.26			2.77			—			1.95			1.76
With CDSC¹		-17.92			-18.44			-0.26			2.77			—

Class N (Inception 11/30/16)
NAV		-16.51			-16.60			0.87			—			1.95			0.87			0.71

Comparative Performance
Bloomberg U.S. Corporate High-Yield Bond Index²		-14.19			-12.81			2.10			4.47			3.09

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Class C shares performance assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

Bloomberg U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. Bloomberg U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg U.S. Universal and Global High-Yield Indices.

3	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

1 |

LOOMIS SAYLES INVESTMENT GRADE BOND FUND



Managers	Symbols

Matthew J. Eagan, CFA^®	Class A	LIGRX

Brian P. Kennedy	Class C	LGBCX

Elaine M. Stokes	Class N	LGBNX

Loomis, Sayles & Company, L.P.	Class Y	LSIIX

	Admin Class	LIGAX

Investment Goal

The Fund seeks high total investment return through a combination of current income and capital appreciation.

Average Annual Total Returns — June 30, 2022⁴



																Expense Ratios⁵

	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-10.08	%		-10.04	%		2.19	%		2.93	%		—	%		0.54	%		0.50	%

Class A
NAV		-10.19			-10.20			1.94			2.67			—			0.79			0.75
With 4.25% Maximum Sales Charge		-14.02			-14.00			1.05			2.22			—

Class C
NAV		-10.56			-10.92			1.17			2.05			—			1.54			1.50
With CDSC¹		-11.45			-11.78			1.17			2.05			—

Class N (Inception 2/1/13)
NAV		-10.06			-9.92			2.25			—			2.43			0.47			0.45

Admin Class
NAV		-10.25			-10.45			1.71			2.43			—			1.04			1.00

Comparative Performance
Bloomberg U.S. Government/Credit Bond Index²		-11.05			-10.85			1.05			1.67			1.64
Bloomberg U.S. Aggregate Bond Index³		-10.35			-10.29			0.88			1.54			1.53

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index. The U.S. Government/Credit Bond Index includes investment grade, US dollar denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the Bloomberg U.S. Aggregate Index.

Bloomberg U.S. Aggregate Bond Index is a broad based index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the U.S. Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

4	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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LOOMIS SAYLES STRATEGIC ALPHA FUND



Managers		Symbols

Matthew J. Eagan, CFA^®		Class A LABAX

Brian P. Kennedy		Class C LABCX

Elaine M. Stokes		Class N LASNX

Todd P. Vandam, CFA^®		Class Y LASYX

Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

Average Annual Total Returns — June 30, 2022³



																Expense Ratios⁴

	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-9.39	%		-9.87	%		1.53	%		2.36	%		—	%		0.72	%		0.72	%

Class A
NAV		-9.48			-10.07			1.29			2.11			—			0.97			0.97
With 4.25% Maximum Sales Charge		-13.33			-13.91			0.41			1.66			—

Class C
NAV		-9.84			-10.72			0.52			1.51			—			1.73			1.73
With CDSC¹		-10.73			-11.60			0.52			1.51			—

Class N (Inception 5/1/17)
NAV		-9.35			-9.72			1.61			—			1.54			0.67			0.67

Comparative Performance
ICE BofA U.S. 3-Month Treasury Bill Index²		0.14			0.17			1.11			0.64			1.10
ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points²		1.63			3.17			3.62			4.11			3.55

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

Effective May 1, 2022, the ICE BofA U.S. 3-Month Treasury Bill Index replaced the 3-Month LIBOR as the Fund’s primary benchmark and the ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points was added as the Fund’s secondary benchmark. The ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index that is comprised of a single U.S. Treasury issue with approximately three months to final maturity, purchased at the beginning of each month and held for one full month. The Fund believes, given the discontinuation of LIBOR, it is appropriate and necessary to transition to new benchmarks for the Fund.

3	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

3 |

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.

Average Annual Total Returns — June 30, 2022⁴



																Expense Ratios⁵

	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y
NAV		-13.47	%		-13.02	%		0.03	%		3.03	%		—	%		0.72	%		0.70	%

Class A
NAV		-13.63			-13.23			-0.23			2.76			—			0.97			0.95
With 4.25% Maximum Sales Charge		-17.30			-16.95			-1.09			2.32			—

Class C
NAV		-13.94			-13.90			-0.97			2.14			—			1.72			1.70
With CDSC¹		-14.79			-14.74			-0.97			2.14			—

Class N (Inception 2/1/13)
NAV		-13.44			-12.97			0.11			—			2.26			0.65			0.65

Admin Class
NAV		-13.71			-13.43			-0.45			2.52			—			1.22			1.20

Comparative Performance
Bloomberg U.S. Aggregate Bond Index²		-10.35			-10.29			0.88			1.54			1.53
Bloomberg U.S. Universal Bond Index³		-10.93			-10.89			0.94			1.83			1.73

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

1	Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years.

Bloomberg U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

Bloomberg U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index.

4	Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

| 4

ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis affiliates services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

CFA^® and Chartered Financial Analyst^® are registered trademarks owned by the CFA Institute.

5 |

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The second line in the table for each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.


LOOMIS SAYLES HIGH INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$833.70		$4.55
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01
Class C
Actual		$1,000.00		$828.90		$7.94
Hypothetical (5% return before expenses)		$1,000.00		$1,016.12		$8.75
Class N
Actual		$1,000.00		$834.90		$3.18
Hypothetical (5% return before expenses)		$1,000.00		$1,021.32		$3.51
Class Y
Actual		$1,000.00		$834.30		$3.41
Hypothetical (5% return before expenses)		$1,000.00		$1,021.08		$3.76

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

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LOOMIS SAYLES INVESTMENT GRADE BOND FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$898.10		$3.53
Hypothetical (5% return before expenses)		$1,000.00		$1,021.08		$3.76
Class C
Actual		$1,000.00		$894.40		$7.05
Hypothetical (5% return before expenses)		$1,000.00		$1,017.36		$7.50
Class N
Actual		$1,000.00		$899.40		$2.12
Hypothetical (5% return before expenses)		$1,000.00		$1,022.56		$2.26
Class Y
Actual		$1,000.00		$899.20		$2.35
Hypothetical (5% return before expenses)		$1,000.00		$1,022.32		$2.51
Admin Class
Actual		$1,000.00		$897.50		$4.70
Hypothetical (5% return before expenses)		$1,000.00		$1,019.84		$5.01

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.75%, 1.50%, 0.45%, 0.50% and 1.00% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).


LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$905.20		$4.68
Hypothetical (5% return before expenses)		$1,000.00		$1,019.89		$4.96
Class C
Actual		$1,000.00		$901.60		$8.20
Hypothetical (5% return before expenses)		$1,000.00		$1,016.17		$8.70
Class N
Actual		$1,000.00		$906.50		$3.21
Hypothetical (5% return before expenses)		$1,000.00		$1,021.42		$3.41
Class Y
Actual		$1,000.00		$906.10		$3.50
Hypothetical (5% return before expenses)		$1,000.00		$1,021.13		$3.71

Expenses are equal to the Fund’s annualized expense ratio: 0.99%, 1.74%, 0.68% and 0.74% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

7 |


LOOMIS SAYLES STRATEGIC INCOME FUND	BEGINNING ACCOUNT VALUE 1/1/2022		ENDING ACCOUNT VALUE 6/30/2022		EXPENSES PAID DURING PERIOD* 1/1/2022 – 6/30/2022
Class A
Actual		$1,000.00		$863.70		$4.39
Hypothetical (5% return before expenses)		$1,000.00		$1,020.08		$4.76
Class C
Actual		$1,000.00		$860.60		$7.84
Hypothetical (5% return before expenses)		$1,000.00		$1,016.36		$8.50
Class N
Actual		$1,000.00		$865.60		$2.91
Hypothetical (5% return before expenses)		$1,000.00		$1,021.67		$3.16
Class Y
Actual		$1,000.00		$865.30		$3.24
Hypothetical (5% return before expenses)		$1,000.00		$1,021.32		$3.51
Admin Class
Actual		$1,000.00		$862.90		$5.54
Hypothetical (5% return before expenses)		$1,000.00		$1,018.84		$6.01

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.95%, 1.70%, 0.63%, 0.70% and 1.20% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

| 8

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. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. 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 at its June Board meeting.

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, if any, and other expenses, including information comparing the Funds’ advisory fees, if any, 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 , including how profitability is determined for the Funds, 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, allocations to brokers affiliated with the Adviser and 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, liquidity 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, where available, 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, total return information for various periods, third-party performance rankings for various periods comparing a Fund against similarly categorized funds, and performance ratings provided by a different third-party rating organization. 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, the Trustees are periodically provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings, both at the Board and at the Committee level.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2022. 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 also 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 Natixis family of funds.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“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, such as new rules relating to the fair valuation of investments and the use of derivatives.

9 |

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of Loomis Sayles High Income Fund, Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Strategic Alpha Fund and Loomis Sayles Strategic Income Fund 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. The Trustees also received information about how comparative peer groups are constructed. 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, 2021, 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 High Income Fund		92	%		65	%		56	%
Loomis Sayles Investment Grade Bond Fund		21	%		15	%		6	%
Loomis Sayles Strategic Alpha Fund		59	%		40	%		49	%
Loomis Sayles Strategic Income Fund		24	%		72	%		78	%

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 shorter-term performance has been strong relative to its category; (3) that the Fund had outperformed its relevant performance benchmark for the one-year period ended December 31, 2021; and (4) that the Fund’s long-term (10-year) performance was 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 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 fees, 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 demonstrated its intention to have competitive fee levels by making 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 all of the Funds included have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds under their expense limitation agreements. The Trustees also considered that the current expenses for Loomis Sayles Strategic Alpha Fund were below the Fund’s expense limitation. They further noted that management had proposed to reduce the expense cap for Loomis Sayles Investment Grade Bond Fund and Loomis Sayles Strategic Income Fund on all share classes, effective as of July 1, 2022.

The Trustees noted that each of Loomis Sayles Investment Grade Bond Fund, Loomis Sayles High Income Fund, and Loomis Sayles Strategic Income Fund had a total advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees

| 10

considered the factors that management believed justified such relatively higher advisory fee rate, including that: (1) the advisory fee was only one basis point higher than the median of a peer group of funds for the Loomis Sayles Investment Grade Bond Fund; (2) the advisory fee was only two basis points higher than the median of a peer group of funds for each of the Loomis Sayles High Income Fund and Loomis Sayles Strategic Income Fund and; (3) management had proposed to reduce the expense limitation of the Loomis Sayles Investment Grade Bond Fund and to further reduce the expense limitation of the Loomis Sayles Strategic Income Fund, which had also been reduced last year.

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 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 relevant 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, LLC compared to that of certain other investment managers for which such data was available.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense 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 each of Loomis Sayles Investment Grade Bond Fund, Loomis Sayles Strategic Alpha Fund, and Loomis Sayles Strategic Income Fund has 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 Investment Grade Bond Fund and 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 each Adviser has made into its business.

The Trustees also considered other factors, which included but were not limited to the following:

•

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.

11 |

LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2021 and ending December 31, 2021

(including updates through June 30, 2022)

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.

During the period January 1, 2022 through June 30, 2022, 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

| 12

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 90.2% of Net Assets
	Non-Convertible Bonds — 85.4%
		ABS Home Equity — 0.1%
$	111,478	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 2.272%, 9/19/2045(a)	$	75,341
	100,000	VOLT XCVI LLC, Series 2021-NPL5, Class A2, 4.826%, 3/27/2051, 144A(b)		94,618

				169,959

		Aerospace & Defense — 2.3%
	100,000	Bombardier, Inc., 6.000%, 2/15/2028, 144A		74,940
	850,000	Bombardier, Inc., 7.125%, 6/15/2026, 144A		700,808
	95,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		91,913
	140,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		132,619
	263,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(c)(d)		266,432
	60,000	Moog, Inc., 4.250%, 12/15/2027, 144A		51,989
	615,000	Spirit AeroSystems, Inc., 4.600%, 6/15/2028		454,054
	190,000	Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A		176,462
	235,000	TransDigm, Inc., 4.625%, 1/15/2029		189,180
	460,000	TransDigm, Inc., 4.875%, 5/01/2029		374,458
	100,000	TransDigm, Inc., 5.500%, 11/15/2027		84,838
	130,000	TransDigm, Inc., 6.250%, 3/15/2026, 144A		125,288

				2,722,981

		Airlines — 1.3%
	1,810,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		1,545,306

		Automotive — 2.2%
	75,000	Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A		71,614
	710,000	Ford Motor Co., 3.250%, 2/12/2032		531,009
	70,000	Ford Motor Co., 4.750%, 1/15/2043		49,863
	560,000	Ford Motor Co., 9.000%, 4/22/2025		600,533
	820,000	Ford Motor Credit Co. LLC, 2.300%, 2/10/2025		736,278
	275,000	Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027		245,919
	55,000	Goodyear Tire & Rubber Co. (The), 5.000%, 7/15/2029		45,548
	300,000	Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028		225,224
	40,000	Meritor, Inc., 4.500%, 12/15/2028, 144A		38,513
	65,000	Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A		49,295
	40,000	Tenneco, Inc., 7.875%, 1/15/2029, 144A		38,657
	85,000	Wheel Pros, Inc., 6.500%, 5/15/2029, 144A		60,018

				2,692,471

		Banking — 1.2%
	410,000	Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033		298,441
	600,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		515,967
	800,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		646,547

				1,460,955

		Brokerage — 0.2%
	60,000	Coinbase Global, Inc., 3.625%, 10/01/2031, 144A		33,696
	200,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.000%, 8/15/2028, 144A		164,500

				198,196

		Building Materials — 2.2%
	90,000	Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A		68,505
		Building Materials — continued
$	265,000	Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A	$	224,574
	1,060,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		795,000
	285,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		244,008
	205,000	Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A		131,701
	50,000	CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A		36,109
	375,000	Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A		274,688
	120,000	JELD-WEN, Inc., 4.625%, 12/15/2025, 144A		102,000
	235,000	LBM Acquisition LLC, 6.250%, 1/15/2029, 144A		151,296
	130,000	MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030, 144A		104,619
	250,000	Park River Holdings, Inc., 5.625%, 2/01/2029, 144A		155,802
	125,000	Patrick Industries, Inc., 4.750%, 5/01/2029, 144A		93,029
	105,000	Standard Industries, Inc., 4.375%, 7/15/2030, 144A		82,819
	45,000	Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A		39,263
	165,000	Victors Merger Corp., 6.375%, 5/15/2029, 144A		100,650

				2,604,063

		Cable Satellite — 9.0%
	410,000	Altice Financing S.A., 5.000%, 1/15/2028, 144A		330,394
	80,000	Block Communications, Inc., 4.875%, 3/01/2028, 144A		67,600
	550,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A		451,654
	610,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		471,225
	305,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A		253,235
	75,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032		60,728
	1,355,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A		1,158,864
	600,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A		491,280
	205,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.000%, 2/01/2028, 144A		189,153
	60,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A		58,543
	205,000	Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.750%, 10/01/2026, 144A		184,219
	435,000	CSC Holdings LLC, 4.500%, 11/15/2031, 144A		335,450
	2,920,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		1,952,721
	555,000	CSC Holdings LLC, 4.625%, 12/01/2030		371,151
	205,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		138,178
	250,000	CSC Holdings LLC, 5.750%, 1/15/2030		181,883
	730,000	DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A		622,741
	925,000	DISH DBS Corp., 5.125%, 6/01/2029		562,067
	150,000	DISH DBS Corp., 7.375%, 7/01/2028		102,030
	980,000	DISH DBS Corp., 7.750%, 7/01/2026		763,910
	305,694	Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(e)		165,839
	100,350	Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(e)		29,785
	300,000	Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A		231,862
	400,000	Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A		347,592
	125,000	Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A		78,991
	310,000	UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A		252,650
	110,000	ViaSat, Inc., 6.500%, 7/15/2028, 144A		75,770

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Cable Satellite — continued
$	445,000	Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A	$	397,852
	565,000	Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A		500,025

				10,827,392

		Chemicals — 1.1%
	150,000	ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028, 144A		119,684
	55,000	Chemours Co. (The), 5.375%, 5/15/2027		48,392
	150,000	Consolidated Energy Finance S.A., 5.625%, 10/15/2028, 144A		120,669
	150,000	Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A		138,216
	330,000	Hercules LLC, 6.500%, 6/30/2029		321,338
	80,000	Methanex Corp., 5.125%, 10/15/2027		70,600
	20,000	Methanex Corp., 5.250%, 12/15/2029		16,908
	65,000	Olin Corp., 5.125%, 9/15/2027		59,747
	465,000	Olympus Water U.S. Holding Corp., 4.250%, 10/01/2028, 144A		364,211

				1,259,765

		Construction Machinery — 0.1%
	125,000	Titan International, Inc., 7.000%, 4/30/2028		117,425

		Consumer Cyclical Services — 3.2%
	640,000	ADT Security Corp. (The), 4.125%, 8/01/2029, 144A		519,402
	200,000	Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.000%, 6/01/2029, 144A		145,234
	95,000	ANGI Group LLC, 3.875%, 8/15/2028, 144A		72,333
	35,000	Arches Buyer, Inc., 6.125%, 12/01/2028, 144A		28,546
	45,000	Match Group Holdings II LLC, 3.625%, 10/01/2031, 144A		35,437
	125,000	Match Group Holdings II LLC, 5.000%, 12/15/2027, 144A		115,872
	440,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 4/15/2030, 144A		325,600
	330,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A		250,246
	240,000	Terminix Co. LLC (The), 7.450%, 8/15/2027		267,600
	1,560,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		1,283,100
	760,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		702,878
	115,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		111,410
	30,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		29,865

				3,887,523

		Consumer Products — 0.6%
	145,000	Coty, Inc., 5.000%, 4/15/2026, 144A		132,856
	20,000	Coty, Inc., 6.500%, 4/15/2026, 144A		18,439
	305,000	Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029, 144A		261,791
	250,000	Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A		191,932
	135,000	Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A		101,250

				706,268

		Diversified Manufacturing — 0.3%
	120,000	Madison IAQ LLC, 5.875%, 6/30/2029, 144A		91,958
	120,000	Resideo Funding, Inc., 4.000%, 9/01/2029, 144A		93,652
	200,000	TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A		178,313

				363,923

		Electric — 1.1%
	1,060,000	Calpine Corp., 5.125%, 3/15/2028, 144A		933,118
	315,000	NRG Energy, Inc., 3.625%, 2/15/2031, 144A		246,957
	40,000	NRG Energy, Inc., 3.875%, 2/15/2032, 144A		31,771
	140,000	PG&E Corp., 5.000%, 7/01/2028		118,143
	25,000	PG&E Corp., 5.250%, 7/01/2030		20,567

				1,350,556

		Environmental — 0.2%
$	315,000	GFL Environmental, Inc., 4.000%, 8/01/2028, 144A	$	259,875

		Finance Companies — 4.7%
	455,000	Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A		341,250
	105,000	Fortress Transportation & Infrastructure Investors LLC, 5.500%, 5/01/2028, 144A		86,669
	295,000	Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A		230,084
	150,000	Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(f)		113,625
	115,000	LFS Topco LLC, 5.875%, 10/15/2026, 144A		90,850
	655,000	Navient Corp., 4.875%, 3/15/2028		511,719
	170,000	Navient Corp., 5.000%, 3/15/2027		139,830
	840,000	Navient Corp., 5.500%, 3/15/2029		647,565
	95,000	Navient Corp., 6.750%, 6/25/2025		85,713
	385,000	OneMain Finance Corp., 3.500%, 1/15/2027		308,000
	800,000	OneMain Finance Corp., 7.125%, 3/15/2026		739,384
	220,000	Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/01/2027, 144A		210,650
	275,000	Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A		247,500
	285,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		235,527
	25,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		19,658
	380,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029		298,802
	905,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		678,107
	995,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		706,450

				5,691,383

		Financial Other — 1.9%
	210,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		67,603
	200,000	CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(c)(d)(g)		17,088
	200,000	CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(g)		17,720
	200,000	China Aoyuan Group Ltd., 6.200%, 3/24/2026(c)(d)(g)		19,052
	200,000	China Evergrande Group, 8.750%, 6/28/2025(g)		16,456
	200,000	Easy Tactic Ltd., 8.125%, 2/27/2023		44,466
	220,000	Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(c)(d)(g)		18,612
	85,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		68,694
	1,535,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		1,359,764
	200,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(g)		27,500
	200,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(g)		27,082
	400,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(g)		54,496
	335,000	Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A		256,510
	120,000	Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A		104,093
	200,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(c)(d)		22,064
	200,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026(g)		29,486
	200,000	Sunac China Holdings Ltd., 6.650%, 8/03/2024(g)		30,394
	200,000	Times China Holdings Ltd., 6.200%, 3/22/2026(c)(d)		28,970
	400,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(c)(d)(g)		26,000
	400,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026(c)(d)(g)		26,804
	200,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026(c)(d)(g)		13,428

				2,276,282

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Food & Beverage — 1.8%
$	65,000	Aramark Services, Inc., 5.000%, 2/01/2028, 144A	$	58,904
	165,000	Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A		143,962
	40,000	Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A		39,866
	305,000	MARB BondCo. PLC, 3.950%, 1/29/2031, 144A		234,170
	140,000	Performance Food Group, Inc., 4.250%, 8/01/2029, 144A		116,900
	230,000	Performance Food Group, Inc., 5.500%, 10/15/2027, 144A		212,921
	370,000	Post Holdings, Inc., 4.500%, 9/15/2031, 144A		302,604
	645,000	Post Holdings, Inc., 4.625%, 4/15/2030, 144A		544,232
	125,000	Post Holdings, Inc., 5.750%, 3/01/2027, 144A		121,094
	105,000	Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A		88,767
	120,000	TreeHouse Foods, Inc., 4.000%, 9/01/2028		97,769
	205,000	US Foods, Inc., 4.750%, 2/15/2029, 144A		179,209

				2,140,398

		Gaming — 3.5%
	520,000	Boyd Gaming Corp., 4.750%, 12/01/2027		470,600
	165,000	Boyd Gaming Corp., 4.750%, 6/15/2031, 144A		139,428
	220,000	Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A		212,021
	400,000	Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A		240,214
	200,000	MGM China Holdings Ltd., 4.750%, 2/01/2027, 144A		141,320
	225,000	MGM Resorts International, 5.500%, 4/15/2027		201,941
	60,000	Mohegan Gaming & Entertainment, 8.000%, 2/01/2026, 144A		51,000
	200,000	Sands China Ltd., 3.100%, 3/08/2029, 144A		141,500
	605,000	Sands China Ltd., 4.875%, 6/18/2030		442,074
	575,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		539,597
	415,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		389,191
	200,000	Studio City Finance Ltd., 5.000%, 1/15/2029, 144A		100,598
	230,000	Studio City Finance Ltd., 6.500%, 1/15/2028, 144A		129,017
	135,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		123,297
	140,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		128,800
	205,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 1/15/2028, 144A		186,815
	125,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		118,906
	105,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		103,688
	450,000	Wynn Macau Ltd., 5.125%, 12/15/2029, 144A		278,793
	165,000	Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A		129,954

				4,268,754

		Government Owned – No Guarantee — 0.4%
	135,000	EcoPetrol S.A., 4.625%, 11/02/2031		102,261
	340,000	Petroleos Mexicanos, 5.950%, 1/28/2031(h)		248,669
	280,000	YPF S.A., 6.950%, 7/21/2027, 144A		158,900

				509,830

		Health Insurance — 0.3%
	420,000	Centene Corp., 2.450%, 7/15/2028		350,297
	70,000	Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A		58,701

				408,998

		Healthcare — 4.0%
$	100,000	AdaptHealth LLC, 5.125%, 3/01/2030, 144A	$	84,291
	110,000	AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A		80,817
	710,000	CHS/Community Health Systems, Inc., 5.250%, 5/15/2030, 144A		539,529
	270,000	CHS/Community Health Systems, Inc., 6.125%, 4/01/2030, 144A		164,700
	65,000	CHS/Community Health Systems, Inc., 6.875%, 4/15/2029, 144A		41,925
	235,000	CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A		214,012
	400,000	DaVita, Inc., 3.750%, 2/15/2031, 144A		286,796
	180,000	DaVita, Inc., 4.625%, 6/01/2030, 144A		140,375
	155,000	Encompass Health Corp., 4.500%, 2/01/2028		132,695
	300,000	Encompass Health Corp., 4.750%, 2/01/2030		251,412
	230,000	HCA, Inc., 7.050%, 12/01/2027		239,517
	470,000	LifePoint Health, Inc., 5.375%, 1/15/2029, 144A		345,450
	210,000	Medline Borrower LP, 5.250%, 10/01/2029, 144A		172,473
	75,000	ModivCare Escrow Issuer, Inc., 5.000%, 10/01/2029, 144A		60,581
	40,000	ModivCare, Inc., 5.875%, 11/15/2025, 144A		36,800
	150,000	MPH Acquisition Holdings LLC, 5.750%, 11/01/2028, 144A		124,305
	75,000	RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A		64,825
	615,000	Tenet Healthcare Corp., 4.375%, 1/15/2030, 144A		522,492
	100,000	Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A		87,078
	135,000	Tenet Healthcare Corp., 5.125%, 11/01/2027, 144A		121,500
	95,000	Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A		81,299
	505,000	Tenet Healthcare Corp., 6.125%, 6/15/2030, 144A		465,903
	490,000	Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A		451,003
	95,000	U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A		85,074

				4,794,852

		Home Construction — 0.4%
	215,000	Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A		156,209
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(g)(i)(j)		—
	100,000	Empire Communities Corp., 7.000%, 12/15/2025, 144A		79,000
	230,000	KB Home, 4.800%, 11/15/2029		191,815

				427,024

		Independent Energy — 6.6%
	75,000	Antero Resources Corp., 8.375%, 7/15/2026, 144A		79,313
	140,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/2029, 144A		123,200
	215,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A		199,950
	390,000	Baytex Energy Corp., 8.750%, 4/01/2027, 144A		390,975
	45,000	California Resources Corp., 7.125%, 2/01/2026, 144A		44,002
	435,000	Callon Petroleum Co., 8.000%, 8/01/2028, 144A		417,861
	115,000	Centennial Resource Production LLC, 6.875%, 4/01/2027, 144A		109,208
	580,000	Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A		552,322
	120,000	Chesapeake Energy Corp., 6.750%, 4/15/2029, 144A		116,044
	255,000	CNX Resources Corp., 7.250%, 3/14/2027, 144A		249,824
	135,000	Colgate Energy Partners III LLC, 5.875%, 7/01/2029, 144A		118,294
	105,000	Comstock Resources, Inc., 6.750%, 3/01/2029, 144A		94,020
	150,000	Crescent Energy Finance LLC, 7.250%, 5/01/2026, 144A		136,500
	165,000	Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A		145,629

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Independent Energy — continued
$	85,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A	$	71,936
	125,000	Gulfport Energy Corp., 8.000%, 5/17/2026, 144A		122,966
	60,000	Laredo Petroleum, Inc., 7.750%, 7/31/2029, 144A		54,131
	285,000	Matador Resources Co., 5.875%, 9/15/2026		273,965
	185,000	MEG Energy Corp., 5.875%, 2/01/2029, 144A		168,973
	130,000	Murphy Oil Corp., 6.125%, 12/01/2042		97,175
	425,000	Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A		400,562
	65,000	Oasis Petroleum, Inc., 6.375%, 6/01/2026, 144A		60,125
	145,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		143,989
	260,000	Occidental Petroleum Corp., 6.125%, 1/01/2031		263,490
	345,000	Occidental Petroleum Corp., 6.625%, 9/01/2030		355,350
	85,000	Occidental Petroleum Corp., 7.500%, 5/01/2031		91,375
	40,000	Occidental Petroleum Corp., 7.875%, 9/15/2031		43,900
	110,000	Occidental Petroleum Corp., 8.500%, 7/15/2027		121,046
	780,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		895,500
	470,000	PDC Energy, Inc., 5.750%, 5/15/2026		438,430
	120,000	Penn Virginia Holdings LLC, 9.250%, 8/15/2026, 144A		115,169
	85,000	Range Resources Corp., 8.250%, 1/15/2029		86,659
	110,000	SM Energy Co., 5.625%, 6/01/2025		103,950
	285,000	SM Energy Co., 6.500%, 7/15/2028		262,116
	165,000	SM Energy Co., 6.750%, 9/15/2026		155,655
	25,000	Southwestern Energy Co., 4.750%, 2/01/2032		21,363
	290,000	Southwestern Energy Co., 5.375%, 2/01/2029		269,004
	140,000	Southwestern Energy Co., 5.375%, 3/15/2030		128,800
	20,000	Southwestern Energy Co., 7.750%, 10/01/2027		20,400
	250,000	Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A		227,500
	125,000	Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A		118,027

				7,888,698

		Industrial Other — 0.3%
	220,000	Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A		186,301
	130,000	Installed Building Products, Inc., 5.750%, 2/01/2028, 144A		115,497

				301,798

		Leisure — 3.0%
	650,000	Carnival Corp., 5.750%, 3/01/2027, 144A		469,482
	125,000	Cinemark USA, Inc., 5.250%, 7/15/2028, 144A		100,456
	110,000	Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A		94,875
	370,000	Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A		328,012
	740,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		580,819
	10,000	NCL Corp. Ltd., 5.875%, 3/15/2026		7,849
	200,000	NCL Corp. Ltd., 7.750%, 2/15/2029, 144A		152,150
	70,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		50,925
	125,000	Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028		79,375
	325,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		230,867
	1,065,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		740,175
	120,000	SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A		101,543
	180,000	Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A		159,043
	115,000	Viking Cruises Ltd., 5.875%, 9/15/2027, 144A		85,914
	375,000	Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A		295,689
	110,000	VOC Escrow Ltd., 5.000%, 2/15/2028, 144A		88,386

				3,565,560

		Lodging — 1.5%
$	370,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A	$	299,700
	100,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		83,168
	605,000	Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028		524,775
	1,195,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		924,440
	20,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		15,500
	15,000	Travel & Leisure Co., 6.000%, 4/01/2027		13,586

				1,861,169

		Media Entertainment — 2.8%
	200,000	Audacy Capital Corp., 6.750%, 3/31/2029, 144A		106,924
	170,000	CMG Media Corp., 8.875%, 12/15/2027, 144A		134,302
	130,000	Deluxe Corp., 8.000%, 6/01/2029, 144A		105,950
	310,000	Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A		77,500
	140,000	Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A		16,800
	170,000	Gray Escrow II, Inc., 5.375%, 11/15/2031, 144A		136,209
	355,000	Gray Television, Inc., 4.750%, 10/15/2030, 144A		277,787
	395,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		325,512
	165,000	iHeartCommunications, Inc., 6.375%, 5/01/2026		152,831
	430,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		341,712
	160,000	Lamar Media Corp., 3.750%, 2/15/2028		142,037
	55,000	Lions Gate Capital Holdings LLC, 5.500%, 4/15/2029, 144A		42,900
	310,000	McGraw-Hill Education, Inc., 5.750%, 8/01/2028, 144A		265,447
	175,000	McGraw-Hill Education, Inc., 8.000%, 8/01/2029, 144A		141,750
	205,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		187,625
	20,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		18,900
	185,000	Netflix, Inc., 5.875%, 2/15/2025		187,775
	35,000	Netflix, Inc., 6.375%, 5/15/2029		35,348
	105,000	Nexstar Media, Inc., 5.625%, 7/15/2027, 144A		95,813
	110,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A		96,113
	35,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A		33,213
	65,000	Playtika Holding Corp., 4.250%, 3/15/2029, 144A		53,625
	120,000	Scripps Escrow II, Inc., 5.375%, 1/15/2031, 144A		95,706
	185,000	Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A		155,978
	120,000	Stagwell Global LLC, 5.625%, 8/15/2029, 144A		96,254

				3,324,011

		Metals & Mining — 3.7%
	200,000	Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A		189,500
	120,000	Allegheny Technologies, Inc., 4.875%, 10/01/2029		95,699
	205,000	Allegheny Technologies, Inc., 5.875%, 12/01/2027		181,526
	200,000	Cia de Minas Buenaventura SAA, 5.500%, 7/23/2026, 144A		180,001
	280,000	Cleveland-Cliffs, Inc., 5.875%, 6/01/2027		261,108
	175,000	Commercial Metals Co., 4.125%, 1/15/2030		147,350
	845,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		778,245
	1,245,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		1,113,105
	60,000	GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A		48,570
	210,000	Mineral Resources Ltd., 8.000%, 11/01/2027, 144A		205,143
	575,000	Mineral Resources Ltd., 8.125%, 5/01/2027, 144A		560,251

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Metals & Mining — continued
$	525,000	Novelis Corp., 4.750%, 1/30/2030, 144A	$	436,369
	50,000	SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A		39,955
	210,000	United States Steel Corp., 6.875%, 3/01/2029		183,244
	40,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		34,820

				4,454,886

		Midstream — 3.2%
	85,000	Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029, 144A		76,123
	195,000	Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026, 144A		194,784
	250,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A		236,292
	185,000	Buckeye Partners LP, 4.500%, 3/01/2028, 144A		155,793
	80,000	Buckeye Partners LP, 5.600%, 10/15/2044		55,709
	55,000	Buckeye Partners LP, 5.850%, 11/15/2043		39,050
	170,000	Cheniere Energy Partners LP, 4.000%, 3/01/2031		144,551
	115,000	Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A		100,347
	30,000	DCP Midstream Operating LP, 3.250%, 2/15/2032		23,531
	175,000	DCP Midstream Operating LP, 5.375%, 7/15/2025		170,187
	230,000	DCP Midstream Operating LP, 5.625%, 7/15/2027		223,045
	130,000	EnLink Midstream Partners LP, 5.600%, 4/01/2044		92,068
	41,000	EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A		39,306
	200,000	EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A		185,960
	50,000	EQM Midstream Partners LP, 6.500%, 7/15/2048		38,125
	470,000	EQM Midstream Partners LP, 7.500%, 6/01/2027, 144A		453,338
	80,000	EQM Midstream Partners LP, 7.500%, 6/01/2030, 144A		76,852
	160,000	EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028		138,139
	115,000	Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A		99,841
	300,000	Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028		259,515
	150,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		125,620
	250,000	Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A		238,125
	150,000	Holly Energy Partners LP/Holly Energy Finance Corp., 6.375%, 4/15/2027, 144A		141,189
	215,000	New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A		203,175
	145,000	NuStar Logistics LP, 5.750%, 10/01/2025		135,575
	125,000	Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A		106,297
	40,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		36,464
	50,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		47,709
	50,000	Western Midstream Operating LP, 4.500%, 3/01/2028		45,250
	30,000	Western Midstream Operating LP, 4.750%, 8/15/2028		27,409

				3,909,369

		Non-Agency Commercial Mortgage-Backed Securities — 2.1%
	97,268	CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 4.824%, 11/15/2031, 144A(a)(c)(i)(j)		84,623
	218,852	CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 5.824%, 11/15/2031, 144A(a)(c)(d)		169,676
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	260,000	Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 5.108%, 5/10/2047, 144A(b)	$	237,050
	100,000	Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A		95,350
	1,020,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		799,232
	45,000	GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.302%, 8/10/2044, 144A(b)		37,350
	100,000	GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.843%, 6/10/2047, 144A(b)		89,283
	245,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(b)(h)		232,959
	250,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.982%, 10/15/2045, 144A(b)(h)		248,230
	100,000	MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.424%, 10/15/2030, 144A(b)		89,057
	380,000	Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 4.825%, 11/15/2027, 144A(a)(c)(i)(j)		106,163
	420,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 5.725%, 11/15/2027, 144A(a)(c)(i)(j)		42,492
	145,000	Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050		90,176
	60,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.305%, 11/15/2059(b)		50,936
	100,338	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.415%, 3/15/2044, 144A(b)		42,744
	80,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.491%, 12/15/2045(b)		74,592
	125,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.689%, 6/15/2045, 144A(b)(c)(d)		11,250

