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: September 30
Date of reporting period: September 30, 2023
Item 1. Reports to Stockholders.
(a) The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
Loomis Sayles Core Plus Bond Fund |
Loomis Sayles Credit Income Fund |
Loomis Sayles Global Allocation Fund |
Loomis Sayles Growth Fund |
Loomis Sayles Intermediate Duration Bond Fund |
Loomis Sayles Limited Term Government and Agency Fund |
Managers |
Ian Anderson |
Peter W. Palfrey, CFA® |
Richard G. Raczkowski |
Barath W. Sankaran, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | NEFRX |
Class C | NECRX |
Class N | NERNX |
Class Y | NERYX |
Investment Goal
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
September 30, 2013 through September 30, 2023 |
Average Annual Total Returns — September 30, 20231 | |||||
1 Year | 5 Years | 10 Years | Expense Ratios3 | ||
Gross | Net | ||||
Class Y | |||||
NAV | 1.28 % | 0.51 % | 1.80 % | 0.49 % | 0.49 % |
Class A | |||||
NAV | 1.04 | 0.27 | 1.55 | 0.74 | 0.74 |
With 4.25% Maximum Sales Charge | -3.28 | -0.61 | 1.12 | ||
Class C | |||||
NAV | 0.26 | -0.49 | 0.94 | 1.49 | 1.49 |
With CDSC4 | -0.72 | -0.49 | 0.94 | ||
Class N | |||||
NAV | 1.37 | 0.62 | 1.90 | 0.38 | 0.38 |
Comparative Performance | |||||
Bloomberg U.S. Aggregate Bond Index2 | 0.64 | 0.10 | 1.13 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | 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 Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | 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. |
Managers |
Matthew J. Eagan, CFA® |
Brian P. Kennedy |
Peter Sheehan* |
Elaine M. Stokes |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | LOCAX |
Class C | LOCCX |
Class N | LOCNX |
Class Y | LOCYX |
* | Effective June 30, 2023, Peter Sheehan serves as portfolio manager of the Fund. |
Investment Goal
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
September 29, 2020 (inception) through September 30, 2023 |
Average Annual Total Returns — September 30, 20231 | ||||
1 Year | Life of Fund | Expense Ratios3 | ||
Gross | Net | |||
Class Y (Inception 9/29/20) | ||||
NAV | 3.27 % | -2.88 % | 3.12 % | 0.57 % |
Class A (Inception 9/29/20) | ||||
NAV | 3.13 | -3.08 | 3.37 | 0.82 |
With 4.25% Maximum Sales Charge | -1.26 | -4.46 | ||
Class C (Inception 9/29/20) | ||||
NAV | 2.37 | -3.85 | 4.18 | 1.57 |
With CDSC4 | 1.38 | -3.85 | ||
Class N (Inception 9/29/20) | ||||
NAV | 3.45 | -2.79 | 1.30 | 0.52 |
Comparative Performance | ||||
Bloomberg U.S. Credit Index2 | 3.47 | -4.89 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Bloomberg U.S. Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. It is composed of the U.S. Corporate Index and a non-corporate component that includes non-U.S. agencies, sovereigns, supranationals and local authorities. The Index was called the U.S. Corporate Index until July 2000, when it was renamed to reflect its inclusion of both corporate and non-corporate issuers. The Index is a subset of the U.S. Government/Credit Index and U.S. Aggregate Index. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
Managers |
Matthew J. Eagan, CFA® |
Eileen N. Riley, CFA® |
David W. Rolley, CFA® |
Lee M. Rosenbaum |
Loomis, Sayles & Company, L.P |
Symbols | |
Class A | LGMAX |
Class C | LGMCX |
Class N | LGMNX |
Class Y | LSWWX |
Investment Goal
Top Ten Holdings as of September 30, 2023 | |
Security Name | % of Net Assets |
1 Alphabet, Inc., Class A | 3.28% |
2 Amazon.com, Inc. | 3.24 |
3 Mastercard, Inc., Class A | 2.89 |
4 S&P Global, Inc. | 2.88 |
5 Linde PLC | 2.78 |
6 UnitedHealth Group, Inc. | 2.67 |
7 Accenture PLC, Class A | 2.65 |
8 Airbnb, Inc., Class A | 2.61 |
9 ASML Holding NV | 2.47 |
10 Atlas Copco AB, Class A | 2.39 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
September 30, 2013 through September 30, 2023 |
Average Annual Total Returns — September 30, 20231 | ||||||
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios4 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 19.00 % | 4.98 % | 6.72 % | — % | 0.89 % | 0.89 % |
Class A | ||||||
NAV | 18.67 | 4.71 | 6.45 | — | 1.14 | 1.14 |
With 5.75% Maximum Sales Charge | 11.82 | 3.47 | 5.83 | — | ||
Class C | ||||||
NAV | 17.84 | 3.92 | 5.81 | — | 1.89 | 1.89 |
With CDSC5 | 16.84 | 3.92 | 5.81 | — | ||
Class N (Inception 2/2/17) | ||||||
NAV | 19.16 | 5.07 | — | 7.19 | 0.81 | 0.81 |
Comparative Performance | ||||||
MSCI All Country World Index (Net)2 | 20.80 | 6.46 | 7.56 | 8.38 | ||
Blended Index3 | 13.18 | 3.44 | 4.49 | 4.92 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | MSCI All Country World Index (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. |
3 | Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI All Country World Index (Net) and 40% Bloomberg Global Aggregate Bond Index. The Bloomberg Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The four major components of this index are the U.S. Aggregate, the Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. The Index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
5 | 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. |
Managers |
Aziz V. Hamzaogullari, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | LGRRX |
Class C | LGRCX |
Class N | LGRNX |
Class Y | LSGRX |
Investment Goal
Top Ten Holdings as of September 30, 2023 | |
Security Name | % of Net Assets |
1 Meta Platforms, Inc., Class A | 7.79% |
2 NVIDIA Corp. | 7.38 |
3 Tesla, Inc. | 5.92 |
4 Visa, Inc., Class A | 5.50 |
5 Amazon.com, Inc. | 5.19 |
6 Microsoft Corp. | 4.90 |
7 Boeing Co. | 4.75 |
8 Oracle Corp. | 4.64 |
9 Alphabet, Inc., Class A | 4.48 |
10 Netflix, Inc. | 3.87 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
September 30, 2013 through September 30, 2023 |
Average Annual Total Returns — September 30, 20231 | |||||
1 Year | 5 Years | 10 Years | Expense Ratios3 | ||
Gross | Net | ||||
Class Y | |||||
NAV | 40.97 % | 11.81 % | 13.94 % | 0.65 % | 0.65 % |
Class A | |||||
NAV | 40.67 | 11.54 | 13.66 | 0.90 | 0.90 |
With 5.75% Maximum Sales Charge | 32.61 | 10.23 | 12.99 | ||
Class C | |||||
NAV | 39.68 | 10.71 | 12.98 | 1.65 | 1.65 |
With CDSC4 | 38.68 | 10.71 | 12.98 | ||
Class N | |||||
NAV | 41.19 | 11.91 | 14.00 | 0.57 | 0.57 |
Comparative Performance | |||||
Russell 1000® Growth Index2 | 27.72 | 12.42 | 14.48 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | 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. |
Managers |
Daniel Conklin, CFA® |
Christopher T. Harms |
Clifton V. Rowe, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | LSDRX |
Class C | LSCDX |
Class N | LSDNX |
Class Y | LSDIX |
Investment Goal
Hypothetical Growth of $100,000 Investment in Class Y Shares1, 2 |
September 30, 2013 through September 30, 2023 |
Average Annual Total Returns — September 30, 20231,2 | ||||||
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios4 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 2.81 % | 1.35 % | 1.67 % | — % | 0.44 % | 0.40 % |
Class A | ||||||
NAV | 2.53 | 1.09 | 1.40 | — | 0.68 | 0.65 |
With 4.25% Maximum Sales Charge | -1.83 | 0.22 | 0.96 | — | ||
Class C (Inception 8/31/16) | ||||||
NAV | 1.69 | 0.33 | 0.78 | — | 1.43 | 1.40 |
With CDSC5 | 0.70 | 0.33 | 0.78 | — | ||
Class N (Inception 2/1/19) | ||||||
NAV | 2.97 | — | — | 1.07 | 0.37 | 0.35 |
Comparative Performance | ||||||
Bloomberg U.S. Intermediate Government/Credit Bond Index3 | 2.20 | 1.02 | 1.27 | 0.59 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | As of August 31, 2016, the Fund's Retail Class shares and Institutional Class shares were redesignated as Class A shares and Class Y shares, respectively. Accordingly, the returns shown in the table for Class A shares prior to August 31, 2016 are those of Retail Class shares, restated to reflect the sales loads of Class A shares, and the returns in the table for Class Y shares prior to August 31, 2016 are those of Institutional Class shares. Prior to the inception of Class C shares (August 31, 2016), performance is that of Retail Class shares, restated to reflect the higher net expenses and sales loads of Class C shares. |
3 | Bloomberg U.S. Intermediate Government/Credit Bond Index includes securities in the intermediate maturity range within the Government and Credit Indices. The Government Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
5 | 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. |
Managers |
Daniel Conklin, CFA® |
Christopher T. Harms |
Clifton V. Rowe, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | NEFLX |
Class C | NECLX |
Class N | LGANX |
Class Y | NELYX |
Investment Goal
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
September 30, 2013 through September 30, 2023 |
Average Annual Total Returns — September 30, 20231 | ||||||
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios3 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 2.79 % | 0.95 % | 0.94 % | — % | 0.48 % | 0.45 % |
Class A | ||||||
NAV | 2.64 | 0.71 | 0.70 | — | 0.72 | 0.70 |
With 2.25% Maximum Sales Charge | 0.28 | 0.25 | 0.47 | — | ||
Class C | ||||||
NAV | 1.86 | -0.05 | 0.09 | — | 1.48 | 1.45 |
With CDSC4 | 0.87 | -0.05 | 0.09 | — | ||
Class N (Inception 2/1/17) | ||||||
NAV | 2.94 | 1.04 | — | 0.96 | 0.40 | 0.39 |
Comparative Performance | ||||||
Bloomberg U.S. 1-5 Year Government Bond Index2 | 2.10 | 0.90 | 0.80 | 0.72 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Bloomberg U.S. 1-5 Year Government Bond Index is a subindex of the Bloomberg U.S. Government Index, which is comprised of the Bloomberg U.S. Treasury and U.S. Agency Indices. The Bloomberg U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Bloomberg U.S. Government Index is a component of the Bloomberg U.S. Government/Credit Index and the Bloomberg U.S. Aggregate Bond Index. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | 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. |
Loomis Sayles Core Plus Bond Fund | Beginning Account Value 4/1/2023 | Ending Account Value 9/30/2023 | Expenses Paid During Period* 4/1/2023 – 9/30/2023 |
Class A | |||
Actual | $1,000.00 | $951.80 | $3.62 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.36 | $3.75 |
Class C | |||
Actual | $1,000.00 | $948.10 | $7.28 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.60 | $7.54 |
Class N | |||
Actual | $1,000.00 | $953.10 | $1.91 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.11 | $1.98 |
Class Y | |||
Actual | $1,000.00 | $952.60 | $2.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.61 | $2.48 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.74%, 1.49%, 0.39% and 0.49% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period). |
Loomis Sayles Credit Income Fund | Beginning Account Value 4/1/2023 | Ending Account Value 9/30/2023 | Expenses Paid During Period* 4/1/2023 – 9/30/2023 |
Class A | |||
Actual | $1,000.00 | $968.40 | $4.05 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.96 | $4.15 |
Class C | |||
Actual | $1,000.00 | $963.70 | $7.68 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.25 | $7.89 |
Class N | |||
Actual | $1,000.00 | $970.00 | $2.57 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.46 | $2.64 |
Class Y | |||
Actual | $1,000.00 | $969.70 | $2.81 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.21 | $2.89 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.82%, 1.56%, 0.52% and 0.57% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period). |
Loomis Sayles Global Allocation Fund | Beginning Account Value 4/1/2023 | Ending Account Value 9/30/2023 | Expenses Paid During Period* 4/1/2023 – 9/30/2023 |
Class A | |||
Actual | $1,000.00 | $1,018.50 | $5.92 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.20 | $5.92 |
Class C | |||
Actual | $1,000.00 | $1,014.80 | $9.70 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.44 | $9.70 |
Class N | |||
Actual | $1,000.00 | $1,020.60 | $4.15 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.96 | $4.15 |
Class Y | |||
Actual | $1,000.00 | $1,019.70 | $4.66 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.46 | $4.66 |
* | Expenses are equal to the Fund's annualized expense ratio: 1.17%, 1.92%, 0.82% and 0.92% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 365 (to reflect the half–year period). |
Loomis Sayles Growth Fund | Beginning Account Value 4/1/2023 | Ending Account Value 9/30/2023 | Expenses Paid During Period* 4/1/2023 – 9/30/2023 |
Class A | |||
Actual | $1,000.00 | $1,092.00 | $4.82 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.46 | $4.66 |
Class C | |||
Actual | $1,000.00 | $1,087.80 | $8.74 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.70 | $8.44 |
Class N | |||
Actual | $1,000.00 | $1,093.90 | $2.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.21 | $2.89 |
Class Y | |||
Actual | $1,000.00 | $1,093.10 | $3.52 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.71 | $3.40 |
* | Expenses are equal to the Fund's annualized expense ratio: 0.92%, 1.67%, 0.57% and 0.67% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 365 (to reflect the half–year period). |
Loomis Sayles Intermediate Duration Bond Fund | Beginning Account Value 4/1/2023 | Ending Account Value 9/30/2023 | Expenses Paid During Period* 4/1/2023 – 9/30/2023 |
Class A | |||
Actual | $1,000.00 | $987.30 | $3.24 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.81 | $3.29 |
Class C | |||
Actual | $1,000.00 | $983.80 | $6.96 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.05 | $7.08 |
Class N | |||
Actual | $1,000.00 | $990.00 | $1.75 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.31 | $1.78 |
Class Y | |||
Actual | $1,000.00 | $988.70 | $1.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.06 | $2.03 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40%, 0.35% and 0.40% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period). |
Loomis Sayles Limited Term Government And Agency Fund | Beginning Account Value 4/1/2023 | Ending Account Value 9/30/2023 | Expenses Paid During Period* 4/1/2023 – 9/30/2023 |
Class A | |||
Actual | $1,000.00 | $1,001.40 | $3.51 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.56 | $3.55 |
Class C | |||
Actual | $1,000.00 | $997.60 | $7.26 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.80 | $7.33 |
Class N | |||
Actual | $1,000.00 | $1,002.90 | $2.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.06 | $2.03 |
Class Y | |||
Actual | $1,000.00 | $1,001.80 | $2.26 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.81 | $2.28 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45%, 0.40% and 0.45% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period). |
One-Year | Three-Year | Five-Year | |
Loomis Sayles Core Plus Bond Fund | 29% | 19% | 30% |
Loomis Sayles Credit Income Fund | 18% | N/A | N/A |
Loomis Sayles Global Allocation Fund | 100% | 74% | 19% |
Loomis Sayles Growth Fund | 32% | 58% | 62% |
Loomis Sayles Intermediate Duration Bond Fund | 97% | 85% | 61% |
Loomis Sayles Limited Term Government and Agency Fund | 48% | 44% | 40% |
Loomis Sayles Core Plus Bond Fund
Principal Amount (‡) | Description | Value (†) |
Bonds and Notes — 91.8% of Net Assets | ||
Non-Convertible Bonds — 91.7% | ||
ABS Car Loan — 2.6% | ||
$4,420,000 | AmeriCredit Automobile Receivables Trust, Series 2023-1, Class C, 5.800%, 12/18/2028 | $4,391,411 |
6,444,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025(a) | 6,301,347 |
7,064,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027(a) | 6,446,222 |
8,160,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, 3.830%, 8/21/2028(a) | 7,514,919 |
1,840,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-2A, Class A, 5.200%, 10/20/2027(a) | 1,794,227 |
3,245,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class A, 6.020%, 2/20/2030(a) | 3,231,446 |
6,504,109 | Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027(a) | 6,499,055 |
9,895,000 | Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027(a) | 9,838,576 |
7,300,000 | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A, 6.480%, 3/15/2033(a) | 7,299,006 |
2,020,000 | DT Auto Owner Trust, Series 2023-1A, Class C, 5.550%, 10/16/2028(a) | 1,982,747 |
2,110,473 | Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.980%, 6/15/2026 | 2,075,664 |
4,320,000 | Exeter Automobile Receivables Trust, Series 2023-1A, Class C, 5.820%, 2/15/2028 | 4,262,563 |
4,805,000 | Ford Credit Auto Lease Trust, Series 2023-B, Class C, 6.430%, 4/15/2027 | 4,787,731 |
3,455,000 | Ford Credit Auto Owner Trust, Series 2018-1, Class B, 3.340%, 7/15/2031(a) | 3,322,529 |
14,500,000 | Ford Credit Auto Owner Trust, Series 2023-1, Class A, 4.850%, 8/15/2035(a) | 14,031,708 |
4,950,000 | GM Financial Automobile Leasing Trust, Series 2023-1, Class B, 5.510%, 1/20/2027 | 4,884,417 |
12,845,000 | Hertz Vehicle Financing III LLC, Series 2023-2A, Class A, 5.570%, 9/25/2029(a) | 12,505,194 |
9,874,000 | Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.210%, 12/26/2025(a) | 9,370,443 |
9,930,000 | NextGear Floorplan Master Owner Trust, Series 2023-1A, Class A2, 5.740%, 3/15/2028(a) | 9,899,555 |
10,730,000 | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A, 5.410%, 11/14/2029(a) | 10,579,276 |
1,315,148 | Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class B, 6.451%, 12/15/2032(a) | 1,312,061 |
834,307 | Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class C, 6.986%, 12/15/2032(a) | 834,352 |
6,158,594 | Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027 | 6,064,880 |
19,695,000 | Santander Drive Auto Receivables Trust, Series 2022-2, Class B, 3.440%, 9/15/2027 | 19,143,166 |
6,865,000 | Westlake Automobile Receivables Trust, Series 2022-2A, Class C, 4.850%, 9/15/2027(a) | 6,739,144 |
1,295,000 | Westlake Automobile Receivables Trust, Series 2023-1A, Class B, 5.410%, 1/18/2028(a) | 1,278,628 |
4,910,000 | Westlake Automobile Receivables Trust, Series 2023-2A, Class C, 6.290%, 3/15/2028(a) | 4,902,090 |
171,292,357 | ||
ABS Home Equity — 0.3% | ||
2,506,668 | CoreVest American Finance Ltd., Series 2019-3, Class A, 2.705%, 10/15/2052(a) | 2,384,819 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$10,197 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b) | $10,030 |
954,131 | OBX Trust, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048(a)(b) | 848,506 |
2,963,430 | Progress Residential Trust, Series 2023-SFR1, Class A, 4.300%, 3/17/2040(a) | 2,767,659 |
77,613 | Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 8/25/2047(a)(b) | 71,271 |
367,003 | Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 3/25/2048(a)(b) | 330,168 |
218,632 | Sequoia Mortgage Trust, Series 2018-CH3, Class A2, 4.000%, 8/25/2048(a)(b) | 211,105 |
1,298,545 | Towd Point Mortgage Trust, Series 2015-1, Class A5, 4.308%, 10/25/2053(a)(b) | 1,271,149 |
2,888,347 | Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055(a)(b) | 2,822,832 |
5,101,352 | Towd Point Mortgage Trust, Series 2016-2, Class M2, 3.000%, 8/25/2055(a)(b) | 4,537,439 |
4,082,532 | Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058(a)(b) | 3,863,603 |
19,118,581 | ||
ABS Other — 1.5% | ||
2,230,000 | Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028(a) | 2,215,559 |
6,492,060 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046(a) | 5,544,099 |
11,824,388 | DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051(a) | 9,864,755 |
2,974,825 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034(a) | 2,912,170 |
7,992,800 | Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.445%, 2/26/2052(a) | 7,154,299 |
13,449,050 | Jack in the Box Funding LLC, Series 2022-1A, Class A2II, 4.136%, 2/26/2052(a) | 10,733,095 |
6,417,091 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046(a) | 5,547,428 |
8,837,961 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046(a)(b) | 7,669,141 |
457,223 | OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032(a) | 456,504 |
13,500,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class A2, 30 day USD SOFR Average + 0.760%, 6.073%, 6/16/2036(a)(c) | 13,209,062 |
18,175,000 | Textainer Marine Containers Ltd., Series 2021-3A, Class A, 1.940%, 8/20/2046(a) | 14,886,630 |
2,996,129 | Textainer Marine Containers VII Ltd., Series 2020-2A, Class A, 2.100%, 9/20/2045(a) | 2,624,738 |
15,890,000 | Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) | 15,767,218 |
98,584,698 | ||
ABS Student Loan — 0.6% | ||
3,043,377 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069(a) | 2,754,757 |
8,340,714 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069(a) | 7,091,617 |
8,624,492 | Navient Private Education Refi Loan Trust, Series 2023-A, Class A, 5.510%, 10/15/2071(a) | 8,445,560 |
3,072,875 | SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.070%, 1/15/2053(a) | 2,627,069 |
Loomis Sayles Core Plus Bond Fund (continued)
Principal Amount (‡) | Description | Value (†) |
ABS Student Loan — continued | ||
$7,344,767 | SMB Private Education Loan Trust, Series 2021-C, Class A2, 1 mo. USD SOFR + 0.914%, 6.247%, 1/15/2053(a)(c) | $7,197,829 |
8,646,567 | SMB Private Education Loan Trust, Series 2023-A, Class A1A, 5.380%, 1/15/2053(a) | 8,394,528 |
2,120,564 | SoFi Professional Loan Program LLC, Series 2020-A, Class A2FX, 2.540%, 5/15/2046(a) | 1,941,011 |
38,452,371 | ||
ABS Whole Business — 0.3% | ||
7,162,800 | Domino's Pizza Master Issuer LLC, Series 2018-1A, Class A2I, 4.116%, 7/25/2048(a) | 6,795,721 |
4,713,225 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051(a) | 4,214,457 |
11,928,350 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2II, 4.008%, 12/05/2051(a) | 9,614,751 |
20,624,929 | ||
Aerospace & Defense — 0.5% | ||
15,199,000 | Boeing Co., 5.705%, 5/01/2040 | 14,022,637 |
20,159,000 | Boeing Co., 5.805%, 5/01/2050 | 18,254,322 |
1,329,000 | Textron, Inc., 3.000%, 6/01/2030 | 1,118,308 |
33,395,267 | ||
Agency Commercial Mortgage-Backed Securities — 0.5% | ||
6,067,911 | Federal Home Loan Mortgage Corp., 3.350%, 8/01/2037 | 5,000,284 |
3,619,051 | Federal Home Loan Mortgage Corp., 3.450%, 5/01/2037 | 3,025,424 |
1,248,432 | Federal Home Loan Mortgage Corp., 3.700%, 5/01/2037 | 1,077,862 |
8,638,006 | Federal Home Loan Mortgage Corp., 3.750%, 5/01/2037 | 7,410,826 |
2,087,596 | Federal Home Loan Mortgage Corp., 3.900%, 7/01/2037 | 1,818,482 |
2,087,782 | Federal Home Loan Mortgage Corp., 3.900%, 7/01/2037 | 1,790,067 |
7,013,000 | Federal National Mortgage Association, 3.850%, 9/01/2037 | 5,915,777 |
160,000 | Federal National Mortgage Association, 3.940%, 9/01/2032 | 144,947 |
6,597,982 | Federal National Mortgage Association, 4.240%, 7/01/2038 | 5,804,921 |
31,988,590 | ||
Airlines — 0.8% | ||
5,384,603 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026(a) | 5,258,941 |
5,620,467 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029(a) | 5,227,317 |
1,416,818 | Continental Airlines Pass-Through Trust, Series 2012-2, Class A, 4.000%, 4/29/2026 | 1,377,728 |
14,751,433 | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028(a) | 14,018,919 |
3,178,194 | United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 3,057,454 |
22,605,000 | United Airlines Pass-Through Trust, Series 2023-1, Class A, 5.800%, 7/15/2037 | 21,980,650 |
Principal Amount (‡) | Description | Value (†) |
Airlines — continued | ||
$2,266,000 | United Airlines, Inc., 4.375%, 4/15/2026(a) | $2,095,575 |
3,543,000 | United Airlines, Inc., 4.625%, 4/15/2029(a) | 3,045,317 |
56,061,901 | ||
Apartment REITs — 0.0% | ||
1,715,000 | American Homes 4 Rent LP, 3.375%, 7/15/2051 | 1,029,299 |
Automotive — 1.4% | ||
11,690,000 | Ford Motor Credit Co. LLC, 6.800%, 5/12/2028 | 11,676,478 |
5,315,000 | Ford Motor Credit Co. LLC, 6.950%, 3/06/2026 | 5,306,234 |
17,142,000 | General Motors Co., 5.000%, 4/01/2035 | 14,797,703 |
1,000,000 | General Motors Financial Co., Inc., 2.350%, 1/08/2031 | 756,390 |
5,067,000 | General Motors Financial Co., Inc., 2.900%, 2/26/2025 | 4,834,247 |
11,519,000 | Goodyear Tire & Rubber Co., 5.625%, 4/30/2033 | 9,427,283 |
6,206,000 | Hyundai Capital America, 2.375%, 10/15/2027(a) | 5,372,745 |
10,356,000 | Hyundai Capital America, 2.650%, 2/10/2025(a) | 9,890,285 |
7,453,000 | Hyundai Capital America, 3.000%, 2/10/2027(a) | 6,752,392 |
11,455,000 | Hyundai Capital America, 6.100%, 9/21/2028(a) | 11,373,275 |
1,725,000 | Lear Corp., 3.550%, 1/15/2052 | 1,051,570 |
12,381,000 | Lear Corp., 5.250%, 5/15/2049 | 10,008,838 |
4,550,000 | Nissan Motor Acceptance Co. LLC, 7.050%, 9/15/2028(a) | 4,549,213 |
95,796,653 | ||
Banking — 7.2% | ||
10,051,000 | Banco Santander Chile, 2.700%, 1/10/2025(a) | 9,637,420 |
11,000,000 | Banco Santander SA, 1.849%, 3/25/2026 | 9,892,586 |
3,800,000 | Banco Santander SA, 2.958%, 3/25/2031 | 3,021,877 |
15,850,000 | Bangkok Bank PCL, 4.050%, 3/19/2024(a) | 15,703,865 |
4,000,000 | Bank of America Corp., (fixed rate to 11/10/2027, variable rate thereafter), 6.204%, 11/10/2028 | 4,018,065 |
26,146,000 | Bank of America Corp., (fixed rate to 4/22/2024, variable rate thereafter), 0.976%, 4/22/2025 | 25,331,631 |
5,475,000 | Bank of America Corp., (fixed rate to 4/24/2027, variable rate thereafter), 3.705%, 4/24/2028 | 5,042,437 |
16,280,000 | Bank of America Corp., (fixed rate to 4/25/2033, variable rate thereafter), 5.288%, 4/25/2034 | 15,148,718 |
24,210,000 | Bank of America Corp., MTN, (fixed rate to 4/23/2026, variable rate thereafter), 3.559%, 4/23/2027 | 22,713,271 |
18,664,000 | Barclays PLC, (fixed rate to 3/10/2041, variable rate thereafter), 3.811%, 3/10/2042 | 12,184,819 |
7,864,000 | BBVA Bancomer SA, 1.875%, 9/18/2025(a) | 7,214,539 |
13,513,000 | BNP Paribas SA, (fixed rate to 1/13/2026, variable rate thereafter), 1.323%, 1/13/2027(a) | 12,101,107 |
26,613,000 | BNP Paribas SA, (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025(a) | 25,559,936 |
23,750,000 | Capital One Financial Corp., (fixed rate to 6/08/2033, variable rate thereafter), 6.377%, 6/08/2034 | 22,413,246 |
1,154,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 | 1,116,856 |
9,038,000 | Deutsche Bank AG, 1.686%, 3/19/2026 | 8,185,518 |
8,585,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 6,160,547 |
6,737,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 5,014,981 |
1,750,000 | Deutsche Bank AG, (fixed rate to 11/10/2032, variable rate thereafter), 7.079%, 2/10/2034 | 1,581,548 |
Loomis Sayles Core Plus Bond Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Banking — continued | ||
$10,680,000 | Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), 2.129%, 11/24/2026 | $9,658,464 |
12,486,000 | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | 12,643,913 |
6,320,000 | Goldman Sachs Group, Inc., (fixed rate to 6/05/2027, variable rate thereafter), 3.691%, 6/05/2028 | 5,824,462 |
1,326,000 | HSBC Holdings PLC, 4.950%, 3/31/2030 | 1,239,080 |
13,610,000 | HSBC Holdings PLC, (fixed rate to 5/24/2024, variable rate thereafter), 0.976%, 5/24/2025 | 13,112,184 |
4,740,000 | Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032(a) | 3,496,698 |
24,590,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 | 20,563,807 |
14,076,000 | JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031 | 11,565,189 |
14,145,000 | Macquarie Bank Ltd., 3.231%, 3/21/2025(a) | 13,641,760 |
7,950,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 4/19/2033, variable rate thereafter), 5.406%, 4/19/2034 | 7,541,748 |
1,500,000 | Morgan Stanley, (fixed rate to 2/01/2028, variable rate thereafter), 5.123%, 2/01/2029 | 1,444,524 |
13,321,000 | Morgan Stanley, (fixed rate to 7/22/2027, variable rate thereafter), 3.591%, 7/22/2028(b) | 12,153,811 |
10,135,000 | Morgan Stanley, MTN, (fixed rate to 4/20/2028, variable rate thereafter), 5.164%, 4/20/2029 | 9,750,425 |
5,600,000 | PNC Financial Services Group, Inc., (fixed rate to 1/24/2033, variable rate thereafter), 5.068%, 1/24/2034 | 5,078,355 |
11,465,000 | Santander Holdings USA, Inc., (fixed rate to 1/06/2027, variable rate thereafter), 2.490%, 1/06/2028 | 9,954,799 |
24,503,000 | Societe Generale SA, 2.625%, 1/22/2025(a) | 23,295,384 |
18,840,000 | Standard Chartered PLC, (fixed rate to 1/12/2032, variable rate thereafter), 3.603%, 1/12/2033(a) | 14,438,976 |
22,346,000 | Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026(a) | 21,256,142 |
660,000 | Standard Chartered PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.866%, 3/15/2033(a) | 590,713 |
5,660,000 | Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 5,235,673 |
10,888,000 | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029 | 9,301,018 |
23,580,000 | Toronto-Dominion Bank, MTN, 5.523%, 7/17/2028 | 23,274,377 |
6,655,000 | Truist Financial Corp., MTN, (fixed rate to 6/08/2033, variable rate thereafter), 5.867%, 6/08/2034 | 6,263,838 |
5,040,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 5,820,266 |
690,000 | UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026(a) | 687,399 |
7,695,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) | 7,680,303 |
15,845,000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027(a) | 13,997,019 |
481,553,294 |
Principal Amount (‡) | Description | Value (†) |
Building Materials — 0.4% | ||
$15,155,000 | American Builders & Contractors Supply Co., Inc., 3.875%, 11/15/2029(a) | $12,599,109 |
8,962,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 7,506,708 |
9,128,000 | Mohawk Industries, Inc., 3.625%, 5/15/2030 | 7,972,943 |
17,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029(a) | 15,436 |
28,094,196 | ||
Cable Satellite — 0.6% | ||
17,010,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(a) | 12,524,089 |
21,060,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.500%, 4/01/2063 | 15,579,075 |
5,285,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 3,661,547 |
783,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 612,489 |
2,245,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 | 1,860,100 |
7,162,000 | Time Warner Cable LLC, 6.550%, 5/01/2037 | 6,496,001 |
1,707,000 | Time Warner Cable LLC, 6.750%, 6/15/2039 | 1,562,530 |
42,295,831 | ||
Chemicals — 0.9% | ||
1,610,000 | Alpek SAB de CV, 3.250%, 2/25/2031(a) | 1,263,772 |
21,698,000 | Braskem America Finance Co., 7.125%, 7/22/2041(a) | 18,937,466 |
1,873,000 | Celanese U.S. Holdings LLC, 6.050%, 3/15/2025 | 1,866,274 |
4,145,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 4,062,975 |
6,640,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 6,397,788 |
4,410,000 | Nutrien Ltd., 5.800%, 3/27/2053 | 4,050,864 |
8,271,000 | Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044(a) | 6,814,769 |
9,466,000 | Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042(a) | 8,792,690 |
3,830,000 | Sociedad Quimica y Minera de Chile SA, 3.500%, 9/10/2051(a) | 2,372,340 |
10,424,000 | Sociedad Quimica y Minera de Chile SA, 4.250%, 1/22/2050(a) | 7,686,553 |
62,245,491 | ||
Collateralized Mortgage Obligations — 0.6% | ||
33,880,000 | Federal Home Loan Mortgage Corp., 6.763%, 10/25/2053(c) | 33,880,000 |
150,826 | Government National Mortgage Association, Series 2010-H24, Class FA, 1 mo. USD SOFR + 0.464%, 5.782%, 10/20/2060(c) | 149,847 |
100,969 | Government National Mortgage Association, Series 2012-H18, Class NA, 1 mo. USD SOFR + 0.634%, 5.952%, 8/20/2062(c) | 100,461 |
498 | Government National Mortgage Association, Series 2013-H01, Class FA, 1.650%, 1/20/2063(d) | 425 |
8,692 | Government National Mortgage Association, Series 2013-H03, Class HA, 1.750%, 12/20/2062(d) | 7,479 |
7,207 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(d) | 6,224 |
85,742 | Government National Mortgage Association, Series 2013-H10, Class PA, 2.500%, 4/20/2063(d) | 75,887 |
Loomis Sayles Core Plus Bond Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$4,654,763 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | $4,482,125 |
6,819 | Government National Mortgage Association, Series 2015-H13, Class FL, 1 mo. USD SOFR + 0.394%, 4.908%, 5/20/2063(c)(d) | 6,163 |
38,708,611 | ||
Consumer Cyclical Services — 0.0% | ||
1,791,000 | Expedia Group, Inc., 6.250%, 5/01/2025(a) | 1,793,946 |
Consumer Products — 0.1% | ||
2,157,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031(a) | 1,759,342 |
1,425,000 | Natura &Co. Luxembourg Holdings Sarl, 6.000%, 4/19/2029(a) | 1,311,655 |
2,738,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028(a) | 2,351,199 |
5,422,196 | ||
Electric — 1.3% | ||
3,587,000 | AES Corp., 3.300%, 7/15/2025(a) | 3,397,521 |
1,609,000 | AES Corp., 3.950%, 7/15/2030(a) | 1,386,829 |
10,104,000 | Calpine Corp., 5.000%, 2/01/2031(a) | 8,169,990 |
12,220,000 | CenterPoint Energy, Inc., SOFR Index + 0.650%, 5.991%, 5/13/2024(c) | 12,217,754 |
13,354,000 | Clearway Energy Operating LLC, 3.750%, 2/15/2031(a) | 10,533,617 |
20,355,874 | Cometa Energia SA de CV, 6.375%, 4/24/2035(a) | 18,956,906 |
2,415,000 | DPL, Inc., 4.350%, 4/15/2029 | 1,996,383 |
852,000 | Edison International, 4.950%, 4/15/2025 | 834,974 |
2,811,000 | Enel Americas SA, 4.000%, 10/25/2026 | 2,613,415 |
1,348,000 | Enel Generacion Chile SA, 4.250%, 4/15/2024 | 1,326,531 |
4,316,000 | Entergy Corp., 2.800%, 6/15/2030 | 3,580,521 |
750,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 | 657,769 |
10,966,000 | National Rural Utilities Cooperative Finance Corp., (fixed rate to 5/01/2023, variable rate thereafter), 8.541%, 4/30/2043(c) | 10,774,171 |
3,800,000 | NRG Energy, Inc., 3.875%, 2/15/2032(a) | 2,852,623 |
3,509,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.500%, 8/15/2028(a) | 3,047,566 |
7,133,000 | Transelec SA, 4.250%, 1/14/2025(a) | 6,924,526 |
89,271,096 | ||
Finance Companies — 2.0% | ||
6,365,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 5,457,849 |
18,150,000 | Air Lease Corp., GMTN, 3.750%, 6/01/2026 | 17,107,745 |
20,287,000 | Aircastle Ltd., 2.850%, 1/26/2028(a) | 17,213,170 |
22,772,000 | Ares Capital Corp., 2.150%, 7/15/2026 | 19,979,200 |
15,425,000 | Avolon Holdings Funding Ltd., 2.750%, 2/21/2028(a) | 13,069,641 |
4,262,000 | Blue Owl Capital Corp., 2.625%, 1/15/2027 | 3,660,425 |
13,397,000 | Blue Owl Capital Corp., 3.400%, 7/15/2026 | 12,011,245 |
10,958,000 | Blue Owl Technology Finance Corp., 3.750%, 6/17/2026(a) | 9,724,924 |
18,679,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 17,117,197 |
6,000,000 | Navient Corp., 5.000%, 3/15/2027 | 5,393,160 |
6,547,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 6,512,014 |
1,580,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 1,268,175 |
5,769,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | 4,600,027 |
1,655,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 1,249,828 |
134,364,600 |
Principal Amount (‡) | Description | Value (†) |
Financial Other — 0.1% | ||
$4,763,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | $3,808,778 |
Food & Beverage — 0.7% | ||
14,008,000 | BRF SA, 5.750%, 9/21/2050(a) | 9,358,465 |
2,032,000 | Gruma SAB de CV, 4.875%, 12/01/2024(a) | 2,003,250 |
24,100,000 | JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg Sarl, 7.250%, 11/15/2053(a) | 23,298,675 |
11,530,000 | Minerva Luxembourg SA, 4.375%, 3/18/2031(a) | 8,922,492 |
6,134,000 | Post Holdings, Inc., 4.500%, 9/15/2031(a) | 5,105,288 |
1,599,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030(a) | 1,222,290 |
49,910,460 | ||
Government Owned - No Guarantee — 1.5% | ||
6,872,000 | Antares Holdings LP, 3.950%, 7/15/2026(a) | 6,184,319 |
17,141,000 | BOC Aviation USA Corp., 1.625%, 4/29/2024(a) | 16,702,978 |
3,903,000 | Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050(a) | 2,231,027 |
8,230,000 | Freeport Indonesia PT, 5.315%, 4/14/2032(a) | 7,409,963 |
6,355,000 | Korea National Oil Corp., 4.875%, 4/03/2028(a) | 6,192,355 |
16,956,000 | NBN Co. Ltd., 1.450%, 5/05/2026(a) | 15,235,547 |
7,985,000 | OCP SA, 3.750%, 6/23/2031(a) | 6,291,493 |
11,538,000 | Saudi Arabian Oil Co., 3.500%, 11/24/2070(a) | 6,850,688 |
11,825,000 | Tennessee Valley Authority, 4.250%, 9/15/2065 | 9,376,639 |
7,669,000 | Tennessee Valley Authority, 4.625%, 9/15/2060 | 6,645,734 |
5,427,000 | Tennessee Valley Authority, 4.875%, 1/15/2048 | 4,980,024 |
9,290,000 | Tennessee Valley Authority, 5.250%, 9/15/2039 | 9,088,323 |
97,189,090 | ||
Health Insurance — 0.1% | ||
7,364,000 | Centene Corp., 3.375%, 2/15/2030 | 6,142,106 |
Healthcare — 0.2% | ||
2,650,000 | CVS Health Corp., 5.250%, 1/30/2031 | 2,546,180 |
12,395,000 | HCA, Inc., 4.625%, 3/15/2052 | 9,306,108 |
11,852,288 | ||
Home Construction — 0.2% | ||
4,801,000 | Forestar Group, Inc., 3.850%, 5/15/2026(a) | 4,357,832 |
8,905,000 | NVR, Inc., 3.000%, 5/15/2030 | 7,419,049 |
11,776,881 | ||
Independent Energy — 0.4% | ||
8,952,000 | Devon Energy Corp., 4.500%, 1/15/2030 | 8,135,123 |
1,765,000 | EQT Corp., 3.125%, 5/15/2026(a) | 1,632,961 |
4,696,000 | EQT Corp., 3.900%, 10/01/2027 | 4,343,676 |
601,000 | EQT Corp., 5.000%, 1/15/2029 | 564,946 |
9,078,204 | Leviathan Bond Ltd., 6.125%, 6/30/2025(a) | 8,829,552 |
5,835,000 | Pan American Energy LLC, 9.125%, 4/30/2027(a) | 6,162,168 |
29,668,426 | ||
Industrial Other — 0.0% | ||
3,408,000 | Georgetown University, Series A, 5.215%, 10/01/2118 | 2,838,182 |
Life Insurance — 0.2% | ||
14,171,000 | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | 13,261,902 |
2,327,000 | OneAmerica Financial Partners, Inc., 4.250%, 10/15/2050(a) | 1,488,512 |
14,750,414 | ||
Lodging — 0.1% | ||
6,397,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032(a) | 5,157,236 |
Loomis Sayles Core Plus Bond Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Media Entertainment — 0.6% | ||
54,020,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | 1,894,412 |
5,553,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.250%, 1/15/2029(a) | 4,406,417 |
12,303,000 | Prosus NV, 3.680%, 1/21/2030(a) | 9,916,576 |
13,750,000 | Prosus NV, 3.832%, 2/08/2051(a) | 7,594,092 |
20,770,000 | Warnermedia Holdings, Inc., 5.391%, 3/15/2062 | 15,340,380 |
39,151,877 | ||
Metals & Mining — 0.9% | ||
1,835,000 | Anglo American Capital PLC, 2.250%, 3/17/2028(a) | 1,566,088 |
3,620,000 | Anglo American Capital PLC, 3.875%, 3/16/2029(a) | 3,243,875 |
3,322,000 | Anglo American Capital PLC, 3.950%, 9/10/2050(a) | 2,257,900 |
7,696,000 | Anglo American Capital PLC, 5.625%, 4/01/2030(a) | 7,432,601 |
9,977,000 | FMG Resources August 2006 Pty. Ltd., 4.375%, 4/01/2031(a) | 8,208,980 |
14,428,000 | Fresnillo PLC, 4.250%, 10/02/2050(a) | 10,086,903 |
25,662,000 | Glencore Funding LLC, 2.500%, 9/01/2030(a) | 20,291,456 |
5,290,000 | POSCO, 5.625%, 1/17/2026(a) | 5,267,767 |
3,555,000 | SunCoke Energy, Inc., 4.875%, 6/30/2029(a) | 3,020,772 |
61,376,342 | ||
Midstream — 0.6% | ||
568,000 | Energy Transfer LP, 5.150%, 2/01/2043 | 451,384 |
1,500,000 | Energy Transfer LP, 5.300%, 4/15/2047 | 1,218,412 |
125,000 | Energy Transfer LP, 5.400%, 10/01/2047 | 103,093 |
4,900,000 | Energy Transfer LP, 5.950%, 10/01/2043 | 4,307,714 |
8,548,000 | Energy Transfer LP, 6.500%, 2/01/2042 | 8,172,549 |
1,338,000 | Energy Transfer LP, 6.625%, 10/15/2036 | 1,320,740 |
2,445,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027(a) | 2,387,486 |
2,014,000 | Gray Oak Pipeline LLC, 2.600%, 10/15/2025(a) | 1,856,167 |
982,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027(a) | 869,984 |
12,960,000 | Sempra Global, 3.250%, 1/15/2032(a) | 10,149,530 |
930,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.500%, 7/15/2027 | 937,207 |
13,096,000 | Williams Cos., Inc., 3.500%, 11/15/2030 | 11,291,736 |
43,066,002 | ||
Mortgage Related — 24.3% | ||
9,705,593 | Federal Home Loan Mortgage Corp., 1.500%, with various maturities from 2050 to 2051(e) | 32,444,718 |
1,291,643 | Federal Home Loan Mortgage Corp., 2.000%, with various maturities from 2050 to 2052(e) | 85,397,021 |
4,266,296 | Federal Home Loan Mortgage Corp., 2.500%, with various maturities from 2050 to 2051(e) | 33,075,276 |
1,024,131 | Federal Home Loan Mortgage Corp., 3.000%, with various maturities from 2042 to 2052(e) | 44,948,902 |
572,862 | Federal Home Loan Mortgage Corp., 3.500%, with various maturities from 2043 to 2052(e) | 13,595,211 |
866,706 | Federal Home Loan Mortgage Corp., 4.000%, with various maturities from 2044 to 2052(e) | 52,901,667 |
564,502 | Federal Home Loan Mortgage Corp., 4.500%, with various maturities from 2041 to 2052(e) | 22,801,600 |
1,277,293 | Federal Home Loan Mortgage Corp., 5.000%, with various maturities in 2048(e) | 11,658,994 |
1,643,062 | Federal Home Loan Mortgage Corp., 5.500%, with various maturities in 2053(e) | 28,645,852 |
Principal Amount (‡) | Description | Value (†) |
Mortgage Related — continued | ||
$3,683 | Federal Home Loan Mortgage Corp., 6.000%, with various maturities from 2035 to 2053(e) | $55,063,916 |
1,403,236 | Federal Home Loan Mortgage Corp., 6.500%, with various maturities in 2053(e) | 35,202,027 |
1,078,300 | Federal Home Loan Mortgage Corp., 7.000%, 9/01/2053 | 1,109,394 |
56,831,939 | Federal National Mortgage Association, 2.000%, with various maturities from 2037 to 2052(e) | 201,522,301 |
384,669 | Federal National Mortgage Association, 2.500%, with various maturities from 2045 to 2062(e) | 532,125,278 |
3,065,405 | Federal National Mortgage Association, 3.000%, with various maturities from 2045 to 2052(e) | 51,505,125 |
132,478 | Federal National Mortgage Association, 3.500%, with various maturities from 2043 to 2052(e) | 98,943,994 |
2,966,990 | Federal National Mortgage Association, 4.000%, with various maturities from 2041 to 2052(e) | 33,556,063 |
68,029 | Federal National Mortgage Association, 4.500%, with various maturities from 2043 to 2053(e) | 16,379,055 |
1,650,296 | Federal National Mortgage Association, 5.000%, with various maturities from 2048 to 2053(e) | 11,740,699 |
2,802,766 | Federal National Mortgage Association, 5.500%, with various maturities from 2050 to 2053(e) | 8,282,661 |
16,951 | Federal National Mortgage Association, 6.000%, with various maturities from 2034 to 2053(e) | 56,458,504 |
1,699 | Federal National Mortgage Association, 6.500%, with various maturities from 2029 to 2053(e) | 22,540,231 |
9,228 | Federal National Mortgage Association, 7.000%, with various maturities in 2030(e) | 15,511 |
128 | Federal National Mortgage Association, 7.500%, with various maturities from 2024 to 2032(e) | 8,223 |
4,506 | Government National Mortgage Association, 3.659%, 7/20/2063(b) | 4,335 |
1,136 | Government National Mortgage Association, 3.890%, 12/20/2062(b) | 1,068 |
3,034,689 | Government National Mortgage Association, 4.344%, 11/20/2066(b) | 2,957,443 |
5,068,619 | Government National Mortgage Association, 4.387%, 12/20/2066(b) | 4,895,133 |
1,243,325 | Government National Mortgage Association, 4.388%, 12/20/2063(b) | 1,223,509 |
17,654 | Government National Mortgage Association, 4.390%, 11/20/2062(b) | 16,682 |
2,226,838 | Government National Mortgage Association, 4.393%, 2/20/2066(b) | 2,158,849 |
945,649 | Government National Mortgage Association, 4.408%, 6/20/2064(b) | 923,177 |
1,078,380 | Government National Mortgage Association, 4.412%, 2/20/2066(b) | 1,045,030 |
2,302 | Government National Mortgage Association, 4.422%, 5/20/2063(b) | 2,231 |
Loomis Sayles Core Plus Bond Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Mortgage Related — continued | ||
$1,352,570 | Government National Mortgage Association, 4.426%, 10/20/2066(b) | $1,307,305 |
1,502,470 | Government National Mortgage Association, 4.450%, 6/20/2066(b) | 1,463,195 |
1,655,802 | Government National Mortgage Association, 4.496%, 9/20/2066(b) | 1,607,850 |
2,429,693 | Government National Mortgage Association, 4.507%, 6/20/2066(b) | 2,363,238 |
2,281,143 | Government National Mortgage Association, 4.510%, 12/20/2064(b) | 2,236,273 |
2,771,897 | Government National Mortgage Association, 4.544%, 10/20/2064(b) | 2,711,563 |
502,409 | Government National Mortgage Association, 4.557%, 1/20/2064(b) | 497,650 |
2,086,966 | Government National Mortgage Association, 4.574%, 2/20/2065(b) | 2,040,799 |
741,756 | Government National Mortgage Association, 4.600%, 1/20/2065(b) | 726,495 |
1,068,797 | Government National Mortgage Association, 4.605%, 3/20/2065(b) | 1,044,424 |
2,828,840 | Government National Mortgage Association, 4.609%, with various maturities from 2065 to 2066(b)(e) | 3,788,203 |
2,273,941 | Government National Mortgage Association, 4.615%, 3/20/2066(b) | 2,204,569 |
1,738,726 | Government National Mortgage Association, 4.634%, 12/20/2064(b) | 1,707,270 |
1,264,577 | Government National Mortgage Association, 4.654%, 6/20/2064(b) | 1,239,608 |
2,680 | Government National Mortgage Association, 4.657%, 5/20/2063(b) | 2,612 |
4,368,692 | Government National Mortgage Association, 4.659%, 12/20/2066(b) | 4,235,444 |
3,470 | Government National Mortgage Association, 4.677%, 8/20/2061(b) | 3,389 |
2,058,014 | Government National Mortgage Association, 4.692%, 1/20/2065(b) | 2,012,273 |
42,664 | Government National Mortgage Association, 4.700%, with various maturities from 2062 to 2066(b)(e) | 1,163,840 |
1,459,723 | Government National Mortgage Association, 4.730%, 1/20/2064(b) | 1,438,425 |