				2,501,163

		Oil Field Services — 1.0%
	125,000	Nabors Industries, Inc., 7.375%, 5/15/2027, 144A		117,750
	90,000	Precision Drilling Corp., 6.875%, 1/15/2029, 144A		80,550
	10,000	Precision Drilling Corp., 7.125%, 1/15/2026, 144A		9,400
	55,000	Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A		52,012
	147,600	Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A		135,054
	703,125	Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A		618,750
	42,750	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		39,864
	180,000	Weatherford International Ltd., 8.625%, 4/30/2030, 144A		149,362
	20,000	Weatherford International Ltd., 11.000%, 12/01/2024, 144A		20,150

				1,222,892

		Packaging — 0.6%
	370,000	ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(f)		274,451
	500,000	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/2027, 144A		356,530
	75,000	Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A		60,188
	80,000	Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A		66,224

				757,393

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Pharmaceuticals — 3.6%
$	1,170,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A	$	623,025
	10,000	Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A		5,200
	785,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		405,593
	785,000	Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A		401,743
	15,000	Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A		7,983
	45,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A		25,763
	200,000	Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A		169,428
	240,000	Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A(c)(d)		18,600
	70,000	Endo Luxembourg Finance Co. I. S.a.r.l./Endo U.S., Inc., 6.125%, 4/01/2029, 144A		52,908
	200,000	Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A		173,456
	335,000	Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A		289,048
	107,000	Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A		81,320
	325,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		271,703
	370,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		303,400
	2,360,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		1,469,690

				4,298,860

		Property & Casualty Insurance — 0.7%
	240,000	Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A		187,870
	240,000	AmWINS Group, Inc., 4.875%, 6/30/2029, 144A		196,541
	160,000	AssuredPartners, Inc., 5.625%, 1/15/2029, 144A		128,085
	125,000	BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A		97,801
	275,000	USI, Inc., 6.875%, 5/01/2025, 144A		265,375

				875,672

		Refining — 0.4%
	55,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A		52,348
	370,000	CVR Energy, Inc., 5.250%, 2/15/2025, 144A		340,182
	80,000	PBF Holding Co. LLC/PBF Finance Corp., 9.250%, 5/15/2025, 144A		83,700

				476,230

		REITs – Hotels — 0.3%
	395,000	Service Properties Trust, 4.750%, 10/01/2026		287,833
	70,000	Service Properties Trust, 7.500%, 9/15/2025		64,137

				351,970

		REITs – Mortgage — 0.2%
	45,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A		36,329
	215,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A		194,575
	75,000	Starwood Property Trust, Inc., 3.625%, 7/15/2026, 144A		63,563

				294,467

		Restaurants — 0.8%
	770,000	1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A		668,298
	100,000	Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A		84,845
	180,000	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027, 144A		173,106
	90,000	Papa John’s International, Inc., 3.875%, 9/15/2029, 144A		74,241

				1,000,490

		Retailers — 1.9%
$	160,000	Asbury Automotive Group, Inc., 4.500%, 3/01/2028	$	138,800
	225,000	Asbury Automotive Group, Inc., 4.625%, 11/15/2029, 144A		185,906
	83,000	Asbury Automotive Group, Inc., 4.750%, 3/01/2030		68,247
	70,000	At Home Group, Inc., 4.875%, 7/15/2028, 144A		50,750
	190,000	At Home Group, Inc., 7.125%, 7/15/2029, 144A		107,825
	140,000	Bath & Body Works, Inc., 5.250%, 2/01/2028		118,118
	235,000	Bath & Body Works, Inc., 6.625%, 10/01/2030, 144A		202,979
	100,000	Bath & Body Works, Inc., 6.750%, 7/01/2036		79,990
	55,000	Bath & Body Works, Inc., 6.875%, 11/01/2035		44,687
	195,000	Carvana Co., 4.875%, 9/01/2029, 144A		110,878
	255,000	Carvana Co., 5.500%, 4/15/2027, 144A		164,561
	135,000	Carvana Co., 5.625%, 10/01/2025, 144A		103,656
	35,000	Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A		29,252
	50,000	Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A		40,765
	85,000	Michaels Cos., Inc. (The), 7.875%, 5/01/2029, 144A		56,017
	115,000	NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A		105,982
	250,000	PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A		225,127
	87,000	Rite Aid Corp., 7.500%, 7/01/2025, 144A		70,470
	240,000	Sonic Automotive, Inc., 4.625%, 11/15/2029, 144A		185,954
	245,000	Sonic Automotive, Inc., 4.875%, 11/15/2031, 144A		184,291

				2,274,255

		Technology — 4.4%
	185,000	Block, Inc., 2.750%, 6/01/2026, 144A		164,138
	215,000	Clarivate Science Holdings Corp., 4.875%, 7/01/2029, 144A		176,515
	1,450,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,071,981
	545,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		414,244
	75,000	Dun & Bradstreet Corp. (The), 5.000%, 12/15/2029, 144A		64,781
	320,000	Elastic NV, 4.125%, 7/15/2029, 144A		267,130
	495,000	Endurance International Group Holdings, Inc., 6.000%, 2/15/2029, 144A		357,198
	60,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		50,700
	205,000	II-VI, Inc., 5.000%, 12/15/2029, 144A		178,862
	185,000	Iron Mountain, Inc., 4.500%, 2/15/2031, 144A		151,172
	115,000	Iron Mountain, Inc., 4.875%, 9/15/2027, 144A		103,908
	440,000	Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		373,969
	95,000	LogMeIn, Inc., 5.500%, 9/01/2027, 144A		66,145
	370,000	NCR Corp., 5.000%, 10/01/2028, 144A		313,722
	65,000	NCR Corp., 5.750%, 9/01/2027, 144A		57,689
	190,000	Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A		176,453
	180,000	Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A		165,361
	455,000	Open Text Corp., 3.875%, 12/01/2029, 144A		382,951
	110,000	Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A		101,056
	110,000	Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A		96,711
	90,000	Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A		58,812
	175,000	Rocket Software, Inc., 6.500%, 2/15/2029, 144A		126,493
	65,000	Seagate HDD Cayman, 4.875%, 6/01/2027		61,588
	90,000	Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A		72,131
	50,000	Sensata Technologies, Inc., 4.375%, 2/15/2030, 144A		42,559
	105,000	SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A		97,919
	65,000	Xerox Holdings Corp., 5.000%, 8/15/2025, 144A		60,462
	70,000	Ziff Davis, Inc., 4.625%, 10/15/2030, 144A		59,671

				5,314,321

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount		Description	Value (†)
		Transportation Services — 0.1%
$	190,000	Hertz Corp. (The), 4.625%, 12/01/2026, 144A	$	158,855

		Treasuries — 1.9%
	920,000	U.S. Treasury Note, 0.125%, 2/28/2023(h)		904,367
	1,390,000	U.S. Treasury Note, 0.125%, 3/31/2023(h)		1,363,015

				2,267,382

		Wireless — 2.8%
	640,000	Altice France S.A., 5.125%, 1/15/2029, 144A		484,871
	200,000	Altice France S.A., 5.125%, 7/15/2029, 144A		151,000
	495,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		422,631
	200,000	IHS Holding Ltd., 5.625%, 11/29/2026, 144A		163,808
	400,000	IHS Holding Ltd., 6.250%, 11/29/2028, 144A		322,600
	305,000	Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		277,126
	275,000	SBA Communications Corp., 3.875%, 2/15/2027		251,017
	1,630,000	SoftBank Group Corp., 4.625%, 7/06/2028		1,263,250

				3,336,303

		Wirelines — 1.4%
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		116,073
	30,000	Embarq Corp., 7.995%, 6/01/2036		22,532
	430,000	Frontier Communications Holdings LLC, 5.875%, 10/15/2027, 144A		386,614
	135,000	Frontier Communications Holdings LLC, 8.750%, 5/15/2030, 144A		136,484
	210,000	Iliad Holding SASU, 6.500%, 10/15/2026, 144A		188,994
	275,000	Level 3 Financing, Inc., 3.625%, 1/15/2029, 144A		212,039
	95,000	Level 3 Financing, Inc., 4.250%, 7/01/2028, 144A		76,119
	435,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		335,907
	120,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		91,109
	210,000	Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A		172,702

				1,738,573

		Total Non-Convertible Bonds (Identified Cost $127,232,132)		102,858,496


	Convertible Bonds — 4.8%
		Airlines — 0.5%
	535,000	Southwest Airlines Co., 1.250%, 5/01/2025(h)		629,962

		Cable Satellite — 1.8%
	3,185,000	DISH Network Corp., 3.375%, 8/15/2026		2,151,468
	40,000	DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(k)		28,097

				2,179,565

		Consumer Cyclical Services — 0.2%
	310,000	Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(k)		247,727
	30,000	Zillow Group, Inc., 1.375%, 9/01/2026		29,970

				277,697

		Gaming — 0.1%
	60,000	Penn National Gaming, Inc., 2.750%, 5/15/2026		88,878

		Healthcare — 0.6%
	990,000	Teladoc Health, Inc., 1.250%, 6/01/2027		725,175

		Leisure — 0.2%
	305,000	NCL Corp. Ltd., 1.125%, 2/15/2027, 144A		195,657

		Media Entertainment — 0.1%
	175,000	Bilibili, Inc., 0.500%, 12/01/2026, 144A		123,113

		Pharmaceuticals — 1.3%
	340,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		336,600
		Pharmaceuticals — continued
$	1,095,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027	$	1,088,211
	230,000	Livongo Health, Inc., 0.875%, 6/01/2025		194,948

				1,619,759

		Technology — 0.0%
	25,000	RingCentral, Inc., Zero Coupon, 7.146%-7.470%, 3/15/2026(k)		18,775
	5,000	Unity Software, Inc., Zero Coupon, 7.592%, 11/15/2026, 144A(l)		3,675

				22,450

		Total Convertible Bonds (Identified Cost $7,805,822)		5,862,256


		Total Bonds and Notes (Identified Cost $135,037,954)		108,720,752


	Collateralized Loan Obligations — 1.6%
	295,000	AIG CLO LLC, Series 2021-2A, Class E, 3-month LIBOR + 6.500%, 7.563%, 7/20/2034, 144A(a)		256,063
	250,000	Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3-month LIBOR + 6.600%, 7.663%, 12/19/2032, 144A(a)		219,767
	250,000	NYACK Park CLO Ltd., Series 2021-1A, Class E, 3-month LIBOR + 6.100%, 7.163%, 10/20/2034, 144A(a)		219,193
	250,000	Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, 3-month LIBOR + 6.750%, 7.794%, 10/15/2034, 144A(a)		218,358
	260,000	OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 7.458%, 4/21/2034, 144A(a)		229,520
	310,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 7.313%, 7/02/2035, 144A(a)		272,482
	250,000	Palmer Square CLO Ltd., Series 2021-3A, Class E, 3-month LIBOR + 6.150%, 6.383%, 1/15/2035, 144A(a)		219,373
	260,000	Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 7.094%, 10/15/2034, 144A(a)		227,453

		Total Collateralized Loan Obligations (Identified Cost $2,122,374)		1,862,209


Shares
	Preferred Stocks — 1.7%
	Convertible Preferred Stocks — 1.7%
		Technology — 0.2%
	3,797	Clarivate PLC, Series A, 5.250%		217,242

		Wireless — 1.5%
	1,607	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(c)(d)		1,842,586

		Total Convertible Preferred Stocks (Identified Cost $2,177,650)		2,059,828


		Total Preferred Stocks (Identified Cost $2,177,650)		2,059,828


	Common Stocks — 0.1%
		Energy Equipment & Services — 0.0%
	10,149	McDermott International Ltd.(m)		5,785

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Shares		Description	Value (†)
		Media — 0.1%
	9,786	iHeartMedia, Inc., Class A(m)	$	77,212

		Oil, Gas & Consumable Fuels — 0.0%
	3,650	Battalion Oil Corp.(m)		31,134

		Total Common Stocks (Identified Cost $841,517)		114,131


	Other Investments — 0.0%
		Aircraft ABS — 0.0%
	100	ECAF I Blocker Ltd.(c)(i)(j)(n) (Identified Cost $1,000,000)		8,510


	Warrants — 0.0%
	20,319	McDermott International Ltd., Tranche A, Expiration on 5/1/2024(i)(j)(m)		203
	22,577	McDermott International Ltd., Tranche B, Expiration on 5/1/2024(i)(j)(m)		226

		Total Warrants (Identified Cost $31,517)		429


	Exchange-Traded Funds — 1.6%
	26,835	iShares^® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $2,304,298)		1,975,324


Principal Amount
	Short-Term Investments — 2.0%
$	2,362,062	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $2,362,085 on 7/01/2022 collateralized by $2,782,700 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $2,409,304 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,362,062)		2,362,062


		Total Investments — 97.2% (Identified Cost $145,877,372)		117,103,245
		Other assets less liabilities — 2.8%		3,371,735

		Net Assets — 100.0%	$	120,474,980


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of June 30, 2022 is disclosed.
	(b)	Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2022 is disclosed.
	(c)	Illiquid security.
	(d)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $2,480,562 or 2.1% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal.
	(f)	Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2022, interest payments were made in cash.

	(g)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(h)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(i)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(j)	Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $242,217 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.
	(k)	Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(l)	Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(m)	Non-income producing security.
	(n)	Securities subject to restriction on resale. At June 30, 2022, the restricted securities held by the Fund are as follows:

Acquisition
Date

Acquisition
Cost

Value

% of
Net Assets

ECAF I Blocker Ltd.

12/20/2016

$1,000,000

8,510

Less than 0.1



	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $76,702,444 or 63.7% of net assets.
	ABS			Asset-Backed Securities
	ETF			Exchange-Traded Fund
	LIBOR			London Interbank Offered Rate
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles High Income Fund – (continued)

At June 30, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection


Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)
CDX.NA HY* Series 38 500, 5-Year	5.00%		6/20/2027		5.78	%		688,050	$	(15,147	)	$	(19,767	)	$	(4,620	)
CDX.NA HY* Series 38 500, 5-Year	5.00%		6/20/2027		5.78	%		287,100		(7,463	)		(8,248	)		(785	)
CDX.NA HY* Series 38 500, 5-Year	5.00%		6/20/2027		5.78	%		287,100		(6,720	)		(8,248	)		(1,528	)

Total												$	(36,263	)	$	(6,933	)

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

*	CDX.NA.HY is an index composed of North American high yield credit default swaps.

Industry Summary at June 30, 2022 (Unaudited)


Cable Satellite	10.8	%
Independent Energy	6.6
Pharmaceuticals	4.9
Finance Companies	4.7
Technology	4.6
Healthcare	4.6
Wireless	4.3
Metals & Mining	3.7
Gaming	3.6
Consumer Cyclical Services	3.4
Midstream	3.2
Leisure	3.2
Media Entertainment	2.9
Aerospace & Defense	2.3
Automotive	2.2
Building Materials	2.2
Non-Agency Commercial Mortgage-Backed Securities	2.1
Other Investments, less than 2% each	22.7
Short-Term Investments	2.0
Exchange-Traded Funds	1.6
Collateralized Loan Obligations	1.6

Total Investments	97.2
Other assets less liabilities (including swap agreements)	2.8

Net Assets	100.0	%

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 83.7% of Net Assets
	Non-Convertible Bonds — 82.5%
		ABS Car Loan — 6.5%
$	173,826	Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023	$	174,003
	7,639,061	American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A		7,625,377
	3,200,000	American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A		2,964,396
	1,965,000	AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024		1,968,168
	10,515,000	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024		10,513,146
	25,880,000	AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025		25,682,287
	12,340,000	AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025		12,124,255
	1,395,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026		1,316,068
	11,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A		10,544,039
	1,940,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		1,906,894
	8,910,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A		8,183,729
	7,500,000	Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class D, 4.080%, 2/20/2028, 144A		6,708,309
	3,650,000	CarMax Auto Owner Trust, Series 2018-3, Class D, 3.910%, 1/15/2025		3,656,222
	13,585,000	CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025		13,542,939
	5,811,000	CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025		5,758,097
	2,315,000	CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026		2,268,535
	4,625,000	CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026		4,534,789
	2,550,000	CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028		2,341,180
	1,100,000	CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028		1,022,663
	2,525,000	Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A		2,438,223
	275,000	Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A		257,404
	5,395,784	Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026		5,419,270
	11,512,519	Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026		11,530,763
	3,700,000	Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026		3,699,306
	6,636,383	DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A		6,635,463
	3,950,000	DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A		3,938,111
	3,400,000	DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A		3,376,371
	10,500,000	DT Auto Owner Trust, Series 2022-1A, Class D, 3.400%, 12/15/2027, 144A		9,931,813
		ABS Car Loan — continued
$	7,410,000	Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026	$	6,943,829
	2,685,000	Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028		2,551,123
	3,790,000	First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A		3,776,636
	2,660,000	First Investors Auto Owner Trust, Series 2022-1A, Class D, 3.790%, 6/15/2028, 144A		2,505,531
	4,610,000	Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A		4,488,982
	17,688,743	Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024(a)		17,484,277
	15,340,000	Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025		15,010,043
	27,290,000	Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025(a)		26,563,868
	8,356,711	GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A		8,344,890
	2,276,677	GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024		2,267,877
	10,120,000	GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025		9,870,334
	21,335,000	GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026(a)		20,642,886
	1,400,000	GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A		1,364,318
	8,118,000	Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D, 4.850%, 6/25/2026, 144A		7,260,793
	8,396,000	Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D, 6.310%, 3/25/2025, 144A		8,057,130
	16,245,000	Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025		15,858,751
	1,578,792	JPMorgan Chase Bank NA, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A		1,526,268
	2,284,718	Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024		2,277,899
	9,474,768	Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024		9,388,832
	4,350,000	Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A		4,273,240
	14,831,233	Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025		14,843,160
	6,646,800	Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025		6,630,463
	8,455,000	Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025		8,434,599
	12,815,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028		12,937,154
	2,900,000	Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026		2,839,094
	262,429	Toyota Auto Receivables Owner Trust, Series 2021-A, Class A2, 0.160%, 7/17/2023		262,191
	5,549,333	Westlake Automobile Receivables Trust, Series 2019-1A, Class D, 3.670%, 3/15/2024, 144A		5,555,136

				392,021,124

		ABS Credit Card — 0.3%
	3,460,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A		3,393,277
	6,355,000	Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A		6,046,475

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Credit Card — continued
$	5,000,000	Mercury Financial Credit Card Master Trust, Series 2021-1A, Class C, 4.210%, 3/20/2026, 144A	$	4,789,152
	1,525,000	Mission Lane Credit Card Master Trust, Series 2021-A, Class B, 2.240%, 9/15/2026, 144A		1,471,695

				15,700,599

		ABS Home Equity — 4.6%
	15,451,000	American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A		15,615,686
	1,433,777	Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 2.111%, 11/16/2066, 144A(b)		1,433,569
	10,390,000	CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(c)		9,731,106
	1,487,819	Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(c)		1,485,777
	3,938,812	Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(c)		3,832,351
	2,434,000	CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A		2,317,870
	3,451,893	CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A		3,322,492
	2,929,000	CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A		2,615,936
	1,259,000	CoreVest American Finance Trust, Series 2020-2, Class C, 4.753%, 5/15/2052, 144A(c)		1,192,677
	1,870,000	CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A		1,543,647
	3,345,211	Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(c)		3,243,154
	5,477,414	Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(c)		5,183,851
	7,422,036	Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, 30-day Average SOFR + 2.000%, 2.926%, 4/25/2042, 144A(b)		7,305,499
	1,515,000	FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A		1,390,162
	11,696,000	FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A		10,677,073
	3,083,000	FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 8/17/2037, 144A		2,852,244
	9,710,000	FirstKey Homes Trust, Series 2022- SFR2, Class D, 4.500%, 7/17/2039, 144A		9,065,975
	4,579,801	GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(c)		4,400,678
	72,158	Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 1.974%, 8/25/2060, 144A(b)		72,124
	2,417,003	Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A		2,186,728
	2,452,283	Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A		2,144,731
	1,038,676	Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A		873,595
	10,554,290	Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A		9,294,360
	5,267,327	Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A		4,583,514
	895,000	Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(c)		890,813
	8,675,186	Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(c)		8,633,256
	5,997,413	Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(c)		5,957,282
		ABS Home Equity — continued
$	1,606,091	Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(c)	$	1,581,151
	2,207,817	Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060, 144A(c)		2,046,558
	1,467,786	Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(c)		1,429,922
	2,678,665	Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(c)		2,602,594
	2,744,944	Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(c)		2,529,891
	5,696,214	Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(c)		5,563,366
	3,860,000	Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A		3,744,466
	155,000	Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A		148,791
	295,000	Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A		266,031
	1,818,000	Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A		1,635,480
	5,780,000	Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A		5,124,198
	2,420,000	Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A		2,106,629
	2,015,000	Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A		1,747,443
	3,575,000	Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A		3,086,058
	1,795,000	Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A		1,537,437
	1,400,000	Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A		1,123,001
	960,000	Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040, 144A		766,269
	4,534,482	PRPM LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025, 144A(c)		4,386,410
	7,470,329	PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(c)		7,095,864
	6,241,844	PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(c)		5,897,750
	272,709	PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(c)		260,771
	6,513,968	PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(c)		6,059,423
	470,901	Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(c)		457,340
	291,564	Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(c)		289,061
	4,930,000	Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(c)		4,464,526
	6,390,000	Towd Point Mortgage Trust, Series 2017-5, Class M2, 1-month LIBOR + 1.500%, 3.124%, 2/25/2057, 144A(b)		6,237,276
	1,775,000	Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(c)		1,601,990
	1,943,340	Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(c)		1,668,579
	17,610,000	Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(c)		15,505,781
	5,649,153	Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(c)		5,469,904
	3,325,000	Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(c)		2,961,096

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Home Equity — continued
$	3,950,000	Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A	$	3,635,317
	2,575,000	Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A		2,429,112
	14,008,048	VCAT Asset Securitization LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051, 144A(c)		13,143,272
	1,556,102	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(c)		1,498,187
	8,828,090	VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(c)		8,338,917
	2,830,626	VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(c)		2,686,634
	7,240,878	VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(c)		6,859,403
	6,420,928	VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(c)		6,098,685
	4,582,573	VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(c)		4,373,685
	9,097,619	VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(c)		8,649,935

				278,954,353

		ABS Other — 2.7%
	6,360,811	Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A		5,321,532
	11,270,000	BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A		10,311,866
	4,233,208	Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A		3,827,276
	7,448,438	CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A		6,714,681
	6,913,538	CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A		6,174,301
	5,145,879	CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A		4,538,250
	940,000	Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A		917,711
	945,000	Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A		926,344
	2,553,021	Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A		2,259,041
	502,225	HPEFS Equipment Trust, Series 2019-1A, Class C, 2.490%, 9/20/2029, 144A		502,223
	3,645,000	HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A		3,599,511
	1,980,000	HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A		1,956,404
	2,795,000	HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A		2,620,060
	3,135,000	HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029, 144A		2,927,962
	6,934,515	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A		6,088,040
	8,630,025	Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A		7,657,464
	10,484,063	MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A		9,712,897
	2,517,759	MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A		2,280,825
	1,915,792	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(c)		1,538,285
	525,096	MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A		507,437
		ABS Other — continued
$	335,167	MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A	$	318,056
	13,160,327	Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(c)		11,715,911
	8,040,000	OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A		8,031,869
	4,675,000	OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A		4,651,611
	6,585,000	OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A		5,863,843
	8,040,000	OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035, 144A		7,871,820
	12,907,045	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		11,336,335
	530,000	SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A		478,676
	2,555,000	SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031, 144A		2,391,178
	983,940	Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A		914,070
	440,000	SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day Auction Rate Security, 5.112%, 9/15/2032(b)		431,312
	820,000	SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day Auction Rate Security, 5.152%, 9/15/2032(b)		803,808
	2,245,921	SoFi Consumer Loan Program Trust, Series 2019-2, Class C, 3.460%, 4/25/2028, 144A		2,246,435
	6,823,143	SoFi Consumer Loan Program Trust, Series 2019-3, Class C, 3.350%, 5/25/2028, 144A		6,812,469
	6,037,973	SoFi Consumer Loan Program Trust, Series 2019-4, Class C, 2.840%, 8/25/2028, 144A		6,011,545
	12,132,656	Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.860%, 3/20/2046, 144A		10,589,463

				160,850,511

		ABS Student Loan — 0.8%
	745,000	College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A		680,804
	3,032,470	Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A		2,699,708
	2,355,956	EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A		2,072,508
	3,519,379	ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A		3,352,937
	5,498,226	Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A		5,129,495
	1,015,197	Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A		946,207
	3,660,903	Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A		3,350,914
	560,000	Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A		465,247
	2,105,000	Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A		1,722,359
	4,790,000	Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A		3,658,751
	411,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 5.023%, 6/15/2032(b)		402,837

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Student Loan — continued
$	321,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day Auction Rate Security, 5.166%, 6/15/2032(b)	$	315,003
	627,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 5.133%, 3/15/2033(b)		615,034
	420,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 5.213%, 3/15/2033(b)		411,984
	2,500,000	SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A		2,391,005
	565,000	SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A		522,308
	1,525,000	SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A		1,441,188
	6,455,521	SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A		6,315,785
	10,808,244	SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A		10,464,237
	856,705	SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A		817,722

				47,776,033

		ABS Whole Business — 1.1%
	9,339,390	Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A		9,192,278
	3,595,000	Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A		3,518,422
	7,096,333	DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A		6,615,585
	2,860,053	Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A		2,732,880
	5,125,115	Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A		4,963,187
	4,022,413	Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A		3,640,714
	15,315,300	Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A		13,349,413
	3,946,250	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A		3,837,586
	1,646,775	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		1,464,031
	17,139,000	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A		17,000,753
	2,459,125	Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A		2,316,294

				68,631,143

		Aerospace & Defense — 2.1%
	13,620,000	BAE Systems PLC, 3.400%, 4/15/2030, 144A		12,433,043
	29,500,000	Boeing Co. (The), 2.196%, 2/04/2026		26,590,286
	3,780,000	Boeing Co. (The), 2.250%, 6/15/2026		3,378,270
	4,874,000	Boeing Co. (The), 2.950%, 2/01/2030		4,055,680
	655,000	Boeing Co. (The), 3.100%, 5/01/2026		609,972
	3,225,000	Boeing Co. (The), 3.200%, 3/01/2029		2,790,540
	9,088,000	Boeing Co. (The), 3.375%, 6/15/2046		6,013,075
	3,564,000	Boeing Co. (The), 3.625%, 3/01/2048		2,387,034
	12,869,000	Boeing Co. (The), 3.750%, 2/01/2050		9,074,447
	1,932,000	Boeing Co. (The), 3.825%, 3/01/2059		1,244,696
	2,501,000	Boeing Co. (The), 3.850%, 11/01/2048		1,765,956
	5,870,000	Boeing Co. (The), 5.150%, 5/01/2030		5,634,484
	4,875,000	Boeing Co. (The), 5.805%, 5/01/2050		4,477,550
	4,465,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		4,319,888
		Aerospace & Defense — continued
$	4,350,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027	$	4,120,654
	6,885,000	Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025		6,779,043
	4,245,000	Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030		3,999,905
	650,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039		736,515
	1,335,000	Spirit AeroSystems, Inc., 4.600%, 6/15/2028		985,631
	29,075,000	Textron, Inc., 3.000%, 6/01/2030		25,290,250

				126,686,919

		Airlines — 0.8%
	1,614,374	American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025		1,522,742
	5,727,570	American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025		5,351,326
	11,568,439	American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030		9,663,787
	1,234,662	American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027		1,070,267
	4,971,370	American Airlines Pass Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031		4,349,128
	2,655,670	American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		2,363,697
	16,986,882	American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029		14,344,233
	5,372,204	British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A		4,691,278
	2,372,435	United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031		2,096,414
	4,920,150	United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029		4,835,523

				50,288,395

		Automotive — 2.0%
	25,580,000	American Honda Finance Corp., MTN, 0.550%, 7/12/2024		24,024,488
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		5,769,753
	29,605,000	Ford Motor Co., 3.250%, 2/12/2032		22,141,580
	2,360,000	Ford Motor Credit Co. LLC, 3.625%, 6/17/2031		1,829,000
	9,966,000	General Motors Co., 5.200%, 4/01/2045		8,370,901
	27,915,000	General Motors Co., 5.400%, 4/01/2048		24,283,316
	205,000	General Motors Co., 5.950%, 4/01/2049		190,366
	9,600,000	General Motors Co., 6.250%, 10/02/2043		9,145,794
	24,360,000	Volkswagen Group of America Finance LLC, 0.875%, 11/22/2023, 144A		23,340,859
	2,895,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A		2,798,047

				121,894,104

		Banking — 9.3%
	5,125,000	Ally Financial, Inc., 2.200%, 11/02/2028		4,173,545
	300,000	Ally Financial, Inc., 3.875%, 5/21/2024		297,352
	39,613,000	Ally Financial, Inc., 4.625%, 3/30/2025		39,347,026
	10,640,000	Ally Financial, Inc., 5.750%, 11/20/2025		10,482,367
	1,468,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,606,265
	10,155,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A		10,188,410
	5,800,000	Banco Santander S.A., 2.749%, 12/03/2030		4,606,576
	49,304,000	Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028		45,914,748
	100,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		98,591
	25,627,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		24,905,744

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Banking — continued
$	24,260,000	Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027	$	21,506,792
	4,287,000	Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030		4,046,489
	18,255,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		15,050,299
	3,335,000	BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A		3,023,178
	14,045,000	BNP Paribas S.A., (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A		12,633,276
	22,500,000	BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A		20,869,476
	460,000	Capital One Financial Corp., 4.200%, 10/29/2025		453,856
	1,230,000	Citigroup, Inc., 4.125%, 7/25/2028		1,179,832
	7,155,000	Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A		6,547,397
	14,970,000	Credit Suisse AG, 3.700%, 2/21/2025		14,616,858
	14,200,000	Danske Bank A/S, 5.375%, 1/12/2024, 144A		14,325,693
	3,390,000	Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A		3,230,547
	4,690,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		3,525,888
	2,640,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		2,270,253
	9,260,000	Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024		8,927,619
	6,235,000	Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031		5,219,278
	19,755,000	Deutsche Bank AG, Series E, 0.962%, 11/08/2023		18,926,531
	70,245,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		69,613,952
	28,715,000	JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031		28,043,450
	12,025,000	JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027		10,701,246
	100,000	KeyBank NA, 6.950%, 2/01/2028		109,540
	30,210,000	Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024		29,613,578
	1,845,000	Morgan Stanley, GMTN, 4.350%, 9/08/2026		1,825,933
	20,695,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		20,775,709
	25,560,000	Nationwide Building Society, 0.550%, 1/22/2024, 144A		24,339,254
	7,340,000	NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028		7,392,283
	15,160,000	Santander Holdings USA, Inc., 3.244%, 10/05/2026		14,216,693
	20,295,000	Societe Generale S.A., 4.250%, 4/14/2025, 144A		19,911,425
	11,950,000	Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A		9,736,483
	16,790,000	Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A		13,562,527
	7,090,000	Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A		6,757,165
	3,865,000	Synchrony Financial, 4.375%, 3/19/2024		3,841,472
	1,000,000	UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A		863,872
	1,820,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		1,470,894

				560,749,362

		Brokerage — 0.5%
$	19,498,000	Jefferies Group LLC, 6.250%, 1/15/2036	$	19,604,758
	8,760,000	Jefferies Group LLC, 6.450%, 6/08/2027		9,365,967

				28,970,725

		Building Materials — 1.3%
	33,030,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		24,772,500
	16,180,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		13,852,831
	5,955,000	Cemex SAB de CV, 5.450%, 11/19/2029, 144A		5,293,995
	3,285,000	Ferguson Finance PLC, 3.250%, 6/02/2030, 144A		2,842,962
	23,975,000	Owens Corning, 7.000%, 12/01/2036		26,788,677
	2,655,000	Vulcan Materials Co., 3.500%, 6/01/2030		2,407,123

				75,958,088

		Cable Satellite — 2.1%
	9,425,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A		7,739,716
	1,905,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		1,471,612
	2,826,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A		2,346,366
	315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032		255,056
	790,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A		646,852
	550,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A		491,612
	1,085,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032		820,941
	8,340,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031		6,679,154
	1,790,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033		1,598,180
	25,020,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062		16,714,213
	12,605,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061		9,065,618
	28,090,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050		22,257,395
	26,515,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		17,731,641
	1,115,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		751,552
	1,035,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		752,994
	930,000	CSC Holdings LLC, 6.500%, 2/01/2029, 144A		839,911
	1,880,000	DISH DBS Corp., 5.125%, 6/01/2029		1,142,363
	3,850,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		3,017,784
	2,416,000	Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A		2,240,888
	200,000	Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A		182,250
	17,891,000	Time Warner Cable LLC, 4.500%, 9/15/2042		13,966,074
	15,815,000	Time Warner Cable LLC, 5.500%, 9/01/2041		13,805,121

				124,517,293

		Chemicals — 0.9%
	4,330,000	Alpek SAB de CV, 3.250%, 2/25/2031, 144A		3,471,621
	9,180,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		7,829,438
	6,060,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A		4,786,855
	27,205,000	CF Industries, Inc., 4.500%, 12/01/2026, 144A		27,094,494
	3,740,000	FMC Corp., 3.450%, 10/01/2029		3,392,748

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Chemicals — continued
$	12,285,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A	$	9,838,442

				56,413,598

		Construction Machinery — 0.6%
	23,395,000	Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024		22,592,991
	5,730,000	John Deere Capital Corp., MTN, 0.900%, 1/10/2024		5,530,988
	8,900,000	John Deere Capital Corp., MTN, 1.250%, 1/10/2025		8,439,562

				36,563,541

		Consumer Cyclical Services — 1.2%
	16,000,000	Booking Holdings, Inc., 4.625%, 4/13/2030		15,908,520
	7,790,000	Expedia Group, Inc., 2.950%, 3/15/2031		6,196,154
	32,366,000	Expedia Group, Inc., 3.250%, 2/15/2030		26,992,564
	4,928,000	Expedia Group, Inc., 3.800%, 2/15/2028		4,491,172
	3,970,000	Expedia Group, Inc., 4.625%, 8/01/2027		3,814,192
	1,025,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		843,062
	8,430,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		7,796,401
	5,015,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		4,858,432

				70,900,497

		Consumer Products — 0.2%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		8,054,570
	6,970,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		5,739,098

				13,793,668

		Diversified Manufacturing — 0.1%
	7,675,000	GE Capital Funding LLC, 4.550%, 5/15/2032		7,402,865
	1,869,000	GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035		1,745,637

				9,148,502

		Electric — 1.7%
	7,435,000	AES Corp. (The), 2.450%, 1/15/2031		5,979,731
	3,695,000	AES Corp. (The), 3.950%, 7/15/2030, 144A		3,331,782
	14,218,765	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		14,779,284
	14,855,000	Calpine Corp., 3.750%, 3/01/2031, 144A		12,083,057
	13,025,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		12,950,192
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		9,946,802
	2,355,000	IPALCO Enterprises, Inc., 4.250%, 5/01/2030		2,186,488
	9,641,000	NRG Energy, Inc., 4.450%, 6/15/2029, 144A		8,635,468
	1,435,000	NRG Energy, Inc., 5.250%, 6/15/2029, 144A		1,280,738
	4,437,000	NRG Energy, Inc., 5.750%, 1/15/2028		4,032,922
	6,185,000	Pacific Gas & Electric Co., 3.250%, 6/01/2031		4,995,395
	2,300,000	Pacific Gas & Electric Co., 3.500%, 8/01/2050		1,536,294
	10,400,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		7,560,950
	1,250,000	Pacific Gas & Electric Co., 4.950%, 7/01/2050		997,389
	2,050,000	Pacific Gas & Electric Co., 5.450%, 6/15/2027		1,983,845
	10,835,000	Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A		9,973,424