72,333 | Government National Mortgage Association, 5.500%, 4/15/2038 | 71,700 |
9,351 | Government National Mortgage Association, 6.000%, with various maturities from 2029 to 2038(e) | 13,535 |
2,505 | Government National Mortgage Association, 6.500%, with various maturities from 2029 to 2032(e) | 15,402 |
10,448 | Government National Mortgage Association, 7.000%, 9/15/2025 | 10,404 |
1,124 | Government National Mortgage Association, 7.500%, with various maturities from 2025 to 2030(e) | 1,530 |
155,178,000 | Uniform Mortgage-Backed Security, TBA, 3.500%, 11/01/2053(f) | 133,562,190 |
1,630,618,866 | ||
Natural Gas — 0.0% | ||
2,701,000 | Boston Gas Co., 3.001%, 8/01/2029(a) | 2,287,828 |
Principal Amount (‡) | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — 2.0% | ||
$22,085,000 | AOA Mortgage Trust, Series 2021-1177, Class A, 1 mo. USD SOFR + 0.989%, 6.322%, 10/15/2038(a)(c) | $20,383,925 |
1,531,640 | BANK, Series 2019-BN16, Class A4, 4.005%, 2/15/2052 | 1,390,522 |
3,409,380 | BANK, Series 2019-BN20, Class A3, 3.011%, 9/15/2062 | 2,837,231 |
12,696,152 | BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062 | 10,713,545 |
6,138,240 | BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 | 5,187,419 |
7,135,000 | BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.858%, 12/15/2038(a)(c) | 6,730,865 |
14,179,842 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 | 11,999,706 |
7,070,071 | Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052 | 5,918,720 |
8,877,514 | Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5, 2.717%, 2/15/2053 | 7,283,610 |
735,606 | Commercial Mortgage Trust, Series 2010-C1, Class D, 5.985%, 7/10/2046(a)(b) | 684,116 |
2,112,208 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A1, 3.304%, 9/15/2037(a) | 1,761,255 |
11,367,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037(a) | 9,699,756 |
8,025,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class A, 6.314%, 9/12/2040(a) | 7,999,739 |
7,694,197 | Extended Stay America Trust, Series 2021-ESH, Class A, 1 mo. USD SOFR + 1.194%, 6.527%, 7/15/2038(a)(c) | 7,628,986 |
1,411,474 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD SOFR + 2.364%, 7.697%, 7/15/2038(a)(c) | 1,388,437 |
5,627,003 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.299%, 8/10/2044(a)(b) | 3,939,007 |
2,317,554 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b) | 1,927,569 |
6,596,065 | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 | 5,515,603 |
8,330,022 | Med Trust, Series 2021-MDLN, Class A, 1 mo. USD SOFR + 1.064%, 6.397%, 11/15/2038(a)(c) | 8,120,961 |
845,294 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.020%, 8/15/2046(b) | 838,954 |
4,982,141 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D, 4.993%, 6/15/2044(a)(b) | 4,205,076 |
5,245,978 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, 4.176%, 5/15/2047 | 4,912,691 |
131,067,693 | ||
Other REITs — 0.0% | ||
3,790,000 | EPR Properties, 3.600%, 11/15/2031 | 2,809,412 |
Paper — 0.2% | ||
11,175,000 | Klabin Austria GmbH, 7.000%, 4/03/2049(a) | 10,548,579 |
Pharmaceuticals — 0.4% | ||
12,370,000 | Amgen, Inc., 5.750%, 3/02/2063 | 11,411,085 |
Loomis Sayles Core Plus Bond Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Pharmaceuticals — continued | ||
$10,284,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | $9,165,825 |
7,588,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 | 7,614,232 |
1,903,000 | Viatris, Inc., 4.000%, 6/22/2050 | 1,150,427 |
29,341,569 | ||
Property & Casualty Insurance — 0.1% | ||
2,585,000 | Ascot Group Ltd., 4.250%, 12/15/2030(a) | 1,907,705 |
5,865,000 | Liberty Mutual Group, Inc., 3.950%, 5/15/2060(a) | 3,679,049 |
5,586,754 | ||
Refining — 0.2% | ||
1,000,000 | Thaioil Treasury Center Co. Ltd., 3.750%, 6/18/2050(a) | 602,387 |
19,664,000 | Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043(a) | 15,020,936 |
15,623,323 | ||
Retailers — 0.4% | ||
3,081,000 | Alibaba Group Holding Ltd., 3.250%, 2/09/2061 | 1,645,608 |
12,355,000 | Dick's Sporting Goods, Inc., 4.100%, 1/15/2052 | 7,505,709 |
4,907,000 | El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026(a) | 4,596,525 |
8,985,000 | Falabella SA, 3.375%, 1/15/2032(a) | 6,608,118 |
6,632,000 | Lithia Motors, Inc., 4.375%, 1/15/2031(a) | 5,486,767 |
4,582,000 | MercadoLibre, Inc., 3.125%, 1/14/2031 | 3,605,537 |
29,448,264 | ||
Sovereigns — 0.2% | ||
4,185,000 | Panama Government International Bonds, 6.853%, 3/28/2054 | 3,886,057 |
14,320,000 | Republic of South Africa Government International Bonds, 7.300%, 4/20/2052 | 11,315,234 |
15,201,291 | ||
Technology — 1.6% | ||
3,175,000 | Baidu, Inc., 2.375%, 10/09/2030 | 2,509,742 |
4,515,000 | Baidu, Inc., 3.075%, 4/07/2025 | 4,372,236 |
5,890,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 4,294,291 |
11,954,000 | Corning, Inc., 5.450%, 11/15/2079 | 10,039,054 |
2,133,000 | Equifax, Inc., 2.600%, 12/15/2025 | 1,984,396 |
4,324,000 | Equifax, Inc., 7.000%, 7/01/2037 | 4,331,663 |
15,011,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | 15,083,481 |
12,714,000 | Iron Mountain, Inc., 4.500%, 2/15/2031(a) | 10,456,800 |
5,460,000 | Jabil, Inc., 3.000%, 1/15/2031 | 4,423,910 |
2,250,000 | Jabil, Inc., 5.450%, 2/01/2029 | 2,188,010 |
6,151,000 | Molex Electronic Technologies LLC, 3.900%, 4/15/2025(a) | 5,886,683 |
14,161,000 | Oracle Corp., 4.100%, 3/25/2061 | 9,444,868 |
4,505,000 | Qorvo, Inc., 1.750%, 12/15/2024(a) | 4,232,755 |
3,513,000 | Sabre Global, Inc., 8.625%, 6/01/2027(a) | 2,978,344 |
39,000 | Science Applications International Corp., 4.875%, 4/01/2028(a) | 35,394 |
4,204,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(a) | 3,402,402 |
13,563,000 | Tencent Holdings Ltd., 3.290%, 6/03/2060(a) | 7,344,033 |
13,307,000 | Ziff Davis, Inc., 4.625%, 10/15/2030(a) | 11,266,364 |
104,274,426 | ||
Tobacco — 0.4% | ||
26,019,000 | BAT Capital Corp., 2.789%, 9/06/2024 | 25,246,929 |
Principal Amount (‡) | Description | Value (†) |
Treasuries — 33.3% | ||
6,545,647(g ) | Mexico Bonos, Series M, 5.750%, 3/05/2026, (MXN) | 33,674,917 |
12,930,849(g ) | Mexico Bonos, Series M 20, 8.500%, 5/31/2029, (MXN) | 69,679,302 |
154,795,000 | U.S. Treasury Bonds, 1.750%, 8/15/2041 | 96,396,168 |
241,735,000 | U.S. Treasury Bonds, 2.000%, 11/15/2041 | 156,872,795 |
71,990,000 | U.S. Treasury Bonds, 2.375%, 2/15/2042 | 49,760,276 |
46,925,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 37,393,359 |
91,165,000 | U.S. Treasury Bonds, 3.375%, 8/15/2042 | 73,865,017 |
61,645,000 | U.S. Treasury Bonds, 3.625%, 2/15/2053 | 50,982,341 |
25,855,000 | U.S. Treasury Bonds, 3.625%, 5/15/2053 | 21,407,132 |
15,860,000 | U.S. Treasury Bonds, 3.875%, 2/15/2043 | 13,803,156 |
84,395,000 | U.S. Treasury Bonds, 3.875%, 5/15/2043 | 73,370,903 |
30,715,000 | U.S. Treasury Bonds, 4.125%, 8/15/2053 | 27,883,461 |
33,540,000 | U.S. Treasury Notes, 2.750%, 7/31/2027 | 31,243,296 |
45,850,000 | U.S. Treasury Notes, 2.750%, 8/15/2032 | 39,703,234 |
1,135,000 | U.S. Treasury Notes, 2.875%, 5/15/2032 | 996,273 |
175,885,000 | U.S. Treasury Notes, 3.125%, 8/31/2029 | 162,089,020 |
160,115,000 | U.S. Treasury Notes, 3.375%, 5/15/2033 | 145,204,291 |
41,465,000 | U.S. Treasury Notes, 3.500%, 1/31/2028 | 39,571,540 |
25,800,000 | U.S. Treasury Notes, 3.500%, 4/30/2028 | 24,590,625 |
21,635,000 | U.S. Treasury Notes, 3.500%, 1/31/2030 | 20,278,587 |
127,735,000 | U.S. Treasury Notes, 3.500%, 2/15/2033 | 117,196,862 |
31,760,000 | U.S. Treasury Notes, 3.625%, 3/31/2028 | 30,447,419 |
31,255,000 | U.S. Treasury Notes, 3.625%, 5/31/2028 | 29,955,964 |
12,305,000 | U.S. Treasury Notes, 3.625%, 3/31/2030 | 11,606,595 |
3,655,000 | U.S. Treasury Notes, 3.750%, 6/30/2030 | 3,469,109 |
14,275,000 | U.S. Treasury Notes, 3.875%, 11/30/2027 | 13,837,828 |
33,275,000 | U.S. Treasury Notes, 3.875%, 12/31/2027 | 32,249,454 |
150,610,000 | U.S. Treasury Notes, 3.875%, 9/30/2029 | 144,473,819 |
30,770,000 | U.S. Treasury Notes, 3.875%, 11/30/2029 | 29,491,122 |
60,010,000 | U.S. Treasury Notes, 3.875%, 12/31/2029 | 57,485,361 |
128,115,000 | U.S. Treasury Notes, 3.875%, 8/15/2033 | 121,048,657 |
10,015,000 | U.S. Treasury Notes, 4.000%, 6/30/2028 | 9,747,803 |
10,050,000 | U.S. Treasury Notes, 4.125%, 9/30/2027 | 9,840,756 |
19,250,000 | U.S. Treasury Notes, 4.125%, 10/31/2027 | 18,840,186 |
17,846,000 | U.S. Treasury Notes, 4.125%, 7/31/2028 | 17,461,196 |
235,490,000 | U.S. Treasury Notes, 4.125%, 11/15/2032 | 227,119,065 |
88,215,000 | U.S. Treasury Notes, 4.625%, 9/30/2028 | 88,270,134 |
4,053,612,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) | 98,389,009 |
213,447,000 | Uruguay Government International Bonds, 8.500%, 3/15/2028, (UYU)(a) | 5,349,077 |
93,095,000 | Uruguay Government International Bonds, 8.500%, 3/15/2028, (UYU) | 2,333,002 |
2,237,378,111 | ||
Wireless — 0.8% | ||
17,567,000 | Bharti Airtel Ltd., 4.375%, 6/10/2025(a) | 17,121,095 |
983,000 | Crown Castle, Inc., 4.150%, 7/01/2050 | 700,152 |
3,360,000 | Empresa Nacional de Telecomunicaciones SA, 3.050%, 9/14/2032(a) | 2,562,000 |
8,085,000 | Kenbourne Invest SA, 4.700%, 1/22/2028(a) | 5,030,245 |
5,452,000 | Millicom International Cellular SA, 4.500%, 4/27/2031(a) | 3,893,555 |
14,210,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 11,852,167 |
16,530,000 | Sitios Latinoamerica SAB de CV, 5.375%, 4/04/2032(a) | 14,213,816 |
55,373,030 | ||
Wirelines — 0.6% | ||
18,528,000 | AT&T, Inc., 1.700%, 3/25/2026 | 16,811,229 |
7,956,000 | AT&T, Inc., 3.500%, 9/15/2053 | 4,915,607 |
Loomis Sayles Core Plus Bond Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Wirelines — continued | ||
$2,905,000 | AT&T, Inc., 3.550%, 9/15/2055 | $1,778,319 |
1,863,000 | AT&T, Inc., 3.650%, 6/01/2051 | 1,201,251 |
11,891,000 | AT&T, Inc., 3.650%, 9/15/2059 | 7,235,055 |
7,539,000 | AT&T, Inc., 3.800%, 12/01/2057 | 4,776,151 |
36,717,612 | ||
Total Non-Convertible Bonds (Identified Cost $6,983,349,225) | 6,158,305,676 | |
Municipals — 0.1% | ||
Virginia — 0.1% | ||
12,785,000 | University of Virginia, 3.227%, 9/01/2119 (Identified Cost $12,785,000) | 7,354,441 |
Total Bonds and Notes (Identified Cost $6,996,134,225) | 6,165,660,117 | |
Collateralized Loan Obligations — 3.1% | ||
2,390,000 | 37 Capital CLO 1 Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.782%, 9.090%, 10/15/2034(a)(c) | 2,355,177 |
1,000,000 | 37 Capital CLO II Ltd., Series 2022-1A, Class C1, 3 mo. USD SOFR + 3.350%, 8.658%, 7/15/2034(a)(c) | 1,001,316 |
1,000,000 | AIMCO CLO 14 Ltd., Series 2021-14A, Class B, 3 mo. USD SOFR + 1.612%, 6.938%, 4/20/2034(a)(c) | 979,032 |
1,575,000 | Allegro CLO XII Ltd., Series 2020-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.295%, 1/21/2032(a)(c) | 1,551,154 |
1,896,362 | AMMC CLO 16 Ltd., Series 2015-16A, Class BR2, 3 mo. USD SOFR + 1.712%, 7.023%, 4/14/2029(a)(c) | 1,896,386 |
4,275,000 | AMMC CLO 26 Ltd., Series 2023-26A, Class D, 3 mo. USD SOFR + 5.750%, 10.893%, 4/15/2036(a)(c) | 4,337,864 |
400,000 | ARES XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3 mo. USD SOFR + 1.762%, 7.070%, 10/15/2030(a)(c) | 394,260 |
745,000 | Atrium IX, Series 9A, Class BR2, 3 mo. USD SOFR + 1.762%, 7.150%, 5/28/2030(a)(c) | 737,612 |
982,443 | Atrium XIII, Series 13A, Class A1, 3 mo. USD SOFR + 1.442%, 6.787%, 11/21/2030(a)(c) | 980,158 |
1,650,000 | Atrium XV, Series 15A, Class B, 3 mo. USD SOFR + 2.012%, 7.357%, 1/23/2031(a)(c) | 1,647,612 |
3,000,000 | Atrium XV, Series 15A, Class D, 3 mo. USD SOFR + 3.262%, 8.607%, 1/23/2031(a)(c) | 2,936,103 |
1,165,000 | Bain Capital Credit CLO Ltd., Series 2019-1A, Class CR, 3 mo. USD SOFR + 2.412%, 7.732%, 4/19/2034(a)(c) | 1,144,423 |
845,000 | Bain Capital Credit CLO Ltd., Series 2020-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.272%, 4/18/2033(a)(c) | 837,937 |
1,750,000 | Bain Capital Credit CLO Ltd., Series 2021-7A, Class D, 3 mo. USD SOFR + 3.512%, 8.857%, 1/22/2035(a)(c) | 1,694,149 |
565,000 | Bain Capital Credit CLO Ltd., Series 2023-1A, Class B, 3 mo. USD SOFR + 2.250%, 6.993%, 4/16/2036(a)(c) | 552,916 |
2,250,000 | Bain Capital Credit CLO Ltd., Series 2023-1A, Class D, 3 mo. USD SOFR + 4.900%, 9.643%, 4/16/2036(a)(c) | 2,261,785 |
Principal Amount (‡) | Description | Value (†) |
$4,165,000 | Balboa Bay Loan Funding Ltd., Series 2021-1A, Class A, 3 mo. USD SOFR + 1.462%, 6.788%, 7/20/2034(a)(c) | $4,142,092 |
3,420,000 | Balboa Bay Loan Funding Ltd., Series 2023-1A, Class B, 3 mo. USD SOFR + 2.550%, 7.429%, 4/20/2035(a)(c) | 3,426,416 |
1,400,000 | Ballyrock CLO Ltd., Series 2019-1A, Class A2R, 3 mo. USD SOFR + 1.812%, 7.120%, 7/15/2032(a)(c) | 1,386,192 |
1,065,000 | Battalion CLO VIII, Series 2015-8A, Class BR2, 3 mo. USD SOFR + 2.262%, 7.572%, 7/18/2030(a)(c) | 1,056,003 |
5,000,000 | Battalion CLO X Ltd., Series 2016-10A, Class A1R2, 3 mo. USD SOFR + 1.432%, 6.777%, 1/25/2035(a)(c) | 4,939,940 |
400,000 | Battalion CLO XIX Ltd., Series 2021-19A, Class D, 3 mo. USD SOFR + 3.512%, 8.820%, 4/15/2034(a)(c) | 372,448 |
1,675,000 | Betony CLO 2 Ltd., Series 2018-1A, Class A2, 3 mo. USD SOFR + 1.862%, 7.231%, 4/30/2031(a)(c) | 1,660,201 |
1,865,000 | BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, 3 mo. USD SOFR + 2.012%, 7.363%, 7/25/2034(a)(c) | 1,837,786 |
2,400,000 | Buttermilk Park CLO Ltd., Series 2018-1A, Class C, 3 mo. USD SOFR + 2.362%, 7.670%, 10/15/2031(a)(c) | 2,343,024 |
1,875,320 | Carbone CLO Ltd., Series 2017-1A, Class A1, 3 mo. USD SOFR + 1.402%, 6.728%, 1/20/2031(a)(c) | 1,873,253 |
545,000 | Carlyle Global Market Strategies CLO Ltd., Series 2015-5A, Class A2RR, 3 mo. USD SOFR + 1.912%, 7.238%, 1/20/2032(a)(c) | 537,569 |
3,975,000 | CarVal CLO II Ltd., Series 2019-1A, Class DR, 3 mo. USD SOFR + 3.462%, 8.788%, 4/20/2032(a)(c) | 3,860,150 |
3,515,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3 mo. USD SOFR + 3.212%, 8.538%, 7/20/2032(a)(c) | 3,460,888 |
525,000 | Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, 3 mo. USD SOFR + 1.912%, 7.220%, 7/17/2034(a)(c) | 515,469 |
1,255,000 | CIFC Funding Ltd., Series 2017-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.295%, 4/23/2029(a)(c) | 1,251,116 |
540,000 | CIFC Funding Ltd., Series 2019-3A, Class CR, 3 mo. USD SOFR + 3.312%, 8.620%, 10/16/2034(a)(c) | 537,814 |
2,500,000 | CIFC Funding Ltd., Series 2019-5A, Class CR, 3 mo. USD SOFR + 3.412%, 8.720%, 1/15/2035(a)(c) | 2,473,292 |
2,935,000 | CIFC Funding Ltd., Series 2020-1A, Class BR, 3 mo. USD SOFR + 1.912%, 7.220%, 7/15/2036(a)(c) | 2,888,342 |
4,500,000 | CIFC Funding Ltd., Series 2020-3A, Class DR, 3 mo. USD SOFR + 3.362%, 8.688%, 10/20/2034(a)(c) | 4,403,871 |
7,190,000 | CIFC Funding Ltd., Series 2021-7A, Class D, 3 mo. USD SOFR + 3.262%, 8.607%, 1/23/2035(a)(c) | 6,904,960 |
4,210,000 | Clover CLO LLC, Series 2018-1A, Class A1R, 3 mo. USD SOFR + 1.382%, 6.708%, 4/20/2032(a)(c) | 4,199,795 |
Loomis Sayles Core Plus Bond Fund (continued)
Principal Amount (‡) | Description | Value (†) |
$725,000 | Clover CLO Ltd., Series 2019-1A, Class BR, 3 mo. USD SOFR + 1.850%, 7.160%, 4/18/2035(a)(c) | $710,065 |
7,655,000 | Crown City CLO III, Series 2021-1A, Class A1A, 3 mo. USD SOFR + 1.432%, 6.758%, 7/20/2034(a)(c) | 7,567,871 |
633,374 | Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR, 3 mo. USD SOFR + 1.082%, 6.446%, 11/15/2028(a)(c) | 631,450 |
5,450,000 | Dryden 78 CLO Ltd., Series 2020-78A, Class A, 3 mo. USD SOFR + 1.442%, 6.750%, 4/17/2033(a)(c) | 5,379,297 |
4,520,000 | Elmwood CLO III Ltd., Series 2019-3A, Class AR, 3 mo. USD SOFR + 1.422%, 6.748%, 10/20/2034(a)(c) | 4,500,713 |
2,700,000 | Elmwood CLO IV Ltd., Series 2020-1A, Class A, 3 mo. USD SOFR + 1.502%, 6.810%, 4/15/2033(a)(c) | 2,691,949 |
1,750,000 | Fortress Credit BSL XII Ltd., Series 2021-4A, Class D, 3 mo. USD SOFR + 3.912%, 9.220%, 10/15/2034(a)(c) | 1,733,478 |
500,000 | Generate CLO 9 Ltd., Series 9A, Class A, 3 mo. USD SOFR + 1.462%, 6.788%, 10/20/2034(a)(c) | 496,347 |
1,875,000 | GoldenTree Loan Management U.S. CLO 2 Ltd., Series 2017-2A, Class BR, 3 mo. USD SOFR + 1.662%, 6.988%, 11/20/2030(a)(c) | 1,859,539 |
1,518,000 | Greywolf CLO VI Ltd., Series 2018-1A, Class A2, 3 mo. USD SOFR + 1.890%, 7.241%, 4/26/2031(a)(c) | 1,509,504 |
2,575,000 | Hayfin U.S. XII Ltd., Series 2018-9A, Class BR, 3 mo. USD SOFR + 2.062%, 7.427%, 4/28/2031(a)(c) | 2,560,322 |
5,000,000 | Invesco U.S. CLO Ltd., Series 2023-2A, Class D, 3 mo. USD SOFR + 4.950%, 9.806%, 4/21/2036(a)(c) | 5,033,375 |
2,000,000 | LCM XX LP, Series 20A, Class BR, 3 mo. USD SOFR + 1.812%, 7.138%, 10/20/2027(a)(c) | 1,999,662 |
1,190,000 | Long Point Park CLO Ltd., Series 2017-1A, Class A2, 3 mo. USD SOFR + 1.637%, 6.945%, 1/17/2030(a)(c) | 1,172,401 |
3,155,000 | Madison Park Funding LIX Ltd., Series 2021-59A, Class A, 3 mo. USD SOFR + 1.402%, 6.712%, 1/18/2034(a)(c) | 3,136,367 |
680,000 | Madison Park Funding XXII Ltd., Series 2016-22A, Class BR, 3 mo. USD SOFR + 1.862%, 7.170%, 1/15/2033(a)(c) | 670,528 |
475,000 | Madison Park Funding XXXV Ltd., Series 2019-35A, Class CR, 3 mo. USD SOFR + 2.162%, 7.488%, 4/20/2032(a)(c) | 467,574 |
835,000 | Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class B, 3 mo. USD SOFR + 1.912%, 7.220%, 7/17/2034(a)(c) | 824,074 |
1,410,903 | Magnetite XVIII Ltd., Series 2016-18A, Class AR2, 3 mo. USD SOFR + 1.142%, 6.506%, 11/15/2028(a)(c) | 1,407,197 |
1,250,000 | Magnetite XXI Ltd., Series 2019-21A, Class BR, 3 mo. USD SOFR + 1.612%, 6.938%, 4/20/2034(a)(c) | 1,224,033 |
465,000 | MP CLO VIII Ltd., Series 2015-2A, Class ARR, 3 mo. USD LIBOR + 1.200%, 6.827%, 4/28/2034(a)(c) | 456,307 |
Principal Amount (‡) | Description | Value (†) |
$1,345,000 | Neuberger Berman CLO XIV, Series 2013-14A, Class BR2, 3 mo. USD SOFR + 1.762%, 7.127%, 1/28/2030(a)(c) | $1,332,961 |
650,000 | Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class CR2, 3 mo. USD SOFR + 2.162%, 7.527%, 1/28/2030(a)(c) | 642,511 |
3,410,000 | Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class B, 3 mo. USD SOFR + 1.662%, 6.970%, 4/16/2033(a)(c) | 3,359,399 |
2,745,000 | NYACK Park CLO Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.062%, 8.388%, 10/20/2034(a)(c) | 2,582,996 |
1,750,000 | Octagon Investment Partners 31 Ltd., Series 2017-1A, Class B1R, 3 mo. USD SOFR + 1.762%, 7.088%, 7/20/2030(a)(c) | 1,735,960 |
4,385,000 | Octagon Investment Partners 32 Ltd., Series 2017-1A, Class CR, 3 mo. USD SOFR + 2.312%, 7.620%, 7/15/2029(a)(c) | 4,294,915 |
4,000,000 | OHA Credit Funding 10 Ltd., Series 2021-10A, Class A, 3 mo. USD SOFR + 1.392%, 6.702%, 1/18/2036(a)(c) | 3,980,664 |
1,000,000 | OHA Credit Funding 16 Ltd., Series 2023-16A, Class B, 3 mo. USD SOFR + 2.250%, 6.745%, 10/20/2036(a)(c) | 1,000,000 |
8,880,000 | OHA Credit Funding 8 Ltd., Series 2021-8A, Class B1, 3 mo. USD SOFR + 1.762%, 7.072%, 1/18/2034(a)(c) | 8,795,010 |
1,280,000 | OHA Credit Partners XI Ltd., Series 2015-11A, Class BR, 3 mo. USD SOFR + 1.912%, 7.238%, 1/20/2032(a)(c) | 1,273,902 |
470,000 | OZLM Funding IV Ltd., Series 2013-4A, Class A2R, 3 mo. USD SOFR + 1.962%, 7.307%, 10/22/2030(a)(c) | 462,997 |
260,000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3 mo. USD SOFR + 2.212%, 7.538%, 7/20/2030(a)(c) | 257,264 |
250,000 | Palmer Square CLO Ltd., Series 2019-1A, Class A2R, 3 mo. USD SOFR + 1.962%, 7.331%, 11/14/2034(a)(c) | 246,586 |
2,120,000 | Palmer Square Loan Funding Ltd., Series 2020-4A, Class C, 3 mo. USD SOFR + 3.862%, 9.253%, 11/25/2028(a)(c) | 2,118,453 |
1,250,000 | Palmer Square Loan Funding Ltd., Series 2021-1A, Class B, 3 mo. USD SOFR + 2.062%, 7.388%, 4/20/2029(a)(c) | 1,237,027 |
750,000 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A2, 3 mo. USD SOFR + 1.662%, 6.988%, 7/20/2029(a)(c) | 747,846 |
1,500,000 | Palmer Square Loan Funding Ltd., Series 2021-4A, Class A2, 3 mo. USD SOFR + 1.662%, 6.970%, 10/15/2029(a)(c) | 1,491,268 |
1,000,000 | Palmer Square Loan Funding Ltd., Series 2022-2A, Class A2, 3 mo. USD SOFR + 1.900%, 7.208%, 10/15/2030(a)(c) | 996,533 |
1,450,000 | Post CLO Ltd., Series 2021-1A, Class A, 3 mo. USD SOFR + 1.462%, 6.770%, 10/15/2034(a)(c) | 1,439,965 |
5,670,000 | Post CLO Ltd., Series 2021-1A, Class B, 3 mo. USD SOFR + 2.012%, 7.320%, 10/15/2034(a)(c) | 5,610,618 |
1,245,000 | Post CLO Ltd., Series 2022-1A, Class B, 3 mo. USD SOFR + 1.900%, 7.226%, 4/20/2035(a)(c) | 1,215,235 |
3,730,000 | PPM CLO 5 Ltd., Series 2021-5A, Class B, 3 mo. USD SOFR + 1.962%, 7.272%, 10/18/2034(a)(c) | 3,646,821 |
Loomis Sayles Core Plus Bond Fund (continued)
Principal Amount (‡) | Description | Value (†) |
$1,460,000 | Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo. USD SOFR + 1.662%, 6.988%, 4/20/2034(a)(c) | $1,433,136 |
750,000 | Regatta IX Funding Ltd., Series 2017-1A, Class B, 3 mo. USD SOFR + 2.062%, 7.370%, 4/17/2030(a)(c) | 749,575 |
3,250,000 | Riserva CLO Ltd., Series 2016-3A, Class DRR, 3 mo. USD SOFR + 3.512%, 8.822%, 1/18/2034(a)(c) | 3,125,736 |
1,495,000 | Rockford Tower CLO Ltd., Series 2017-1A, Class BR2A, 3 mo. USD SOFR + 1.912%, 7.238%, 4/20/2034(a)(c) | 1,458,223 |
2,750,000 | RR 26 Ltd., Series 2023-26A, Class A1, 3 mo. USD SOFR + 1.780%, 6.512%, 4/15/2038(a)(c) | 2,751,752 |
3,000,000 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD SOFR + 1.422%, 6.730%, 4/17/2034(a)(c) | 2,974,992 |
1,000,000 | Signal Peak CLO Ltd., Series 2022-12A, Class B1, 3 mo. USD SOFR + 2.600%, 7.910%, 7/18/2034(a)(c) | 1,000,400 |
1,000,000 | Silver Creek CLO Ltd., Series 2014-1A, Class DR, 3 mo. USD SOFR + 3.612%, 8.938%, 7/20/2030(a)(c) | 1,002,516 |
2,085,000 | THL Credit Wind River CLO Ltd., Series 2017-4A, Class B, 3 mo. USD SOFR + 1.712%, 7.091%, 11/20/2030(a)(c) | 2,052,682 |
3,500,000 | TICP CLO V Ltd., Series 2016-5A, Class CR, 3 mo. USD SOFR + 2.462%, 7.770%, 7/17/2031(a)(c) | 3,480,071 |
1,880,000 | TICP CLO XII Ltd., Series 2018-12A, Class BR, 3 mo. USD SOFR + 1.912%, 7.220%, 7/15/2034(a)(c) | 1,845,258 |
5,000,000 | Trestles CLO IV Ltd., Series 2021-4A, Class A, 3 mo. USD SOFR + 1.432%, 6.765%, 7/21/2034(a)(c) | 4,952,880 |
1,000,000 | Trinitas CLO XVI Ltd., Series 2021-16A, Class A1, 3 mo. USD SOFR + 1.442%, 6.768%, 7/20/2034(a)(c) | 987,151 |
500,000 | Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, 3 mo. USD SOFR + 1.432%, 6.758%, 1/20/2035(a)(c) | 493,591 |
2,280,000 | Wellington Management CLO 1 Ltd., Series 2023-1A, Class C, 3 mo. USD SOFR + 3.100%, 9.400%, 10/20/2036(a)(c) | 2,280,401 |
250,000 | Wind River CLO Ltd., Series 2021-3A, Class A, 3 mo. USD SOFR + 1.412%, 6.738%, 7/20/2033(a)(c) | 247,703 |
Total Collateralized Loan Obligations (Identified Cost $203,861,428) | 204,715,556 | |
Short-Term Investments — 8.8% | ||
80,539,294 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $80,556,073 on 10/02/2023 collateralized by $58,545,500 U.S. Treasury Note, 0.750% due 8/31/2026 valued at $52,131,330; $33,072,800 U.S. Treasury Note, 1.375% due 8/31/2026 valued at $30,018,791; including accrued interest (Note 2 of Notes to Financial Statements) | 80,539,294 |
13,005,000 | Federal Home Loan Bank Discount Notes, 5.150%-5.220%, 10/05/2023(h)(i) | 12,999,446 |
Principal Amount (‡) | Description | Value (†) |
$28,525,000 | Federal Home Loan Bank Discount Notes, 5.220%-5.270%, 10/02/2023(h)(i)(j) | $28,525,000 |
73,300,000 | Federal Home Loan Bank Discount Notes, 5.250%, 10/10/2023(i) | 73,216,545 |
52,405,000 | Federal Home Loan Bank Discount Notes, 5.250%, 10/11/2023(i) | 52,336,178 |
71,255,000 | Federal Home Loan Bank Discount Notes, 5.250%, 10/16/2023(i) | 71,113,089 |
100,000,000 | Federal National Mortgage Association Discount Notes, 5.225%, 10/02/2023(i) | 100,000,000 |
40,890,000 | U.S. Treasury Bills, 5.251%–5.262%, 2/01/2024(h)(i)(k) | 40,155,224 |
126,320,000 | U.S. Treasury Bills, 5.266%–5.268%, 11/02/2023(h)(i) | 125,744,577 |
3,110,000 | U.S. Treasury Bills, 5.300%, 12/21/2023(i) | 3,073,278 |
Total Short-Term Investments (Identified Cost $587,663,098) | 587,702,631 | |
Total Investments — 103.7% (Identified Cost $7,787,658,751) | 6,958,078,304 | |
Other assets less liabilities — (3.7)% | (245,069,150 ) | |
Net Assets — 100.0% | $6,713,009,154 |
(†) | See Note 2 of Notes to Financial Statements. |
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, the value of Rule 144A holdings amounted to $1,401,270,934 or 20.9% of net assets. |
(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 September 30, 2023 is disclosed. |
(c) | Variable rate security. Rate as of September 30, 2023 is disclosed. |
(d) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(e) | The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(f) | When-issued/delayed delivery. |
(g) | Amount shown represents units. One unit represents a principal amount of 100. |
(h) | The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(i) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
Loomis Sayles Core Plus Bond Fund (continued)
(j) | 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. |
(k) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
ABS | Asset-Backed Securities |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
MXN | Mexican Peso |
UYU | Uruguayan Peso |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 12/19/2023 | 2,936 | $323,502,359 | $317,271,500 | $(6,230,859 ) |
CBOT 2 Year U.S. Treasury Notes Futures | 12/29/2023 | 654 | 132,903,087 | 132,572,953 | (330,134 ) |
CBOT 5 Year U.S. Treasury Notes Futures | 12/29/2023 | 4,776 | 507,700,124 | 503,196,375 | (4,503,749 ) |
CME Ultra Long Term U.S. Treasury Bond Futures | 12/19/2023 | 435 | 55,372,707 | 51,629,063 | (3,743,644 ) |
Ultra 10-Year U.S. Treasury Notes Futures | 12/19/2023 | 2,976 | 342,303,832 | 332,010,000 | (10,293,832 ) |
Total | $(25,102,218 ) |
Treasuries | 33.3 % |
Mortgage Related | 24.3 |
Banking | 7.2 |
ABS Car Loan | 2.6 |
Finance Companies | 2.0 |
Non-Agency Commercial Mortgage-Backed Securities | 2.0 |
Other Investments, less than 2% each | 20.4 |
Collateralized Loan Obligations | 3.1 |
Short-Term Investments | 8.8 |
Total Investments | 103.7 |
Other assets less liabilities (including futures contracts) | (3.7 ) |
Net Assets | 100.0 % |
Loomis Sayles Credit Income Fund
Principal Amount | Description | Value (†) |
Bonds and Notes — 88.6% of Net Assets | ||
Non-Convertible Bonds — 83.3% | ||
Aerospace & Defense — 0.8% | ||
$20,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030 | $18,087 |
125,000 | Textron, Inc., 3.000%, 6/01/2030 | 105,183 |
20,000 | TransDigm, Inc., 6.250%, 3/15/2026(a) | 19,652 |
10,000 | TransDigm, Inc., 6.750%, 8/15/2028(a) | 9,845 |
152,767 | ||
Airlines — 0.6% | ||
66,193 | American Airlines Pass-Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030 | 56,628 |
9,698 | United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 9,329 |
55,000 | United Airlines Pass-Through Trust, Series 2023-1, Class A, 5.800%, 7/15/2037 | 53,481 |
119,438 | ||
Apartment REITs — 0.0% | ||
10,000 | American Homes 4 Rent LP, 2.375%, 7/15/2031 | 7,624 |
Automotive — 1.2% | ||
60,000 | Allison Transmission, Inc., 3.750%, 1/30/2031(a) | 48,504 |
70,000 | General Motors Co., 5.200%, 4/01/2045 | 54,426 |
40,000 | General Motors Co., 6.250%, 10/02/2043 | 35,838 |
5,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 3,869 |
5,000 | General Motors Financial Co., Inc., 5.850%, 4/06/2030 | 4,789 |
90,000 | General Motors Financial Co., Inc., 6.000%, 1/09/2028 | 88,898 |
5,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(b) | 4,273 |
240,597 | ||
Banking — 13.4% | ||
40,000 | Ally Financial, Inc., 2.200%, 11/02/2028 | 31,605 |
65,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(b) | 44,606 |
50,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(b) | 31,310 |
30,000 | Bank of America Corp., (fixed rate to 4/25/2033, variable rate thereafter), 5.288%, 4/25/2034 | 27,915 |
65,000 | Bank of America Corp., (fixed rate to 9/15/2033, variable rate thereafter), 5.872%, 9/15/2034 | 63,257 |
270,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 | 256,489 |
200,000 | Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034 | 189,458 |
200,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 154,422 |
215,000 | Citigroup, Inc., 4.450%, 9/29/2027 | 201,852 |
250,000 | Credit Agricole SA, (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033(a) | 221,672 |
150,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | 120,931 |
390,000 | Morgan Stanley, 3.625%, 1/20/2027 | 364,079 |
50,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 46,734 |
80,000 | Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter), 2.475%, 1/21/2028 | 71,329 |
200,000 | NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027 | 176,626 |
115,000 | Santander Holdings USA, Inc., 3.244%, 10/05/2026 | 104,175 |
200,000 | Societe Generale SA, (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035(a) | 157,363 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$200,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031(a) | $179,927 |
250,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(a) | 247,650 |
2,691,400 | ||
Brokerage — 0.9% | ||
15,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 14,744 |
180,000 | Jefferies Financial Group, Inc., 6.500%, 1/20/2043 | 173,334 |
188,078 | ||
Building Materials — 1.1% | ||
260,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 217,780 |
Cable Satellite — 5.4% | ||
125,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(a) | 99,539 |
120,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030(a) | 98,497 |
35,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032(a) | 28,000 |
25,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027(a) | 23,293 |
10,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026(a) | 9,659 |
5,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 3,644 |
20,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 15,597 |
90,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 51,052 |
5,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 4,253 |
150,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.800%, 3/01/2050 | 104,890 |
200,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 106,330 |
200,000 | CSC Holdings LLC, 5.000%, 11/15/2031(a) | 107,195 |
15,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(a) | 13,263 |
175,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 97,016 |
175,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 148,724 |
45,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 34,594 |
200,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 138,564 |
1,084,110 | ||
Chemicals — 0.9% | ||
15,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 14,703 |
10,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 9,635 |
15,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 14,601 |
70,000 | CF Industries, Inc., 4.500%, 12/01/2026(a) | 66,978 |
15,000 | FMC Corp., 3.450%, 10/01/2029 | 12,631 |
60,000 | Hercules LLC, 6.500%, 6/30/2029 | 54,975 |
173,523 | ||
Construction Machinery — 1.6% | ||
200,000 | Ashtead Capital, Inc., 5.950%, 10/15/2033(a) | 189,871 |
90,000 | Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024 | 88,851 |
20,000 | John Deere Capital Corp., MTN, 0.900%, 1/10/2024 | 19,743 |
35,000 | John Deere Capital Corp., MTN, 1.250%, 1/10/2025 | 33,166 |
331,631 | ||
Consumer Cyclical Services — 2.6% | ||
10,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 8,056 |
195,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 164,932 |
Loomis Sayles Credit Income Fund (continued)
Principal Amount | Description | Value (†) |
Consumer Cyclical Services — continued | ||
$50,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029(a) | $42,068 |
325,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 290,503 |
25,000 | Uber Technologies, Inc., 7.500%, 9/15/2027(a) | 25,208 |
530,767 | ||
Diversified Manufacturing — 0.4% | ||
5,000 | Ingersoll Rand, Inc., 5.700%, 8/14/2033 | 4,825 |
5,000 | Nordson Corp., 5.600%, 9/15/2028 | 4,952 |
10,000 | Nordson Corp., 5.800%, 9/15/2033 | 9,768 |
55,000 | Veralto Corp., 5.450%, 9/18/2033(a) | 53,214 |
72,759 | ||
Electric — 0.8% | ||
15,000 | AES Corp., 2.450%, 1/15/2031 | 11,536 |
5,000 | AES Corp., 3.950%, 7/15/2030(a) | 4,310 |
60,000 | Calpine Corp., 3.750%, 3/01/2031(a) | 48,337 |
20,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 | 17,541 |
35,000 | NRG Energy, Inc., 4.450%, 6/15/2029(a) | 30,353 |
15,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 14,436 |
25,000 | Southern Co., 5.700%, 3/15/2034 | 24,484 |
20,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027(a) | 18,243 |
169,240 | ||
Finance Companies — 7.2% | ||
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028 | 136,034 |
20,000 | Air Lease Corp., 3.125%, 12/01/2030 | 16,285 |
60,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 49,350 |
40,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(b) | 35,225 |
125,000 | Aircastle Ltd., 4.125%, 5/01/2024 | 123,211 |
40,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 39,227 |
15,000 | Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(a)(b) | 11,795 |
40,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 33,456 |
60,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 45,909 |
35,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026(a) | 31,466 |
35,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028(a) | 34,187 |
30,000 | Aviation Capital Group LLC, 6.375%, 7/15/2030(a) | 29,051 |
30,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 26,322 |
115,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 97,501 |
50,000 | Blue Owl Capital Corp., 2.625%, 1/15/2027 | 42,943 |
70,000 | Blue Owl Capital Corp., 2.875%, 6/11/2028 | 57,559 |
60,000 | Blue Owl Technology Finance Corp., 2.500%, 1/15/2027 | 50,375 |
55,000 | GATX Corp., 5.450%, 9/15/2033 | 51,615 |
5,000 | GATX Corp., 6.050%, 3/15/2034 | 4,883 |
65,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 | 56,832 |
35,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031(a) | 28,953 |
60,000 | Navient Corp., 5.000%, 3/15/2027 | 53,932 |
10,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 8,611 |
5,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 4,281 |
10,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 8,375 |
10,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 9,794 |
140,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | 123,297 |
75,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | 62,005 |
Principal Amount | Description | Value (†) |
Finance Companies — continued | ||
$160,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | $127,579 |
60,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 45,311 |
1,445,364 | ||
Financial Other — 0.6% | ||
30,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 23,990 |
120,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 105,477 |
129,467 | ||
Food & Beverage — 1.5% | ||
30,000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029(a) | 27,075 |
20,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029 | 16,784 |
10,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 7,733 |
10,000 | Pilgrim's Pride Corp., 4.250%, 4/15/2031 | 8,342 |
50,000 | Pilgrim's Pride Corp., 5.875%, 9/30/2027(a) | 50,727 |
60,000 | Post Holdings, Inc., 4.625%, 4/15/2030(a) | 51,377 |
190,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030(a) | 145,238 |
307,276 | ||
Gaming — 1.1% | ||
20,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 15,522 |
75,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(a) | 73,718 |
5,000 | Light & Wonder International, Inc., 7.250%, 11/15/2029(a) | 4,900 |
10,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(a) | 9,884 |
85,000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029(a) | 73,450 |
20,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026(a) | 18,635 |
5,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026(a) | 4,697 |
5,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025(a) | 4,828 |
10,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024(a) | 9,937 |
215,571 | ||
Health Insurance — 0.7% | ||
90,000 | Centene Corp., 2.500%, 3/01/2031 | 69,140 |
35,000 | Centene Corp., 2.625%, 8/01/2031 | 26,807 |
20,000 | Centene Corp., 3.000%, 10/15/2030 | 16,132 |
5,000 | Centene Corp., 3.375%, 2/15/2030 | 4,170 |
5,000 | Centene Corp., 4.625%, 12/15/2029 | 4,503 |
5,000 | Molina Healthcare, Inc., 3.875%, 11/15/2030(a) | 4,138 |
25,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(a) | 20,050 |
144,940 | ||
Healthcare — 1.6% | ||
20,000 | Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028(a) | 20,059 |
75,000 | Cigna Group, 4.375%, 10/15/2028 | 70,966 |
10,000 | CVS Health Corp., 5.250%, 1/30/2031 | 9,608 |
83,188 | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036(a) | 71,148 |
Loomis Sayles Credit Income Fund (continued)
Principal Amount | Description | Value (†) |
Healthcare — continued | ||
$5,000 | Encompass Health Corp., 4.750%, 2/01/2030 | $4,424 |
165,000 | HCA, Inc., 4.125%, 6/15/2029 | 149,371 |
325,576 | ||
Home Construction — 0.5% | ||
75,000 | MDC Holdings, Inc., 3.966%, 8/06/2061 | 41,280 |
60,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 57,697 |
98,977 | ||
Independent Energy — 3.6% | ||
150,000 | Aker BP ASA, 4.000%, 1/15/2031(a) | 128,854 |
147,000 | Continental Resources, Inc., 2.875%, 4/01/2032(a) | 110,081 |
113,000 | Continental Resources, Inc., 5.750%, 1/15/2031(a) | 106,158 |
20,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 16,660 |
25,000 | Energian Israel Finance Ltd., 5.375%, 3/30/2028(a) | 22,421 |
40,000 | Energian Israel Finance Ltd., 5.875%, 3/30/2031(a) | 34,690 |
10,000 | EQT Corp., 3.125%, 5/15/2026(a) | 9,252 |
30,000 | EQT Corp., 3.625%, 5/15/2031(a) | 25,378 |
45,000 | EQT Corp., 3.900%, 10/01/2027 | 41,624 |
10,000 | EQT Corp., 5.000%, 1/15/2029 | 9,400 |
10,000 | EQT Corp., 5.700%, 4/01/2028 | 9,801 |
60,000 | EQT Corp., 7.000%, 2/01/2030 | 61,724 |
10,000 | Matador Resources Co., 6.875%, 4/15/2028(a) | 9,818 |
30,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 29,605 |
5,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 5,622 |
45,000 | Ovintiv, Inc., 5.375%, 1/01/2026 | 44,368 |
50,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 49,244 |
5,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 4,291 |
718,991 | ||
Industrial Other — 0.3% | ||
55,000 | Jacobs Engineering Group, Inc., 6.350%, 8/18/2028 | 54,840 |
20,000 | TopBuild Corp., 4.125%, 2/15/2032(a) | 16,237 |
71,077 | ||
Leisure — 1.3% | ||
40,000 | Carnival Corp., 5.750%, 3/01/2027(a) | 36,209 |
30,000 | Carnival Corp., 6.000%, 5/01/2029(a) | 25,590 |
10,000 | Carnival Corp., 7.000%, 8/15/2029(a) | 9,860 |
50,000 | Carnival Corp., 9.875%, 8/01/2027(a) | 52,196 |
30,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 27,697 |
25,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(a) | 23,744 |
10,000 | NCL Finance Ltd., 6.125%, 3/15/2028(a) | 8,825 |
60,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 55,020 |
35,000 | VOC Escrow Ltd., 5.000%, 2/15/2028(a) | 31,833 |
270,974 | ||
Life Insurance — 1.1% | ||
50,000 | Athene Global Funding, 1.608%, 6/29/2026(a) | 43,686 |
55,000 | Athene Global Funding, 1.716%, 1/07/2025(a) | 51,629 |
95,000 | Athene Global Funding, 2.550%, 11/19/2030(a) | 72,854 |
30,000 | Athene Holding Ltd., 3.500%, 1/15/2031 | 24,440 |
30,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 28,285 |
220,894 | ||
Lodging — 1.5% | ||
60,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032(a) | 48,372 |
40,000 | Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031(a) | 33,572 |
10,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(a) | 8,152 |
Principal Amount | Description | Value (†) |
Lodging — continued | ||
$25,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(a) | $21,686 |
40,000 | Marriott International, Inc., 5.550%, 10/15/2028 | 39,553 |
25,000 | Marriott International, Inc., Series FF, 4.625%, 6/15/2030 | 23,029 |
20,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 16,122 |
20,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a) | 16,758 |
45,000 | Travel & Leisure Co., 4.500%, 12/01/2029(a) | 37,744 |
70,000 | Travel & Leisure Co., 4.625%, 3/01/2030(a) | 58,906 |
303,894 | ||
Media Entertainment — 1.8% | ||
85,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(a) | 64,981 |
90,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(a) | 71,326 |
135,000 | Netflix, Inc., 4.875%, 6/15/2030(a) | 127,806 |
5,000 | Netflix, Inc., 5.375%, 11/15/2029(a) | 4,879 |
5,000 | Netflix, Inc., 5.875%, 11/15/2028 | 5,028 |
15,000 | Netflix, Inc., 6.375%, 5/15/2029 | 15,488 |
15,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029 | 13,364 |
60,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 50,929 |
353,801 | ||
Metals & Mining — 3.7% | ||
200,000 | Anglo American Capital PLC, 4.500%, 3/15/2028(a) | 188,465 |
50,000 | ArcelorMittal SA, 6.800%, 11/29/2032 | 49,657 |
20,000 | ArcelorMittal SA, 7.000%, 10/15/2039 | 20,035 |
25,000 | ATI, Inc., 5.875%, 12/01/2027 | 23,688 |
200,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(a) | 191,875 |
45,000 | FMG Resources August 2006 Pty. Ltd., 4.375%, 4/01/2031(a) | 37,026 |
10,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 8,836 |
10,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 9,010 |
15,000 | Glencore Funding LLC, 2.500%, 9/01/2030(a) | 11,861 |
135,000 | Glencore Funding LLC, 3.875%, 10/27/2027(a) | 124,906 |
45,000 | Glencore Funding LLC, 5.700%, 5/08/2033(a) | 42,670 |
35,000 | Novelis Corp., 4.750%, 1/30/2030(a) | 30,291 |
10,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026(a) | 5,708 |
744,028 | ||
Midstream — 3.1% | ||
15,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 11,922 |
75,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 64,120 |
5,000 | Cheniere Energy Partners LP, 4.500%, 10/01/2029 | 4,527 |
25,000 | Cheniere Energy Partners LP, 5.950%, 6/30/2033(a) | 24,112 |
55,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 44,375 |
10,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 9,527 |
65,000 | Enbridge, Inc., 5.700%, 3/08/2033 | 62,270 |
55,000 | Energy Transfer LP, 4.000%, 10/01/2027 | 51,070 |
35,000 | Energy Transfer LP, 5.750%, 2/15/2033 | 33,644 |
5,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(a) | 4,851 |
30,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 23,440 |
35,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | 32,846 |
15,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(a) | 12,649 |
15,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026(a) | 14,494 |
80,000 | NGPL PipeCo LLC, 4.875%, 8/15/2027(a) | 75,518 |
15,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 12,884 |
5,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 3,553 |
25,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 24,508 |
Loomis Sayles Credit Income Fund (continued)
Principal Amount | Description | Value (†) |
Midstream — continued | ||
$15,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | $12,595 |
5,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 4,478 |
45,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(a) | 34,939 |
20,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(a) | 16,412 |
10,000 | Western Midstream Operating LP, 4.050%, 2/01/2030 | 8,741 |
10,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 7,790 |
20,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 15,611 |
5,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 4,031 |
5,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 4,822 |
619,729 | ||
Natural Gas — 0.0% | ||
10,000 | Southern Co. Gas Capital Corp., 5.750%, 9/15/2033 | 9,803 |
Office REITs — 0.0% | ||
10,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 7,505 |
Other REITs — 0.1% | ||
15,000 | EPR Properties, 3.600%, 11/15/2031 | 11,119 |
Paper — 0.2% | ||
45,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 36,989 |
Pharmaceuticals — 1.7% | ||
85,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 48,338 |
25,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028(a) | 10,180 |
50,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 44,339 |
85,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 75,758 |
250,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 156,492 |
335,107 | ||
Property & Casualty Insurance — 1.3% | ||
175,000 | Fidelity National Financial, Inc., 2.450%, 3/15/2031 | 134,934 |
40,000 | HUB International Ltd., 7.250%, 6/15/2030(a) | 39,927 |
65,000 | SiriusPoint Ltd., 4.600%, 11/01/2026(a) | 56,123 |
55,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 40,417 |
271,401 | ||
Restaurants — 0.8% | ||
125,000 | 1011778 BC ULC/New Red Finance, Inc., 4.375%, 1/15/2028(a) | 112,669 |
45,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 39,034 |
151,703 | ||
Retail REITs — 0.8% | ||
115,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 100,396 |
75,000 | SITE Centers Corp., 3.625%, 2/01/2025 | 71,396 |
171,792 | ||
Retailers — 0.3% | ||
65,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(a) | 54,750 |