				102,253,761

		Finance Companies — 3.9%
	7,910,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028		6,662,742
	9,900,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032		7,924,864
		Finance Companies — continued
$	860,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027	$	781,060
	23,900,000	Air Lease Corp., 3.125%, 12/01/2030		19,534,160
	2,235,000	Air Lease Corp., 3.250%, 10/01/2029		1,882,838
	10,270,000	Air Lease Corp., 3.375%, 7/01/2025		9,671,027
	345,000	Air Lease Corp., 4.625%, 10/01/2028		319,032
	8,426,000	Air Lease Corp., MTN, 3.000%, 2/01/2030		6,876,160
	12,430,000	Aircastle Ltd., 4.125%, 5/01/2024		12,078,193
	8,070,000	Aircastle Ltd., 4.400%, 9/25/2023		7,965,468
	8,160,000	Aircastle Ltd., 5.000%, 4/01/2023		8,150,017
	10,260,000	Ares Capital Corp., 2.875%, 6/15/2028		8,128,392
	14,460,000	Ares Capital Corp., 3.200%, 11/15/2031		10,506,731
	3,865,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		3,361,802
	7,510,000	Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A		7,443,989
	8,135,000	Barings BDC, Inc., 3.300%, 11/23/2026, 144A		7,056,478
	27,825,000	Blackstone Secured Lending Fund, 2.125%, 2/15/2027		23,268,623
	9,785,000	FS KKR Capital Corp., 3.125%, 10/12/2028		7,804,172
	3,425,000	Navient Corp., 5.000%, 3/15/2027		2,817,165
	50,000	Navient Corp., 5.875%, 10/25/2024		45,960
	145,000	Navient Corp., 6.750%, 6/15/2026		128,325
	222,000	Navient Corp., 7.250%, 9/25/2023		219,645
	20,000	Navient Corp., MTN, 6.125%, 3/25/2024		18,963
	7,275,000	Oaktree Specialty Lending Corp., 2.700%, 1/15/2027		6,300,205
	10,036,000	Owl Rock Capital Corp., 2.625%, 1/15/2027		8,408,618
	10,466,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		8,218,486
	13,940,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		11,762,374
	13,705,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		11,325,949
	7,445,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029		5,854,152
	18,285,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		13,700,768
	25,002,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		17,751,420

				235,967,778

		Financial Other — 0.2%
	2,310,000	CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025		1,375,605
	720,000	CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024		458,410
	6,220,000	Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031		2,559,032
	1,110,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		897,058
	2,050,000	Logan Group Co. Ltd., 4.250%, 7/12/2025		435,809
	3,445,000	Logan Group Co. Ltd., 4.850%, 12/14/2026		738,298
	6,065,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d)(e)		625,847
	400,000	Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d)(e)		42,828
	3,495,000	Shimao Group Holdings Ltd., 4.750%, 7/03/2022		403,672
	4,345,000	Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d)(e)		465,219
	3,780,000	Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d)(e)		422,793
	1,265,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)(e)		139,555
	5,120,000	Times China Holdings Ltd., 5.750%, 1/14/2027(d)(e)		671,181

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Financial Other — continued
$	1,835,000	Times China Holdings Ltd., 6.200%, 3/22/2026(d)(e)	$	265,800
	1,415,000	Times China Holdings Ltd., 6.750%, 7/08/2025(d)(e)		214,373

				9,715,480

		Food & Beverage — 0.7%
	4,895,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A		4,134,823
	3,625,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A		2,973,906
	10,660,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A		10,087,550
	6,305,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		5,252,506
	6,470,000	NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A		6,567,050
	13,590,000	Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A		10,654,152
	2,065,000	Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A		1,723,201
	1,920,000	Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A		1,591,674

				42,984,862

		Gaming — 0.7%
	14,625,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		11,575,879
	4,880,000	GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032		3,911,175
	9,090,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		8,301,988
	7,785,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		7,162,200
	6,760,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		6,430,450
	5,560,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		5,490,500

				42,872,192

		Government Owned – No Guarantee — 0.5%
	8,755,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		6,991,412
	12,655,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		10,639,639
	6,700,000	Antares Holdings LP, 6.000%, 8/15/2023, 144A		6,764,786
	4,000,000	Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A		2,400,327
	2,185,000	Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029		948,399
	4,210,000	Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030		1,814,805

				29,559,368

		Health Insurance — 0.6%
	19,320,000	Centene Corp., 2.500%, 3/01/2031		15,335,443
	4,145,000	Centene Corp., 2.625%, 8/01/2031		3,297,347
	2,520,000	Centene Corp., 3.000%, 10/15/2030		2,088,450
	14,895,000	Centene Corp., 4.250%, 12/15/2027		13,904,036
	565,000	Centene Corp., 4.625%, 12/15/2029		526,863

				35,152,139

		Healthcare — 1.1%
	19,420,000	Cigna Corp., 4.375%, 10/15/2028		19,270,129
	1,261,000	Cigna Corp., 7.875%, 5/15/2027		1,452,903
	7,210,000	CVS Health Corp., 3.250%, 8/15/2029		6,581,735
	337,477	CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A		349,603
	331,136	CVS Pass-Through Trust, 6.036%, 12/10/2028		336,474
	10,352,294	CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A		10,054,459
		Healthcare — continued
$	1,086,454	CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A	$	1,068,582
	685,000	Encompass Health Corp., 4.750%, 2/01/2030		574,057
	2,671,000	HCA, Inc., 3.500%, 9/01/2030		2,272,246
	10,120,000	HCA, Inc., 4.125%, 6/15/2029		9,227,268
	16,050,000	HCA, Inc., 4.500%, 2/15/2027		15,430,513

				66,617,969

		Home Construction — 0.4%
	2,450,000	Lennar Corp., 4.750%, 11/29/2027		2,378,631
	560,000	Lennar Corp., 4.875%, 12/15/2023		563,077
	55,000	Lennar Corp., 5.000%, 6/15/2027		54,540
	5,370,000	MDC Holdings, Inc., 3.966%, 8/06/2061		3,089,785
	12,384,000	MDC Holdings, Inc., 6.000%, 1/15/2043		10,115,885
	6,130,000	Meritage Homes Corp., 3.875%, 4/15/2029, 144A		5,081,218

				21,283,136

		Independent Energy — 2.4%
	3,195,000	Aker BP ASA, 3.000%, 1/15/2025, 144A		3,085,530
	9,925,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		8,891,471
	16,455,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		14,780,568
	3,140,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		2,452,089
	24,997,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		24,170,599
	4,685,000	Diamondback Energy, Inc., 3.125%, 3/24/2031		4,080,412
	6,910,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		5,847,933
	9,035,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		7,340,937
	1,625,000	EQT Corp., 3.125%, 5/15/2026, 144A		1,521,504
	9,675,000	EQT Corp., 3.625%, 5/15/2031, 144A		8,359,780
	13,775,000	EQT Corp., 3.900%, 10/01/2027		12,818,877
	1,970,000	EQT Corp., 5.000%, 1/15/2029		1,907,118
	10,475,000	Hess Corp., 4.300%, 4/01/2027		10,210,903
	4,675,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		4,406,094
	10,085,000	Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A		9,007,579
	7,360,000	Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A		6,088,788
	6,090,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		6,047,553
	11,260,000	Ovintiv, Inc., 6.500%, 8/15/2034		11,752,437
	1,110,000	Ovintiv, Inc., 7.375%, 11/01/2031		1,220,258
	1,750,000	Southwestern Energy Co., 4.750%, 2/01/2032		1,495,419

				145,485,849

		Leisure — 0.2%
	1,985,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		1,558,007
	6,665,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		5,698,641
	2,750,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		1,911,250

				9,167,898

		Life Insurance — 2.9%
	11,800,000	Athene Global Funding, 1.608%, 6/29/2026, 144A		10,295,464
	18,770,000	Athene Global Funding, 1.716%, 1/07/2025, 144A		17,514,476
	21,550,000	Athene Global Funding, 2.550%, 11/19/2030, 144A		17,423,837
	7,385,000	Athene Holding Ltd., 3.500%, 1/15/2031		6,252,065
	8,255,000	CNO Financial Group, Inc., 5.250%, 5/30/2029		7,975,981
	19,600,000	Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A		19,943,984
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		9,863,167

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Life Insurance — continued
$	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(d)(e)	$	37,538,301
	23,335,000	New York Life Global Funding, 0.850%, 1/15/2026, 144A(a)		21,050,964
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(d)(e)		7,822,926
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,040,443
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		17,095,505

				175,817,113

		Local Authorities — 0.2%
	14,455,000	Province of Quebec Canada 0.600%, 7/23/2025		13,369,574

		Lodging — 0.2%
	1,795,000	Marriott International, Inc., Series FF, 4.625%, 6/15/2030		1,720,838
	3,525,000	Marriott International, Inc., Series HH, 2.850%, 4/15/2031		2,923,215
	975,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		810,886
	7,435,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		5,751,644
	1,610,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		1,247,750
	205,000	Travel & Leisure Co., 6.000%, 4/01/2027		185,674
	235,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		222,811
				��
				12,862,818

		Media Entertainment — 1.5%
	2,610,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		2,150,849
	3,925,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		3,359,133
	9,341,000	Magallanes, Inc., 3.755%, 3/15/2027, 144A		8,766,435
	4,125,000	Magallanes, Inc., 4.054%, 3/15/2029, 144A		3,781,676
	6,335,000	Magallanes, Inc., 4.279%, 3/15/2032, 144A		5,659,626
	3,105,000	Netflix, Inc., 4.875%, 4/15/2028		2,921,960
	22,100,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		20,226,914
	2,545,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		2,405,025
	11,295,000	Netflix, Inc., 5.875%, 11/15/2028		11,043,234
	16,970,000	Netflix, Inc., 6.375%, 5/15/2029		17,138,852
	2,700,000	Paramount Global, 4.200%, 6/01/2029		2,537,708
	10,855,000	Paramount Global, 4.950%, 1/15/2031		10,334,067

				90,325,479

		Metals & Mining — 2.8%
	2,650,000	Alcoa Nederland Holding BV, 4.125%, 3/31/2029, 144A		2,369,471
	3,980,000	Alcoa Nederland Holding BV, 6.125%, 5/15/2028, 144A		3,870,550
	550,000	Anglo American Capital PLC, 2.625%, 9/10/2030, 144A		452,610
	1,325,000	Anglo American Capital PLC, 2.875%, 3/17/2031, 144A		1,102,492
	6,260,000	Anglo American Capital PLC, 4.000%, 9/11/2027, 144A		5,951,276
	34,334,000	Anglo American Capital PLC, 4.500%, 3/15/2028, 144A		33,335,778
	8,785,000	Anglo American Capital PLC, 4.750%, 4/10/2027, 144A		8,678,868
	11,405,000	ArcelorMittal S.A., 6.750%, 3/01/2041		11,283,462
	3,363,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		3,097,323
	5,890,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		5,266,013
		Metals & Mining — continued
$	1,800,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A	$	1,701,831
	6,325,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		5,162,086
	7,820,000	Freeport-McMoRan, Inc., 4.250%, 3/01/2030		7,115,722
	2,930,000	Freeport-McMoRan, Inc., 4.375%, 8/01/2028		2,736,524
	10,645,000	Freeport-McMoRan, Inc., 4.625%, 8/01/2030		9,876,218
	6,175,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		6,026,244
	7,688,000	Glencore Funding LLC, 3.875%, 10/27/2027, 144A		7,294,913
	39,092,000	Glencore Funding LLC, 4.000%, 3/27/2027, 144A		37,589,074
	11,700,000	Glencore Funding LLC, 4.125%, 3/12/2024, 144A		11,641,309
	4,280,000	Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A		3,781,251
	1,855,000	Reliance Steel & Aluminum Co., 2.150%, 8/15/2030		1,502,967
	2,010,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		1,749,705

				171,585,687

		Midstream — 1.9%
	22,495,000	Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029		20,576,221
	13,555,000	DCP Midstream Operating LP, 3.250%, 2/15/2032		10,632,271
	3,045,000	DCP Midstream Operating LP, 5.125%, 5/15/2029		2,740,500
	650,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		637,000
	7,000,000	Energy Transfer LP, 4.950%, 6/15/2028		6,897,699
	6,405,000	Energy Transfer LP, 5.250%, 4/15/2029		6,343,874
	1,435,000	Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A		1,311,942
	14,660,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		14,615,276
	14,040,000	MPLX LP, 4.250%, 12/01/2027		13,548,261
	85,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		92,500
	225,000	Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023		223,962
	3,710,000	Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030		3,279,357
	7,365,000	Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043		5,549,531
	620,000	Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045		498,610
	12,445,000	Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030		11,926,264
	1,955,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		1,782,183
	1,975,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		1,884,506
	2,170,000	Western Midstream Operating LP, 4.550%, 2/01/2030		1,877,050
	5,070,000	Western Midstream Operating LP, 5.300%, 3/01/2048		4,087,180
	950,000	Western Midstream Operating LP, 5.450%, 4/01/2044		789,583
	710,000	Western Midstream Operating LP, 5.500%, 8/15/2048		578,650
	2,870,000	Western Midstream Operating LP, 5.750%, 2/01/2050		2,304,778

				112,177,198

		Mortgage Related — 0.0%
	735	FNMA, 6.000%, 7/01/2029		786

		Non-Agency Commercial Mortgage-Backed Securities — 1.5%
	8,625,000	BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064		7,083,493

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	410,000	BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A	$	375,741
	1,410,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A		1,403,244
	785,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		755,804
	673,491	Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(c)		672,493
	2,010,000	Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.456%, 12/10/2044(c)		1,909,936
	370,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A		340,468
	510,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A		453,088
	12,790,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		10,736,473
	5,095,000	DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(c)		4,795,520
	3,523,316	Extended Stay America Trust, Series 2021-ESH, Class C, 1-month LIBOR + 1.700%, 3.025%, 7/15/2038, 144A(b)		3,408,292
	2,390,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(c)		2,217,412
	9,406,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(c)		7,391,029
	6,079,000	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(c)		5,565,337
	6,478,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.509%, 12/15/2047, 144A(c)		6,413,122
	340,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.509%, 12/15/2047, 144A(c)		334,615
	4,990,000	MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 3.125%, 11/15/2038, 144A(b)		4,758,207
	945,000	Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A		936,090
	5,050,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.295%, 8/15/2046(c)		5,025,579
	1,405,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.921%, 10/15/2046(c)		1,328,850
	3,456,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044, 144A(c)(d)(e)		2,764,800
	4,735,000	RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(c)		4,659,357
	965,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC, 4.889%, 5/10/2063, 144A(c)		913,884
	6,706,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.961%, 5/10/2063, 144A(c)(d)(e)		226,663
	788,923	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A		769,975
	4,990,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.434%, 7/15/2046(c)		4,679,424
	4,030,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class AS, 3.419%, 11/15/2059		3,736,804
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	1,640,146	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.415%, 3/15/2044, 144A(c)	$	698,702
	1,565,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045		1,544,380
	1,746,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.689%, 6/15/2045(c)		1,239,660
	865,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.689%, 6/15/2045, 144A(c)(d)(e)		77,850
	4,615,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047		4,372,546
	1,290,000	WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(c)		1,195,090

				92,783,928

		Paper — 0.4%
	10,460,000	Suzano Austria GmbH, 3.750%, 1/15/2031		8,446,450
	16,595,000	Weyerhaeuser Co., 4.000%, 4/15/2030		15,620,580
	2,515,000	WRKCo, Inc., 4.000%, 3/15/2028		2,453,433

				26,520,463

		Pharmaceuticals — 0.4%
	570,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		446,048
	865,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A		460,612
	120,000	Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A		62,400
	340,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		175,671
	1,295,000	Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A		662,749
	135,000	Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A		71,847
	220,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A		125,950
	980,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		819,290
	15,105,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		12,386,100
	6,270,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		3,904,642
	4,335,000	Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027		3,702,602
	3,140,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		2,586,575

				25,404,486

		Property & Casualty Insurance — 0.5%
	16,635,000	Fidelity National Financial, Inc., 3.400%, 6/15/2030		14,554,377
	2,740,000	Fidelity National Financial, Inc., 5.500%, 9/01/2022		2,750,240
	3,159,000	Sirius International Group Ltd., 4.600%, 11/01/2026, 144A		2,948,516
	14,195,000	Stewart Information Services Corp., 3.600%, 11/15/2031		11,774,185

				32,027,318

		REITs – Apartments — 0.0%
	2,185,000	American Homes 4 Rent, 2.375%, 7/15/2031		1,742,291

		REITs – Health Care — 0.1%
	5,972,000	Welltower, Inc., 6.500%, 3/15/2041		6,695,981

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		REITs – Office Property — 0.0%
$	2,085,000	Corporate Office Properties LP, 2.750%, 4/15/2031	$	1,685,787

		REITs – Regional Malls — 0.1%
	6,815,000	Simon Property Group LP, 2.650%, 7/15/2030		5,781,848

		REITs – Shopping Centers — 0.1%
	1,600,000	Brixmor Operating Partnership LP, 2.250%, 4/01/2028		1,372,068
	2,280,000	Brixmor Operating Partnership LP, 4.050%, 7/01/2030		2,057,174

				3,429,242

		Restaurants — 0.0%
	2,375,000	Yum! Brands, Inc., 4.750%, 1/15/2030, 144A		2,155,312

		Retailers — 1.1%
	21,520,000	7-Eleven, Inc., 0.800%, 2/10/2024, 144A		20,389,146
	1,960,000	AutoNation, Inc., 4.750%, 6/01/2030		1,843,750
	9,720,000	AutoZone, Inc., 3.625%, 4/15/2025		9,599,082
	14,585,000	AutoZone, Inc., 4.000%, 4/15/2030		13,848,386
	5,620,000	Dollar General Corp., 3.500%, 4/03/2030		5,171,490
	4,665,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		3,970,615
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,820,951
	3,755,000	PVH Corp., 7.750%, 11/15/2023		3,914,963
	3,145,000	Tapestry, Inc., 3.050%, 3/15/2032		2,562,278

				69,120,661

		Supermarkets — 0.0%
	325,000	Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040		339,556

		Technology — 4.8%
	27,985,000	Avnet, Inc., 4.625%, 4/15/2026		28,138,654
	9,915,000	Broadcom, Inc., 3.187%, 11/15/2036, 144A		7,537,138
	5,355,000	Broadcom, Inc., 4.150%, 11/15/2030		4,906,323
	5,480,000	Broadcom, Inc., 4.300%, 11/15/2032		4,977,153
	1,170,000	CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026		1,042,393
	3,000,000	CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029		2,529,509
	22,935,000	CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031		18,948,094
	745,000	CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028		672,362
	1,620,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,197,662
	3,095,000	CommScope, Inc., 4.750%, 9/01/2029, 144A		2,496,721
	3,900,000	CommScope, Inc., 6.000%, 3/01/2026, 144A		3,592,017
	3,950,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		3,002,316
	17,625,000	Entegris Escrow Corp., 4.750%, 4/15/2029, 144A		16,412,895
	10,115,000	Equinix, Inc., 2.150%, 7/15/2030		8,182,995
	17,195,000	Equinix, Inc., 3.200%, 11/18/2029		15,274,968
	5,320,000	Jabil, Inc., 1.700%, 4/15/2026		4,763,499
	4,610,000	Jabil, Inc., 3.000%, 1/15/2031		3,871,498
	16,735,000	KLA Corp., 5.650%, 11/01/2034		17,836,722
	7,480,000	Marvell Technology, Inc., 2.450%, 4/15/2028		6,527,052
	6,390,000	Marvell Technology, Inc., 2.950%, 4/15/2031		5,358,424
	11,425,000	Microchip Technology, Inc., 0.983%, 9/01/2024		10,654,308
	25,479,000	Micron Technology, Inc., 4.663%, 2/15/2030		24,433,288
	10,622,000	Micron Technology, Inc., 5.327%, 2/06/2029		10,564,769
	3,980,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027		3,687,766
	2,225,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030		1,962,732
	1,525,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027		1,501,254
		Technology — continued
$	1,055,000	Open Text Corp., 3.875%, 2/15/2028, 144A	$	937,188
	1,015,000	Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A		878,026
	25,480,000	Oracle Corp., 3.600%, 4/01/2050		17,699,893
	4,402,000	S&P Global, Inc., 4.250%, 5/01/2029, 144A		4,360,093
	1,770,000	Skyworks Solutions, Inc., 1.800%, 6/01/2026		1,569,999
	970,000	SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A		904,583
	13,665,000	TD SYNNEX Corp., 1.750%, 8/09/2026, 144A		12,038,082
	15,815,000	TSMC Arizona Corp., 2.500%, 10/25/2031		13,560,815
	9,135,000	Verisk Analytics, Inc., 4.125%, 3/15/2029		8,801,917
	10,945,000	Western Digital Corp., 2.850%, 2/01/2029		8,911,364
	955,000	Western Digital Corp., 3.100%, 2/01/2032		732,294
	8,330,000	Western Digital Corp., 4.750%, 2/15/2026		7,947,736

				288,414,502

		Transportation Services — 0.1%
	9,670,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		9,003,350

		Treasuries — 12.9%
	142,940,000	U.S. Treasury Bond, 2.000%, 11/15/2041		113,525,628
	282,435,000	U.S. Treasury Bond, 2.250%, 2/15/2052		232,435,179
	47,065,000	U.S. Treasury Bond, 3.250%, 5/15/2042		45,932,498
	119,815,000	U.S. Treasury Note, 0.125%, 12/31/2022(a)(f)		118,382,837
	79,165,000	U.S. Treasury Note, 0.125%, 4/30/2023		77,383,788
	200,000,000	U.S. Treasury Note, 0.125%, 8/31/2023(a)		193,492,188

				781,152,118

		Wireless — 1.5%
	2,295,000	Crown Castle International Corp., 2.250%, 1/15/2031		1,861,558
	3,725,000	Crown Castle International Corp., 3.300%, 7/01/2030		3,285,136
	22,660,000	Crown Castle International Corp., 3.650%, 9/01/2027		21,460,096
	6,615,000	Crown Castle International Corp., 4.000%, 3/01/2027		6,426,208
	610,000	Sprint Capital Corp., 6.875%, 11/15/2028		641,427
	1,960,000	T-Mobile USA, Inc., 2.400%, 3/15/2029		1,692,604
	3,515,000	T-Mobile USA, Inc., 2.700%, 3/15/2032		2,949,038
	15,320,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		13,405,000
	7,565,000	T-Mobile USA, Inc., 3.500%, 4/15/2031		6,531,848
	36,385,000	T-Mobile USA, Inc., 3.875%, 4/15/2030		33,956,522

				92,209,437

		Wirelines — 0.0%
	857,000	Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A		730,592

		Total Non-Convertible Bonds (Identified Cost $5,452,304,709)		4,996,214,414


	Convertible Bonds — 1.1%
		Airlines — 0.1%
	5,165,000	Southwest Airlines Co., 1.250%, 5/01/2025		6,081,788

		Cable Satellite — 0.4%
	9,050,000	DISH Network Corp., 2.375%, 3/15/2024		7,964,000
	16,015,000	DISH Network Corp., 3.375%, 8/15/2026		10,818,133
	4,115,000	DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(g)		2,890,499

				21,672,632

		Consumer Cyclical Services — 0.1%
	1,095,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-0.799%, 2/15/2026(g)		702,399

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Consumer Cyclical Services — continued
$	5,755,000	Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(g)	$	4,598,935

				5,301,334

		Healthcare — 0.2%
	14,730,000	Teladoc Health, Inc., 1.250%, 6/01/2027		10,789,725

		Media Entertainment — 0.0%
	1,770,000	Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026(h)		1,566,561

		Pharmaceuticals — 0.3%
	5,120,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		5,068,800
	13,985,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		13,898,293
	2,935,000	Livongo Health, Inc., 0.875%, 6/01/2025		2,487,706

				21,454,799

		Total Convertible Bonds (Identified Cost $81,731,942)		66,866,839


	Municipals — 0.1%
		Virginia — 0.1%
	7,115,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $6,859,269)		6,608,838

		Total Bonds and Notes (Identified Cost $5,540,895,920)		5,069,690,091


	Collateralized Loan Obligations — 3.3%
	1,585,000	522 Funding CLO Ltd., Series 2021-7A, Class D, 3-month LIBOR + 2.900%, 4.084%, 4/23/2034, 144A(b)		1,410,913
	5,565,000	AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3-month LIBOR + 1.700%, 2.763%, 7/20/2034, 144A(b)		5,249,147
	14,785,000	Alinea CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.650%, 2.713%, 7/20/2031, 144A(b)		14,074,374
	4,650,000	Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 2.714%, 7/15/2031, 144A(b)		4,437,142
	3,520,000	ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 4.044%, 10/15/2034, 144A(b)		3,260,724
	4,075,000	Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 2.544%, 10/15/2030, 144A(b)		3,904,812
	1,651,667	Atrium XV, Series 15A, Class D, 3-month LIBOR + 3.000%, 4.184%, 1/23/2031, 144A(b)		1,558,923
	1,170,000	Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 2.878%, 11/20/2030, 144A(b)		1,113,547
	5,320,000	Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3-month LIBOR + 1.550%, 2.594%, 7/18/2030, 144A(b)		5,099,172
	2,525,000	Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.700%, 2.744%, 7/15/2031, 144A(b)		2,408,827
	3,920,000	Canyon CLO Ltd., Series 2021-4A, Class B, 3-month LIBOR + 1.700%, 2.744%, 10/15/2034, 144A(b)		3,718,175
	7,170,000	Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3-month LIBOR + 1.650%, 2.713%, 10/20/2034, 144A(b)		6,816,505
	Collateralized Loan Obligations — continued
$	6,500,000	CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR + 1.800%, 2.844%, 10/17/2031, 144A(b)	$	6,260,754
	4,415,000	CIFC Funding Ltd., Series 2021-6A, Class B, 3-month LIBOR + 1.650%, 2.694%, 10/15/2034, 144A(b)		4,181,976
	3,335,000	Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 2.444%, 1/15/2031, 144A(b)		3,189,064
	1,250,000	Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3-month LIBOR + 1.650%, 2.834%, 10/25/2031, 144A(b)		1,190,172
	4,465,000	Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3-month LIBOR + 1.700%, 3.205%, 11/22/2031, 144A(b)		4,250,171
	5,405,000	Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 2.613%, 4/20/2030, 144A(b)		5,197,934
	13,735,000	Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 2.543%, 4/20/2031, 144A(b)		13,040,998
	3,545,000	Invesco CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.050%, 4.094%, 4/15/2034, 144A(b)		3,190,535
	13,180,000	Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 2.836%, 10/22/2030, 144A(b)		12,649,215
	2,945,000	Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3-month LIBOR + 1.600%, 2.644%, 10/18/2031, 144A(b)		2,824,314
	13,895,000	Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3-month Term SOFR + 1.950%, 2.738%, 4/15/2035, 144A(b)		13,004,129
	2,105,000	Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 3.944%, 4/15/2034, 144A(b)		1,838,760
	545,455	Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3-month LIBOR + 1.700%, 2.798%, 10/21/2030, 144A(b)		521,206
��	6,205,000	OCP CLO Ltd., Series 2016-12A, Class BR2, 3-month Term SOFR + 1.810%, 2.531%, 4/18/2033, 144A(b)		5,861,991
	14,755,000	OCP CLO Ltd., Series 2020-8RA, Class A2, 3-month LIBOR + 1.550%, 2.594%, 1/17/2032, 144A(b)		13,928,735
	2,000,000	Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.600%, 2.644%, 7/15/2030, 144A(b)		1,901,216
	1,986,282	Octagon Investment Partners 28 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.800%, 2.984%, 10/24/2030, 144A(b)		1,909,770
	4,155,000	Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 4.344%, 7/15/2036, 144A(b)		3,750,461
	7,170,000	Octagon Investment Partners Ltd., Series 2018-18A, Class A2, 3-month LIBOR + 1.470%, 2.514%, 4/16/2031, 144A(b)		6,816,548
	1,440,000	Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 3.205%, 5/21/2034, 144A(b)		1,369,608
	12,875,000	Post CLO Ltd., Series 2022-1A, Class B, 3-month Term SOFR + 1.900%, 2.613%, 4/20/2035, 144A(b)		11,988,437
	4,310,000	Rad CLO Ltd., Series 2021-15A, Class B, 3-month LIBOR + 1.650%, 1.897%, 1/20/2034, 144A(b)		4,056,813

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)


Principal Amount		Description	Value (†)
	Collateralized Loan Obligations — continued
$	1,730,000	Recette CLO Ltd., Series 2015-1A, Class BRR, 3-month LIBOR + 1.400%, 2.463%, 4/20/2034, 144A(b)	$	1,604,452
	1,015,000	Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 3.034%, 10/25/2031, 144A(b)		965,894
	6,680,000	Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3-month LIBOR + 3.250%, 4.313%, 4/20/2034, 144A(b)		6,225,413
	1,830,000	Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 4.813%, 10/20/2034, 144A(b)		1,704,111
	3,335,000	Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 2.744%, 10/18/2031, 144A(b)		3,163,961
	1,610,000	Voya CLO Ltd., Series 2016-3A, Class A3R, 3-month LIBOR + 1.750%, 2.794%, 10/18/2031, 144A(b)		1,527,525
	6,235,000	Voya CLO Ltd., Series 2018-3A, Class B, 3-month LIBOR + 1.650%, 2.694%, 10/15/2031, 144A(b)		5,917,402

		Total Collateralized Loan Obligations (Identified Cost $205,514,256)		197,083,826


Shares
	Preferred Stocks — 1.3%
	Convertible Preferred Stocks — 1.3%
		Banking — 0.7%
	17,832	Bank of America Corp., Series L, 7.250%		21,478,644
	18,269	Wells Fargo & Co., Class A, Series L, 7.500%		22,206,152

				43,684,796

		Wireless — 0.6%
	28,763	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(d)(e)		32,979,656

		Total Convertible Preferred Stocks (Identified Cost $83,896,535)		79,664,452


		Total Preferred Stocks (Identified Cost $83,896,535)		76,664,452


Principal Amount
	Short-Term Investments — 10.8%
$	395,029,785	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $395,033,626 on 7/01/2022 collateralized by $401,113,000 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $402,930,444 including accrued interest (Note 2 of Notes to Financial Statements)		395,029,785
	72,900,000	U.S. Treasury Bills, 0.776%, 7/28/2022(i)		72,841,087
	191,030,000	U.S. Treasury Bills, 1.530%-1.532%, 9/15/2022(i)(j)		190,392,808

		Total Short-Term Investments (Identified Cost $658,299,928)		658,263,680


		Total Investments — 99.1% (Identified Cost $6,488,606,639)		6,001,702,049
		Other assets less liabilities — 0.9%		55,132,748

		Net Assets — 100.0%	$	6,056,834,797



	(†)	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)	Variable rate security. Rate as of June 30, 2022 is disclosed.
	(c)	Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2022 is disclosed.
	(d)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $84,257,792 or 1.4% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Illiquid security.
	(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(g)	Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(h)	Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(i)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(j)	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 June 30, 2022, the value of Rule 144A holdings amounted to $2,125,269,275 or 35.1% of net assets.
	ABS	Asset-Backed Securities
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	SLM	Sallie Mae
	SOFR	Secured Overnight Financing Rate

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

At June 30, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection


Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)
CDX.NA HY* Series 38 500, 5-Year	5.00%		6/20/2027		5.78	%		32,363,100	$	(712,444	)	$	(929,763	)	$	(217,319	)
CDX.NA HY* Series 38 500, 5-Year	5.00%		6/20/2027		5.78	%		13,518,450		(351,432	)		(388,373	)		(36,941	)
CDX.NA HY* Series 38 500, 5-Year	5.00%		6/20/2027		5.78	%		13,518,450		(316,439	)		(388,373	)		(71,934	)

Total												$	(1,706,509	)	$	(326,194	)

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

*	CDX.NA.HY is an index composed of North American high yield credit default swaps.