10,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 7,326 |
62,076 | ||
Technology — 7.9% | ||
15,000 | Broadcom, Inc., 2.450%, 2/15/2031(a) | 11,724 |
15,000 | Broadcom, Inc., 2.600%, 2/15/2033(a) | 11,185 |
20,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 14,582 |
30,000 | Broadcom, Inc., 3.419%, 4/15/2033(a) | 23,996 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$25,000 | Broadcom, Inc., 3.469%, 4/15/2034(a) | $19,635 |
30,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 26,572 |
15,000 | Broadcom, Inc., 4.150%, 4/15/2032(a) | 13,017 |
55,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 47,984 |
10,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 9,019 |
10,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 8,527 |
35,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 30,197 |
110,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 90,600 |
20,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 18,230 |
10,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(a) | 5,675 |
105,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 77,232 |
65,000 | Entegris Escrow Corp., 4.750%, 4/15/2029(a) | 58,436 |
5,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(a) | 4,303 |
85,000 | Fiserv, Inc., 5.625%, 8/21/2033 | 82,360 |
35,000 | Flex Ltd., 6.000%, 1/15/2028 | 34,822 |
5,000 | Gartner, Inc., 3.625%, 6/15/2029(a) | 4,277 |
25,000 | Global Payments, Inc., 2.900%, 5/15/2030 | 20,496 |
25,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 19,612 |
15,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 14,305 |
30,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 28,121 |
60,000 | Iron Mountain, Inc., 5.250%, 7/15/2030(a) | 52,419 |
35,000 | Jabil, Inc., 1.700%, 4/15/2026 | 31,441 |
15,000 | Leidos, Inc., 2.300%, 2/15/2031 | 11,535 |
45,000 | Leidos, Inc., 5.750%, 3/15/2033 | 43,126 |
30,000 | Marvell Technology, Inc., 2.450%, 4/15/2028 | 25,914 |
25,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 20,226 |
265,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 241,157 |
65,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 61,910 |
25,000 | MSCI, Inc., 3.250%, 8/15/2033(a) | 19,241 |
15,000 | Open Text Corp., 6.900%, 12/01/2027(a) | 15,034 |
60,000 | Oracle Corp., 3.950%, 3/25/2051 | 41,133 |
30,000 | Oracle Corp., 6.150%, 11/09/2029 | 30,455 |
55,000 | S&P Global, Inc., 4.250%, 5/01/2029 | 51,921 |
20,000 | S&P Global, Inc., 5.250%, 9/15/2033(a) | 19,495 |
60,000 | TD SYNNEX Corp., 1.750%, 8/09/2026 | 52,726 |
50,000 | Trimble, Inc., 6.100%, 3/15/2033 | 48,986 |
35,000 | Verisk Analytics, Inc., 4.125%, 3/15/2029 | 32,580 |
20,000 | Verisk Analytics, Inc., 5.750%, 4/01/2033 | 19,888 |
50,000 | VMware, Inc., 2.200%, 8/15/2031 | 37,732 |
30,000 | Western Digital Corp., 2.850%, 2/01/2029 | 24,085 |
30,000 | Western Digital Corp., 4.750%, 2/15/2026 | 28,585 |
1,584,496 | ||
Transportation Services — 0.5% | ||
45,000 | ERAC USA Finance LLC, 4.900%, 5/01/2033(a) | 42,370 |
60,000 | Rand Parent LLC, 8.500%, 2/15/2030(a) | 55,491 |
97,861 | ||
Treasuries — 7.1% | ||
135,000 | U.S. Treasury Bonds, 1.125%, 8/15/2040 | 76,739 |
255,000 | U.S. Treasury Bonds, 1.875%, 2/15/2051 | 142,919 |
155,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052 | 95,119 |
415,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 330,703 |
785,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 778,285 |
1,423,765 | ||
Wireless — 3.3% | ||
40,000 | American Tower Corp., 5.500%, 3/15/2028 | 39,243 |
60,000 | American Tower Corp., 5.900%, 11/15/2033 | 58,579 |
20,000 | Crown Castle, Inc., 5.100%, 5/01/2033 | 18,491 |
70,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 58,385 |
55,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 63,627 |
130,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 114,340 |
Loomis Sayles Credit Income Fund (continued)
Principal Amount | Description | Value (†) |
Wireless — continued | ||
$65,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | $54,962 |
265,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 234,782 |
25,000 | T-Mobile USA, Inc., 5.750%, 1/15/2034 | 24,388 |
666,797 | ||
Total Non-Convertible Bonds (Identified Cost $19,511,827) | 16,780,687 | |
Convertible Bonds — 5.3% | ||
Airlines — 0.4% | ||
10,000 | JetBlue Airways Corp., 0.500%, 4/01/2026 | 7,731 |
85,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 84,362 |
92,093 | ||
Cable Satellite — 1.2% | ||
350,000 | DISH Network Corp., 3.375%, 8/15/2026 | 210,350 |
45,000 | DISH Network Corp., Zero Coupon, 0.000%–29.314%, 12/15/2025(c) | 30,316 |
240,666 | ||
Consumer Cyclical Services — 0.3% | ||
65,000 | Uber Technologies, Inc., Zero Coupon, 0.000%–5.152%, 12/15/2025(c) | 60,698 |
Consumer Products — 0.1% | ||
20,000 | Beauty Health Co., 1.250%, 10/01/2026(a) | 15,550 |
Electric — 0.2% | ||
55,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028(a) | 50,050 |
Gaming — 0.1% | ||
10,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 12,137 |
Healthcare — 0.8% | ||
50,000 | Envista Holdings Corp., 1.750%, 8/15/2028(a) | 46,050 |
140,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 111,566 |
157,616 | ||
Independent Energy — 0.1% | ||
20,000 | Northern Oil & Gas, Inc., 3.625%, 4/15/2029(a) | 24,706 |
Leisure — 0.2% | ||
40,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 33,177 |
Media Entertainment — 0.2% | ||
25,000 | Snap, Inc., Zero Coupon, 6.709%–6.954%, 5/01/2027(c) | 18,525 |
25,000 | Spotify USA, Inc., Zero Coupon, 5.189%–5.777%, 3/15/2026(c) | 21,263 |
39,788 | ||
Pharmaceuticals — 1.2% | ||
195,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 193,167 |
15,000 | Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(d) | 10,312 |
40,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 36,532 |
240,011 | ||
Retailers — 0.0% | ||
5,000 | Etsy, Inc., 0.250%, 6/15/2028 | 3,778 |
Technology — 0.5% | ||
60,000 | Splunk, Inc., 1.125%, 6/15/2027 | 56,610 |
40,000 | Unity Software, Inc., Zero Coupon, 7.084%–8.213%, 11/15/2026(c) | 31,660 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$5,000 | Wolfspeed, Inc., 0.250%, 2/15/2028 | $3,370 |
15,000 | Wolfspeed, Inc., 1.875%, 12/01/2029(a) | 9,757 |
101,397 | ||
Total Convertible Bonds (Identified Cost $1,352,444) | 1,071,667 | |
Total Bonds and Notes (Identified Cost $20,864,271) | 17,852,354 | |
Collateralized Loan Obligations — 3.6% | ||
250,000 | AIMCO CLO 14 Ltd., Series 2021-14A, Class D, 3 mo. USD SOFR + 3.162%, 8.488%, 4/20/2034(a)(e) | 240,186 |
250,000 | Fillmore Park CLO Ltd., Series 2018-1A, Class D, 3 mo. USD SOFR + 3.162%, 8.470%, 7/15/2030(a)(e) | 241,618 |
250,000 | Recette CLO Ltd., Series 2015-1A, Class DRR, 3 mo. USD SOFR + 3.512%, 8.838%, 4/20/2034(a)(e) | 237,088 |
Total Collateralized Loan Obligations (Identified Cost $750,000) | 718,892 |
Shares | ||
Preferred Stocks — 0.9% | ||
Convertible Preferred Stocks — 0.9% | ||
Banking — 0.8% | ||
76 | Bank of America Corp., Series L, 7.250% | 84,528 |
71 | Wells Fargo & Co., Series L, Class A, 7.500% | 79,165 |
163,693 | ||
Technology — 0.1% | ||
638 | Clarivate PLC, Series A, 5.250% | 18,649 |
Total Convertible Preferred Stocks (Identified Cost $245,301) | 182,342 | |
Total Preferred Stocks (Identified Cost $245,301) | 182,342 |
Principal Amount | ||
Short-Term Investments — 5.8% | ||
$226,141 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $226,188 on 10/02/2023 collateralized by $259,100 U.S. Treasury Note, 0.750% due 8/31/2026 valued at $230,713 including accrued interest (Note 2 of Notes to Financial Statements) | 226,141 |
325,000 | U.S. Treasury Bills, 5.115%, 12/14/2023(f) | 321,507 |
100,000 | U.S. Treasury Bills, 5.201%, 10/24/2023(f)(g) | 99,678 |
325,000 | U.S. Treasury Bills, 5.231%, 12/28/2023(f)(h) | 320,822 |
210,000 | U.S. Treasury Bills, 5.258%, 1/04/2024(f) | 207,091 |
Total Short-Term Investments (Identified Cost $1,175,322) | 1,175,239 | |
Total Investments — 98.9% (Identified Cost $23,034,894) | 19,928,827 | |
Other assets less liabilities — 1.1% | 217,729 | |
Net Assets — 100.0% | $20,146,556 |
(†) | See Note 2 of Notes to Financial Statements. |
Loomis Sayles Credit Income Fund (continued)
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, the value of Rule 144A holdings amounted to $7,510,399 or 37.3% of net assets. |
(b) | Perpetual bond with no specified maturity date. |
(c) | 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. |
(d) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(e) | Variable rate security. Rate as of September 30, 2023 is disclosed. |
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(g) | 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. |
(h) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 12/19/2023 | 5 | $550,924 | $540,313 | $(10,611 ) |
CBOT 2 Year U.S. Treasury Notes Futures | 12/29/2023 | 12 | 2,438,612 | 2,432,531 | (6,081 ) |
CBOT 5 Year U.S. Treasury Notes Futures | 12/29/2023 | 13 | 1,381,543 | 1,369,672 | (11,871 ) |
CBOT U.S. Long Bond Futures | 12/19/2023 | 29 | 3,479,980 | 3,299,656 | (180,324 ) |
Total | $(208,887 ) |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CME Ultra Long Term U.S. Treasury Bond Futures | 12/19/2023 | 5 | $629,545 | $593,438 | $36,107 |
Ultra 10 Year U.S. Treasury Notes Futures | 12/19/2023 | 13 | 1,489,578 | 1,450,312 | 39,266 |
Total | $75,373 |
Banking | 14.2 % |
Technology | 8.5 |
Finance Companies | 7.2 |
Treasuries | 7.1 |
Cable Satellite | 6.6 |
Metals & Mining | 3.7 |
Independent Energy | 3.7 |
Wireless | 3.3 |
Midstream | 3.1 |
Consumer Cyclical Services | 2.9 |
Pharmaceuticals | 2.9 |
Healthcare | 2.4 |
Media Entertainment | 2.0 |
Other Investments, less than 2% each | 21.9 |
Collateralized Loan Obligations | 3.6 |
Short-Term Investments | 5.8 |
Total Investments | 98.9 |
Other assets less liabilities (including futures contracts) | 1.1 |
Net Assets | 100.0 % |
Loomis Sayles Global Allocation Fund
Shares | Description | Value (†) |
Common Stocks — 67.4% of Net Assets | ||
France — 2.9% | ||
69,259 | LVMH Moet Hennessy Louis Vuitton SE | $52,278,801 |
240,467 | Vinci SA | 26,603,110 |
78,881,911 | ||
Japan — 1.7% | ||
1,804,561 | Nomura Research Institute Ltd. | 46,903,634 |
Netherlands — 2.5% | ||
112,949 | ASML Holding NV | 66,498,724 |
Sweden — 2.4% | ||
4,791,849 | Atlas Copco AB, Class A | 64,357,728 |
Taiwan — 1.6% | ||
2,670,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 43,537,642 |
United Kingdom — 1.6% | ||
882,292 | Halma PLC | 20,787,435 |
210,147 | London Stock Exchange Group PLC | 21,062,158 |
41,849,593 | ||
United States — 54.7% | ||
232,454 | Accenture PLC, Class A | 71,388,948 |
76,707 | Adobe, Inc.(a) | 39,112,899 |
512,877 | Airbnb, Inc., Class A(a) | 70,371,853 |
675,169 | Alphabet, Inc., Class A(a) | 88,352,615 |
687,467 | Amazon.com, Inc.(a) | 87,390,805 |
69,934 | BlackRock, Inc. | 45,211,632 |
99,596 | Costco Wholesale Corp. | 56,267,756 |
211,968 | Cummins, Inc. | 48,426,209 |
239,200 | Danaher Corp. | 59,345,520 |
196,810 | Diamondback Energy, Inc. | 30,481,933 |
101,913 | Goldman Sachs Group, Inc. | 32,975,989 |
197,159 | Home Depot, Inc. | 59,573,563 |
227,810 | IQVIA Holdings, Inc.(a) | 44,821,618 |
305,368 | JPMorgan Chase & Co. | 44,284,467 |
201,645 | Linde PLC | 75,082,516 |
196,612 | Mastercard, Inc., Class A | 77,840,657 |
35,968 | Mettler-Toledo International, Inc.(a) | 39,855,062 |
427,035 | NIKE, Inc., Class B | 40,833,087 |
110,914 | NVIDIA Corp. | 48,246,481 |
37,295 | O'Reilly Automotive, Inc.(a) | 33,895,934 |
112,313 | Parker-Hannifin Corp. | 43,748,160 |
117,835 | Roper Technologies, Inc. | 57,065,134 |
212,756 | S&P Global, Inc. | 77,743,170 |
259,441 | Salesforce, Inc.(a) | 52,609,446 |
82,720 | Schneider Electric SE | 13,631,600 |
171,488 | Texas Instruments, Inc. | 27,268,307 |
82,108 | Trane Technologies PLC | 16,660,534 |
142,579 | UnitedHealth Group, Inc. | 71,886,906 |
611,233 | Zions Bancorp NA | 21,325,919 |
1,475,698,720 | ||
Total Common Stocks (Identified Cost $1,599,072,185) | 1,817,727,952 |
Principal Amount (‡) | ||
Bonds and Notes — 30.7% | ||
Non-Convertible Bonds — 28.3% | ||
Australia — 1.3% | ||
$2,990,000 | AngloGold Ashanti Holdings PLC, 3.375%, 11/01/2028 | 2,514,722 |
Principal Amount (‡) | Description | Value (†) |
Australia — continued | ||
10,700,000 | Australia Government Bonds, Series 164, 0.500%, 9/21/2026, (AUD) | 6,195,584 |
670,000 | GAIF Bond Issuer Pty. Ltd., 3.400%, 9/30/2026(b) | 618,507 |
12,105,000 | Glencore Funding LLC, 6.500%, 10/06/2033(b) | 12,083,642 |
5,000,000 | Macquarie Group Ltd., (fixed rate to 1/14/2032, variable rate thereafter), 2.871%, 1/14/2033(b) | 3,778,989 |
4,000,000 | Macquarie Group Ltd., (fixed rate to 9/23/2026, variable rate thereafter), 1.629%, 9/23/2027(b) | 3,494,391 |
11,610,000 | New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD) | 5,772,881 |
95,000 | Sydney Airport Finance Co. Pty. Ltd., 3.375%, 4/30/2025(b) | 91,179 |
34,549,895 | ||
Belgium — 0.1% | ||
2,745,000 | Anheuser-Busch InBev SA, EMTN, 2.000%, 1/23/2035, (EUR) | 2,353,715 |
Brazil — 0.8% | ||
1,035,000 | Braskem Netherlands Finance BV, 4.500%, 1/10/2028 | 915,438 |
1,785,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030 | 1,454,825 |
2,685,000 | Brazil Government International Bonds, 4.500%, 5/30/2029 | 2,503,619 |
53,329 (c) | Brazil Notas do Tesouro Nacional, Series NTNF, 10.000%, 1/01/2031, (BRL) | 9,855,868 |
650,000 | Centrais Eletricas Brasileiras SA, 4.625%, 2/04/2030(b) | 562,381 |
835,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(b) | 828,283 |
575,000 | Raizen Fuels Finance SA, 5.300%, 1/20/2027(b) | 557,682 |
2,515,000 | Suzano Austria GmbH, 2.500%, 9/15/2028 | 2,089,665 |
550,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 452,087 |
1,185,000 | Suzano Austria GmbH, Series DM3N, 3.125%, 1/15/2032 | 910,088 |
20,129,936 | ||
Canada — 1.2% | ||
1,235,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030(b) | 1,026,252 |
327,912 | Air Canada Pass-Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029(b) | 292,898 |
665,880 | Air Canada Pass-Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031(b) | 579,149 |
505,000 | Antares Holdings LP, 3.750%, 7/15/2027(b) | 435,058 |
1,210,000 | Antares Holdings LP, 3.950%, 7/15/2026(b) | 1,088,915 |
305,000 | Antares Holdings LP, 7.950%, 8/11/2028(b) | 303,192 |
2,835,000 | Bell Telephone Co. of Canada or Bell Canada, MTN, 3.600%, 9/29/2027, (CAD) | 1,935,251 |
1,735,000 | Brookfield Finance I U.K. PLC/Brookfield Finance, Inc., 2.340%, 1/30/2032 | 1,302,273 |
1,015,000 | Brookfield Finance, Inc., 3.900%, 1/25/2028 | 934,869 |
2,715,000 | Brookfield Renewable Partners ULC, MTN, 4.250%, 1/15/2029, (CAD) | 1,863,930 |
800,000 | CPPIB Capital, Inc., 0.375%, 6/20/2024, (EUR)(b) | 824,410 |
4,695,000 | Enbridge Gas, Inc., MTN, 2.900%, 4/01/2030, (CAD) | 3,010,815 |
Loomis Sayles Global Allocation Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Canada — continued | ||
4,770,000 | Enbridge, Inc., MTN, 2.990%, 10/03/2029, (CAD) | 3,025,864 |
2,965,000 | Federation des Caisses Desjardins du Quebec, (fixed rate to 5/26/2025, variable rate thereafter), 2.856%, 5/26/2030, (CAD) | 2,065,185 |
143,485 | Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, (CAD)(b) | 104,660 |
4,670,000 | Ontario Power Generation, Inc., MTN, 2.977%, 9/13/2029, (CAD) | 3,038,655 |
705,000 | Open Text Corp., 6.900%, 12/01/2027(b) | 706,605 |
2,350,000 | Province of Quebec, 4.500%, 9/08/2033 | 2,254,797 |
2,960,000 | Rogers Communications, Inc., 3.300%, 12/10/2029, (CAD) | 1,881,303 |
1,675,000 | Toronto-Dominion Bank, MTN, 1.150%, 6/12/2025 | 1,550,676 |
2,735,000 | Toronto-Dominion Bank, Series FXD, 1.950%, 1/12/2027 | 2,436,046 |
1,580,000 | Videotron Ltd., 5.125%, 4/15/2027(b) | 1,495,075 |
32,155,878 | ||
Chile — 0.6% | ||
575,000 | Antofagasta PLC, 2.375%, 10/14/2030 | 447,111 |
975,000 | Antofagasta PLC, 5.625%, 5/13/2032 | 928,970 |
2,525,000 | Banco Santander Chile, 3.177%, 10/26/2031(b) | 2,098,477 |
950,000 | Celulosa Arauco y Constitucion SA, 4.500%, 8/01/2024 | 930,193 |
1,005,000 | Chile Government International Bonds, 2.550%, 1/27/2032 | 811,520 |
2,580,000 | Colbun SA, 3.150%, 3/06/2030 | 2,155,147 |
1,960,000 | Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029(b) | 1,660,562 |
595,000 | Empresa Nacional de Telecomunicaciones SA, 3.050%, 9/14/2032(b) | 453,688 |
1,980,000 | Empresa Nacional del Petroleo, 3.450%, 9/16/2031(b) | 1,583,862 |
525,000 | Enel Chile SA, 4.875%, 6/12/2028 | 499,371 |
2,690,000 | Engie Energia Chile SA, 3.400%, 1/28/2030 | 2,237,375 |
1,120,000 | Transelec SA, 4.250%, 1/14/2025(b) | 1,087,266 |
14,893,542 | ||
China — 0.0% | ||
625,000 | Tencent Holdings Ltd., 2.880%, 4/22/2031(b) | 506,360 |
Colombia — 0.5% | ||
1,395,000 | Colombia Government International Bonds, 3.125%, 4/15/2031 | 1,030,704 |
575,000 | Colombia Government International Bonds, 3.875%, 4/25/2027 | 522,900 |
1,280,000 | Colombia Government International Bonds, 7.500%, 2/02/2034 | 1,208,602 |
7,073,300,000 | Colombia TES, Series B, 6.250%, 11/26/2025, (COP) | 1,595,929 |
29,559,900,000 | Colombia TES, Series B, 7.500%, 8/26/2026, (COP) | 6,663,830 |
2,536,000 | Ecopetrol SA, 5.875%, 5/28/2045 | 1,671,122 |
1,300,000 | Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029(b) | 1,043,166 |
13,736,253 | ||
Czechia — 0.1% | ||
1,525,000 | CEZ AS, EMTN, 0.875%, 12/02/2026, (EUR) | 1,436,355 |
1,120,000 | CEZ AS, EMTN, 3.000%, 6/05/2028, (EUR) | 1,109,781 |
2,546,136 |
Principal Amount (‡) | Description | Value (†) |
Denmark — 0.1% | ||
2,055,000 | Orsted AS, EMTN, 2.125%, 5/17/2027, (GBP) | 2,232,389 |
Dominican Republic — 0.2% | ||
2,160,000 | Dominican Republic International Bonds, 4.500%, 1/30/2030(b) | 1,827,779 |
1,155,000 | Dominican Republic International Bonds, 4.875%, 9/23/2032(b) | 936,803 |
590,000 | Dominican Republic International Bonds, 5.950%, 1/25/2027(b) | 572,099 |
995,000 | Dominican Republic International Bonds, 6.000%, 7/19/2028(b) | 945,439 |
425,000 | Dominican Republic International Bonds, 8.625%, 4/20/2027(b) | 437,243 |
4,719,363 | ||
Eurozone — 0.1% | ||
4,275,000 | Ecuador Government International Bonds, 6.000%, 7/31/2030 | 2,172,304 |
France — 0.2% | ||
205,000 | BNP Paribas SA, 4.375%, 5/12/2026(b) | 196,225 |
890,000 | BNP Paribas SA, (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026(b) | 830,559 |
1,410,000 | Electricite de France SA, 4.875%, 9/21/2038(b) | 1,146,248 |
1,400,000 | Engie SA, 1.250%, 10/24/2041, (EUR) | 861,723 |
1,015,000 | Societe Generale SA, 4.750%, 11/24/2025(b) | 970,851 |
4,005,606 | ||
Germany — 0.3% | ||
1,635,000 | Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028 | 1,426,798 |
870,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 624,307 |
2,255,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 1,678,608 |
3,220,000 | Fraport AG Frankfurt Airport Services Worldwide, 1.875%, 3/31/2028, (EUR) | 3,052,745 |
1,450,000 | Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026(b) | 1,329,476 |
250,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(b) | 244,762 |
265,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030(b) | 259,859 |
8,616,555 | ||
Guatemala — 0.0% | ||
1,050,000 | CT Trust, 5.125%, 2/03/2032(b) | 825,027 |
India — 0.4% | ||
2,940,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031 | 2,423,677 |
2,790,000 | Export-Import Bank of India, 2.250%, 1/13/2031(b) | 2,164,201 |
1,250,000 | Power Finance Corp. Ltd., 3.950%, 4/23/2030(b) | 1,082,263 |
2,400,000 | Shriram Finance Ltd., 4.150%, 7/18/2025(b) | 2,265,243 |
2,420,000 | Shriram Finance Ltd., 4.400%, 3/13/2024 | 2,384,910 |
10,320,294 | ||
Indonesia — 0.2% | ||
50,092,000,000 | Indonesia Treasury Bonds, Series FR75, 7.500%, 5/15/2038, (IDR) | 3,395,884 |
43,840,000,000 | Indonesia Treasury Bonds, Series FR82, 7.000%, 9/15/2030, (IDR) | 2,868,847 |
6,264,731 |
Loomis Sayles Global Allocation Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Ireland — 0.3% | ||
$3,245,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | $2,579,489 |
1,250,000 | Bank of Ireland Group PLC, 4.500%, 11/25/2023(b) | 1,245,325 |
3,710,000 | Ireland Government Bonds, Zero Coupon, 0.029%, 10/18/2031, (EUR)(d) | 3,042,434 |
6,867,248 | ||
Israel — 1.1% | ||
2,750,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 2,438,623 |
4,570,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 4,073,106 |
17,791,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 11,136,554 |
2,700,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 2,477,339 |
510,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 461,040 |
4,415,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 4,472,677 |
3,170,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 3,279,530 |
28,338,869 | ||
Italy — 0.6% | ||
200,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026(b) | 190,960 |
485,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033(b) | 455,769 |
575,000 | Intesa Sanpaolo SpA, EMTN, 0.625%, 2/24/2026, (EUR) | 553,954 |
3,305,000 | Italy Buoni Poliennali Del Tesoro, Series 10Y, 2.000%, 2/01/2028, (EUR) | 3,211,362 |
6,965,000 | Italy Buoni Poliennali Del Tesoro, Series 11Y, 1.350%, 4/01/2030, (EUR) | 6,132,263 |
2,370,000 | Italy Buoni Poliennali Del Tesoro, Series 7Y, 2.500%, 11/15/2025, (EUR) | 2,435,634 |
830,000 | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034(b) | 781,886 |
1,460,000 | UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032(b) | 1,328,819 |
200,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(b) | 167,661 |
15,258,308 | ||
Japan — 0.8% | ||
1,047,100,600 (e) | Japan Government CPI-Linked Bonds, Series 23, 0.100%, 3/10/2028, (JPY) | 7,391,105 |
693,300,000 | Japan Government Ten Year Bonds, Series 371, 0.400%, 6/20/2033, (JPY) | 4,484,738 |
2,375,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028 | 2,112,709 |
2,020,000 | Mizuho Financial Group, Inc., 2.564%, 9/13/2031 | 1,528,784 |
2,000,000 | Nomura Holdings, Inc., 1.851%, 7/16/2025 | 1,850,385 |
2,385,000 | Nomura Holdings, Inc., 2.710%, 1/22/2029 | 1,994,893 |
1,200,000 | Sumitomo Mitsui Financial Group, Inc., 5.766%, 1/13/2033 | 1,172,778 |
1,780,000 | Toyota Motor Corp., 5.123%, 7/13/2033 | 1,736,606 |
22,271,998 | ||
Korea — 0.8% | ||
1,060,000 | Kia Corp., 2.750%, 2/14/2027(b) | 960,742 |
Principal Amount (‡) | Description | Value (†) |
Korea — continued | ||
$1,515,000 | Korea East-West Power Co. Ltd., 1.750%, 5/06/2025(b) | $1,421,221 |
2,400,000 | Korea National Oil Corp., 2.125%, 4/18/2027(b) | 2,138,417 |
4,500,000,000 | Korea Treasury Bonds, Series 2312, 0.875%, 12/10/2023, (KRW) | 3,321,459 |
4,500,000,000 | Korea Treasury Bonds, Series 2509, 1.125%, 9/10/2025, (KRW) | 3,166,252 |
13,130,550,000 | Korea Treasury Bonds, Series 3012, 1.500%, 12/10/2030, (KRW) | 8,221,601 |
770,000 | Shinhan Bank Co. Ltd., 3.875%, 3/24/2026(b) | 726,219 |
2,765,000 | SK Hynix, Inc., 2.375%, 1/19/2031(b) | 2,076,534 |
200,000 | SK Hynix, Inc., 6.375%, 1/17/2028(b) | 199,650 |
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027(b) | 144,972 |
22,377,067 | ||
Luxembourg — 0.1% | ||
920,000 | ArcelorMittal SA, 6.750%, 3/01/2041 | 876,826 |
1,905,000 | Blackstone Property Partners Europe Holdings Sarl, EMTN, 1.625%, 4/20/2030, (EUR) | 1,491,960 |
280,000 | Logicor Financing Sarl, EMTN, 0.875%, 1/14/2031, (EUR) | 202,549 |
1,490,000 | Logicor Financing Sarl, EMTN, 1.625%, 1/17/2030, (EUR) | 1,188,163 |
100,000 | Logicor Financing Sarl, EMTN, 2.000%, 1/17/2034, (EUR) | 70,109 |
3,829,607 | ||
Mexico — 1.7% | ||
620,000 | Alfa SAB de CV, 6.875%, 3/25/2044 | 560,158 |
770,000 | America Movil SAB de CV, 2.125%, 3/10/2028, (EUR) | 753,230 |
860,000 | America Movil SAB de CV, 2.875%, 5/07/2030 | 719,939 |
730,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/2025(b) | 717,484 |
1,950,000 | Cemex SAB de CV, 3.875%, 7/11/2031(b) | 1,633,350 |
855,000 | Cemex SAB de CV, 5.450%, 11/19/2029 | 809,954 |
810,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(b)(f) | 758,316 |
1,775,000 | Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030 | 1,508,697 |
10,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | 350,687 |
1,515,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031 | 1,235,699 |
840,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031(b) | 685,140 |
1,707,184 (g) | Mexico Bonos, Series M, 5.750%, 3/05/2026, (MXN) | 8,782,826 |
724,558 (g) | Mexico Bonos, Series M 20, 7.500%, 6/03/2027, (MXN) | 3,794,601 |
1,294,043 (g) | Mexico Bonos, Series M 20, 8.500%, 5/31/2029, (MXN) | 6,973,093 |
637,836 (g) | Mexico Bonos, Series M 30, 8.500%, 11/18/2038, (MXN) | 3,224,663 |
2,665,000 | Mexico Government International Bonds, 3.250%, 4/16/2030 | 2,267,006 |
1,880,000 | Mexico Government International Bonds, 3.500%, 2/12/2034 | 1,469,985 |
196,000 | Mexico Government International Bonds, 4.000%, 3/15/2115, (EUR) | 139,978 |
Loomis Sayles Global Allocation Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Mexico — continued | ||
$810,000 | Mexico Government International Bonds, 4.875%, 5/19/2033 | $725,808 |
350,000 | Mexico Government International Bonds, 6.338%, 5/04/2053 | 318,523 |
1,850,000 | Orbia Advance Corp. SAB de CV, 1.875%, 5/11/2026(b) | 1,651,402 |
1,240,000 | Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027 | 1,139,114 |
3,505,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 2,508,704 |
100,000 | Sigma Alimentos SA de CV, 2.625%, 2/07/2024, (EUR)(b) | 104,928 |
835,000 | Sigma Alimentos SA de CV, 4.125%, 5/02/2026 | 793,067 |
2,090,000 | Sigma Finance Netherlands BV, 4.875%, 3/27/2028 | 1,983,687 |
1,010,000 | Unifin Financiera SAB de CV, 7.250%, 9/27/2023(h) | 12,120 |
2,195,000 | Unifin Financiera SAB de CV, 9.875%, 1/28/2029(h) | 43,351 |
45,665,510 | ||
Netherlands — 0.1% | ||
870,000 | Cooperatieve Rabobank UA, 4.375%, 8/04/2025 | 839,167 |
1,725,000 | ING Groep NV, (fixed rate to 7/01/2025, variable rate thereafter), 1.400%, 7/01/2026(b) | 1,585,564 |
2,424,731 | ||
New Zealand — 0.5% | ||
5,000,000 | Fonterra Co.-operative Group Ltd., MTN, 5.500%, 2/26/2024, (AUD) | 3,223,601 |
3,575,000 | New Zealand Government Bonds, Series 429, 3.000%, 4/20/2029, (NZD) | 1,910,603 |
10,700,000 | New Zealand Government Bonds, Series 524, 0.500%, 5/15/2024, (NZD) | 6,209,880 |
6,310,000 | New Zealand Government Bonds, Series 531, 1.500%, 5/15/2031, (NZD) | 2,890,203 |
14,234,287 | ||
Norway — 0.7% | ||
3,660,000 | DNB Bank ASA, (fixed rate to 5/25/2026, variable rate thereafter), 1.535%, 5/25/2027(b) | 3,231,368 |
2,790,000 | Equinor ASA, 3.625%, 4/06/2040 | 2,153,110 |
16,500,000 | Norway Government Bonds, Series 478, 1.500%, 2/19/2026, (NOK) | 1,450,727 |
41,750,000 | Norway Government Bonds, Series 479, 1.750%, 2/17/2027, (NOK) | 3,611,569 |
36,610,000 | Norway Government Bonds, Series 480, 2.000%, 4/26/2028, (NOK) | 3,128,998 |
46,500,000 | Norway Government Bonds, Series 482, 1.375%, 8/19/2030, (NOK) | 3,666,391 |
455,000 | Var Energi ASA, 8.000%, 11/15/2032(b) | 477,432 |
17,719,595 | ||
Paraguay — 0.1% | ||
1,420,000 | Paraguay Government International Bonds, 4.950%, 4/28/2031(b) | 1,312,213 |
615,000 | Paraguay Government International Bonds, 5.000%, 4/15/2026(b) | 599,133 |
1,911,346 |
Principal Amount (‡) | Description | Value (†) |
Peru — 0.1% | ||
$3,220,000 | Corp. Financiera de Desarrollo SA, 2.400%, 9/28/2027(b) | $2,767,815 |
1,050,000 | Transportadora de Gas del Peru SA, 4.250%, 4/30/2028(b) | 992,004 |
3,759,819 | ||
Poland — 0.3% | ||
26,400,000 | Republic of Poland Government Bonds, Series 1030, 1.250%, 10/25/2030, (PLN) | 4,559,897 |
12,970,000 | Republic of Poland Government Bonds, Series 725, 3.250%, 7/25/2025, (PLN) | 2,881,697 |
7,441,594 | ||
Portugal — 0.1% | ||
3,590,000 | EDP Finance BV, 1.710%, 1/24/2028(b) | 3,035,812 |
Qatar — 0.1% | ||
1,770,000 | Ooredoo International Finance Ltd., 2.625%, 4/08/2031(b) | 1,473,260 |
1,600,000 | QatarEnergy, 2.250%, 7/12/2031(b) | 1,281,043 |
2,754,303 | ||
Romania — 0.0% | ||
1,100,000 | Romania Government International Bonds, 2.000%, 4/14/2033, (EUR)(b) | 798,487 |
Singapore — 0.3% | ||
10,055,000 | Singapore Government Bonds, 2.125%, 6/01/2026, (SGD) | 7,074,252 |
South Africa — 0.6% | ||
1,400,000 | Anglo American Capital PLC, 2.625%, 9/10/2030(b) | 1,118,375 |
1,400,000 | Anglo American Capital PLC, 5.625%, 4/01/2030(b) | 1,352,085 |
1,420,000 | MTN Mauritius Investments Ltd., 4.755%, 11/11/2024 | 1,380,950 |
930,000 | MTN Mauritius Investments Ltd., 4.755%, 11/11/2024(b) | 904,425 |
116,835,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | 4,862,533 |
39,185,000 | Republic of South Africa Government Bonds, Series R213, 7.000%, 2/28/2031, (ZAR) | 1,623,796 |
7,585,000 | Republic of South Africa Government International Bonds, 5.750%, 9/30/2049 | 5,006,479 |
16,248,643 | ||
Spain — 0.3% | ||
2,000,000 | Banco Santander SA, (fixed rate to 9/14/2026, variable rate thereafter), 1.722%, 9/14/2027 | 1,748,806 |
1,000,000 | CaixaBank SA, EMTN, (fixed rate to 11/23/2027, variable rate thereafter), 6.250%, 2/23/2033, (EUR) | 1,059,147 |
3,700,000 | Cellnex Telecom SA, EMTN, 1.750%, 10/23/2030, (EUR) | 3,173,390 |
700,000 | Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR) | 670,505 |
2,525,000 | Spain Government Bonds, 1.950%, 7/30/2030, (EUR) | 2,403,829 |
9,055,677 |
Loomis Sayles Global Allocation Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Supranationals — 0.3% | ||
10,030,000 | International Bank for Reconstruction & Development, 1.200%, 7/22/2026, (CAD) | 6,679,282 |
16,750,000 | Nordic Investment Bank, EMTN, 1.500%, 3/13/2025, (NOK) | 1,495,442 |
8,174,724 | ||
Sweden — 0.3% | ||
1,900,000 | Heimstaden Bostad Treasury BV, EMTN, 1.375%, 7/24/2028, (EUR) | 1,461,609 |
1,200,000 | Swedbank AB, 6.136%, 9/12/2026(b) | 1,195,102 |
29,665,000 | Sweden Government Bonds, Series 1057, 1.500%, 11/13/2023, (SEK) | 2,708,135 |
2,560,000 | Sweden Government Bonds, Series 1058, 2.500%, 5/12/2025, (SEK) | 230,613 |
38,000,000 | Sweden Government Bonds, Series 1062, 0.125%, 5/12/2031, (SEK) | 2,814,321 |
8,409,780 | ||
Switzerland — 0.3% | ||
930,000 | Credit Suisse AG, 2.950%, 4/09/2025 | 883,681 |
1,375,000 | Novartis Capital Corp., 2.000%, 2/14/2027 | 1,243,333 |
325,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(b) | 375,315 |
2,185,000 | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032(b) | 1,725,821 |
2,290,000 | UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026(b) | 2,129,836 |
250,000 | UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026(b) | 249,058 |
750,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(b) | 742,950 |
340,000 | Willow No. 2 Ireland PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2025, variable rate thereafter), 4.250%, 10/01/2045 | 313,337 |
7,663,331 | ||
Taiwan — 0.1% | ||
1,925,000 | TSMC Arizona Corp., 2.500%, 10/25/2031 | 1,550,148 |
Tanzania — 0.0% | ||
985,000 | HTA Group Ltd., 7.000%, 12/18/2025(b) | 946,940 |
Turkey — 0.3% | ||
1,010,000 | Aydem Yenilenebilir Enerji AS, 7.750%, 2/02/2027(b) | 889,558 |
1,120,000 | TC Ziraat Bankasi AS, 5.375%, 3/02/2026(b) | 1,037,886 |
1,685,000 | Turk Telekomunikasyon AS, 6.875%, 2/28/2025 | 1,640,664 |
1,415,000 | Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028 | 1,298,783 |
3,480,000 | Turkey Government International Bonds, 5.250%, 3/13/2030 | 2,891,428 |
680,000 | Turkey Government International Bonds, 7.625%, 4/26/2029 | 651,508 |
8,409,827 | ||
Turkmenistan — 0.0% | ||
415,000 | Trinidad Generation UnLtd, 5.250%, 11/04/2027(b) | 397,629 |
United Arab Emirates — 0.0% | ||
1,295,000 | Abu Dhabi Government International Bonds, 3.125%, 4/16/2030(b) | 1,160,613 |
Principal Amount (‡) | Description | Value (†) |
United Kingdom — 0.4% | ||
$200,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032(b) | $184,790 |
1,350,000 | CK Hutchison International 19 Ltd., 3.625%, 4/11/2029(b) | 1,220,363 |
1,420,000 | Diageo Capital PLC, 2.125%, 4/29/2032 | 1,097,529 |
1,395,000 | Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030(b) | 1,227,354 |
1,190,000 | NatWest Markets PLC, 0.800%, 8/12/2024(b) | 1,137,531 |
235,000 | Network Rail Infrastructure Finance PLC, Series 6, EMTN, 4.750%, 1/22/2024, (GBP) | 285,900 |
955,000 | Santander U.K. Group Holdings PLC, (fixed rate to 1/11/2027, variable rate thereafter), 2.469%, 1/11/2028 | 831,143 |
1,455,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036(b) | 1,104,682 |
2,200,000 | Standard Chartered PLC, (fixed rate to 3/30/2025, variable rate thereafter), 3.971%, 3/30/2026(b) | 2,117,811 |
250,000 | Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR) | 260,068 |
2,065,000 | U.K. Gilts, 3.250%, 1/31/2033, (GBP) | 2,296,728 |
11,763,899 | ||
United States — 11.8% | ||
165,000 | AES Corp., 3.950%, 7/15/2030(b) | 142,217 |
315,000 | Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(b)(f) | 247,700 |
1,915,000 | Albemarle Corp., 5.050%, 6/01/2032 | 1,737,337 |
1,145,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(f) | 785,745 |
1,285,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(f) | 804,662 |
1,155,609 | American Airlines Pass-Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025 | 1,144,157 |
899,309 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 840,233 |
235,875 | American Airlines Pass-Through Trust, Series 2017-1, Class B, 4.950%, 8/15/2026 | 228,521 |
311,515 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 295,810 |
3,975,000 | Apple, Inc., Series MPLE, 2.513%, 8/19/2024, (CAD) | 2,855,649 |
260,000 | Aptiv PLC, 1.600%, 9/15/2028, (EUR) | 242,396 |
2,330,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 1,782,787 |
425,000 | Ashland, Inc., 3.375%, 9/01/2031(b) | 330,495 |
910,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | 662,187 |
2,865,000 | Bank of America Corp., Series MPLE, (fixed rate to 9/15/2026, variable rate thereafter), 1.978%, 9/15/2027, (CAD) | 1,881,545 |
665,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 583,462 |
9,560,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(b) | 5,436,640 |
1,735,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028(b) | 706,509 |
930,000 | Beazer Homes USA, Inc., 7.250%, 10/15/2029 | 872,639 |
500,000 | Block, Inc., 3.500%, 6/01/2031 | 392,781 |
4,840,000 | Blue Owl Capital Corp., 4.250%, 1/15/2026 | 4,527,999 |
Loomis Sayles Global Allocation Fund (continued)
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$1,550,000 | Blue Owl Technology Finance Corp., 2.500%, 1/15/2027 | $1,301,349 |
2,585,000 | Blue Owl Technology Finance Corp., 4.750%, 12/15/2025(b) | 2,391,020 |
875,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 12.203%, 12/15/2038(b)(i) | 783,975 |
3,120,000 | Broadcom, Inc., 2.450%, 2/15/2031(b) | 2,438,608 |
2,845,000 | Broadcom, Inc., 2.600%, 2/15/2033(b) | 2,121,471 |
690,000 | Broadcom, Inc., 3.187%, 11/15/2036(b) | 495,412 |
5,095,000 | Broadcom, Inc., 3.419%, 4/15/2033(b) | 4,075,269 |
4,670,000 | Broadcom, Inc., 3.469%, 4/15/2034(b) | 3,667,870 |
2,485,000 | Broadcom, Inc., 4.150%, 4/15/2032(b) | 2,156,518 |
695,000 | Carnival Corp., 5.750%, 3/01/2027(b) | 629,131 |
150,000 | Carnival Corp., 7.000%, 8/15/2029(b) | 147,904 |
10,570,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(b) | 8,416,997 |
6,265,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(b) | 4,612,782 |
1,575,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032(b) | 1,260,000 |
370,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 362,678 |
270,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 260,151 |
195,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 189,816 |
2,510,000 | Centene Corp., 2.500%, 3/01/2031 | 1,928,229 |
1,480,000 | Centene Corp., 3.000%, 10/15/2030 | 1,193,783 |
165,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029(b) | 141,483 |
175,000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031(b) | 148,094 |
1,075,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 609,788 |
895,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 761,232 |
4,945,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061 | 3,046,604 |
3,790,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(b) | 2,151,016 |
8,375,000 | CommScope, Inc., 4.750%, 9/01/2029(b) | 6,160,185 |
2,663,000 | Continental Resources, Inc., 2.875%, 4/01/2032(b) | 1,994,185 |
4,662,000 | Continental Resources, Inc., 5.750%, 1/15/2031(b) | 4,379,741 |
13,550,000 | CSC Holdings LLC, 3.375%, 2/15/2031(b) | 9,233,477 |
2,400,000 | CSC Holdings LLC, 4.125%, 12/01/2030(b) | 1,698,514 |
2,395,000 | CSC Holdings LLC, 4.500%, 11/15/2031(b) | 1,695,131 |
20,310,000 | CSC Holdings LLC, 4.625%, 12/01/2030(b) | 10,797,876 |
1,850,000 | CSC Holdings LLC, 5.000%, 11/15/2031(b) | 991,556 |
595,000 | CSC Holdings LLC, 5.375%, 2/01/2028(b) | 484,396 |
495,000 | CSC Holdings LLC, 5.750%, 1/15/2030(b) | 277,346 |
1,115,000 | CSC Holdings LLC, 6.500%, 2/01/2029(b) | 923,706 |
940,000 | DH Europe Finance II Sarl, 0.750%, 9/18/2031, (EUR) | 776,885 |
50,000 | Dillard's, Inc., 7.000%, 12/01/2028 | 49,462 |
8,000 | Dillard's, Inc., 7.750%, 7/15/2026 | 8,075 |
355,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(b) | 313,884 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$3,550,000 | DISH DBS Corp., 5.125%, 6/01/2029 | $1,968,049 |
4,115,000 | DISH DBS Corp., 5.250%, 12/01/2026(b) | 3,497,136 |
795,000 | DISH DBS Corp., 5.750%, 12/01/2028(b) | 611,156 |
1,960,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 1,470,000 |
80,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(b) | 77,614 |
575,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 449,264 |
280,000 | EPR Properties, 3.600%, 11/15/2031 | 207,555 |
1,555,000 | EQT Corp., 3.625%, 5/15/2031(b) | 1,315,437 |
805,000 | EQT Corp., 5.000%, 1/15/2029 | 756,708 |
115,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(b) | 98,979 |
2,570,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 2,070,507 |
2,710,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 2,484,300 |
4,795,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 4,388,570 |
2,100,000 | General Motors Co., 5.200%, 4/01/2045 | 1,632,784 |
405,000 | General Motors Co., 6.250%, 10/02/2043 | 362,856 |
570,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 440,999 |
760,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | 742,220 |
460,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 357,001 |
105,000 | Goodyear Tire & Rubber Co., 7.000%, 3/15/2028 | 103,620 |
1,400,000 | GTCR W-2 Merger Sub LLC, 7.500%, 1/15/2031(b) | 1,401,960 |
960,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(b) | 809,509 |
475,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(b) | 387,230 |
470,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(b) | 407,700 |
1,395,000 | Hyundai Capital America, 6.375%, 4/08/2030(b) | 1,393,493 |
7,770,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 6,213,353 |
195,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 187,818 |
3,555,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 3,124,774 |
390,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 370,994 |
1,210,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(b) | 925,017 |
2,730,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(b) | 2,163,571 |
1,310,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(b) | 1,148,142 |
795,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031 | 636,827 |
730,000 | JELD-WEN, Inc., 4.875%, 12/15/2027(b) | 644,137 |
1,135,000 | John Deere Capital Corp., MTN, 0.450%, 6/07/2024 | 1,097,437 |
1,400,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(b) | 1,376,074 |
525,000 | Light & Wonder International, Inc., 7.250%, 11/15/2029(b) | 514,500 |
210,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(b) | 207,554 |
1,140,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(b) | 960,233 |
Loomis Sayles Global Allocation Fund (continued)
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$995,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(b) | $833,710 |
155,000 | Matador Resources Co., 6.875%, 4/15/2028(b) | 152,186 |
615,000 | Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR) | 591,820 |
6,240,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 5,960,835 |
798,750 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027(b) | 791,403 |
435,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(b) | 348,864 |
345,000 | MSCI, Inc., 3.250%, 8/15/2033(b) | 265,529 |
520,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(b) | 422,202 |
1,095,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028(b) | 965,862 |
4,600,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(b) | 4,246,918 |
615,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(b) | 584,109 |
1,960,000 | NCL Finance Ltd., 6.125%, 3/15/2028(b) | 1,729,700 |
2,020,000 | Netflix, Inc., 4.875%, 6/15/2030(b) | 1,912,350 |
20,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037(b) | 20,571 |
30,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 | 29,569 |
2,355,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 2,386,204 |
795,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 860,270 |
1,845,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 2,074,352 |
70,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 59,937 |
80,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 60,028 |
170,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 142,375 |
860,000 | OneMain Finance Corp., 6.875%, 3/15/2025 | 853,183 |
1,705,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 1,669,845 |
130,000 | OneMain Finance Corp., 8.250%, 10/01/2023 | 130,000 |
400,000 | Ovintiv, Inc., 6.250%, 7/15/2033 | 386,766 |
1,000,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 984,870 |
45,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 42,977 |
230,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 220,649 |
30,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 30,881 |
115,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 120,499 |
130,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 141,293 |
1,265,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 978,227 |
315,000 | Pilgrim's Pride Corp., 4.250%, 4/15/2031 | 262,775 |
745,000 | Post Holdings, Inc., 4.500%, 9/15/2031(b) | 620,059 |
2,165,000 | Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR) | 1,970,668 |
1,450,000 | Prologis Euro Finance LLC, 1.875%, 1/05/2029, (EUR) | 1,336,704 |
365,000 | Prologis LP, 2.250%, 6/30/2029, (GBP) | 368,298 |
1,385,000 | Rand Parent LLC, 8.500%, 2/15/2030(b) | 1,280,917 |
430,000 | Realty Income Corp., 5.125%, 7/06/2034, (EUR) | 450,480 |
1,100,000 | Realty Income Corp., EMTN, 1.625%, 12/15/2030, (GBP) | 1,000,744 |
7,695,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(b) | 6,776,910 |
6,794,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 5,616,840 |
2,540,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(b) | 2,099,908 |
7,011,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(b) | 5,590,361 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$4,510,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(b) | $3,405,875 |
2,945,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(b) | 2,700,245 |
3,280,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(b) | 3,007,733 |
1,425,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 1,188,553 |
435,000 | Sensata Technologies BV, 4.000%, 4/15/2029(b) | 374,578 |
140,000 | Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR) | 143,939 |
315,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 270,361 |
765,000 | Synchrony Bank, 5.625%, 8/23/2027 | 710,463 |
255,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 186,806 |
515,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 504,855 |
165,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 147,782 |
245,000 | Thermo Fisher Scientific Finance I BV, 2.000%, 10/18/2051, (EUR) | 152,635 |
100,000 | Thermo Fisher Scientific, Inc., EMTN, 1.500%, 10/01/2039, (EUR) | 70,212 |
90,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 62,354 |
85,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 66,490 |
2,805,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 2,485,148 |
400,000 | TopBuild Corp., 4.125%, 2/15/2032(b) | 324,739 |
405,000 | TransDigm, Inc., 6.750%, 8/15/2028(b) | 398,718 |
4,075,000 | Travel & Leisure Co., 4.500%, 12/01/2029(b) | 3,417,906 |
530,000 | Travel & Leisure Co., 4.625%, 3/01/2030(b) | 446,006 |
240,000 | TriNet Group, Inc., 3.500%, 3/01/2029(b) | 202,124 |
216,156 | U.S. Airways Pass-Through Trust, Series 2012-2, Class A, 4.625%, 12/03/2026 | 208,026 |
12,440,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052 | 7,634,078 |
5,210,000 | U.S. Treasury Bonds, 3.625%, 5/15/2053 | 4,313,717 |
4,980,000 | U.S. Treasury Bonds, 4.125%, 8/15/2053 | 4,520,906 |
4,992,091 | U.S. Treasury Inflation-Indexed Notes, 1.375%, 7/15/2033(j) | 4,615,442 |
2,910,000 | U.S. Treasury Notes, 0.875%, 1/31/2024 | 2,866,691 |