At June 30, 2022, 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		9/21/2022		1,760	$	215,769,092	$	224,180,000	$	8,410,908

Industry Summary at June 30, 2022 (Unaudited)


Treasuries	12.9	%
Banking	10.0
ABS Car Loan	6.5
Technology	4.8
ABS Home Equity	4.6
Finance Companies	3.9
Life Insurance	2.9
Metals & Mining	2.8
ABS Other	2.7
Cable Satellite	2.5
Independent Energy	2.4
Aerospace & Defense	2.1
Wireless	2.1
Automotive	2.0
Other Investments, less than 2% each	22.8
Short-Term Investments	10.8
Collateralized Loan Obligations	3.3

Total Investments	99.1
Other assets less liabilities (including swap agreements and futures contracts)	0.9

Net Assets	100.0	%

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 85.2% of Net Assets
	Non-Convertible Bonds — 81.6%
		ABS Car Loan — 5.8%
$	2,590,000	American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A(a)	$	2,512,800
	2,660,000	American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A(a)		2,548,742
	1,210,000	Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A(a)		1,200,152
	1,035,000	Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A(a)		1,027,657
	330,000	Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A(a)		326,450
	1,165,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C, 4.240%, 9/22/2025, 144A		1,138,777
	1,565,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A(a)		1,455,116
	2,360,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class C, 3.020%, 8/20/2026, 144A(a)		2,164,156
	1,200,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A(a)		1,125,958
	1,800,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A		1,740,179
	1,785,000	California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025(a)		1,786,034
	1,125,000	Carmax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025(a)		1,125,447
	2,350,000	CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025(a)		2,342,724
	610,000	Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.300%, 9/11/2028		569,533
	1,180,000	Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A(a)		1,104,498
	1,655,000	DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A(a)		1,650,019
	1,110,000	DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A(a)		1,058,076
	2,290,000	DT Auto Owner Trust, Series 2022-2A, Class D, 5.460%, 3/15/2028, 144A(a)		2,229,997
	1,265,000	Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A(a)		1,269,840
	800,000	Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025(a)		793,149
	635,000	First Investors Auto Owner Trust, Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A(a)		624,539
	1,475,000	First Investors Auto Owner Trust, Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A(a)		1,440,295
	3,305,000	Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A(a)		3,249,537
	3,120,000	GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027, 144A		2,877,979
		ABS Car Loan — continued
$	4,913,414	GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A(a)	$	4,906,463
	4,540,000	GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A(a)		4,482,088
	1,439,000	Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D, 4.850%, 6/25/2026, 144A		1,287,051
	1,493,000	Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D, 6.310%, 3/25/2025, 144A		1,432,741
	910,000	Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A		899,431
	985,000	Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A		967,619
	3,210,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028(a)		3,240,598
	1,140,000	Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026(a)		1,116,058
	1,675,000	Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A(a)		1,610,487
	1,920,000	Westlake Automobile Receivables Trust, Series 2022-2 2A, Class D, 5.480%, 9/15/2027, 144A		1,912,053

				59,216,243

		ABS Credit Card — 1.0%
	775,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A(a)		760,055
	2,845,000	Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A(a)		2,706,880
	6,995,000	World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026(a)		6,989,745

				10,456,680

		ABS Home Equity — 7.0%
	141,014	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)		136,908
	147,301	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)		143,875
	147,331	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025		143,587
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)		302,304
	2,170,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)		2,206,317
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)		1,227,644
	3,138,000	American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A(a)		3,171,447
	255,759	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		247,469
	299,236	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(a)		300,274
	127,852	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		119,405
	2,315,000	BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061, 144A(a)(b)		2,119,331
	2,184,554	CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a)(b)		2,079,639

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	3,038,399	Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)(b)	$	3,034,230
	456,632	Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 3.674%, 1/25/2040, 144A(c)		446,895
	1,483,382	Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M1, 30-day Average SOFR + 2.750%, 3.698%, 5/25/2042, 144A(a)(c)		1,480,600
	1,830,000	CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A(a)		1,684,573
	245,000	CoreVest American Finance Trust, Series 2020-2, Class C, 4.753%, 5/15/2052, 144A(a)(b)		232,094
	1,340,000	CoreVest American Finance Trust, Series 2020-4, Class C, 2.250%, 12/15/2052, 144A		1,121,559
	292,585	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)		280,202
	369,608	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		359,643
	34,499	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.953%, 9/20/2034(b)		32,852
	1,984,534	Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 2.938%, 12/26/2059, 144A(b)		1,956,147
	1,345,897	Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(b)		1,304,836
	2,131,958	Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)(b)		2,018,742
	114,483	CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)		113,332
	360,431	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 2.272%, 9/19/2045(c)		243,591
	1,117,981	Federal Home Loan Mortgage Corp., Series 2022-DN44, Class M1A, 30-day Average SOFR + 2.200%, 3.126%, 5/25/2042, 144A(a)(c)		1,103,864
	833,607	Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 3.824%, 1/25/2030(a)(c)		837,226
	1,715,000	FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A		1,573,682
	4,165,000	FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A		3,804,445
	244,741	GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)(b)		235,169
	244,928	Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A		206,001
	404,679	IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 2.844%, 9/25/2034(c)		366,289
	1,776,628	IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.420%, 2.044%, 2/25/2046(c)		1,353,811
		ABS Home Equity — continued
$	674,311	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034	$	660,505
	1,492,290	Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(b)		1,482,305
	1,034,166	Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(b)		1,018,107
	284,787	Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.520%, 2.144%, 2/25/2046(c)		242,575
	181,107	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.750%, 5/25/2034(a)(b)		177,780
	161,531	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)		156,182
	134,966	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)		128,393
	161,335	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)		157,836
	483,550	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		467,415
	23,512	Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 2.408%, 5/25/2036(b)		23,002
	245,000	Mill City Mortgage Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060, 144A(a)(b)		212,959
	272,794	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		201,092
	519,259	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		497,176
	1,005,000	Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A(a)		962,378
	785,000	Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A		706,189
	795,000	Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038, 144A		695,197
	570,000	Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A(a)		496,190
	470,000	Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A		407,592
	930,000	Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A(a)		804,117
	400,000	Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A		344,106
	585,000	Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A		501,059
	415,000	Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A		332,395
	1,137,484	PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(b)		1,087,688
	2,442,704	PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)(b)		2,302,928
	3,126,981	PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(a)(b)		2,937,683
	1,955,990	PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(b)		1,848,232
	1,844,380	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 1.934%, 7/25/2035(c)		1,239,692
	655,000	Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(a)(b)		562,392
	4,085,391	Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a)(b)		3,955,760
	1,040,000	Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A		983,874

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,170,000	Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A	$	998,474
	596,977	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)		574,759
	1,120,889	VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b)		1,058,780
	1,207,470	VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b)		1,146,047
	3,160,956	VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a)(b)		2,994,426
	1,497,510	VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b)		1,422,356
	1,985,542	VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b)		1,895,035

				71,670,659

		ABS Other — 4.4%
	486,805	Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A		472,580
	995,000	Affirm Asset Securitization Trust, Series 2021-A, Class C, 1.660%, 8/15/2025, 144A		951,509
	2,218,114	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 7.072%, 2/15/2040, 144A(b)		625,564
	1,941,434	Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A(a)		1,624,227
	2,340,000	BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A(a)		2,141,062
	834,911	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(b)		737,772
	451,343	Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A(a)		403,386
	5,102,563	CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A(a)		4,500,049
	885,550	DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A		762,852
	535,537	Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A		532,798
	673,843	Diamond Resorts Owner Trust, Series 2019-1, Class B, 3.530%, 2/20/2032, 144A(a)		659,800
	305,000	Freedom Financial Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A(a)		295,431
	276,017	Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A(a)		268,159
	975,000	HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A(a)		962,832
	5,900,000	HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A(a)		5,810,563
	700,000	HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A(a)		656,187
	1,936,416	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A		1,700,043
	988,407	MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A(a)		915,704
	1,292,169	MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A		985,279
	310,000	Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A(a)		288,722
	241,637	MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A		233,511
		ABS Other — continued
$	234,158	MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A(a)	$	222,203
	730,000	Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, 2.780%, 1/15/2069, 144A(a)		651,797
	3,230,000	OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A(a)		3,226,734
	1,110,000	OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A(a)		1,104,447
	1,020,000	OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A(a)		891,964
	810,000	OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A		683,695
	3,407,392	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		2,992,733
	983,929	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A		941,526
	1,012,500	SLAM Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046, 144A(a)		851,210
	2,172,470	SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A(a)		2,028,107
	357,134	Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A(a)		334,722
	3,850,151	TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A(a)		3,311,389
	1,903,968	Wave Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A		1,709,225
	562,869	Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(a)(b)		460,003
	743,509	Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A(a)		632,100

				45,569,885

		ABS Student Loan — 1.5%
	189,625	Commonbond Student Loan Trust, Series 2021-AGS, Class B, 1.400%, 3/25/2052, 144A(a)		165,075
	1,277,721	Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A(a)		1,208,653
	1,035,000	Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A(a)		1,033,642
	1,775,000	Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.220%, 6/16/2042, 144A(a)		1,676,624
	3,410,000	Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A(a)		3,055,520
	695,000	Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A(a)		618,971
	320,000	Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069, 144A(a)		291,603

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		ABS Student Loan — continued
$	1,290,000	Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A(a)	$	1,146,053
	810,000	Nelnet Student Loan Trust, Series 2021-DA, Class B, 2.900%, 4/20/2062, 144A(a)		692,988
	428,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 5.023%, 6/15/2032(a)(c)		419,500
	1,259,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 5.133%, 3/15/2033(a)(c)		1,234,972
	134,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 5.213%, 3/15/2033(a)(c)		131,443
	800,000	SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A(a)		765,122
	588,212	SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 2.074%, 10/15/2035, 144A(a)(c)		580,079
	190,000	SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A(a)		175,643
	510,000	SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A(a)		481,971
	125,000	SoFi Professional Loan Program LLC, Series 2016-C, Class B, 3.350%, 5/25/2037, 144A(a)(b)		124,996
	1,350,000	SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A(a)		1,231,043

				15,033,898

		ABS Whole Business — 1.7%
	3,892,157	Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A(a)		3,830,849
	2,251,338	DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A(a)		2,098,818
	97,750	Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A		88,474
	2,998,125	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		2,665,420
	2,523,000	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A(a)		2,502,649
	4,006,225	Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A(a)		3,773,536
	988,200	Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A		929,253
	1,440,450	Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A		1,220,927

				17,109,926

		Aerospace & Defense — 1.7%
	1,065,000	Boeing Co. (The), 3.375%, 6/15/2046		704,657
	90,000	Boeing Co. (The), 3.625%, 3/01/2048		60,279
	1,915,000	Boeing Co. (The), 3.750%, 2/01/2050		1,350,343
	375,000	Boeing Co. (The), 3.825%, 3/01/2059		241,595
	325,000	Boeing Co. (The), 3.850%, 11/01/2048		229,482
	1,420,000	Boeing Co. (The), 3.900%, 5/01/2049		1,007,424
	135,000	Boeing Co. (The), 3.950%, 8/01/2059		90,877
		Aerospace & Defense — continued
$	2,065,000	Boeing Co. (The), 5.150%, 5/01/2030	$	1,982,148
	2,480,000	Boeing Co. (The), 5.805%, 5/01/2050(a)		2,277,810
	1,150,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		1,112,625
	2,550,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(d)(e)		2,583,277
	305,000	Spirit AeroSystems, Inc., 4.600%, 6/15/2028		225,182
	2,580,000	Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A		2,396,175
	2,790,000	TransDigm, Inc., 8.000%, 12/15/2025, 144A		2,821,360

				17,083,234

		Airlines — 0.6%
	640,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A		588,022
	735,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		627,514
	5,388,936	United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029		4,612,390
	597,600	United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		565,527

				6,393,453

		Automotive — 2.0%
	1,645,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		1,504,647
	4,935,000	Aptiv PLC/Aptiv Corp., 2.396%, 2/18/2025(a)		4,712,923
	4,675,000	Ford Motor Co., 9.000%, 4/22/2025		5,013,376
	330,000	General Motors Co., 5.200%, 4/01/2045		277,182
	2,530,000	General Motors Co., 5.400%, 4/01/2048(a)		2,200,852
	2,905,000	General Motors Co., 5.950%, 4/01/2049(a)		2,697,624
	1,365,000	General Motors Financial Co., Inc., 1.200%, 10/15/2024		1,269,328
	1,455,000	General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(f)		1,218,563
	1,170,000	General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(f)		993,038
	470,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(f)		408,900

				20,296,433

		Banking — 9.0%
	2,530,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(f)		2,006,328
	2,400,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(f)		1,770,600
	2,025,000	ANZ New Zealand International Ltd., 2.166%, 2/18/2025, 144A(a)		1,934,741
	6,540,000	Bank of America Corp., (fixed rate to 02/04/2024, variable rate thereafter), 1.843%, 2/04/2025(a)		6,304,301
	7,290,000	Bank of Nova Scotia (The), 0.650%, 7/31/2024(a)		6,833,929
	1,735,000	Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(f)		1,330,508
	4,460,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a)		3,677,038
	6,580,000	Citigroup, Inc., (fixed rate to 1/25/2025, variable rate thereafter), 2.014%, 1/25/2026(a)		6,164,191
	1,330,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025(a)		1,245,983

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	5,280,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032	$	3,969,443
	6,540,000	Goldman Sachs Group, Inc. (The), (fixed rate to 1/24/2024, variable rate thereafter), 1.757%, 1/24/2025(a)		6,286,967
	6,595,000	JPMorgan Chase & Co., (fixed rate to 2/24/2025, variable rate thereafter), 2.595%, 2/24/2026(a)		6,268,151
	7,370,000	JPMorgan Chase & Co., (fixed rate to 8/09/2024, variable rate thereafter), 0.768%, 8/09/2025(a)		6,835,440
	7,615,000	Mitsubishi UFJ Financial Group, Inc., (fixed rate to 10/11/2024, variable rate thereafter), 0.962%, 10/11/2025(a)		7,053,680
	7,575,000	Morgan Stanley, (fixed rate to 10/21/2024, variable rate thereafter), MTN, 1.164%, 10/21/2025(a)		7,026,494
	6,595,000	Morgan Stanley, (fixed rate to 2/18/2025, variable rate thereafter), 2.630%, 2/18/2026(a)		6,291,895
	7,275,000	Morgan Stanley, GMTN, (fixed rate to 1/22/2024, variable rate thereafter), 0.791%, 1/22/2025(a)		6,876,876
	6,615,000	Royal Bank of Canada, 1.200%, 4/27/2026(a)		5,942,565
	3,550,000	Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A(a)		2,867,598
	2,255,000	UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A		2,017,205

				92,703,933

		Building Materials — 1.1%
	7,070,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		5,302,500
	3,360,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		2,876,731
	1,725,000	Cemex SAB de CV, 5.450%, 11/19/2029, 144A		1,533,525
	1,720,000	Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(f)		1,459,334

				11,172,090

		Cable Satellite — 3.9%
	12,800,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A		12,080,000
	520,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A		507,369
	180,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032		136,193
	645,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031		516,553
	330,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033		294,637
	11,205,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061(a)		8,058,726
	12,090,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		8,085,067
	405,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		272,985
	405,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		294,650
	885,000	CSC Holdings LLC, 6.500%, 2/01/2029, 144A		799,270
	2,740,000	DISH DBS Corp., 5.125%, 6/01/2029		1,664,934
	6,185,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		4,848,050
	1,565,000	Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A		1,399,188
		Cable Satellite — continued
$	1,625,000	Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A	$	1,438,125

				40,395,747

		Chemicals — 0.5%
	1,330,000	Ashland LLC, 3.375%, 9/01/2031, 144A		1,081,787
	2,115,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		1,803,841
	210,000	INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A		176,346
	1,105,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A		884,939
	1,340,000	SPCM S.A., 3.125%, 3/15/2027, 144A		1,128,736

				5,075,649

		Construction Machinery — 1.2%
	3,670,000	Caterpillar Financial Services Corp., MTN, 0.600%, 9/13/2024(a)		3,453,056
	5,370,000	Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024(a)		5,185,910
	2,730,000	John Deere Capital Corp., MTN, 0.625%, 9/10/2024(a)		2,567,639
	1,110,000	United Rentals North America, Inc., 4.875%, 1/15/2028		1,049,483

				12,256,088

		Consumer Cyclical Services — 1.8%
	380,000	Expedia Group, Inc., 2.950%, 3/15/2031		302,251
	405,000	Expedia Group, Inc., 3.250%, 2/15/2030		337,761
	1,575,000	Go Daddy Operating Co. LLC / GD Finance Co., Inc., 5.250%, 12/01/2027, 144A		1,441,125
	925,000	TriNet Group, Inc., 3.500%, 3/01/2029, 144A		761,895
	10,725,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		8,821,313
	680,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		628,891
	6,470,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		6,268,007
	320,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A		318,560

				18,879,803

		Consumer Products — 0.1%
	1,605,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		1,321,557

		Electric — 1.2%
	1,955,000	Calpine Corp., 3.750%, 3/01/2031, 144A		1,590,197
	1,165,000	Calpine Corp., 5.125%, 3/15/2028, 144A		1,025,549
	3,805,000	Edison International, Series A, (fixed rate to 3/15/2026, variable rate thereafter), 5.375%(f)		3,091,562
	3,860,000	NRG Energy, Inc., 5.750%, 1/15/2028		3,508,470
	460,000	Pacific Gas & Electric Co., 3.500%, 8/01/2050		307,259
	2,135,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		1,552,176
	255,000	Pacific Gas & Electric Co., 4.950%, 7/01/2050		203,467
	685,000	Pacific Gas & Electric Co., 5.450%, 6/15/2027		662,895

				11,941,575

		Finance Companies — 4.3%
	1,140,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025		1,166,422
	4,455,000	Aircastle Ltd., 4.250%, 6/15/2026(a)		4,121,409
	855,000	Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(f)		705,656
	1,530,000	Ares Capital Corp., 2.875%, 6/15/2028		1,212,129
	3,400,000	Ares Capital Corp., 3.200%, 11/15/2031(a)		2,470,462
	1,870,000	Barings BDC, Inc., 3.300%, 11/23/2026, 144A		1,622,079

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Finance Companies — continued
$	6,355,000	Blackstone Secured Lending Fund, 2.125%, 2/15/2027	$	5,314,361
	2,335,000	FS KKR Capital Corp., 3.125%, 10/12/2028		1,862,314
	5,050,000	FS KKR Capital Corp., 3.400%, 1/15/2026		4,482,134
	90,000	Navient Corp., 5.875%, 10/25/2024		82,727
	1,040,000	Oaktree Specialty Lending Corp., 2.700%, 1/15/2027		900,648
	2,290,000	OneMain Finance Corp., 3.500%, 1/15/2027		1,832,000
	5,000	OneMain Finance Corp., 6.875%, 3/15/2025		4,739
	2,415,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		1,896,393
	1,415,000	Owl Rock Technology Finance Corp., 2.500%, 1/15/2027		1,193,957
	11,490,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		9,495,451
	2,865,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		2,252,807
	105,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		78,675
	5,245,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		3,723,950

				44,418,313

		Financial Other — 1.0%
	540,000	Agile Group Holdings Ltd., 5.500%, 4/21/2025		179,523
	425,000	Agile Group Holdings Ltd., 5.500%, 5/17/2026		136,399
	430,000	Agile Group Holdings Ltd., 5.750%, 1/02/2025		146,200
	1,540,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		495,757
	485,000	Central China Real Estate Ltd., 7.250%, 7/16/2024		150,597
	410,000	Central China Real Estate Ltd., 7.250%, 8/13/2024		126,620
	1,000,000	Central China Real Estate Ltd., 7.650%, 8/27/2023		428,830
	625,000	Central China Real Estate Ltd., 7.750%, 5/24/2024		197,425
	670,000	CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(d)(e)(g)		57,245
	1,350,000	CFLD Cayman Investment Ltd., 6.920%, 6/16/2022(g)		115,169
	200,000	CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(g)		16,910
	590,000	CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(d)(e)(g)		53,466
	870,000	CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(g)		77,082
	785,000	CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(d)(e)(g)		70,512
	710,000	China Aoyuan Group Ltd., 6.350%, 2/08/2024(d)(e)(g)		65,135
	645,000	China Aoyuan Group Ltd., 7.950%, 2/19/2023(d)(e)(g)		60,953
	630,000	China Evergrande Group, 8.250%, 3/23/2022(g)		51,755
	1,020,000	China Evergrande Group, 8.750%, 6/28/2025(d)(e)(g)		83,926
	270,000	China Evergrande Group, 9.500%, 4/11/2022(g)		21,978
	220,000	China Evergrande Group, 9.500%, 3/29/2024(g)		18,667
	1,110,000	CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026		631,612
	480,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		387,917
	1,115,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024		1,040,637
	1,980,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		1,753,963
		Financial Other — continued
$	125,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026	$	117,020
	470,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025		444,296
	1,875,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(g)		257,812
	205,000	Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(g)		27,944
	855,000	Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(g)		116,049
	4,525,000	Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(g)		613,861
	2,045,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(g)		276,913
	2,125,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(g)		289,510
	645,000	KWG Group Holdings Ltd., 6.000%, 8/14/2026		122,763
	845,000	KWG Group Holdings Ltd., 6.300%, 2/13/2026		169,253
	400,000	Logan Group Co. Ltd., 4.250%, 7/12/2025		85,036
	230,000	Logan Group Co. Ltd., 4.850%, 12/14/2026		49,291
	825,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d)(e)		85,132
	725,000	Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d)(e)		77,626
	610,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d)(e)		67,295
	410,000	Sunac China Holdings Ltd., 6.500%, 1/10/2025(g)		61,258
	2,620,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026(d)(e)(g)		386,267
	205,000	Sunac China Holdings Ltd., 6.650%, 8/03/2024(g)		31,154
	1,090,000	Sunac China Holdings Ltd., 7.000%, 7/09/2025(g)		162,334
	210,000	Times China Holdings Ltd., 5.750%, 1/14/2027(d)(e)		27,529
	1,085,000	Times China Holdings Ltd., 6.200%, 3/22/2026(d)(e)		157,162
	4,400,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d)(e)(g)		286,000
	325,000	Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(d)(e)(g)		22,987
	415,000	Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(d)(e)(g)		30,677
	555,000	Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(d)(e)(g)		40,471
	1,360,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d)(e)(g)		91,134
	210,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d)(e)(g)		14,099
	220,000	Zhenro Properties Group Ltd., 7.350%, 2/05/2025(d)(e)(g)		15,248

				10,494,399

		Food & Beverage — 0.9%
	2,055,000	Aramark Services, Inc., 6.375%, 5/01/2025, 144A		2,010,509
	175,000	Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A		174,414
	1,015,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A		857,374
	350,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		291,574
	3,975,000	MARB BondCo. PLC, 3.950%, 1/29/2031, 144A		3,051,886

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Food & Beverage — continued
$	2,980,000	Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A	$	2,853,350

				9,239,107

		Gaming — 1.2%
	1,810,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		1,432,639
	875,000	Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A		663,950
	2,940,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		2,758,984
	910,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		853,407
	2,670,000	VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A		2,296,393
	1,320,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		1,205,569
	1,140,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		1,048,800
	985,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		936,981
	815,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		804,813

				12,001,536

		Government Owned – No Guarantee — 1.5%
	2,350,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		1,876,621
	2,790,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		2,345,681
	845,000	Antares Holdings LP, 3.950%, 7/15/2026, 144A		733,495
	4,801,000,000	Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)		1,061,903
	6,595,000	Petroleos Mexicanos, 5.950%, 1/28/2031(a)		4,823,451
	5,290,000	Petroleos Mexicanos, 6.625%, 6/15/2035(a)		3,607,304
	1,770,000	YPF S.A., 6.950%, 7/21/2027, 144A		1,004,475

				15,452,930

		Health Insurance — 0.7%
	6,575,000	Centene Corp., 4.250%, 12/15/2027		6,137,565
	965,000	Molina Healthcare, Inc., 4.375%, 6/15/2028, 144A		862,007

				6,999,572

		Healthcare — 2.2%
	2,255,000	Avantor Funding, Inc., 3.875%, 11/01/2029, 144A		1,972,336
	475,000	Charles River Laboratories International, Inc., 4.250%, 5/01/2028, 144A		426,697
	1,775,000	HCA, Inc., 5.375%, 2/01/2025		1,765,699
	3,855,000	HCA, Inc., 5.875%, 2/15/2026		3,874,776
	7,600,000	PerkinElmer, Inc., 0.850%, 9/15/2024(a)		7,034,088
	340,000	Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A		312,800
	175,000	Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A		149,762
	255,000	Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A		234,706
	7,610,000	Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024(a)		7,209,620

				22,980,484

		Independent Energy — 2.5%
	3,095,000	Aker BP ASA, 3.750%, 1/15/2030, 144A(a)		2,772,706
	1,670,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		1,500,064
	2,710,000	ConocoPhillips Co., 2.400%, 3/07/2025(a)		2,615,410
	410,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		320,177
		Independent Energy — continued
$	3,280,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A(a)	$	3,171,563
	1,515,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		1,282,144
	2,185,000	EQT Corp., 3.625%, 5/15/2031, 144A		1,887,971
	1,680,000	EQT Corp., 3.900%, 10/01/2027		1,563,391
	585,000	EQT Corp., 5.000%, 1/15/2029		566,327
	1,790,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		1,687,039
	740,000	Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A		681,858
	4,660,000	Occidental Petroleum Corp., 5.550%, 3/15/2026		4,627,520
	115,000	Occidental Petroleum Corp., 6.125%, 1/01/2031		116,544
	180,000	Occidental Petroleum Corp., 7.875%, 9/15/2031		197,550
	180,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		206,654
	320,000	Ovintiv, Inc., 6.500%, 8/15/2034		333,995
	140,000	Ovintiv, Inc., 6.500%, 2/01/2038		144,474
	695,000	Ovintiv, Inc., 6.625%, 8/15/2037		729,154
	90,000	Ovintiv, Inc., 7.200%, 11/01/2031		98,404
	85,000	Ovintiv, Inc., 7.375%, 11/01/2031		93,443
	385,000	Ovintiv, Inc., 8.125%, 9/15/2030		442,267
	380,000	Southwestern Energy Co., 4.750%, 2/01/2032		324,719

				25,363,374

		Industrial Other — 0.3%
	1,865,000	GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A		1,698,008
	1,270,000	GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024		1,231,379
	500,000	TopBuild Corp., 4.125%, 2/15/2032, 144A		384,921

				3,314,308

		Leisure — 0.7%
	1,880,000	Carnival Corp., 5.750%, 3/01/2027, 144A		1,357,887
	580,000	Carnival Corp., 6.000%, 5/01/2029, 144A		407,514
	1,560,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		1,224,428
	1,405,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		1,201,289
	570,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		414,675
	240,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		170,486
	3,090,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		2,147,550

				6,923,829

		Life Insurance — 0.1%
	1,110,000	Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A		1,005,648

		Local Authorities — 0.7%
	7,080,000	Province of Ontario Canada, 1.050%, 4/14/2026(a)		6,502,598
	67,000,000	Provincia de Buenos Aires, BADLARPP + 3.750%, 49.102%, 4/12/2025, 144A, (ARS)(c)		236,222

				6,738,820

		Lodging — 0.7%
	435,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		332,030
	1,435,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		1,162,350
	1,370,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027		1,290,725
	360,000	Hyatt Hotels Corp., (Step to 5.625% on 4/23/2022), 5.625%, 4/23/2025		364,634
	1,125,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		935,638

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Lodging — continued
$	1,005,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A	$	777,458
	1,535,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		1,189,625
	195,000	Travel & Leisure Co., 6.000%, 4/01/2027		176,617
	960,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		910,205

				7,139,282

		Media Entertainment — 1.9%
	2,745,000	Clear Channel Outdoor Holdings, Inc., 5.125%, 8/15/2027, 144A		2,317,686
	2,830,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		2,332,146
	2,400,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		2,053,992
	1,220,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		969,509
	655,000	Magallanes, Inc., 3.755%, 3/15/2027, 144A		614,711
	855,000	Magallanes, Inc., 4.054%, 3/15/2029, 144A		783,838
	1,315,000	Magallanes, Inc., 4.279%, 3/15/2032, 144A		1,174,808
	1,040,000	Netflix, Inc., 4.875%, 4/15/2028		978,692
	3,215,000	Netflix, Inc., 4.875%, 6/15/2030, 144A(a)		2,942,513
	860,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		812,700
	1,325,000	Netflix, Inc., 5.875%, 11/15/2028		1,295,466
	1,705,000	Netflix, Inc., 6.375%, 5/15/2029		1,721,965
	1,025,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A		895,594
	600,000	Playtika Holding Corp., 4.250%, 3/15/2029, 144A		495,000

				19,388,620

		Metals & Mining — 1.1%
	4,180,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		3,849,780
	3,870,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		3,658,937
	1,930,000	FMG Resources August Pty Ltd., 4.500%, 9/15/2027, 144A		1,722,525
	1,310,000	Freeport-McMoRan, Inc., 4.250%, 3/01/2030		1,192,020
	1,455,000	Freeport-McMoRan, Inc., 4.625%, 8/01/2030		1,349,920

				11,773,182

		Midstream — 0.5%
	2,340,000	DCP Midstream Operating LP, 5.375%, 7/15/2025		2,275,650
	695,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		582,038
	770,000	Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A		733,425
	2,070,000	Western Midstream Operating LP, 3.600%, 2/01/2025		1,906,988

				5,498,101

		Non-Agency Commercial Mortgage-Backed Securities — 5.2%
	2,995,000	Barclays Commercial Mortgage Securities, Series 2020-BID, Class B, 1-month LIBOR + 2.540%, 3.864%, 10/15/2037, 144A(a)(c)		2,938,283
	2,155,000	BPR Trust, Series 2021-NRD, Class F, 1-month Term SOFR + 6.870%, 8.204%, 12/15/2023, 144A(c)		2,025,751
	2,040,000	Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 5.108%, 5/10/2047, 144A(b)		1,859,929
	2,585,000	Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A(a)		2,464,789
	140,000	Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.456%, 12/10/2044(b)		133,031
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	1,890,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A	$	1,586,547
	5,680,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		4,450,625
	750,000	DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(b)		705,916
	611,238	Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 3.575%, 7/15/2038, 144A(c)		589,750
	1,640,000	Greystone Commercial Real Estate Notes Ltd., Series 2021-HC2, Class A, 1-month LIBOR + 1.800%, 3.124%, 12/15/2039, 144A(a)(c)		1,572,181
	3,195,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(b)		2,510,561
	540,000	GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.302%, 8/10/2044, 144A(b)		448,200
	3,905,000	GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.302%, 8/10/2044, 144A(b)		1,663,530
	1,420,000	GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.720%, 4/10/2031, 144A(a)(b)		1,365,464
	845,000	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b)		773,599
	1,945,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(b)		1,849,413
	405,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class C, 4.934%, 10/15/2045, 144A(a)(b)		404,122
	2,435,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.509%, 12/15/2047, 144A(a)(b)		2,410,613
	1,088,282	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.385%, 6/15/2044, 144A(b)		1,027,015
	2,515,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044, 144A(b)(d)(e)		2,012,000
	1,350,000	RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(a)(b)		1,328,433
	1,060,000	Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 4.075%, 11/15/2027, 144A(c)(e)(h)(i)		528,592
	4,243,654	Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 4.825%, 11/15/2027, 144A(c)(e)(h)(i)		1,185,571
	3,575,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 5.725%, 11/15/2027, 144A(c)(e)(h)(i)		361,690
	1,370,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.961%, 5/10/2063, 144A(b)(d)(e)		46,306
	3,094,293	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.434%, 7/15/2046(b)		2,901,705

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	1,690,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a)(b)	$	1,480,256
	440,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.305%, 11/15/2059(b)		373,533
	4,885,000	Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.139%, 9/15/2031, 144A(a)(b)		4,383,295
	2,886,031	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.415%, 3/15/2044, 144A(b)		1,229,449
	1,699,593	WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 5.026%, 6/15/2044, 144A(b)		1,318,766
	2,245,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.491%, 12/15/2045(b)		2,093,240
	725,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.689%, 6/15/2045(b)		514,750
	1,909,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class D, 4.689%, 6/15/2045, 144A(b)		887,685
	975,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.689%, 6/15/2045, 144A(b)(d)(e)		87,750
	1,570,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047(a)		1,487,518

				52,999,858

		Pharmaceuticals — 1.9%
	685,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		536,040
	1,325,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A		705,563
	145,000	Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A		75,400
	965,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		498,595
	1,960,000	Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A		1,003,079
	165,000	Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A		87,813
	270,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A		154,575
	600,000	Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A		520,368
	1,665,000	Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR)		1,697,363
	5,755,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023		5,575,962
	795,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		651,900
	10,035,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		6,249,296
	635,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		523,081
	1,015,000	Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025		989,253

				19,268,288

		REITs – Health Care — 0.0%
$	455,000	National Health Investors, Inc., 3.000%, 2/01/2031	$	349,195

		REITs – Mortgage — 0.2%
	1,630,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A		1,315,935
	390,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A		352,950

				1,668,885

		Restaurants — 0.3%
	2,885,000	1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A		2,522,355
	1,285,000	Yum! Brands, Inc., 3.625%, 3/15/2031		1,079,400

				3,601,755

		Retailers — 0.1%
	1,070,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		910,730

		Technology — 1.8%
	1,855,000	Broadcom, Inc., 4.150%, 11/15/2030		1,699,576
	770,000	CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026		686,019
	1,975,000	CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029		1,665,260
	490,000	CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028		442,225
	1,615,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		1,193,965
	3,815,000	CommScope, Inc., 7.125%, 7/01/2028, 144A		2,899,705
	330,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		278,850
	1,060,000	Iron Mountain, Inc., 5.000%, 7/15/2028, 144A		938,828
	1,315,000	Microchip Technology, Inc., 0.983%, 9/01/2024		1,226,295
	1,660,000	Nokia OYJ, EMTN, 2.000%, 3/11/2026, (EUR)		1,589,658
	330,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030		291,102
	3,580,000	Oracle Corp., 3.950%, 3/25/2051(a)		2,629,498
	2,050,000	Western Digital Corp., 2.850%, 2/01/2029		1,669,100
	1,780,000	Western Digital Corp., 4.750%, 2/15/2026		1,698,316

				18,908,397

		Transportation Services — 0.2%
	1,855,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		1,727,116

		Treasuries — 5.6%
	37,993(†††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)		6,839,509
	604,374(††††)	Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(a)		2,951,829
	1,342,545(††††)	Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)(a)		6,329,947
	338,660,000	Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR)		16,440,948
	13,330,000	U.S. Treasury Note, 0.125%, 2/28/2023(a)(j)		13,103,494
	12,005,000	U.S. Treasury Note, 1.500%, 3/31/2023(a)		11,891,046

				57,556,773

		Wireless — 1.5%
	4,365,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		3,726,837
	1,695,000	IHS Holding Ltd., 5.625%, 11/29/2026, 144A		1,388,273
	1,525,000	IHS Holding Ltd., 6.250%, 11/29/2028, 144A		1,229,912
	3,769,000	Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		3,424,551

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Wireless — continued
$	225,000	Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A	$	166,500
	657,000	Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A		564,370
	3,385,000	SBA Communications Corp., 3.875%, 2/15/2027		3,089,794
	1,630,000	SoftBank Group Corp., 4.625%, 7/06/2028		1,263,250
	750,000	SoftBank Group Corp., 5.250%, 7/06/2031		552,960

				15,406,447

		Total Non-Convertible Bonds (Identified Cost $973,864,081)		837,705,802


	Convertible Bonds — 3.6%
		Airlines — 0.5%
	915,000	JetBlue Airways Corp., 0.500%, 4/01/2026		672,982
	3,680,000	Southwest Airlines Co., 1.250%, 5/01/2025(a)		4,333,200

				5,006,182

		Cable Satellite — 0.8%
	35,000	Cable One, Inc., Zero Coupon, 6.042%, 3/15/2026(k)		28,840
	2,710,000	DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(l)		1,903,585
	1,170,000	DISH Network Corp., 2.375%, 3/15/2024		1,029,600
	7,980,000	DISH Network Corp., 3.375%, 8/15/2026		5,390,490

				8,352,515

		Consumer Cyclical Services — 0.3%
	235,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-0.987%, 2/15/2026(l)		150,743
	3,425,000	Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(l)		2,736,986

				2,887,729

		Gaming — 0.1%
	615,000	Penn National Gaming, Inc., 2.750%, 5/15/2026		911,000

		Healthcare — 0.4%
	5,175,000	Teladoc Health, Inc., 1.250%, 6/01/2027		3,790,687

		Leisure — 0.1%
	2,375,000	NCL Corp. Ltd., 1.125%, 2/15/2027, 144A		1,523,563

		Media Entertainment — 0.3%
	1,505,000	Snap, Inc., Zero Coupon, 6.697%-7.114%, 5/01/2027(l)		1,042,212
	1,420,000	Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(l)		1,120,380
	580,000	Twitter, Inc., Zero Coupon, 0.000%-1.354%, 3/15/2026(l)		513,337

				2,675,929

		Pharmaceuticals — 1.0%
	2,990,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		2,960,100
	5,635,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		5,600,063
	855,000	Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(k)		527,963
	1,285,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(k)		1,168,450
	505,000	Livongo Health, Inc., 0.875%, 6/01/2025		428,038

				10,684,614

		Technology — 0.1%
	85,000	Bentley Systems, Inc., 0.375%, 7/01/2027, 144A		65,875
	255,000	RingCentral, Inc., Zero Coupon, 7.146%-7.470%, 3/15/2026(l)		191,505
		Technology — continued
$	1,325,000	Splunk, Inc., 1.125%, 6/15/2027	$	1,093,125
	55,000	Unity Software, Inc., Zero Coupon, 7.592%, 11/15/2026, 144A(k)		40,425

				1,390,930

		Total Convertible Bonds (Identified Cost $46,230,562)		37,223,149


		Total Bonds and Notes (Identified Cost $1,020,094,643)		874,928,951


	Senior Loans — 0.4%
		Cable Satellite — 0.2%
	808,937	DirecTV Financing LLC, Term Loan, 1-month LIBOR + 5.000%, 6.666%, 8/02/2027(c)(m)		742,540
	1,930,000	Ziggo BV, 2019 EUR Term Loan H, 6-month EURIBOR + 3.00%, 3.000%, 1/31/2029, (EUR)(c)(n)		1,791,306

				2,533,846

		Media Entertainment — 0.2%
	2,222,062	Playtika Holding Corp., 2021 Term Loan, 1-month LIBOR + 2.750%, 4.416%, 3/13/2028(c)(n)		2,090,138

		Total Senior Loans (Identified Cost $5,164,450)		4,623,984


	Collateralized Loan Obligations — 5.6%
	1,350,000	AGL CLO 3 Ltd., Series 2020-3A, Class C, 3-month LIBOR + 2.150%, 3.194%, 1/15/2033, 144A(a)(c)		1,264,419
	1,740,000	AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 4.344%, 1/15/2033, 144A(c)		1,645,528
	3,460,000	Aimco CLO 11 Ltd., Series 2020-11A, Class DR, 3-month LIBOR + 3.000%, 4.044%, 10/17/2034, 144A(c)		3,149,493
	480,000	Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 2.994%, 7/16/2031, 144A(a)(c)		450,951
	3,175,000	Apidos CLO XXIII, Series 2015-23A, Class CR, 3-month LIBOR + 2.000%, 3.044%, 4/15/2033, 144A(a)(c)		2,949,016
	500,000	Ares LIX CLO Ltd., Series 2021-59A, Class E, 3-month LIBOR + 6.250%, 7.434%, 4/25/2034, 144A(c)		439,360
	1,105,000	Atlas Senior Loan Fund Ltd., Series 2021-16A, Class D, 3-month LIBOR + 3.700%, 4.763%, 1/20/2034, 144A(c)		1,033,567
	400,000	Ballyrock CLO Ltd., Series 2018-1A, Class C, 3-month LIBOR + 3.150%, 4.213%, 4/20/2031, 144A(c)		357,960
	850,000	Barings CLO Ltd., Series 2019-4A, Class C, 3-month LIBOR + 2.800%, 3.844%, 1/15/2033, 144A(a)(c)		827,060
	1,830,000	Basswood Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.650%, 3.713%, 4/20/2034, 144A(c)		1,644,002
	445,000	Battalion CLO XVI Ltd., Series 2019 16A, Class DR, 3-month LIBOR + 3.250%, 4.313%, 12/19/2032, 144A(a)(c)		417,532