17,750,000 | U.S. Treasury Notes, 2.250%, 3/31/2024(k) | 17,471,963 |
4,915,000 | U.S. Treasury Notes, 3.375%, 5/15/2033 | 4,457,291 |
2,370,000 | U.S. Treasury Notes, 3.750%, 6/30/2030 | 2,249,463 |
13,115,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(b) | 11,722,931 |
8,655,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(b) | 8,463,422 |
1,555,000 | Uber Technologies, Inc., 7.500%, 9/15/2027(b) | 1,567,913 |
140,000 | Uber Technologies, Inc., 8.000%, 11/01/2026(b) | 141,646 |
1,720,740 | United Airlines Pass-Through Trust, Series 20-1, Class A, 5.875%, 4/15/2029 | 1,704,496 |
269,757 | United Airlines Pass-Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027 | 253,315 |
895,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(b) | 694,900 |
390,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(b) | 320,042 |
3,095,000 | Verizon Communications, Inc., Series MPLE, 2.500%, 5/16/2030, (CAD) | 1,870,193 |
895,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026(b) | 833,917 |
1,185,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026(b) | 1,113,254 |
Loomis Sayles Global Allocation Fund (continued)
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$640,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025(b) | $618,042 |
1,945,000 | VMware, Inc., 2.200%, 8/15/2031 | 1,467,758 |
1,270,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 1,077,999 |
130,000 | Western Digital Corp., 2.850%, 2/01/2029 | 104,369 |
90,000 | Western Digital Corp., 3.100%, 2/01/2032 | 66,277 |
360,000 | Western Midstream Operating LP, 4.050%, 2/01/2030 | 314,673 |
475,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 370,041 |
470,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 366,855 |
150,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 120,916 |
115,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 91,439 |
1,250,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 1,084,279 |
318,928,572 | ||
Uruguay — 0.1% | ||
1,415,000 | Uruguay Government International Bonds, 4.375%, 1/23/2031 | 1,352,704 |
86,955,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) | 2,110,566 |
3,463,270 | ||
Total Non-Convertible Bonds (Identified Cost $887,962,221) | 761,963,870 | |
Convertible Bonds — 2.4% | ||
United States — 2.4% | ||
12,590,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 12,471,654 |
23,580,000 | DISH Network Corp., 3.375%, 8/15/2026 | 14,171,580 |
6,285,000 | DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(l) | 4,234,142 |
70,000 | Etsy, Inc., 0.125%, 9/01/2027 | 56,000 |
405,000 | Etsy, Inc., 0.250%, 6/15/2028 | 305,978 |
185,000 | JetBlue Airways Corp., 0.500%, 4/01/2026 | 143,024 |
4,390,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 4,009,387 |
1,615,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 1,339,513 |
345,000 | Northern Oil & Gas, Inc., 3.625%, 4/15/2029(b) | 426,175 |
230,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 279,151 |
565,000 | Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(l) | 418,665 |
7,550,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 7,493,375 |
1,025,000 | Splunk, Inc., 1.125%, 6/15/2027 | 967,087 |
655,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(l) | 557,077 |
14,290,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 11,387,701 |
6,678,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(l) | 6,235,983 |
410,000 | Unity Software, Inc., Zero Coupon, 7.197%-7.334%, 11/15/2026(l) | 324,515 |
120,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 142,980 |
Total Convertible Bonds (Identified Cost $83,506,676) | 64,963,987 | |
Principal Amount (‡) | Description | Value (†) |
Municipals — 0.0% | ||
United States — 0.0% | ||
$120,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%-, 6/01/2046 (Identified cost $119,990) | $99,311 |
Total Bonds and Notes (Identified Cost $971,588,887) | 827,027,168 | |
Senior Loans — 0.2% | ||
Canada — 0.0% | ||
585,000 | 1011778 BC Unlimited Liability Co., 2023 Term Loan B5, 1 mo. USD SOFR + 2.250%, 7.566%, 9/23/2030(m) | 582,443 |
United States — 0.2% | ||
1,833,249 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.681%, 10/18/2028(i)(n) | 1,821,792 |
245,900 | Carnival Corp., 2021 Incremental Term Loan B, 10/18/2028(o) | 244,363 |
80,649 | Carnival Corp., 2023 Term Loan B, 8/08/2027(o) | 80,347 |
1,531,720 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.327%, 8/08/2027(i)(n) | 1,525,977 |
341,000 | GTCR W Merger Sub LLC, USD Term Loan B, 9/20/2030(o) | 340,751 |
270,000 | HUB International Ltd., 2023 Term Loan B, 3 mo. USD SOFR + 4.250%, 9.584%, 6/20/2030(i)(n) | 270,451 |
1,081,191 | Star Parent, Inc., 2023 Term Loan B, 9/19/2030(o) | 1,055,815 |
486,325 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.159%, 3/03/2030(i)(m) | 485,882 |
5,825,378 | ||
Total Senior Loans (Identified Cost $6,402,711) | 6,407,821 |
Shares | ||
Preferred Stocks — 0.1% | ||
United States — 0.1% | ||
24,376 | El Paso Energy Capital Trust I, 4.750%, 3/31/2028 (Identified Cost $1,125,845) | 1,106,914 |
Loomis Sayles Global Allocation Fund (continued)
Principal Amount (‡) | Description | Value (†) |
Short-Term Investments — 1.7% | ||
$42,210,104 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $42,218,898 on 10/02/2023 collateralized by $48,351,700 U.S. Treasury Note, 0.750% due 8/31/2026 valued at $43,054,350 including accrued interest (Note 2 of Notes to Financial Statements) | $42,210,104 |
4,150,000 | U.S. Treasury Bills, 5.170%, 12/21/2023(p) | 4,100,998 |
Total Short-Term Investments (Identified Cost $46,311,829) | 46,311,102 | |
Total Investments — 100.1% (Identified Cost $2,624,501,457) | 2,698,580,957 | |
Other assets less liabilities — (0.1)% | (2,268,373 ) | |
Net Assets — 100.0% | $2,696,312,584 |
(†) | See Note 2 of Notes to Financial Statements. |
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | Non-income producing security. |
(b) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, the value of Rule 144A holdings amounted to $277,712,051 or 10.3% of net assets. |
(c) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(d) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(e) | Amount shown represents principal amount including inflation adjustments. |
(f) | Perpetual bond with no specified maturity date. |
(g) | Amount shown represents units. One unit represents a principal amount of 100. |
(h) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(i) | Variable rate security. Rate as of September 30, 2023 is disclosed. |
(j) | Treasury Inflation Protected Security (TIPS). |
(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. 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 floor rate of 0.00%, 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 floor rate of 0.75%, to which the spread is added. |
(o) | Position is unsettled. Contract rate was not determined at September 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(p) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
CPI | Consumer Price Index |
EMTN | Euro Medium Term Note |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | |
Bank of America N.A. | 12/20/2023 | GBP | B | 11,193,000 | $13,892,304 | $13,664,006 | $(228,298 ) |
Bank of America N.A. | 12/20/2023 | JPY | B | 7,022,630,000 | 48,478,403 | 47,599,308 | (879,095 ) |
Bank of America N.A. | 12/20/2023 | KRW | S | 19,047,379,000 | 14,400,377 | 14,179,287 | 221,090 |
Bank of America N.A. | 12/20/2023 | MXN | S | 256,059,000 | 14,738,243 | 14,501,569 | 236,674 |
HSBC Bank USA N.A. | 12/20/2023 | AUD | S | 13,800,000 | 8,913,420 | 8,896,554 | 16,866 |
HSBC Bank USA N.A. | 12/20/2023 | CAD | S | 26,705,000 | 19,729,542 | 19,685,632 | 43,910 |
Morgan Stanley Capital Services LLC | 12/20/2023 | EUR | B | 82,154,000 | 88,347,426 | 87,175,763 | (1,171,663 ) |
Morgan Stanley Capital Services LLC | 12/20/2023 | NZD | S | 6,003,000 | 3,559,329 | 3,598,019 | (38,690 ) |
UBS AG | 12/20/2023 | COP | S | 30,469,789,000 | 7,547,632 | 7,323,995 | 223,637 |
UBS AG | 12/20/2023 | IDR | S | 100,000,000,000 | 6,488,269 | 6,469,225 | 19,044 |
Total | $(1,556,525 ) |
Loomis Sayles Global Allocation Fund (continued)
Counterparty | Settlement Date | Deliver/Units of Currency | Receive/Units of Currency | Notional Value | Unrealized Appreciaation (Depreciation) | ||
Morgan Stanley Capital Services LLC | 12/20/2023 | NOK | 30,959,000 | EUR | 2,705,675 | $2,871,063 | $(29,492 ) |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 12/19/2023 | 74 | $8,153,670 | $7,996,625 | $(157,045 ) |
CBOT 2 Year U.S. Treasury Notes Futures | 12/29/2023 | 125 | 25,403,641 | 25,338,867 | (64,774 ) |
CBOT 5 Year U.S. Treasury Notes Futures | 12/29/2023 | 541 | 57,501,770 | 56,999,422 | (502,348 ) |
CBOT U.S. Long Bond Futures | 12/19/2023 | 798 | 95,771,849 | 90,797,438 | (4,974,411 ) |
Total | $(5,698,578 ) |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CME Ultra Long Term U.S. Treasury Bond Futures | 12/19/2023 | 189 | $23,812,972 | $22,431,938 | $1,381,034 |
Ultra 10 Year U.S. Treasury Notes Futures | 12/19/2023 | 387 | 44,388,677 | 43,174,687 | 1,213,990 |
Total | $2,595,024 |
Treasuries | 7.8 % |
Semiconductors & Semiconductor Equipment | 6.9 |
Capital Markets | 6.6 |
Machinery | 5.8 |
Software | 5.5 |
Life Sciences Tools & Services | 5.4 |
IT Services | 4.3 |
Specialty Retail | 3.5 |
Textiles, Apparel & Luxury Goods | 3.4 |
Interactive Media & Services | 3.3 |
Chemicals | 3.3 |
Broadline Retail | 3.2 |
Financial Services | 2.9 |
Cable Satellite | 2.8 |
Health Care Providers & Services | 2.7 |
Hotels, Restaurants & Leisure | 2.6 |
Banks | 2.4 |
Banking | 2.2 |
Consumer Staples Distribution & Retail | 2.1 |
Pharmaceuticals | 2.1 |
Other Investments, less than 2% each | 19.6 |
Short-Term Investments | 1.7 |
Total Investments | 100.1 |
Other assets less liabilities (including forward foreign currency and futures contracts) | (0.1 ) |
Net Assets | 100.0 % |
United States Dollar | 78.6 % |
Euro | 7.3 |
Swedish Krona | 2.6 |
Japanese Yen | 2.2 |
Other, less than 2% each | 9.4 |
Total Investments | 100.1 |
Other assets less liabilities (including forward foreign currency and futures contracts) | (0.1 ) |
Net Assets | 100.0 % |
Loomis Sayles Growth Fund
Shares | Description | Value (†) |
Common Stocks — 98.1% of Net Assets | ||
Aerospace & Defense — 4.7% | ||
2,675,683 | Boeing Co.(a) | $512,874,917 |
Air Freight & Logistics — 1.6% | ||
1,560,439 | Expeditors International of Washington, Inc. | 178,873,123 |
Automobiles — 5.9% | ||
2,557,210 | Tesla, Inc.(a) | 639,865,086 |
Beverages — 3.2% | ||
6,505,040 | Monster Beverage Corp.(a) | 344,441,868 |
Biotechnology — 5.0% | ||
307,870 | Regeneron Pharmaceuticals, Inc.(a) | 253,364,695 |
827,806 | Vertex Pharmaceuticals, Inc.(a) | 287,861,259 |
541,225,954 | ||
Broadline Retail — 6.2% | ||
1,292,540 | Alibaba Group Holding Ltd., ADR(a) | 112,114,919 |
4,408,381 | Amazon.com, Inc.(a) | 560,393,393 |
672,508,312 | ||
Capital Markets — 3.0% | ||
411,155 | FactSet Research Systems, Inc. | 179,781,636 |
2,351,323 | SEI Investments Co. | 141,620,184 |
321,401,820 | ||
Entertainment — 6.7% | ||
1,108,106 | Netflix, Inc.(a) | 418,420,825 |
3,731,093 | Walt Disney Co.(a) | 302,405,088 |
720,825,913 | ||
Financial Services — 7.3% | ||
1,983,727 | Block, Inc.(a) | 87,799,757 |
1,799,067 | PayPal Holdings, Inc.(a) | 105,173,457 |
2,581,311 | Visa, Inc., Class A | 593,727,343 |
786,700,557 | ||
Health Care Equipment & Supplies — 1.3% | ||
476,399 | Intuitive Surgical, Inc.(a) | 139,246,664 |
Hotels, Restaurants & Leisure — 3.8% | ||
2,202,677 | Starbucks Corp. | 201,038,330 |
1,288,244 | Yum China Holdings, Inc. | 71,780,956 |
1,079,908 | Yum! Brands, Inc. | 134,923,705 |
407,742,991 | ||
Interactive Media & Services — 14.3% | ||
3,698,473 | Alphabet, Inc., Class A(a) | 483,982,177 |
1,698,862 | Alphabet, Inc., Class C(a) | 223,994,955 |
2,801,003 | Meta Platforms, Inc., Class A(a) | 840,889,110 |
1,548,866,242 | ||
IT Services — 1.7% | ||
3,289,235 | Shopify, Inc., Class A(a) | 179,493,554 |
Life Sciences Tools & Services — 2.6% | ||
1,028,425 | Illumina, Inc.(a) | 141,182,184 |
271,444 | Thermo Fisher Scientific, Inc. | 137,396,810 |
278,578,994 | ||
Machinery — 0.7% | ||
196,176 | Deere & Co. | 74,032,899 |
Pharmaceuticals — 4.6% | ||
1,560,708 | Novartis AG, ADR | 158,973,717 |
2,345,881 | Novo Nordisk AS, ADR | 213,334,418 |
3,549,955 | Roche Holding AG, ADR | 120,449,973 |
492,758,108 |
Shares | Description | Value (†) |
Semiconductors & Semiconductor Equipment — 8.9% | ||
1,832,261 | NVIDIA Corp. | $797,015,213 |
1,510,554 | QUALCOMM, Inc. | 167,762,127 |
964,777,340 | ||
Software — 16.6% | ||
1,573,664 | Autodesk, Inc.(a) | 325,606,818 |
1,676,248 | Microsoft Corp. | 529,275,306 |
4,732,164 | Oracle Corp. | 501,230,811 |
1,579,946 | Salesforce, Inc.(a) | 320,381,450 |
548,318 | Workday, Inc., Class A(a) | 117,806,122 |
1,794,300,507 | ||
Total Common Stocks (Identified Cost $6,102,374,554) | 10,598,514,849 |
Principal Amount | ||
Short-Term Investments — 1.9% | ||
$198,748,203 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $198,789,609 on 10/02/2023 collateralized by $204,263,500 U.S. Treasury Note, 4.375% due 8/15/2026 valued at $202,723,198 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $198,748,203) | 198,748,203 |
Total Investments — 100.0% (Identified Cost $6,301,122,757) | 10,797,263,052 | |
Other assets less liabilities — 0.0% | 2,877,124 | |
Net Assets — 100.0% | $10,800,140,176 |
(†) | 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. |
Loomis Sayles Growth Fund (continued)
Software | 16.6 % |
Interactive Media & Services | 14.3 |
Semiconductors & Semiconductor Equipment | 8.9 |
Financial Services | 7.3 |
Entertainment | 6.7 |
Broadline Retail | 6.2 |
Automobiles | 5.9 |
Biotechnology | 5.0 |
Aerospace & Defense | 4.7 |
Pharmaceuticals | 4.6 |
Hotels, Restaurants & Leisure | 3.8 |
Beverages | 3.2 |
Capital Markets | 3.0 |
Life Sciences Tools & Services | 2.6 |
Other Investments, less than 2% each | 5.3 |
Short-Term Investments | 1.9 |
Total Investments | 100.0 |
Other assets less liabilities | 0.0 * |
Net Assets | 100.0 % |
* | Less than 0.1% |
Loomis Sayles Intermediate Duration Bond Fund
Principal Amount | Description | Value (†) |
Bonds and Notes — 97.7% of Net Assets | ||
ABS Car Loan — 8.7% | ||
$255,000 | Ally Auto Receivables Trust, Series 2022-3, Class A3, 5.070%, 4/15/2027 | $252,606 |
35,924 | American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026(a) | 35,691 |
37,683 | American Credit Acceptance Receivables Trust, Series 2022-1, Class B, 1.680%, 9/14/2026(a) | 37,574 |
80,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | 80,599 |
420,000 | American Credit Acceptance Receivables Trust, Series 2023-3, Class C, 6.440%, 10/12/2029(a) | 418,913 |
39,380 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B, 0.970%, 2/18/2026 | 39,253 |
215,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027 | 204,451 |
520,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027 | 471,349 |
335,000 | AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3, 4.380%, 4/18/2028 | 329,069 |
870,000 | AmeriCredit Automobile Receivables Trust, Series 2023-1, Class B, 5.570%, 3/20/2028 | 859,482 |
140,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025(a) | 136,901 |
255,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-2A, Class A, 5.200%, 10/20/2027(a) | 248,656 |
1,210,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-3A, Class A, 5.440%, 2/22/2028(a) | 1,188,031 |
170,000 | Carmax Auto Owner Trust, Series 2023-3, Class A3, 5.280%, 5/15/2028 | 168,844 |
21,347 | CarMax Auto Owner Trust, Series 2020-3, Class A3, 0.620%, 3/17/2025 | 21,280 |
1,055,000 | CarMax Auto Owner Trust, Series 2023-2, Class A3, 5.050%, 1/18/2028 | 1,043,198 |
55,918 | CarNow Auto Receivables Trust, Series 2023-1A, Class A, 6.620%, 12/16/2024(a) | 55,914 |
113,947 | Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 | 107,830 |
431,064 | Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027 | 413,367 |
725,393 | Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027(a) | 724,829 |
675,000 | Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027(a) | 671,151 |
480,000 | Carvana Auto Receivables Trust, Series 2023-P4, Class A3, 6.160%, 10/10/2028(a) | 479,956 |
176,017 | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000%, 5/15/2030(a) | 172,127 |
845,000 | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class A, 6.570%, 10/15/2032(a) | 846,233 |
710,000 | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A, 6.480%, 3/15/2033(a) | 709,903 |
465,000 | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B, 6.610%, 7/15/2033(a) | 459,442 |
130,000 | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C, 7.620%, 12/15/2033(a) | 129,820 |
191,979 | Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026 | 190,790 |
68,902 | DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026(a) | 68,614 |
16,587 | DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027(a) | 16,550 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$410,000 | DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027(a) | $388,515 |
630,000 | DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028(a) | 632,849 |
345,000 | DT Auto Owner Trust, Series 2023-2A, Class B, 5.410%, 2/15/2029(a) | 339,918 |
219,142 | Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026 | 217,751 |
680,000 | Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.970%, 3/15/2027 | 677,047 |
360,000 | Exeter Automobile Receivables Trust, Series 2023-1A, Class B, 5.720%, 4/15/2027 | 357,464 |
380,000 | Exeter Automobile Receivables Trust, Series 2023-2A, Class B, 5.610%, 9/15/2027 | 375,906 |
130,000 | Exeter Automobile Receivables Trust, Series 2023-3A, Class B, 6.110%, 9/15/2027 | 129,079 |
290,000 | Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027(a) | 283,366 |
490,000 | Flagship Credit Auto Trust, Series 2022-4, Class A3, 6.320%, 6/15/2027(a) | 492,379 |
430,000 | Flagship Credit Auto Trust, Series 2023-1, Class A3, 5.010%, 8/16/2027(a) | 423,791 |
450,000 | Flagship Credit Auto Trust, Series 2023-2, Class C, 5.810%, 5/15/2029(a) | 440,778 |
595,000 | Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031(a) | 574,146 |
570,000 | Ford Credit Auto Owner Trust, Series 2021-1, Class A, 1.370%, 10/17/2033(a) | 511,399 |
1,035,000 | Ford Credit Auto Owner Trust, Series 2023-2, Class A, 5.280%, 2/15/2036(a) | 1,016,508 |
355,000 | Ford Credit Floorplan Master Owner Trust A, Series 2023-1, Class A1, 4.920%, 5/15/2028(a) | 348,122 |
410,000 | Foursight Capital Automobile Receivables Trust, Series 2022-1, Class A3, 1.830%, 12/15/2026(a) | 400,038 |
340,000 | Foursight Capital Automobile Receivables Trust, Series 2022-2, Class A3, 4.590%, 6/15/2027(a) | 335,943 |
380,000 | GECU Auto Receivables Trust, Series 2023-1A, Class A3, 5.630%, 8/15/2028(a) | 378,274 |
57,926 | GLS Auto Receivables Issuer Trust, Series 2020-4A, Class C, 1.140%, 11/17/2025(a) | 57,498 |
955,511 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026(a) | 941,574 |
280,000 | GM Financial Automobile Leasing Trust, Series 2023-2, Class A3, 5.050%, 7/20/2026 | 276,778 |
77 | GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024 | 77 |
265,000 | Harley-Davidson Motorcycle Trust, Series 2023-B, Class A3, 5.690%, 8/15/2028 | 265,345 |
215,000 | Harley-Davidson Motorcycle Trust, Series 2023-B, Class A4, 5.780%, 4/15/2031 | 214,329 |
715,000 | Hertz Vehicle Financing III LLC, Series 2023-3A, Class A, 5.940%, 2/25/2028(a) | 714,337 |
370,000 | Hyundai Auto Lease Securitization Trust, Series 2023-B, Class A3, 5.150%, 6/15/2026(a) | 366,414 |
4,109 | Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024 | 4,101 |
14,765 | Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3, 0.550%, 2/18/2025 | 14,702 |
250,000 | Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.180%, 8/25/2028(a) | 249,254 |
80,374 | Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026(a) | 80,128 |
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$430,000 | Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028(a) | $409,502 |
340,000 | Prestige Auto Receivables Trust, Series 2023-1A, Class C, 5.650%, 2/15/2028(a) | 332,486 |
48,087 | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026(a) | 47,985 |
835,000 | Santander Drive Auto Receivables Trust, Series 2022-3, Class B, 4.130%, 8/16/2027 | 815,373 |
560,000 | Santander Drive Auto Receivables Trust, Series 2022-4, Class B, 4.420%, 11/15/2027 | 547,269 |
285,000 | Santander Drive Auto Receivables Trust, Series 2022-5, Class B, 4.430%, 3/15/2027 | 279,491 |
115,000 | Santander Drive Auto Receivables Trust, Series 2023-1, Class C, 5.090%, 5/15/2030 | 112,240 |
290,000 | Santander Drive Auto Receivables Trust, Series 2023-2, Class A3, 5.210%, 7/15/2027 | 286,973 |
170,000 | Santander Drive Auto Receivables Trust, Series 2023-3, Class C, 5.770%, 11/15/2030 | 168,688 |
540,000 | Santander Drive Auto Receivables Trust, Series 2023-4, Class B, 5.770%, 12/15/2028 | 541,122 |
420,000 | SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A3, 5.470%, 10/20/2028(a) | 414,951 |
440,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033(a) | 408,262 |
370,000 | Toyota Auto Receivables Owner Trust, Series 2023-C, Class A3, 5.160%, 4/17/2028 | 366,718 |
320,000 | United Auto Credit Securitization Trust, Series 2022-2, Class C, 5.810%, 5/10/2027(a) | 317,399 |
138,743 | Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026(a) | 137,819 |
1,050,000 | Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027(a) | 1,003,576 |
170,000 | Westlake Automobile Receivables Trust, Series 2023-1A, Class C, 5.740%, 8/15/2028(a) | 168,006 |
695,000 | Westlake Automobile Receivables Trust, Series 2023-3A, Class C, 6.020%, 9/15/2028(a) | 692,421 |
73,124 | World Omni Auto Receivables Trust, Series 2020-B, Class A3, 0.630%, 5/15/2025 | 72,574 |
380,000 | World Omni Automobile Lease Securitization Trust, Series 2023-A, Class A3, 5.070%, 9/15/2026 | 375,931 |
360,000 | World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027 | 338,504 |
29,927,523 | ||
ABS Credit Card — 0.3% | ||
960,000 | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026(a) | 918,263 |
230,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028(a) | 228,203 |
1,146,466 | ||
ABS Home Equity — 0.0% | ||
1,536 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b) | 1,511 |
ABS Other — 2.0% | ||
125,000 | Affirm Asset Securitization Trust, Series 2022-A, Class A, 4.300%, 5/17/2027(a) | 122,263 |
105,000 | Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028(a) | 104,320 |
320,000 | Affirm Asset Securitization Trust, Series 2023-B, Class A, 6.820%, 9/15/2028(a) | 319,585 |
288,772 | Aqua Finance Trust, Series 2021-A, Class A, 1.540%, 7/17/2046(a) | 253,796 |
Principal Amount | Description | Value (†) |
ABS Other — continued | ||
$76,963 | BHG Securitization Trust, Series 2022-C, Class A, 5.320%, 10/17/2035(a) | $76,431 |
53,440 | Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032(a) | 52,840 |
402,294 | Chesapeake Funding II LLC, Series 2023-1A, Class A1, 5.650%, 5/15/2035(a) | 399,578 |
19,074 | CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025 | 18,961 |
500,000 | Daimler Trucks Retail Trust, Series 2023-1, Class A4, 5.930%, 12/16/2030 | 499,529 |
645,000 | DLLMT LLC, Series 2023-1A, Class A3, 5.340%, 3/22/2027(a) | 634,865 |
203,387 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034(a) | 199,103 |
156,490 | Enterprise Fleet Financing LLC, Series 2022-3, Class A2, 4.380%, 7/20/2029(a) | 153,200 |
440,000 | Enterprise Fleet Financing LLC, Series 2023-2, Class A2, 5.560%, 4/22/2030(a) | 436,616 |
630,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | 601,971 |
84,271 | Hilton Grand Vacations Trust, Series 2022-2A, Class C, 5.570%, 1/25/2037(a) | 80,826 |
455,000 | M&T Equipment Notes, Series 2023-1A, Class A3, 5.740%, 7/15/2030(a) | 451,708 |
62,642 | Marlette Funding Trust, Series 2022-3A, Class A, 5.180%, 11/15/2032(a) | 62,392 |
51,522 | MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037(a) | 47,428 |
1,135,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.130%, 5/14/2035(a) | 1,089,021 |
370,000 | SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029(a) | 356,680 |
62,652 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037(a) | 58,633 |
785,000 | Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) | 778,934 |
6,798,680 | ||
ABS Student Loan — 0.1% | ||
89,224 | Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033 | 81,894 |
49,543 | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069(a) | 43,637 |
60,719 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069(a) | 54,961 |
180,492 | ||
ABS Whole Business — 0.1% | ||
508,250 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048(a) | 487,166 |
Agency Commercial Mortgage-Backed Securities — 0.5% | ||
701,647 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024 | 678,049 |
990,464 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027 | 928,254 |
1,606,303 | ||
Apartment REITs — 0.1% | ||
225,000 | Invitation Homes Operating Partnership LP, 2.000%, 8/15/2031 | 166,509 |
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal Amount | Description | Value (†) |
Automotive — 3.3% | ||
$515,000 | American Honda Finance Corp., GMTN, 5.125%, 7/07/2028 | $506,955 |
930,000 | BMW U.S. Capital LLC, 5.150%, 8/11/2033(a) | 885,228 |
735,000 | Daimler Truck Finance North America LLC, 5.200%, 1/17/2025(a) | 728,193 |
340,000 | Daimler Truck Finance North America LLC, 5.400%, 9/20/2028(a) | 333,679 |
665,000 | Denso Corp., 1.239%, 9/16/2026(a) | 581,696 |
875,000 | General Motors Financial Co., Inc., 6.050%, 10/10/2025 | 871,127 |
180,000 | Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025(a) | 170,826 |
995,000 | Harley-Davidson Financial Services, Inc., 6.500%, 3/10/2028(a) | 983,646 |
645,000 | Hyundai Capital America, 2.100%, 9/15/2028(a) | 535,172 |
410,000 | Hyundai Capital America, 5.700%, 6/26/2030(a) | 394,422 |
255,000 | Hyundai Capital America, 5.950%, 9/21/2026(a) | 254,276 |
240,000 | Kia Corp., 1.000%, 4/16/2024(a) | 233,652 |
495,000 | LKQ Corp., 5.750%, 6/15/2028(a) | 483,573 |
340,000 | Mercedes-Benz Finance North America LLC, 4.800%, 3/30/2028(a) | 329,370 |
515,000 | Mercedes-Benz Finance North America LLC, 5.100%, 8/03/2028(a) | 504,345 |
315,000 | Nissan Motor Acceptance Co. LLC, 7.050%, 9/15/2028(a) | 314,946 |
590,000 | PACCAR Financial Corp., MTN, 4.950%, 8/10/2028 | 583,273 |
685,000 | Toyota Motor Credit Corp., 4.550%, 5/17/2030 | 649,194 |
370,000 | Toyota Motor Credit Corp., MTN, 5.000%, 8/14/2026 | 366,359 |
980,000 | Toyota Motor Credit Corp., MTN, 5.250%, 9/11/2028 | 974,470 |
275,000 | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025(a) | 263,530 |
290,000 | Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023(a) | 289,391 |
11,237,323 | ||
Banking — 15.1% | ||
800,000 | ABN AMRO Bank NV, (fixed rate to 9/18/2026, variable rate thereafter), 6.339%, 9/18/2027(a) | 797,994 |
200,000 | AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(a) | 199,168 |
700,000 | AIB Group PLC, (fixed rate to 10/14/2025, variable rate thereafter), 7.583%, 10/14/2026(a) | 712,826 |
735,000 | Ally Financial, Inc., 7.100%, 11/15/2027 | 734,907 |
585,000 | American Express Co., (fixed rate to 5/01/2033, variable rate thereafter), 5.043%, 5/01/2034 | 539,341 |
1,065,000 | American Express Co., (fixed rate to 7/27/2028, variable rate thereafter), 5.282%, 7/27/2029 | 1,038,303 |
1,030,000 | ANZ New Zealand International Ltd., 5.355%, 8/14/2028(a) | 1,011,205 |
565,000 | ASB Bank Ltd., (fixed rate to 6/17/2027, variable rate thereafter), 5.284%, 6/17/2032(a) | 539,411 |
840,000 | Bank of America Corp., MTN, (fixed rate to 4/02/2025, variable rate thereafter), 3.384%, 4/02/2026 | 803,960 |
265,000 | Bank of America Corp., (fixed rate to 4/25/2033, variable rate thereafter), 5.288%, 4/25/2034 | 246,585 |
1,155,000 | Bank of America NA, 5.526%, 8/18/2026 | 1,149,395 |
395,000 | Bank of Ireland Group PLC, 4.500%, 11/25/2023(a) | 393,523 |
315,000 | Bank of Ireland Group PLC, (fixed rate to 9/16/2025, variable rate thereafter), 6.253%, 9/16/2026(a) | 313,026 |
30,000 | Bank of Montreal, 5.300%, 6/05/2026 | 29,596 |
1,710,000 | Bank of Montreal, 5.717%, 9/25/2028 | 1,691,830 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$570,000 | Bank of New York Mellon Corp., (fixed rate to 4/26/2026, variable rate thereafter), 4.947%, 4/26/2027 | $556,369 |
635,000 | Bank of New Zealand, 2.000%, 2/21/2025(a) | 601,591 |
250,000 | Bank of New Zealand, 2.285%, 1/27/2027(a) | 224,337 |
340,000 | Banque Federative du Credit Mutuel SA, 5.790%, 7/13/2028(a) | 337,394 |
570,000 | BNP Paribas SA, (fixed rate to 6/12/2028, variable rate thereafter), 5.335%, 6/12/2029(a) | 553,504 |
475,000 | CaixaBank SA, (fixed rate to 9/13/2033, variable rate thereafter), 6.840%, 9/13/2034(a) | 465,775 |
595,000 | Canadian Imperial Bank of Commerce, 5.001%, 4/28/2028 | 571,241 |
1,205,000 | Canadian Imperial Bank of Commerce, 6.092%, 10/03/2033 | 1,197,003 |
705,000 | Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024 | 696,485 |
770,000 | Capital One Financial Corp., (fixed rate to 6/08/2028, variable rate thereafter), 6.312%, 6/08/2029 | 752,519 |
1,725,000 | Citibank NA, 5.803%, 9/29/2028 | 1,725,246 |
510,000 | Citigroup, Inc., (fixed rate to 4/08/2025, variable rate thereafter), 3.106%, 4/08/2026 | 486,700 |
490,000 | Citigroup, Inc., (fixed rate to 5/25/2033, variable rate thereafter), 6.174%, 5/25/2034 | 468,255 |
705,000 | Citizens Financial Group, Inc., (fixed rate to 5/21/2032, variable rate thereafter), 5.641%, 5/21/2037 | 590,505 |
435,000 | Cooperatieve Rabobank UA, (fixed rate to 2/28/2028, variable rate thereafter), 5.564%, 2/28/2029(a) | 423,967 |
920,000 | Credit Agricole SA, (fixed rate to 10/03/2028, variable rate thereafter), 6.316%, 10/03/2029(a) | 920,106 |
335,000 | Credit Suisse AG, 5.000%, 7/09/2027 | 321,793 |
800,000 | Danske Bank AS, (fixed rate to 9/10/2024, variable rate thereafter), 0.976%, 9/10/2025(a) | 758,293 |
855,000 | Danske Bank AS, (fixed rate to 9/22/2025, variable rate thereafter), 6.259%, 9/22/2026(a) | 854,690 |
330,000 | Deutsche Bank AG, (fixed rate to 11/10/2032, variable rate thereafter), 7.079%, 2/10/2034 | 298,235 |
480,000 | Deutsche Bank AG, (fixed rate to 7/13/2026, variable rate thereafter), 7.146%, 7/13/2027 | 483,249 |
590,000 | DNB Bank ASA, (fixed rate to 9/16/2025, variable rate thereafter), 1.127%, 9/16/2026(a) | 532,359 |
720,000 | Federation des Caisses Desjardins du Quebec, 5.700%, 3/14/2028(a) | 709,697 |
460,000 | Fifth Third Bancorp, (fixed rate to 7/27/2028, variable rate thereafter), 6.339%, 7/27/2029 | 454,418 |
1,650,000 | Goldman Sachs Group, Inc., (fixed rate to 8/10/2025, variable rate thereafter), 5.798%, 8/10/2026 | 1,637,383 |
1,525,000 | HSBC Holdings PLC, (fixed rate to 8/14/2026, variable rate thereafter), 5.887%, 8/14/2027 | 1,506,396 |
520,000 | HSBC USA, Inc., 3.750%, 5/24/2024 | 511,405 |
525,000 | HSBC USA, Inc., 5.625%, 3/17/2025 | 521,892 |
585,000 | Huntington Bancshares, Inc., (fixed rate to 8/21/2028, variable rate thereafter), 6.208%, 8/21/2029 | 572,277 |
290,000 | Huntington National Bank, 5.650%, 1/10/2030 | 273,278 |
200,000 | ING Groep NV, (fixed rate to 9/11/2033, variable rate thereafter), 6.114%, 9/11/2034 | 194,222 |
495,000 | Intesa Sanpaolo SpA, 7.000%, 11/21/2025(a) | 500,386 |
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal Amount | Description | Value (†) |
Banking — continued | ||
$550,000 | JPMorgan Chase & Co., (fixed rate to 6/01/2028, variable rate thereafter), 2.069%, 6/01/2029 | $463,434 |
820,000 | JPMorgan Chase & Co., (fixed rate to 6/01/2033, variable rate thereafter), 5.350%, 6/01/2034 | 777,587 |
735,000 | JPMorgan Chase & Co., (fixed rate to 12/15/2024, variable rate thereafter), 5.546%, 12/15/2025 | 729,875 |
435,000 | KeyBank NA, 5.850%, 11/15/2027 | 413,686 |
790,000 | Lloyds Banking Group PLC, (fixed rate to 8/07/2026, variable rate thereafter), 5.985%, 8/07/2027 | 782,886 |
270,000 | Macquarie Group Ltd., (fixed rate to 6/15/2033, variable rate thereafter), 5.887%, 6/15/2034(a) | 254,111 |
1,110,000 | Morgan Stanley, (fixed rate to 7/20/2028, variable rate thereafter), 5.449%, 7/20/2029 | 1,081,660 |
925,000 | National Australia Bank Ltd., 4.900%, 6/13/2028 | 898,494 |
1,130,000 | National Bank of Canada, (fixed rate to 6/09/2024, variable rate thereafter), 3.750%, 6/09/2025 | 1,108,564 |
1,215,000 | NatWest Markets PLC, 1.600%, 9/29/2026(a) | 1,067,891 |
390,000 | Nordea Bank Abp, 1.500%, 9/30/2026(a) | 342,500 |
210,000 | Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032 | 185,277 |
1,100,000 | PNC Financial Services Group, Inc., (fixed rate to 6/12/2028, variable rate thereafter), 5.582%, 6/12/2029 | 1,067,125 |
710,000 | Royal Bank of Canada, GMTN, 5.200%, 8/01/2028 | 691,050 |
510,000 | Santander Holdings USA, Inc., (fixed rate to 6/12/2028, variable rate thereafter), 6.565%, 6/12/2029 | 497,499 |
1,280,000 | State Street Corp., 5.272%, 8/03/2026 | 1,267,975 |
675,000 | Sumitomo Mitsui Financial Group, Inc., 5.800%, 7/13/2028 | 670,312 |
200,000 | Sumitomo Mitsui Trust Bank Ltd., 2.550%, 3/10/2025(a) | 190,625 |
830,000 | Svenska Handelsbanken AB, 5.500%, 6/15/2028(a) | 805,922 |
360,000 | Swedbank AB, 5.472%, 6/15/2026(a) | 355,121 |
850,000 | Swedbank AB, 6.136%, 9/12/2026(a) | 846,530 |
560,000 | Synchrony Bank, 5.400%, 8/22/2025 | 538,709 |
285,000 | Synchrony Financial, 4.875%, 6/13/2025 | 273,261 |
575,000 | Toronto-Dominion Bank, MTN, 5.523%, 7/17/2028 | 567,547 |
630,000 | Truist Financial Corp., MTN, (fixed rate to 1/26/2033, variable rate thereafter), 5.122%, 1/26/2034 | 563,187 |
1,385,000 | UBS AG, 5.650%, 9/11/2028 | 1,361,936 |
840,000 | UBS Group AG, (fixed rate to 9/22/2033, variable rate thereafter), 6.301%, 9/22/2034(a) | 820,393 |
585,000 | UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026(a) | 535,906 |
695,000 | Wells Fargo & Co., MTN, (fixed rate to 4/25/2025, variable rate thereafter), 3.908%, 4/25/2026 | 669,669 |
1,365,000 | Wells Fargo & Co., MTN, (fixed rate to 7/25/2028, variable rate thereafter), 5.574%, 7/25/2029 | 1,331,683 |
52,062,455 | ||
Brokerage — 0.3% | ||
340,000 | Ameriprise Financial, Inc., 5.150%, 5/15/2033 | 321,146 |
355,000 | Blue Owl Finance LLC, 4.375%, 2/15/2032(a) | 283,962 |
530,000 | Jefferies Financial Group, Inc., 5.875%, 7/21/2028 | 518,676 |
1,123,784 | ||
Building Materials — 0.1% | ||
220,000 | Ferguson Finance PLC, 4.650%, 4/20/2032(a) | 197,547 |
215,000 | Mohawk Industries, Inc., 5.850%, 9/18/2028 | 213,413 |
410,960 |
Principal Amount | Description | Value (†) |
Chemicals — 0.5% | ||
$240,000 | Cabot Corp., 4.000%, 7/01/2029 | $217,280 |
300,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 292,024 |
535,000 | EIDP, Inc., 4.500%, 5/15/2026 | 521,103 |
845,000 | FMC Corp., 5.650%, 5/18/2033 | 764,328 |
1,794,735 | ||
Collateralized Mortgage Obligations — 0.6% | ||
88,994 | Government National Mortgage Association, Series 2014-H14, Class FA, 1 mo. USD SOFR + 0.614%, 5.718%, 7/20/2064(c) | 88,469 |
79,219 | Government National Mortgage Association, Series 2014-H15, Class FA, 1 mo. USD SOFR + 0.614%, 5.932%, 7/20/2064(c) | 78,724 |
187 | Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(d) | 166 |
137,631 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | 132,526 |
266,418 | Government National Mortgage Association, Series 2016-H06, Class FC, 1 mo. USD SOFR + 1.034%, 4.853%, 2/20/2066(c) | 264,797 |
761,831 | Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(b) | 712,961 |
160,297 | Government National Mortgage Association, Series 2019-H01, Class FL, 1 mo. USD SOFR + 0.564%, 5.882%, 12/20/2068(c) | 159,766 |
324,553 | Government National Mortgage Association, Series 2019-H01, Class FT, 1 mo. USD SOFR + 0.514%, 5.832%, 10/20/2068(c) | 323,398 |
471,902 | Government National Mortgage Association, Series 2019-H10, Class FM, 1 mo. USD SOFR + 0.514%, 5.832%, 5/20/2069(c) | 466,647 |
2,227,454 | ||
Construction Machinery — 0.9% | ||
410,000 | Caterpillar Financial Services Corp., DMTN, 4.350%, 5/15/2026 | 400,802 |
1,150,000 | Caterpillar Financial Services Corp., 5.150%, 8/11/2025 | 1,143,841 |
1,075,000 | CNH Industrial Capital LLC, 5.500%, 1/12/2029 | 1,056,393 |
520,000 | John Deere Capital Corp., MTN, 4.950%, 7/14/2028 | 512,818 |
3,113,854 | ||
Consumer Cyclical Services — 0.0% | ||
165,000 | Expedia Group, Inc., 6.250%, 5/01/2025(a) | 165,272 |
Consumer Products — 0.4% | ||
25,000 | Brunswick Corp., 4.400%, 9/15/2032 | 20,339 |
1,190,000 | Unilever Capital Corp., 5.000%, 12/08/2033 | 1,152,409 |
135,000 | Whirlpool Corp., 5.500%, 3/01/2033 | 129,364 |
1,302,112 | ||
Electric — 2.4% | ||
435,000 | AES Corp., 3.300%, 7/15/2025(a) | 412,022 |
910,000 | American Electric Power Co., Inc., 5.699%, 8/15/2025 | 905,336 |
120,000 | Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026 | 109,065 |
745,000 | DTE Energy Co., 4.220%, 11/01/2024 | 731,109 |
1,110,000 | Edison International, 4.700%, 8/15/2025 | 1,080,142 |
605,000 | Entergy Corp., 0.900%, 9/15/2025 | 549,296 |
280,000 | Interstate Power & Light Co., 5.700%, 10/15/2033 | 275,365 |
665,000 | National Rural Utilities Cooperative Finance Corp., MTN, 5.050%, 9/15/2028 | 653,293 |
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal Amount | Description | Value (†) |
Electric — continued | ||
$141,000 | National Rural Utilities Cooperative Finance Corp., (fixed rate to 5/01/2023, variable rate thereafter), 8.541%, 4/30/2043(c) | $138,533 |
675,000 | NextEra Energy Capital Holdings, Inc., 5.749%, 9/01/2025 | 673,105 |
380,000 | NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | 380,575 |
380,000 | Southern California Edison Co., 5.650%, 10/01/2028 | 379,320 |
730,000 | Vistra Operations Co. LLC, 5.125%, 5/13/2025(a) | 711,714 |
830,000 | WEC Energy Group, Inc., 4.750%, 1/09/2026 | 813,057 |
540,000 | Xcel Energy, Inc., 5.450%, 8/15/2033 | 515,337 |
8,327,269 | ||
Finance Companies — 2.5% | ||
510,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.150%, 2/15/2024 | 504,181 |
360,000 | Air Lease Corp., 1.875%, 8/15/2026 | 319,842 |
555,000 | Aircastle Ltd., 2.850%, 1/26/2028(a) | 470,908 |
285,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 279,493 |
500,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 418,196 |
50,000 | Ares Capital Corp., 4.250%, 3/01/2025 | 48,085 |
225,000 | Aviation Capital Group LLC, 4.375%, 1/30/2024(a) | 223,024 |
545,000 | Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026 | 470,006 |
200,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 175,477 |
795,000 | Blackstone Private Credit Fund, 2.625%, 12/15/2026 | 684,291 |
490,000 | Blackstone Secured Lending Fund, 2.850%, 9/30/2028 | 401,022 |
260,000 | Blue Owl Capital Corp., 3.750%, 7/22/2025 | 243,603 |
90,000 | Blue Owl Capital Corp., 4.250%, 1/15/2026 | 84,198 |
140,000 | Blue Owl Credit Income Corp., 7.750%, 9/16/2027 | 138,874 |
690,000 | Blue Owl Credit Income Corp., 7.950%, 6/13/2028(a) | 683,962 |
890,000 | Blue Owl Technology Finance Corp., 4.750%, 12/15/2025(a) | 823,214 |
435,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 353,977 |
660,000 | Golub Capital BDC, Inc., 2.500%, 8/24/2026 | 578,427 |
505,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 | 441,545 |
465,000 | Main Street Capital Corp., 3.000%, 7/14/2026 | 410,872 |
340,000 | Morgan Stanley Direct Lending Fund, 4.500%, 2/11/2027 | 315,839 |
160,000 | Sixth Street Specialty Lending, Inc., 6.950%, 8/14/2028 | 158,249 |
520,000 | USAA Capital Corp., 3.375%, 5/01/2025(a) | 501,075 |
8,728,360 | ||
Financial Other — 0.2% | ||
470,000 | LeasePlan Corp. NV, 2.875%, 10/24/2024(a) | 452,152 |
185,000 | ORIX Corp., 3.250%, 12/04/2024 | 178,734 |
630,886 | ||
Food & Beverage — 0.9% | ||
280,000 | Cargill, Inc., 4.500%, 6/24/2026(a) | 273,840 |
1,135,000 | Conagra Brands, Inc., 5.300%, 10/01/2026 | 1,123,473 |
875,000 | JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg Sarl, 6.750%, 3/15/2034(a) | 851,366 |
915,000 | Pernod Ricard International Finance LLC, 1.250%, 4/01/2028(a) | 765,644 |
3,014,323 | ||
Government Owned - No Guarantee — 0.3% | ||
800,000 | Antares Holdings LP, 3.750%, 7/15/2027(a) | 689,201 |
350,000 | BOC Aviation USA Corp., 1.625%, 4/29/2024(a) | 341,056 |
1,030,257 |
Principal Amount | Description | Value (†) |
Health Care REITs — 0.2% | ||
$350,000 | Healthpeak OP LLC, 5.250%, 12/15/2032 | $325,524 |
235,000 | Omega Healthcare Investors, Inc., 4.500%, 1/15/2025 | 228,383 |
553,907 | ||
Healthcare — 0.6% | ||
755,000 | GE HealthCare Technologies, Inc., 5.550%, 11/15/2024 | 751,215 |
320,000 | IQVIA, Inc., 5.700%, 5/15/2028(a) | 310,893 |
855,000 | Thermo Fisher Scientific, Inc., 4.977%, 8/10/2030 | 832,213 |
1,894,321 | ||
Hybrid ARMs — 0.0% | ||
13,912 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.225%, 5.216%, 1/01/2035(c) | 14,100 |
28,615 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.500%, 5.280%, 5/01/2036(c) | 29,080 |
43,180 | ||
Independent Energy — 0.2% | ||
405,000 | ConocoPhillips Co., 5.050%, 9/15/2033 | 387,712 |
460,000 | Pioneer Natural Resources Co., 5.100%, 3/29/2026 | 454,087 |
841,799 | ||
Life Insurance — 5.2% | ||
400,000 | Allianz SE, (fixed rate to 3/06/2033, variable rate thereafter), 6.350%, 9/06/2053(a) | 386,167 |
330,000 | Athene Global Funding, 2.500%, 3/24/2028(a) | 279,737 |
410,000 | Brighthouse Financial Global Funding, 1.200%, 12/15/2023(a) | 406,016 |
780,000 | Brighthouse Financial Global Funding, 1.750%, 1/13/2025(a) | 735,563 |
835,000 | CNO Global Funding, 2.650%, 1/06/2029(a) | 697,132 |
530,000 | Corebridge Financial, Inc., 6.050%, 9/15/2033(a) | 514,763 |
205,000 | Corebridge Global Funding, 0.900%, 9/22/2025(a) | 185,757 |
670,000 | Corebridge Global Funding, 5.750%, 7/02/2026(a) | 661,910 |
870,000 | Equitable Financial Life Global Funding, 5.500%, 12/02/2025(a) | 857,221 |
155,000 | F&G Annuities & Life, Inc., 7.400%, 1/13/2028 | 154,623 |
1,170,000 | F&G Global Funding, 5.150%, 7/07/2025(a) | 1,135,710 |
330,000 | Five Corners Funding Trust III, 5.791%, 2/15/2033(a) | 323,754 |
230,000 | GA Global Funding Trust, 1.250%, 12/08/2023(a) | 227,729 |
995,000 | GA Global Funding Trust, 2.250%, 1/06/2027(a) | 871,886 |
665,000 | Great-West Lifeco U.S. Finance 2020 LP, 0.904%, 8/12/2025(a) | 601,710 |
1,370,000 | Guardian Life Global Funding, 1.100%, 6/23/2025(a) | 1,258,027 |
705,000 | Jackson National Life Global Funding, 1.750%, 1/12/2025(a) | 661,943 |
155,000 | Jackson National Life Global Funding, 3.875%, 6/11/2025(a) | 147,581 |
230,000 | Lincoln National Corp., 3.400%, 3/01/2032 | 180,787 |
860,000 | MassMutual Global Funding II, 5.050%, 6/14/2028(a) | 838,199 |
520,000 | MetLife, Inc., 5.375%, 7/15/2033 | 499,886 |
530,000 | Metropolitan Life Global Funding I, 0.950%, 7/02/2025(a) | 486,826 |
695,000 | New York Life Global Funding, 4.700%, 4/02/2026(a) | 680,800 |
845,000 | New York Life Global Funding, 5.450%, 9/18/2026(a) | 842,833 |
840,000 | Northwestern Mutual Global Funding, 4.900%, 6/12/2028(a) | 815,598 |
440,000 | Protective Life Global Funding, 1.646%, 1/13/2025(a) | 416,423 |
765,000 | Protective Life Global Funding, 4.714%, 7/06/2027(a) | 735,747 |
655,000 | Reliance Standard Life Global Funding II, 2.750%, 5/07/2025(a) | 615,838 |
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal Amount | Description | Value (†) |
Life Insurance — continued | ||
$415,000 | Reliance Standard Life Global Funding II, 5.243%, 2/02/2026(a) | $403,177 |
570,000 | RGA Global Funding, 2.700%, 1/18/2029(a) | 483,301 |
755,000 | Security Benefit Global Funding, 1.250%, 5/17/2024(a) | 728,640 |
17,835,284 | ||
Lodging — 0.4% | ||
400,000 | Hyatt Hotels Corp., 5.750%, 1/30/2027 | 397,435 |
720,000 | Marriott International, Inc., 5.550%, 10/15/2028 | 711,945 |
350,000 | Marriott International, Inc., Series Z, 4.150%, 12/01/2023 | 348,891 |
1,458,271 | ||
Media Entertainment — 0.4% | ||
550,000 | Prosus NV, 4.193%, 1/19/2032(a) | 438,581 |
815,000 | Take-Two Interactive Software, Inc., 4.950%, 3/28/2028 | 787,666 |
1,226,247 | ||
Metals & Mining — 0.7% | ||
1,045,000 | BHP Billiton Finance USA Ltd., 4.875%, 2/27/2026 | 1,030,428 |
1,160,000 | Glencore Funding LLC, 6.375%, 10/06/2030(a) | 1,156,877 |
290,000 | Northern Star Resources Ltd., 6.125%, 4/11/2033(a) | 270,769 |
2,458,074 | ||
Midstream — 0.4% | ||
460,000 | Enbridge, Inc., 5.700%, 3/08/2033 | 440,680 |
435,000 | ONEOK, Inc., 5.550%, 11/01/2026 | 432,164 |
600,000 | Williams Cos., Inc., 5.400%, 3/02/2026 | 595,343 |
1,468,187 | ||
Mortgage Related — 0.5% | ||
522 | Federal Home Loan Mortgage Corp., 3.000%, 10/01/2026 | 506 |
7 | Federal Home Loan Mortgage Corp., 6.500%, 1/01/2024 | 7 |
8 | Federal Home Loan Mortgage Corp., 8.000%, 7/01/2025 | 8 |
9,998 | Government National Mortgage Association, 3.890%, with various maturities in 2062(b)(e) | 9,443 |
13,654 | Government National Mortgage Association, 4.015%, 4/20/2063(b) | 13,091 |
14,703 | Government National Mortgage Association, 4.157%, 6/20/2066(b) | 13,960 |
45,663 | Government National Mortgage Association, 4.256%, 11/20/2066(b) | 44,110 |
41,612 | Government National Mortgage Association, 4.389%, 9/20/2066(b) | 40,063 |
51,726 | Government National Mortgage Association, 4.410%, 10/20/2066(b) | 49,814 |
124,969 | Government National Mortgage Association, 4.426%, 10/20/2066(b) | 120,786 |
51,252 | Government National Mortgage Association, 4.453%, 11/20/2066(b) | 49,329 |
2,349 | Government National Mortgage Association, 4.466%, 11/20/2064(b) | 2,294 |
37,323 | Government National Mortgage Association, 4.471%, 8/20/2066(b) | 36,156 |
117,180 | Government National Mortgage Association, 4.496%, 9/20/2066(b) | 113,787 |
248,187 | Government National Mortgage Association, 4.585%, 7/20/2067(b) | 239,300 |
Principal Amount | Description | Value (†) |
Mortgage Related — continued | ||
$52,705 | Government National Mortgage Association, 4.586%, 10/20/2066(b) | $51,273 |
616,969 | Government National Mortgage Association, 4.639%, 4/20/2067(b) | 597,628 |
418,822 | Government National Mortgage Association, 4.670%, 1/20/2067(b) | 407,647 |
61,299 | Government National Mortgage Association, 4.700%, with various maturities from 2061 to 2064(b)(e) | 60,656 |
4 | Government National Mortgage Association, 6.500%, 12/15/2023 | 4 |
1,849,862 | ||
Natural Gas — 0.1% | ||
155,000 | Sempra, 5.400%, 8/01/2026 | 153,356 |
365,000 | Southern Co. Gas Capital Corp., 5.750%, 9/15/2033 | 357,819 |
511,175 | ||
Non-Agency Commercial Mortgage-Backed Securities — 5.4% | ||
230,000 | BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 | 194,373 |
270,000 | BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 | 222,192 |
870,000 | BANK, Series 2021-BN37, Class A5, 2.618%, 11/15/2064(b) | 682,732 |
635,000 | BANK, Series 2023-5YR3, Class A3, 6.724%, 9/15/2056(b) | 650,333 |
660,000 | BBCMS Mortgage Trust, Series 2020-BID, Class A, 1 mo. USD SOFR + 2.254%, 7.588%, 10/15/2037(a)(c) | 628,460 |
865,000 | BBCMS Mortgage Trust, Series 2021-C12, Class A5, 2.689%, 11/15/2054 | 685,878 |
300,000 | BBCMS Mortgage Trust, Series 2023-C20, Class A5, 5.576%, 7/15/2056 | 292,901 |
178,976 | BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030(a) | 157,184 |
285,000 | Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053 | 234,913 |
755,000 | Benchmark Mortgage Trust, Series 2021-B31, Class A5, 2.669%, 12/15/2054 | 595,631 |
520,000 | Benchmark Mortgage Trust, Series 2023-V2, Class A3, 5.812%, 5/15/2055(b) | 512,792 |
520,000 | BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.858%, 12/15/2038(a)(c) | 490,547 |
360,000 | BPR Trust, Series 2022-OANA, Class A, 1 mo. USD SOFR + 1.898%, 7.230%, 4/15/2037(a)(c) | 353,497 |
491,600 | CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048 | 464,356 |
361,996 | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058 | 336,929 |
992,138 | Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049 | 923,109 |
540,000 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 | 456,975 |
439,483 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | 362,749 |
7,382 | Commercial Mortgage Pass-Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047 | 7,357 |
280,000 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047 | 274,552 |
280,000 | Commercial Mortgage Pass-Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048 | 267,880 |
520,299 | Commercial Mortgage Pass-Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049 | 491,359 |
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$795,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037(a) | $678,394 |
33,828 | CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048 | 32,838 |
470,000 | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052 | 394,741 |
335,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class A, 6.314%, 9/12/2040(a) | 333,945 |
365,000 | GS Mortgage Securities Corp. II, Series 2023- SHIP, Class A, 4.466%, 9/10/2038(a)(b) | 347,597 |
605,000 | GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a) | 443,021 |
440,000 | GS Mortgage Securities Corportation Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033(a)(b) | 378,670 |
330,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047 | 327,927 |
245,000 | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 | 204,868 |
180,000 | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034(a) | 153,593 |
355,000 | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034(a) | 301,750 |
7,852 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047 | 7,808 |
575,000 | JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052 | 501,315 |
776,274 | Med Trust, Series 2021-MDLN, Class A, 1 mo. USD SOFR + 1.064%, 6.397%, 11/15/2038(a)(c) | 756,792 |
129,604 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048 | 122,968 |
550,000 | Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053 | 448,360 |
845,000 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.910%, 10/20/2061(a) | 728,641 |
465,000 | SCOTT Trust, Series 2023-SFS, Class A, 5.910%, 3/15/2040(a) | 450,931 |
980,000 | SPGN Mortgage Trust, Series 2022-TFLM, Class A, 1 mo. USD SOFR + 1.550%, 6.882%, 2/15/2039(a)(c) | 933,909 |
201,109 | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059 | 188,018 |
490,000 | Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class A4, 2.092%, 7/15/2053 | 379,747 |
825,000 | Wells Fargo Commercial Mortgage Trust, Series 2022-C62, Class A4, 4.000%, 4/15/2055(b) | 714,622 |
325,000 | WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047 | 321,744 |
20,909 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047 | 20,762 |
18,459,660 | ||
Office REITs — 0.1% | ||
485,000 | Hudson Pacific Properties LP, 5.950%, 2/15/2028 | 404,893 |
Other REITs — 0.1% | ||
410,000 | Prologis LP, 5.125%, 1/15/2034 | 387,190 |
Packaging — 0.1% | ||
335,000 | Amcor Flexibles North America, Inc., 4.000%, 5/17/2025 | 323,990 |
Principal Amount | Description | Value (†) |
Property & Casualty Insurance — 0.1% | ||
$255,000 | Assured Guaranty U.S. Holdings, Inc., 6.125%, 9/15/2028 | $255,004 |
240,000 | Trustage Financial Group, Inc., 4.625%, 4/15/2032(a) | 198,053 |
453,057 | ||
Railroads — 0.5% | ||
645,000 | CSX Corp., 5.200%, 11/15/2033 | 623,820 |
1,095,000 | Norfolk Southern Corp., 5.050%, 8/01/2030 | 1,055,034 |
215,000 | Union Pacific Corp., 3.646%, 2/15/2024 | 213,198 |
1,892,052 | ||
Refining — 0.2% | ||
540,000 | Phillips 66 Co., 4.950%, 12/01/2027 | 529,184 |
Retailers — 1.0% | ||
345,000 | AutoNation, Inc., 3.500%, 11/15/2024 | 333,193 |
290,000 | AutoNation, Inc., 4.500%, 10/01/2025 | 280,013 |
910,000 | AutoZone, Inc., 5.050%, 7/15/2026 | 896,723 |
825,000 | Dollar General Corp., 5.450%, 7/05/2033 | 761,934 |
1,245,000 | Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023 | 1,236,980 |
3,508,843 | ||
Sovereigns — 0.2% | ||
630,000 | Panama Government International Bonds, 6.875%, 1/31/2036 | 630,129 |
Technology — 2.3% | ||
270,000 | Avnet, Inc., 5.500%, 6/01/2032 | 248,361 |
485,000 | Avnet, Inc., 6.250%, 3/15/2028 | 483,626 |
440,000 | Broadcom, Inc., 4.000%, 4/15/2029(a) | 397,052 |
870,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 750,610 |
660,000 | Equifax, Inc., 5.100%, 6/01/2028 | 637,760 |
605,000 | Fiserv, Inc., 5.625%, 8/21/2033 | 586,211 |
355,000 | Flex Ltd., 6.000%, 1/15/2028 | 353,192 |
525,000 | Global Payments, Inc., 1.500%, 11/15/2024 | 498,683 |
665,000 | Hewlett Packard Enterprise Co., 5.250%, 7/01/2028 | 649,203 |
1,045,000 | Intel Corp., 5.200%, 2/10/2033 | 1,011,808 |
1,180,000 | Intuit, Inc., 5.200%, 9/15/2033 | 1,149,032 |
285,000 | Microchip Technology, Inc., 0.972%, 2/15/2024 | 279,758 |
695,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 706,151 |
200,000 | Qorvo, Inc., 1.750%, 12/15/2024(a) | 187,914 |
155,000 | S&P Global, Inc., 5.250%, 9/15/2033(a) | 151,083 |
8,090,444 | ||
Tobacco — 0.8% | ||
585,000 | Altria Group, Inc., 2.450%, 2/04/2032 | 441,311 |
710,000 | BAT Capital Corp., 6.343%, 8/02/2030 | 699,332 |
400,000 | Philip Morris International, Inc., 5.125%, 2/15/2030 | 383,617 |
1,190,000 | Philip Morris International, Inc., 5.500%, 9/07/2030 | 1,157,142 |
2,681,402 | ||
Transportation Services — 0.5% | ||
450,000 | Element Fleet Management Corp., 3.850%, 6/15/2025(a) | 428,742 |
390,000 | Element Fleet Management Corp., 6.271%, 6/26/2026(a) | 388,668 |
175,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025(a) | 168,082 |
240,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 5.550%, 5/01/2028(a) | 232,476 |
435,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 6.050%, 8/01/2028(a) | 429,543 |
1,647,511 | ||
Treasuries — 37.9% | ||
3,635,000 | U.S. Treasury Notes, 2.750%, 7/31/2027 | 3,386,088 |
Loomis Sayles Intermediate Duration Bond Fund (continued)
Principal Amount | Description | Value (†) |
Treasuries — continued | ||
$9,900,000 | U.S. Treasury Notes, 3.250%, 6/30/2027 | $9,406,160 |
30,555,000 | U.S. Treasury Notes, 3.500%, 4/30/2028 | 29,122,734 |
11,235,000 | U.S. Treasury Notes, 3.625%, 3/31/2028 | 10,770,679 |
13,355,000 | U.S. Treasury Notes, 3.625%, 5/31/2028 | 12,799,933 |
8,810,000 | U.S. Treasury Notes, 3.875%, 4/30/2025 | 8,630,703 |
17,710,000 | U.S. Treasury Notes, 3.875%, 11/30/2027 | 17,167,631 |
8,895,000 | U.S. Treasury Notes, 3.875%, 12/31/2027 | 8,620,853 |
3,080,000 | U.S. Treasury Notes, 3.875%, 8/15/2033 | 2,910,119 |
805,000 | U.S. Treasury Notes, 4.000%, 2/29/2028 | 784,183 |
13,855,000 | U.S. Treasury Notes, 4.125%, 7/31/2028 | 13,556,252 |
3,290,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 3,261,855 |
10,305,000 | U.S. Treasury Notes, 4.750%, 7/31/2025 | 10,236,568 |
130,653,758 | ||
Wireless — 0.2% | ||
810,000 | American Tower Corp., 5.250%, 7/15/2028 | 782,171 |
Wirelines — 0.3% | ||
565,000 | AT&T, Inc., 5.400%, 2/15/2034 | 528,783 |
495,000 | Bell Telephone Co. of Canada or Bell Canada, 5.100%, 5/11/2033 | 462,732 |
991,515 | ||
Total Bonds and Notes (Identified Cost $351,538,288) | 337,059,800 | |
Short-Term Investments — 2.4% | ||
8,427,014 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $8,428,769 on 10/02/2023 collateralized by $9,653,200 U.S. Treasury Note, 0.750% due 8/31/2026 valued at $8,595,608 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,427,014) | 8,427,014 |
Total Investments — 100.1% (Identified Cost $359,965,302) | 345,486,814 | |
Other assets less liabilities — (0.1)% | (372,002 ) | |
Net Assets — 100.0% | $345,114,812 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, the value of Rule 144A holdings amounted to $88,139,011 or 25.5% of net assets. |
(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 September 30, 2023 is disclosed. |
(c) | Variable rate security. Rate as of September 30, 2023 is disclosed. |
(d) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(e) | The Fund’s investment in mortgage related securities of Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages |
CMT | Constant Maturity Treasury |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 5 Year U.S. Treasury Notes Futures | 12/29/2023 | 71 | $7,547,469 | $7,480,516 | $(66,953 ) |
Ultra 10-Year U.S. Treasury Notes Futures | 12/19/2023 | 126 | 14,485,507 | 14,056,875 | (428,632 ) |
Total | $(495,585 ) |
Loomis Sayles Intermediate Duration Bond Fund (continued)
Treasuries | 37.9 % |
Banking | 15.1 |
ABS Car Loan | 8.7 |
Non-Agency Commercial Mortgage-Backed Securities | 5.4 |
Life Insurance | 5.2 |
Automotive | 3.3 |
Finance Companies | 2.5 |
Electric | 2.4 |
Technology | 2.3 |
ABS Other | 2.0 |
Other Investments, less than 2% each | 12.9 |
Short-Term Investments | 2.4 |
Total Investments | 100.1 |
Other assets less liabilities (including futures contracts) | (0.1 ) |
Net Assets | 100.0 % |
Loomis Sayles Limited Term Government and Agency Fund
Principal Amount | Description | Value (†) |
Bonds and Notes — 95.5% of Net Assets | ||
ABS Car Loan — 2.1% | ||
$3,220,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, 3.830%, 8/21/2028(a) | $2,965,446 |
1,823,209 | Carvana Auto Receivables Trust, Series 2021-N2, Class A2, 0.970%, 3/10/2028 | 1,714,905 |
560,049 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class A, 1.240%, 10/15/2029(a) | 559,036 |
2,735,000 | Exeter Automobile Receivables Trust, Series 2022-5A, Class A3, 5.430%, 4/15/2026 | 2,730,852 |
267 | GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024 | 267 |
655,000 | GM Financial Revolving Receivables Trust, Series 2021-1, Class A, 1.170%, 6/12/2034(a) | 575,666 |
1,555,000 | Hertz Vehicle Financing III LLC, Series 2023-3A, Class A, 5.940%, 2/25/2028(a) | 1,553,559 |
14,139 | Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024 | 14,112 |
85,738 | Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3, 1.380%, 12/16/2024 | 85,512 |
620,000 | PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4, 4.180%, 12/15/2028(a) | 601,476 |
765,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033(a) | 709,818 |
4,365,000 | Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A, 3.820%, 4/25/2035(a) | 4,105,827 |
15,616,476 | ||
ABS Other — 0.3% | ||
183,555 | Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032(a) | 181,496 |
32,808 | CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025 | 32,613 |
575,624 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034(a) | 563,500 |
586,836 | Enterprise Fleet Financing LLC, Series 2022-3, Class A2, 4.380%, 7/20/2029(a) | 574,499 |
292,941 | MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037(a) | 269,663 |
433,071 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037(a) | 405,284 |
576,947 | Welk Resorts LLC, Series 2019-AA, Class A, 2.800%, 6/15/2038(a) | 549,162 |
2,576,217 | ||
ABS Student Loan — 0.9% | ||
1,406,485 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.600%, 8/15/2068(a) | 1,292,163 |
438,712 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, 1.690%, 5/15/2069(a) | 395,140 |
1,484,053 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069(a) | 1,261,802 |
3,481,318 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069(a) | 2,906,695 |
776,268 | SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.340%, 3/17/2053(a) | 681,005 |
6,536,805 | ||
Agency Commercial Mortgage-Backed Securities — 27.6% | ||
7,344,343 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K038, Class A2, 3.389%, 3/25/2024 | 7,270,336 |
Principal Amount | Description | Value (†) |
Agency Commercial Mortgage-Backed Securities — continued | ||
$2,580,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027 | $2,420,182 |
19,074,155 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K139, Class A1, 2.209%, 10/25/2031 | 16,491,963 |
11,380,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K747, Class A2, 2.050%, 11/25/2028(b) | 9,811,597 |
7,929,868 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KC06, Class A2, 2.541%, 8/25/2026 | 7,345,532 |
2,129,552 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K-F100, Class AS, 30 day USD SOFR Average + 0.180%, 5.491%, 1/25/2028(c) | 2,092,708 |
5,564,048 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K-F121, Class AS, 30 day USD SOFR Average + 0.180%, 5.491%, 8/25/2028(c) | 5,453,040 |
12,662,262 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF123, Class AS, 30 day USD SOFR Average + 0.200%, 5.511%, 9/25/2028(c) | 12,498,134 |
1,245,348 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF53, Class A, 30 day USD SOFR Average + 0.504%, 5.816%, 10/25/2025(c) | 1,238,669 |
5,160,767 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF72, Class A, 30 day USD SOFR Average + 0.614%, 5.926%, 10/25/2026(c) | 5,137,464 |
1,894,454 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF74, Class AS, 1 mo. USD SOFR Historical Calendar Day Compounded + 0.530%, 5.842%, 1/25/2027(c) | 1,887,852 |
5,244,774 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF77, Class AL, 30 day USD SOFR Average + 0.814%, 6.126%, 2/25/2027(c) | 5,247,625 |
6,898,222 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF77, Class AS, 30 day USD SOFR Average + 0.900%, 6.211%, 2/25/2027(c) | 6,960,748 |
17,566,566 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF78, Class AL, 30 day USD SOFR Average + 0.914%, 6.226%, 3/25/2030(c) | 17,515,852 |
17,566,566 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF78, Class AS, 30 day USD SOFR Average + 1.000%, 6.311%, 3/25/2030(c) | 17,796,145 |
3,132,630 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF79, Class AL, 30 day USD SOFR Average + 0.584%, 5.896%, 5/25/2030(c) | 3,114,991 |
2,890,666 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF79, Class AS, 30 day USD SOFR Average + 0.580%, 5.891%, 5/25/2030(c) | 2,870,110 |
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal Amount | Description | Value (†) |
Agency Commercial Mortgage-Backed Securities — continued | ||
$3,997,045 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF80, Class AL, 30 day USD SOFR Average + 0.554%, 5.866%, 6/25/2030(c) | $3,959,017 |
2,245,786 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF80, Class AS, 30 day USD SOFR Average + 0.510%, 5.821%, 6/25/2030(c) | 2,231,130 |
835,665 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AL, 30 day USD SOFR Average + 0.474%, 5.786%, 6/25/2027(c) | 835,777 |
626,749 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AS, 30 day USD SOFR Average + 0.400%, 5.711%, 6/25/2027(c) | 623,694 |
588,161 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF84, Class AL, 30 day USD SOFR Average + 0.414%, 5.726%, 7/25/2030(c) | 580,560 |
494,802 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF84, Class AS, 30 day USD SOFR Average + 0.320%, 5.631%, 7/25/2030(c) | 485,844 |
161,572 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF85, Class AL, 30 day USD SOFR Average + 0.414%, 5.726%, 8/25/2030(c) | 159,066 |
430,714 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF85, Class AS, 30 day USD SOFR Average + 0.330%, 5.641%, 8/25/2030(c) | 423,943 |
530,390 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF86, Class AL, 30 day USD SOFR Average + 0.404%, 5.716%, 8/25/2027(c) | 527,818 |
473,623 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF86, Class AS, 30 day USD SOFR Average + 0.320%, 5.631%, 8/25/2027(c) | 469,210 |
440,611 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF93, Class AL, 30 day USD SOFR Average + 0.394%, 5.706%, 10/25/2027(c) | 436,891 |
529,019 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF93, Class AS, 30 day USD SOFR Average + 0.310%, 5.621%, 10/25/2027(c) | 523,704 |
2,965,584 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF97, Class AS, 30 day USD SOFR Average + 0.250%, 5.561%, 12/25/2030(c) | 2,908,733 |
6,775,952 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ20, Class A2, 3.799%, 12/25/2025 | 6,565,039 |
8,246,363 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ21, Class A2, 3.700%, 9/25/2026 | 7,919,863 |
6,507,557 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027 | 6,098,828 |
Principal Amount | Description | Value (†) |
Agency Commercial Mortgage-Backed Securities — continued | ||
$7,165,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ37, Class A2, 2.333%, 11/25/2030 | $6,090,107 |
16,300,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ42, Class A2, 4.118%, 11/25/2032 | 15,170,133 |
8,515,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS12, Class A, 30 day USD SOFR Average + 0.764%, 6.076%, 8/25/2029(c) | 8,491,760 |
2,855,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS14, Class AL, 30 day USD SOFR Average + 0.454%, 5.766%, 4/25/2030(c) | 2,829,750 |
3,140,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS14, Class AS, 30 day USD SOFR Average + 0.370%, 5.681%, 4/25/2030(c) | 3,107,294 |
733,071 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series Q008, Class A, 30 day USD SOFR Average + 0.504%, 5.816%, 10/25/2045(c) | 727,691 |
171,970 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series Q015, Class A, 30 day USD SOFR Average + 0.200%, 5.513%, 8/25/2024(c) | 171,939 |
3,913,379 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series Q016, Class APT1, 1.242%, 5/25/2051(b) | 3,538,105 |
5,200,000 | Federal National Mortgage Association, 3.580%, 1/01/2026 | 4,995,379 |
1,548,312 | Federal National Mortgage Association, Series 2014-M2, Class A2, 3.513%, 12/25/2023(b) | 1,538,643 |
704,347 | Federal National Mortgage Association, Series 2020-M5, Class FA, 30 day USD SOFR Average + 0.574%, 5.886%, 1/25/2027(c) | 699,890 |
71,539 | Government National Mortgage Association, Series 2003-72, Class Z, 5.412%, 11/16/2045(b) | 68,923 |
207,331,679 | ||
Collateralized Mortgage Obligations — 10.7% | ||
41,471 | Federal Home Loan Mortgage Corp., Series 2131, Class ZB, REMIC, 6.000%, 3/15/2029(d) | 39,494 |
366,831 | Federal Home Loan Mortgage Corp., Series 2978, Class JG, REMIC, 5.500%, 5/15/2035(d) | 359,951 |
562,166 | Federal Home Loan Mortgage Corp., Series 3036, Class NE, REMIC, 5.000%, 9/15/2035(d) | 544,341 |
191,934 | Federal Home Loan Mortgage Corp., Series 3412, Class AY, REMIC, 5.500%, 2/15/2038(d) | 185,250 |
538,958 | Federal Home Loan Mortgage Corp., Series 3561, Class W, IO, REMIC, 2.600%, 6/15/2048(b)(e) | 477,709 |
427,263 | Federal Home Loan Mortgage Corp., Series 3620, Class AT, REMIC, 3.841%, 12/15/2036(b)(e) | 416,806 |
98,978 | Federal Home Loan Mortgage Corp., Series 4212, Class FW, REMIC, 0.000%, 6/15/2043(b)(d) | 76,990 |
4,683 | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, Series T-60, Class 2A1, 3.926%, 3/25/2044(b)(d) | 3,832 |
236,227 | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, Series T-62, Class 1A1, 1 yr. MTA + 1.200%, 5.826%, 10/25/2044(c)(d) | 210,673 |
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$971 | Federal National Mortgage Association, Series 1994-42, Class FD, REMIC, 10 yr. CMT - 0.500%, 3.770%, 4/25/2024(c)(d) | $938 |
5,332 | Federal National Mortgage Association, Series 2002-W10, Class A7, REMIC, 4.419%, 8/25/2042(b)(d) | 4,768 |
516,409 | Federal National Mortgage Association, Series 2003-48, Class GH, REMIC, 5.500%, 6/25/2033(d) | 505,620 |
7,304 | Federal National Mortgage Association, Series 2005-100, Class BQ, REMIC, 5.500%, 11/25/2025(d) | 7,038 |
280,108 | Federal National Mortgage Association, Series 2007-73, Class A1, REMIC, 30 day USD SOFR Average + 0.174%, 5.462%, 7/25/2037(c)(d) | 268,649 |
504,381 | Federal National Mortgage Association, Series 2008-86, Class LA, REMIC, 3.492%, 8/25/2038(b) | 471,484 |
1,028,893 | Federal National Mortgage Association, Series 2012-56, Class FK, REMIC, 30 day USD SOFR Average + 0.564%, 5.879%, 6/25/2042(c)(d) | 985,271 |
1,135,114 | Federal National Mortgage Association, Series 2012-58, Class KF, REMIC, 30 day USD SOFR Average + 0.664%, 5.979%, 6/25/2042(c) | 1,105,439 |
2,803,362 | Federal National Mortgage Association, Series 2012-83, Class LF, REMIC, 30 day USD SOFR Average + 0.624%, 5.939%, 8/25/2042(c) | 2,717,810 |
1,840,298 | Federal National Mortgage Association, Series 2013-67, Class NF, REMIC, 30 day USD SOFR Average + 1.114%, 5.000%, 7/25/2043(c) | 1,698,682 |
3,033,940 | Federal National Mortgage Association, Series 2015-4, Class BF, REMIC, 30 day USD SOFR Average + 0.514%, 5.829%, 2/25/2045(c) | 2,922,357 |
4,303,171 | Federal National Mortgage Association, Series 2020-35, Class FA, REMIC, 30 day USD SOFR Average + 0.614%, 5.242%, 6/25/2050(c) | 4,173,913 |
868,891 | Government National Mortgage Association, Series 2005-18, Class F, 1 mo. USD SOFR + 0.314%, 5.639%, 2/20/2035(c)(d) | 850,170 |
662,199 | Government National Mortgage Association, Series 2007-59, Class FM, 1 mo. USD SOFR + 0.634%, 5.959%, 10/20/2037(c)(d) | 652,937 |
139,718 | Government National Mortgage Association, Series 2009-H01, Class FA, 1 mo. USD SOFR + 1.264%, 6.589%, 11/20/2059(c)(d) | 138,320 |
460,805 | Government National Mortgage Association, Series 2010-H20, Class AF, 1 mo. USD SOFR + 0.444%, 5.762%, 10/20/2060(c) | 457,792 |
359,901 | Government National Mortgage Association, Series 2010-H24, Class FA, 1 mo. USD SOFR + 0.464%, 5.782%, 10/20/2060(c) | 357,567 |
266,084 | Government National Mortgage Association, Series 2010-H27, Class FA, 1 mo. USD SOFR + 0.494%, 5.812%, 12/20/2060(c) | 264,435 |
15,253 | Government National Mortgage Association, Series 2011-H08, Class FA, 1 mo. USD SOFR + 0.714%, 6.032%, 2/20/2061(c) | 15,205 |
28,393 | Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(d) | 25,593 |
3 | Government National Mortgage Association, Series 2012-124, Class HT, 0.000%, 7/20/2032(b)(d) | 3 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$1,901,230 | Government National Mortgage Association, Series 2012-18, Class FM, 1 mo. USD SOFR + 0.364%, 5.689%, 9/20/2038(c) | $1,886,399 |
87 | Government National Mortgage Association, Series 2012-H15, Class FA, 1 mo. USD SOFR + 0.564%, 5.500%, 5/20/2062(c)(d) | 83 |
202,879 | Government National Mortgage Association, Series 2012-H18, Class NA, 1 mo. USD SOFR + 0.634%, 5.952%, 8/20/2062(c) | 201,858 |
9,608 | Government National Mortgage Association, Series 2012-H29, Class HF, 1 mo. USD SOFR + 0.614%, 4.785%, 10/20/2062(c)(d) | 8,796 |
11,552 | Government National Mortgage Association, Series 2013-H02, Class GF, 1 mo. USD SOFR + 0.614%, 5.001%, 12/20/2062(c)(d) | 10,810 |
425,190 | Government National Mortgage Association, Series 2013-H08, Class FA, 1 mo. USD SOFR + 0.464%, 5.782%, 3/20/2063(c)(d) | 417,568 |
703,755 | Government National Mortgage Association, Series 2013-H10, Class FA, 1 mo. USD SOFR + 0.514%, 5.832%, 3/20/2063(c) | 699,800 |
91,624 | Government National Mortgage Association, Series 2013-H14, Class FG, 1 mo. USD SOFR + 0.584%, 5.902%, 5/20/2063(c)(d) | 90,216 |
2,679,077 | Government National Mortgage Association, Series 2014-H14, Class FA, 1 mo. USD SOFR + 0.614%, 5.718%, 7/20/2064(c) | 2,663,274 |
2,354,238 | Government National Mortgage Association, Series 2014-H15, Class FA, 1 mo. USD SOFR + 0.614%, 5.932%, 7/20/2064(c) | 2,339,515 |
1,464,254 | Government National Mortgage Association, Series 2015-H04, Class FL, 1 mo. USD SOFR + 0.584%, 5.688%, 2/20/2065(c) | 1,455,532 |
3,576 | Government National Mortgage Association, Series 2015-H05, Class FA, 1 mo. USD SOFR + 0.414%, 4.741%, 4/20/2061(c)(d) | 3,461 |
5,008 | Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(d) | 4,441 |
211,471 | Government National Mortgage Association, Series 2015-H10, Class FC, 1 mo. USD SOFR + 0.594%, 5.698%, 4/20/2065(c) | 210,215 |
2,326,135 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | 2,239,863 |
2,026 | Government National Mortgage Association, Series 2015-H11, Class FA, 1 mo. USD SOFR + 0.364%, 4.774%, 4/20/2065(c)(d) | 1,871 |
1,372,623 | Government National Mortgage Association, Series 2015-H12, Class FL, 1 mo. USD SOFR + 0.344%, 5.662%, 5/20/2065(c) | 1,362,747 |
27,410 | Government National Mortgage Association, Series 2015-H19, Class FH, 1 mo. USD SOFR + 0.414%, 4.497%, 7/20/2065(c)(d) | 25,379 |
1,883 | Government National Mortgage Association, Series 2015-H29, Class FA, 1 mo. USD SOFR + 0.814%, 4.629%, 10/20/2065(c)(d) | 1,806 |
2,536 | Government National Mortgage Association, Series 2015-H30, Class FA, 1 mo. USD SOFR + 0.794%, 4.810%, 8/20/2061(c)(d) | 2,410 |
2,918,843 | Government National Mortgage Association, Series 2016-H06, Class FC, 1 mo. USD SOFR + 1.034%, 4.853%, 2/20/2066(c) | 2,901,088 |
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$734,906 | Government National Mortgage Association, Series 2016-H20, Class FB, 1 mo. USD SOFR + 0.664%, 5.982%, 9/20/2066(c) | $731,245 |
1,987,499 | Government National Mortgage Association, Series 2017-H05, Class FC, 1 mo. USD SOFR + 0.864%, 5.144%, 2/20/2067(c) | 1,970,336 |
2,815 | Government National Mortgage Association, Series 2018-H02, Class FJ, 1 mo. USD SOFR + 0.314%, 4.408%, 10/20/2064(c)(d) | 2,722 |
4,168,134 | Government National Mortgage Association, Series 2018-H11, Class FJ, 1 yr. USD SOFR + 0.795%, 5.027%, 6/20/2068(c) | 4,106,393 |
72,245 | Government National Mortgage Association, Series 2018-H14, Class FG, 1 mo. USD SOFR + 0.464%, 5.782%, 9/20/2068(c) | 71,659 |
6,376,477 | Government National Mortgage Association, Series 2018-H16, Class FA, 1 mo. USD SOFR + 0.534%, 5.385%, 9/20/2068(c) | 6,245,759 |
5,844,827 | Government National Mortgage Association, Series 2019-H04, Class NA, 3.500%, 9/20/2068 | 5,399,991 |
874,091 | Government National Mortgage Association, Series 2019-H13, Class FT, 1 yr. CMT + 0.450%, 5.830%, 8/20/2069(c) | 873,044 |
1,604,648 | Government National Mortgage Association, Series 2020-30, Class F, 1 mo. USD SOFR + 0.514%, 5.844%, 4/20/2048(c) | 1,530,502 |
3,100,351 | Government National Mortgage Association, Series 2020-53, Class NF, 1 mo. USD SOFR + 0.564%, 5.894%, 5/20/2046(c) | 2,897,585 |
1,732,342 | Government National Mortgage Association, Series 2020-H01, Class FT, 1 yr. CMT + 0.500%, 5.880%, 1/20/2070(c) | 1,724,926 |
3,329,697 | Government National Mortgage Association, Series 2020-H02, Class FG, 1 mo. USD SOFR + 0.714%, 5.414%, 1/20/2070(c) | 3,306,845 |
3,804,113 | Government National Mortgage Association, Series 2020-H04, Class FP, 1 mo. USD SOFR + 0.614%, 5.294%, 6/20/2069(c) | 3,772,249 |
6,304,563 | Government National Mortgage Association, Series 2020-H07, Class FL, 1 mo. USD SOFR + 0.764%, 6.082%, 4/20/2070(c) | 6,287,269 |
4,558,783 | Government National Mortgage Association, Series 2020-H10, Class FD, 1 mo. USD SOFR + 0.514%, 5.832%, 5/20/2070(c) | 4,541,957 |
79,928,651 | ||
Hybrid ARMs — 2.2% | ||
130,771 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.732%, 4.126%, 4/01/2037(c) | 129,249 |
39,328 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.742%, 4.229%, 12/01/2037(c) | 38,773 |
410,082 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.286%, 4.430%, 2/01/2036(c) | 407,918 |
142,470 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.903%, 4.453%, 4/01/2037(c) | 140,083 |
71,809 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.250%, 4.498%, 2/01/2035(c) | 72,505 |
253,796 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.245%, 4.538%, 3/01/2036(c) | 256,256 |
671,140 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.267%, 4.587%, 2/01/2036(c) | 674,128 |
Principal Amount | Description | Value (†) |
Hybrid ARMs — continued | ||
$73,835 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.204%, 4.593%, 9/01/2038(c) | $72,474 |
211,636 | Federal Home Loan Mortgage Corp., 6 mo. RFUCC Treasury + 1.770%, 4.643%, 6/01/2037(c) | 205,848 |
1,062,927 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.840%, 4.825%, 1/01/2046(c) | 1,063,509 |
58,168 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.678%, 4.875%, 3/01/2038(c) | 56,628 |
193,747 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.165%, 4.993%, 4/01/2036(c) | 190,619 |
67,702 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.770%, 5.021%, 11/01/2038(c) | 66,227 |
1,068,997 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.249%, 5.155%, 3/01/2037(c) | 1,081,795 |
602,777 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.897%, 5.275%, 9/01/2041(c) | 589,423 |
137,200 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.935%, 5.297%, 12/01/2034(c) | 135,180 |
413,826 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.765%, 5.746%, 9/01/2035(c) | 412,029 |
75,033 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.703%, 5.771%, 11/01/2038(c) | 74,042 |
250,505 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.248%, 5.900%, 9/01/2038(c) | 254,480 |
188,789 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.220%, 6.142%, 7/01/2033(c) | 186,039 |
714,231 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 4.050%, 10/01/2041(c) | 721,779 |
110,273 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 4.050%, 12/01/2041(c) | 108,487 |
34,920 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.729%, 4.074%, 1/01/2037(c) | 34,477 |
171,443 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.734%, 4.188%, 2/01/2037(c) | 169,055 |
93,837 | Federal National Mortgage Association, 1 yr. CMT + 2.185%, 4.310%, 12/01/2034(c) | 92,250 |
285,343 | Federal National Mortgage Association, 1 yr. CMT + 2.185%, 4.310%, 1/01/2036(c) | 283,465 |
28,549 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.565%, 4.315%, 4/01/2037(c) | 28,075 |
128,526 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.667%, 4.392%, 10/01/2033(c) | 127,330 |
458,999 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.820%, 4.445%, 2/01/2047(c) | 454,058 |
80,193 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.729%, 4.476%, 11/01/2035(c) | 81,436 |
429,266 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.804%, 4.520%, 3/01/2037(c) | 423,854 |
88,084 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 4.544%, 3/01/2034(c) | 88,891 |
131,018 | Federal National Mortgage Association, 1 yr. CMT + 2.486%, 4.611%, 5/01/2035(c) | 131,643 |
378,511 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.559%, 4.685%, 7/01/2035(c) | 378,119 |
698,857 | Federal National Mortgage Association, 1 yr. CMT + 2.228%, 4.701%, 4/01/2034(c) | 703,255 |
114,798 | Federal National Mortgage Association, 1 yr. CMT + 2.147%, 4.721%, 9/01/2034(c) | 115,563 |
82,419 | Federal National Mortgage Association, 1 yr. CMT + 2.196%, 4.740%, 4/01/2034(c) | 80,411 |
555,028 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.550%, 4.824%, 4/01/2037(c) | 559,724 |
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal Amount | Description | Value (†) |
Hybrid ARMs — continued | ||
$214,059 | Federal National Mortgage Association, 1 yr. CMT + 2.131%, 4.843%, 6/01/2036(c) | $211,367 |
113,785 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.680%, 5.014%, 11/01/2036(c) | 113,316 |
455,097 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.706%, 5.045%, 9/01/2037(c) | 462,496 |
246,355 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 2.065%, 5.056%, 7/01/2037(c) | 248,143 |
85,672 | Federal National Mortgage Association, 1 yr. CMT + 2.287%, 5.148%, 10/01/2033(c) | 84,570 |
43,201 | Federal National Mortgage Association, 1 yr. CMT + 2.211%, 5.211%, 4/01/2033(c) | 42,758 |
929,532 | Federal National Mortgage Association, 1 yr. CMT + 2.214%, 5.262%, 10/01/2034(c) | 941,840 |
18,151 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.806%, 5.275%, 7/01/2041(c) | 17,730 |
736,298 | Federal National Mortgage Association, 1 yr. CMT + 2.170%, 5.343%, 12/01/2040(c) | 745,544 |
98,757 | Federal National Mortgage Association, 1 yr. CMT + 2.500%, 5.477%, 8/01/2036(c) | 101,136 |
769,126 | Federal National Mortgage Association, 1 yr. CMT + 2.185%, 5.687%, 11/01/2033(c) | 782,324 |
373,729 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.564%, 5.742%, 9/01/2037(c) | 369,470 |
67,759 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.515%, 5.765%, 8/01/2035(c) | 66,263 |
209,487 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.639%, 5.889%, 8/01/2038(c) | 206,417 |
144,610 | Federal National Mortgage Association, 1 yr. CMT + 2.287%, 5.924%, 6/01/2033(c) | 143,349 |
214,832 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.681%, 5.931%, 7/01/2038(c) | 211,785 |
49,659 | Federal National Mortgage Association, 1 yr. CMT + 2.145%, 5.934%, 9/01/2036(c) | 49,253 |
88,650 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.713%, 5.963%, 8/01/2034(c) | 86,558 |
275,786 | Federal National Mortgage Association, 1 yr. CMT + 2.270%, 6.020%, 6/01/2037(c) | 277,399 |
58,555 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 2.473%, 6.223%, 6/01/2035(c) | 57,454 |
127,686 | Federal National Mortgage Association, 1 yr. CMT + 2.223%, 6.223%, 8/01/2035(c) | 125,970 |
49,545 | Federal National Mortgage Association, 1 yr. CMT + 2.440%, 6.266%, 8/01/2033(c) | 49,134 |
209,195 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 1.546%, 6.747%, 7/01/2035(c) | 211,681 |
19,712 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 1.460%, 7.161%, 2/01/2037(c) | 19,985 |
16,315,019 | ||
Mortgage Related — 1.1% | ||
10,667 | Federal Home Loan Mortgage Corp., 3.000%, 10/01/2026 | 10,324 |
100,630 | Federal Home Loan Mortgage Corp., 4.000%, with various maturities from 2024 to 2042(f) | 92,822 |
22,680 | Federal Home Loan Mortgage Corp., 4.500%, with various maturities from 2025 to 2034(f) | 21,592 |
12 | Federal Home Loan Mortgage Corp., 5.500%, 10/01/2023 | 12 |
101,491 | Federal Home Loan Mortgage Corp., 6.500%, 12/01/2034 | 103,369 |
Principal Amount | Description | Value (†) |
Mortgage Related — continued | ||
$21 | Federal Home Loan Mortgage Corp., 7.500%, 6/01/2026 | $21 |
75,790 | Federal National Mortgage Association, 3.000%, 3/01/2042 | 64,792 |
502,646 | Federal National Mortgage Association, 5.000%, with various maturities from 2037 to 2038(f) | 492,510 |
142,047 | Federal National Mortgage Association, 5.500%, with various maturities from 2024 to 2033(f) | 138,756 |
125,525 | Federal National Mortgage Association, 6.500%, with various maturities from 2032 to 2037(f) | 126,807 |
24,279 | Federal National Mortgage Association, 7.500%, with various maturities from 2030 to 2032(f) | 24,389 |
105,215 | Government National Mortgage Association, 4.140%, with various maturities from 2061 to 2063(b)(f) | 100,604 |
13,673 | Government National Mortgage Association, 4.390%, 12/20/2062(b) | 13,263 |
1,843,077 | Government National Mortgage Association, 4.439%, 10/20/2065(b) | 1,792,183 |
97,839 | Government National Mortgage Association, 4.547%, 1/20/2064(b) | 96,668 |
742,388 | Government National Mortgage Association, 4.576%, 2/20/2066(b) | 726,995 |
1,876 | Government National Mortgage Association, 4.619%, 8/20/2062(b) | 1,814 |
52,491 | Government National Mortgage Association, 4.630%, with various maturities from 2062 to 2063(b)(f) | 51,646 |
6,476 | Government National Mortgage Association, 4.642%, 2/20/2062(b) | 6,085 |
576,003 | Government National Mortgage Association, 4.663%, 11/20/2063(b) | 570,620 |
9,518 | Government National Mortgage Association, 4.677%, 8/20/2061(b) | 9,295 |
343,961 | Government National Mortgage Association, 4.700%, with various maturities from 2061 to 2064(b)(f) | 337,509 |
1,874 | Government National Mortgage Association, 4.889%, 4/20/2061(b) | 1,826 |
4,453 | Government National Mortgage Association, 6.000%, 12/15/2031 | 4,517 |
19,436 | Government National Mortgage Association, 6.500%, 5/15/2031 | 19,612 |
948,489 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 1.758%, 6.875%, 2/20/2061(c) | 956,869 |
17,280 | Government National Mortgage Association, 7.000%, 10/15/2028 | 17,268 |
667,971 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 1.890%, 7.038%, 2/20/2063(c) | 677,574 |
526,740 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.170%, 7.318%, 3/20/2063(c) | 535,519 |
500,930 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.186%, 7.335%, 5/20/2065(c) | 508,011 |
502,488 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.229%, 7.378%, 6/20/2065(c) | 513,516 |
289,109 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.329%, 7.477%, 2/20/2063(c) | 294,516 |
8,311,304 | ||
Non-Agency Commercial Mortgage-Backed Securities — 3.6% | ||
1,595,000 | BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 | 1,312,578 |
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$3,895,000 | BBCMS Mortgage Trust, Series 2020-BID, Class A, 1 mo. USD SOFR + 2.254%, 7.588%, 10/15/2037(a)(c) | $3,708,867 |
1,825,000 | BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.858%, 12/15/2038(a)(c) | 1,721,630 |
4,650,000 | BPR Trust, Series 2022-SSP, Class A, 1 mo. USD SOFR + 3.000%, 8.332%, 5/15/2039(a)(c) | 4,638,382 |
1,745,000 | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3, 3.839%, 12/10/2054 | 1,636,261 |
1,076,116 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | 888,226 |
1,488,000 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047 | 1,476,706 |
1,927,127 | Commercial Mortgage Pass-Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049 | 1,875,772 |
2,570,000 | DROP Mortgage Trust, Series 2021-FILE, Class A, 1 mo. USD SOFR + 1.264%, 6.597%, 10/15/2043(a)(c) | 2,395,700 |
2,600,000 | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034(a) | 2,210,000 |
3,295,000 | SPGN Mortgage Trust, Series 2022-TFLM, Class A, 1 mo. USD SOFR + 1.550%, 6.882%, 2/15/2039(a)(c) | 3,140,032 |
2,995,449 | Starwood Retail Property Trust, Series 2014-STAR, Class A, PRIME + 0.000%, 8.500%, 11/15/2027(a)(c) | 2,141,746 |
27,145,900 | ||
Treasuries — 47.0% | ||
4,010,000 | U.S. Treasury Notes, 0.375%, 9/30/2027 | 3,384,847 |
3,620,000 | U.S. Treasury Notes, 2.750%, 4/30/2027 | 3,385,124 |
71,120,000 | U.S. Treasury Notes, 2.750%, 2/15/2028 | 65,774,888 |
4,460,000 | U.S. Treasury Notes, 3.875%, 3/31/2025 | 4,371,323 |
6,715,000 | U.S. Treasury Notes, 3.875%, 4/30/2025 | 6,578,339 |
26,990,000 | U.S. Treasury Notes, 3.875%, 11/30/2027 | 26,163,431 |
10,465,000 | U.S. Treasury Notes, 3.875%, 12/31/2027 | 10,142,465 |
12,315,000 | U.S. Treasury Notes, 4.000%, 2/29/2028 | 11,996,542 |
42,930,000 | U.S. Treasury Notes, 4.000%, 6/30/2028 | 41,784,641 |
5,270,000 | U.S. Treasury Notes, 4.125%, 10/31/2027 | 5,157,807 |
7,645,000 | U.S. Treasury Notes, 4.125%, 7/31/2028 | 7,480,155 |
28,125,000 | U.S. Treasury Notes, 4.250%, 5/31/2025 | 27,707,520 |
13,620,000 | U.S. Treasury Notes, 4.375%, 8/31/2028 | 13,484,864 |
30,065,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 29,807,803 |
20,570,000 | U.S. Treasury Notes, 4.625%, 3/15/2026 | 20,426,974 |
4,285,000 | U.S. Treasury Notes, 4.625%, 9/30/2028 | 4,287,678 |
18,775,000 | U.S. Treasury Notes, 4.750%, 7/31/2025 | 18,650,322 |
3,710,000 | U.S. Treasury Notes, 5.000%, 8/31/2025 | 3,702,464 |
48,100,000 | U.S. Treasury Notes, 5.000%, 9/30/2025 | 48,054,906 |
352,342,093 | ||
Total Bonds and Notes (Identified Cost $744,443,600) | 716,104,144 | |
Short-Term Investments — 13.9% | ||
16,180,699 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $16,184,070 on 10/02/2023 collateralized by $18,183,500 U.S. Treasury Note, 1.375% due 8/31/2026 valued at $16,504,399 including accrued interest (Note 2 of Notes to Financial Statements) | 16,180,699 |
19,850,000 | Federal Home Loan Bank Discount Notes, 5.220%, 10/02/2023(g) | 19,850,000 |
Principal Amount | Description | Value (†) |
$20,125,000 | Federal Home Loan Bank Discount Notes, 5.250%, 10/11/2023(g) | $20,098,571 |
48,130,000 | Federal National Mortgage Association Discount Notes, 5.225%, 10/02/2023(g) | 48,130,000 |
Total Short-Term Investments (Identified Cost $104,249,423) | 104,259,270 | |
Total Investments — 109.4% (Identified Cost $848,693,023) | 820,363,414 | |
Other assets less liabilities — (9.4)% | (70,610,040 ) | |
Net Assets — 100.0% | $749,753,374 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, the value of Rule 144A holdings amounted to $40,995,820 or 5.5% of net assets. |
(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 September 30, 2023 is disclosed. |
(c) | Variable rate security. Rate as of September 30, 2023 is disclosed. |
(d) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(e) | Interest only security. Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(f) | The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(g) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages |
CMT | Constant Maturity Treasury |
MTA | Monthly Treasury Average Interest |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
Loomis Sayles Limited Term Government and Agency Fund (continued)
Treasuries | 47.0 % |
Agency Commercial Mortgage-Backed Securities | 27.6 |
Collateralized Mortgage Obligations | 10.7 |
Non-Agency Commercial Mortgage-Backed Securities | 3.6 |
Hybrid ARMs | 2.2 |
ABS Car Loan | 2.1 |
Other Investments, less than 2% each | 2.3 |
Short-Term Investments | 13.9 |
Total Investments | 109.4 |
Other assets less liabilities | (9.4 ) |
Net Assets | 100.0 % |
Core Plus Bond Fund | Credit Income Fund | Global Allocation Fund | |
ASSETS | |||
Investments at cost | $7,787,658,751 | $23,034,894 | $2,624,501,457 |
Net unrealized appreciation (depreciation) | (829,580,447 ) | (3,106,067 ) | 74,079,500 |
Investments at value | 6,958,078,304 | 19,928,827 | 2,698,580,957 |
Cash | 255,588 | — | — |
Due from brokers (Note 2) | 3,371,000 | — | 1,685,158 |
Foreign currency at value (identified cost $145, $0 and $4,750,191, respectively) | 141 | — | 4,622,763 |
Receivable for Fund shares sold | 14,488,147 | — | 1,314,294 |
Receivable from investment adviser (Note 6) | — | 8,531 | — |
Receivable for securities sold | 277,789,766 | 146,383 | 16,103,999 |
Receivable for when-issued/delayed delivery securities sold (Note 2) | 375,426,793 | — | — |
Collateral received for open forward foreign currency contracts (Notes 2 and 4) | — | — | 320,000 |
Dividends and interest receivable | 58,146,144 | 229,307 | 10,188,657 |