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Collateralized Loan Obligations — continued
$	915,000	Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.994%, 4/15/2029, 144A(a)(c)	$	864,098
	455,000	Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 2.150%, 3.213%, 10/20/2029, 144A(a)(c)		433,076
	400,000	Carbone CLO Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 2.863%, 1/20/2031, 144A(a)(c)		372,182
	970,000	CarVal CLO IV Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.250%, 4.313%, 7/20/2034, 144A(c)		907,092
	730,000	CIFC Funding II Ltd., Series 2013-2A, Class A3LR, 3-month LIBOR + 1.950%, 2.994%, 10/18/2030, 144A(a)(c)		692,316
	265,000	CIFC Funding II Ltd., Series 2014-2RA, Class A3, 3-month LIBOR + 1.900%, 3.084%, 4/24/2030, 144A(a)(c)		251,176
	875,000	Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 6.894%, 10/15/2030, 144A(c)		756,465
	250,000	Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3-month LIBOR + 1.750%, 2.794%, 4/18/2031, 144A(a)(c)		233,565
	300,000	Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3-month LIBOR + 1.850%, 2.894%, 4/15/2029, 144A(a)(c)		285,445
	1,405,000	Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 7.355%, 11/22/2031, 144A(c)		1,188,332
	2,435,000	Generate CLO Ltd., Series 2019-2A, Class D, 3-month LIBOR + 3.800%, 4.936%, 1/22/2033, 144A(c)		2,321,144
	650,000	Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 3.994%, 10/15/2030, 144A(c)		604,913
	320,000	Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3-month LIBOR + 1.900%, 2.963%, 4/20/2030, 144A(a)(c)		300,794
	1,550,000	Hayfin U.S. XII Ltd., Series 2020-12A, Class D, 3-month LIBOR + 4.160%, 5.223%, 1/20/2034, 144A(c)		1,497,624
	310,000	LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 4.063%, 4/20/2031, 144A(c)		269,944
	475,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 3.334%, 1/23/2031, 144A(a)(c)		448,897
	300,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 4.184%, 1/23/2031, 144A(c)		283,657
	3,300,000	Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2, 3-month LIBOR + 1.900%, 3.138%, 1/28/2030, 144A(a)(c)		3,112,567
	2,100,000	Oaktree CLO Ltd., Series 2019-4A, Class E, 3-month LIBOR + 7.230%, 8.293%, 10/20/2032, 144A(c)		1,795,338
	495,000	Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 6.813%, 10/20/2030, 144A(c)		418,234
	920,000	Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3-month LIBOR + 1.900%, 3.036%, 1/22/2030, 144A(a)(c)		860,286
	Collateralized Loan Obligations — continued
$	445,000	OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 7.458%, 4/21/2034, 144A(c)	$	392,832
	1,900,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 7.313%, 7/02/2035, 144A(c)		1,670,052
	5,105,000	OHA Credit Funding 4 Ltd., Series 2019-4A, Class ER, 3-month LIBOR + 6.400%, 7.536%, 10/22/2036, 144A(c)		4,538,228
	1,745,000	OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3-month LIBOR + 2.000%, 3.044%, 4/18/2033, 144A(a)(c)		1,626,199
	2,245,000	OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3-month LIBOR + 3.050%, 4.234%, 7/23/2031, 144A(c)		2,091,803
	1,570,000	OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 3.013%, 1/20/2033, 144A(a)(c)		1,459,229
	2,050,000	OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 4.794%, 4/15/2034, 144A(c)		1,944,427
	300,000	Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3-month LIBOR + 1.950%, 3.013%, 7/20/2030, 144A(a)(c)		284,251
	2,610,000	Parallel Ltd., Series 2017-1A, Class CR, 3-month LIBOR + 2.000%, 3.063%, 7/20/2029, 144A(a)(c)		2,437,288
	1,045,000	Pikes Peak CLO 1, Series 2018-1A, Class D, 3-month LIBOR + 3.150%, 4.334%, 7/24/2031, 144A(c)		945,505
	1,190,000	Point Au Roche Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.800%, 3.863%, 7/20/2034, 144A(c)		1,082,247
	340,000	Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 4.313%, 4/20/2034, 144A(c)		295,453
	920,000	Regatta XIII Funding Ltd., Series 2018-2A, Class C, 3-month LIBOR + 3.100%, 4.144%, 7/15/2031, 144A(c)		804,307
	2,565,000	Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3-month LIBOR + 1.900%, 2.944%, 10/15/2029, 144A(a)(c)		2,417,928
	920,000	TCW CLO Ltd., Series 2018-1, Class D, 3-month LIBOR + 2.910%, 4.094%, 4/25/2031, 144A(c)		830,884
	1,030,000	TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 3.194%, 4/15/2033, 144A(a)(c)		966,124
	610,000	TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 3.213%, 4/20/2033, 144A(a)(c)		572,815
	895,000	TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 6.934%, 7/25/2031, 144A(c)		756,895

		Total Collateralized Loan Obligations (Identified Cost $59,923,242)		57,192,500


Shares
	Common Stocks — 3.1%
		Aerospace & Defense — 0.1%
	392	L3Harris Technologies, Inc.		94,747
	1,618	Lockheed Martin Corp.		695,675

				790,422

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Shares		Description	Value (†)
		Air Freight & Logistics — 0.1%
	2,950	United Parcel Service, Inc., Class B	$	538,493

		Beverages — 0.1%
	10,020	Coca-Cola Co. (The)		630,358

		Biotechnology — 0.1%
	5,284	AbbVie, Inc.		809,297

		Capital Markets — 0.1%
	1,025	BlackRock, Inc.		624,266
	6,051	Morgan Stanley		460,239

				1,084,505

		Communications Equipment — 0.0%
	11,670	Cisco Systems, Inc.		497,609

		Construction Materials — 0.1%
	240,838	Cemex SAB de CV, Sponsored ADR(o)		944,085

		Electric Utilities — 0.1%
	4,753	Duke Energy Corp.		509,569
	8,475	NextEra Energy, Inc.		656,474

				1,166,043

		Food & Staples Retailing — 0.1%
	4,963	Walmart, Inc.		603,402

		Health Care Equipment & Supplies — 0.0%
	3,760	Abbott Laboratories		408,524

		Health Care Providers & Services — 0.1%
	834	Elevance Health, Inc.		402,472
	612	UnitedHealth Group, Inc.		314,341

				716,813

		Hotels, Restaurants & Leisure — 0.1%
	7,950	Starbucks Corp.		607,300

		Household Products — 0.1%
	4,820	Procter & Gamble Co. (The)		693,068

		IT Services — 0.0%
	1,743	Accenture PLC, Class A		483,944

		Life Sciences Tools & Services — 0.0%
	487	Thermo Fisher Scientific, Inc.		264,577

		Machinery — 0.1%
	1,996	Cummins, Inc.		386,286
	1,306	Deere & Co.		391,108

				777,394

		Media — 0.3%
	365,397	Altice USA, Inc., Class A(o)		3,379,922
	17,671	Comcast Corp., Class A		693,410

				4,073,332

		Metals & Mining — 0.0%
	8,017	Newmont Corp.		478,374

		Oil, Gas & Consumable Fuels — 0.1%
	14,685	California Resources Corp.		565,372
	2,272	Pioneer Natural Resources Co.		506,838
	13,384	Williams Cos., Inc. (The)		417,715

				1,489,925

		Pharmaceuticals — 0.2%
	6,989	Bristol-Myers Squibb Co.		538,153
	4,800	Johnson & Johnson		852,048
	10,143	Merck & Co., Inc.		924,737

				2,314,938

		REITs – Diversified — 0.1%
	2,467	American Tower Corp.		630,540

		Road & Rail — 0.1%
	2,556	Union Pacific Corp.	$	545,144

		Semiconductors & Semiconductor Equipment — 0.1%
	667	Broadcom, Inc.		324,035
	6,568	Microchip Technology, Inc.		381,470
	2,816	QUALCOMM, Inc.		359,716

				1,065,221

		Software — 0.1%
	2,463	Microsoft Corp.		632,572

		Specialty Retail — 0.0%
	1,401	Home Depot, Inc. (The)		384,252

		Technology Hardware, Storage & Peripherals — 0.1%
	3,937	Apple, Inc.		538,267

		Wireless Telecommunication Services — 0.8%
	64,142	T-Mobile US, Inc.(o)		8,629,665

		Total Common Stocks (Identified Cost $34,288,487)		31,798,064


	Preferred Stocks — 0.5%
	Convertible Preferred Stocks — 0.5%
		Midstream — 0.0%
	2,329	El Paso Energy Capital Trust I, 4.750%		108,182

		Technology — 0.1%
	23,100	Clarivate PLC, Series A, 5.250%		1,321,646

		Wireless — 0.4%
	3,501	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(d)(e)		4,014,246

		Total Convertible Preferred Stocks (Identified Cost $6,477,979)		5,444,074


		Total Preferred Stocks (Identified Cost $6,477,979)		5,444,074


	Other Investments — 0.0%
		Aircraft ABS — 0.0%
	900	ECAF I Blocker Ltd.(e)(h)(i)(p) (Identified Cost $9,000,000)		76,590


Principal Amount (‡)
	Short-Term Investments — 2.4%
$	14,190,606	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $14,190,744 on 7/01/2022 collateralized by $16,717,700 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $14,474,442 including accrued interest (Note 2 of Notes to Financial Statements)		14,190,606
	10,840,000	U.S. Treasury Bills, 2.752%, 6/15/2023(q)		10,558,102

		Total Short-Term Investments (Identified Cost $24,741,404)		24,748,708


		Total Investments — 97.2% (Identified Cost $1,159,690,205)		998,812,871
		Other assets less liabilities — 2.8%		28,335,842

		Net Assets — 100.0%	$	1,027,148,713

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


Written Options — (0.0%)
Description	Expiration Date		Exercise Price		Shares (††)			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – (0.0%)
Abbott Laboratories, Call		8/19/2022		115.00		(1,800	)	$	(195,570	)	$	(2,220	)	$	(3,582	)
AbbVie, Inc., Call		8/19/2022		160.00		(2,600	)		(398,216	)		(4,751	)		(7,839	)
Accenture PLC, Call		8/19/2022		325.00		(1,200	)		(333,180	)		(3,021	)		(1,290	)
American Tower Corp., Call		8/19/2022		280.00		(1,900	)		(485,621	)		(8,297	)		(6,460	)
Apple, Inc., Call		8/19/2022		160.00		(2,700	)		(369,144	)		(3,691	)		(2,349	)
BlackRock, Inc., Call		8/19/2022		700.00		(600	)		(365,424	)		(3,944	)		(3,210	)
Bristol-Myers Squibb Co., Call		8/19/2022		80.00		(4,800	)		(369,600	)		(6,370	)		(7,176	)
Broadcom, Inc., Call		8/19/2022		560.00		(300	)		(145,743	)		(1,280	)		(1,035	)
Cisco Systems, Inc., Call		8/19/2022		47.50		(5,800	)		(247,312	)		(3,986	)		(2,262	)
Coca-Cola Co., Call		8/19/2022		65.00		(7,000	)		(440,370	)		(5,804	)		(9,135	)
Cummins, Inc., Call		8/19/2022		220.00		(1,300	)		(251,589	)		(2,180	)		(1,820	)
Deere & Co., Call		8/19/2022		360.00		(900	)		(269,523	)		(3,164	)		(2,191	)
Duke Energy Corp., Call		8/19/2022		110.00		(3,800	)		(407,398	)		(4,094	)		(8,075	)
Elevance Health, Inc., Call		8/19/2022		500.00		(400	)		(193,032	)		(3,750	)		(6,000	)
Johnson & Johnson, Call		8/19/2022		185.00		(3,300	)		(585,783	)		(7,911	)		(7,739	)
Lockheed Martin Corp., Call		8/19/2022		460.00		(1,100	)		(472,956	)		(4,694	)		(6,765	)
Merck & Co., Inc., Call		8/19/2022		97.50		(7,100	)		(647,307	)		(6,299	)		(8,627	)
Microchip Technology, Inc., Call		8/19/2022		70.00		(3,200	)		(185,856	)		(2,359	)		(1,920	)
Microsoft Corp., Call		8/19/2022		290.00		(1,200	)		(308,196	)		(2,802	)		(2,760	)
Morgan Stanley, Call		8/19/2022		87.50		(4,200	)		(319,452	)		(3,845	)		(2,646	)
Newmont Corp., Call		8/19/2022		72.50		(5,600	)		(334,152	)		(3,848	)		(1,848	)
NextEra Energy, Inc., Call		8/19/2022		85.00		(5,900	)		(457,014	)		(4,939	)		(5,310	)
Pioneer Natural Resources Co., Call		8/19/2022		275.00		(1,500	)		(334,620	)		(5,951	)		(5,363	)
Procter & Gamble Co., Call		8/19/2022		150.00		(2,400	)		(345,096	)		(2,921	)		(5,784	)
QUALCOMM, Inc., Call		8/19/2022		155.00		(1,900	)		(242,706	)		(2,031	)		(3,011	)
Starbucks Corp., Call		8/19/2022		85.00		(3,900	)		(297,921	)		(4,279	)		(4,543	)
Thermo Fisher Scientific, Inc., Call		8/19/2022		590.00		(300	)		(162,984	)		(2,000	)		(2,745	)
Union Pacific Corp., Call		8/19/2022		235.00		(1,700	)		(362,576	)		(3,583	)		(3,230	)
United Parcel Service, Inc., Call		8/19/2022		200.00		(1,700	)		(310,318	)		(5,384	)		(4,930	)
UnitedHealth Group, Inc., Call		8/19/2022		540.00		(400	)		(205,452	)		(2,067	)		(4,930	)
Williams Cos., Inc., Call		8/19/2022		34.00		(8,000	)		(249,680	)		(3,898	)		(4,600	)

Total											$	(125,363	)	$	(139,175	)


	(†)			See Note 2 of Notes to Financial Statements.
	(‡)			Principal Amount/Par Value stated in U.S. dollars unless otherwise noted.
	(††)			Options on securities are expressed as shares.
	(†††)			Amount shown represents units. One unit represents a principal amount of 1,000.
	(††††)			Amount shown represents units. One unit represents a principal amount of 100.
	(a)			Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(b)			Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2022 is disclosed.
	(c)			Variable rate security. Rate as of June 30, 2022 is disclosed.
	(d)			Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $10,436,443 or 1.0% of net assets. See Note 2 of Notes to Financial Statements.
	(e)			Illiquid security.
	(f)			Perpetual bond with no specified maturity date.
	(g)			The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(h)			Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $2,152,443 or 0.2% of net assets.
	(i)			Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(j)			Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(k)			Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(l)			Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(m)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added.
	(n)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.00%, to which the spread is added.
	(o)			Non-income producing security.
	(p)			Securities subject to restriction on resale. At June 30, 2022, the restricted securities held by the Fund are as follows:


	Acquisition Date		Acquisition Cost		Value		% of Net Assets
ECAF I Blocker Ltd.		6/18/2015	$	9,000,000	$	76,590		Less than 0.1	%


	(q)			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 June 30, 2022, the value of Rule 144A holdings amounted to $512,106,516 or 49.9% of net assets.

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)


	ABS			Asset-Backed Securities
	ADR			An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
	BADLARPP			Argentina Badlar Floating Rate Notes
	EMTN			Euro Medium Term Note
	EURIBOR			Euro Interbank Offered Rate
	GMTN			Global Medium Term Note
	JIBAR			Johannesburg Interbank Agreed Rate
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts
	SAFEX			South African Futures Exchange
	SLM			Sallie Mae
	SOFR			Secured Overnight Financing Rate

	ARS			Argentine Peso
	BRL			Brazilian Real
	COP			Colombian Peso
	EUR			Euro
	MXN			Mexican Peso
	ZAR			South African Rand

At June 30, 2022, the Fund had the following open bilateral credit default swap agreements:

Buy Protection


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate¹			Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value		Unrealized Appreciation (Depreciation)
Barclays Bank PLC	United Mexican States		(1.00	%)		6/20/2026		21,525,000	$	65,850		$	392,885	$	327,035
Morgan Stanley Capital Services, Inc.	United Mexican States		(1.00	%)		12/20/2026		8,820,000		(3,779	)		229,171		232,950

Total												$	622,056	$	559,985

At June 30, 2022, the Fund had the following open centrally cleared interest rate swap agreements:


Notional Value	Currency		Expiration Date		Fund Pays¹			Fund Receives¹		Market Value		Unrealized Appreciation (Depreciation)²
330,000,000		ZAR		5/07/2030		7.580	%		3-month SAFEX-JIBAR	$	1,292,387	$	1,290,912

At June 30, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection


Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)
CDX.NA HY* Series 38 500, 5-Year	5.00%		6/20/2027		5.78	%		5,826,150	$	(128,257	)	$	(167,380	)	$	(39,123	)
CDX.NA HY* Series 38 500, 5-Year	5.00%		6/20/2027		5.78	%		2,430,450		(56,892	)		(69,825	)		(12,933	)
CDX.NA HY* Series 38 500, 5-Year	5.00%		6/20/2027		5.78	%		2,435,400		(63,312	)		(69,967	)		(6,655	)

Total												$	(307,172	)	$	(58,711	)

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

¹	Payments are made quarterly.

²	Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

*	CDX.NA.HY is an index composed of North American high yield credit default swaps.

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

At June 30, 2022, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America, N.A.		7/26/2022	EUR		S	1,665,000	$	1,806,513	$	1,747,228	$	59,285
Barclays Bank PLC		7/26/2022	EUR		S	1,955,000		2,121,957		2,051,550		70,407
Morgan Stanley Capital Services, Inc.		7/11/2022	COP		S	5,186,874,000		1,384,496		1,248,070		136,426
Morgan Stanley Capital Services, Inc.		8/31/2022	EUR		S	1,480,000		1,593,399		1,557,151		36,248
Morgan Stanley Capital Services, Inc.		8/31/2022	ZAR		S	319,874,000		20,086,861		19,546,712		540,149

Total											$	842,515

At June 30, 2022, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		9/21/2022		74	$	10,452,094	$	10,258,250	$	(193,844	)
Eurodollar		3/13/2023		3,884		953,396,123		935,849,800		(17,546,323	)

Total									$	(17,740,167	)

At June 30, 2022, 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		9/21/2022		1,659	$	215,102,161	$	211,315,125	$	3,787,036
Ultra Long U.S. Treasury Bond		9/21/2022		213		33,757,302		32,875,219		882,083

Total									$	4,669,119

Industry Summary at June 30, 2022 (Unaudited)


Banking	9.0	%
ABS Home Equity	7.0
ABS Car Loan	5.8
Treasuries	5.6
Non-Agency Commercial Mortgage-Backed Securities	5.2
Cable Satellite	4.9
ABS Other	4.4
Finance Companies	4.3
Pharmaceuticals	3.1
Healthcare	2.6
Independent Energy	2.5
Media Entertainment	2.4
Consumer Cyclical Services	2.1
Technology	2.0
Automotive	2.0
Other Investments, less than 2% each	26.3
Collateralized Loan Obligations	5.6
Short-Term Investments	2.4

Total Investments	97.2
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)	2.8

Net Assets	100.0	%

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 85.2% of Net Assets
	Non-Convertible Bonds — 77.1%
		ABS Car Loan — 0.6%
$	7,500,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A	$	6,979,086
	5,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A		4,488,579
	5,453,000	Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D, 4.850%, 6/25/2026, 144A		4,877,199
	5,578,000	Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D, 6.310%, 3/25/2025, 144A		5,352,867

				21,697,731

		ABS Credit Card — 0.0%
	975,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A		956,198

		ABS Home Equity — 3.7%
	8,252,697	510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a)		7,904,095
	8,555,000	CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a)		8,012,474
	5,350,000	CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A		4,465,407
	1,510,000	CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A		1,246,474
	11,630,780	Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)		11,013,139
	2,510,000	Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A		2,119,016
	7,660,000	FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037, 144A		7,200,192
	1,965,000	FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038, 144A		1,711,903
	2,419,000	FRTKL, Series 2021-SFR1, Class F, 3.171%, 9/17/2038, 144A		2,121,666
	7,102,914	Home Partners of America Trust, Series 2021-1, Class F, 3.325%, 9/17/2041, 144A		5,898,697
	8,482,704	Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A		7,470,072
	4,241,352	Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A		3,690,732
	4,025,000	Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(a)		3,703,222
	11,507,000	Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A		10,388,962
	3,623,000	Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A		3,099,557
	5,465,000	Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A		4,744,190
	15,160,000	Progress Residential Trust, Series 2021-SFR7, Class F, 3.834%, 8/17/2040, 144A		12,577,067
	8,569,164	PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)		8,078,819
	2,513,000	PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(a)		2,321,799
	7,426,429	PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a)		6,949,825
	5,822,385	PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a)		5,501,624
	8,130,000	Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a)		7,617,378
		ABS Home Equity — continued
$	1,120,000	Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(a)	$	1,014,253
	795,000	Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059, 144A(a)		702,205
	7,865,000	VCAT Asset Securitization LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051, 144A(a)		7,234,148
	3,970,000	VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2051, 144A(a)		3,675,374

				140,462,290

		ABS Other — 1.3%
	5,133,206	Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A(b)		4,294,503
	3,185,400	Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class B, 3.538%, 1/15/2047, 144A		2,589,024
	1,432,671	Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A		1,280,446
	593,847	Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035, 144A		545,965
	81,885	HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039, 144A		76,741
	2,761,720	Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432%, 10/15/2046, 144A		2,393,668
	14,428,053	MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A(b)		12,560,572
	14,159,487	Navigator Aircraft ABS Ltd., Series 2021-1, Class B, 3.571%, 11/15/2046, 144A(a)		11,107,237
	10,406,250	SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A(b)		8,931,060
	8,950,516	Willis Engine Structured Trust, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A(b)		7,080,959

				50,860,175

		ABS Whole Business — 0.1%
	2,301,750	Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A		1,970,563

		Aerospace & Defense — 1.2%
	1,995,000	Boeing Co. (The), 3.625%, 3/01/2048		1,336,176
	2,385,000	Boeing Co. (The), 3.750%, 2/01/2050		1,681,759
	4,190,000	Boeing Co. (The), 3.825%, 3/01/2059		2,699,418
	415,000	Boeing Co. (The), 3.850%, 11/01/2048		293,031
	6,000,000	Boeing Co. (The), 3.900%, 5/01/2049		4,256,720
	4,124,000	Boeing Co. (The), 3.950%, 8/01/2059		2,776,131
	3,230,000	Boeing Co. (The), 5.150%, 5/01/2030		3,100,406
	9,537,000	Boeing Co. (The), 5.805%, 5/01/2050		8,759,465
	3,145,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		2,979,186
	9,576,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(c)(d)		9,700,967
	8,815,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A		9,988,277

				47,571,536

		Airlines — 1.8%
	14,196,233	Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A(b)		14,085,644
	1,234,662	American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027		1,070,267
	695,632	American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		619,152
	2,655,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A		2,439,374

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Airlines — continued
$	3,055,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A	$	2,608,237
	26,975,000	Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A		26,511,030
	21,243,023	United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(b)		20,877,643
	2,635,250	United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		2,493,816

				70,705,163

		Automotive — 0.7%
	5,610,000	Ford Motor Co., 3.250%, 2/12/2032		4,195,719
	18,505,000	Ford Motor Co., 4.750%, 1/15/2043		13,181,747
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,230,968
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,407,906
	1,500,000	Ford Motor Credit Co. LLC, 5.113%, 5/03/2029		1,344,711
	2,845,000	General Motors Co., 5.200%, 4/01/2045		2,389,646
	2,120,000	General Motors Co., 6.250%, 10/02/2043		2,019,696
	540,000	General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(e)		452,250
	865,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(e)		752,550

				26,975,193

		Banking — 2.0%
	6,000,000	Ally Financial, Inc., 8.000%, 11/01/2031		6,669,988
	8,200,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(e)		6,502,722
	7,500,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(e)		5,533,125
	11,885,000	Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(e)		9,114,173
	9,000,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		7,420,032
	2,945,000	Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033		2,143,681
	16,322,000	Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032		12,270,690
	1,709,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		1,469,645
	14,965,000	NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035		12,055,954
	1,830,000	NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028		1,843,035
	14,800,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		11,961,119

				76,984,164

		Brokerage — 0.1%
	3,893,000	Jefferies Group LLC, 6.250%, 1/15/2036		3,914,316

		Building Materials — 1.4%
	39,415,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		29,561,250
	2,395,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		2,050,527
	6,090,000	Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(e)		5,167,061
	3,255,000	JELD-WEN, Inc., 4.875%, 12/15/2027, 144A		2,538,900
	1,859,000	Masco Corp., 6.500%, 8/15/2032		2,000,212
	1,226,000	Masco Corp., 7.750%, 8/01/2029		1,384,210
	10,800,000	Owens Corning, 7.000%, 12/01/2036		12,067,475

				54,769,635

		Cable Satellite — 4.9%
$	34,275,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A	$	26,477,437
	16,130,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A		13,207,244
	1,085,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032		820,941
	8,140,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031		6,518,983
	4,025,000	Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033		3,593,672
	28,480,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051		19,272,278
	7,470,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061		4,912,538
	31,570,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062		21,089,836
	47,615,000	CSC Holdings LLC, 4.625%, 12/01/2030, 144A		31,842,055
	6,030,000	CSC Holdings LLC, 5.000%, 11/15/2031, 144A		4,064,445
	16,340,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		14,134,100
	1,360,000	CSC Holdings LLC, 5.750%, 1/15/2030, 144A		989,441
	3,705,000	DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A		3,160,624
	6,470,000	DISH DBS Corp., 5.125%, 6/01/2029		3,931,431
	22,190,000	DISH DBS Corp., 5.250%, 12/01/2026, 144A		17,393,410
	6,568,000	DISH DBS Corp., 5.875%, 11/15/2024		5,533,540
	15,865,000	DISH DBS Corp., 7.750%, 7/01/2026		12,366,767

				189,308,742

		Chemicals — 0.7%
	13,380,000	Ashland LLC, 3.375%, 9/01/2031, 144A		10,882,943
	1,320,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		1,125,802
	6,735,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A		5,320,044
	905,000	INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A		759,965
	6,275,000	Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A		5,463,956
	2,295,000	SPCM S.A., 3.125%, 3/15/2027, 144A		1,933,170
	2,125,000	SPCM S.A., 3.375%, 3/15/2030, 144A		1,662,813

				27,148,693

		Construction Machinery — 0.1%
	6,395,000	United Rentals North America, Inc., 3.750%, 1/15/2032		5,250,586

		Consumer Cyclical Services — 2.3%
	1,370,000	Expedia Group, Inc., 2.950%, 3/15/2031		1,089,696
	1,465,000	Expedia Group, Inc., 3.250%, 2/15/2030		1,221,779
	10,550,000	Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A		8,894,599
	5,500,000	Terminix Co. LLC (The), 7.450%, 8/15/2027		6,132,500
	9,620,000	TriNet Group, Inc., 3.500%, 3/01/2029, 144A		7,923,705
	8,665,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		7,126,963
	18,350,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		16,970,814
	38,025,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		36,837,859

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Consumer Cyclical Services — continued
$	1,125,000	Uber Technologies, Inc., 8.000%, 11/01/2026, 144A	$	1,119,938

				87,317,853

		Consumer Products — 0.4%
	11,880,000	Avon Products, Inc., 8.450%, 3/15/2043		11,464,200
	6,110,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		5,030,974

				16,495,174

		Diversified Manufacturing — 0.6%
	25,290,000	GE Capital Funding LLC, 4.550%, 5/15/2032		24,393,284

		Electric — 1.0%
	19,458,320	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		20,225,388
	3,570,000	Enel Generacion Chile S.A., 7.875%, 2/01/2027		3,819,400
	9,050,000	NRG Energy, Inc., 3.625%, 2/15/2031, 144A		7,095,110
	3,825,000	NRG Energy, Inc., 3.875%, 2/15/2032, 144A		3,038,132
	2,475,000	Pacific Gas & Electric Co., 5.450%, 6/15/2027		2,395,130

				36,573,160

		Finance Companies — 4.4%
	10,600,000	Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(e)		8,802,131
	3,585,000	Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(e)		2,958,804
	11,555,000	Ares Capital Corp., 3.200%, 11/15/2031		8,395,939
	5,955,000	Barings BDC, Inc., 3.300%, 11/23/2026, 144A		5,165,498
	7,650,000	FS KKR Capital Corp., 3.125%, 10/12/2028		6,101,371
	7,005,000	FS KKR Capital Corp., 3.400%, 1/15/2026		6,217,297
	14,755,000	Hercules Capital, Inc., 3.375%, 1/20/2027		12,917,401
	135,000	Navient Corp., 5.000%, 3/15/2027		111,041
	3,030,000	Navient Corp., 5.875%, 10/25/2024		2,785,151
	950,000	Navient Corp., 6.750%, 6/15/2026		840,750
	5,355,000	Navient Corp., MTN, 5.625%, 8/01/2033		3,716,405
	4,774,000	Navient Corp., MTN, 6.125%, 3/25/2024		4,526,420
	1,796,000	OneMain Finance Corp., 3.500%, 1/15/2027		1,436,800
	8,855,000	OneMain Finance Corp., 4.000%, 9/15/2030		6,563,769
	4,075,000	OneMain Finance Corp., 7.125%, 3/15/2026		3,766,237
	7,175,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		5,634,210
	14,750,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		13,567,815
	7,155,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		6,725,612
	25,975,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		21,466,000
	13,540,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		10,646,773
	37,540,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		28,128,347
	9,630,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		6,837,300

				167,311,071

		Financial Other — 1.6%
	1,650,000	Agile Group Holdings Ltd., 5.500%, 4/21/2025		548,543
	1,120,000	Agile Group Holdings Ltd., 5.500%, 5/17/2026		359,453
	1,225,000	Agile Group Holdings Ltd., 5.750%, 1/02/2025		416,500
	6,150,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		1,979,808
	2,060,000	Central China Real Estate Ltd., 7.250%, 4/24/2023		1,011,460
	4,720,000	Central China Real Estate Ltd., 7.250%, 7/16/2024(c)(d)		1,465,607
	1,260,000	Central China Real Estate Ltd., 7.250%, 8/13/2024		389,126
	3,260,000	Central China Real Estate Ltd., 7.500%, 7/14/2025(c)(d)		1,006,297
		Financial Other — continued
$	4,415,000	Central China Real Estate Ltd., 7.650%, 8/27/2023	$	1,893,284
	1,305,000	Central China Real Estate Ltd., 7.750%, 5/24/2024		412,223
	2,370,000	CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(c)(d)(f)		202,493
	4,045,000	CFLD Cayman Investment Ltd., 6.920%, 6/16/2022(f)		345,079
	800,000	CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(f)		67,640
	2,835,000	CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(c)(d)(f)		256,908
	2,520,000	CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(f)		223,272
	2,955,000	CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(c)(d)(f)		265,432
	1,035,000	China Aoyuan Group Ltd., 6.200%, 3/24/2026(c)(d)(f)		98,594
	2,400,000	China Aoyuan Group Ltd., 6.350%, 2/08/2024(c)(d)(f)		220,176
	1,240,000	China Aoyuan Group Ltd., 7.950%, 2/19/2023(c)(d)(f)		117,180
	1,800,000	China Evergrande Group, 8.250%, 3/23/2022(f)		147,870
	4,045,000	China Evergrande Group, 8.750%, 6/28/2025(c)(d)(f)		332,823
	1,405,000	China Evergrande Group, 9.500%, 4/11/2022(f)		114,367
	335,000	China Evergrande Group, 9.500%, 3/29/2024(f)		28,425
	4,060,000	CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026		2,310,221
	24,490,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		19,791,838
	3,580,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		3,171,307
	6,925,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(f)		952,188
	1,415,000	Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(f)		192,879
	1,600,000	Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(f)		217,168
	8,085,000	Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(f)		1,096,811
	7,075,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(c)(d)(f)		958,026
	4,795,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(f)		653,271
	1,380,000	KWG Group Holdings Ltd., 6.000%, 8/14/2026(c)(d)		262,655
	3,760,000	KWG Group Holdings Ltd., 6.300%, 2/13/2026		753,128
	3,345,000	Logan Group Co. Ltd., 4.250%, 7/12/2025(c)(d)		711,114
	1,320,000	Logan Group Co. Ltd., 4.850%, 12/14/2026		282,889
	11,820,000	Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A		9,481,280
	2,880,000	Shimao Group Holdings Ltd., 3.450%, 1/11/2031(c)(d)		297,187
	400,000	Shimao Group Holdings Ltd., 4.600%, 7/13/2030(c)(d)		42,828
	1,830,000	Shimao Group Holdings Ltd., 5.200%, 1/16/2027(c)(d)		195,938
	280,000	Shimao Group Holdings Ltd., 5.600%, 7/15/2026		31,318
	1,970,000	Shimao Group Holdings Ltd., 6.125%, 2/21/2024(c)(d)		217,330
	425,000	Sunac China Holdings Ltd., 5.950%, 4/26/2024(f)		64,689
	3,610,000	Sunac China Holdings Ltd., 6.500%, 1/10/2025(f)		539,370
	8,570,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026(c)(d)(f)		1,263,475
	290,000	Sunac China Holdings Ltd., 6.650%, 8/03/2024(f)		44,071
	4,000,000	Sunac China Holdings Ltd., 7.000%, 7/09/2025(c)(d)(f)		595,720

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Financial Other — continued
$	720,000	Times China Holdings Ltd., 5.750%, 1/14/2027(c)(d)	$	94,385
	4,030,000	Times China Holdings Ltd., 6.200%, 3/22/2026(c)(d)		583,746
	23,285,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(c)(d)(f)		1,513,525
	1,245,000	Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(c)(d)(f)		88,059
	9,395,000	Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(c)(d)(f)		694,478
	5,345,000	Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(c)(d)(f)		389,757
	3,155,000	Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(c)(d)(f)		228,769
	4,535,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026(c)(d)(f)		303,890
	365,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026(c)(d)(f)		24,506
	715,000	Zhenro Properties Group Ltd., 7.350%, 2/05/2025(c)(d)(f)		49,557

				59,999,933

		Food & Beverage — 1.4%
	6,525,000	Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A		5,693,062
	635,000	Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A		632,873
	10,800,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		8,997,156
	27,125,000	MARB BondCo. PLC, 3.950%, 1/29/2031, 144A		20,825,761
	11,860,000	Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A		9,297,884
	10,455,000	Post Holdings, Inc., 4.500%, 9/15/2031, 144A		8,550,622

				53,997,358

		Gaming — 1.3%
	12,960,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		10,258,010
	3,845,000	GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032		3,081,653
	3,265,000	Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A		2,477,482
	12,590,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		11,814,834
	740,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		693,979
	6,610,000	VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A		6,036,979
	5,680,000	VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A		5,225,600
	4,920,000	VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A		4,680,150
	4,050,000	VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A		3,999,375

				48,268,062

		Government Owned – No Guarantee — 1.2%
	495,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		395,288
	585,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		491,836
	20,000,000	Antares Holdings LP, 8.500%, 5/18/2025, 144A		20,771,557
	5,740,000	EcoPetrol S.A., 4.625%, 11/02/2031		4,347,993
	6,535,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		6,599,779
	6,586,000	Petroleos Mexicanos, 6.625%, 6/15/2035		4,491,059
	12,239,000	Petroleos Mexicanos, 6.950%, 1/28/2060		7,533,105

				44,630,617

		Health Insurance — 0.8%
$	21,450,000	Centene Corp., 2.500%, 3/01/2031	$	17,026,152
	6,390,000	Centene Corp., 2.625%, 8/01/2031		5,083,245
	4,510,000	Centene Corp., 3.000%, 10/15/2030		3,737,663
	4,280,000	Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A		3,589,149

				29,436,209

		Healthcare — 0.5%
	9,645,000	Avantor Funding, Inc., 3.875%, 11/01/2029, 144A		8,435,999
	1,980,000	Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A		1,718,343
	2,110,000	Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A		1,798,665
	6,380,000	HCA, Inc., 4.125%, 6/15/2029		5,817,191

				17,770,198

		Home Construction — 0.6%
	23,546,000	PulteGroup, Inc., 6.000%, 2/15/2035		23,083,671