Unrealized appreciation on forward foreign currency contracts (Note 2) | — | — | 761,221 |
Tax reclaims receivable | — | — | 346,361 |
Receivable for variation margin on futures contracts (Note 2) | 2,269,678 | 7,516 | 175,107 |
Prepaid expenses (Note 8) | 2,076 | 147 | 1,007 |
TOTAL ASSETS | 7,689,827,637 | 20,320,711 | 2,734,099,524 |
LIABILITIES | |||
Payable for securities purchased | 441,705,849 | 88,049 | 28,459,332 |
Payable for when-issued/delayed delivery securities purchased (Note 2) | 513,413,328 | — | — |
Payable for Fund shares redeemed | 18,324,968 | — | 3,392,111 |
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | — | 2,347,238 |
Foreign taxes payable (Note 2) | — | — | 63,761 |
Due to brokers (Note 2) | — | — | 320,000 |
Management fees payable (Note 6) | 1,783,288 | — | 1,699,033 |
Deferred Trustees’ fees (Note 6) | 937,833 | 9,445 | 425,050 |
Administrative fees payable (Note 6) | 261,070 | 784 | 105,709 |
Payable to distributor (Note 6d) | 56,297 | — | 45,934 |
Audit and tax services fees payable | 59,010 | 68,341 | 61,026 |
Other accounts payable and accrued expenses | 276,840 | 7,536 | 867,746 |
TOTAL LIABILITIES | 976,818,483 | 174,155 | 37,786,940 |
NET ASSETS | $6,713,009,154 | $20,146,556 | $2,696,312,584 |
NET ASSETS CONSIST OF: | |||
Paid-in capital | $8,164,337,609 | $24,572,928 | $2,546,286,496 |
Accumulated earnings (loss) | (1,451,328,455 ) | (4,426,372 ) | 150,026,088 |
NET ASSETS | $6,713,009,154 | $20,146,556 | $2,696,312,584 |
Core Plus Bond Fund | Credit Income Fund | Global Allocation Fund | |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | |||
Class A shares: | |||
Net assets | $376,624,257 | $196,569 | $474,968,049 |
Shares of beneficial interest | 34,462,001 | 23,990 | 22,141,164 |
Net asset value and redemption price per share | $10.93 | $8.19 | $21.45 |
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | $11.42 | $8.55 | $22.76 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | |||
Net assets | $30,401,904 | $889 | $256,486,857 |
Shares of beneficial interest | 2,778,971 | 109 | 12,456,681 |
Net asset value and offering price per share | $10.94 | $8.18 * | $20.59 |
Class N shares: | |||
Net assets | $2,015,456,654 | $19,929,934 | $266,297,696 |
Shares of beneficial interest | 182,599,764 | 2,434,178 | 12,228,843 |
Net asset value, offering and redemption price per share | $11.04 | $8.19 | $21.78 |
Class Y shares: | |||
Net assets | $4,290,526,339 | $19,164 | $1,698,559,982 |
Shares of beneficial interest | 388,974,499 | 2,342 | 78,093,675 |
Net asset value, offering and redemption price per share | $11.03 | $8.18 | $21.75 |
* | Net asset value calculations have been determined utilizing fractional share and penny amounts. |
Growth Fund | Intermediate Duration Bond Fund | Limited Term Government and Agency Fund | |
ASSETS | |||
Investments at cost | $6,301,122,757 | $359,965,302 | $848,693,023 |
Net unrealized appreciation (depreciation) | 4,496,140,295 | (14,478,488 ) | (28,329,609 ) |
Investments at value | 10,797,263,052 | 345,486,814 | 820,363,414 |
Cash | — | — | 109 |
Due from brokers (Note 2) | — | 590,000 | — |
Receivable for Fund shares sold | 27,990,314 | 159,241 | 2,581,321 |
Receivable for securities sold | 13,260,781 | 1,752,233 | 20,166,920 |
Dividends and interest receivable | 379,293 | 3,163,573 | 3,481,173 |
Tax reclaims receivable | 7,696,480 | 132 | — |
Receivable for variation margin on futures contracts (Note 2) | — | 40,647 | — |
Prepaid expenses (Note 8) | 3,139 | 231 | 355 |
TOTAL ASSETS | 10,846,593,059 | 351,192,871 | 846,593,292 |
LIABILITIES | |||
Payable for securities purchased | 30,806,207 | 5,632,077 | 94,308,773 |
Payable for Fund shares redeemed | 9,075,927 | 127,657 | 1,181,239 |
Distributions payable | — | — | 561,385 |
Management fees payable (Note 6) | 4,615,169 | 61,489 | 157,398 |
Deferred Trustees’ fees (Note 6) | 917,972 | 163,663 | 458,214 |
Administrative fees payable (Note 6) | 427,511 | 13,082 | 28,559 |
Payable to distributor (Note 6d) | 73,702 | 6,597 | 11,829 |
Audit and tax services fees payable | 42,542 | 57,481 | 62,068 |
Other accounts payable and accrued expenses | 493,853 | 16,013 | 70,453 |
TOTAL LIABILITIES | 46,452,883 | 6,078,059 | 96,839,918 |
NET ASSETS | $10,800,140,176 | $345,114,812 | $749,753,374 |
NET ASSETS CONSIST OF: | |||
Paid-in capital | $5,718,046,544 | $391,986,139 | $845,478,071 |
Accumulated earnings (loss) | 5,082,093,632 | (46,871,327 ) | (95,724,697 ) |
NET ASSETS | $10,800,140,176 | $345,114,812 | $749,753,374 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | |||
Class A shares: | |||
Net assets | $798,842,616 | $7,149,797 | $209,032,043 |
Shares of beneficial interest | 40,798,640 | 780,313 | 19,778,822 |
Net asset value and redemption price per share | $19.58 | $9.16 | $10.57 |
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | $20.77 | $9.57 | $10.81 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | |||
Net assets | $78,115,741 | $698,321 | $8,509,724 |
Shares of beneficial interest | 4,706,942 | 75,970 | 807,230 |
Net asset value and offering price per share | $16.60 | $9.19 | $10.54 |
Class N shares: | |||
Net assets | $718,310,999 | $55,983,141 | $45,715,983 |
Shares of beneficial interest | 33,169,745 | 6,114,971 | 4,313,137 |
Net asset value, offering and redemption price per share | $21.66 | $9.16 | $10.60 |
Class Y shares: | |||
Net assets | $9,204,870,820 | $281,283,553 | $486,495,624 |
Shares of beneficial interest | 425,928,476 | 30,714,023 | 45,887,141 |
Net asset value, offering and redemption price per share | $21.61 | $9.16 | $10.60 |
Core Plus Bond Fund | Credit Income Fund | Global Allocation Fund | |
INVESTMENT INCOME | |||
Interest | $261,489,744 | $902,978 | $40,961,159 |
Dividends | — | 14,437 | 24,418,897 |
Less net foreign taxes withheld | — | — | (1,204,270 ) |
261,489,744 | 917,415 | 64,175,786 | |
Expenses | |||
Management fees (Note 6) | 20,719,842 | 88,151 | 21,232,335 |
Service and distribution fees (Note 6) | 1,407,950 | 639 | 4,120,941 |
Administrative fees (Note 6) | 2,965,046 | 9,729 | 1,322,590 |
Trustees' fees and expenses (Note 6) | 376,005 | 17,340 | 176,511 |
Transfer agent fees and expenses (Notes 6 and 7) | 4,628,336 | 4,373 | 2,388,014 |
Audit and tax services fees | 58,913 | 68,351 | 61,923 |
Custodian fees and expenses | 190,061 | 7,911 | 176,550 |
Legal fees | 255,949 | 893 | 115,434 |
Registration fees | 238,321 | 75,485 | 109,306 |
Shareholder reporting expenses | 271,650 | 4,859 | 152,153 |
Miscellaneous expenses | 231,680 | 42,683 | 144,320 |
Total expenses | 31,343,753 | 320,414 | 30,000,077 |
Less waiver and/or expense reimbursement (Note 6) | (456,348 ) | (210,497 ) | — |
Net expenses | 30,887,405 | 109,917 | 30,000,077 |
Net investment income | 230,602,339 | 807,498 | 34,175,709 |
Net realized and unrealized gain (loss) on Investments, Futures contracts, Forward foreign currency contracts and Foreign currency transactions | |||
Net realized gain (loss) on: | |||
Investments | (201,801,145 ) | (625,995 ) | 118,010,239 |
Futures contracts | (58,324,300 ) | (357,294 ) | (9,602,991 ) |
Forward foreign currency contracts (Note 2e) | — | — | (5,164,099 ) |
Foreign currency transactions (Note 2d) | 127,585 | — | 85,914 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | 81,002,401 | 998,295 | 368,454,167 |
Futures contracts | (10,538,977 ) | (111,864 ) | (870,412 ) |
Forward foreign currency contracts (Note 2e) | — | — | 1,802,223 |
Foreign currency translations (Note 2d) | 5,306 | — | 138,620 |
Net realized and unrealized gain (loss) on Investments, Futures contracts, Forward foreign currency contracts and Foreign currency transactions | (189,529,130 ) | (96,858 ) | 472,853,661 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $41,073,209 | $710,640 | $507,029,370 |
Growth Fund | Intermediate Duration Bond Fund | Limited Term Government and Agency Fund | |
INVESTMENT INCOME | |||
Interest | $2,848,235 | $12,097,468 | $26,770,004 |
Dividends | 49,657,679 | — | — |
Less net foreign taxes withheld | (2,510,550 ) | — | — |
49,995,364 | 12,097,468 | 26,770,004 | |
Expenses | |||
Management fees (Note 6) | 50,343,793 | 782,053 | 2,268,277 |
Service and distribution fees (Note 6) | 2,475,159 | 42,934 | 655,605 |
Administrative fees (Note 6) | 4,665,811 | 144,972 | 331,097 |
Trustees' fees and expenses (Note 6) | 523,560 | 45,612 | 93,715 |
Transfer agent fees and expenses (Notes 6 and 7) | 9,008,908 | 222,394 | 685,057 |
Audit and tax services fees | 46,292 | 57,510 | 62,081 |
Custodian fees and expenses | 455,176 | 25,427 | 36,353 |
Legal fees | 396,504 | 12,870 | 29,772 |
Registration fees | 475,850 | 60,321 | 112,392 |
Shareholder reporting expenses | 565,988 | 21,365 | 52,146 |
Miscellaneous expenses | 403,162 | 51,336 | 57,649 |
Total expenses | 69,360,203 | 1,466,794 | 4,384,144 |
Less waiver and/or expense reimbursement (Note 6) | — | (184,858 ) | (533,000 ) |
Net expenses | 69,360,203 | 1,281,936 | 3,851,144 |
Net investment income (loss) | (19,364,839 ) | 10,815,532 | 22,918,860 |
Net realized and unrealized gain (loss) on Investments, Futures contracts and foreign currency transactions | |||
Net realized gain (loss) on: | |||
Investments | 623,787,240 | (9,533,725 ) | (11,880,518 ) |
Futures contracts | — | (2,159,161 ) | — |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | 2,716,486,374 | 7,773,041 | 7,382,057 |
Futures contracts | — | 776,181 | — |
Foreign currency translations (Note 2d) | 137,400 | — | — |
Net realized and unrealized gain (loss) on Investments, Futures contracts and foreign currency transactions | 3,340,411,014 | (3,143,664 ) | (4,498,461 ) |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $3,321,046,175 | $7,671,868 | $18,420,399 |
Core Plus Bond Fund | Credit Income Fund | |||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2023 | Year Ended September 30, 2022 | |
FROM OPERATIONS: | ||||
Net investment income | $230,602,339 | $174,385,553 | $807,498 | $631,633 |
Net realized gain (loss) on investments, futures contracts, swap agreements and foreign currency transactions | (259,997,860 ) | (277,234,957 ) | (983,289 ) | 266,764 |
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations | 70,468,730 | (1,058,570,772 ) | 886,431 | (4,721,802 ) |
Net increase (decrease) in net assets resulting from operations | 41,073,209 | (1,161,420,176 ) | 710,640 | (3,823,405 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (14,223,494 ) | (16,005,020 ) | (11,032 ) | (3,571 ) |
Class C | (1,000,231 ) | (1,420,755 ) | (34 ) | (25 ) |
Class N | (75,521,129 ) | (68,723,627 ) | (1,004,585 ) | (818,127 ) |
Class Y | (146,856,134 ) | (135,179,006 ) | (1,127 ) | (1,898 ) |
Total distributions | (237,600,988 ) | (221,328,408 ) | (1,016,778 ) | (823,621 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | 998,143,455 | (1,555,408,285 ) | 1,293 | 142,887 |
Net increase (decrease) in net assets | 801,615,676 | (2,938,156,869 ) | (304,845 ) | (4,504,139 ) |
NET ASSETS | ||||
Beginning of the year | 5,911,393,478 | 8,849,550,347 | 20,451,401 | 24,955,540 |
End of the year | $6,713,009,154 | $5,911,393,478 | $20,146,556 | $20,451,401 |
Global Allocation Fund | Growth Fund | |||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2023 | Year Ended September 30, 2022 | |
FROM OPERATIONS: | ||||
Net investment income (loss) | $34,175,709 | $26,885,363 | $(19,364,839 ) | $(10,830,629 ) |
Net realized gain on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions | 103,329,063 | 205,757,956 | 623,787,240 | 1,235,669,337 |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations | 369,524,598 | (1,371,139,443 ) | 2,716,623,774 | (4,804,984,300 ) |
Net increase (decrease) in net assets resulting from operations | 507,029,370 | (1,138,496,124 ) | 3,321,046,175 | (3,580,145,592 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (46,037,953 ) | (54,983,218 ) | (87,496,281 ) | (87,877,160 ) |
Class C | (28,653,920 ) | (37,592,938 ) | (11,157,335 ) | (6,955,691 ) |
Class N | (23,349,603 ) | (26,402,455 ) | (94,252,383 ) | (39,935,698 ) |
Class Y | (167,186,118 ) | (248,208,914 ) | (1,021,376,434 ) | (530,904,861 ) |
Total distributions | (265,227,594 ) | (367,187,525 ) | (1,214,282,433 ) | (665,673,410 ) |
NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | (506,795,479 ) | (410,454,398 ) | (794,319,290 ) | (35,119,431 ) |
Net increase (decrease) in net assets | (264,993,703 ) | (1,916,138,047 ) | 1,312,444,452 | (4,280,938,433 ) |
NET ASSETS | ||||
Beginning of the year | 2,961,306,287 | 4,877,444,334 | 9,487,695,724 | 13,768,634,157 |
End of the year | $2,696,312,584 | $2,961,306,287 | $10,800,140,176 | $9,487,695,724 |
Intermediate Duration Bond Fund | Limited Term Government and Agency Fund | |||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2023 | Year Ended September 30, 2022 | |
FROM OPERATIONS: | ||||
Net investment income | $10,815,532 | $5,926,872 | $22,918,860 | $7,352,923 |
Net realized loss on investments and futures contracts | (11,692,886 ) | (19,695,363 ) | (11,880,518 ) | (21,343,422 ) |
Net change in unrealized appreciation (depreciation) on investments and futures contracts | 8,549,222 | (24,895,828 ) | 7,382,057 | (38,167,377 ) |
Net increase (decrease) in net assets resulting from operations | 7,671,868 | (38,664,319 ) | 18,420,399 | (52,157,876 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (458,681 ) | (418,231 ) | (7,482,280 ) | (2,294,331 ) |
Class C | (16,463 ) | (3,268 ) | (275,385 ) | (45,623 ) |
Class N | (924,081 ) | (457,509 ) | (1,508,048 ) | (191,170 ) |
Class Y | (9,622,358 ) | (6,995,943 ) | (15,806,812 ) | (6,809,271 ) |
Total distributions | (11,021,583 ) | (7,874,951 ) | (25,072,525 ) | (9,340,395 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | 55,500,864 | (42,173,549 ) | (15,089,643 ) | (200,047,990 ) |
Net increase (decrease) in net assets | 52,151,149 | (88,712,819 ) | (21,741,769 ) | (261,546,261 ) |
NET ASSETS | ||||
Beginning of the year | 292,963,663 | 381,676,482 | 771,495,143 | 1,033,041,404 |
End of the year | $345,114,812 | $292,963,663 | $749,753,374 | $771,495,143 |
Core Plus Bond Fund—Class A | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $11.20 | $13.59 | $14.08 | $13.25 | $12.53 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.38 | 0.26 | 0.21 | 0.26 | 0.34 |
Net realized and unrealized gain (loss) | (0.25 ) | (2.30 ) | (0.13 ) | 0.86 | 0.70 |
Total from Investment Operations | 0.13 | (2.04 ) | 0.08 | 1.12 | 1.04 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.40 ) | (0.32 ) | (0.29 ) | (0.29 ) | (0.32 ) |
Net realized capital gains | — | (0.03 ) | (0.28 ) | — | — |
Total Distributions | (0.40 ) | (0.35 ) | (0.57 ) | (0.29 ) | (0.32 ) |
Net asset value, end of the period | $10.93 | $11.20 | $13.59 | $14.08 | $13.25 |
Total return(b) | 1.04 %(c) | (15.24 )%(c) | 0.53 % | 8.60 % | 8.39 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $376,624 | $428,825 | $747,497 | $617,609 | $558,291 |
Net expenses | 0.74 %(d) | 0.73 %(d)(e) | 0.71 % | 0.72 %(f) | 0.73 % |
Gross expenses | 0.75 % | 0.74 % | 0.71 % | 0.72 % | 0.73 % |
Net investment income | 3.33 % | 2.08 % | 1.51 % | 1.88 % | 2.63 % |
Portfolio turnover rate | 168 % | 280 % | 266 % | 359 %(g) | 297 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2022, the expense limit decreased from 0.75% to 0.74%. |
(f) | Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%. |
(g) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
Core Plus Bond Fund—Class C | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $11.21 | $13.60 | $14.09 | $13.25 | $12.53 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.30 | 0.17 | 0.10 | 0.15 | 0.24 |
Net realized and unrealized gain (loss) | (0.26 ) | (2.30 ) | (0.13 ) | 0.88 | 0.70 |
Total from Investment Operations | 0.04 | (2.13 ) | (0.03 ) | 1.03 | 0.94 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.31 ) | (0.23 ) | (0.18 ) | (0.19 ) | (0.22 ) |
Net realized capital gains | — | (0.03 ) | (0.28 ) | — | — |
Total Distributions | (0.31 ) | (0.26 ) | (0.46 ) | (0.19 ) | (0.22 ) |
Net asset value, end of the period | $10.94 | $11.21 | $13.60 | $14.09 | $13.25 |
Total return(b) | 0.26 %(c) | (15.88 )%(c) | (0.24 )% | 7.83 % | 7.57 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $30,402 | $48,679 | $95,755 | $132,590 | $160,201 |
Net expenses | 1.49 %(d) | 1.48 %(d)(e) | 1.46 % | 1.47 %(f) | 1.48 % |
Gross expenses | 1.50 % | 1.49 % | 1.46 % | 1.47 % | 1.48 % |
Net investment income | 2.57 % | 1.33 % | 0.75 % | 1.13 % | 1.88 % |
Portfolio turnover rate | 168 % | 280 % | 266 % | 359 %(g) | 297 % |
(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) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2022, the expense limit decreased from 1.50% to 1.49%. |
(f) | Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%. |
(g) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
Core Plus Bond Fund—Class N | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $11.31 | $13.72 | $14.21 | $13.37 | $12.63 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.43 | 0.31 | 0.26 | 0.30 | 0.38 |
Net realized and unrealized gain (loss) | (0.26 ) | (2.32 ) | (0.14 ) | 0.88 | 0.72 |
Total from Investment Operations | 0.17 | (2.01 ) | 0.12 | 1.18 | 1.10 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.44 ) | (0.37 ) | (0.33 ) | (0.34 ) | (0.36 ) |
Net realized capital gains | — | (0.03 ) | (0.28 ) | — | — |
Total Distributions | (0.44 ) | (0.40 ) | (0.61 ) | (0.34 ) | (0.36 ) |
Net asset value, end of the period | $11.04 | $11.31 | $13.72 | $14.21 | $13.37 |
Total return | 1.37 % | (14.94 )% | 0.86 % | 8.95 % | 8.85 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $2,015,457 | $1,890,793 | $2,563,736 | $2,682,487 | $2,610,699 |
Net expenses | 0.40 % | 0.38 %(b) | 0.38 % | 0.38 %(c) | 0.39 % |
Gross expenses | 0.40 % | 0.38 % | 0.38 % | 0.38 % | 0.39 % |
Net investment income | 3.69 % | 2.47 % | 1.84 % | 2.21 % | 2.96 % |
Portfolio turnover rate | 168 % | 280 % | 266 % | 359 %(d) | 297 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Effective July 1, 2022, the expense limit decreased from 0.45% to 0.44%. |
(c) | Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%. |
(d) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
Core Plus Bond Fund—Class Y | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $11.30 | $13.71 | $14.20 | $13.36 | $12.63 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.42 | 0.30 | 0.24 | 0.29 | 0.37 |
Net realized and unrealized gain (loss) | (0.26 ) | (2.32 ) | (0.13 ) | 0.88 | 0.71 |
Total from Investment Operations | 0.16 | (2.02 ) | 0.11 | 1.17 | 1.08 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.43 ) | (0.36 ) | (0.32 ) | (0.33 ) | (0.35 ) |
Net realized capital gains | — | (0.03 ) | (0.28 ) | — | — |
Total Distributions | (0.43 ) | (0.39 ) | (0.60 ) | (0.33 ) | (0.35 ) |
Net asset value, end of the period | $11.03 | $11.30 | $13.71 | $14.20 | $13.36 |
Total return | 1.28 %(b) | (15.03 )%(b) | 0.78 % | 8.87 % | 8.67 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $4,290,526 | $3,543,096 | $5,442,563 | $5,846,057 | $4,163,785 |
Net expenses | 0.49 %(c) | 0.48 %(c)(d) | 0.46 % | 0.47 %(e) | 0.48 % |
Gross expenses | 0.50 % | 0.49 % | 0.46 % | 0.47 % | 0.48 % |
Net investment income | 3.60 % | 2.35 % | 1.76 % | 2.11 % | 2.87 % |
Portfolio turnover rate | 168 % | 280 % | 266 % | 359 %(f) | 297 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | Effective July 1, 2022, the expense limit decreased from 0.50% to 0.49%. |
(e) | Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%. |
(f) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
Credit Income Fund—Class A | ||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Period Ended September 30, 2020* | |
Net asset value, beginning of the period | $8.31 | $10.21 | $9.97 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income (loss)(a) | 0.31 | 0.23 | 0.21 | (0.00 )(b) |
Net realized and unrealized gain (loss) | (0.05 ) | (1.82 ) | 0.31 | (0.03 ) |
Total from Investment Operations | 0.26 | (1.59 ) | 0.52 | (0.03 ) |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | (0.33 ) | (0.27 ) | (0.28 ) | — |
Net realized capital gains | (0.05 ) | (0.04 ) | (0.00 )(b) | — |
Total Distributions | (0.38 ) | (0.31 ) | (0.28 ) | — |
Net asset value, end of the period | $8.19 | $8.31 | $10.21 | $9.97 |
Total return(c)(d) | 3.13 % | (15.88 )% | 5.24 % | (0.30 )%(e) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $197 | $175 | $91 | $1 |
Net expenses(f) | 0.82 % | 0.82 % | 0.82 % | 0.82 %(g) |
Gross expenses | 2.95 % | 3.37 % | 4.79 % | 125.79 %(g) |
Net investment income (loss) | 3.61 % | 2.54 % | 2.07 % | (0.82 )%(g) |
Portfolio turnover rate | 27 % | 21 % | 55 % | 0 % |
* | From commencement of operations on September 29, 2020 through September 30, 2020. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A sales charge for Class A shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
Credit Income Fund—Class C | ||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Period Ended September 30, 2020* | |
Net asset value, beginning of the period | $8.30 | $10.20 | $9.97 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income (loss)(a) | 0.24 | 0.16 | 0.13 | (0.00 )(b) |
Net realized and unrealized gain (loss) | (0.04 ) | (1.82 ) | 0.30 | (0.03 ) |
Total from Investment Operations | 0.20 | (1.66 ) | 0.43 | (0.03 ) |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | (0.27 ) | (0.20 ) | (0.20 ) | — |
Net realized capital gains | (0.05 ) | (0.04 ) | (0.00 )(b) | — |
Total Distributions | (0.32 ) | (0.24 ) | (0.20 ) | — |
Net asset value, end of the period | $8.18 | $8.30 | $10.20 | $9.97 |
Total return(c)(d) | 2.37 % | (16.53 )% | 4.34 % | (0.30 )%(e) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $1 | $1 | $1 | $1 |
Net expenses(f) | 1.57 % | 1.57 % | 1.57 % | 1.57 %(g) |
Gross expenses | 3.66 % | 4.18 % | 5.60 % | 126.54 %(g) |
Net investment income (loss) | 2.79 % | 1.67 % | 1.29 % | (1.57 )%(g) |
Portfolio turnover rate | 27 % | 21 % | 55 % | 0 % |
* | From commencement of operations on September 29, 2020 through September 30, 2020. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | 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. |
Credit Income Fund—Class N | ||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Period Ended September 30, 2020* | |
Net asset value, beginning of the period | $8.31 | $10.21 | $9.97 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income(a) | 0.33 | 0.26 | 0.24 | 0.00 (b) |
Net realized and unrealized gain (loss) | (0.04 ) | (1.82 ) | 0.31 | (0.03 ) |
Total from Investment Operations | 0.29 | (1.56 ) | 0.55 | (0.03 ) |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | (0.36 ) | (0.30 ) | (0.31 ) | — |
Net realized capital gains | (0.05 ) | (0.04 ) | (0.00 )(b) | — |
Total Distributions | (0.41 ) | (0.34 ) | (0.31 ) | — |
Net asset value, end of the period | $8.19 | $8.31 | $10.21 | $9.97 |
Total return(c) | 3.45 % | (15.63 )% | 5.54 % | (0.30 )%(d) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $19,930 | $20,229 | $24,842 | $24,915 |
Net expenses(e) | 0.52 % | 0.52 % | 0.52 % | 0.52 %(f) |
Gross expenses | 1.51 % | 1.30 % | 1.16 % | 27.91 %(f) |
Net investment income | 3.85 % | 2.75 % | 2.38 % | 0.55 %(f) |
Portfolio turnover rate | 27 % | 21 % | 55 % | 0 % |
* | From commencement of operations on September 29, 2020 through September 30, 2020. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
Credit Income Fund—Class Y | ||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Period Ended September 30, 2020* | |
Net asset value, beginning of the period | $8.31 | $10.20 | $9.97 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income (loss)(a) | 0.32 | 0.25 | 0.24 | (0.00 )(b) |
Net realized and unrealized gain (loss) | (0.04 ) | (1.81 ) | 0.29 | (0.03 ) |
Total from Investment Operations | 0.28 | (1.56 ) | 0.53 | (0.03 ) |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | (0.36 ) | (0.29 ) | (0.30 ) | — |
Net realized capital gains | (0.05 ) | (0.04 ) | (0.00 )(b) | — |
Total Distributions | (0.41 ) | (0.33 ) | (0.30 ) | — |
Net asset value, end of the period | $8.18 | $8.31 | $10.20 | $9.97 |
Total return(c) | 3.27 % | (15.59 )% | 5.38 % | (0.30 )%(d) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $19 | $46 | $22 | $1 |
Net expenses(e) | 0.57 % | 0.57 % | 0.57 % | 0.57 %(f) |
Gross expenses | 2.70 % | 3.12 % | 4.54 % | 125.54 %(f) |
Net investment income (loss) | 3.72 % | 2.70 % | 2.33 % | (0.57 )%(f) |
Portfolio turnover rate | 27 % | 21 % | 55 % | 0 % |
* | From commencement of operations on September 29, 2020 through September 30, 2020. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | 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. |
Global Allocation Fund—Class A | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $19.94 | $28.86 | $26.23 | $23.76 | $23.10 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.23 | 0.13 | 0.06 | 0.10 | 0.19 |
Net realized and unrealized gain (loss) | 3.31 | (6.89 ) | 4.18 | 3.05 | 1.38 |
Total from Investment Operations | 3.54 | (6.76 ) | 4.24 | 3.15 | 1.57 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | — | — | (0.13 ) | (0.12 ) | (0.16 ) |
Net realized capital gains | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Total Distributions | (2.03 ) | (2.16 ) | (1.61 ) | (0.68 ) | (0.91 ) |
Net asset value, end of the period | $21.45 | $19.94 | $28.86 | $26.23 | $23.76 |
Total return(b) | 18.67 % | (25.59 )% | 16.73 % | 13.41 % | 7.66 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $474,968 | $482,031 | $737,469 | $632,479 | $453,009 |
Net expenses | 1.17 % | 1.14 % | 1.13 % | 1.15 % | 1.16 % |
Gross expenses | 1.17 % | 1.14 % | 1.13 % | 1.15 % | 1.16 % |
Net investment income | 1.09 % | 0.52 % | 0.23 % | 0.42 % | 0.83 % |
Portfolio turnover rate | 19 % | 35 % | 45 % | 37 % | 27 % |
(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. |
Global Allocation Fund—Class C | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $19.34 | $28.26 | $25.78 | $23.43 | $22.78 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | 0.07 | (0.06 ) | (0.14 ) | (0.08 ) | 0.02 |
Net realized and unrealized gain (loss) | 3.21 | (6.70 ) | 4.10 | 2.99 | 1.38 |
Total from Investment Operations | 3.28 | (6.76 ) | 3.96 | 2.91 | 1.40 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | — | — | — | — | (0.00 )(b) |
Net realized capital gains | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Total Distributions | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Net asset value, end of the period | $20.59 | $19.34 | $28.26 | $25.78 | $23.43 |
Total return(c) | 17.84 % | (26.16 )% | 15.85 % | 12.55 % | 6.85 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $256,487 | $302,501 | $503,073 | $483,814 | $480,479 |
Net expenses | 1.92 % | 1.89 % | 1.88 % | 1.90 % | 1.91 % |
Gross expenses | 1.92 % | 1.89 % | 1.88 % | 1.90 % | 1.91 % |
Net investment income (loss) | 0.33 % | (0.23 )% | (0.52 )% | (0.33 )% | 0.08 % |
Portfolio turnover rate | 19 % | 35 % | 45 % | 37 % | 27 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
Global Allocation Fund—Class N | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $20.14 | $29.09 | $26.42 | $23.92 | $23.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.31 | 0.22 | 0.15 | 0.18 | 0.27 |
Net realized and unrealized gain (loss) | 3.36 | (6.96 ) | 4.21 | 3.07 | 1.38 |
Total from Investment Operations | 3.67 | (6.74 ) | 4.36 | 3.25 | 1.65 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | — | (0.05 ) | (0.21 ) | (0.19 ) | (0.23 ) |
Net realized capital gains | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Total Distributions | (2.03 ) | (2.21 ) | (1.69 ) | (0.75 ) | (0.98 ) |
Net asset value, end of the period | $21.78 | $20.14 | $29.09 | $26.42 | $23.92 |
Total return | 19.16 % | (25.36 )% | 17.10 % | 13.78 % | 8.04 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $266,298 | $243,862 | $350,222 | $264,338 | $202,692 |
Net expenses | 0.82 % | 0.81 % | 0.81 % | 0.82 % | 0.82 % |
Gross expenses | 0.82 % | 0.81 % | 0.81 % | 0.82 % | 0.82 % |
Net investment income | 1.43 % | 0.87 % | 0.55 % | 0.76 % | 1.20 % |
Portfolio turnover rate | 19 % | 35 % | 45 % | 37 % | 27 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
Global Allocation Fund—Class Y | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $20.14 | $29.09 | $26.42 | $23.92 | $23.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.29 | 0.20 | 0.13 | 0.16 | 0.24 |
Net realized and unrealized gain (loss) | 3.35 | (6.96 ) | 4.21 | 3.07 | 1.40 |
Total from Investment Operations | 3.64 | (6.76 ) | 4.34 | 3.23 | 1.64 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | — | (0.03 ) | (0.19 ) | (0.17 ) | (0.22 ) |
Net realized capital gains | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Total Distributions | (2.03 ) | (2.19 ) | (1.67 ) | (0.73 ) | (0.97 ) |
Net asset value, end of the period | $21.75 | $20.14 | $29.09 | $26.42 | $23.92 |
Total return | 19.00 % | (25.41 )% | 17.02 % | 13.70 % | 7.95 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $1,698,560 | $1,932,913 | $3,286,680 | $2,660,927 | $1,938,124 |
Net expenses | 0.92 % | 0.89 % | 0.88 % | 0.90 % | 0.91 % |
Gross expenses | 0.92 % | 0.89 % | 0.88 % | 0.90 % | 0.91 % |
Net investment income | 1.33 % | 0.77 % | 0.48 % | 0.67 % | 1.08 % |
Portfolio turnover rate | 19 % | 35 % | 45 % | 37 % | 27 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
Growth Fund—Class A | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $16.45 | $23.85 | $20.72 | $16.02 | $16.05 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | (0.08 ) | (0.06 ) | (0.05 ) | 0.01 | 0.05 |
Net realized and unrealized gain (loss) | 5.89 | (6.10 ) | 4.17 | 5.14 | 0.71 |
Total from Investment Operations | 5.81 | (6.16 ) | 4.12 | 5.15 | 0.76 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | — | — | — | (0.05 ) | (0.05 ) |
Net realized capital gains | (2.68 ) | (1.24 ) | (0.99 ) | (0.40 ) | (0.74 ) |
Total Distributions | (2.68 ) | (1.24 ) | (0.99 ) | (0.45 ) | (0.79 ) |
Net asset value, end of the period | $19.58 | $16.45 | $23.85 | $20.72 | $16.02 |
Total return(b) | 40.67 % | (27.48 )% | 20.43 % | 32.80 % | 5.81 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $798,843 | $1,164,116 | $1,740,523 | $1,477,915 | $1,250,030 |
Net expenses | 0.92 % | 0.90 % | 0.89 % | 0.90 % | 0.91 % |
Gross expenses | 0.92 % | 0.90 % | 0.89 % | 0.90 % | 0.91 % |
Net investment income (loss) | (0.43 )% | (0.30 )% | (0.22 )% | 0.04 % | 0.35 % |
Portfolio turnover rate | 13 % | 20 % | 9 % | 19 % | 7 % |
(a) | Per share net investment income (loss) 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. |
Growth Fund—Class C | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $14.42 | $21.21 | $18.66 | $14.53 | $14.68 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.18 ) | (0.20 ) | (0.20 ) | (0.11 ) | (0.06 ) |
Net realized and unrealized gain (loss) | 5.04 | (5.35 ) | 3.74 | 4.64 | 0.65 |
Total from Investment Operations | 4.86 | (5.55 ) | 3.54 | 4.53 | 0.59 |
LESS DISTRIBUTIONS FROM: | |||||
Net realized capital gains | (2.68 ) | (1.24 ) | (0.99 ) | (0.40 ) | (0.74 ) |
Net asset value, end of the period | $16.60 | $14.42 | $21.21 | $18.66 | $14.53 |
Total return(b) | 39.68 % | (28.05 )% | 19.55 % | 31.76 % | 5.05 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $78,116 | $65,977 | $127,003 | $128,764 | $120,493 |
Net expenses | 1.67 % | 1.65 % | 1.63 % | 1.65 % | 1.66 % |
Gross expenses | 1.67 % | 1.65 % | 1.63 % | 1.65 % | 1.66 % |
Net investment loss | (1.18 )% | (1.05 )% | (0.97 )% | (0.71 )% | (0.39 )% |
Portfolio turnover rate | 13 % | 20 % | 9 % | 19 % | 7 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
Growth Fund—Class N | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $17.87 | $25.73 | $22.26 | $17.17 | $17.15 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | (0.02 ) | 0.01 | 0.02 | 0.07 | 0.11 |
Net realized and unrealized gain (loss) | 6.49 | (6.63 ) | 4.49 | 5.53 | 0.76 |
Total from Investment Operations | 6.47 | (6.62 ) | 4.51 | 5.60 | 0.87 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | — | — | (0.05 ) | (0.11 ) | (0.11 ) |
Net realized capital gains | (2.68 ) | (1.24 ) | (0.99 ) | (0.40 ) | (0.74 ) |
Total Distributions | (2.68 ) | (1.24 ) | (1.04 ) | (0.51 ) | (0.85 ) |
Net asset value, end of the period | $21.66 | $17.87 | $25.73 | $22.26 | $17.17 |
Total return | 41.19 % | (27.25 )% | 20.80 % | 33.26 % | 6.14 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $718,311 | $663,001 | $806,186 | $579,571 | $442,787 |
Net expenses | 0.58 % | 0.57 % | 0.56 % | 0.57 % | 0.56 % |
Gross expenses | 0.58 % | 0.57 % | 0.56 % | 0.57 % | 0.56 % |
Net investment income (loss) | (0.08 )% | 0.04 % | 0.09 % | 0.38 % | 0.69 % |
Portfolio turnover rate | 13 % | 20 % | 9 % | 19 % | 7 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
Growth Fund—Class Y | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $17.86 | $25.73 | $22.26 | $17.17 | $17.14 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | (0.03 ) | (0.01 ) | 0.01 | 0.05 | 0.10 |
Net realized and unrealized gain (loss) | 6.46 | (6.62 ) | 4.48 | 5.53 | 0.77 |
Total from Investment Operations | 6.43 | (6.63 ) | 4.49 | 5.58 | 0.87 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | — | — | (0.03 ) | (0.09 ) | (0.10 ) |
Net realized capital gains | (2.68 ) | (1.24 ) | (0.99 ) | (0.40 ) | (0.74 ) |
Total Distributions | (2.68 ) | (1.24 ) | (1.02 ) | (0.49 ) | (0.84 ) |
Net asset value, end of the period | $21.61 | $17.86 | $25.73 | $22.26 | $17.17 |
Total return | 40.97 % | (27.29 )% | 20.72 % | 33.15 % | 6.09 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $9,204,871 | $7,594,603 | $11,094,922 | $9,313,775 | $7,017,707 |
Net expenses | 0.67 % | 0.65 % | 0.64 % | 0.65 % | 0.66 % |
Gross expenses | 0.67 % | 0.65 % | 0.64 % | 0.65 % | 0.66 % |
Net investment income (loss) | (0.17 )% | (0.05 )% | 0.02 % | 0.27 % | 0.60 % |
Portfolio turnover rate | 13 % | 20 % | 9 % | 19 % | 7 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
Intermediate Duration Bond Fund—Class A | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $9.23 | $10.58 | $10.99 | $10.51 | $9.97 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.29 | 0.15 | 0.11 | 0.19 | 0.25 |
Net realized and unrealized gain (loss) | (0.06 ) | (1.30 ) | (0.11 ) | 0.54 | 0.55 |
Total from Investment Operations | 0.23 | (1.15 ) | (0.00 )(b) | 0.73 | 0.80 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.30 ) | (0.15 ) | (0.12 ) | (0.20 ) | (0.26 ) |
Net realized capital gains | — | (0.05 ) | (0.29 ) | (0.05 ) | — |
Total Distributions | (0.30 ) | (0.20 ) | (0.41 ) | (0.25 ) | (0.26 ) |
Net asset value, end of the period | $9.16 | $9.23 | $10.58 | $10.99 | $10.51 |
Total return(c)(d) | 2.53 % | (10.98 )% | (0.06 )% | 7.06 % | 8.11 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $7,150 | $18,077 | $20,942 | $19,962 | $21,415 |
Net expenses(e) | 0.65 % | 0.65 % | 0.65 % | 0.65 % | 0.65 % |
Gross expenses | 0.71 % | 0.68 % | 0.70 % | 0.72 % | 0.72 % |
Net investment income | 3.12 % | 1.49 % | 1.03 % | 1.78 % | 2.42 % |
Portfolio turnover rate | 138 % | 144 % | 100 % | 123 % | 135 % |
(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) | 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. |
Intermediate Duration Bond Fund—Class C | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $9.27 | $10.62 | $11.02 | $10.54 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.24 | 0.06 | 0.03 | 0.11 | 0.17 |
Net realized and unrealized gain (loss) | (0.08 ) | (1.29 ) | (0.11 ) | 0.54 | 0.55 |
Total from Investment Operations | 0.16 | (1.23 ) | (0.08 ) | 0.65 | 0.72 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.24 ) | (0.07 ) | (0.03 ) | (0.12 ) | (0.18 ) |
Net realized capital gains | — | (0.05 ) | (0.29 ) | (0.05 ) | — |
Total Distributions | (0.24 ) | (0.12 ) | (0.32 ) | (0.17 ) | (0.18 ) |
Net asset value, end of the period | $9.19 | $9.27 | $10.62 | $11.02 | $10.54 |
Total return(b)(c) | 1.69 % | (11.65 )% | (0.76 )% | 6.27 % | 7.28 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $698 | $174 | $315 | $668 | $467 |
Net expenses(d) | 1.40 % | 1.40 % | 1.40 % | 1.40 % | 1.40 % |
Gross expenses | 1.46 % | 1.43 % | 1.45 % | 1.46 % | 1.48 % |
Net investment income | 2.53 % | 0.60 % | 0.30 % | 1.00 % | 1.64 % |
Portfolio turnover rate | 138 % | 144 % | 100 % | 123 % | 135 % |
(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) | 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. |
Intermediate Duration Bond Fund—Class N | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Period Ended September 30, 2019* | |
Net asset value, beginning of the period | $9.22 | $10.57 | $10.98 | $10.50 | $10.07 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.33 | 0.18 | 0.14 | 0.22 | 0.17 |
Net realized and unrealized gain (loss) | (0.06 ) | (1.30 ) | (0.11 ) | 0.54 | 0.45 |
Total from Investment Operations | 0.27 | (1.12 ) | 0.03 | 0.76 | 0.62 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.33 ) | (0.18 ) | (0.15 ) | (0.23 ) | (0.19 ) |
Net realized capital gains | — | (0.05 ) | (0.29 ) | (0.05 ) | — |
Total Distributions | (0.33 ) | (0.23 ) | (0.44 ) | (0.28 ) | (0.19 ) |
Net asset value, end of the period | $9.16 | $9.22 | $10.57 | $10.98 | $10.50 |
Total return(b) | 2.97 % | (10.73 )% | 0.25 % | 7.39 % | 6.19 %(c) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $55,983 | $19,294 | $20,094 | $3,307 | $3,546 |
Net expenses(d) | 0.35 % | 0.35 % | 0.35 % | 0.35 % | 0.35 %(e) |
Gross expenses | 0.39 % | 0.37 % | 0.38 % | 0.43 % | 0.42 %(e) |
Net investment income | 3.60 % | 1.80 % | 1.32 % | 2.09 % | 2.54 %(e) |
Portfolio turnover rate | 138 % | 144 % | 100 % | 123 % | 135 %(f) |
* | From commencement of Class operations on February 1, 2019 through September 30, 2019. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Represents the Fund’s portfolio turnover rate for year ended September 30, 2019. |
Intermediate Duration Bond Fund—Class Y | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $9.23 | $10.58 | $10.99 | $10.51 | $9.97 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.32 | 0.17 | 0.14 | 0.21 | 0.27 |
Net realized and unrealized gain (loss) | (0.06 ) | (1.29 ) | (0.11 ) | 0.54 | 0.55 |
Total from Investment Operations | 0.26 | (1.12 ) | 0.03 | 0.75 | 0.82 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.33 ) | (0.18 ) | (0.15 ) | (0.22 ) | (0.28 ) |
Net realized capital gains | — | (0.05 ) | (0.29 ) | (0.05 ) | — |
Total Distributions | (0.33 ) | (0.23 ) | (0.44 ) | (0.27 ) | (0.28 ) |
Net asset value, end of the period | $9.16 | $9.23 | $10.58 | $10.99 | $10.51 |
Total return(b) | 2.81 % | (10.76 )% | 0.20 % | 7.33 % | 8.38 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $281,284 | $255,418 | $340,326 | $293,577 | $215,752 |
Net expenses(c) | 0.40 % | 0.40 % | 0.40 % | 0.40 % | 0.40 % |
Gross expenses | 0.46 % | 0.44 % | 0.45 % | 0.47 % | 0.48 % |
Net investment income | 3.47 % | 1.70 % | 1.28 % | 2.01 % | 2.67 % |
Portfolio turnover rate | 138 % | 144 % | 100 % | 123 % | 135 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
Limited Term Government and Agency Fund—Class A | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.65 | $11.40 | $11.54 | $11.34 | $11.09 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.32 | 0.07 | 0.04 | 0.11 | 0.15 |
Net realized and unrealized gain (loss) | (0.04 ) | (0.72 ) | (0.11 ) | 0.25 | 0.34 |
Total from Investment Operations | 0.28 | (0.65 ) | (0.07 ) | 0.36 | 0.49 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.36 ) | (0.10 ) | (0.07 ) | (0.16 ) | (0.24 ) |
Net asset value, end of the period | $10.57 | $10.65 | $11.40 | $11.54 | $11.34 |
Total return(b) | 2.64 %(c) | (5.75 )%(c) | (0.58 )%(c) | 3.19 % | 4.42 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $209,032 | $246,532 | $287,244 | $296,217 | $308,186 |
Net expenses | 0.69 %(d)(e) | 0.69 %(d)(f) | 0.73 %(d)(f) (g) | 0.78 %(h) | 0.80 % |
Gross expenses | 0.77 %(e) | 0.72 %(f) | 0.73 %(f) | 0.78 % | 0.80 % |
Net investment income | 3.04 % | 0.65 % | 0.36 % | 0.93 % | 1.31 % |
Portfolio turnover rate | 267 % | 203 % | 247 % | 319 %(i) | 527 %(i) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Includes refund of prior year service fee of 0.01%. See Note 6b of Notes to Financial Statements. |
(f) | Includes refund of prior year service fee of 0.01%. |
(g) | Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%. |
(h) | Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%. |
(i) | The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
Limited Term Government and Agency Fund—Class C | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.62 | $11.38 | $11.54 | $11.35 | $11.10 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | 0.24 | (0.02 ) | (0.05 ) | 0.02 | 0.06 |
Net realized and unrealized gain (loss) | (0.04 ) | (0.71 ) | (0.11 ) | 0.24 | 0.34 |
Total from Investment Operations | 0.20 | (0.73 ) | (0.16 ) | 0.26 | 0.40 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.28 ) | (0.03 ) | (0.00 )(b) | (0.07 ) | (0.15 ) |
Net asset value, end of the period | $10.54 | $10.62 | $11.38 | $11.54 | $11.35 |
Total return(c) | 1.86 %(d) | (6.43 )%(d) | (1.35 )%(d) | 2.34 % | 3.64 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $8,510 | $14,145 | $24,922 | $19,628 | $22,142 |
Net expenses | 1.45 %(e) | 1.45 %(e) | 1.48 %(e)(f) | 1.53 %(g) | 1.55 % |
Gross expenses | 1.53 % | 1.48 % | 1.49 % | 1.53 % | 1.55 % |
Net investment income (loss) | 2.24 % | (0.16 )% | (0.40 )% | 0.18 % | 0.57 % |
Portfolio turnover rate | 267 % | 203 % | 247 % | 319 %(h) | 527 %(h) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2021, the expense limit decreased from 1.50% to 1.45%. |
(g) | Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%. |
(h) | The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
Limited Term Government and Agency Fund—Class N | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.68 | $11.43 | $11.57 | $11.37 | $11.12 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.37 | 0.11 | 0.08 | 0.14 | 0.19 |
Net realized and unrealized gain (loss) | (0.06 ) | (0.73 ) | (0.11 ) | 0.26 | 0.33 |
Total from Investment Operations | 0.31 | (0.62 ) | (0.03 ) | 0.40 | 0.52 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.39 ) | (0.13 ) | (0.11 ) | (0.20 ) | (0.27 ) |
Net asset value, end of the period | $10.60 | $10.68 | $11.43 | $11.57 | $11.37 |
Total return(b) | 2.94 % | (5.45 )% | (0.25 )% | 3.53 % | 4.77 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $45,716 | $19,656 | $12,972 | $11,035 | $5,272 |
Net expenses(c) | 0.40 % | 0.39 % | 0.40 %(d) | 0.45 %(e) | 0.46 % |
Gross expenses | 0.43 % | 0.40 % | 0.41 % | 0.46 % | 0.48 % |
Net investment income | 3.44 % | 1.03 % | 0.68 % | 1.20 % | 1.65 % |
Portfolio turnover rate | 267 % | 203 % | 247 % | 319 %(f) | 527 %(f) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | Effective July 1, 2021, the expense limit decreased from 0.45% to 0.40% |
(e) | Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%. |
(f) | The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
Limited Term Government and Agency Fund—Class Y | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.69 | $11.43 | $11.57 | $11.38 | $11.13 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.35 | 0.10 | 0.07 | 0.13 | 0.17 |
Net realized and unrealized gain (loss) | (0.05 ) | (0.72 ) | (0.11 ) | 0.25 | 0.34 |
Total from Investment Operations | 0.30 | (0.62 ) | (0.04 ) | 0.38 | 0.51 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.39 ) | (0.12 ) | (0.10 ) | (0.19 ) | (0.26 ) |
Net asset value, end of the period | $10.60 | $10.69 | $11.43 | $11.57 | $11.38 |
Total return | 2.79 %(b) | (5.42 )%(b) | (0.33 )%(b) | 3.35 % | 4.67 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $486,496 | $491,162 | $707,904 | $691,616 | $457,248 |
Net expenses | 0.45 %(c) | 0.45 %(c) | 0.48 %(c)(d) | 0.53 %(e) | 0.55 % |
Gross expenses | 0.53 % | 0.48 % | 0.49 % | 0.53 % | 0.55 % |
Net investment income | 3.30 % | 0.87 % | 0.61 % | 1.11 % | 1.55 % |
Portfolio turnover rate | 267 % | 203 % | 247 % | 319 %(f) | 527 %(f) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | Effective July 1, 2021, the expense limit decreased from 0.50% to 0.45%. |
(e) | Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%. |
(f) | The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
Loomis Sayles Core Plus Bond Fund ("Core Plus Bond Fund")
Loomis Sayles Intermediate Duration Bond Fund (“Intermediate Duration Bond Fund”)
Loomis Sayles Credit Income Fund (“Credit Income Fund”)
Loomis Sayles Global Allocation Fund (“Global Allocation Fund”)
Loomis Sayles Growth Fund (“Growth Fund”)
Loomis Sayles Limited Term Government and Agency Fund (“Limited Term Government and Agency Fund”)
and Liabilities and are recorded as a realized gain when received.