		Independent Energy — 3.2%
	12,155,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		10,918,128
	5,140,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		4,013,929
	13,235,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		12,797,451
	6,210,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		5,255,523
	8,120,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		6,597,500
	1,765,000	EQT Corp., 3.125%, 5/15/2026, 144A		1,652,587
	7,740,000	EQT Corp., 3.625%, 5/15/2031, 144A		6,687,824
	5,920,000	EQT Corp., 3.900%, 10/01/2027		5,509,093
	1,535,000	EQT Corp., 5.000%, 1/15/2029		1,486,003
	550,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		518,364
	10,835,000	Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A		9,983,694
	17,908,000	Mesquite Energy, Inc., 6.125%, 1/15/2023(c)(f)(g)(h)		1,020,756
	9,520,000	Mesquite Energy, Inc., 7.750%, 6/15/2021(c)(f)(g)(h)		542,640
	370,000	Occidental Petroleum Corp., 6.125%, 1/01/2031		374,967
	32,720,000	Occidental Petroleum Corp., 6.625%, 9/01/2030		33,701,600
	590,000	Occidental Petroleum Corp., 7.875%, 9/15/2031		647,525
	590,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		677,366
	10,085,000	Ovintiv, Inc., 6.500%, 8/15/2034		10,526,051
	540,000	Ovintiv, Inc., 6.500%, 2/01/2038		557,259
	2,715,000	Ovintiv, Inc., 6.625%, 8/15/2037		2,848,420
	360,000	Ovintiv, Inc., 7.200%, 11/01/2031		393,615
	1,200,000	Ovintiv, Inc., 7.375%, 11/01/2031		1,319,197
	1,495,000	Ovintiv, Inc., 8.125%, 9/15/2030		1,717,373
	1,295,000	Southwestern Energy Co., 4.750%, 2/01/2032		1,106,610
	151,000	Southwestern Energy Co., 5.950%, 1/23/2025		149,171

				121,002,646

		Industrial Other — 0.1%
	1,240,000	GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A		1,039,120
	255,000	GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A		232,167
	3,985,000	TopBuild Corp., 4.125%, 2/15/2032, 144A		3,067,816

				4,339,103

		Leisure — 0.8%
	8,710,000	Carnival Corp., 5.750%, 3/01/2027, 144A		6,291,059
	6,065,000	Carnival Corp., 6.000%, 5/01/2029, 144A		4,261,329
	6,575,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		5,160,652
	5,085,000	NCL Corp. Ltd., 5.875%, 2/15/2027, 144A		4,347,726

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Leisure — continued
$	2,415,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A	$	1,756,912
	230,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		163,383
	12,300,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		8,548,500

				30,529,561

		Life Insurance — 1.1%
	3,965,000	Athene Global Funding, 1.716%, 1/07/2025, 144A		3,699,781
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(c)(d)		27,895,000
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(c)(d)		10,835,481

				42,430,262

		Lodging — 0.9%
	7,620,000	Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A		6,053,137
	1,745,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		1,331,937
	5,385,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		4,361,850
	4,155,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		3,455,623
	13,945,000	Travel & Leisure Co., 4.500%, 12/01/2029, 144A		10,787,718
	7,670,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		5,944,250
	970,000	Travel & Leisure Co., 6.000%, 4/01/2027		878,554
	1,120,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		1,061,906

				33,874,975

		Media Entertainment — 1.4%
	3,925,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		3,234,514
	1,925,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A		1,647,473
	4,380,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		3,480,698
	3,070,000	Magallanes, Inc., 4.054%, 3/15/2029, 144A		2,814,484
	4,720,000	Magallanes, Inc., 4.279%, 3/15/2032, 144A		4,216,801
	1,325,000	Netflix, Inc., 4.875%, 4/15/2028		1,246,891
	14,565,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		13,330,543
	1,805,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		1,705,725
	8,735,000	Netflix, Inc., 5.875%, 11/15/2028		8,540,297
	11,900,000	Netflix, Inc., 6.375%, 5/15/2029		12,018,405

				52,235,831

		Metals & Mining — 2.5%
	22,016,000	ArcelorMittal S.A., 6.750%, 3/01/2041		21,781,384
	2,630,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		2,422,230
	35,930,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		32,123,576
	1,810,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,711,286
	9,590,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		7,826,782
	22,815,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		22,265,387
	6,230,000	JSW Steel Ltd., 5.050%, 4/05/2032, 144A		4,628,279
	1,900,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		1,653,950

				94,412,874

		Midstream — 0.7%
	11,365,000	DCP Midstream Operating LP, 3.250%, 2/15/2032		8,914,479
		Midstream — continued
$	1,430,000	DCP Midstream Operating LP, 5.125%, 5/15/2029	$	1,287,000
	2,530,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A		2,118,786
	2,760,000	Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A		2,628,900
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		549,560
	3,515,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032		3,014,359
	880,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031		802,210
	885,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030		844,449
	1,750,000	Western Midstream Operating LP, 4.550%, 2/01/2030		1,513,750
	4,055,000	Western Midstream Operating LP, 5.300%, 3/01/2048		3,268,938
	745,000	Western Midstream Operating LP, 5.450%, 4/01/2044		619,199
	560,000	Western Midstream Operating LP, 5.500%, 8/15/2048		456,400
	2,310,000	Western Midstream Operating LP, 5.750%, 2/01/2050		1,855,066

				27,873,096

		Non-Agency Commercial Mortgage-Backed Securities — 2.0%
	335,000	BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A		307,008
	7,375,000	BPR Trust, Series 2021-NRD, Class F, 1-month Term SOFR + 6.870%, 8.204%, 12/15/2023, 144A(i)		6,932,674
	10,565,000	Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 4.942%, 9/10/2045, 144A(a)		10,353,700
	125,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		120,351
	556,583	Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a)		555,758
	2,925,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A		2,691,538
	1,690,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		1,418,658
	7,680,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class C, 3.668%, 3/05/2033, 144A(a)		6,371,844
	2,535,000	GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.720%, 4/10/2031, 144A(a)		2,437,642
	5,785,000	GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.843%, 6/10/2047, 144A(a)		5,165,015
	10,664,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.982%, 10/15/2045, 144A(a)(b)		10,588,512
	290,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.509%, 12/15/2047, 144A(a)		285,407
	3,110,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(a)		2,890,456
	4,010,000	MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 3.125%, 11/15/2038, 144A(i)		3,823,729
	1,135,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.495%, 8/15/2046(a)		857,231
	2,923,375	Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.336%, 3/15/2045, 144A(a)		2,747,972

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	5,285,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.434%, 7/15/2046(a)	$	4,956,063
	4,340,000	Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class B, 4.322%, 8/15/2050		3,799,907
	1,315,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045		1,297,674
	4,000,000	WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.670%, 8/15/2046(a)		3,807,162
	2,612,000	WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C, 4.670%, 8/15/2046(a)		2,340,250
	940,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047		890,616

				74,639,167

		Paper — 1.0%
	15,225,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		18,372,063
	4,865,000	WestRock MWV LLC, 7.950%, 2/15/2031		5,808,219
	8,750,000	WestRock MWV LLC, 8.200%, 1/15/2030		10,423,511
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,124,034

				37,727,827

		Pharmaceuticals — 1.6%
	1,945,000	Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A		1,522,040
	14,285,000	Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A		7,606,762
	425,000	Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A		221,000
	3,045,000	Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A		1,573,288
	9,810,000	Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A		5,020,513
	465,000	Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A		247,473
	765,000	Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A		437,963
	2,655,000	Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A		2,302,628
	1,995,000	Jazz Securities DAC, 4.375%, 1/15/2029, 144A		1,774,585
	7,750,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		6,479,078
	2,840,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		2,328,800
	21,480,000	Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046		13,376,670
	12,060,000	Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027		10,300,664
	8,725,000	Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029		7,187,219

				60,378,683

		Property & Casualty Insurance — 0.3%
	12,510,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.304%, 1/15/2033, 144A(c)(g)(h)(i)(j)		1,532,475
	10,900,000	Stewart Information Services Corp., 3.600%, 11/15/2031		9,041,114

				10,573,589

		REITs – Diversified — 0.1%
	2,735,000	EPR Properties, 3.600%, 11/15/2031		2,161,947

		Restaurants — 0.4%
	19,175,000	Yum! Brands, Inc., 4.625%, 1/31/2032		16,941,112

		Retailers — 0.4%
$	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028	$	3,503,719
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,528,425
	3,975,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		3,383,321
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		6,173,159
	2,555,000	Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A		2,171,111

				16,759,735

		Supermarkets — 0.1%
	2,290,000	Safeway, Inc., 7.250%, 2/01/2031		2,238,475

		Technology — 3.0%
	10,205,000	Avnet, Inc., 5.500%, 6/01/2032		10,012,996
	5,770,000	Block, Inc., 3.500%, 6/01/2031, 144A		4,597,882
	5,465,000	Broadcom, Inc., 4.150%, 11/15/2030		5,007,107
	630,000	CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026		561,289
	1,620,000	CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029		1,365,935
	18,245,000	CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031		15,073,380
	400,000	CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028		361,000
	15,295,000	CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		11,307,551
	14,915,000	CommScope, Inc., 4.750%, 9/01/2029, 144A		12,031,856
	13,035,000	Entegris Escrow Corp., 4.750%, 4/15/2029, 144A		12,138,558
	1,215,000	Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		1,026,675
	13,195,000	Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		11,214,826
	5,050,000	MSCI, Inc., 3.250%, 8/15/2033, 144A		4,025,305
	1,360,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027		1,338,824
	12,565,000	Oracle Corp., 3.950%, 3/25/2051		9,228,952
	5,200,000	Sensata Technologies BV, 4.000%, 4/15/2029, 144A		4,410,016
	7,140,000	Western Digital Corp., 2.850%, 2/01/2029		5,813,352
	750,000	Western Digital Corp., 3.100%, 2/01/2032		575,100
	6,225,000	Western Digital Corp., 4.750%, 2/15/2026		5,939,335

				116,029,939

		Transportation Services — 0.4%
	4,150,000	Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A		3,230,568
	14,685,000	Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		13,672,616

				16,903,184

		Treasuries — 19.3%
	142,342(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)		25,624,443
	2,967,869(†††)	Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)		14,495,397
	4,740,050(†††)	Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN)		22,348,795
	55,170,000	U.S. Treasury Bond, 2.250%, 2/15/2052		45,403,186
	77,655,000	U.S. Treasury Note, 0.125%, 12/31/2022(k)		76,726,781
	90,085,000	U.S. Treasury Note, 0.125%, 1/31/2023(b)		88,814,661
	157,590,000	U.S. Treasury Note, 0.125%, 2/28/2023(b)		154,912,201
	53,450,000	U.S. Treasury Note, 0.125%, 4/30/2023(b)		52,247,375
	12,675,000	U.S. Treasury Note, 0.250%, 9/30/2023		12,257,121
	137,335,000	U.S. Treasury Note, 0.500%, 11/30/2023(b)		132,667,755
	71,835,000	U.S. Treasury Note, 0.875%, 1/31/2024		69,511,587
	45,765,000	U.S. Treasury Note, 1.500%, 2/29/2024		44,687,020

				739,696,322

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Wireless — 2.7%
$	10,875,000	CT Trust, 5.125%, 2/03/2032, 144A	$	8,713,594
	1,200,000	HTA Group Ltd., 7.000%, 12/18/2025, 144A		1,024,560
	20,720,000	HTA Group Ltd., 7.000%, 12/18/2025		17,690,736
	6,140,000	IHS Holding Ltd., 5.625%, 11/29/2026, 144A		5,028,906
	6,140,000	IHS Holding Ltd., 6.250%, 11/29/2028, 144A		4,951,910
	7,228,000	IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A		6,304,695
	2,580,000	Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A		2,004,531
	5,345,000	Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		4,856,520
	1,903,500	Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A		1,635,126
	4,225,500	Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A		3,676,185
	17,545,000	SBA Communications Corp., 3.125%, 2/01/2029		14,360,583
	8,849,000	SoftBank Group Corp., 4.625%, 7/06/2028		6,857,975
	4,091,000	SoftBank Group Corp., 5.250%, 7/06/2031		3,016,212
	27,610,000	T-Mobile USA, Inc., 3.375%, 4/15/2029		24,158,750

				104,280,283

		Wirelines — 0.4%
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		312,505
	490,000	Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A		429,176
	6,071,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		4,579,173
	14,605,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		11,277,981

				16,598,835

		Total Non-Convertible Bonds (Identified Cost $3,459,704,707)		2,949,479,021


	Convertible Bonds — 6.5%
		Airlines — 0.5%
	16,795,000	Southwest Airlines Co., 1.250%, 5/01/2025		19,776,113

		Cable Satellite — 2.8%
	125,000	Cable One, Inc., Zero Coupon, 6.042%, 3/15/2026(l)		103,000
	13,550,000	DISH Network Corp., 2.375%, 3/15/2024		11,924,000
	143,750,000	DISH Network Corp., 3.375%, 8/15/2026		97,103,125

				109,130,125

		Consumer Cyclical Services — 0.3%
	455,000	Peloton Interactive, Inc., Zero Coupon, 0.519%-0.571%, 2/15/2026(m)		291,864
	13,205,000	Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(m)		10,552,380
	1,200,000	Zillow Group, Inc., 1.375%, 9/01/2026		1,198,800

				12,043,044

		Gaming — 0.1%
	2,195,000	Penn National Gaming, Inc., 2.750%, 5/15/2026		3,251,454

		Healthcare — 0.6%
	32,010,000	Teladoc Health, Inc., 1.250%, 6/01/2027		23,447,325

		Leisure — 0.2%
	11,050,000	NCL Corp. Ltd., 1.125%, 2/15/2027, 144A		7,088,575

		Media Entertainment — 0.4%
	5,925,000	Bilibili, Inc., 0.500%, 12/01/2026, 144A		4,168,237
	5,410,000	Snap, Inc., Zero Coupon, 6.697%-7.114%, 5/01/2027(m)		3,746,425
	5,100,000	Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(m)		4,023,900
	2,080,000	Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026(l)		1,840,931

				13,779,493

		Pharmaceuticals — 1.2%
$	8,280,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024	$	8,197,200
	27,195,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		27,026,391
	5,015,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(l)		4,560,139
	9,665,000	Livongo Health, Inc., 0.875%, 6/01/2025		8,192,054

				47,975,784

		Technology — 0.4%
	315,000	Bentley Systems, Inc., 0.375%, 7/01/2027, 144A		244,125
	5,380,000	Nutanix, Inc., 0.250%, 10/01/2027, 144A		3,719,194
	930,000	RingCentral, Inc., Zero Coupon, 7.146%-7.470%, 3/15/2026(m)		698,430
	11,790,000	Splunk, Inc., 1.125%, 6/15/2027		9,726,750
	200,000	Unity Software, Inc., Zero Coupon, 7.592%, 11/15/2026, 144A(l)		147,000

				14,535,499

		Total Convertible Bonds (Identified Cost $337,884,992)		251,027,412


	Municipals — 1.6%
		Virginia — 1.6%
	64,380,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $64,374,471)		59,800,001

		Total Bonds and Notes (Identified Cost $3,861,964,170)		3,260,306,434


	Senior Loans — 0.5%
		Chemicals — 0.2%
	7,037,600	Aruba Investments, Inc., 2020 2nd Lien Term Loan, 1-month LIBOR + 7.750%, 9.383%, 11/24/2028(i)(n)		6,650,532

		Independent Energy — 0.3%
	12,660,000	Ascent Resources – Utica, 2020 Fixed 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 10.021%, 11/01/2025(i)(o)		13,271,858

		Total Senior Loans (Identified Cost $19,613,269)		19,922,390


	Collateralized Loan Obligations — 3.4%
	6,730,000	522 Funding CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 4.163%, 10/20/2031, 144A(i)		6,198,317
	4,475,000	AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 2.663%, 7/20/2034, 144A(b)(i)		4,199,913
	4,955,000	AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 3.913%, 7/20/2034, 144A(i)		4,511,518
	1,245,000	AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 4.144%, 7/15/2034, 144A(i)		1,153,305
	4,390,000	AIG CLO LLC, Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 4.086%, 4/22/2034, 144A(i)		3,999,720
	3,780,000	AIG CLO LLC, Series 2021-2A, Class D, 3-month LIBOR + 3.050%, 4.113%, 7/20/2034, 144A(i)		3,465,175
	2,675,000	ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 4.044%, 10/15/2034, 144A(i)		2,477,965

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Collateralized Loan Obligations — continued
$	3,025,000	Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 4.284%, 7/25/2034, 144A(i)	$	2,859,160
	890,000	Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 2.878%, 11/20/2030, 144A(i)		847,058
	1,505,000	Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 4.044%, 1/17/2032, 144A(i)		1,387,332
	3,530,000	CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 4.013%, 7/20/2032, 144A(i)		3,300,899
	3,095,000	CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 4.294%, 7/15/2034, 144A(i)		2,882,965
	4,775,000	Crown City CLO I, Series 2020-1A, Class CR, 3-month LIBOR + 3.420%, 4.483%, 7/20/2034, 144A(i)		4,337,672
	5,230,000	Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 4.163%, 10/20/2034, 144A(i)		4,895,369
	2,890,000	Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 3.913%, 1/20/2034, 144A(i)		2,675,363
	980,000	LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 3.063%, 4/20/2031, 144A(i)		912,675
	2,965,000	LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 4.063%, 4/20/2031, 144A(i)		2,581,886
	10,665,000	Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 4.425%, 7/27/2031, 144A(i)		10,071,738
	990,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 4.184%, 1/23/2031, 144A(i)		936,067
	6,010,000	Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 2.694%, 7/15/2034, 144A(b)(i)		5,700,184
	8,055,000	OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 4.163%, 7/20/2032, 144A(i)		7,001,535
	7,155,000	Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 4.194%, 7/15/2034, 144A(i)		6,626,782
	3,125,000	Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 4.344%, 7/15/2036, 144A(i)		2,820,744
	8,250,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 2.713%, 7/02/2035, 144A(b)(i)		7,844,578
	6,450,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 3.963%, 7/02/2035, 144A(i)		5,964,102
	9,695,000	Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 2.544%, 10/17/2031, 144A(b)(i)		9,251,454
	970,000	Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 3.205%, 5/21/2034, 144A(i)		922,583
	7,615,000	Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%, 4.355%, 5/21/2034, 144A(i)		7,076,680
	Collateralized Loan Obligations — continued
$	12,510,000	Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 7.094%, 10/15/2034, 144A(i)	$	10,944,011
	400,000	THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 4.013%, 1/20/2031, 144A(i)		359,919
	1,540,000	Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 4.813%, 10/20/2034, 144A(i)		1,434,060

		Total Collateralized Loan Obligations (Identified Cost $140,547,562)		129,640,729


Shares
	Common Stocks — 6.8%
		Aerospace & Defense — 0.2%
	4,134	L3Harris Technologies, Inc.		999,188
	16,976	Lockheed Martin Corp.		7,299,001

				8,298,189

		Air Freight & Logistics — 0.1%
	30,369	United Parcel Service, Inc., Class B		5,543,557

		Beverages — 0.2%
	105,431	Coca-Cola Co. (The)		6,632,664

		Biotechnology — 0.2%
	54,591	AbbVie, Inc.		8,361,157

		Capital Markets — 0.3%
	10,730	BlackRock, Inc.		6,534,999
	62,836	Morgan Stanley		4,779,306

				11,314,305

		Communications Equipment — 0.1%
	120,409	Cisco Systems, Inc.		5,134,240

		Electric Utilities — 0.3%
	50,338	Duke Energy Corp.		5,396,737
	89,207	NextEra Energy, Inc.		6,909,974

				12,306,711

		Electronic Equipment, Instruments & Components — 0.3%
	327,068	Corning, Inc.		10,305,913

		Food & Staples Retailing — 0.2%
	51,385	Walmart, Inc.		6,247,388

		Health Care Equipment & Supplies — 0.1%
	38,838	Abbott Laboratories		4,219,749

		Health Care Providers & Services — 0.2%
	8,883	Elevance Health, Inc.		4,286,758
	6,466	UnitedHealth Group, Inc.		3,321,132

				7,607,890

		Hotels, Restaurants & Leisure — 0.2%
	81,558	Starbucks Corp.		6,230,216

		Household Products — 0.2%
	49,746	Procter & Gamble Co. (The)		7,152,977

		IT Services — 0.1%
	17,914	Accenture PLC, Class A		4,973,822

		Life Sciences Tools & Services — 0.1%
	5,075	Thermo Fisher Scientific, Inc.		2,757,146

		Machinery — 0.2%
	20,862	Cummins, Inc.		4,037,423
	13,785	Deere & Co.		4,128,194

				8,165,617

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)


Shares		Description	Value (†)
		Media — 0.6%
	1,317,588	Altice USA, Inc., Class A(j)	$	12,187,689
	182,887	Comcast Corp., Class A		7,176,486
	461,939	iHeartMedia, Inc., Class A(j)		3,644,699

				23,008,874

		Metals & Mining — 0.1%
	84,555	Newmont Corp.		5,045,397

		Oil, Gas & Consumable Fuels — 0.3%
	9,229	Battalion Oil Corp.(j)		78,723
	24,078	Pioneer Natural Resources Co.		5,371,320
	142,917	Williams Cos., Inc. (The)		4,460,440

				9,910,483

		Pharmaceuticals — 0.6%
	73,286	Bristol-Myers Squibb Co.		5,643,022
	49,941	Johnson & Johnson		8,865,027
	108,410	Merck & Co., Inc.		9,883,740

				24,391,789

		Professional Services — 0.0%
	5,336	Clarivate PLC(j)		73,957

		REITs – Diversified — 0.2%
	25,723	American Tower Corp.		6,574,541

		Road & Rail — 0.1%
	26,882	Union Pacific Corp.		5,733,393

		Semiconductors & Semiconductor Equipment — 0.3%
	6,885	Broadcom, Inc.		3,344,802
	66,250	Microchip Technology, Inc.		3,847,800
	29,176	QUALCOMM, Inc.		3,726,942

				10,919,544

		Software — 0.2%
	23,768	iQor Holdings, Inc.(c)(d)(j)		106,956
	25,107	Microsoft Corp.		6,448,231

				6,555,187

		Specialty Retail — 0.1%
	14,410	Home Depot, Inc. (The)		3,952,231

		Technology Hardware, Storage & Peripherals — 0.1%
	40,158	Apple, Inc.		5,490,402

		Wireless Telecommunication Services — 1.2%
	329,973	T-Mobile US, Inc.(j)		44,394,567

		Total Common Stocks (Identified Cost $278,125,014)		261,301,906


	Preferred Stocks — 2.0%
	Convertible Preferred Stocks — 1.6%
		Banking — 0.6%
	11,789	Bank of America Corp., Series L, 7.250%		14,199,851
	7,500	Wells Fargo & Co., Class A, Series L, 7.500%		9,116,325

				23,316,176

		Midstream — 0.3%
	238,087	El Paso Energy Capital Trust I, 4.750%		11,059,141

		Technology — 0.2%
	121,037	Clarivate PLC, Series A, 5.250%		6,925,023

		Wireless — 0.5%
	17,902	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(c)(d)		20,526,433

		Total Convertible Preferred Stocks (Identified Cost $68,517,393)		61,826,773

	Non-Convertible Preferred Stocks — 0.4%
		Home Construction — 0.1%
	208,246	Hovnanian Enterprises, Inc., 7.625%	$	3,956,674

		REITs – Diversified — 0.0%
	10,425	iStar, Inc., Series G, 7.650%		260,787

		REITs – Office Property — 0.1%
	1,596	Highwoods Properties, Inc., Series A, 8.625%(c)(d)		1,875,300

		REITs – Warehouse/Industrials — 0.2%
	116,192	Prologis, Inc., Series Q, 8.540%(c)(d)		7,436,288

		Total Non-Convertible Preferred Stocks (Identified Cost $8,540,568)		13,529,049


		Total Preferred Stocks (Identified Cost $77,057,961)		75,355,822


	Closed-End Investment Companies — 0.1%
	170,849	NexPoint Diversified Real Estate Trust (Identified Cost $10,238,824)		2,817,300


Principal Amount (‡)
	Short-Term Investments — 0.2%
$	6,388,460	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $6,388,522 on 7/01/2022 collateralized by $6,486,900 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $6,516,292 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,388,460)		6,388,460


		Total Investments — 98.2% (Identified Cost $4,393,935,260)		3,755,733,041
		Other assets less liabilities — 1.8%		69,827,518

		Net Assets — 100.0%	$	3,825,560,559


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 1,000.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2022 is disclosed.
	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(c)	Illiquid security.
	(d)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $90,856,880 or 2.4% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Perpetual bond with no specified maturity date.
	(f)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(g)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)



	(h)			Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $3,095,871 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(i)			Variable rate security. Rate as of June 30, 2022 is disclosed.
	(j)			Non-income producing security.
	(k)			Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(l)			Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(m)			Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.
	(n)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added.
	(o)			Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 1.00%, to which the spread is added.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $1,430,996,068 or 37.4% of net assets.
	ABS			Asset-Backed Securities
	LIBOR			London Interbank Offered Rate
	MBIA			Municipal Bond Investors Assurance Corp.
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts
	SOFR			Secured Overnight Financing Rate

	BRL			Brazilian Real
	MXN			Mexican Peso

At June 30, 2022, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection


Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)
CDX.NA HY* Series 37 500, 5-Year		5.00	%		12/20/2026		5.42	%		46,530,000	$	3,096,841		$	(640,956	)	$	(3,737,797	)
CDX.NA HY* Series 37 500, 5-Year		5.00	%		12/20/2026		5.42	%		94,104,450		7,029,773			(1,296,299	)		(8,326,072	)
CDX.NA HY* Series 38 500, 5-Year		5.00	%		6/20/2027		5.78	%		21,304,800		(469,005	)		(612,068	)		(143,063	)
CDX.NA HY* Series 38 500, 5-Year		5.00	%		6/20/2027		5.78	%		8,900,100		(231,372	)		(255,692	)		(24,320	)
CDX.NA HY* Series 38 500, 5-Year		5.00	%		6/20/2027		5.78	%		8,900,100		(208,333	)		(255,692	)		(47,359	)

Total														$	(3,060,707	)	$	(12,278,611	)

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

*	CDX.NA.HY is an index composed of North American high yield credit default swaps.

At June 30, 2022, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		9/21/2022		98	$	15,531,714	$	15,125,688	$	(406,026	)

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of June 30, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund – (continued)

Industry Summary at June 30, 2022 (Unaudited)


Treasuries	19.3	%
Cable Satellite	7.7
Finance Companies	4.4
ABS Home Equity	3.7
Technology	3.6
Independent Energy	3.5
Pharmaceuticals	3.4
Wireless	3.2
Banking	2.6
Metals & Mining	2.6
Consumer Cyclical Services	2.6
Airlines	2.3
Non-Agency Commercial Mortgage-Backed Securities	2.0
Other Investments, less than 2% each	33.6
Collateralized Loan Obligations	3.4
Short-Term Investments	0.2
Closed-End Investment Companies	0.1

Total Investments	98.2
Other assets less liabilities (including swap agreements and futures contracts)	1.8

Net Assets	100.0	%

See accompanying notes to financial statements.

| 60

Statements of Assets and Liabilities

June 30, 2022 (Unaudited)


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
ASSETS
Investments at cost	$	145,877,372		$	6,488,606,639		$	1,159,690,205		$	4,393,935,260
Net unrealized depreciation		(28,774,127	)		(486,904,590	)		(160,877,334	)		(638,202,219	)

Investments at value		117,103,245			6,001,702,049			998,812,871			3,755,733,041
Cash		237,912			—			2,387,126			2,629,693
Due from brokers (Note 2)		130,000			6,160,000			14,330,000			34,385,000
Foreign currency at value (identified cost $91, $202,555, $5,692,055 and $767,271, respectively)		90			197,504			5,072,035			747,847
Receivable for Fund shares sold		186,845			41,120,016			2,563,856			2,975,504
Receivable for securities sold		2,187,660			27,765,376			6,341,383			19,415,955
Collateral received for open forward foreign currency contracts or swap agreements (Notes 2 and 4)		—			—			1,106,064			—
Dividends and interest receivable		2,035,356			42,299,174			10,111,343			38,540,229
Unrealized appreciation on bilateral swap agreements (Note 2)		—			—			559,985			—
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			842,515			—
Tax reclaims receivable		—			45,459			595			56
Receivable for variation margin on futures contracts (Note 2)		—			4,313,435			—			229,703
Receivable for variation margin on centrally cleared swap agreements (Note 2)		—			—			116,406			—
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		—			—			62,071			—
Prepaid expenses (Note 8)		18			808			167			600

TOTAL ASSETS		121,881,126			6,123,603,821			1,042,306,417			3,854,657,628

LIABILITIES
Options written, at value (premiums received $0, $0, $125,363 and $0, respectively) (Note 2)		—			—			139,175			—
Payable for securities purchased		688,352			50,604,890			9,481,773			18,624,758
Payable for Fund shares redeemed		392,631			12,213,673			2,752,544			5,832,909
Payable for variation margin on centrally cleared swap agreements (Note 2)		3,605			139,594			—			384,920
Due to brokers (Note 2)		—			—			1,106,064			—
Payable for variation margin on futures contracts (Note 2)		—			—			733,941			—
Management fees payable (Note 6)		52,813			1,769,564			535,186			1,792,224
Deferred Trustees’ fees (Note 6)		204,091			1,127,268			225,965			1,870,382
Administrative fees payable (Note 6)		4,818			222,871			40,909			149,169
Payable to distributor (Note 6d)		1,365			41,202			4,749			37,115
Audit and tax services fees payable		30,175			36,689			50,287			36,543
Other accounts payable and accrued expenses		28,296			613,273			87,111			369,049

TOTAL LIABILITIES		1,406,146			66,769,024			15,157,704			29,097,069

NET ASSETS	$	120,474,980		$	6,056,834,797		$	1,027,148,713		$	3,825,560,559

NET ASSETS CONSIST OF:
Paid-in capital	$	158,261,705		$	6,538,588,709		$	1,203,542,887		$	4,694,733,770
Accumulated loss		(37,786,725	)		(481,753,912	)		(176,394,174	)		(869,173,211	)

NET ASSETS	$	120,474,980		$	6,056,834,797		$	1,027,148,713		$	3,825,560,559

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	16,437,925		$	652,444,498		$	34,765,368		$	1,211,094,856

Shares of beneficial interest		4,712,695			65,658,380			3,766,460			100,392,249

Net asset value and redemption price per share	$	3.49		$	9.94		$	9.23		$	12.06

Offering price per share (100/95.75 of net asset value) (Note 1)	$	3.64		$	10.38		$	9.64		$	12.60

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	1,151,904		$	60,608,490		$	3,379,836		$	73,367,546

Shares of beneficial interest		328,798			6,177,929			366,812			6,010,015

Net asset value and offering price per share	$	3.50		$	9.81		$	9.21		$	12.21

Class N shares:
Net assets	$	102,338		$	1,333,489,327		$	242,883,246		$	226,627,313

Shares of beneficial interest		29,333			134,183,976			26,373,767			18,808,143

Net asset value, offering and redemption price per share	$	3.49		$	9.94		$	9.21		$	12.05

Class Y shares:
Net assets	$	102,782,813		$	3,884,825,229		$	746,120,263		$	2,239,994,789

Shares of beneficial interest		29,533,272			390,674,841			81,065,426			185,937,978

Net asset value, offering and redemption price per share	$	3.48		$	9.94		$	9.20		$	12.05

Admin Class shares:
Net assets	$	—		$	125,467,253		$	—		$	74,476,055

Shares of beneficial interest		—			12,665,822			—			6,197,226

Net asset value, offering and redemption price per share	$	—		$	9.91		$	—		$	12.02

See accompanying notes to financial statements.

61 |

Statements of Operations

For the Six Months Ended June 30, 2022 (Unaudited)


	High Income Fund			Investment Grade Bond Fund				Strategic Alpha Fund			Strategic Income Fund
INVESTMENT INCOME
Interest	$	3,807,482		$	94,891,792			$	25,484,411		$	84,046,097
Dividends		89,744			2,086,526				531,671			6,812,478

		3,897,226			96,978,318				26,016,082			90,858,575

Expenses
Management fees (Note 6)		405,069			12,051,170				3,664,284			12,718,127
Service and distribution fees (Note 6)		30,760			1,548,950				67,415			2,377,342
Administrative fees (Note 6)		29,883			1,333,164				270,609			978,298
Trustees’ fees and expenses (Note 6)		8,314			93,253				23,723			68,991
Trustees’ fees deferred compensation (Note 6)		(29,038	)		(148,687	)			(26,949	)		(268,938	)
Transfer agent fees and expenses (Notes 6 and 7)		80,343			1,840,172				281,519			1,835,216
Audit and tax services fees		26,102			31,558				43,392			31,550
Custodian fees and expenses		7,155			85,770				37,012			75,937
Legal fees (Note 8)		1,509			88,364				16,564			57,281
Registration fees		42,840			138,624				57,341			74,296
Shareholder reporting expenses		19,138			184,467				31,508			168,770
Miscellaneous expenses		16,850			103,098				36,276			82,666

Total expenses		638,925			17,349,903				4,502,694			18,199,536
Less waiver and/or expense reimbursement (Note 6)		(101,855	)		(1,085,238	)			—			(414,800	)

Net expenses		537,070			16,264,665				4,502,694			17,784,736

Net investment income		3,360,156			80,713,653				21,513,388			73,073,839

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS							��
Net realized gain (loss) on:
Investments		(1,014,896	)		(18,707,510	)			(24,362,998	)		8,320,871
Futures contracts		—			16,402,244				28,256,713			939,314
Options written		—			—				(13,863	)		—
Swap agreements		220			(18,666	)			1,776,216			(1,555,725	)
Forward foreign currency contracts (Note 2d)		—			—				1,296,114			(369,783	)
Foreign currency transactions (Note 2c)		—			12				53,367			(316,443	)
Net change in unrealized appreciation (depreciation) on:
Investments		(26,678,725	)		(742,181,904	)			(140,521,890	)		(712,269,530	)
Futures contracts		—			15,673,171				(10,698,314	)		1,313,052
Options written		—			—				55,275			—
Swap agreements		(6,933	)		(326,194	)			2,664,732			(14,963,284	)
Forward foreign currency contracts (Note 2d)		—			—				(425,107	)		248,802
Foreign currency translations (Note 2c)		—			(5,050	)			(370,333	)		320,252

Net realized and unrealized loss on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		(27,700,334	)		(729,163,897	)			(142,290,088	)		(718,332,474	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(24,340,178	)	$	(648,450,244	)		$	(120,776,700	)	$	(645,258,635	)

See accompanying notes to financial statements.

| 62

Statements of Changes in Net Assets


	High Income Fund						Investment Grade Bond Fund
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income	$	3,360,156		$	4,936,940		$	80,713,653		$	153,264,651
Net realized gain (loss) on investments, futures contracts, swap agreements and foreign currency transactions		(1,014,676	)		3,475,557			(2,323,920	)		109,049,202
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements and foreign currency translations		(26,685,658	)		(4,618,963	)		(726,839,977	)		(246,431,700	)

Net increase (decrease) in net assets resulting from operations		(24,340,178	)		3,793,534			(648,450,244	)		15,882,153

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(450,278	)		(946,674	)		(9,530,300	)		(30,802,007	)
Class C		(29,014	)		(73,463	)		(675,896	)		(2,795,363	)
Class N		(2,844	)		(275,475	)		(21,008,209	)		(58,322,546	)
Class Y		(2,947,787	)		(4,075,764	)		(55,685,632	)		(158,314,703	)
Admin Class		—			—			(1,631,209	)		(4,776,384	)

Total distributions		(3,429,923	)		(5,371,376	)		(88,531,246	)		(255,011,003	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		20,917,162			16,187,734			387,621,593			620,561,500

Net increase (decrease) in net assets		(6,852,939	)		14,609,892			(349,359,897	)		381,432,650
NET ASSETS
Beginning of the period		127,327,919			112,718,027			6,406,194,694			6,024,762,044

End of the period	$	120,474,980		$	127,327,919		$	6,056,834,797		$	6,406,194,694

See accompanying notes to financial statements.

63 |

Statements of Changes in Net Assets (continued)


	Strategic Alpha Fund						Strategic Income Fund
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021
FROM OPERATIONS:
Net investment income	$	21,513,388		$	38,752,332		$	73,073,839		$	107,292,454
Net realized gain on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions		7,005,549			23,922,333			7,018,234			36,820,190
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations		(149,295,637	)		(43,767,308	)		(725,350,708	)		69,006,643

Net increase (decrease) in net assets resulting from operations		(120,776,700	)		18,907,357			(645,258,635	)		213,119,287

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A		(527,165	)		(799,143	)		(21,569,107	)		(41,929,319	)
Class C		(35,982	)		(53,976	)		(1,105,348	)		(3,065,889	)
Class N		(4,430,183	)		(12,165,057	)		(4,443,909	)		(7,514,115	)
Class Y		(12,489,494	)		(18,704,272	)		(44,975,530	)		(94,327,240	)
Admin Class		—			—			(1,249,099	)		(2,347,779	)

Total distributions		(17,482,824	)		(31,722,448	)		(73,342,993	)		(149,184,342	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(295,441,439	)		158,648,418			(523,414,255	)		(985,523,294	)

Net increase (decrease) in net assets		(433,700,963	)		145,833,327			(1,242,015,883	)		(921,588,349	)
NET ASSETS
Beginning of the period		1,460,849,676			1,315,016,349			5,067,576,442			5,989,164,791

End of the period	$	1,027,148,713		$	1,460,849,676		$	3,825,560,559		$	5,067,576,442

See accompanying notes to financial statements.

| 64

Financial Highlights

For a share outstanding throughout each period.