2023 Distributions | 2022 Distributions | |||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | Ordinary Income | Long-Term Capital Gains | Total |
Core Plus Bond Fund | $237,600,988 | $— | $237,600,988 | $203,923,706 | $17,404,702 | $221,328,408 |
Credit Income Fund | 978,537 | 38,241 | 1,016,778 | 778,535 | 45,086 | 823,621 |
Global Allocation Fund | — | 265,227,594 | 265,227,594 | 17,835,692 | 349,351,833 | 367,187,525 |
Growth Fund | 1,801,992 | 1,212,480,441 | 1,214,282,433 | 38,655,122 | 627,018,288 | 665,673,410 |
Intermediate Duration Bond Fund | 11,021,583 | — | 11,021,583 | 6,692,992 | 1,181,959 | 7,874,951 |
Limited Term Government and Agency Fund | 25,072,525 | — | 25,072,525 | 9,340,395 | — | 9,340,395 |
Core Plus Bond Fund | Credit Income Fund | Global Allocation Fund | Growth Fund | |
Undistributed ordinary income | $7,202,880 | $14,688 | $— | $— |
Undistributed long-term capital gains | — | — | 97,933,959 | 693,384,213 |
Total undistributed earnings | 7,202,880 | 14,688 | 97,933,959 | 693,384,213 |
Capital loss carryforward: | ||||
Short-term: | ||||
No expiration date | (263,274,882 ) | (20,684 ) | — | — |
Long-term: | ||||
No expiration date | (335,593,277 ) | (70,466 ) | — | — |
Total capital loss carryforward | (598,868,159 ) | (91,150 ) | — | — |
Late-year ordinary and post-October capital loss deferrals* | — | (1,025,802 ) | (2,253,183 ) | (15,598,809 ) |
Unrealized appreciation (depreciation) | (858,725,184 ) | (3,314,663 ) | 54,804,640 | 4,405,226,200 |
Total accumulated earnings (losses) | $(1,450,390,463 ) | $(4,416,927 ) | $150,485,416 | $5,083,011,604 |
* | Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Credit Income Fund is deferring capital losses, Global Allocation Fund is deferring currency losses and Growth Fund is deferring net operating losses. |
Intermediate Duration Bond Fund | Limited Term Government and Agency Fund | |
Undistributed ordinary income | $122,127 | $754,515 |
Capital loss carryforward: | ||
Short-term: | ||
No expiration date | (19,689,910 ) | (10,097,977 ) |
Long-term: | ||
No expiration date | (12,535,488 ) | (56,235,014 ) |
Total capital loss carryforward | (32,225,398 ) | (66,332,991 ) |
Unrealized depreciation | (14,604,393 ) | (29,126,622 ) |
Total accumulated losses | $(46,707,664 ) | $(94,705,098 ) |
Core Plus Bond Fund | Credit Income Fund | Global Allocation Fund | Growth Fund | Intermediate Duration Bond Fund | Limited Term Government and Agency Fund | |
Federal tax cost | $7,816,736,683 | $23,243,490 | $2,643,753,710 | $6,391,855,959 | $360,091,207 | $849,490,036 |
Gross tax appreciation | $9,909,927 | $47,024 | $231,527,573 | $4,915,574,428 | $49,271 | $632,109 |
Gross tax depreciation | (868,568,306 ) | (3,361,687 ) | (176,457,646 ) | (510,167,335 ) | (14,653,664 ) | (29,758,731 ) |
Net tax appreciation (depreciation) | $(858,658,379 ) | $(3,314,663 ) | $55,069,927 | $4,405,407,093 | $(14,604,393 ) | $(29,126,622 ) |
Core Plus Bond Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds | ||||
Collateralized Mortgage Obligations | $— | $38,612,433 | $96,178 | $38,708,611 |
All Other Non-Convertible Bonds(a) | — | 6,119,597,065 | — | 6,119,597,065 |
Total Non-Convertible Bonds | — | 6,158,209,498 | 96,178 | 6,158,305,676 |
Municipals(a) | — | 7,354,441 | — | 7,354,441 |
Total Bonds and Notes | — | 6,165,563,939 | 96,178 | 6,165,660,117 |
Collateralized Loan Obligations | — | 204,715,556 | — | 204,715,556 |
Short-Term Investments | — | 587,702,631 | — | 587,702,631 |
Total Investments | $— | $6,957,982,126 | $96,178 | $6,958,078,304 |
Core Plus Bond Fund | ||||
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(25,102,218 ) | $— | $— | $(25,102,218 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Credit Income Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes(a) | $— | $17,852,354 | $— | $17,852,354 |
Collateralized Loan Obligations | — | 718,892 | — | 718,892 |
Preferred Stocks(a) | 182,342 | — | — | 182,342 |
Short-Term Investments | — | 1,175,239 | — | 1,175,239 |
Total Investments | 182,342 | 19,746,485 | — | 19,928,827 |
Futures Contracts (unrealized appreciation) | 75,373 | — | — | 75,373 |
Total | $257,715 | $19,746,485 | $— | $20,004,200 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(208,887 ) | $— | $— | $(208,887 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Global Allocation Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
France | $— | $78,881,911 | $— | $78,881,911 |
Japan | — | 46,903,634 | — | 46,903,634 |
Netherlands | — | 66,498,724 | — | 66,498,724 |
Sweden | — | 64,357,728 | — | 64,357,728 |
Taiwan | — | 43,537,642 | — | 43,537,642 |
United Kingdom | — | 41,849,593 | — | 41,849,593 |
United States | 1,462,067,120 | 13,631,600 | — | 1,475,698,720 |
Total Common Stocks | 1,462,067,120 | 355,660,832 | — | 1,817,727,952 |
Bonds and Notes(a) | — | 827,027,168 | — | 827,027,168 |
Senior Loans(a) | — | 6,407,821 | — | 6,407,821 |
Preferred Stocks(a) | 1,106,914 | — | — | 1,106,914 |
Short-Term Investments | — | 46,311,102 | — | 46,311,102 |
Total Investments | 1,463,174,034 | 1,235,406,923 | — | 2,698,580,957 |
Forward Foreign Currency Contracts (unrealized appreciation) | — | 761,221 | — | 761,221 |
Futures Contracts (unrealized appreciation) | 2,595,024 | — | — | 2,595,024 |
Total | $1,465,769,058 | $1,236,168,144 | $— | $2,701,937,202 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Contracts (unrealized depreciation) | $— | $(2,347,238 ) | $— | $(2,347,238 ) |
Futures Contracts (unrealized depreciation) | (5,698,578 ) | — | — | (5,698,578 ) |
Total | $(5,698,578 ) | $(2,347,238 ) | $— | $(8,045,816 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Growth Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $10,598,514,849 | $— | $— | $10,598,514,849 |
Short-Term Investments | — | 198,748,203 | — | 198,748,203 |
Total Investments | $10,598,514,849 | $198,748,203 | $— | $10,797,263,052 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Intermediate Duration Bond Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Collateralized Mortgage Obligations | $— | $2,227,288 | $166 | $2,227,454 |
All Other Bonds and Notes(a) | — | 334,832,346 | — | 334,832,346 |
Total Bonds and Notes | — | 337,059,634 | 166 | 337,059,800 |
Short-Term Investments | — | 8,427,014 | — | 8,427,014 |
Total Investments | $— | $345,486,648 | $166 | $345,486,814 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(495,585 ) | $— | $— | $(495,585 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Limited Term Government and Agency Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Collateralized Mortgage Obligations | $— | $74,499,250 | $5,429,401 | $79,928,651 |
All Other Bonds and Notes(a) | — | 636,175,493 | — | 636,175,493 |
Total Bonds and Notes | — | 710,674,743 | 5,429,401 | 716,104,144 |
Short-Term Investments | — | 104,259,270 | — | 104,259,270 |
Total Investments | $— | $814,934,013 | $5,429,401 | $820,363,414 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Core Plus Bond Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of September 30, 2022 | 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 September 30, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2023 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
Collateralized Mortgage Obligations | $122,859 | $— | $89 | $(709 ) | $2,396 | $(28,457 ) | $— | $— | $96,178 | $(2,430 ) |
Intermediate Duration Bond Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of September 30, 2022 | 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 September 30, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2023 |
Bonds and Notes | ||||||||||
Collateralized Mortgage Obligations | $201 | $— | $— | $2 | $— | $(37 ) | $— | $— | $166 | $(2 ) |
Limited Term Government and Agency Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of September 30, 2022 | 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 September 30, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2023 |
Bonds and Notes | ||||||||||
Collateralized Mortgage Obligations | $3,867,800 | $— | $(37,910 ) | $(102,861 ) | $3,799 | $(1,636,657 ) | $3,335,230 | $— | $5,429,401 | $(153,030 ) |
Liabilities | Unrealized depreciation on futures contracts1 |
Exchange-traded liability derivatives | |
Interest rate contracts | $(25,102,218 ) |
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. |
Net Realized Gain (Loss) on: | Futures contracts |
Interest rate contracts | $(58,324,300 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Futures contracts |
Interest rate contracts | $(10,538,977 ) |
Assets | Unrealized appreciation on futures contracts1 |
Exchange-traded asset derivatives | |
Interest rate contracts | $75,373 |
Liabilities | Unrealized depreciation on futures contracts1 |
Exchange-traded liability derivatives | |
Interest rate contracts | $(208,887 ) |
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. |
Net Realized Gain (Loss) on: | Futures contracts |
Interest rate contracts | $(357,294 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Futures contracts |
Interest rate contracts | $(111,864 ) |
Assets | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts1 | Total |
Over-the-counter asset derivatives | |||
Foreign exchange contracts | $761,221 | $— | $761,221 |
Exchange-traded asset derivatives | |||
Interest rate contracts | — | 2,595,024 | 2,595,024 |
Total asset derivatives | $761,221 | $2,595,024 | $3,356,245 |
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts1 | Total |
Over-the-counter liability derivatives | |||
Foreign exchange contracts | $(2,347,238 ) | $— | $(2,347,238 ) |
Exchange-traded liability derivatives | |||
Interest rate contracts | — | (5,698,578 ) | (5,698,578 ) |
Total liability derivatives | $(2,347,238 ) | $(5,698,578 ) | $(8,045,816 ) |
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. |
Net Realized Gain (Loss) on: | Forward foreign currency contracts | Futures contracts |
Interest rate contracts | $— | $(9,602,991 ) |
Foreign exchange contracts | (5,164,099 ) | — |
Total | $(5,164,099 ) | $(9,602,991 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Forward foreign currency contracts | Futures contracts |
Interest rate contracts | $— | $(870,412 ) |
Foreign exchange contracts | 1,802,223 | — |
Total | $1,802,223 | $(870,412 ) |
Liabilities | Unrealized depreciation on futures contracts1 |
Exchange-traded liability derivatives | |
Interest rate contracts | $(495,585 ) |
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. |
Net Realized Gain (Loss) on: | Futures contracts |
Interest rate contracts | $(2,159,161 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Futures contracts |
Interest rate contracts | $776,181 |
Core Plus Bond Fund | Futures |
Average Notional Amount Outstanding | 16.73 % |
Highest Notional Amount Outstanding | 19.91 % |
Lowest Notional Amount Outstanding | 10.48 % |
Notional Amount Outstanding as of September 30, 2023 | 19.91 % |
Credit Income Fund | Futures |
Average Notional Amount Outstanding | 26.55 % |
Highest Notional Amount Outstanding | 48.08 % |
Lowest Notional Amount Outstanding | 6.19 % |
Notional Amount Outstanding as of September 30, 2023 | 48.08 % |
Global Allocation Fund | Forwards | Futures |
Average Notional Amount Outstanding | 9.27 % | 3.91 % |
Highest Notional Amount Outstanding | 11.24 % | 9.15 % |
Lowest Notional Amount Outstanding | 8.49 % | 1.12 % |
Notional Amount Outstanding as of September 30, 2023 | 8.49 % | 9.15 % |
Intermediate Duration Bond Fund | Futures |
Average Notional Amount Outstanding | 11.25 % |
Highest Notional Amount Outstanding | 14.41 % |
Lowest Notional Amount Outstanding | 6.24 % |
Notional Amount Outstanding as of September 30, 2023 | 6.24 % |
Global Allocation Fund | |||||
Counterparty | Gross Amounts of Assets | Offset Amount | Net Asset Balance | Collateral (Received)/ Pledged | Net Amount |
Bank of America N.A. | $457,764 | $(457,764 ) | $— | $— | $— |
HSBC Bank USA N.A. | 60,776 | — | 60,776 | — | 60,776 |
UBS AG | 242,681 | — | 242,681 | (242,681 ) | — |
$761,221 | $(457,764 ) | $303,457 | $(242,681 ) | $60,776 |
Counterparty | Gross Amounts of Liabilities | Offset Amount | Net Liability Balance | Collateral (Received)/ Pledged | Net Amount |
Bank of America N.A. | $(1,107,393 ) | $457,764 | $(649,629 ) | $330,000 | $(319,629 ) |
Morgan Stanley Capital Services LLC | (1,239,845 ) | — | (1,239,845 ) | 1,239,845 | — |
$(2,347,238 ) | $457,764 | $(1,889,474 ) | $1,569,845 | $(319,629 ) |
U.S. Government/ Agency Securities | Other Securities | |||
Fund | Purchases | Sales | Purchases | Sales |
Core Plus Bond Fund | $10,284,781,812 | $9,070,388,670 | $725,556,672 | $1,057,753,295 |
Credit Income Fund | 1,017,928 | 3,435,513 | 4,256,560 | 3,302,163 |
Global Allocation Fund | 42,848,052 | 79,001,064 | 476,360,183 | 1,204,420,255 |
Growth Fund | — | — | 1,276,700,934 | 3,426,339,474 |
Intermediate Duration Bond Fund | 167,447,071 | 99,547,610 | 308,445,215 | 324,145,732 |
Limited Term Government and Agency Fund | 1,814,831,909 | 1,816,891,501 | 4,283,021 | 18,967,495 |
Percentage of Average Daily Net Assets | ||||||
Fund | First $100 million | Next $400 million | Next $500 million | Next $1 billion | Next $2 billion | Over $4 billion |
Core Plus Bond Fund | 0.2000 % | 0.1875 % | 0.1875 % | 0.1875 % | 0.1500 % | 0.1500 % |
Credit Income Fund | 0.4200 % | 0.4200 % | 0.4200 % | 0.4200 % | 0.4200 % | 0.4200 % |
Global Allocation Fund | 0.7500 % | 0.7500 % | 0.7500 % | 0.7500 % | 0.7300 % | 0.7000 % |
Growth Fund | 0.5000 % | 0.5000 % | 0.5000 % | 0.5000 % | 0.5000 % | 0.5000 % |
Intermediate Duration Bond Fund | 0.2500 % | 0.2500 % | 0.2500 % | 0.2500 % | 0.2500 % | 0.2500 % |
Limited Term Government and Agency Fund | 0.3250 % | 0.3250 % | 0.3000 % | 0.2500 % | 0.2500 % | 0.2500 % |
Percentage of Average Daily Net Assets | |||
Fund | First $100 million | Next $1.9 billion | Over $2 billion |
Core Plus Bond Fund | 0.2000 % | 0.1875 % | 0.1500 % |
Expense Limit as a Percentage of Average Daily Net Assets | ||||
Fund | Class A | Class C | Class N | Class Y |
Core Plus Bond Fund | 0.74 % | 1.49 % | 0.44 % | 0.49 % |
Credit Income Fund | 0.82 % | 1.57 % | 0.52 % | 0.57 % |
Global Allocation Fund | 1.20 % | 1.95 % | 0.90 % | 0.95 % |
Growth Fund | 1.00 % | 1.75 % | 0.70 % | 0.75 % |
Intermediate Duration Bond Fund | 0.65 % | 1.40 % | 0.35 % | 0.40 % |
Limited Term Government and Agency Fund | 0.70 % | 1.45 % | 0.40 % | 0.45 % |
Expense Limit as a Percentage of Average Daily Net Assets | ||||
Fund | Class A | Class C | Class N | Class Y |
Global Allocation Fund | 1.25 % | 2.00 % | 0.95 % | 1.00 % |
Growth Fund | 1.25 % | 2.00 % | 0.95 % | 1.00 % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | |||
Core Plus Bond Fund | $10,359,921 | $— | $10,359,921 | 0.16 % | 0.16 % |
Credit Income Fund | 88,151 | 88,151 | — | 0.42 % | — % |
Global Allocation Fund | 21,232,335 | — | 21,232,335 | 0.74 % | 0.74 % |
Growth Fund | 50,343,793 | — | 50,343,793 | 0.50 % | 0.50 % |
Intermediate Duration Bond Fund | 782,053 | 183,745 | 598,308 | 0.25 % | 0.19 % |
Limited Term Government and Agency Fund | 2,268,277 | 531,412 | 1,736,865 | 0.32 % | 0.24 % |
1 | Waiver/expense reimbursements are subject to possible recovery until September 30, 2024. |
Reimbursement | |||||
Class A | Class C | Class N | Class Y | Total | |
Core Plus Bond Fund | $42,682 | $3,993 | $— | $409,673 | $456,348 |
Service Fees | Distribution Fees | |||
Fund | Class A | Class C | Class C | |
Core Plus Bond Fund | $1,029,454 | $94,624 | $283,872 | |
Credit Income Fund | 630 | 2 | 7 | |
Global Allocation Fund | 1,235,685 | 721,314 | 2,163,942 | |
Growth Fund | 1,777,495 | 174,416 | 523,248 | |
Intermediate Duration Bond Fund | 36,874 | 1,515 | 4,545 | |
Limited Term Government and Agency Fund | 547,175 | 27,108 | 81,322 |
Fund | Administrative Fees |
Core Plus Bond Fund | $2,965,046 |
Credit Income Fund | 9,729 |
Global Allocation Fund | 1,322,590 |
Growth Fund | 4,665,811 |
Intermediate Duration Bond Fund | 144,972 |
Limited Term Government and Agency Fund | 331,097 |
Fund | Sub-Transfer Agent Fees |
Core Plus Bond Fund | $4,356,906 |
Credit Income Fund | 110 |
Global Allocation Fund | 2,306,633 |
Growth Fund | 7,923,001 |
Intermediate Duration Bond Fund | 214,198 |
Limited Term Government and Agency Fund | 410,733 |
Fund | Reimbursements of Sub-Transfer Agent Fees |
Core Plus Bond Fund | $56,297 |
Global Allocation Fund | 45,934 |
Growth Fund | 73,702 |
Intermediate Duration Bond Fund | 6,597 |
Limited Term Government and Agency Fund | 11,829 |
Fund | Commissions |
Core Plus Bond Fund | $8,413 |
Global Allocation Fund | 25,694 |
Growth Fund | 76,830 |
Limited Term Government and Agency Fund | 43,786 |
Percentage of Net Assets | |
Core Plus Bond Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.17 % |
Credit Income Fund | |
Natixis and Affiliates | 99.00 % |
Loomis Sayles Employees | 0.05 % |
99.05 % | |
Global Allocation Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.75 % |
Growth Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.81 % |
Loomis Sayles Funded Pension Plan and Trust | 0.14 % |
0.95 % | |
Intermediate Duration Bond Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.84 % |
Limited Term Government and Agency Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.24 % |
Loomis Sayles Distribution and Trust | 0.62 % |
Natixis Sustainable Future 2015 Fund | 0.09 % |
Natixis Sustainable Future 2020 Fund | 0.06 % |
Natixis Sustainable Future 2025 Fund | 0.10 % |
Natixis Sustainable Future 2030 Fund | 0.13 % |
Natixis Sustainable Future 2035 Fund | 0.11 % |
Natixis Sustainable Future 2040 Fund | 0.07 % |
Natixis Sustainable Future 2045 Fund | 0.04 % |
1.46 % |
Reimbursement of Transfer Agency Expenses | |
Fund | Class N |
Credit Income Fund | $1,063 |
Intermediate Duration Bond Fund | 1,113 |
Limited Term Government and Agency Fund | 1,588 |
Transfer Agent Fees and Expenses | ||||
Fund | Class A | Class C | Class N | Class Y |
Core Plus Bond Fund | $431,826 | $39,761 | $11,858 | $4,144,891 |
Credit Income Fund | 3,008 | 11 | 1,063 | 291 |
Global Allocation Fund | 455,023 | 266,198 | 3,824 | 1,662,969 |
Growth Fund | 683,495 | 67,388 | 4,734 | 8,253,291 |
Intermediate Duration Bond Fund | 11,241 | 467 | 1,113 | 209,573 |
Limited Term Government and Agency Fund | 226,978 | 10,966 | 1,588 | 445,525 |
Fund | Number of 5% Account Holders | Percentage of Ownership |
Core Plus Bond Fund | 1 | 5.39 % |
Growth Fund | 1 | 12.73 % |
Intermediate Duration Bond Fund | 5 | 68.79 % |
Limited Term Government and Agency Fund | 1 | 7.03 % |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||
Core Plus Bond Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 11,357,305 | $130,223,433 | 10,474,485 | $132,986,632 |
Issued in connection with the reinvestment of distributions | 869,581 | 9,938,436 | 938,411 | 11,828,548 |
Redeemed | (16,060,576 ) | (184,384,945 ) | (28,114,978 ) | (356,886,979 ) |
Net change | (3,833,690 ) | $(44,223,076 ) | (16,702,082 ) | $(212,071,799 ) |
Class C | ||||
Issued from the sale of shares | 357,507 | $4,114,433 | 423,129 | $5,278,465 |
Issued in connection with the reinvestment of distributions | 76,079 | 870,566 | 100,207 | 1,261,196 |
Redeemed | (1,998,166 ) | (22,822,620 ) | (3,221,131 ) | (40,470,551 ) |
Net change | (1,564,580 ) | $(17,837,621 ) | (2,697,795 ) | $(33,930,890 ) |
Class N | ||||
Issued from the sale of shares | 66,972,306 | $777,684,789 | 38,179,814 | $490,210,689 |
Issued in connection with the reinvestment of distributions | 6,158,589 | 71,024,752 | 5,162,553 | 65,205,642 |
Redeemed | (57,778,078 ) | (669,470,666 ) | (62,977,876 ) | (811,978,447 ) |
Net change | 15,352,817 | $179,238,875 | (19,635,509 ) | $(256,562,116 ) |
Class Y | ||||
Issued from the sale of shares | 175,407,125 | $2,034,481,891 | 102,729,590 | $1,306,190,967 |
Issued in connection with the reinvestment of distributions | 10,358,184 | 119,421,605 | 8,612,778 | 108,982,625 |
Redeemed | (110,384,583 ) | (1,272,938,219 ) | (194,725,398 ) | (2,468,017,072 ) |
Net change | 75,380,726 | $880,965,277 | (83,383,030 ) | $(1,052,843,480 ) |
Increase (decrease) from capital share transactions | 85,335,273 | $998,143,455 | (122,418,416 ) | $(1,555,408,285 ) |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||
Credit Income Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 13,459 | $116,360 | 11,798 | $103,473 |
Issued in connection with the reinvestment of distributions | 1,299 | 11,032 | 389 | 3,571 |
Redeemed | (11,853 ) | (98,382 ) | — | — |
Net change | 2,905 | $29,010 | 12,187 | $107,044 |
Class C | ||||
Issued in connection with the reinvestment of distributions | 4 | $34 | 3 | $25 |
Net change | 4 | $34 | 3 | $25 |
Class Y | ||||
Issued from the sale of shares | 300 | $2,480 | 5,804 | $57,920 |
Issued in connection with the reinvestment of distributions | 133 | 1,127 | 202 | 1,898 |
Redeemed | (3,680 ) | (31,358 ) | (2,572 ) | (24,000 ) |
Net change | (3,247 ) | $(27,751 ) | 3,434 | $35,818 |
Increase (decrease) from capital share transactions | (338 ) | $1,293 | 15,624 | $142,887 |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||
Global Allocation Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 3,389,851 | $71,361,898 | 4,486,306 | $116,023,013 |
Issued in connection with the reinvestment of distributions | 1,584,011 | 31,205,007 | 1,295,399 | 36,335,959 |
Redeemed | (7,011,580 ) | (149,010,976 ) | (7,156,453 ) | (177,508,478 ) |
Net change | (2,037,718 ) | $(46,444,071 ) | (1,374,748 ) | $(25,149,506 ) |
Class C | ||||
Issued from the sale of shares | 777,798 | $15,680,854 | 1,599,502 | $41,324,930 |
Issued in connection with the reinvestment of distributions | 1,249,698 | 23,769,266 | 1,119,198 | 30,632,442 |
Redeemed | (5,208,741 ) | (106,549,675 ) | (4,879,499 ) | (116,412,070 ) |
Net change | (3,181,245 ) | $(67,099,555 ) | (2,160,799 ) | $(44,454,698 ) |
Class N | ||||
Issued from the sale of shares | 1,581,514 | $33,910,780 | 1,767,033 | $46,769,376 |
Issued in connection with the reinvestment of distributions | 960,857 | 19,169,099 | 769,270 | 21,747,266 |
Redeemed | (2,419,236 ) | (52,220,251 ) | (2,468,746 ) | (61,003,997 ) |
Net change | 123,135 | $859,628 | 67,557 | $7,512,645 |
Class Y | ||||
Issued from the sale of shares | 11,651,567 | $249,069,549 | 17,815,028 | $464,667,649 |
Issued in connection with the reinvestment of distributions | 6,812,550 | 135,842,251 | 7,072,360 | 200,006,364 |
Redeemed | (36,342,744 ) | (779,023,281 ) | (41,896,295 ) | (1,013,036,852 ) |
Net change | (17,878,627 ) | $(394,111,481 ) | (17,008,907 ) | $(348,362,839 ) |
Decrease from capital share transactions | (22,974,455 ) | $(506,795,479 ) | (20,476,897 ) | $(410,454,398 ) |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||
Growth Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 25,307,103 | $429,030,222 | 39,717,368 | $783,108,012 |
Issued in connection with the reinvestment of distributions | 3,080,126 | 45,431,858 | 2,690,613 | 64,816,875 |
Redeemed | (58,359,545 ) | (987,390,432 ) | (44,619,514 ) | (895,385,409 ) |
Net change | (29,972,316 ) | $(512,928,352 ) | (2,211,533 ) | $(47,460,522 ) |
Class C | ||||
Issued from the sale of shares | 1,427,876 | $22,531,190 | 482,265 | $9,254,099 |
Issued in connection with the reinvestment of distributions | 596,956 | 7,503,741 | 212,100 | 4,507,128 |
Redeemed | (1,891,889 ) | (28,339,214 ) | (2,108,692 ) | (39,692,654 ) |
Net change | 132,943 | $1,695,717 | (1,414,327 ) | $(25,931,427 ) |
Class N | ||||
Issued from the sale of shares | 9,723,730 | $196,959,490 | 16,076,988 | $384,004,405 |
Issued in connection with the reinvestment of distributions | 3,273,160 | 53,254,325 | 974,540 | 25,445,235 |
Redeemed | (16,922,957 ) | (345,813,738 ) | (11,291,066 ) | (249,812,188 ) |
Net change | (3,926,067 ) | $(95,599,923 ) | 5,760,462 | $159,637,452 |
Class Y | ||||
Issued from the sale of shares | 145,614,231 | $2,904,813,412 | 106,157,081 | $2,382,270,036 |
Issued in connection with the reinvestment of distributions | 50,233,839 | 816,299,889 | 15,751,106 | 411,103,854 |
Redeemed | (185,161,203 ) | (3,717,011,614 ) | (127,856,705 ) | (2,914,738,824 ) |
Redeemed in-kind (Note 12) | (10,072,998 ) | (191,588,419 ) | — | — |
Net change | 613,869 | $(187,486,732 ) | (5,948,518 ) | $(121,364,934 ) |
Decrease from capital share transactions | (33,151,571 ) | $(794,319,290 ) | (3,813,916 ) | $(35,119,431 ) |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||
Intermediate Duration Bond Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 162,767 | $1,527,536 | 620,754 | $6,337,904 |
Issued in connection with the reinvestment of distributions | 42,793 | 399,890 | 38,180 | 379,158 |
Redeemed | (1,383,949 ) | (12,973,971 ) | (679,509 ) | (6,739,182 ) |
Net change | (1,178,389 ) | $(11,046,545 ) | (20,575 ) | $(22,120 ) |
Class C | ||||
Issued from the sale of shares | 86,200 | $813,282 | 25,419 | $268,078 |
Issued in connection with the reinvestment of distributions | 1,755 | 16,435 | 318 | 3,209 |
Redeemed | (30,766 ) | (292,234 ) | (36,638 ) | (374,076 ) |
Net change | 57,189 | $537,483 | (10,901 ) | $(102,789 ) |
Class N | ||||
Issued from the sale of shares | 4,504,771 | $41,858,306 | 223,571 | $2,186,390 |
Issued in connection with the reinvestment of distributions | 99,571 | 924,081 | 46,222 | 457,509 |
Redeemed | (581,767 ) | (5,430,564 ) | (78,242 ) | (767,571 ) |
Net change | 4,022,575 | $37,351,823 | 191,551 | $1,876,328 |
Class Y | ||||
Issued from the sale of shares | 10,622,669 | $99,573,320 | 10,432,771 | $104,382,931 |
Issued in connection with the reinvestment of distributions | 1,030,869 | 9,604,346 | 701,722 | 6,984,487 |
Redeemed | (8,626,109 ) | (80,519,563 ) | (15,625,439 ) | (155,292,386 ) |
Net change | 3,027,429 | $28,658,103 | (4,490,946 ) | $(43,924,968 ) |
Increase (decrease) from capital share transactions | 5,928,804 | $55,500,864 | (4,330,871 ) | $(42,173,549 ) |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||
Limited Term Government and Agency Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 2,652,652 | $28,284,400 | 3,443,653 | $38,051,151 |
Issued in connection with the reinvestment of distributions | 607,403 | 6,478,043 | 180,701 | 1,981,779 |
Redeemed | (6,626,486 ) | (70,703,766 ) | (5,686,327 ) | (62,870,713 ) |
Net change | (3,366,431 ) | $(35,941,323 ) | (2,061,973 ) | $(22,837,783 ) |
Class C | ||||
Issued from the sale of shares | 216,846 | $2,300,977 | 355,616 | $3,946,921 |
Issued in connection with the reinvestment of distributions | 22,066 | 234,758 | 3,777 | 41,142 |
Redeemed | (762,968 ) | (8,118,114 ) | (1,217,350 ) | (13,438,953 ) |
Net change | (524,056 ) | $(5,582,379 ) | (857,957 ) | $(9,450,890 ) |
Class N | ||||
Issued from the sale of shares | 3,011,128 | $32,301,122 | 1,015,581 | $11,197,256 |
Issued in connection with the reinvestment of distributions | 140,941 | 1,507,954 | 17,409 | 191,162 |
Redeemed | (679,452 ) | (7,286,871 ) | (327,674 ) | (3,626,861 ) |
Net change | 2,472,617 | $26,522,205 | 705,316 | $7,761,557 |
Class Y | ||||
Issued from the sale of shares | 27,925,195 | $299,329,524 | 29,040,597 | $322,624,285 |
Issued in connection with the reinvestment of distributions | 1,144,373 | 12,243,193 | 473,606 | 5,223,069 |
Redeemed | (29,148,521 ) | (311,660,863 ) | (45,475,068 ) | (503,368,228 ) |
Net change | (78,953 ) | $(88,146 ) | (15,960,865 ) | $(175,520,874 ) |
Decrease from capital share transactions | (1,496,823 ) | $(15,089,643 ) | (18,175,479 ) | $(200,047,990 ) |
Boston, Massachusetts
November 21, 2023
Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
Fund | Qualifying Percentage |
Credit Income Fund | 1.66 % |
Growth Fund | 100.00 % |
Credit Income Fund
Growth Fund
Fund | Amount |
Credit Income Fund | $38,241 |
Global Allocation Fund | 265,227,594 |
Growth Fund | 1,212,480,441 |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees | ||||
Edmond J. English (1953) | Trustee since 2013 Contract Review Committee Member and Governance Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 52 Director, Burlington Stores, Inc. (retail); Director, Rue Gilt Groupe, Inc. (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) |
Richard A. Goglia (1951) | Trustee since 2015 Audit Committee Member and Governance Committee Member | Retired | 52 Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as Vice President and treasurer of a defense company and experience at a financial services company) |
Martin T. Meehan (1956) | Trustee since 2012 Chairperson of the Governance Committee and Contract Review Committee Member | President, University of Massachusetts | 52 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience |
Maureen B. Mitchell (1951) | Trustee since 2017 Chairperson of the Contract Review Committee | Retired | 52 Director, Sterling Bancorp (bank) | Significant experience on the Board; financial services industry and executive experience (including role as President of global sales and marketing at a financial services company) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
James P. Palermo (1955) | Trustee since 2016 Audit Committee Member and Governance Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 52 Director, FutureFuel.io (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as Chief Executive Officer of client management and asset servicing for a banking and financial services company) |
Erik R. Sirri (1958) | Chairperson of the Board of Trustees since January 2021 Trustee since 2009 Ex Officio Member of the Audit Committee, Contract Review Committee and Governance Committee | Professor of Finance at Babson College | 52 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist |
Peter J. Smail (1952) | Trustee since 2009 Contract Review Committee Member | Retired | 52 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as President and Chief Executive Officer for an investment adviser) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
Kirk A. Sykes (1958) | Trustee since 2019 Audit Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 52 Advisor/Risk Management Committee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly, Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) |
Cynthia L. Walker (1956) | Trustee since 2005 Chairperson of the Audit Committee | Retired; formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 52 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
Interested Trustees | ||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 52 None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Interested Trustees − continued | ||||
David L. Giunta4 (1965) | Trustee since 2011 President and Chief Executive Officer of Natixis Funds Trust I; President of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 52 None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC |
1 | Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
2 | The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
Name and Year of Birth | Position(s) Held with the Trusts | Term of Office1 and Length of Time Served | Principal Occupation(s) During Past 5 Years2 |
Officers of the Trusts | |||
Matthew J. Block (1981) | Treasurer, Principal Financial and Accounting Officer | Since 2022 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex; Managing Director, State Street Bank and Trust Company |
Susan McWhan Tobin (1963) | Secretary and Chief Legal Officer | Since 2022 | Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019 – May 2022) and Senior Vice President and Head of Compliance, U.S. for Natixis Investment Managers (July 2011 – March 2019) |
Natalie R. Wagner (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts' current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
Exp. 11/30/24
6031448.1.1
LSIF58A-0923
Loomis Sayles Small Cap Growth Fund |
Loomis Sayles Small Cap Value Fund |
Loomis Sayles Small/Mid Cap Growth Fund |
Managers |
Mark F. Burns, CFA® |
John J. Slavik, CFA® |
Symbols | |
Institutional Class | LSSIX |
Retail Class | LCGRX |
Class N | LSSNX |
Investment Objective
Top Ten Holdings as of September 30, 2023 | |
Security Name | % of Net Assets |
1 Weatherford International PLC | 1.93% |
2 MACOM Technology Solutions Holdings, Inc. | 1.90 |
3 Option Care Health, Inc. | 1.83 |
4 Rambus, Inc. | 1.66 |
5 Casella Waste Systems, Inc., Class A | 1.59 |
6 Kinsale Capital Group, Inc. | 1.55 |
7 BellRing Brands, Inc. | 1.54 |
8 Cactus, Inc., Class A | 1.49 |
9 KBR, Inc. | 1.48 |
10 Merit Medical Systems, Inc. | 1.48 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Institutional Class Shares1 |
September 30, 2013 through September 30, 2023 |
Average Annual Total Returns — September 30, 20231 | |||||
1 Year | 5 Years | 10 Years | Expense Ratios3 | ||
Gross | Net | ||||
Institutional Class | 11.64 % | 3.79 % | 8.04 % | 0.93 % | 0.93 % |
Retail Class | 11.32 | 3.53 | 7.77 | 1.18 | 1.18 |
Class N | 11.77 | 3.90 | 8.16 | 0.82 | 0.82 |
Comparative Performance | |||||
Russell 2000® Growth Index2 | 9.59 | 1.55 | 6.72 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Russell 2000® Growth Index is an unmanaged index that measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
Managers |
Joseph R. Gatz, CFA® |
Jeffrey Schwartz, CFA® |
Symbols | |
Institutional Class | LSSCX |
Retail Class | LSCRX |
Admin Class | LSVAX |
Class N | LSCNX |
Investment Objective
Top Ten Holdings as of September 30, 2023 | |
Security Name | % of Net Assets |
1 Weatherford International PLC | 2.58% |
2 Northern Oil & Gas, Inc. | 1.74 |
3 Noble Corp. PLC | 1.71 |
4 Clean Harbors, Inc. | 1.63 |
5 Vontier Corp. | 1.55 |
6 Moog, Inc., Class A | 1.48 |
7 Tidewater, Inc. | 1.44 |
8 Federal Agricultural Mortgage Corp., Class C | 1.43 |
9 Kadant, Inc. | 1.39 |
10 U.S. Cellular Corp. | 1.32 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Institutional Class Shares1 |
September 30, 2013 through September 30, 2023 |
Average Annual Total Returns — September 30, 20231 | |||||
1 Year | 5 Years | 10 Years | Expense Ratios4 | ||
Gross | Net | ||||
Institutional Class | 20.73 % | 4.97 % | 7.35 % | 0.93 % | 0.90 % |
Retail Class | 20.47 | 4.71 | 7.08 | 1.18 | 1.15 |
Admin Class | 20.18 | 4.44 | 6.81 | 1.43 | 1.40 |
Class N | 20.80 | 5.02 | 7.41 | 0.84 | 0.84 |
Comparative Performance | |||||
Russell 2000® Value Index2 | 7.84 | 2.59 | 6.19 | ||
Russell 2000® Index3 | 8.93 | 2.40 | 6.65 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
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 | Russell 2000® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
Managers |
Mark F. Burns, CFA® |
John J. Slavik, CFA® |
Symbols | |
Institutional Class | LSMIX |
Class N | LSMNX |
Investment Objective
Top Ten Holdings as of September 30, 2023 | |
Security Name | % of Net Assets |
1 Kinsale Capital Group, Inc. | 2.19% |
2 ChampionX Corp. | 1.95 |
3 KBR, Inc. | 1.88 |
4 Hexcel Corp. | 1.85 |
5 Tetra Tech, Inc. | 1.78 |
6 Pure Storage, Inc., Class A | 1.68 |
7 CyberArk Software Ltd. | 1.66 |
8 Five Below, Inc. | 1.63 |
9 Advanced Energy Industries, Inc. | 1.59 |
10 CONMED Corp. | 1.59 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Institutional Class Shares1 |
June 30, 2015 (inception) through September 30, 2023 |
Average Annual Total Returns — September 30, 20231 | ||||||
1 Year | 5 Years | Life of Class I | Life of Class N | Expense Ratios3 | ||
Gross | Net | |||||
Institutional Class (Inception 6/30/15) | 4.06 % | 3.27 % | 7.55 % | — % | 0.91 % | 0.85 % |
Class N (Inception 10/1/19) | 4.06 | — | — | 5.37 | 0.91 | 0.83 |
Comparative Performance | ||||||
Russell 2500™ Growth Index2 | 10.61 | 4.05 | 7.21 | 6.61 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Russell 2500™ Growth Index measures the performance of the small-to-mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500™ Index companies with higher price-to-book ratios and higher forecasted growth values. The Index is constructed to provide a comprehensive and unbiased barometer of the small-to-mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-to-mid-cap opportunity set and that the represented companies continue to reflect growth characteristics. Indices are unmanaged. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
Loomis Sayles Small Cap Growth Fund | Beginning Account Value 4/1/2023 | Ending Account Value 9/30/2023 | Expenses Paid During Period* 4/1/2023 – 9/30/2023 |
Institutional Class | |||
Actual | $1,000.00 | $991.20 | $4.69 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.36 | $4.76 |
Retail Class | |||
Actual | $1,000.00 | $989.90 | $5.94 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.10 | $6.02 |
Class N | |||
Actual | $1,000.00 | $991.30 | $4.14 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.91 | $4.20 |
* | Expenses are equal to the Fund's annualized expense ratio: 0.94%, 1.19% and 0.83% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 365 (to reflect the half–year period). |
Loomis Sayles Small Cap Value Fund | Beginning Account Value 4/1/2023 | Ending Account Value 9/30/2023 | Expenses Paid During Period* 4/1/2023 – 9/30/2023 |
Institutional Class | |||
Actual | $1,000.00 | $1,044.50 | $4.61 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.56 | $4.56 |
Retail Class | |||
Actual | $1,000.00 | $1,043.60 | $5.89 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.30 | $5.82 |
Admin Class | |||
Actual | $1,000.00 | $1,042.20 | $7.17 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.05 | $7.08 |
Class N | |||
Actual | $1,000.00 | $1,044.90 | $4.36 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.81 | $4.31 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.85% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 365 (to reflect the half–year period). |
Loomis Sayles Small/Mid Cap Growth Fund | Beginning Account Value 4/1/2023 | Ending Account Value 9/30/2023 | Expenses Paid During Period* 4/1/2023 – 9/30/2023 |
Institutional Class | |||
Actual | $1,000.00 | $952.20 | $4.16 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.81 | $4.31 |
Class N | |||
Actual | $1,000.00 | $952.30 | $4.06 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.91 | $4.20 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.85% and 0.83% for Institutional Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 365 (to reflect the half–year period). |
One-Year | Three-Year | Five-Year | |
Loomis Sayles Small Cap Growth Fund | 18% | 39% | 37% |
Loomis Sayles Small Cap Value Fund | 17% | 47% | 73% |
Loomis Sayles Small/Mid Cap Growth Fund | 40% | 50% | 62% |
Loomis Sayles Small Cap Growth Fund
Shares | Description | Value (†) |
Common Stocks— 96.5% of Net Assets | ||
Aerospace & Defense — 3.3% | ||
402,065 | AAR Corp.(a) | $23,934,930 |
413,730 | Hexcel Corp. | 26,950,372 |
1,453,547 | Kratos Defense & Security Solutions, Inc.(a) | 21,832,276 |
72,717,578 | ||
Automobile Components — 2.7% | ||
235,893 | Dorman Products, Inc.(a) | 17,871,254 |
353,690 | Gentherm, Inc.(a) | 19,191,219 |
279,658 | Patrick Industries, Inc. | 20,991,130 |
58,053,603 | ||
Banks — 1.1% | ||
690,709 | Bancorp, Inc.(a) | 23,829,461 |
Beverages — 0.7% | ||
616,279 | Vita Coco Co., Inc.(a) | 16,047,905 |
Biotechnology — 4.5% | ||
659,845 | Inhibrx, Inc.(a) | 12,108,156 |
924,815 | Insmed, Inc.(a) | 23,351,579 |
762,757 | Replimune Group, Inc.(a) | 13,050,772 |
695,968 | Vericel Corp.(a) | 23,328,847 |
602,584 | Xencor, Inc.(a) | 12,142,068 |
431,891 | Xenon Pharmaceuticals, Inc.(a) | 14,753,396 |
98,734,818 | ||
Building Products — 1.2% | ||
868,149 | AZEK Co., Inc.(a) | 25,818,751 |
Capital Markets — 2.7% | ||
356,072 | Hamilton Lane, Inc., Class A | 32,203,152 |
329,873 | PJT Partners, Inc., Class A | 26,205,111 |
58,408,263 | ||
Commercial Services & Supplies — 2.5% | ||
1,269,765 | ACV Auctions, Inc., Class A(a) | 19,275,033 |
456,106 | Casella Waste Systems, Inc., Class A(a) | 34,800,888 |
54,075,921 | ||
Communications Equipment — 1.8% | ||
466,923 | Calix, Inc.(a) | 21,403,750 |
763,774 | Extreme Networks, Inc.(a) | 18,490,969 |
39,894,719 | ||
Construction & Engineering — 2.0% | ||
334,934 | Arcosa, Inc. | 24,081,755 |
499,723 | WillScot Mobile Mini Holdings Corp.(a) | 20,783,479 |
44,865,234 | ||
Diversified Consumer Services — 0.8% | ||
156,997 | Grand Canyon Education, Inc.(a) | 18,349,809 |
Electronic Equipment, Instruments & Components — 3.0% | ||
260,405 | Advanced Energy Industries, Inc. | 26,852,964 |
Shares | Description | Value (†) |
Electronic Equipment, Instruments & Components — continued | ||
240,855 | Itron, Inc.(a) | $14,590,996 |
174,219 | Novanta, Inc.(a) | 24,989,973 |
66,433,933 | ||
Energy Equipment & Services — 5.5% | ||
650,814 | Cactus, Inc., Class A | 32,677,371 |
557,628 | Noble Corp. PLC | 28,243,858 |
706,826 | Oceaneering International, Inc.(a) | 18,179,565 |
468,883 | Weatherford International PLC(a) | 42,354,201 |
121,454,995 | ||
Financial Services — 2.6% | ||
858,203 | EVERTEC, Inc. | 31,907,988 |
786,297 | Flywire Corp.(a) | 25,075,011 |
56,982,999 | ||
Food Products — 1.9% | ||
518,329 | Simply Good Foods Co.(a) | 17,892,717 |
1,038,246 | Sovos Brands, Inc.(a) | 23,412,447 |
41,305,164 | ||
Ground Transportation — 0.8% | ||
927,594 | Marten Transport Ltd. | 18,282,878 |
Health Care Equipment & Supplies — 7.9% | ||
508,604 | AtriCure, Inc.(a) | 22,276,855 |
496,993 | Axonics, Inc.(a) | 27,891,247 |
227,259 | CONMED Corp. | 22,919,070 |
118,177 | Inspire Medical Systems, Inc.(a) | 23,451,044 |
351,930 | LivaNova PLC(a) | 18,610,059 |
469,305 | Merit Medical Systems, Inc.(a) | 32,391,431 |
506,520 | PROCEPT BioRobotics Corp.(a) | 16,618,921 |
665,880 | Treace Medical Concepts, Inc.(a) | 8,729,687 |
172,888,314 | ||
Health Care Providers & Services — 5.4% | ||
285,612 | Acadia Healthcare Co., Inc.(a) | 20,081,380 |
285,413 | Ensign Group, Inc. | 26,523,430 |
1,237,321 | Option Care Health, Inc.(a) | 40,027,334 |
597,125 | Progyny, Inc.(a) | 20,314,192 |
387,793 | RadNet, Inc.(a) | 10,931,885 |
117,878,221 | ||
Health Care Technology — 1.4% | ||
803,743 | Evolent Health, Inc., Class A(a) | 21,885,922 |
482,053 | Phreesia, Inc.(a) | 9,004,750 |
30,890,672 | ||
Hotels, Restaurants & Leisure — 3.1% | ||
1,408,708 | Life Time Group Holdings, Inc.(a) | 21,426,449 |
259,810 | Papa John's International, Inc. | 17,724,238 |
297,521 | Texas Roadhouse, Inc. | 28,591,768 |
67,742,455 | ||
Household Durables — 1.2% | ||
212,274 | Installed Building Products, Inc. | 26,510,900 |
Loomis Sayles Small Cap Growth Fund (continued)
Shares | Description | Value (†) |
Insurance — 3.2% | ||
934,144 | BRP Group, Inc., Class A(a) | $21,700,165 |
187,548 | Goosehead Insurance, Inc., Class A(a) | 13,977,953 |
82,170 | Kinsale Capital Group, Inc. | 34,029,062 |
69,707,180 | ||
Leisure Products — 0.7% | ||
326,499 | Malibu Boats, Inc., Class A(a) | 16,004,981 |
Life Sciences Tools & Services — 1.1% | ||
96,064 | Medpace Holdings, Inc.(a) | 23,259,976 |
Machinery — 4.3% | ||
337,018 | Albany International Corp., Class A | 29,077,913 |
205,734 | ESCO Technologies, Inc. | 21,486,859 |
332,453 | Helios Technologies, Inc. | 18,444,492 |
105,889 | RBC Bearings, Inc.(a) | 24,791,792 |
93,801,056 | ||
Oil, Gas & Consumable Fuels — 1.0% | ||
954,984 | Magnolia Oil & Gas Corp., Class A | 21,878,683 |
Personal Care Products — 3.7% | ||
821,506 | BellRing Brands, Inc.(a) | 33,870,692 |
210,312 | elf Beauty, Inc.(a) | 23,098,567 |
173,273 | Inter Parfums, Inc. | 23,277,495 |
80,246,754 | ||
Pharmaceuticals — 1.6% | ||
767,123 | Supernus Pharmaceuticals, Inc.(a) | 21,149,581 |
423,357 | Ventyx Biosciences, Inc.(a) | 14,703,189 |
35,852,770 | ||
Professional Services — 5.5% | ||
122,065 | FTI Consulting, Inc.(a) | 21,777,617 |
280,253 | Huron Consulting Group, Inc.(a) | 29,191,152 |
164,043 | ICF International, Inc. | 19,818,035 |
549,754 | KBR, Inc. | 32,402,501 |
240,855 | WNS Holdings Ltd., ADR(a) | 16,488,933 |
119,678,238 | ||
Semiconductors & Semiconductor Equipment — 5.8% | ||
509,398 | MACOM Technology Solutions Holdings, Inc.(a) | 41,556,689 |
198,182 | Onto Innovation, Inc.(a) | 25,272,169 |
651,509 | Rambus, Inc.(a) | 36,347,687 |
203,243 | Silicon Laboratories, Inc.(a) | 23,553,831 |
126,730,376 | ||
Software — 5.8% | ||
818,132 | Box, Inc., Class A(a) | 19,806,976 |
327,693 | Clearwater Analytics Holdings, Inc., Class A(a) | 6,337,583 |
458,388 | Intapp, Inc.(a) | 15,365,166 |
404,402 | Model N, Inc.(a) | 9,871,453 |
574,462 | Tenable Holdings, Inc.(a) | 25,735,897 |
841,749 | Varonis Systems, Inc.(a) | 25,707,014 |
237,135 | Workiva, Inc.(a) | 24,031,261 |
126,855,350 |
Shares | Description | Value (†) |
Specialty Retail — 0.9% | ||
246,809 | Boot Barn Holdings, Inc.(a) | $20,038,423 |
Technology Hardware, Storage & Peripherals — 1.4% | ||
890,523 | Pure Storage, Inc., Class A(a) | 31,720,429 |
Textiles, Apparel & Luxury Goods — 1.6% | ||
217,633 | Columbia Sportswear Co. | 16,126,605 |
187,067 | Oxford Industries, Inc. | 17,982,751 |
34,109,356 | ||
Trading Companies & Distributors — 3.8% | ||
205,922 | Applied Industrial Technologies, Inc. | 31,837,600 |
240,160 | McGrath RentCorp | 24,073,638 |
169,799 | SiteOne Landscape Supply, Inc.(a) | 27,753,647 |
83,664,885 | ||
Total Common Stocks (Identified Cost $1,879,352,008) | 2,114,715,050 |
Principal Amount | ||
Short-Term Investments — 4.2% | ||
$92,344,958 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $92,364,197 on 10/02/2023 collateralized by $94,907,600 U.S. Treasury Note, 4.375% due 8/15/2026 valued at $94,191,925 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $92,344,958) | 92,344,958 |
Total Investments — 100.7% (Identified Cost $1,971,696,966) | 2,207,060,008 | |
Other assets less liabilities — (0.7)% | (14,738,686 ) | |
Net Assets — 100.0% | $2,192,321,322 |
(†) | 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. |
Loomis Sayles Small Cap Growth Fund (continued)
Health Care Equipment & Supplies | 7.9 % |
Software | 5.8 |
Semiconductors & Semiconductor Equipment | 5.8 |
Energy Equipment & Services | 5.5 |
Professional Services | 5.5 |
Health Care Providers & Services | 5.4 |
Biotechnology | 4.5 |
Machinery | 4.3 |
Trading Companies & Distributors | 3.8 |
Personal Care Products | 3.7 |
Aerospace & Defense | 3.3 |
Insurance | 3.2 |
Hotels, Restaurants & Leisure | 3.1 |
Electronic Equipment, Instruments & Components | 3.0 |
Capital Markets | 2.7 |
Automobile Components | 2.7 |
Financial Services | 2.6 |
Commercial Services & Supplies | 2.5 |
Construction & Engineering | 2.0 |
Other Investments, less than 2% each | 19.2 |
Short-Term Investments | 4.2 |
Total Investments | 100.7 |
Other assets less liabilities | (0.7 ) |
Net Assets | 100.0 % |
Loomis Sayles Small Cap Value Fund
Shares | Description | Value (†) |
Common Stocks— 98.9% of Net Assets | ||
Aerospace & Defense — 3.5% | ||
222,212 | Leonardo DRS, Inc.(a) | $3,710,940 |
44,777 | Moog, Inc., Class A | 5,058,010 |
63,034 | V2X, Inc.(a) | 3,256,337 |
12,025,287 | ||
Banks — 9.8% | ||
84,723 | Ameris Bancorp | 3,252,516 |
49,485 | Axos Financial, Inc.(a) | 1,873,502 |
116,137 | Cadence Bank | 2,464,427 |
185,456 | Home BancShares, Inc. | 3,883,449 |
187,288 | OceanFirst Financial Corp. | 2,710,057 |
49,165 | Pinnacle Financial Partners, Inc. | 3,296,022 |
55,522 | Popular, Inc. | 3,498,441 |
53,888 | Prosperity Bancshares, Inc. | 2,941,207 |
46,588 | SouthState Corp. | 3,138,168 |
53,141 | Wintrust Financial Corp. | 4,012,145 |
65,775 | WSFS Financial Corp. | 2,400,788 |
33,470,722 | ||
Biotechnology — 1.9% | ||
98,104 | Alkermes PLC(a) | 2,747,893 |
15,919 | United Therapeutics Corp.(a) | 3,595,625 |
6,343,518 | ||
Building Products — 3.5% | ||
61,572 | Griffon Corp. | 2,442,561 |
220,927 | Janus International Group, Inc.(a) | 2,363,919 |
111,350 | Quanex Building Products Corp. | 3,136,730 |
38,611 | UFP Industries, Inc. | 3,953,766 |
11,896,976 | ||
Capital Markets — 1.3% | ||
133,963 | P10, Inc., Class A | 1,560,669 |
49,001 | Stifel Financial Corp. | 3,010,621 |
4,571,290 | ||
Chemicals — 3.1% | ||
28,774 | Ashland, Inc. | 2,350,260 |
44,884 | Cabot Corp. | 3,109,115 |
276,487 | Ecovyst, Inc.(a) | 2,720,632 |
247,262 | LSB Industries, Inc.(a) | 2,529,490 |
10,709,497 | ||
Commercial Services & Supplies — 2.6% | ||
101,333 | CECO Environmental Corp.(a) | 1,618,288 |
33,230 | Clean Harbors, Inc.(a) | 5,561,373 |
36,826 | VSE Corp. | 1,857,503 |
9,037,164 | ||
Communications Equipment — 0.6% | ||
227,920 | Viavi Solutions, Inc.(a) | 2,083,189 |
Construction & Engineering — 1.9% | ||
55,529 | Arcosa, Inc. | 3,992,535 |
127,640 | MDU Resources Group, Inc. | 2,499,191 |
6,491,726 |
Shares | Description | Value (†) |
Construction Materials — 0.9% | ||
63,526 | Knife River Corp.(a) | $3,101,975 |
Consumer Staples Distribution & Retail — 1.1% | ||
70,452 | Andersons, Inc. | 3,628,982 |
Electric Utilities — 0.7% | ||
45,865 | ALLETE, Inc. | 2,421,672 |
Electrical Equipment — 1.0% | ||