	High Income Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	4.29		$	4.35		$	4.25		$	3.99		$	4.25		$	4.37		$	4.23

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.17			0.20			0.20			0.05			0.20			0.22
Net realized and unrealized gain (loss)		(0.80	)		(0.05	)		0.12	(b)		0.27			(0.24	)		(0.14	)		0.12

Total from Investment Operations		(0.71	)		0.12			0.32			0.47			(0.19	)		0.06			0.34

LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.18	)		(0.22	)		(0.21	)		(0.06	)		(0.18	)		(0.20	)
Net realized capital gains		—			—			—			—			(0.01	)		—			—

Total Distributions		(0.09	)		(0.18	)		(0.22	)		(0.21	)		(0.07	)		(0.18	)		(0.20	)

Net asset value, end of the period	$	3.49		$	4.29		$	4.35		$	4.25		$	3.99		$	4.25		$	4.37

Total return(c)(d)		(16.63	)%(e)		2.87	%		8.16	%		11.94	%		(4.54	)%(e)		1.41	%		8.17	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	16,438		$	20,470		$	41,547		$	23,199		$	23,125		$	26,175		$	34,039
Net expenses(f)		1.00	%(g)		1.00	%		1.00	%		1.03	%(h)		1.05	%(g)		1.05	%		1.09	%(i)
Gross expenses		1.15	%(g)		1.19	%		1.22	%		1.18	%		1.27	%(g)		1.16	%		1.15	%
Net investment income		4.74	%(g)		3.83	%		4.91	%		4.84	%		5.13	%(g)		4.73	%		5.03	%
Portfolio turnover rate		30	%		67	%		99	%(j)		48	%		17	%		55	%		46	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Computed on an annualized basis for periods less than one year.

(h)	Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%.

(i)	Effective July 1, 2017, the expense limit decreased to 1.05%.

(j)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

65 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	4.31		$	4.37		$	4.27		$	4.00		$	4.27		$	4.38		$	4.24

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.14			0.17			0.17			0.05			0.17			0.18
Net realized and unrealized gain (loss)		(0.81	)		(0.05	)		0.12	(b)		0.28			(0.26	)		(0.13	)		0.12

Total from Investment Operations		(0.73	)		0.09			0.29			0.45			(0.21	)		0.04			0.30

LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.15	)		(0.19	)		(0.18	)		(0.05	)		(0.15	)		(0.16	)
Net realized capital gains		—			—			—			—			(0.01	)		—			—

Total Distributions		(0.08	)		(0.15	)		(0.19	)		(0.18	)		(0.06	)		(0.15	)		(0.16	)

Net asset value, end of the period	$	3.50		$	4.31		$	4.37		$	4.27		$	4.00		$	4.27		$	4.38

Total return(c)(d)		(17.11	)%(e)		2.07	%		7.30	%		11.32	%		(4.95	)%(e)		0.86	%		7.33	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,152		$	1,795		$	2,933		$	3,836		$	5,351		$	6,248		$	11,227
Net expenses(f)		1.75	%(g)		1.75	%		1.75	%		1.78	%(h)		1.80	%(g)		1.80	%		1.84	%(i)
Gross expenses		1.90	%(g)		1.94	%		1.97	%		1.93	%		2.02	%(g)		1.91	%		1.90	%
Net investment income		3.96	%(g)		3.14	%		4.24	%		4.11	%		4.38	%(g)		3.99	%		4.29	%
Portfolio turnover rate		30	%		67	%		99	%(j)		48	%		17	%		55	%		46	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Computed on an annualized basis for periods less than one year.

(h)	Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%.

(i)	Effective July 1, 2017, the expense limit decreased to 1.80%.

(j)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

| 66

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Period Ended September 30, 2017**
Net asset value, beginning of the period	$	4.29		$	4.36		$	4.25		$	3.99		$	4.25		$	4.36		$	4.16

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.18			0.21			0.22			0.06			0.20			0.19
Net realized and unrealized gain (loss)		(0.80	)		(0.05	)		0.14	(b)		0.26			(0.25	)		(0.12	)		0.18

Total from Investment Operations		(0.70	)		0.13			0.35			0.48			(0.19	)		0.08			0.37

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.20	)		(0.24	)		(0.22	)		(0.06	)		(0.19	)		(0.17	)
Net realized capital gains		—			—			—			—			(0.01	)		—			—

Total Distributions		(0.10	)		(0.20	)		(0.24	)		(0.22	)		(0.07	)		(0.19	)		(0.17	)

Net asset value, end of the period	$	3.49		$	4.29		$	4.36		$	4.25		$	3.99		$	4.25		$	4.36

Total return(c)		(16.51	)%(d)		2.95	%		8.73	%		12.28	%		(4.47	)%(d)		1.96	%		8.99	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	102		$	105		$	14,783		$	11,977		$	10,417		$	10,338		$	1
Net expenses(e)		0.70	%(f)		0.70	%		0.70	%		0.72	%(g)		0.75	%(f)		0.75	%		0.75	%(f)(h)
Gross expenses		2.41	%(f)		0.86	%		0.88	%		0.82	%		0.89	%(f)		0.79	%		31.73	%(f)
Net investment income		5.07	%(f)		4.10	%		5.28	%		5.13	%		5.45	%(f)		4.65	%		5.19	%(f)
Portfolio turnover rate		30	%		67	%		99	%(i)		48	%		17	%		55	%		46	%(j)

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

**	From commencement of Class operations on November 30, 2016 through September 30, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%.

(h)	Effective July 1, 2017, the expense limit decreased to 0.75%.

(i)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(j)	Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

See accompanying notes to financial statements.

67 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	4.28		$	4.34		$	4.25		$	3.98		$	4.24		$	4.36		$	4.22

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.18			0.22			0.21			0.06			0.21			0.23
Net realized and unrealized gain (loss)		(0.80	)		(0.05	)		0.10	(b)		0.28			(0.25	)		(0.14	)		0.12

Total from Investment Operations		(0.70	)		0.13			0.32			0.49			(0.19	)		0.07			0.35

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.19	)		(0.23	)		(0.22	)		(0.06	)		(0.19	)		(0.21	)
Net realized capital gains		—			—			—			—			(0.01	)		—			—

Total Distributions		(0.10	)		(0.19	)		(0.23	)		(0.22	)		(0.07	)		(0.19	)		(0.21	)

Net asset value, end of the period	$	3.48		$	4.28		$	4.34		$	4.25		$	3.98		$	4.24		$	4.36

Total return(c)		(16.57	)%(d)		3.15	%		8.19	%		12.52	%		(4.49	)%(d)		1.68	%		8.47	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	102,783		$	104,957		$	53,456		$	108,315		$	97,585		$	127,699		$	133,940
Net expenses(e)		0.75	%(f)		0.75	%		0.75	%		0.77	%(g)		0.80	%(f)		0.80	%		0.84	%(h)
Gross expenses		0.90	%(f)		0.95	%		0.98	%		0.93	%		1.02	%(f)		0.91	%		0.90	%
Net investment income		5.03	%(f)		4.16	%		5.32	%		5.07	%		5.39	%(f)		4.98	%		5.28	%
Portfolio turnover rate		30	%		67	%		99	%(i)		48	%		17	%		55	%		46	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%.

(h)	Effective July 1, 2017, the expense limit decreased to 0.80%.

(i)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

See accompanying notes to financial statements.

| 68

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	11.22		$	11.65		$	11.33		$	10.77		$	10.98		$	11.30		$	11.59

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.13			0.26			0.32			0.35			0.08			0.30			0.36
Net realized and unrealized gain (loss)		(1.27	)		(0.26	)		0.94			0.58			(0.16	)		(0.28	)		0.05

Total from Investment Operations		(1.14	)		0.00	(b)		1.26			0.93			(0.08	)		0.02			0.41

LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.26	)		(0.32	)		(0.36	)		(0.08	)		(0.21	)		(0.26	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)

Total Distributions		(0.14	)		(0.43	)		(0.94	)		(0.37	)		(0.13	)		(0.34	)		(0.70	)

Net asset value, end of the period	$	9.94		$	11.22		$	11.65		$	11.33		$	10.77		$	10.98		$	11.30

Total return(c)		(10.19	)%(d)(e)		0.07	%(d)		11.41	%(d)		8.78	%(d)		(0.66	)%(d)(e)		0.19	%(d)		3.88	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	652,444		$	793,271		$	872,976		$	772,485		$	721,110		$	777,391		$	902,955
Net expenses		0.75	%(f)(g)		0.75	%(g)		0.76	%(g)(h)		0.77	%(g)(i)		0.78	%(f)(g)		0.80	%(g)(j)		0.82	%(k)
Gross expenses		0.79	%(f)		0.79	%		0.80	%		0.81	%		0.82	%(f)		0.82	%		0.82	%
Net investment income		2.46	%(f)		2.24	%		2.73	%		3.10	%		3.09	%(f)		2.73	%		3.23	%
Portfolio turnover rate		17	%		27	%		70	%(l)		44	%(m)		39	%(m)		3	%		10	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Amount rounds to less than $0.01 per share.

(c)	A sales charge for Class A shares is not reflected in total return calculations.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

(f)	Computed on an annualized basis for periods less than one year.

(g)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)	Effective July 1, 2020, the expense limit decreased from 0.76% to 0.75%.

(i)	Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%.

(j)	Effective July 1, 2018, the expense limit decreased to 0.78%.

(k)	Effective July 1, 2017, the expense limit decreased to 0.80%.

(l)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(m)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

See accompanying notes to financial statements.

69 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	11.07		$	11.51		$	11.20		$	10.65		$	10.86		$	11.19		$	11.48

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.17			0.23			0.26			0.06			0.22			0.27
Net realized and unrealized gain (loss)		(1.25	)		(0.26	)		0.93			0.58			(0.16	)		(0.28	)		0.06

Total from Investment Operations		(1.16	)		(0.09	)		1.16			0.84			(0.10	)		(0.06	)		0.33

LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(0.18	)		(0.23	)		(0.28	)		(0.06	)		(0.14	)		(0.18	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)

Total Distributions		(0.10	)		(0.35	)		(0.85	)		(0.29	)		(0.11	)		(0.27	)		(0.62	)

Net asset value, end of the period	$	9.81		$	11.07		$	11.51		$	11.20		$	10.65		$	10.86		$	11.19

Total return(b)		(10.56	)%(c)(d)		(0.70	)%(c)		10.61	%(c)		7.94	%(c)		(0.86	)%(c)(d)		(0.53	)%(c)		3.12	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	60,608		$	80,099		$	132,606		$	204,395		$	366,068		$	412,788		$	689,798
Net expenses		1.50	%(e)(f)		1.50	%(f)		1.51	%(f)(g)		1.52	%(f)(h)		1.53	%(e)(f)		1.55	%(f)(i)		1.57	%(j)
Gross expenses		1.54	%(e)		1.54	%		1.55	%		1.56	%		1.57	%(e)		1.57	%		1.57	%
Net investment income		1.70	%(e)		1.50	%		2.01	%		2.35	%		2.34	%(e)		1.96	%		2.49	%
Portfolio turnover rate		17	%		27	%		70	%(k)		44	%(l)		39	%(l)		3	%		10	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(e)	Computed on an annualized basis for periods less than one year.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Effective July 1, 2020, the expense limit decreased from 1.51% to 1.50%.

(h)	Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%.

(i)	Effective July 1, 2018, the expense limit decreased to 1.53%.

(j)	Effective July 1, 2017, the expense limit decreased to 1.55%.

(k)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(l)

See accompanying notes to financial statements.

| 70

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	11.22		$	11.65		$	11.33		$	10.78		$	10.98		$	11.30		$	11.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.29			0.35			0.38			0.09			0.34			0.39
Net realized and unrealized gain (loss)		(1.27	)		(0.25	)		0.94			0.58			(0.15	)		(0.28	)		0.07

Total from Investment Operations		(1.13	)		0.04			1.29			0.96			(0.06	)		0.06			0.46

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.30	)		(0.35	)		(0.40	)		(0.09	)		(0.25	)		(0.30	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)

Total Distributions		(0.15	)		(0.47	)		(0.97	)		(0.41	)		(0.14	)		(0.38	)		(0.74	)

Net asset value, end of the period	$	9.94		$	11.22		$	11.65		$	11.33		$	10.78		$	10.98		$	11.30

Total return		(10.06	)%(b)(c)		0.37	%(b)		11.74	%(b)		9.11	%		(0.58	)%(c)		0.50	%		4.34	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,333,489		$	1,473,020		$	1,188,772		$	1,367,172		$	1,216,690		$	1,251,189		$	1,203,169
Net expenses		0.45	%(d)(e)		0.45	%(e)		0.46	%(e)(f)		0.47	%(g)		0.48	%(d)		0.47	%(h)		0.48	%(i)
Gross expenses		0.46	%(d)		0.47	%		0.47	%		0.47	%		0.48	%(d)		0.47	%		0.48	%
Net investment income		2.77	%(d)		2.53	%		3.04	%		3.40	%		3.40	%(d)		3.05	%		3.51	%
Portfolio turnover rate		17	%		27	%		70	%(j)		44	%(k)		39	%(k)		3	%		10	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	Periods less than one year are not annualized.

(d)	Computed on an annualized basis for periods less than one year.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Effective July 1, 2020, the expense limit decreased from 0.46% to 0.45%.

(g)	Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%.

(h)	Effective July 1, 2018, the expense limit decreased to 0.48%.

(i)	Effective July 1, 2017, the expense limit decreased to 0.50%.

(j)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k)

See accompanying notes to financial statements.

71 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Period Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	11.22		$	11.66		$	11.34		$	10.78		$	10.99		$	11.31		$	11.59

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.29			0.35			0.37			0.09			0.33			0.39
Net realized and unrealized gain (loss)		(1.27	)		(0.27	)		0.94			0.59			(0.16	)		(0.28	)		0.06

Total from Investment Operations		(1.13	)		0.02			1.29			0.96			(0.07	)		0.05			0.45

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.29	)		(0.35	)		(0.39	)		(0.09	)		(0.24	)		(0.29	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)

Total Distributions		(0.15	)		(0.46	)		(0.97	)		(0.40	)		(0.14	)		(0.37	)		(0.73	)

Net asset value, end of the period	$	9.94		$	11.22		$	11.66		$	11.34		$	10.78		$	10.99		$	11.31

Total return		(10.08	)%(b)(c)		0.24	%(b)		11.68	%(b)		9.04	%(b)		(0.59	)%(b)(c)		0.43	%(b)		4.24	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,884,825		$	3,920,635		$	3,704,948		$	3,118,505		$	2,912,537		$	3,001,906		$	3,453,137
Net expenses		0.50	%(d)(e)		0.50	%(e)		0.51	%(e)(f)		0.52	%(e)(g)		0.53	%(d)(e)		0.55	%(e)(h)		0.57	%(i)
Gross expenses		0.54	%(d)		0.54	%		0.55	%		0.56	%		0.57	%(d)		0.57	%		0.57	%
Net investment income		2.72	%(d)		2.49	%		2.98	%		3.35	%		3.35	%(d)		2.98	%		3.48	%
Portfolio turnover rate		17	%		27	%		70	%(j)		44	%(k)		39	%(k)		3	%		10	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)	Periods less than one year are not annualized.

(d)	Computed on an annualized basis for periods less than one year.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Effective July 1, 2020, the expense limit decreased from 0.51% to 0.50%.

(g)	Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%.

(h)	Effective July 1, 2018, the expense limit decreased to 0.53%.

(i)	Effective July 1, 2017, the expense limit decreased to 0.55%.

(j)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(k)

See accompanying notes to financial statements.

| 72

Financial Highlights (continued)

For a share outstanding throughout each period.


	Investment Grade Bond Fund—Admin Class
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018*			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	11.18		$	11.62		$	11.30		$	10.75		$	10.95		$	11.28		$	11.56

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.23			0.29			0.32			0.08			0.28			0.34
Net realized and unrealized gain (loss)		(1.26	)		(0.26	)		0.94			0.58			(0.15	)		(0.28	)		0.06

Total from Investment Operations		(1.14	)		(0.03	)		1.23			0.90			(0.07	)		0.00	(b)		0.40

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.24	)		(0.29	)		(0.34	)		(0.08	)		(0.20	)		(0.24	)
Net realized capital gains		(0.01	)		(0.17	)		(0.62	)		(0.01	)		(0.05	)		(0.13	)		(0.44	)

Total Distributions		(0.13	)		(0.41	)		(0.91	)		(0.35	)		(0.13	)		(0.33	)		(0.68	)

Net asset value, end of the period	$	9.91		$	11.18		$	11.62		$	11.30		$	10.75		$	10.95		$	11.28

Total return(c)		(10.25	)%(d)		(0.26	)%		11.17	%		8.43	%		(0.63	)%(d)		(0.07	)%		3.76	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	125,467		$	139,169		$	125,460		$	111,439		$	111,864		$	115,301		$	25,521
Net expenses(e)		1.00	%(f)		1.00	%		1.01	%(g)		1.02	%(h)		1.03	%(f)		1.02	%(i)(j)		1.02	%(k)(l)
Gross expenses		1.04	%(f)		1.04	%		1.05	%		1.06	%		1.07	%(f)		1.05	%(j)		1.03	%(l)
Net investment income		2.22	%(f)		1.98	%		2.48	%		2.85	%		2.85	%(f)		2.56	%		3.03	%
Portfolio turnover rate		17	%		27	%		70	%(m)		44	%(n)		39	%(n)		3	%		10	%

*	For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Amount rounds to less than $0.01 per share.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Effective July 1, 2020, the expense limit decreased from 1.01% to 1.00%.

(h)	Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%.

(i)	Effective July 1, 2018, the expense limit decreased to 1.03%.

(j)	Includes refund of prior year service fee of 0.02%.

(k)	Effective July 1, 2017, the expense limit decreased to 1.05%.

(l)	Includes refund of prior year service fee of 0.05%.

(m)	The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility.

(n)

See accompanying notes to financial statements.

73 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	10.34		$	10.43		$	9.69		$	9.62		$	9.92		$	9.86

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.16			0.26			0.28			0.30			0.33			0.32
Net realized and unrealized gain (loss)		(1.14	)		(0.15	)		0.67			0.04			(0.30	)		(0.01	)

Total from Investment Operations		(0.98	)		0.11			0.95			0.34			0.03			0.31

LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.20	)		(0.21	)		(0.27	)		(0.33	)		(0.25	)

Net asset value, end of the period	$	9.23		$	10.34		$	10.43		$	9.69		$	9.62		$	9.92

Total return(b)		(9.48	)%(c)		1.07	%		9.97	%		3.58	%		0.39	%		3.22	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	34,765		$	41,765		$	36,067		$	48,815		$	36,528		$	28,020
Net expenses		0.99	%(e)		0.97	%		0.99	%		0.99	%		1.00	%(f)		1.05	%(g)(h)
Gross expenses		0.99	%(e)		0.97	%		0.99	%		0.99	%		1.00	%(f)		1.06	%
Net investment income		3.27	%(e)		2.45	%		2.81	%		3.10	%		3.29	%		3.26	%
Portfolio turnover rate		28	%(i)		218	%(i)		498	%		414	%(j)		379	%(j)		178	%(k)

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	A sales charge for Class A shares is not reflected in total return calculations.

(c)	Periods less than one year are not annualized.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Computed on an annualized basis for periods less than one year.

(f)	Includes fee/expense recovery of less than 0.01%.

(g)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)	Effective July 1, 2017, the expense limit decreased from 1.30% to 1.00%.

(i)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

(j)	The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(k)	The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

| 74

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	10.32		$	10.40		$	9.66		$	9.58		$	9.88		$	9.82

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.18			0.21			0.23			0.26			0.25
Net realized and unrealized gain (loss)		(1.13	)		(0.15	)		0.66			0.04			(0.31	)		0.00	(b)(c)

Total from Investment Operations		(1.01	)		0.03			0.87			0.27			(0.05	)		0.25

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.11	)		(0.13	)		(0.19	)		(0.25	)		(0.19	)

Net asset value, end of the period	$	9.21		$	10.32		$	10.40		$	9.66		$	9.58		$	9.88

Total return(d)		(9.84	)%(e)		0.30	%		9.12	%		2.87	%(f)		(0.42	)%		2.53	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,380		$	4,266		$	8,962		$	16,337		$	26,883		$	33,759
Net expenses		1.74	%(g)		1.73	%		1.74	%		1.73	%(h)		1.75	%(i)		1.81	%(j)
Gross expenses		1.74	%(g)		1.73	%		1.74	%		1.74	%		1.75	%(i)		1.81	%
Net investment income		2.52	%(g)		1.68	%		2.14	%		2.33	%		2.61	%		2.52	%
Portfolio turnover rate		28	%(k)		218	%(k)		498	%		414	%(l)		379	%(l)		178	%(m)

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)	Amount rounds to less than $0.01 per share.

(d)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(e)	Periods less than one year are not annualized.

(f)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(g)	Computed on an annualized basis for periods less than one year.

(h)	The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)	Includes fee/expense recovery of less than 0.01%.

(j)	Effective July 1, 2017, the expense limit decreased from 2.05% to 1.75%.

(k)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

(l)	The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(m)	The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

75 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Period Ended December 31, 2017*
Net asset value, beginning of the period	$	10.32		$	10.41		$	9.67		$	9.60		$	9.90		$	9.90

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.29			0.31			0.33			0.34			0.25
Net realized and unrealized gain (loss)		(1.13	)		(0.15	)		0.67			0.04			(0.28	)		(0.04	)

Total from Investment Operations		(0.96	)		0.14			0.98			0.37			0.06			0.21

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.23	)		(0.24	)		(0.30	)		(0.36	)		(0.21	)

Net asset value, end of the period	$	9.21		$	10.32		$	10.41		$	9.67		$	9.60		$	9.90

Total return		(9.35	)%(b)		1.38	%		10.36	%		3.92	%		0.68	%		2.11	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	242,883		$	484,005		$	527,494		$	297,300		$	255,226		$	59,282
Net expenses		0.68	%(d)		0.67	%		0.68	%		0.67	%		0.70	%(e)		0.70	%(d)(f)(g)
Gross expenses		0.68	%(d)		0.67	%		0.68	%		0.67	%		0.70	%(e)		0.72	%(d)
Net investment income		3.53	%(d)		2.74	%		3.13	%		3.39	%		3.44	%		3.83	%(d)
Portfolio turnover rate		28	%(h)		218	%(h)		498	%		414	%(i)		379	%(i)		178	%(j)

*	From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Periods less than one year are not annualized.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Computed on an annualized basis for periods less than one year.

(e)	Includes fee/expense recovery of 0.01%.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Effective July 1, 2017, the expense limit decreased from 1.00% to 0.70%.

(h)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

(i)	The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(j)	Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

See accompanying notes to financial statements.

| 76

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Alpha Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2017
Net asset value, beginning of the period	$	10.31		$	10.41		$	9.67		$	9.59		$	9.90		$	9.85

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.28			0.30			0.32			0.35			0.35
Net realized and unrealized gain (loss)		(1.13	)		(0.15	)		0.68			0.06			(0.31	)		(0.01	)

Total from Investment Operations		(0.96	)		0.13			0.98			0.38			0.04			0.34

LESS DISTRIBUTIONS FROM:
Net investment income		(0.15	)		(0.23	)		(0.24	)		(0.30	)		(0.35	)		(0.29	)

Net asset value, end of the period	$	9.20		$	10.31		$	10.41		$	9.67		$	9.59		$	9.90

Total return		(9.39	)%(b)		1.32	%		10.19	%		3.96	%		0.53	%		3.48	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	746,120		$	930,815		$	742,493		$	938,271		$	1,186,322		$	1,031,537
Net expenses		0.74	%(d)		0.72	%		0.74	%		0.74	%		0.75	%(e)		0.80	%(f)(g)
Gross expenses		0.74	%(d)		0.72	%		0.74	%		0.74	%		0.75	%(e)		0.81	%
Net investment income		3.52	%(d)		2.70	%		3.05	%		3.33	%		3.51	%		3.53	%
Portfolio turnover rate		28	%(h)		218	%(h)		498	%		414	%(i)		379	%(i)		178	%(j)

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Periods less than one year are not annualized.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Computed on an annualized basis for periods less than one year.

(e)	Includes fee/expense recovery of less than 0.01%.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Effective July 1, 2017, the expense limit decreased from 1.05% to 0.75%.

(h)	The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022.

(i)	The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(j)	The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

See accompanying notes to financial statements.

77 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class A
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	14.19		$	14.03		$	13.58		$	14.25		$	14.39		$	14.84		$	14.70

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.21			0.26			0.10			0.47			0.57			0.52			0.56
Net realized and unrealized gain (loss)		(2.13	)		0.27			0.63			(0.66	)		(0.16	)		(0.33	)		0.42

Total from Investment Operations		(1.92	)		0.53			0.73			(0.19	)		0.41			0.19			0.98

LESS DISTRIBUTIONS FROM:
Net investment income		(0.21	)		(0.37	)		(0.16	)		(0.45	)		(0.48	)		(0.57	)		(0.52	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)

Total Distributions		(0.21	)		(0.37	)		(0.28	)		(0.48	)		(0.55	)		(0.64	)		(0.84	)

Net asset value, end of the period	$	12.06		$	14.19		$	14.03		$	13.58		$	14.25		$	14.39		$	14.84

Total return(b)		(13.63	)%(c)(d)		3.85	%(d)		5.37	%(c)		(1.39	)%		3.02	%		1.34	%		7.01	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,211,095		$	1,512,939		$	1,682,562		$	1,683,547		$	1,835,813		$	1,986,300		$	1,999,385
Net expenses		0.95	%(e)(f)		0.96	%(f)(g)		0.97	%(e)		0.97	%(h)		0.96	%		0.96	%		0.96	%
Gross expenses		0.97	%(e)		0.97	%		0.97	%(e)		0.97	%		0.96	%		0.96	%		0.96	%
Net investment income		3.16	%(e)		1.85	%		2.78	%(e)		3.42	%		4.03	%		3.57	%		3.82	%
Portfolio turnover rate		15	%(i)		99	%(j)		30	%(k)		30	%		13	%		6	%		11	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	A sales charge for Class A shares is not reflected in total return calculations.

(c)	Periods less than one year are not annualized.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Computed on an annualized basis for periods less than one year.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%.

(h)	Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%.

(i)	The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(j)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(k)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

| 78

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class C
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	14.36		$	14.18		$	13.72		$	14.39		$	14.52		$	14.97		$	14.81

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.16			0.16			0.07			0.38			0.47			0.41			0.45
Net realized and unrealized gain (loss)		(2.15	)		0.28			0.64			(0.68	)		(0.16	)		(0.33	)		0.44

Total from Investment Operations		(1.99	)		0.44			0.71			(0.30	)		0.31			0.08			0.89

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.26	)		(0.13	)		(0.34	)		(0.37	)		(0.46	)		(0.41	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)

Total Distributions		(0.16	)		(0.26	)		(0.25	)		(0.37	)		(0.44	)		(0.53	)		(0.73	)

Net asset value, end of the period	$	12.21		$	14.36		$	14.18		$	13.72		$	14.39		$	14.52		$	14.97

Total return(b)		(13.94	)%(c)(d)		3.13	%(d)		5.17	%(c)		(2.18	)%		2.27	%		0.60	%		6.20	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	73,368		$	120,091		$	259,780		$	277,896		$	676,602		$	1,153,853		$	2,248,939
Net expenses		1.70	%(e)(f)		1.71	%(f)(g)		1.72	%(e)		1.72	%(h)		1.71	%		1.71	%		1.71	%
Gross expenses		1.72	%(e)		1.72	%		1.72	%(e)		1.72	%		1.71	%		1.71	%		1.71	%
Net investment income		2.38	%(e)		1.12	%		2.04	%(e)		2.75	%		3.30	%		2.79	%		3.08	%
Portfolio turnover rate		15	%(i)		99	%(j)		30	%(k)		30	%		13	%		6	%		11	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)	Periods less than one year are not annualized.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Computed on an annualized basis for periods less than one year.

(f)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)	Effective July 1, 2021, the expense limit decreased from 1.75% to 1.70%.

(h)	Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%.

(i)	The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(j)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(k)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

79 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class N
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	14.17		$	14.01		$	13.57		$	14.24		$	14.38		$	14.83		$	14.69

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.23			0.31			0.11			0.52			0.61			0.56			0.60
Net realized and unrealized gain (loss)		(2.12	)		0.27			0.62			(0.66	)		(0.16	)		(0.32	)		0.43

Total from Investment Operations		(1.89	)		0.58			0.73			(0.14	)		0.45			0.24			1.03

LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		(0.42	)		(0.17	)		(0.50	)		(0.52	)		(0.62	)		(0.57	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)

Total Distributions		(0.23	)		(0.42	)		(0.29	)		(0.53	)		(0.59	)		(0.69	)		(0.89	)

Net asset value, end of the period	$	12.05		$	14.17		$	14.01		$	13.57		$	14.24		$	14.38		$	14.83

Total return		(13.44	)%(b)		4.19	%		5.39	%(b)		(1.06	)%		3.37	%		1.67	%		7.38	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	226,627		$	280,661		$	247,697		$	212,804		$	202,989		$	176,456		$	141,695
Net expenses		0.63	%(c)		0.65	%(d)		0.65	%(c)		0.64	%(e)		0.63	%		0.63	%		0.63	%
Gross expenses		0.63	%(c)		0.65	%		0.65	%(c)		0.64	%		0.63	%		0.63	%		0.63	%
Net investment income		3.48	%(c)		2.17	%		3.13	%(c)		3.77	%		4.36	%		3.91	%		4.13	%
Portfolio turnover rate		15	%(f)		99	%(g)		30	%(h)		30	%		13	%		6	%		11	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Periods less than one year are not annualized.

(c)	Computed on an annualized basis for periods less than one year.

(d)	Effective July 1, 2021, the expense limit decreased from 0.70% to 0.65%.

(e)	Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%.

(f)	The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(g)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(h)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

| 80

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Class Y
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	14.17		$	14.01		$	13.56		$	14.23		$	14.38		$	14.83		$	14.69

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.22			0.30			0.11			0.51			0.60			0.55			0.59
Net realized and unrealized gain (loss)		(2.11	)		0.27			0.62			(0.66	)		(0.17	)		(0.32	)		0.43

Total from Investment Operations		(1.89	)		0.57			0.73			(0.15	)		0.43			0.23			1.02

LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		(0.41	)		(0.16	)		(0.49	)		(0.51	)		(0.61	)		(0.56	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)

Total Distributions		(0.23	)		(0.41	)		(0.28	)		(0.52	)		(0.58	)		(0.68	)		(0.88	)

Net asset value, end of the period	$	12.05		$	14.17		$	14.01		$	13.56		$	14.23		$	14.38		$	14.83

Total return		(13.47	)%(b)(c)		4.12	%(c)		5.44	%(b)		(1.14	)%		3.22	%		1.66	%		7.22	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	2,239,995		$	3,058,635		$	3,693,954		$	3,774,113		$	4,316,010		$	5,118,016		$	5,702,607
Net expenses		0.70	%(d)(e)		0.71	%(e)(f)		0.72	%(d)		0.72	%(g)		0.71	%		0.71	%		0.71	%
Gross expenses		0.72	%(d)		0.72	%		0.72	%(d)		0.72	%		0.71	%		0.71	%		0.71	%
Net investment income		3.40	%(d)		2.10	%		3.03	%(d)		3.68	%		4.28	%		3.82	%		4.04	%
Portfolio turnover rate		15	%(h)		99	%(i)		30	%(j)		30	%		13	%		6	%		11	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Periods less than one year are not annualized.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Computed on an annualized basis for periods less than one year.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%.

(g)	Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%.

(h)	The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(i)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(j)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

81 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Strategic Income Fund—Admin Class
	Six Months Ended June 30, 2022 (Unaudited)			Year Ended December 31, 2021			Period Ended December 31, 2020*			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Net asset value, beginning of the period	$	14.14		$	13.97		$	13.53		$	14.20		$	14.34		$	14.79		$	14.65

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.19			0.23			0.09			0.44			0.53			0.48			0.52
Net realized and unrealized gain (loss)		(2.12	)		0.28			0.62			(0.66	)		(0.16	)		(0.33	)		0.43

Total from Investment Operations		(1.93	)		0.51			0.71			(0.22	)		0.37			0.15			0.95

LESS DISTRIBUTIONS FROM:
Net investment income		(0.19	)		(0.34	)		(0.15	)		(0.42	)		(0.44	)		(0.53	)		(0.49	)
Net realized capital gains		—			—			(0.12	)		(0.03	)		(0.07	)		(0.07	)		(0.32	)

Total Distributions		(0.19	)		(0.34	)		(0.27	)		(0.45	)		(0.51	)		(0.60	)		(0.81	)

Net asset value, end of the period	$	12.02		$	14.14		$	13.97		$	13.53		$	14.20		$	14.34		$	14.79

Total return		(13.71	)%(b)(c)		3.68	%(c)		5.24	%(b)		(1.64	)%		2.78	%		1.09	%		6.79	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	74,476		$	95,250		$	105,172		$	103,197		$	121,903		$	133,220		$	142,871
Net expenses		1.20	%(d)(e)		1.21	%(e)(f)		1.22	%(d)		1.22	%(g)		1.20	%(h)		1.20	%(h)		1.19	%(i)
Gross expenses		1.22	%(d)		1.22	%		1.22	%(d)		1.22	%		1.20	%(h)		1.20	%(h)		1.19	%(i)
Net investment income		2.91	%(d)		1.60	%		2.53	%(d)		3.19	%		3.80	%		3.33	%		3.57	%
Portfolio turnover rate		15	%(j)		99	%(k)		30	%(l)		30	%		13	%		6	%		11	%

*	For the three month period ended December 31, 2020 due to change in fiscal year.

(a)	Per share net investment income has been calculated using the average shares outstanding during the period.

(b)	Periods less than one year are not annualized.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Computed on an annualized basis for periods less than one year.

(e)	The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)	Effective July 1, 2021, the expense limit decreased from 1.25% to 1.20%.

(g)	Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%.

(h)	Includes refund of prior year service fee of 0.01%.

(i)	Includes refund of prior year service fee of 0.02%.

(j)	The variation in the Fund’s turnover rate from 2021 to 2022 was primarily due to portfolio managers limiting trade activity due to the uncertainty and volatility caused by the Russia/Ukraine conflict. See Note 9 of Notes to Financial Statements.

(k)	The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio.

(l)	The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions.

See accompanying notes to financial statements.

| 82

Notes to Financial Statements

June 30, 2022 (Unaudited)

1. Organization. Loomis Sayles Funds II and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles Funds II:

Loomis Sayles High Income Fund (the “High Income Fund”)

Loomis Sayles Investment Grade Bond Fund (the “Investment Grade Bond Fund”)

Loomis Sayles Strategic Income Fund (the “Strategic Income Fund”)

Natixis Funds Trust II:

Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares. In addition, Investment Grade Bond Fund and Strategic Income Fund also offer Admin Class shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for each Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares) (prior to May 1, 2021, Class C shares automatically converted to Class A shares after ten years) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fee applicable to Class A, Class C and Admin Class) and transfer agent fees are borne collectively for Class A, Class C, Class Y and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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:

83 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available. Equity linked notes are valued using broker-dealer bid prices. Broker-dealer bid prices may be used to value debt, unlisted equity securities, senior loans and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared swap agreements are valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source. Domestic exchange-traded index and single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations as determined by the Options Price Reporting Authority. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Option contracts on foreign indices are priced at the most recent settlement price. Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers. Shares of open-end investment companies are valued at net asset value per share.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.