22,289 | Atkore, Inc.(a) | 3,325,296 |
Electronic Equipment, Instruments & Components — 7.3% | ||
38,832 | Bel Fuse, Inc., Class B | 1,853,063 |
64,778 | Crane NXT Co. | 3,599,713 |
93,273 | Kimball Electronics, Inc.(a) | 2,553,815 |
7,870 | Littelfuse, Inc. | 1,946,408 |
41,719 | Methode Electronics, Inc. | 953,279 |
15,322 | National Instruments Corp. | 913,498 |
11,945 | Rogers Corp.(a) | 1,570,409 |
37,938 | TD SYNNEX Corp. | 3,788,489 |
192,301 | TTM Technologies, Inc.(a) | 2,476,837 |
171,600 | Vontier Corp. | 5,305,872 |
24,961,383 | ||
Energy Equipment & Services — 7.2% | ||
101,752 | ChampionX Corp. | 3,624,406 |
209,933 | Newpark Resources, Inc.(a) | 1,450,637 |
115,215 | Noble Corp. PLC | 5,835,640 |
69,275 | Tidewater, Inc.(a) | 4,923,374 |
97,816 | Weatherford International PLC(a) | 8,835,720 |
24,669,777 | ||
Entertainment — 0.8% | ||
74,161 | Atlanta Braves Holdings, Inc., Class C(a) | 2,649,773 |
Financial Services — 3.2% | ||
75,829 | Cannae Holdings, Inc.(a) | 1,413,453 |
32,125 | Euronet Worldwide, Inc.(a) | 2,550,082 |
31,679 | Federal Agricultural Mortgage Corp., Class C | 4,888,070 |
126,486 | International Money Express, Inc.(a) | 2,141,408 |
10,993,013 | ||
Food Products — 1.0% | ||
9,459 | J & J Snack Foods Corp. | 1,547,965 |
125,036 | Nomad Foods Ltd.(a) | 1,903,048 |
3,451,013 | ||
Health Care Equipment & Supplies — 3.9% | ||
20,359 | CONMED Corp. | 2,053,205 |
49,756 | Embecta Corp. | 748,828 |
84,197 | Inmode Ltd.(a) | 2,564,640 |
63,366 | Lantheus Holdings, Inc.(a) | 4,402,670 |
22,526 | UFP Technologies, Inc.(a) | 3,636,823 |
13,406,166 | ||
Health Care Providers & Services — 3.1% | ||
138,847 | AdaptHealth Corp.(a) | 1,263,508 |
Loomis Sayles Small Cap Value Fund (continued)
Shares | Description | Value (†) |
Health Care Providers & Services — continued | ||
20,432 | AMN Healthcare Services, Inc.(a) | $1,740,398 |
98,648 | Option Care Health, Inc.(a) | 3,191,263 |
67,467 | Tenet Healthcare Corp.(a) | 4,445,400 |
10,640,569 | ||
Health Care Technology — 0.6% | ||
153,503 | Veradigm, Inc.(a) | 2,017,029 |
Hotels, Restaurants & Leisure — 1.6% | ||
26,776 | Churchill Downs, Inc. | 3,107,087 |
23,880 | Marriott Vacations Worldwide Corp. | 2,403,044 |
5,510,131 | ||
Household Durables — 1.8% | ||
65,507 | KB Home | 3,031,664 |
47,289 | Skyline Champion Corp.(a) | 3,013,255 |
6,044,919 | ||
Household Products — 0.8% | ||
35,774 | Spectrum Brands Holdings, Inc. | 2,802,893 |
Industrial REITs — 1.0% | ||
102,993 | STAG Industrial, Inc. | 3,554,288 |
Insurance — 1.5% | ||
71,461 | Employers Holdings, Inc. | 2,854,867 |
50,561 | Kemper Corp. | 2,125,079 |
4,979,946 | ||
Integrated Energy — 0.5% | ||
29,878 | Talen Energy Corp.(a) | 1,580,546 |
Leisure Products — 0.9% | ||
37,804 | Brunswick Corp. | 2,986,516 |
Machinery — 3.3% | ||
34,339 | Albany International Corp., Class A | 2,962,769 |
63,693 | Columbus McKinnon Corp. | 2,223,522 |
21,031 | Kadant, Inc. | 4,743,542 |
71,656 | Wabash National Corp. | 1,513,375 |
11,443,208 | ||
Marine Transportation — 0.8% | ||
188,113 | Genco Shipping & Trading Ltd. | 2,631,701 |
Media — 1.5% | ||
57,261 | John Wiley & Sons, Inc., Class A | 2,128,391 |
47,997 | Scholastic Corp. | 1,830,606 |
71,225 | Thryv Holdings, Inc.(a) | 1,336,893 |
5,295,890 | ||
Office REITs — 1.1% | ||
141,608 | Equity Commonwealth | 2,601,339 |
80,083 | Postal Realty Trust, Inc., Class A | 1,081,120 |
3,682,459 | ||
Oil, Gas & Consumable Fuels — 5.8% | ||
77,798 | Antero Resources Corp.(a) | 1,974,513 |
65,283 | California Resources Corp. | 3,656,501 |
95,682 | Delek U.S. Holdings, Inc. | 2,718,326 |
Shares | Description | Value (†) |
Oil, Gas & Consumable Fuels — continued | ||
62,035 | International Seaways, Inc. | $2,791,575 |
336,716 | Kosmos Energy Ltd.(a) | 2,754,337 |
147,692 | Northern Oil & Gas, Inc. | 5,941,649 |
19,836,901 | ||
Personal Care Products — 1.3% | ||
103,918 | BellRing Brands, Inc.(a) | 4,284,539 |
Pharmaceuticals — 2.2% | ||
38,069 | ANI Pharmaceuticals, Inc.(a) | 2,210,286 |
84,654 | Pacira BioSciences, Inc.(a) | 2,597,185 |
101,850 | Supernus Pharmaceuticals, Inc.(a) | 2,808,004 |
7,615,475 | ||
Professional Services — 3.4% | ||
326,274 | Alight, Inc., Class A(a) | 2,313,283 |
29,290 | Concentrix Corp. | 2,346,422 |
44,648 | CSG Systems International, Inc. | 2,282,406 |
48,683 | Korn Ferry | 2,309,521 |
23,179 | Science Applications International Corp. | 2,446,311 |
11,697,943 | ||
Real Estate Management & Development — 0.8% | ||
30,143 | Colliers International Group, Inc. | 2,871,121 |
Retail REITs — 0.7% | ||
44,145 | Agree Realty Corp. | 2,438,570 |
Semiconductors & Semiconductor Equipment — 2.4% | ||
78,140 | Rambus, Inc.(a) | 4,359,431 |
106,673 | Semtech Corp.(a) | 2,746,830 |
41,645 | Tower Semiconductor Ltd.(a) | 1,022,801 |
8,129,062 | ||
Specialty Retail — 1.1% | ||
34,376 | Academy Sports & Outdoors, Inc. | 1,624,954 |
24,379 | Boot Barn Holdings, Inc.(a) | 1,979,331 |
3,604,285 | ||
Technology Hardware, Storage & Peripherals — 1.2% | ||
15,159 | Super Micro Computer, Inc.(a) | 4,156,901 |
Textiles, Apparel & Luxury Goods — 0.9% | ||
35,459 | Crocs, Inc.(a) | 3,128,548 |
Trading Companies & Distributors — 3.6% | ||
140,338 | Alta Equipment Group, Inc. | 1,692,476 |
206,308 | Custom Truck One Source, Inc.(a) | 1,279,110 |
24,504 | Herc Holdings, Inc. | 2,914,506 |
40,550 | McGrath RentCorp | 4,064,732 |
237,804 | MRC Global, Inc.(a) | 2,437,491 |
12,388,315 | ||
Water Utilities — 0.4% | ||
146,605 | Pure Cycle Corp.(a) | 1,407,408 |
Loomis Sayles Small Cap Value Fund (continued)
Shares | Description | Value (†) |
Wireless Telecommunication Services — 1.3% | ||
105,234 | U.S. Cellular Corp.(a) | $4,521,905 |
Total Common Stocks (Identified Cost $255,533,897) | 338,489,487 |
Principal Amount | ||
Short-Term Investments — 1.5% | ||
$5,055,918 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $5,056,971 on 10/02/2023 collateralized by $5,791,600 U.S. Treasury Note, 0.750% due 8/31/2026 valued at $5,157,080 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,055,918) | 5,055,918 |
Total Investments — 100.4% (Identified Cost $260,589,815) | 343,545,405 | |
Other assets less liabilities — (0.4)% | (1,402,290 ) | |
Net Assets — 100.0% | $342,143,115 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
REITs | Real Estate Investment Trusts |
Banks | 9.8 % |
Electronic Equipment, Instruments & Components | 7.3 |
Energy Equipment & Services | 7.2 |
Oil, Gas & Consumable Fuels | 5.8 |
Health Care Equipment & Supplies | 3.9 |
Trading Companies & Distributors | 3.6 |
Aerospace & Defense | 3.5 |
Building Products | 3.5 |
Professional Services | 3.4 |
Machinery | 3.3 |
Financial Services | 3.2 |
Chemicals | 3.1 |
Health Care Providers & Services | 3.1 |
Commercial Services & Supplies | 2.6 |
Semiconductors & Semiconductor Equipment | 2.4 |
Pharmaceuticals | 2.2 |
Other Investments, less than 2% each | 31.0 |
Short-Term Investments | 1.5 |
Total Investments | 100.4 |
Other assets less liabilities | (0.4 ) |
Net Assets | 100.0 % |
Loomis Sayles Small/Mid Cap Growth Fund
Shares | Description | Value (†) |
Common Stocks— 96.6% of Net Assets | ||
Aerospace & Defense — 5.7% | ||
10,396 | Axon Enterprise, Inc.(a) | $2,068,700 |
16,334 | BWX Technologies, Inc. | 1,224,723 |
13,492 | HEICO Corp. | 2,184,760 |
40,770 | Hexcel Corp. | 2,655,758 |
8,133,941 | ||
Automobile Components — 1.4% | ||
60,919 | Gentex Corp. | 1,982,304 |
Banks — 0.8% | ||
29,617 | Axos Financial, Inc.(a) | 1,121,300 |
Biotechnology — 8.1% | ||
26,871 | Exact Sciences Corp.(a) | 1,833,140 |
57,819 | Insmed, Inc.(a) | 1,459,930 |
39,136 | Natera, Inc.(a) | 1,731,768 |
18,127 | Neurocrine Biosciences, Inc.(a) | 2,039,287 |
140,117 | Roivant Sciences Ltd.(a) | 1,636,566 |
9,552 | United Therapeutics Corp.(a) | 2,157,510 |
34,412 | Xencor, Inc.(a) | 693,402 |
11,551,603 | ||
Broadline Retail — 0.7% | ||
49,177 | Savers Value Village, Inc.(a) | 918,135 |
Building Products — 1.4% | ||
67,692 | AZEK Co., Inc.(a) | 2,013,160 |
Capital Markets — 2.6% | ||
24,550 | Hamilton Lane, Inc., Class A | 2,220,302 |
46,127 | StepStone Group, Inc., Class A | 1,456,691 |
3,676,993 | ||
Commercial Services & Supplies — 2.5% | ||
15,449 | Cimpress PLC(a) | 1,081,584 |
16,763 | Tetra Tech, Inc. | 2,548,479 |
3,630,063 | ||
Communications Equipment — 1.4% | ||
43,348 | Ciena Corp.(a) | 2,048,626 |
Construction & Engineering — 2.0% | ||
16,780 | MasTec, Inc.(a) | 1,207,657 |
37,805 | WillScot Mobile Mini Holdings Corp.(a) | 1,572,310 |
2,779,967 | ||
Consumer Staples Distribution & Retail — 3.6% | ||
23,485 | BJ's Wholesale Club Holdings, Inc.(a) | 1,676,124 |
7,244 | Casey's General Stores, Inc. | 1,966,891 |
26,635 | Performance Food Group Co.(a) | 1,567,736 |
5,210,751 | ||
Electronic Equipment, Instruments & Components — 3.6% | ||
22,171 | Advanced Energy Industries, Inc. | 2,286,274 |
Shares | Description | Value (†) |
Electronic Equipment, Instruments & Components — continued | ||
10,732 | IPG Photonics Corp.(a) | $1,089,727 |
33,222 | Trimble, Inc.(a) | 1,789,337 |
5,165,338 | ||
Energy Equipment & Services — 4.1% | ||
78,747 | ChampionX Corp. | 2,804,968 |
48,218 | Expro Group Holdings NV(a) | 1,120,104 |
94,697 | NOV, Inc. | 1,979,168 |
5,904,240 | ||
Financial Services — 2.4% | ||
48,553 | Remitly Global, Inc.(a) | 1,224,506 |
11,776 | WEX, Inc.(a) | 2,214,948 |
3,439,454 | ||
Food Products — 1.2% | ||
51,266 | Simply Good Foods Co.(a) | 1,769,702 |
Health Care Equipment & Supplies — 6.7% | ||
29,095 | Axonics, Inc.(a) | 1,632,811 |
22,609 | CONMED Corp. | 2,280,118 |
6,028 | Insulet Corp.(a) | 961,406 |
20,082 | LivaNova PLC(a) | 1,061,936 |
16,747 | Merit Medical Systems, Inc.(a) | 1,155,878 |
111,982 | Paragon 28, Inc.(a) | 1,405,374 |
34,486 | PROCEPT BioRobotics Corp.(a) | 1,131,486 |
9,629,009 | ||
Health Care Providers & Services — 3.2% | ||
20,520 | Acadia Healthcare Co., Inc.(a) | 1,442,761 |
28,195 | HealthEquity, Inc.(a) | 2,059,645 |
44,021 | Privia Health Group, Inc.(a) | 1,012,483 |
4,514,889 | ||
Health Care Technology — 0.9% | ||
48,385 | Evolent Health, Inc., Class A(a) | 1,317,524 |
Hotels, Restaurants & Leisure — 4.8% | ||
16,897 | Churchill Downs, Inc. | 1,960,728 |
30,005 | Light & Wonder, Inc.(a) | 2,140,257 |
11,118 | Planet Fitness, Inc., Class A(a) | 546,783 |
23,721 | Texas Roadhouse, Inc. | 2,279,588 |
6,927,356 | ||
Insurance — 3.1% | ||
7,574 | Kinsale Capital Group, Inc. | 3,136,621 |
9,300 | Reinsurance Group of America, Inc. | 1,350,267 |
4,486,888 | ||
Machinery — 2.8% | ||
16,726 | Ingersoll Rand, Inc. | 1,065,781 |
10,681 | Middleby Corp.(a) | 1,367,168 |
6,958 | RBC Bearings, Inc.(a) | 1,629,076 |
4,062,025 | ||
Metals & Mining — 1.5% | ||
50,844 | ATI, Inc.(a) | 2,092,231 |
Loomis Sayles Small/Mid Cap Growth Fund (continued)
Shares | Description | Value (†) |
Oil, Gas & Consumable Fuels — 3.9% | ||
11,321 | Chord Energy Corp. | $1,834,794 |
85,263 | Magnolia Oil & Gas Corp., Class A | 1,953,375 |
31,049 | Matador Resources Co. | 1,846,795 |
5,634,964 | ||
Pharmaceuticals — 0.9% | ||
38,277 | Ventyx Biosciences, Inc.(a) | 1,329,360 |
Professional Services — 5.5% | ||
10,479 | FTI Consulting, Inc.(a) | 1,869,558 |
45,757 | KBR, Inc. | 2,696,918 |
32,987 | Parsons Corp.(a) | 1,792,844 |
8,609 | Paylocity Holding Corp.(a) | 1,564,255 |
7,923,575 | ||
Semiconductors & Semiconductor Equipment — 5.7% | ||
31,212 | Allegro MicroSystems, Inc.(a) | 996,911 |
3,521 | Monolithic Power Systems, Inc. | 1,626,702 |
19,324 | Nova Ltd.(a) | 2,172,791 |
25,439 | Power Integrations, Inc. | 1,941,250 |
12,568 | Silicon Laboratories, Inc.(a) | 1,456,505 |
8,194,159 | ||
Software — 7.9% | ||
69,644 | Box, Inc., Class A(a) | 1,686,081 |
31,941 | Clearwater Analytics Holdings, Inc., Class A(a) | 617,739 |
14,551 | CyberArk Software Ltd.(a) | 2,383,017 |
45,622 | DoubleVerify Holdings, Inc.(a) | 1,275,135 |
52,934 | PowerSchool Holdings, Inc., Class A(a) | 1,199,485 |
5,543 | Tyler Technologies, Inc.(a) | 2,140,374 |
19,947 | Workiva, Inc.(a) | 2,021,429 |
11,323,260 | ||
Specialty Retail — 1.6% | ||
14,522 | Five Below, Inc.(a) | 2,336,590 |
Technology Hardware, Storage & Peripherals — 1.7% | ||
67,507 | Pure Storage, Inc., Class A(a) | 2,404,599 |
Textiles, Apparel & Luxury Goods — 3.4% | ||
18,077 | Columbia Sportswear Co. | 1,339,506 |
3,365 | Deckers Outdoor Corp.(a) | 1,729,913 |
36,626 | Skechers USA, Inc., Class A(a) | 1,792,842 |
4,862,261 | ||
Trading Companies & Distributors — 1.5% | ||
13,478 | SiteOne Landscape Supply, Inc.(a) | 2,202,979 |
Total Common Stocks (Identified Cost $138,419,405) | 138,587,246 |
Principal Amount | Description | Value (†) |
Short-Term Investments — 3.6% | ||
$5,193,983 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $5,195,065 on 10/02/2023 collateralized by $5,949,800 U.S. Treasury Note, 0.750% due 8/31/2026 valued at $5,297,948 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,193,983) | $5,193,983 |
Total Investments — 100.2% (Identified Cost $143,613,388) | 143,781,229 | |
Other assets less liabilities — (0.2)% | (247,629 ) | |
Net Assets — 100.0% | $143,533,600 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
Biotechnology | 8.1 % |
Software | 7.9 |
Health Care Equipment & Supplies | 6.7 |
Semiconductors & Semiconductor Equipment | 5.7 |
Aerospace & Defense | 5.7 |
Professional Services | 5.5 |
Hotels, Restaurants & Leisure | 4.8 |
Energy Equipment & Services | 4.1 |
Oil, Gas & Consumable Fuels | 3.9 |
Consumer Staples Distribution & Retail | 3.6 |
Electronic Equipment, Instruments & Components | 3.6 |
Textiles, Apparel & Luxury Goods | 3.4 |
Health Care Providers & Services | 3.2 |
Insurance | 3.1 |
Machinery | 2.8 |
Capital Markets | 2.6 |
Commercial Services & Supplies | 2.5 |
Financial Services | 2.4 |
Construction & Engineering | 2.0 |
Other Investments, less than 2% each | 15.0 |
Short-Term Investments | 3.6 |
Total Investments | 100.2 |
Other assets less liabilities | (0.2 ) |
Net Assets | 100.0 % |
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | |
ASSETS | |||
Investments at cost | $1,971,696,966 | $260,589,815 | $143,613,388 |
Net unrealized appreciation | 235,363,042 | 82,955,590 | 167,841 |
Investments at value | 2,207,060,008 | 343,545,405 | 143,781,229 |
Cash | 806,427 | — | — |
Receivable for Fund shares sold | 2,961,819 | 304,292 | 183 |
Receivable for securities sold | — | 974,570 | — |
Dividends and interest receivable | 603,846 | 254,159 | 25,183 |
Prepaid expenses (Note 7) | 813 | 251 | 185 |
TOTAL ASSETS | 2,211,432,913 | 345,078,677 | 143,806,780 |
LIABILITIES | |||
Payable for securities purchased | 15,794,194 | 1,562,087 | 84,061 |
Payable for Fund shares redeemed | 1,351,765 | 731,586 | — |
Management fees payable (Note 5) | 1,392,830 | 232,943 | 80,374 |
Deferred Trustees’ fees (Note 5) | 331,022 | 322,700 | 45,756 |
Administrative fees payable (Note 5) | 86,011 | 13,427 | 5,595 |
Payable to distributor (Note 5d) | 12,959 | 2,560 | 229 |
Audit and tax services fees payable | 44,605 | 45,356 | 44,662 |
Other accounts payable and accrued expenses | 98,205 | 24,903 | 12,503 |
TOTAL LIABILITIES | 19,111,591 | 2,935,562 | 273,180 |
NET ASSETS | $2,192,321,322 | $342,143,115 | $143,533,600 |
NET ASSETS CONSIST OF: | |||
Paid-in capital | $1,916,509,776 | $195,287,203 | $168,025,753 |
Accumulated earnings (loss) | 275,811,546 | 146,855,912 | (24,492,153 ) |
NET ASSETS | $2,192,321,322 | $342,143,115 | $143,533,600 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | |||
Institutional Class: | |||
Net assets | $974,539,330 | $201,631,870 | $118,498,529 |
Shares of beneficial interest | 39,316,477 | 8,342,434 | 11,015,432 |
Net asset value, offering and redemption price per share | $24.79 | $24.17 | $10.76 |
Retail Class: | |||
Net assets | $62,965,490 | $68,978,765 | $— |
Shares of beneficial interest | 2,929,534 | 2,943,099 | — |
Net asset value, offering and redemption price per share | $21.49 | $23.44 | $— |
Admin Class shares: | |||
Net assets | $— | $5,811,982 | $— |
Shares of beneficial interest | — | 270,760 | — |
Net asset value, offering and redemption price per share | $— | $21.47 | $— |
Class N shares: | |||
Net assets | $1,154,816,502 | $65,720,498 | $25,035,071 |
Shares of beneficial interest | 45,801,559 | 2,717,454 | 2,325,579 |
Net asset value, offering and redemption price per share | $25.21 | $24.18 | $10.77 |
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | |
INVESTMENT INCOME | |||
Dividends | $8,601,423 | $4,772,981 | $622,803 |
Interest | 1,443,093 | 162,959 | 76,128 |
Less net foreign taxes withheld | (34,741 ) | (14,880 ) | — |
10,009,775 | 4,921,060 | 698,931 | |
Expenses | |||
Management fees (Note 5) | 16,886,498 | 2,967,496 | 1,105,606 |
Service and distribution fees (Note 5) | 168,708 | 208,834 | — |
Administrative fees (Note 5) | 1,043,399 | 183,393 | 68,319 |
Trustees' fees and expenses (Note 5) | 142,607 | 65,865 | 26,389 |
Transfer agent fees and expenses (Notes 5 and 6) | 1,221,911 | 285,546 | 20,385 |
Audit and tax services fees | 44,715 | 45,349 | 44,709 |
Custodian fees and expenses | 61,102 | 13,984 | 11,235 |
Legal fees | 92,426 | 16,829 | 6,632 |
Registration fees | 86,558 | 63,556 | 47,870 |
Shareholder reporting expenses | 137,706 | 38,231 | 6,070 |
Miscellaneous expenses | 97,904 | 49,176 | 37,079 |
Total expenses | 19,983,534 | 3,938,259 | 1,374,294 |
Less waiver and/or expense reimbursement (Note 5) | — | (203,031 ) | (131,817 ) |
Net expenses | 19,983,534 | 3,735,228 | 1,242,477 |
Net investment income (loss) | (9,973,759 ) | 1,185,832 | (543,546 ) |
Net realized and unrealized gain (loss) on Investments | |||
Net realized gain (loss) on: | |||
Investments | 57,412,374 | 64,347,797 | (14,132,539 ) |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | 183,966,249 | 17,381,687 | 23,117,663 |
Net realized and unrealized gain on Investments | 241,378,623 | 81,729,484 | 8,985,124 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $231,404,864 | $82,915,316 | $8,441,578 |
Small Cap Growth Fund | Small Cap Value Fund | |||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2023 | Year Ended September 30, 2022 | |
FROM OPERATIONS: | ||||
Net investment income (loss) | $(9,973,759 ) | $(11,256,808 ) | $1,185,832 | $2,371,925 |
Net realized gain on investments | 57,412,374 | 55,541,403 | 64,347,797 | 53,239,567 |
Net change in unrealized appreciation (depreciation) on investments | 183,966,249 | (710,299,435 ) | 17,381,687 | (140,778,533 ) |
Net increase (decrease) in net assets resulting from operations | 231,404,864 | (666,014,840 ) | 82,915,316 | (85,167,041 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Institutional Class | (26,863,859 ) | (225,523,167 ) | (33,629,482 ) | (63,922,055 ) |
Retail Class | (2,219,963 ) | (19,793,925 ) | (7,869,701 ) | (14,932,854 ) |
Admin Class | — | — | (890,318 ) | (1,673,437 ) |
Class N | (32,585,425 ) | (252,701,386 ) | (8,423,867 ) | (19,629,374 ) |
Total distributions | (61,669,247 ) | (498,018,478 ) | (50,813,368 ) | (100,157,720 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 10) | 45,491,029 | 261,184,927 | (111,660,807 ) | 14,383,874 |
Net increase (decrease) in net assets | 215,226,646 | (902,848,391 ) | (79,558,859 ) | (170,940,887 ) |
NET ASSETS | ||||
Beginning of the year | 1,977,094,676 | 2,879,943,067 | 421,701,974 | 592,642,861 |
End of the year | $2,192,321,322 | $1,977,094,676 | $342,143,115 | $421,701,974 |
Small/Mid Cap Growth Fund | ||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |
FROM OPERATIONS: | ||
Net investment loss | $(543,546 ) | $(596,324 ) |
Net realized loss on investments | (14,132,539 ) | (6,038,711 ) |
Net change in unrealized appreciation (depreciation) on investments | 23,117,663 | (41,617,706 ) |
Net increase (decrease) in net assets resulting from operations | 8,441,578 | (48,252,741 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||
Institutional Class | — | (7,348,311 ) |
Class N | — | (901,138 ) |
Total distributions | — | (8,249,449 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 10) | (18,288,186 ) | 130,096,993 |
Net increase (decrease) in net assets | (9,846,608 ) | 73,594,803 |
NET ASSETS | ||
Beginning of the year | 153,380,208 | 79,785,405 |
End of the year | $143,533,600 | $153,380,208 |
Small Cap Growth Fund – Institutional Class | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $22.88 | $36.57 | $28.51 | $26.30 | $31.55 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.12 ) | (0.15 )(b) | (0.26 ) | (0.17 ) | (0.16 ) |
Net realized and unrealized gain (loss) | 2.75 | (7.06 ) | 8.94 | 4.73 | (2.51 ) |
Total from Investment Operations | 2.63 | (7.21 ) | 8.68 | 4.56 | (2.67 ) |
LESS DISTRIBUTIONS FROM: | |||||
Net realized capital gains | (0.72 ) | (6.48 ) | (0.62 ) | (2.35 ) | (2.58 ) |
Net asset value, end of the period | $24.79 | $22.88 | $36.57 | $28.51 | $26.30 |
Total return | 11.64 % | (24.77 )%(b) | 30.53 % | 17.98 % | (6.88 )% |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $974,539 | $883,458 | $1,299,777 | $1,037,625 | $908,616 |
Net expenses | 0.94 % | 0.93 % | 0.92 % | 0.94 % | 0.95 % |
Gross expenses | 0.94 % | 0.93 % | 0.92 % | 0.94 % | 0.95 % |
Net investment loss | (0.50 )% | (0.51 )%(b) | (0.72 )% | (0.66 )% | (0.62 )% |
Portfolio turnover rate | 37 % | 34 % | 52 % | 52 % | 67 % |
(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 $(0.16), total return would have been (24.83%) and the ratio of net investment loss to average net assets would have been (0.56%). |
Small Cap Growth Fund– Retail Class | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $19.98 | $32.79 | $25.67 | $23.95 | $29.09 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.16 ) | (0.19 )(b) | (0.30 ) | (0.21 ) | (0.21 ) |
Net realized and unrealized gain (loss) | 2.39 | (6.14 ) | 8.04 | 4.28 | (2.35 ) |
Total from Investment Operations | 2.23 | (6.33 ) | 7.74 | 4.07 | (2.56 ) |
LESS DISTRIBUTIONS FROM: | |||||
Net realized capital gains | (0.72 ) | (6.48 ) | (0.62 ) | (2.35 ) | (2.58 ) |
Net asset value, end of the period | $21.49 | $19.98 | $32.79 | $25.67 | $23.95 |
Total return | 11.32 % | (24.94 )%(b) | 30.20 % | 17.67 % | (7.11 )%(c) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $62,965 | $62,909 | $105,027 | $98,205 | $95,635 |
Net expenses | 1.19 % | 1.18 % | 1.17 % | 1.19 % | 1.19 %(d) |
Gross expenses | 1.19 % | 1.18 % | 1.17 % | 1.19 % | 1.20 % |
Net investment loss | (0.75 )% | (0.76 )%(b) | (0.92 )% | (0.91 )% | (0.86 )% |
Portfolio turnover rate | 37 % | 34 % | 52 % | 52 % | 67 % |
(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 $(0.21), total return would have been (25.01%) and the ratio of net investment loss to average net assets would have been (0.81%). |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | 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. |
Small Cap Growth Fund– Class N | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $23.23 | $37.01 | $28.81 | $26.53 | $31.76 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.10 ) | (0.11 )(b) | (0.22 ) | (0.14 ) | (0.13 ) |
Net realized and unrealized gain (loss) | 2.80 | (7.19 ) | 9.04 | 4.77 | (2.52 ) |
Total from Investment Operations | 2.70 | (7.30 ) | 8.82 | 4.63 | (2.65 ) |
LESS DISTRIBUTIONS FROM: | |||||
Net realized capital gains | (0.72 ) | (6.48 ) | (0.62 ) | (2.35 ) | (2.58 ) |
Net asset value, end of the period | $25.21 | $23.23 | $37.01 | $28.81 | $26.53 |
Total return | 11.77 % | (24.69 )%(b) | 30.66 % | 18.09 % | (6.76 )% |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $1,154,817 | $1,030,728 | $1,475,139 | $1,066,067 | $629,914 |
Net expenses | 0.83 % | 0.82 % | 0.82 % | 0.82 % | 0.82 % |
Gross expenses | 0.83 % | 0.82 % | 0.82 % | 0.82 % | 0.82 % |
Net investment loss | (0.38 )% | (0.39 )%(b) | (0.62 )% | (0.54 )% | (0.49 )% |
Portfolio turnover rate | 37 % | 34 % | 52 % | 52 % | 67 % |
(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 $(0.13), total return would have been (24.71%) and the ratio of net investment loss to average net assets would have been (0.44%). |
Small Cap Value Fund – Institutional Class | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $22.57 | $32.05 | $22.34 | $28.66 | $35.27 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.08 | 0.13 | 0.04 | 0.12 | 0.10 |
Net realized and unrealized gain (loss) | 4.37 | (4.18 ) | 11.79 | (4.03 ) | (2.49 ) |
Total from Investment Operations | 4.45 | (4.05 ) | 11.83 | (3.91 ) | (2.39 ) |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.13 ) | (0.05 ) | (0.13 ) | (0.12 ) | (0.08 ) |
Net realized capital gains | (2.72 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Total Distributions | (2.85 ) | (5.43 ) | (2.12 ) | (2.41 ) | (4.22 ) |
Net asset value, end of the period | $24.17 | $22.57 | $32.05 | $22.34 | $28.66 |
Total return(b) | 20.73 % | (16.18 )% | 55.05 % | (15.31 )% | (4.11 )% |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $201,632 | $276,020 | $378,856 | $295,006 | $433,360 |
Net expenses(c) | 0.90 % | 0.90 % | 0.90 % | 0.90 % | 0.90 % |
Gross expenses | 0.96 % | 0.93 % | 0.94 % | 0.95 % | 0.93 % |
Net investment income | 0.34 % | 0.48 % | 0.12 % | 0.48 % | 0.36 % |
Portfolio turnover rate | 26 % | 28 % | 23 % | 23 % | 24 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
Small Cap Value Fund– Retail Class | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $21.95 | $31.33 | $21.87 | $28.11 | $34.66 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | 0.02 | 0.06 | (0.04 ) | 0.05 | 0.03 |
Net realized and unrealized gain (loss) | 4.26 | (4.06 ) | 11.55 | (3.96 ) | (2.44 ) |
Total from Investment Operations | 4.28 | (4.00 ) | 11.51 | (3.91 ) | (2.41 ) |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.07 ) | — | (0.06 ) | (0.04 ) | — |
Net realized capital gains | (2.72 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Total Distributions | (2.79 ) | (5.38 ) | (2.05 ) | (2.33 ) | (4.14 ) |
Net asset value, end of the period | $23.44 | $21.95 | $31.33 | $21.87 | $28.11 |
Total return(b) | 20.47 % | (16.40 )% | 54.69 % | (15.56 )% | (4.33 )% |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $68,979 | $63,738 | $92,036 | $83,163 | $134,434 |
Net expenses(c) | 1.15 % | 1.15 % | 1.15 % | 1.15 % | 1.15 % |
Gross expenses | 1.21 % | 1.18 % | 1.19 % | 1.20 % | 1.18 % |
Net investment income (loss) | 0.09 % | 0.23 % | (0.12 )% | 0.23 % | 0.10 % |
Portfolio turnover rate | 26 % | 28 % | 23 % | 23 % | 24 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
Small Cap Value Fund– Admin Class | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the year | $20.31 | $29.44 | $20.65 | $26.68 | $33.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.03 ) | (0.01 ) | (0.10 ) | (0.01 ) | (0.04 ) |
Net realized and unrealized gain (loss) | 3.92 | (3.74 ) | 10.88 | (3.73 ) | (2.39 ) |
Total from Investment Operations | 3.89 | (3.75 ) | 10.78 | (3.74 ) | (2.43 ) |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.01 ) | — | — | — | — |
Net realized capital gains | (2.72 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Total Distributions | (2.73 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Net asset value, end of the period | $21.47 | $20.31 | $29.44 | $20.65 | $26.68 |
Total return(b) | 20.18 % | (16.63 )% | 54.29 % | (15.74 )% | (4.60 )% |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $5,812 | $6,776 | $9,440 | $7,662 | $13,357 |
Net expenses(c) | 1.40 % | 1.40 % | 1.40 % | 1.40 % | 1.40 % |
Gross expenses | 1.46 % | 1.43 % | 1.43 % | 1.45 % | 1.43 % |
Net investment loss | (0.16 )% | (0.02 )% | (0.38 )% | (0.03 )% | (0.15 )% |
Portfolio turnover rate | 26 % | 28 % | 23 % | 23 % | 24 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The 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. |
Small Cap Value Fund– Class N | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $22.58 | $32.07 | $22.35 | $28.68 | $35.31 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.10 | 0.15 | 0.05 | 0.13 | 0.12 |
Net realized and unrealized gain (loss) | 4.37 | (4.19 ) | 11.80 | (4.03 ) | (2.50 ) |
Total from Investment Operations | 4.47 | (4.04 ) | 11.85 | (3.90 ) | (2.38 ) |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.15 ) | (0.07 ) | (0.14 ) | (0.14 ) | (0.11 ) |
Net realized capital gains | (2.72 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Total Distributions | (2.87 ) | (5.45 ) | (2.13 ) | (2.43 ) | (4.25 ) |
Net asset value, end of the period | $24.18 | $22.58 | $32.07 | $22.35 | $28.68 |
Total return | 20.80 %(b) | (16.16 )% | 55.15 % | (15.28 )% | (4.07 )% |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $65,720 | $75,168 | $112,310 | $92,818 | $141,821 |
Net expenses | 0.85 %(c) | 0.84 % | 0.85 % | 0.85 % | 0.83 % |
Gross expenses | 0.87 % | 0.84 % | 0.85 % | 0.85 % | 0.83 % |
Net investment income | 0.40 % | 0.53 % | 0.17 % | 0.53 % | 0.43 % |
Portfolio turnover rate | 26 % | 28 % | 23 % | 23 % | 24 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
Small/Mid Cap Growth Fund – Institutional Class | |||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.34 | $15.25 | $11.81 | $10.03 | $15.49 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.04 ) | (0.06 ) | (0.02 )(b) | (0.04 ) | (0.04 ) |
Net realized and unrealized gain (loss) | 0.46 | (3.37 ) | 3.56 | 2.06 | (1.55 )(c) |
Total from Investment Operations | 0.42 | (3.43 ) | 3.54 | 2.02 | (1.59 ) |
LESS DISTRIBUTIONS FROM: | |||||
Net realized capital gains | — | (1.48 ) | (0.10 ) | (0.24 ) | (3.87 ) |
Net asset value, end of the period | $10.76 | $10.34 | $15.25 | $11.81 | $10.03 |
Total return(d) | 4.06 % | (25.43 )% | 30.00 %(b) | 20.38 % | (3.27 )% |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $118,499 | $106,566 | $70,526 | $52,170 | $34,312 |
Net expenses(e) | 0.85 % | 0.84 %(f) | 0.84 %(f) | 0.84 % | 0.85 % |
Gross expenses | 0.93 % | 0.91 % | 0.99 % | 1.21 % | 1.30 % |
Net investment loss | (0.37 )% | (0.45 )% | (0.14 )%(b) | (0.34 )% | (0.35 )% |
Portfolio turnover rate | 63 % | 50 % | 50 % | 60 % | 67 % |
(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 $(0.08), total return would have been 29.49% and the ratio of net investment loss to average net assets would have been (0.52%). |
(c) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Includes additional voluntary waiver of advisory fee of 0.01%. |
Small/Mid Cap Growth Fund– Class N | ||||
Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Period Ended September 30, 2020* | |
Net asset value, beginning of the period | $10.35 | $15.26 | $11.81 | $9.89 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment loss(a) | (0.04 ) | (0.05 ) | (0.01 )(b) | (0.04 ) |
Net realized and unrealized gain (loss) | 0.46 | (3.38 ) | 3.56 | 2.20 |
Total from Investment Operations | 0.42 | (3.43 ) | 3.55 | 2.16 |
LESS DISTRIBUTIONS FROM: | ||||
Net realized capital gains | — | (1.48 ) | (0.10 ) | (0.24 ) |
Net asset value, end of the period | $10.77 | $10.35 | $15.26 | $11.81 |
Total return(c) | 4.06 % | (25.41 )% | 30.08 %(b) | 22.08 %(d) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $25,035 | $46,814 | $9,260 | $1 |
Net expenses(e) | 0.83 % | 0.83 % | 0.83 % | 0.83 %(f) |
Gross expenses | 0.92 % | 0.91 % | 1.00 % | 107.49 %(f) |
Net investment loss | (0.37 )% | (0.44 )% | (0.08 )%(b) | (0.34 )%(f) |
Portfolio turnover rate | 63 % | 50 % | 50 % | 60 %(g) |
* | Class operations commenced on October 1, 2019. |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 29.66% and the ratio of net investment loss to average net assets would have been (0.50%). |
(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) | Represents the Fund’s portfolio turnover rate for the year ended September 30, 2020. |
available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
2023 Distributions | 2022 Distributions | |||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | Ordinary Income | Long-Term Capital Gains | Total |
Small Cap Growth Fund | $— | $61,669,247 | $61,669,247 | $14,122,150 | $483,896,328 | $498,018,478 |
Small Cap Value Fund | 2,223,346 | 48,590,022 | 50,813,368 | 8,282,886 | 91,874,834 | 100,157,720 |
Small/Mid Cap Growth Fund | — | — | — | — | 8,249,449 | 8,249,449 |
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | |
Undistributed ordinary income | $— | $4,286,082 | $— |
Undistributed long-term capital gains | 51,627,814 | 60,625,448 | — |
Total undistributed earnings | 51,627,814 | 64,911,530 | — |
Capital loss carryforward: | |||
Short-term: | |||
No expiration date | — | — | (23,696,151 ) |
Late-year ordinary and post-October capital loss deferrals* | (7,358,605 ) | — | (392,335 ) |
Unrealized appreciation (depreciation) | 231,873,359 | 82,267,082 | (357,911 ) |
Total accumulated earnings (losses) | $276,142,568 | $147,178,612 | $(24,446,397 ) |
* | Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Small Cap Growth Fund and Small/Mid Cap Growth Fund are deferring net operating losses. |
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | |
Federal tax cost | $1,975,186,649 | $261,278,323 | $144,139,140 |
Gross tax appreciation | $358,240,863 | $94,947,492 | $9,620,827 |
Gross tax depreciation | (126,367,504 ) | (12,680,410 ) | (9,978,738 ) |
Net tax appreciation (depreciation) | $231,873,359 | $82,267,082 | $(357,911 ) |
each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2023, 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.
Small Cap Growth Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $2,114,715,050 | $— | $— | $2,114,715,050 |
Short-Term Investments | — | 92,344,958 | — | 92,344,958 |
Total Investments | $2,114,715,050 | $92,344,958 | $— | $2,207,060,008 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Small Cap Value Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $338,489,487 | $— | $— | $338,489,487 |
Short-Term Investments | — | 5,055,918 | — | 5,055,918 |
Total Investments | $338,489,487 | $5,055,918 | $— | $343,545,405 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Small/Mid Cap Growth Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $138,587,246 | $— | $— | $138,587,246 |
Short-Term Investments | — | 5,193,983 | — | 5,193,983 |
Total Investments | $138,587,246 | $5,193,983 | $— | $143,781,229 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Fund | Purchases | Sales |
Small Cap Growth Fund | $801,067,679 | $858,992,603 |
Small Cap Value Fund | 100,958,901 | 256,366,058 |
Small/Mid Cap Growth Fund | 91,613,540 | 110,707,861 |
monthly, based on each Fund’s average daily net assets:
Fund | Percentage of Average Daily Net Assets |
Small Cap Growth Fund | 0.75% |
Small Cap Value Fund | 0.75% |
Small/Mid Cap Growth Fund | 0.75% |
Expense Limit as a Percentage of Average Daily Net Assets | ||||
Fund | Institutional Class | Retail Class | Admin Class | Class N |
Small Cap Growth Fund | 0.95 % | 1.20 % | — % | 0.90 % |
Small Cap Value Fund | 0.90 % | 1.15 % | 1.40 % | 0.85 % |
Small/Mid Cap Growth Fund | 0.85 % | — % | — % | 0.83 % |
Expense Limit as a Percentage of Average Daily Net Assets | |||
Fund | Institutional Class | Retail Class | Class N |
Small Cap Growth Fund | 1.00 % | 1.25 % | 0.95 % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Voluntary Waivers of Management Fees2 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | ||||
Small Cap Growth Fund | $16,886,498 | $— | $— | $16,886,498 | 0.75 % | 0.75 % |
Small Cap Value Fund | 2,967,496 | 203,031 | — | 2,764,465 | 0.75 % | 0.70 % |
Small/Mid Cap Growth Fund | 1,105,606 | 125,657 | 4,771 | 975,178 | 0.75 % | 0.66 % |
1 | Waiver/expense reimbursements are subject to possible recovery until September 30, 2024. |
2 | In order to ensure that the total annual fund operating expenses after fee waiver and/or expense reimbursement do not exceed limitations, the Adviser may voluntarily waive additional advisory fees for Small/Mid Cap Growth Fund. Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described above. |
as principal underwriter of the Funds of the Trusts.
Class shares (the “Admin Class Plan”).
connection with the marketing or sale of Retail Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for
providing personal services to investors and/or the maintenance of shareholder accounts.
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.
financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.
Service Fees | Distribution Fees | |||
Fund | Admin Class | Retail Class | Admin Class | |
Small Cap Growth Fund | $— | $168,708 | $— | |
Small Cap Value Fund | 16,168 | 176,498 | 16,168 |
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.
Fund | Administrative Fees |
Small Cap Growth Fund | $1,043,399 |
Small Cap Value Fund | 183,393 |
Small/Mid Cap Growth Fund | 68,319 |
Fund | Sub-Transfer Agent Fees |
Small Cap Growth Fund | $1,182,735 |
Small Cap Value Fund | 260,539 |
Small/Mid Cap Growth Fund | 15,956 |
Fund | Reimbursements of Sub-Transfer Agent Fees |
Small Cap Growth Fund | $12,959 |
Small Cap Value Fund | 2,560 |
Small/Mid Cap Growth Fund | 229 |
Fund | Pension Plan | Retirement Plan | Non-Qualified Retirement Plans | Total Affiliated Onwership |
Small Cap Growth Fund | 0.11% | 1.08% | —% | 1.19% |
Small Cap Value Fund | 0.71% | 7.43% | 8.88% | 17.02% |
Transfer Agent Fees and Expenses | ||||
Fund | Institutional Class | Retail Class | Admin Class | Class N |
Small Cap Growth Fund | $1,133,352 | $77,437 | $— | $11,122 |
Small Cap Value Fund | 216,547 | 61,694 | 5,645 | 1,660 |
Small/Mid Cap Growth Fund | 18,996 | — | — | 1,389 |
Fund | Number of 5% Non-Affiliated Account Holders | Percentage of Non-Affiliated Ownership | Percentage of Affiliated Ownership (Note 5f) | Total Percentage of Ownership |
Small Cap Value Fund | 4 | 24.16 % | 17.02 % | 41.18 % |
Small/Mid Cap Growth Fund | 6 | 67.32 % | — | 67.32 % |
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.
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||
Small Cap Growth Fund | Shares | Amount | Shares | Amount |
Institutional Class | ||||
Issued from the sale of shares | 10,078,079 | $253,544,183 | 8,017,172 | $223,956,965 |
Issued in connection with the reinvestment of distributions | 1,053,561 | 25,137,956 | 6,623,931 | 211,700,835 |
Redeemed | (10,430,137 ) | (261,851,616 ) | (11,564,237 ) | (328,676,465 ) |
Net change | 701,503 | $16,830,523 | 3,076,866 | $106,981,335 |
Retail Class | ||||
Issued from the sale of shares | 441,299 | $9,585,279 | 320,387 | $7,927,984 |
Issued in connection with the reinvestment of distributions | 106,298 | 2,203,548 | 703,528 | 19,670,652 |
Redeemed | (767,180 ) | (16,756,037 ) | (1,078,080 ) | (27,258,549 ) |
Net change | (219,583 ) | $(4,967,210 ) | (54,165 ) | $340,087 |
Class N | ||||
Issued from the sale of shares | 9,639,101 | $247,068,462 | 8,143,108 | $239,198,836 |
Issued in connection with the reinvestment of distributions | 1,325,324 | 32,139,099 | 7,685,869 | 249,252,745 |
Redeemed | (9,524,898 ) | (245,579,845 ) | (11,325,816 ) | (334,588,076 ) |
Net change | 1,439,527 | $33,627,716 | 4,503,161 | $153,863,505 |
Increase from capital share transactions | 1,921,447 | $45,491,029 | 7,525,862 | $261,184,927 |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||
Small Cap Value Fund | Shares | Amount | Shares | Amount |
Institutional Class | ||||
Issued from the sale of shares | 1,324,531 | $31,971,280 | 1,638,952 | $45,506,016 |
Issued in connection with the reinvestment of distributions | 1,479,594 | 33,157,704 | 2,209,266 | 63,052,444 |
Redeemed | (6,693,582 ) | (160,024,024 ) | (3,438,164 ) | (92,106,055 ) |
Net change | (3,889,457 ) | $(94,895,040 ) | 410,054 | $16,452,405 |
Retail Class | ||||
Issued from the sale of shares | 142,091 | $3,321,439 | 118,433 | $3,328,950 |
Issued in connection with the reinvestment of distributions | 360,879 | 7,859,942 | 535,511 | 14,897,926 |
Redeemed | (463,598 ) | (10,809,533 ) | (687,758 ) | (19,095,126 ) |
Net change | 39,372 | $371,848 | (33,814 ) | $(868,250 ) |
Admin Class | ||||
Issued from the sale of shares | 18,912 | $402,032 | 41,072 | $1,112,201 |
Issued in connection with the reinvestment of distributions | 44,560 | 890,318 | 64,887 | 1,673,437 |
Redeemed | (126,310 ) | (2,691,370 ) | (93,082 ) | (2,413,386 ) |
Net change | (62,838 ) | $(1,399,020 ) | 12,877 | $372,252 |
Class N | ||||
Issued from the sale of shares | 214,302 | $5,164,913 | 719,077 | $21,151,505 |
Issued in connection with the reinvestment of distributions | 375,730 | 8,423,867 | 687,544 | 19,629,374 |
Redeemed | (1,201,179 ) | (29,327,375 ) | (1,580,215 ) | (42,353,412 ) |
Net change | (611,147 ) | $(15,738,595 ) | (173,594 ) | $(1,572,533 ) |
Increase (decrease) from capital share transactions | (4,524,070 ) | $(111,660,807 ) | 215,523 | $14,383,874 |
Year Ended September 30, 2023 | Year Ended September 30, 2022 | |||
Small/Mid Cap Growth Fund | Shares | Amount | Shares | Amount |
Institutional Class | ||||
Issued from the sale of shares | 1,806,894 | $20,331,352 | 6,066,124 | $75,764,451 |
Issued in connection with the reinvestment of distributions | — | — | 493,838 | 7,348,311 |
Redeemed | (1,093,292 ) | (12,121,065 ) | (882,881 ) | (10,629,212 ) |
Net change | 713,602 | $8,210,287 | 5,677,081 | $72,483,550 |
Class N | ||||
Issued from the sale of shares | 1,539,241 | $16,805,054 | 4,203,057 | $60,895,993 |
Issued in connection with the reinvestment of distributions | — | — | 60,520 | 901,138 |
Redeemed | (281,892 ) | (3,176,860 ) | (348,878 ) | (4,183,688 ) |
Redeemed in-kind (Note 11) | (3,453,242 ) | (40,126,667 ) | — | — |
Net change | (2,195,893 ) | $(26,498,473 ) | 3,914,699 | $57,613,443 |
Increase (decrease) from capital share transactions | (1,482,291 ) | $(18,288,186 ) | 9,591,780 | $130,096,993 |
Boston, Massachusetts
November 21, 2023
Fund | Qualifying Percentage |
Small Cap Value Fund | 83.39% |
Small Cap Value Fund
Fund | Amount |
Small Cap Growth Fund | $61,669,247 |
Small Cap Value Fund | 48,590,022 |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees | ||||
Edmond J. English (1953) | Trustee since 2013 Contract Review Committee Member and Governance Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 52 Director, Burlington Stores, Inc. (retail); Director, Rue Gilt Groupe, Inc. (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) |
Richard A. Goglia (1951) | Trustee since 2015 Audit Committee Member and Governance Committee Member | Retired | 52 Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as Vice President and treasurer of a defense company and experience at a financial services company) |
Martin T. Meehan (1956) | Trustee since 2012 Chairperson of the Governance Committee and Contract Review Committee Member | President, University of Massachusetts | 52 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience |
Maureen B. Mitchell (1951) | Trustee since 2017 Chairperson of the Contract Review Committee | Retired | 52 Director, Sterling Bancorp (bank) | Significant experience on the Board; financial services industry and executive experience (including role as President of global sales and marketing at a financial services company) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
James P. Palermo (1955) | Trustee since 2016 Audit Committee Member and Governance Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) | 52 Director, FutureFuel.io (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as Chief Executive Officer of client management and asset servicing for a banking and financial services company) |
Erik R. Sirri (1958) | Chairperson of the Board of Trustees since 2021 Trustee since 2009 Ex Officio Member of the Audit Committee, Contract Review Committee and Governance Committee | Professor of Finance at Babson College | 52 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist |
Peter J. Smail (1952) | Trustee since 2009 Contract Review Committee Member | Retired | 52 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as President and Chief Executive Officer for an investment adviser) |
Kirk A. Sykes (1958) | Trustee since 2019 Audit Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 52 Advisor/Risk Management Committee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly, Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) |
Cynthia L. Walker (1956) | Trustee since 2005 Chairperson of the Audit Committee | Retired; formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 52 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Interested Trustees | ||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 52 None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
David L. Giunta4 (1965) | Trustee since 2011 President of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 52 None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC |
1 | Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
2 | The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
Name and Year of Birth | Position(s) Held with the Trusts | Term of Office1 and Length of Time Served | Principal Occupation(s) During Past 5 Years2 |
Officers of the Trusts | |||
Matthew J. Block (1981) | Treasurer, Principal Financial and Accounting Officer | Since 2022 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex; Managing Director, State Street Bank and Trust Company |
Susan McWhan Tobin (1963) | Secretary and Chief Legal Officer | Since 2022 | Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019 – May 2022) and Senior Vice President and Head of Compliance, U.S. for Natixis Investment Managers (July 2011 – March 2019) |
Natalie R. Wagner (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts' current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
secretaryofthefunds@natixis.com
Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.
Please note: Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, social security number, PIN, or any other non-public, personal information in an e-mail communication because this information may be viewed by others.
6031442.1.1
M-LSEFA-0923
(b) Not Applicable.
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has established an audit committee. Ms. Maureen Mitchell, Mr. James Palermo, Mr. Peter Smail, Mr. Kirk A. Sykes and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.
Item 4. Principal Accountant Fees and Services.
Fees billed by the Principal Accountant for services rendered to the Registrant.
The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.
Audit fees | Audit-related fees1 | Tax fees2 | All other fees | |||||||||||||||||||||||||||||
10/1/21- 9/30/22 | 10/1/22- 9/30/23 | 10/1/21- 9/30/22 | 10/1/22- 9/30/23 | 10/1/21- 9/30/22 | 10/1/22- 9/30/23 | 10/1/21- 9/30/22 | 10/1/22- 9/30/23 | |||||||||||||||||||||||||
Loomis Sayles Funds II — Loomis Sayles Credit Income Fund, Loomis Sayles Global Allocation Fund, Loomis Sayles Growth Fund, Loomis Sayles Limited Term Government and Agency Fund, Loomis Sayles Small Cap Growth Fund and Loomis Sayles Small/Mid Cap Growth Fund | $ | 268,783 | $ | 276,847 | $ | 3,489 | $ | 3,713 | $ | 71,349 | $ | 47,739 | $ | — | $ | — |
1. | Audit-related fees consist of: |
2022 & 2023 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.
2. | Tax fees consist of: |
2022 & 2023 – review of Registrant’s tax returns
2022 - filings with the French tax authorities to reclaim taxes withheld on dividend income received from French resident companies
Aggregate fees billed to the Registrant for non-audit services during 2022 and 2023 were $74,838 and $51,452, respectively.
Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.
The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and entities controlling, controlled by or under common control with Loomis, Sayles & Company, L.P. (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.
Audit-related fees | Tax fees | All other fees | ||||||||||||||||||||||
10/1/21- 9/30/22 | 10/1/22- 9/30/23 | 10/1/21- 9/30/22 | 10/1/22- 9/30/23 | 10/1/21- 9/30/22 | 10/1/22- 9/30/23 | |||||||||||||||||||
Control Affiliates | $ | — | $ | — | $ | — | $ | — | $ | 50,000 | $ | — |
The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.
Aggregate Non-Audit Fees | ||||||||
10/1/21-9/30/22 | 10/1/22-9/30/23 | |||||||
Control Affiliates | $ | 50,000 | $ | — |
None of the services described above were approved pursuant to paragraph (c)(7)(i)(C) of Regulation S-X.
Audit Committee Pre Approval Policies.
Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Registrant and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.
If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an Independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review by the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Loomis Sayles Funds II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | November 21, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | November 21, 2023 | |
By: | /s/ Matthew Block | |
Name: | Matthew Block | |
Title: | Treasurer and Principal Financial and Accounting Officer | |
Date: | November 21, 2023 |