As of June 30, 2022, securities and other investments of the funds included in net assets were fair valued as follows:


Fund	Securities classified as fair valued		Percentage of Net Assets			Securities fair valued by the Fund’s adviser		Percentage of Net Assets
High Income Fund	$	2,480,562		2.1	%	$	242,217		0.2	%
Investment Grade Bond Fund		84,257,792		1.4	%		—		—
Strategic Alpha Fund		10,436,443		1.0	%		2,152,443		0.2	%
Strategic Income Fund		90,856,880		2.4	%		3,095,871		0.1	%

| 84

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

positive principal adjustments on a cumulative basis. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

For the six months ended June 30, 2022, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:


Strategic Alpha Fund	$	4,364,261
Strategic Income Fund		840,573

e. Futures Contracts. A Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

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

85 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f. Option Contracts. A Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. Option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

g. Swap Agreements. A Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two

| 86

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities. Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

h. Swaptions. A Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption. Swaptions outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

i. Due to/from Brokers. Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for High Income Fund and Investment Grade Bond Fund represents cash pledged as initial margin for centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for options, and as initial margin for futures contracts and centrally cleared swap agreements. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Income Fund represents cash pledged as initial margin for centrally cleared swap agreements. The due to brokers balance in the Statements of Assets and Liabilities for Strategic Alpha fund represents cash received as collateral for forward foreign currency contracts and bilateral swap agreements. In certain circumstances the Funds’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

87 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

j. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2022 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

k. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, defaulted and/or non-income producing securities, distribution re-designations, deferred Trustees’ fees, futures and forward foreign currency contract mark-to-market, return of capital distributions received, capital gain distributions received, convertible bond adjustments, swap adjustments, foreign currency gains and losses, contingent payment debt instruments and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, defaulted and/or non-income producing securities, swap adjustments, wash sales, futures and forward foreign currency contract mark-to-market, return of capital distributions received, capital gain distributions received, trust preferred securities, convertible bond adjustments, perpetual bond adjustments, corporate actions, contingent payment debt instruments and straddle loss deferral adjustments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2021 was as follows:


	2021 Distributions
Fund	Ordinary Income		Long-Term Capital Gains		Total
High Income Fund	$	5,371,376	$	—	$	5,371,376
Investment Grade Bond Fund		173,267,029		81,743,974		255,011,003
Strategic Alpha Fund		31,722,448		—		31,722,448
Strategic Income Fund		149,184,342		—		149,184,342

| 88

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

As of December 31, 2021, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Capital loss carryforward:
Short-term:
No expiration date	$	—		$	—		$	—		$	(18,121,967	)
Long-term:
No expiration date		(7,377,226	)		—			(15,404,841	)		(173,343,657	)

Total capital loss carryforward	$	(7,377,226	)	$	—		$	(15,404,841	)	$	(191,465,624	)

Late-year ordinary and post-October capital loss deferrals*	$	—		$	(2,088,873	)	$	—		$	—

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Investment Grade Bond Fund is deferring capital losses.

As of June 30, 2022, unrealized appreciation (depreciation) on a tax basis was approximately as follows:


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Unrealized appreciation (depreciation)
Investments	$	(29,039,364	)	$	(484,544,756	)	$	(160,833,508	)	$	(660,901,110	)
Foreign currency translations		—			(5,050	)		(11,138,174	)		(29,167	)

Total unrealized depreciation	$	(29,039,364	)	$	(484,549,806	)	$	(171,971,682	)	$	(660,930,277	)

As of June 30, 2022, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	High Income Fund			Investment Grade Bond Fund			Strategic Alpha Fund			Strategic Income Fund
Federal tax cost	$	146,135,676		$	6,494,331,519		$	1,160,540,564		$	4,403,949,514

Gross tax appreciation	$	522,545		$	47,160,880		$	12,726,124		$	63,671,453
Gross tax depreciation		(29,561,909	)		(531,705,636	)		(184,903,976	)		(724,572,563	)

Net tax depreciation	$	(29,039,364	)	$	(484,544,756	)	$	(172,177,852	)	$	(660,901,110	)

The difference between these amounts and those reported in the preceding table, if any, are primarily attributable to foreign currency mark-to-market.

l. Senior Loans. A Fund’s investment in senior loans may be to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

m. Loan Participations. A Fund’s investment in senior loans may be in the form of participations in loans. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower. The Fund

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generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, the Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

n. Collateralized Loan Obligations. A Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

o. Equity Linked Notes. Strategic Alpha Fund may invest in equity linked notes. An equity linked note is a structured product that differs from a standard debt instrument where the cash payouts will be based on the return of an underlying equity. An equity linked note is typically purchased at a full nominal amount and includes a coupon with an enhanced yield relative to the dividend yield of the underlying security. At maturity the Fund will receive a redemption amount based on the final price of the underlying equity. The risk of investment in an equity linked note depends on the principal protection offered. Some equity linked notes may guarantee total principal or partial principal amounts while others may not provide any guarantee of principal. The maturity value may also be impacted to the extent of any limit on the return value as part of the note structure. Equity linked notes outstanding at the end of the period, if any, are listed in the Fund’s Portfolio of Investments.

p. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2022, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

q. When-Issued and Delayed Delivery Transactions. A Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2022.

r. Stripped Securities. A Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs. Stripped securities outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

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s. Securities Lending. High Income Fund, Investment Grade Bond Fund and Strategic Income Fund have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2022, the Funds did not loan securities under this agreement.

t. Unfunded Loan Commitments. A Fund may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may arise due to changes in the value of the unfunded loan commitments. Unfunded loan commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

u. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

v. New Accounting Pronouncement. In January 2021, the Financial Accounting Standards Board issued Accounting Standard Update 2021-01, Reference Rate Reform (Topic 848) (“ASU 2021-01”). ASU 2021-01 is an update of ASU 2020-04, which was issued in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), expected to occur no later than June 30, 2023. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. The amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. Management expects to apply the optional expedients when appropriate.

•

Level 1 – quoted prices in active markets for identical assets or liabilities;

•

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Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

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 June 30, 2022, at value:

High Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2			Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	$	427,024		$	—	(b)	$	427,024
Non-Agency Commercial Mortgage-Backed Securities		—		2,267,885			233,278	(c)		2,501,163
All Other Non-Convertible Bonds(a)		—		99,930,309			—			99,930,309

Total Non-Convertible Bonds		—		102,625,218			233,278			102,858,496

Convertible Bonds(a)		—		5,862,256			—			5,862,256

Total Bonds and Notes		—		108,487,474			233,278			108,720,752

Collateralized Loan Obligations		—		1,862,209			—			1,862,209
Preferred Stocks
Technology		217,242		—			—			217,242
Wireless		—		1,842,586			—			1,842,586

Total Preferred Stocks		217,242		1,842,586			—			2,059,828

Common Stocks(a)		114,131		—			—			114,131
Other Investments(a)		—		—			8,510	(d)		8,510
Warrants		—		—			429	(d)		429
Exchange-Traded Funds		1,975,324		—			—			1,975,324
Short-Term Investments		—		2,362,062			—			2,362,062

Total	$	2,306,697	$	114,554,331		$	242,217		$	117,103,245


Liability Valuation Inputs

Description	Level 1		Level 2			Level 3			Total
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)	$	—	$	(6,933	)	$	—		$	(6,933	)

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

(b)	Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs.

(c)	Fair valued by the Fund’s adviser ($148,655) or fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($84,623).

(d)	Fair valued by the Fund’s adviser.

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Investment Grade Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Bonds and Notes(a)	$	—	$	5,069,690,091		$	—	$	5,069,690,091
Collateralized Loan Obligations		—		197,083,826			—		197,083,826
Preferred Stocks
Banking		43,684,796		—			—		43,684,796
Wireless		—		32,979,656			—		32,979,656

Total Preferred Stocks		43,684,796		32,979,656			—		76,664,452

Short-Term Investments		—		658,263,680			—		658,263,680

Total Investments	$	43,684,796	$	5,958,017,253		$	—	$	6,001,702,049

Futures Contracts (unrealized appreciation)		8,410,908		—			—		8,410,908

Total	$	52,095,704	$	5,958,017,253		$	—	$	6,010,112,957


Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)	$	—	$	(326,194	)	$	—	$	(326,194	)

(a)	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Strategic Alpha Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities	$	—	$	50,924,005	$	2,075,853	(b)	$	52,999,858
All Other Non-Convertible Bonds(a)		—		784,705,944		—			784,705,944

Total Non-Convertible Bonds		—		835,629,949		2,075,853			837,705,802

Convertible Bonds(a)		—		37,223,149		—			37,223,149

Total Bonds and Notes		—		872,853,098		2,075,853			874,928,951

Senior Loans(a)		—		4,623,984		—			4,623,984
Collateralized Loan Obligations		—		57,192,500		—			57,192,500
Common Stocks(a)		31,798,064		—		—			31,798,064
Preferred Stocks
Wireless		—		4,014,246		—			4,014,246
All Other Preferred Stocks(a)		1,429,828		—		—			1,429,828

Total Preferred Stocks		1,429,828		4,014,246		—			5,444,074

Other Investments(a)		—		—		76,590	(b)		76,590
Short-Term Investments		—		24,748,708		—			24,748,708

Total Investments		33,227,892		963,432,536		2,152,443			998,812,871

Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		559,985		—			559,985
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		—		1,290,912		—			1,290,912
Forward Foreign Currency Contracts (unrealized appreciation)		—		842,515		—			842,515
Futures Contracts (unrealized appreciation)		4,669,119		—		—			4,669,119

Total	$	37,897,011	$	966,125,948	$	2,152,443		$	1,006,175,402

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Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Written Options(a)	$	(139,175	)	$	—		$	—	$	(139,175	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		—			(58,711	)		—		(58,711	)
Futures Contracts (unrealized depreciation)		(17,740,167	)		—			—		(17,740,167	)

Total	$	(17,879,342	)	$	(58,711	)	$	—	$	(17,938,053	)

(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.

Strategic Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Independent Energy	$	—	$	119,439,250	$	1,563,396	(b)	$	121,002,646
Property & Casualty Insurance		—		9,041,114		1,532,475	(b)		10,573,589
All Other Non-Convertible Bonds(a)		—		2,817,902,786		—			2,817,902,786

Total Non-Convertible Bonds		—		2,946,383,150		3,095,871			2,949,479,021

Convertible Bonds(a)		—		251,027,412		—			251,027,412
Municipals(a)		—		59,800,001		—			59,800,001

Total Bonds and Notes		—		3,257,210,563		3,095,871			3,260,306,434

Senior Loans(a)		—		19,922,390		—			19,922,390
Collateralized Loan Obligations		—		129,640,729		—			129,640,729
Common Stocks
Software		6,448,231		106,956		—			6,555,187
All Other Common Stocks(a)		254,746,719		—		—			254,746,719

Total Common Stocks		261,194,950		106,956		—			261,301,906

Preferred Stocks
Convertible Preferred Stocks
Wireless		—		20,526,433		—			20,526,433
All Other Convertible Preferred Stocks(a)		41,300,340		—		—			41,300,340

Total Convertible Preferred Stocks		41,300,340		20,526,433		—			61,826,773

Non-Convertible Preferred Stocks
REITs - Office Property		—		1,875,300		—			1,875,300
REITs - Warehouse/Industrials		—		7,436,288		—			7,436,288
All Other Non-Convertible Preferred Stocks(a)		4,217,461		—		—			4,217,461

Total Non-Convertible Preferred Stocks		4,217,461		9,311,588		—			13,529,049

Total Preferred Stocks		45,517,801		29,838,021		—			75,355,822

Closed-End Investment Companies		2,817,300		—		—			2,817,300
Short-Term Investments		—		6,388,460		—			6,388,460

Total	$	309,530,051	$	3,443,107,119	$	3,095,871		$	3,755,733,041

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Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)	$	—		$	(12,278,611	)	$	—	$	(12,278,611	)
Futures Contracts (unrealized depreciation)		(406,026	)		—			—		(406,026	)

Total	$	(406,026	)	$	(12,278,611	)	$	—	$	(12,684,637	)

(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.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2021 and/or June 30, 2022:

High Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2021			Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2022			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2022
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	(a)	$	12,427	$	—	$	(12,427	)	$	—	$	—		$	—	$	—		$	—	(a)	$	(12,427	)
Non-Agency Commercial Mortgage-Backed Securities		138,957			—		63		10,586			—		(1,037	)		84,709		—			233,278			10,586
Collateralized Loan Obligations		250,000			—		—		—			—		—			—		(250,000	)		—			—
Other Investments
Aircraft ABS		87,030			—		—		(78,520	)		—		—			—		—			8,510			(78,520	)
Warrants		1,264			—		—		(835	)		—		—			—		—			429			(835	)

Total	$	477,251		$	12,427	$	63	$	(81,196	)	$	—	$	(1,037	)	$	84,709	$	(250,000	)	$	242,217		$	(81,196	)

(a)	Includes a security fair valued at zero using level 3 inputs.

A debt security valued at $84,709 was transferred from Level 2 to Level 3 during the period ended June 30, 2022. At December 31, 2021, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2022, 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 for the security.

A debt security valued at $250,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2022, 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.

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Notes to Financial Statements (continued)

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Strategic Alpha Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2021		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2022		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2022
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities	$	1,932,446	$	—	$	—	$	143,407		$	—	$	—	$	—	$	—		$	2,075,853	$	143,407
Collateralized Loan Obligations		445,000		—		—		—			—		—		—		(445,000	)		—		—
Other Investments
Aircraft ABS		783,270		—		—		(706,680	)		—		—		—		—			76,590		(706,680	)

Total	$	3,160,716	$	—	$	—	$	(563,273	)	$	—	$	—	$	—	$	(445,000	)	$	2,152,443	$	(563,273	)

A debt security valued at $445,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2022, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Strategic Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2021		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2022		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2022
Bonds and Notes
Non-Convertible Bonds
Independent Energy	$	1,832,190	$	127,557	$	—	$	(396,351	)	$	—	$	—	$	—	$	—	$	1,563,396	$	(396,351	)
Property & Casualty Insurance		1,501,200		34,989		—		(3,714	)		—		—		—		—		1,532,475		(3,714	)

Total	$	3,333,390	$	162,546	$	—	$	(400,065	)	$	—	$	—	$	—	$	—	$	3,095,871	$	(400,065	)

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

High Income Fund, Strategic Alpha Fund and Strategic Income Fund are subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Funds may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Funds may also use credit default swaps, as a protection seller, to gain investment exposure. During the six months ended June 30, 2022, High Income

| 96

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

Fund, Strategic Alpha Fund and Strategic Income Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure. Strategic Alpha Fund also engaged in credit default swap agreements (as a protection buyer) to hedge its credit exposure.

Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the six months ended June 30, 2022, the Funds engaged in forward foreign currency contracts for hedging purposes and to gain exposure to foreign currencies.

Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Funds may also use futures contracts and interest rate swap agreements to gain investment exposure. During the six months ended June 30, 2022, Strategic Alpha Fund engaged in futures contracts and interest rate swap agreements for hedging purposes and to manage duration and interest rate swap agreements to gain investment exposure and for yield curve management. During the six months ended June 30, 2022, Investment Grade Bond Fund and Strategic Income Fund used futures contracts to manage duration.

Strategic Alpha Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes and use futures and option contracts to gain investment exposure. During the six months ended June 30, 2022, the Fund engaged in option contracts for hedging purposes.

The following is a summary of derivative instruments for High Income Fund as of June 30, 2022, as reflected within the Statements of Assets and Liabilities:


Liabilities	Swap agreements at value¹
Exchange-traded/cleared liability derivatives
Credit contracts	$	(36,263	)

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day’s variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for High Income Fund during the six months ended June 30, 2022, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Swap agreements
Credit contracts	$	220


Net Change in Unrealized Appreciation (Depreciation) on:	Swap agreements
Credit contracts	$	(6,933	)

The following is a summary of derivative instruments for Investment Grade Bond Fund as of June 30, 2022, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded asset derivatives
Interest rate contracts	$	8,410,908

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Liabilities	Swap agreements at value²
Exchange-traded/cleared liability derivatives
Credit contracts	$	(1,706,509	)

¹	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Investment Grade Bond Fund during the six months ended June 30, 2022, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts		Swap agreements
Interest rate contracts	$	16,402,244	$	—
Credit contracts		—		(18,666	)

Total	$	16,402,244	$	(18,666	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts		Swap agreements
Interest rate contracts	$	15,673,171	$	—
Credit contracts		—		(326,194	)

Total	$	15,673,171	$	(326,194	)

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2022, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts¹		Swaps agreements at value²		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	842,515	$	—	$	—	$	842,515
Credit contracts		—		—		622,056		622,056

Total over-the counter asset derivatives	$	842,515	$	—	$	622,056	$	1,464,571

Exchange-traded/cleared asset derivatives
Interest rate contracts	$	—	$	4,669,119	$	1,292,387	$	5,961,506

Total asset derivatives	$	842,515	$	4,669,119	$	1,914,443	$	7,426,077


Liabilities	Options written at value			Unrealized depreciation on futures contracts¹			Swaps agreements at value²			Total
Exchange-traded/cleared liability derivatives
Credit contracts	$	—		$	—		$	(307,172	)	$	(307,172	)
Interest rate contracts		—			(17,740,167	)		—			(17,740,167	)
Equity contracts		(139,175	)		—			—			(139,175	)

Total exchange-traded/cleared liability derivatives	$	(139,175	)	$	(17,740,167	)	$	(307,172	)	$	(18,186,514	)

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.

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Transactions in derivative instruments for Strategic Alpha Fund during the six months ended June 30, 2022, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts		Options written			Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	28,256,713	$	—		$	(398,094	)	$	—
Foreign exchange contracts		—		—			—			1,296,114
Credit contracts		—		—			2,174,310			—
Equity contracts		—		(13,863	)		—			—

Total	$	28,256,713	$	(13,863	)	$	1,776,216		$	1,296,114


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Options written		Swap agreements		Forward foreign currency contracts
Interest rate contracts	$	(10,698,314	)	$	—	$	2,004,896	$	—
Foreign exchange contracts		—			—		—		(425,107	)
Credit contracts		—			—		659,836		—
Equity contracts		—			55,275		—		—

Total	$	(10,698,314	)	$	55,275	$	2,664,732	$	(425,107	)

The following is a summary of derivative instruments for Strategic Income Fund as of June 30, 2022, as reflected within the Statements of Assets and Liabilities:


Liabilities	Unrealized depreciation on futures contracts¹			Swap agreements at value²
Exchange-traded/cleared liability derivatives
Interest rate contracts	$	(406,026	)	$	—
Credit contracts		—			(3,060,707	)

Total exchange-traded/cleared liability derivatives	$	(406,026	)	$	(3,060,707	)

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.

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Transactions in derivative instruments for Strategic Income Fund during the six months ended June 30, 2022, as reflected within the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts		Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	939,314	$	—		$	—
Foreign exchange contracts		—		—			(369,783	)
Credit contracts		—		(1,555,725	)		—

Total	$	939,314	$	(1,555,725	)	$	(369,783	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts		Swap agreements			Forward foreign currency contracts
Interest rate contracts	$	1,313,052	$	—		$	—
Foreign exchange contracts		—		—			248,802
Credit contracts		—		(14,963,284	)		—

Total	$	1,313,052	$	(14,963,284	)	$	248,802

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Investment Grade Bond Fund, Strategic Alpha Fund and Strategic Income Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2022:


High Income Fund	Credit Default Swaps
Average Notional Amount Outstanding		0.13	%
Highest Notional Amount Outstanding		1.05	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of June 30, 2022		1.05	%


Investment Grade Bond Fund	Futures			Credit Default Swaps
Average Notional Amount Outstanding		2.83	%		0.14	%
Highest Notional Amount Outstanding		5.27	%		0.98	%
Lowest Notional Amount Outstanding		0.00	%		0.00	%
Notional Amount Outstanding as of June 30, 2022		3.70	%		0.98	%


Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		2.20	%		73.68	%		5.37	%		1.72	%
Highest Notional Amount Outstanding		2.55	%		115.88	%		10.72	%		1.97	%
Lowest Notional Amount Outstanding		1.71	%		9.06	%		2.83	%		1.64	%
Notional Amount Outstanding as of June 30, 2022		2.55	%		115.88	%		4.00	%		1.97	%

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Strategic Income Fund	Forwards			Futures			Credit Default Swaps
Average Notional Amount Outstanding		0.23	%		1.10	%		5.14	%
Highest Notional Amount Outstanding		0.63	%		1.55	%		6.35	%
Lowest Notional Amount Outstanding		0.00	%		0.37	%		3.14	%
Notional Amount Outstanding as of June 30, 2022		0.00	%		0.40	%		4.70	%

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2022:


Strategic Alpha Fund	Call Options Written*
Average Market Value of Underlying Instruments		0.48	%
Highest Market Value of Underlying Instruments		1.00	%
Lowest Market Value of Underlying Instruments		0.00	%
Market Value of Underlying Instruments as of June 30, 2022		1.00	%

*	Market value of underlying instruments is determined by multiplying option shares by the price of the option’s underlying security.

Amounts outstanding at the end of the prior period, if applicable, are included in the average amount outstanding.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of June 30, 2022, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:


Strategic Alpha Fund
Counterparty	Gross Amounts of Assets		Offset Amount		Net Asset Balance		Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	59,285	$	—	$	59,285	$	—		$	59,285
Barclays Bank PLC		463,292		—		463,292		(320,000	)		143,292
Morgan Stanley Capital Services, Inc.		941,994		—		941,994		(786,064	)		155,930

	$	1,464,571	$	—	$	1,464,571	$	(1,106,064	)	$	358,507

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

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Notes to Financial Statements (continued)

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to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2022:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
High Income Fund	$	130,000	$	130,000
Investment Grade Bond Fund		34,917,715		34,917,715
Strategic Alpha Fund		27,707,071		26,601,007
Strategic Income Fund		55,595,879		55,595,879

Net loss amount reflects cash received as collateral for Strategic Alpha Fund of $1,106,064 which is recorded on the Statements of Assets and Liabilities.

5. Purchases and Sales of Securities. For the six months ended June 30, 2022, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:


	U.S. Government/Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
High Income Fund	$	1,373,059	$	1,912,862	$	57,145,204	$	35,946,841
Investment Grade Bond Fund		432,447,106		503,494,028		535,999,824		679,791,343
Strategic Alpha Fund		23,799,446		21,598,523		290,479,203		504,391,192
Strategic Income Fund		167,532,224		118,927,551		494,212,275		982,566,489

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, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


	Percentage of Average Daily Net Assets
Fund	First $200 million			Next $1.05 billion			Next $750 million			Next $13 billion			Next $10 billion			Over $25 billion
High Income Fund		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%
Investment Grade Bond Fund		0.40	%		0.40	%		0.40	%		0.40	%		0.38	%		0.38	%
Strategic Alpha Fund		0.60	%		0.60	%		0.55	%		0.55	%		0.55	%		0.55	%
Strategic Income Fund		0.65	%		0.60	%		0.60	%		0.55	%		0.54	%		0.53	%

Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2023, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management

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fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y			Admin Class
High Income Fund		1.00	%		1.75	%		0.70	%		0.75	%		—
Investment Grade Bond Fund		0.75	%		1.50	%		0.45	%		0.50	%		1.00	%
Strategic Alpha Fund		1.00	%		1.75	%		0.70	%		0.75	%		—
Strategic Income Fund		0.95	%		1.70	%		0.65	%		0.70	%		1.20	%

Effective July 1, 2022, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Investment Grade Bond Fund and Strategic Income Fund are as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A			Class C			Class N			Class Y			Admin Class
Investment Grade Bond Fund		0.74	%		1.49	%		0.44	%		0.49	%		0.99	%
Strategic Income Fund		0.94	%		1.69	%		0.64	%		0.69	%		1.19	%

These new undertakings are in effect until April 30, 2024, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For six months ended June 30, 2022, 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 Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross			Net
High Income Fund	$	405,069	$	100,968	$	304,101		0.60	%		0.45	%
Investment Grade Bond Fund		12,051,170		1,085,238		10,965,932		0.40	%		0.36	%
Strategic Alpha Fund		3,664,284		—		3,664,284		0.60	%		0.60	%
Strategic Income Fund		12,718,127		—		12,718,127		0.57	%		0.57	%

¹	Management fee waivers are subject to possible recovery until December 31, 2023.

For the six months ended June 30, 2022, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Class A		Class C		Class N		Class Y		Admin Class		Total
Strategic Income Fund	$	134,444	$	9,269	$	—	$	262,528	$	8,559	$	414,800

¹	Expense reimbursement is subject to possible recovery until December 31, 2023.

No expenses were recovered for any of the Funds during the six months ended June 30, 2022 under the terms of the expense limitation agreements.

b. Service and Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

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Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”), and Investment Grade Bond Fund and Strategic Income Fund have adopted a Distribution Plan relating to their Admin Class shares (the “Admin Class Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

Under the Admin Class Plans, Investment Grade Bond Fund and Strategic Income Fund pay Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Admin Class shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Investment Grade Bond Fund and Strategic Income Fund may pay Natixis Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For six months ended June 30, 2022, the service and distribution fees for each Fund were as follows:


	Service Fees						Distribution Fees
Fund	Class A		Class C		Admin Class		Class C		Admin Class
High Income Fund	$	23,413	$	1,837	$	—	$	5,510	$	—
Investment Grade Bond Fund		881,002		85,202		163,571		255,604		163,571
Strategic Alpha Fund		48,719		4,674		—		14,022		—
Strategic Income Fund		1,688,565		119,295		105,798		357,886		105,798

c. Administrative Fees. Natixis Advisors, LLC (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC. 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 six months ended June 30, 2022, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
High Income Fund	$	29,883
Investment Grade Bond Fund		1,333,164
Strategic Alpha Fund		270,609
Strategic Income Fund		978,298

d. Sub-Transfer Agent Fees. Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’

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Notes to Financial Statements (continued)

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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 six months ended June 30, 2022, 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
High Income Fund	$	63,290
Investment Grade Bond Fund		1,733,629
Strategic Alpha Fund		241,242
Strategic Income Fund		1,709,299


Fund	Reimbursements of Sub-Transfer Agent Fees
High Income Fund	$	1,365
Investment Grade Bond Fund		41,202
Strategic Alpha Fund		4,749
Strategic Income Fund		37,115

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 six months ended June 30, 2022 were as follows:


Fund	Commissions
High Income Fund	$	224
Investment Grade Bond Fund		41,408
Strategic Alpha Fund		475
Strategic Income Fund		8,372

105 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

For the six months ended June 30, 2022, net depreciation in the value of participants’ deferral accounts are reflected on the Statements of Operations as a reduction to expenses, as follows:


Fund	Amount
High Income Fund	$	(29,038	)
Investment Grade Bond Fund		(148,687	)
Strategic Alpha Fund		(26,949	)
Strategic Income Fund		(268,938	)

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

g. Reimbursement of Transfer Agent Fees and Expenses. Natixis Advisors has given a binding contractual undertaking to High Income Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2023 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2022, Natixis Advisors reimbursed High Income Fund $887 for transfer agency expenses related to Class N shares.

h. Affiliated Ownership. As of June 30, 2022, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund and Strategic Alpha Fund representing 0.11% and 0.32%, respectively, of the Funds’ net assets.

Investment activities of affiliated shareholders could have material impacts on the Fund.

7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses attributable to Class A, Class C, Class Y and Admin Class are allocated on 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 six months ended June 30, 2022, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Class A		Class C		Class N		Class Y		Admin Class
High Income Fund	$	10,996	$	857	$	887	$	67,603	$	—
Investment Grade Bond Fund		279,122		26,966		2,946		1,479,261		51,877
Strategic Alpha Fund		12,087		1,158		1,464		266,810		—
Strategic Income Fund		593,766		41,869		1,490		1,160,887		37,204

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2022, none of the Funds had borrowings under this agreement.

9. Risk. The Fund’s investments in foreign securities, as applicable, may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Funds’ investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

| 106

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

10. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2022, 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% Account Holders		Percentage of Ownership
High Income Fund		3		27.18	%
Investment Grade Bond Fund		1		9.82	%
Strategic Alpha Fund		3		36.06	%

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.

11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
High Income Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		552,570		$	2,140,752			668,669		$	2,915,754
Issued in connection with the reinvestment of distributions		101,175			390,896			189,309			821,078
Redeemed		(710,623	)		(2,721,463	)		(5,634,696	)		(24,662,646	)

Net change		(56,878	)	$	(189,815	)		(4,776,718	)	$	(20,925,814	)

Class C
Issued from the sale of shares		14,396		$	57,151			49,909		$	218,435
Issued in connection with the reinvestment of distributions		5,096			19,864			13,512			58,913
Redeemed		(107,211	)		(425,488	)		(317,893	)		(1,393,021	)

Net change		(87,719	)	$	(348,473	)		(254,472	)	$	(1,115,673	)

Class N
Issued from the sale of shares		4,186		$	17,064			720,158		$	3,122,287
Issued in connection with the reinvestment of distributions		738			2,844			63,330			275,475
Redeemed		(154	)		(605	)		(4,153,012	)		(18,269,833	)

Net change		4,770		$	19,303			(3,369,524	)	$	(14,872,071	)

Class Y
Issued from the sale of shares		12,727,946		$	51,797,434			16,856,831		$	73,348,124
Issued in connection with the reinvestment of distributions		443,181			1,710,074			753,278			3,261,003
Redeemed		(8,145,302	)		(32,071,361	)		(5,407,849	)		(23,507,835	)

Net change		5,025,825		$	21,436,147			12,202,260		$	53,101,292

Increase from capital share transactions		4,885,998		$	20,917,162			3,801,546		$	16,187,734

107 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
Investment Grade Bond Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		5,114,168		$	53,384,403			14,327,364		$	164,124,803
Issued in connection with the reinvestment of distributions		711,164			7,394,212			2,099,128			23,851,196
Redeemed		(10,898,718	)		(115,088,003	)		(20,621,008	)		(237,008,883	)

Net change		(5,073,386	)	$	(54,309,388	)		(4,194,516	)	$	(49,032,884	)

Class C
Issued from the sale of shares		367,427		$	3,756,914			934,807		$	10,599,046
Issued in connection with the reinvestment of distributions		60,832			624,663			231,399			2,593,460
Redeemed		(1,482,775	)		(15,444,118	)		(5,455,894	)		(61,864,251	)

Net change		(1,054,516	)	$	(11,062,541	)		(4,289,688	)	$	(48,671,745	)

Class N
Issued from the sale of shares		22,467,803		$	236,108,351			56,999,140		$	656,052,872
Issued in connection with the reinvestment of distributions		1,889,576			19,635,837			4,813,498			54,680,208
Redeemed		(21,503,514	)		(224,636,908	)		(32,503,589	)		(373,527,233	)

Net change		2,853,865		$	31,107,280			29,309,049		$	337,205,847

Class Y
Issued from the sale of shares		121,440,005		$	1,257,305,077			113,796,295		$	1,308,956,202
Issued in connection with the reinvestment of distributions		4,590,295			47,713,354			11,974,399			136,171,497
Redeemed		(84,685,781	)		(885,470,529	)		(94,197,009	)		(1,082,829,468	)

Net change		41,344,519		$	419,547,902			31,573,685		$	362,298,231

Admin Class
Issued from the sale of shares		662,339		$	6,976,339			2,719,299		$	31,159,908
Issued in connection with the reinvestment of distributions		156,273			1,618,290			417,648			4,725,224
Redeemed		(599,633	)		(6,256,289	)		(1,489,322	)		(17,123,081	)

Net change		218,979		$	2,338,340			1,647,625		$	18,762,051

Increase from capital share transactions		38,289,461		$	387,621,593			54,046,155		$	620,561,500

| 108

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
Strategic Alpha Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		423,332		$	4,192,238			1,219,725		$	12,747,834
Issued in connection with the reinvestment of distributions		47,244			450,882			64,366			670,163
Redeemed		(741,839	)		(7,237,438	)		(702,862	)		(7,342,564	)

Net change		(271,263	)	$	(2,594,318	)		581,229		$	6,075,433

Class C
Issued from the sale of shares		44,018		$	430,316			68,781		$	716,482
Issued in connection with the reinvestment of distributions		3,008			28,600			4,055			42,082
Redeemed		(93,369	)		(920,105	)		(521,054	)		(5,431,680	)

Net change		(46,343	)	$	(461,189	)		(448,218	)	$	(4,673,116	)

Class N
Issued from the sale of shares		3,932,196		$	39,565,274			17,281,163		$	180,386,933
Issued in connection with the reinvestment of distributions		122,622			1,170,102			674,696			7,017,221
Redeemed		(24,579,745	)		(246,042,214	)		(21,726,263	)		(226,897,564	)

Net change		(20,524,927	)	$	(205,306,838	)		(3,770,404	)	$	(39,493,410	)

Class Y
Issued from the sale of shares		15,572,152		$	154,024,931			34,048,531		$	355,012,431
Issued in connection with the reinvestment of distributions		1,167,501			11,103,409			1,558,986			16,187,341
Redeemed		(25,916,795	)		(252,207,434	)		(16,721,643	)		(174,460,261	)

Net change		(9,177,142	)	$	(87,079,094	)		18,885,874		$	196,739,511

Increase (decrease) from capital share transactions		(30,019,675	)	$	(295,441,439	)		15,248,481		$	158,648,418

109 |

Notes to Financial Statements (continued)

June 30, 2022 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended June 30, 2022						Year Ended December 31, 2021
Strategic Income Fund	Shares			Amount			Shares			Amount
Class A
Issued from the sale of shares		4,790,166		$	63,200,833			12,975,066		$	183,459,424
Issued in connection with the reinvestment of distributions		1,170,578			15,203,220			2,067,302			29,226,145
Redeemed		(12,183,843	)		(160,670,165	)		(28,392,426	)		(400,924,495	)

Net change		(6,223,099	)	$	(82,266,112	)		(13,350,058	)	$	(188,238,926	)

Class C
Issued from the sale of shares		228,181		$	3,051,069			526,514		$	7,514,746
Issued in connection with the reinvestment of distributions		73,601			969,804			192,188			2,740,298
Redeemed		(2,657,165	)		(35,352,141	)		(10,676,591	)		(152,414,889	)

Net change		(2,355,383	)	$	(31,331,268	)		(9,957,889	)	$	(142,159,845	)

Class N
Issued from the sale of shares		1,006,654		$	13,276,388			6,141,155		$	86,946,222
Issued in connection with the reinvestment of distributions		324,067			4,203,594			478,281			6,753,879
Redeemed		(2,323,837	)		(30,366,330	)		(4,499,118	)		(63,370,301	)

Net change		(993,116	)	$	(12,886,348	)		2,120,318		$	30,329,800

Class Y
Issued from the sale of shares		16,313,127		$	214,653,452			49,545,428		$	695,309,439
Issued in connection with the reinvestment of distributions		2,587,192			33,603,719			4,816,448			67,989,900
Redeemed		(48,794,224	)		(638,169,360	)		(102,253,381	)		(1,437,692,859	)

Net change		(29,893,905	)	$	(389,912,189	)		(47,891,505	)	$	(674,393,520	)

Admin Class
Issued from the sale of shares		126,640		$	1,699,641			517,760		$	7,300,630
Issued in connection with the reinvestment of distributions		94,963			1,228,853			163,815			2,306,303
Redeemed		(761,879	)		(9,946,832	)		(1,470,421	)		(20,667,736	)

Net change		(540,276	)	$	(7,018,338	)		(788,846	)	$	(11,060,803	)

Decrease from capital share transactions		(40,005,779	)	$	(523,414,255	)		(69,867,980	)	$	(985,523,294	)

| 110

(b) Not applicable.

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures 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 Trust’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 was no change 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.


(a) (1)		Not applicable.

(a) (2)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.

(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

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:		August 22, 2022

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		August 22, 2022

By:		/s/ Matthew J. Block
Name:		Matthew J. Block
Title:		Treasurer and Principal Financial and Accounting Officer
Date:		August 22, 2022

Loomis Sayles Small Cap Growth Fund Class N (LSSNX) N-CSRSCertified semi-annual shareholder report (management investment company)